UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-04347

GMO Trust

(Exact name of the registrant as specified in charter)

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

J.B. Kittredge, Chief Executive Officer, 40 Rowes Wharf, Boston, MA 02110

(Name and address of agent for services)

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

Date of fiscal year end: 02/28/14

Date of reporting period: 08/31/13

Item 1. Reports to Stockholders.

The semiannual reports for each series of the registrant for the periods ended August 31, 2013 are filed herewith.

GMO Trust

Semiannual Report

August 31, 2013

Quality Fund

Real Estate Fund

U.S. Core Equity Fund

U.S. Flexible Equities Fund

U.S. Growth Fund

U.S. Intrinsic Value Fund

U.S. Small/Mid Cap Fund

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

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

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

TABLE OF CONTENTS

Quality Fund:
Investment Concentration Summary	1
Schedule of Investments	2
Real Estate Fund:
Investment Concentration Summary	4
Schedule of Investments	5
U.S. Core Equity Fund:
Investment Concentration Summary	7
Schedule of Investments	8
U.S. Flexible Equities Fund:
Investment Concentration Summary	11
Schedule of Investments	12
U.S. Growth Fund:
Investment Concentration Summary	14
Schedule of Investments	15
U.S. Intrinsic Value Fund:
Investment Concentration Summary	18
Schedule of Investments	19
U.S. Small/Mid Cap Fund:
Investment Concentration Summary	22
Schedule of Investments	23
Portfolio Abbreviations	30
Fund Financial Statements:
Statements of Assets and Liabilities	31
Statements of Operations	33
Statements of Changes in Net Assets	35
Financial Highlights	39
Notes to Financial Statements	46
Board Review of Management Agreements	74
Fund Expenses	80

GMO Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		98.2	%
Mutual Funds		1.2
Short-Term Investments		0.4
Other		0.2
		100.0	%
Country Summary*	% of Investments
United States		89.2	%
United Kingdom		4.2
Switzerland		2.4
Japan		1.7
France		1.0
Netherlands		0.7
Belgium		0.3
Germany		0.3
Australia		0.1
Denmark		0.1
		100.0	%

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

Industry Group Summary	% of Equity Investments**
Software & Services		20.8	%
Pharmaceuticals, Biotechnology & Life Sciences		19.8
Food, Beverage & Tobacco		16.8
Health Care Equipment & Services		9.9
Technology Hardware & Equipment		6.9
Household & Personal Products		6.9
Energy		6.7
Food & Staples Retailing		5.7
Consumer Services		2.2
Retailing		1.7
Capital Goods		1.6
Consumer Durables & Apparel		0.7
Telecommunication Services		0.3
		100.0	%

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

1

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.2%
		Capital Goods — 1.6%
	1,835,300	3M Co.		208,453,374
	78,800	Danaher Corp.		5,162,976
		Total Capital Goods		213,616,350
		Consumer Durables & Apparel — 0.7%
	1,453,240	Nike, Inc. - Class B		91,292,537
		Consumer Services — 2.2%
	2,963,400	McDonald’s Corp.		279,626,424
	174,435	Yum! Brands, Inc.		12,213,939
		Total Consumer Services		291,840,363
		Energy — 6.6%
	7,585,463	BP Plc		52,452,093
	4,644,170	Chevron Corp.		559,297,393
	1,671,800	Exxon Mobil Corp.		145,714,088
	2,097,495	Royal Dutch Shell Plc - A Shares		67,837,129
	1,074,639	Total SA		59,509,108
		Total Energy		884,809,811
		Food & Staples Retailing — 5.5%
	559,100	Costco Wholesale Corp.		62,546,517
	930,800	CVS Caremark Corp.		54,032,940
	1,825,109	Sysco Corp.		58,439,990
	7,153,676	Tesco Plc		40,653,971
	6,105,900	Wal-Mart Stores, Inc.		445,608,582
	1,350,000	Walgreen Co.		64,894,500
	547,754	Woolworths Ltd.		17,350,809
		Total Food & Staples Retailing		743,527,309
		Food, Beverage & Tobacco — 16.5%
	349,504	Anheuser-Busch InBev NV		32,595,113
	1,623,754	British American Tobacco Plc		82,104,501
	16,366,100	Coca-Cola Co. (The)		624,857,698
	1,036,900	General Mills, Inc.		51,139,908
	4,950,300	Japan Tobacco, Inc.		167,195,654
	2,151,600	Lorillard, Inc.		91,012,680
	1,409,719	Nestle SA (Registered)		92,257,926
	5,544,411	PepsiCo, Inc.		442,055,889
	6,422,330	Philip Morris International, Inc.		535,879,215
	2,266,292	Unilever NV		85,270,690
	278,671	Unilever Plc		10,625,650
		Total Food, Beverage & Tobacco		2,214,994,924
		Health Care Equipment & Services — 9.7%
	6,377,805	Abbott Laboratories		212,572,241
	147,100	AmerisourceBergen Corp.		8,372,932
	861,300	Baxter International, Inc.		59,912,028

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	513,900	Becton, Dickinson and Co.		50,043,582
	168,000	Cardinal Health, Inc.		8,447,040
	5,991,780	Express Scripts Holding Co. *		382,754,906
	534,765	Laboratory Corp. of America Holdings *		51,187,706
	93,400	McKesson Corp.		11,339,694
	3,820,230	Medtronic, Inc.		197,696,902
	616,845	Quest Diagnostics, Inc.		36,159,454
	698,000	Stryker Corp.		46,689,220
	2,080,744	UnitedHealth Group, Inc.		149,272,575
	1,111,067	Zimmer Holdings, Inc.		87,874,289
		Total Health Care Equipment & Services		1,302,322,569
		Household & Personal Products — 6.8%
	336,153	Church & Dwight Co., Inc.		19,950,681
	4,372,300	Colgate-Palmolive Co.		252,587,771
	617,200	Kimberly-Clark Corp.		57,695,856
	7,373,100	Procter & Gamble Co. (The)		574,290,759
	142,991	Reckitt Benckiser Group Plc		9,717,552
		Total Household & Personal Products		914,242,619
		Pharmaceuticals, Biotechnology & Life Sciences — 19.4%
	335,400	Allergan, Inc.		29,642,652
	893,913	Amgen, Inc.		97,382,882
	1,787,884	AstraZeneca Plc		88,030,782
	2,923,600	Bristol-Myers Squibb Co.		121,884,884
	2,552,200	Eli Lilly & Co.		131,183,080
	907,100	Gilead Sciences, Inc. *		54,670,917
	7,829,031	GlaxoSmithKline Plc		199,668,147
	8,110,300	Johnson & Johnson		700,811,023
	5,411,800	Merck & Co., Inc.		255,924,022
	1,152,954	Novartis AG (Registered)		83,992,305
	98,938	Novo Nordisk A/S - Class B		16,542,003
	21,605,439	Pfizer, Inc.		609,489,434
	555,430	Roche Holding AG		138,449,313
	783,343	Sanofi		75,072,787
	223,200	Takeda Pharmaceutical Co. Ltd.		10,100,848
		Total Pharmaceuticals, Biotechnology & Life Sciences		2,612,845,079
		Retailing — 1.7%
	311,500	Bed Bath & Beyond, Inc. *		22,970,010
	2,806,000	Target Corp.		177,647,860
	516,178	TJX Cos., Inc. (The)		27,212,904
		Total Retailing		227,830,774
		Software & Services — 20.4%
	804,800	Google, Inc. - Class A *		681,585,120
	2,747,970	International Business Machines Corp.		500,872,492
	449,400	Intuit, Inc.		28,550,382
	150,370	Mastercard, Inc. - Class A		91,136,249

2 See accompanying notes to the financial statements.

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Software & Services — continued
	20,608,300	Microsoft Corp.		688,317,220
	19,673,100	Oracle Corp.		626,784,966
	610,940	SAP AG		45,123,264
	373,900	Visa, Inc. - Class A		65,215,638
	17,021	Yahoo! Japan Corp.		8,384,635
		Total Software & Services		2,735,969,966
		Technology Hardware & Equipment — 6.8%
	355,818	Apple, Inc.		173,301,157
	15,521,631	Cisco Systems, Inc.		361,809,219
	2,181,400	EMC Corp.		56,236,492
	8,833,200	Hewlett-Packard Co.		197,333,688
	1,895,858	Qualcomm, Inc.		125,657,468
		Total Technology Hardware & Equipment		914,338,024
		Telecommunication Services — 0.3%
	26,154	NTT Docomo, Inc.		41,810,533
		TOTAL COMMON STOCKS (COST $11,044,806,564)		13,189,440,858
		MUTUAL FUNDS — 1.2%
		Affiliated Issuers — 1.2%
	6,401,360	GMO U.S. Treasury Fund		160,034,000
		TOTAL MUTUAL FUNDS (COST $160,034,000)		160,034,000
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.4%
	49,337,785	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		49,337,785
		TOTAL SHORT-TERM INVESTMENTS (COST $49,337,785)		49,337,785
		TOTAL INVESTMENTS — 99.8% (Cost $11,254,178,349)		13,398,812,643
		Other Assets and Liabilities (net) — 0.2%		25,019,810
		TOTAL NET ASSETS — 100.0%		$13,423,832,453

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 30.

See accompanying notes to the financial statements. 3

GMO Real Estate Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		98.8	%
Mutual Funds		1.1
Short-Term Investments		0.4
Other		(0.3	)
		100.0	%
Sub-Industry Summary	% of REIT Investments
Specialized		34.1	%
Retail		23.7
Residential		15.1
Office		14.2
Diversified		8.2
Industrial		4.7
		100.0	%

4

GMO Real Estate Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		REAL ESTATE INVESTMENTS — 98.8%
		REAL ESTATE INVESTMENT TRUSTS — 98.8%
		Diversified — 8.1%
	8,400	Duke Realty Corp.		122,556
	5,708	Lexington Realty Trust		66,898
	3,300	Liberty Property Trust		114,180
	651	PS Business Parks, Inc.		47,308
	1,164	Select Income		28,320
	11,454	Spirit Realty Capital, Inc.		99,764
	4,428	Vornado Realty Trust		359,997
	1,026	WP Carey, Inc.		67,439
		Total Diversified		906,462
		Industrial — 4.6%
	8,900	DCT Industrial Trust, Inc.		59,541
	3,000	First Industrial Realty Trust, Inc.		45,390
	11,760	ProLogis, Inc.		414,422
		Total Industrial		519,353
		Office — 14.0%
	1,730	Alexandria Real Estate Equities, Inc.		106,689
	5,000	BioMed Realty Trust, Inc.		92,050
	3,425	Boston Properties, Inc.		351,063
	5,289	Brandywine Realty Trust		67,805
	3,781	CommonWealth		92,824
	2,100	Corporate Office Properties Trust		47,838
	2,864	Digital Realty Trust, Inc.		159,238
	3,800	Douglas Emmett, Inc.		87,780
	3,200	Franklin Street Properties Corp.		38,976
	2,000	Government Properties Income Trust		46,760
	2,121	Highwoods Properties, Inc.		71,647
	1,774	Kilroy Realty Corp.		86,553
	2,513	Mack-Cali Realty Corp.		54,281
	5,700	Piedmont Office Realty Trust, Inc. - Class A		97,926
	1,922	SL Green Realty Corp.		167,579
		Total Office		1,569,009
		Residential — 15.0%
	2,275	American Campus Communities, Inc.		75,780
	2,931	Apartment Investment & Management Co. - Class A		80,690
	2,759	AvalonBay Communities, Inc.		341,840
	1,828	BRE Properties, Inc.		87,726
	2,005	Camden Property Trust		123,889
	2,078	Colonial Properties Trust		45,903
	1,893	Equity Lifestyle Properties, Inc.		65,782
	7,940	Equity Residential		412,006
	780	Essex Property Trust, Inc.		111,782
	1,354	Home Properties, Inc.		78,126
	1,000	Mid-America Apartment Communities, Inc.		61,660
	1,231	Post Properties, Inc.		55,678

Shares		Description	Value ($)
		Residential — continued
	5,864	UDR, Inc.		132,468
		Total Residential		1,673,330
		Retail — 23.4%
	4,013	CBL & Associates Properties, Inc.		77,050
	6,597	DDR Corp.		102,385
	1,640	Federal Realty Investment Trust		159,588
	9,381	General Growth Properties, Inc.		179,928
	10,299	Kimco Realty Corp.		206,289
	2,972	Macerich Co. (The)		167,264
	3,479	National Retail Properties, Inc.		106,562
	2,066	Pennsylvania Real Estate Investment Trust		38,324
	5,207	Realty Income Corp.		205,677
	2,114	Regency Centers Corp.		100,521
	7,010	Simon Property Group, Inc.		1,020,866
	2,285	Tanger Factory Outlet Centers, Inc.		70,492
	1,373	Taubman Centers, Inc.		92,554
	3,074	Weingarten Realty Investors		88,255
		Total Retail		2,615,755
		Specialized — 33.7%
	4,240	Corrections Corp. of America		139,666
	3,900	CubeSmart		64,935
	1,500	EPR Properties		73,470
	2,926	Extra Space Storage, Inc.		120,639
	2,698	Geo Group, Inc. (The)		84,205
	13,085	HCP, Inc.		532,952
	7,384	Health Care, Inc.		453,673
	2,100	Healthcare Realty Trust, Inc.		47,229
	4,500	Hospitality Properties Trust		121,590
	18,787	Host Hotels & Resorts, Inc.		319,943
	2,400	LaSalle Hotel Properties		63,672
	1,100	LTC Properties, Inc.		38,973
	5,095	Medical Properties Trust, Inc.		58,847
	900	National Health Investors, Inc.		49,410
	3,500	Omega Healthcare Investors, Inc.		99,400
	4,217	Public Storage		643,809
	3,600	RLJ Lodging Trust		82,728
	1,305	Ryman Hospitality Properties, Inc.		43,117
	6,176	Senior Housing Properties Trust		140,504
	900	Sovran Self Storage, Inc.		59,643
	4,685	Sunstone Hotel Investors, Inc. *		56,360
	7,637	Ventas, Inc.		475,480
		Total Specialized		3,770,245
		TOTAL REAL ESTATE INVESTMENT TRUSTS (COST $8,878,324)		11,054,154
		TOTAL REAL ESTATE INVESTMENTS (COST $8,878,324)		11,054,154

See accompanying notes to the financial statements. 5

GMO Real Estate Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 1.1%
		Affiliated Issuers — 1.1%
	4,959	GMO U.S. Treasury Fund		123,975
		TOTAL MUTUAL FUNDS (COST $124,000)		123,975
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.4%
	44,439	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		44,439
		TOTAL SHORT-TERM INVESTMENTS (COST $44,439)		44,439
		TOTAL INVESTMENTS — 100.3% (Cost $9,046,763)		11,222,568
		Other Assets and Liabilities (net) — (0.3%)		(28,741	)
		TOTAL NET ASSETS — 100.0%		$11,193,827

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 30.

6 See accompanying notes to the financial statements.

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.1	%
Mutual Funds		2.4
Short-Term Investments		0.3
Other		0.2
		100.0	%
Industry Group Summary	% of Equity Investments*
Software & Services		17.3	%
Pharmaceuticals, Biotechnology & Life Sciences		14.9
Health Care Equipment & Services		11.3
Food, Beverage & Tobacco		8.6
Energy		7.4
Technology Hardware & Equipment		7.0
Diversified Financials		6.8
Household & Personal Products		5.2
Food & Staples Retailing		3.8
Insurance		3.8
Capital Goods		3.3
Retailing		2.8
Consumer Services		2.0
Automobiles & Components		1.4
Consumer Durables & Apparel		1.4
Semiconductors & Semiconductor Equipment		0.7
Telecommunication Services		0.6
Utilities		0.6
Materials		0.3
Commercial & Professional Services		0.2
Transportation		0.2
Real Estate		0.2
Media		0.2
		100.0	%

* Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. The table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

7

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.1%
		Automobiles & Components — 1.4%
	52,100	Delphi Automotive Plc		2,866,542
	212,700	Ford Motor Co.		3,443,613
	321,366	General Motors Co. *		10,952,153
	25,100	TRW Automotive Holdings Corp. *		1,733,657
		Total Automobiles & Components		18,995,965
		Capital Goods — 3.2%
	159,800	3M Co.		18,150,084
	88,500	Danaher Corp.		5,798,520
	39,200	Eaton Corp. Plc		2,482,144
	15,000	Exelis, Inc.		220,650
	46,300	Fastenal Co.		2,036,737
	71,600	General Dynamics Corp.		5,960,700
	25,900	L-3 Communications Holdings, Inc.		2,339,547
	4,100	MRC Global, Inc. *		107,625
	6,700	Navistar International Corp. *		229,609
	58,500	Raytheon Co.		4,411,485
	9,800	WW Grainger, Inc.		2,424,030
		Total Capital Goods		44,161,131
		Commercial & Professional Services — 0.2%
	18,100	Stericycle, Inc. *		2,037,336
	17,200	Verisk Analytics, Inc. - Class A *		1,069,496
		Total Commercial & Professional Services		3,106,832
		Consumer Durables & Apparel — 1.4%
	58,100	Coach, Inc.		3,068,261
	138,780	Nike, Inc. - Class B		8,718,160
	8,000	Ralph Lauren Corp.		1,323,280
	117,300	Taylor Morrison Home Corp. - Class A *		2,417,553
	17,300	VF Corp.		3,238,733
		Total Consumer Durables & Apparel		18,765,987
		Consumer Services — 1.9%
	20,400	Apollo Group, Inc. - Class A *		378,828
	14,100	Burger King Worldwide, Inc.		275,796
	5,300	DeVry, Inc.		159,053
	192,000	McDonald’s Corp.		18,117,120
	110,400	Starbucks Corp.		7,785,408
	4,300	Weight Watchers International, Inc.		154,542
		Total Consumer Services		26,870,747
		Diversified Financials — 6.6%
	1,537,559	Bank of America Corp.		21,710,333
	530,900	Citigroup, Inc.		25,658,397
	53,700	Goldman Sachs Group, Inc. (The)		8,169,381
	532,800	JPMorgan Chase & Co.		26,922,384
	220,400	Morgan Stanley		5,677,504

Shares		Description	Value ($)
		Diversified Financials — continued
	12,300	Prospect Capital Corp.		136,161
	156,400	SLM Corp.		3,752,036
		Total Diversified Financials		92,026,196
		Energy — 7.1%
	100,090	Apache Corp.		8,575,711
	339,544	Chevron Corp.		40,891,284
	112,500	ConocoPhillips		7,458,750
	159,000	Exxon Mobil Corp.		13,858,440
	28,600	Hess Corp.		2,140,710
	65,300	Marathon Petroleum Corp.		4,734,903
	146,000	Marathon Oil Corp.		5,026,780
	21,000	Murphy Oil Corp.		1,415,820
	51,900	Occidental Petroleum Corp.		4,578,099
	93,200	Phillips 66		5,321,720
	22,600	Tesoro Corp.		1,041,634
	108,000	Valero Energy Corp.		3,837,240
		Total Energy		98,881,091
		Food & Staples Retailing — 3.7%
	43,500	Costco Wholesale Corp.		4,866,345
	95,600	CVS Caremark Corp.		5,549,580
	50,300	Kroger Co. (The)		1,840,980
	49,900	Safeway, Inc.		1,292,410
	178,100	Sysco Corp.		5,702,762
	152,500	Walgreen Co.		7,330,675
	340,778	Wal–Mart Stores, Inc.		24,869,978
		Total Food & Staples Retailing		51,452,730
		Food, Beverage & Tobacco — 8.4%
	26,750	Brown-Forman Corp. - Class B		1,791,983
	45,500	Campbell Soup Co.		1,964,690
	797,300	Coca-Cola Co. (The)		30,440,914
	7,450	Dean Foods Co. *		142,742
	146,700	General Mills, Inc.		7,235,244
	31,700	Hershey Co. (The)		2,914,815
	23,500	Hormel Foods Corp.		973,605
	54,500	Kellogg Co.		3,308,695
	80,280	Lorillard, Inc.		3,395,844
	25,700	McCormick & Co., Inc. (Non Voting)		1,738,605
	29,900	Monster Beverage Corp. *		1,715,961
	294,575	PepsiCo, Inc.		23,486,465
	401,203	Philip Morris International, Inc.		33,476,378
	66,200	Reynolds American, Inc.		3,153,106
		Total Food, Beverage & Tobacco		115,739,047
		Health Care Equipment & Services — 11.0%
	305,700	Abbott Laboratories		10,188,981
	116,800	Aetna, Inc.		7,403,952
	120,200	Baxter International, Inc.		8,361,112

8 See accompanying notes to the financial statements.

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	51,100	Becton, Dickinson and Co.		4,976,118
	2	Cardinal Health, Inc.		100
	52,360	Cerner Corp. *		2,411,702
	63,900	Cigna Corp.		5,028,291
	29,600	Community Health Systems, Inc.		1,162,096
	100,300	Covidien Plc		5,957,820
	16,370	CR Bard; Inc.		1,880,422
	23,300	Edwards Lifesciences Corp. *		1,639,854
	190,350	Express Scripts Holding Co. *		12,159,558
	75,200	HCA Holdings, Inc.		2,871,888
	18,600	Henry Schein, Inc. *		1,879,530
	46,800	Humana, Inc.		4,309,344
	14,790	Idexx Laboratories, Inc. *		1,387,598
	8,160	Intuitive Surgical, Inc. *		3,154,003
	72,700	Laboratory Corp. of America Holdings *		6,958,844
	22,200	Mednax, Inc. *		2,161,614
	322,800	Medtronic, Inc.		16,704,900
	37,200	Quest Diagnostics, Inc.		2,180,664
	22,800	ResMed, Inc.		1,077,072
	71,300	Stryker Corp.		4,769,257
	63,500	St Jude Medical, Inc.		3,201,035
	22,900	Tenet Healthcare Corp. *		894,245
	364,474	UnitedHealth Group, Inc.		26,147,365
	23,600	Varian Medical Systems, Inc. *		1,662,620
	79,300	WellPoint, Inc.		6,751,602
	58,825	Zimmer Holdings, Inc.		4,652,469
		Total Health Care Equipment & Services		151,934,056
		Household & Personal Products — 5.1%
	29,600	Church & Dwight Co., Inc.		1,756,760
	27,273	Clorox Co.		2,255,477
	180,620	Colgate-Palmolive Co.		10,434,417
	47,960	Estee Lauder Cos., Inc. (The) - Class A		3,134,666
	21,900	Herbalife Ltd.		1,336,119
	70,000	Kimberly-Clark Corp.		6,543,600
	578,200	Procter & Gamble Co. (The)		45,035,998
		Total Household & Personal Products		70,497,037
		Insurance — 3.7%
	130,400	AFLAC, Inc.		7,535,816
	53,300	Allstate Corp. (The)		2,554,136
	10,100	American Financial Group, Inc.		520,453
	213,100	American International Group, Inc. *		9,900,626
	30,200	Assurant, Inc.		1,601,808
	157,000	Genworth Financial, Inc. - Class A *		1,852,600
	125,600	Hartford Financial Services Group, Inc. (The)		3,717,760
	74,000	Lincoln National Corp.		3,110,960
	149,500	MetLife, Inc.		6,905,405
	41,500	Principal Financial Group, Inc.		1,698,180
	73,000	Prudential Financial, Inc.		5,466,240

Shares		Description	Value ($)
		Insurance — continued
	14,400	Torchmark Corp.		992,016
	40,000	Travelers Cos., Inc. (The)		3,196,000
	69,300	Unum Group		2,046,429
		Total Insurance		51,098,429
		Materials — 0.3%
	63,300	LyondellBasell Industries NV - Class A		4,440,495
		Media — 0.2%
	69,000	Gannett Co., Inc.		1,662,210
	7,600	John Wiley and Sons, Inc. - Class A		332,880
	7,200	Starz - Liberty Capital *		179,712
		Total Media		2,174,802
		Pharmaceuticals, Biotechnology & Life Sciences — 14.4%
	58,700	Allergan, Inc.		5,187,906
	30,590	Biogen Idec, Inc. *		6,516,282
	286,000	Bristol–Myers Squibb Co.		11,923,340
	351,900	Eli Lilly & Co.		18,087,660
	74,100	Gilead Sciences, Inc. *		4,466,007
	785,600	Johnson & Johnson		67,883,696
	25,000	Life Technologies Corp. *		1,860,250
	800,785	Merck & Co., Inc.		37,869,123
	1,531,136	Pfizer, Inc.		43,193,346
	5,800	Techne Corp.		449,558
	21,800	Theravance, Inc. *		781,530
	19,000	Waters Corp. *		1,878,150
		Total Pharmaceuticals, Biotechnology & Life Sciences		200,096,848
		Real Estate — 0.2%
	64,300	American Capital Agency Corp. REIT		1,463,468
	34,300	ARMOUR Residential, Inc. REIT		143,374
	27,600	CYS Investments, Inc. REIT		211,968
	20,700	Hatteras Financial Corp. REIT		378,810
	21,400	Invesco Mortgage Capital, Inc. REIT		327,634
		Total Real Estate		2,525,254
		Retailing — 2.7%
	56,600	AutoNation, Inc. *		2,645,484
	4,000	AutoZone, Inc. *		1,679,760
	92,900	Bed Bath & Beyond, Inc. *		6,850,446
	4,100	Buckle, Inc. (The)		212,298
	46,500	Dollar Tree, Inc. *		2,450,550
	35,500	GameStop Corp. - Class A		1,782,455
	32,400	Genuine Parts Co.		2,495,124
	65,300	J.C. Penney Co., Inc. *		814,944
	39,400	Kohl’s Corp.		2,021,614
	4,700	Rent-A-Center, Inc.		176,297
	44,985	Ross Stores, Inc.		3,025,691

See accompanying notes to the financial statements. 9

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Retailing — continued
	74,560	Sears Holdings Corp. *		3,298,535
	143,200	Staples, Inc.		1,991,912
	149,517	TJX Cos., Inc. (The)		7,882,536
		Total Retailing		37,327,646
		Semiconductors & Semiconductor Equipment — 0.7%
	430,100	Intel Corp.		9,453,598
		Software & Services — 16.8%
	147,800	Accenture Plc - Class A		10,678,550
	43,400	Amdocs Ltd.		1,599,724
	11,800	Ansys, Inc. *		990,964
	92,500	Automatic Data Processing, Inc.		6,582,300
	36,800	Citrix Systems, Inc. *		2,604,336
	48,900	Cognizant Technology Solutions Corp. - Class A *		3,584,370
	52,320	Google, Inc. - Class A *		44,309,808
	236,770	International Business Machines Corp.		43,156,068
	56,500	Intuit, Inc.		3,589,445
	7,100	MAXIMUS, Inc.		266,321
	2,239,957	Microsoft Corp.		74,814,564
	993,215	Oracle Corp.		31,643,830
	67,200	Paychex, Inc.		2,599,296
	5,600	SolarWinds, Inc. *		204,120
	89,701	Symantec Corp.		2,297,242
	198,300	Western Union Co.		3,476,199
		Total Software & Services		232,397,137
		Technology Hardware & Equipment — 6.8%
	27,480	Apple, Inc.		13,384,134
	23,900	Arrow Electronics, Inc. *		1,109,438
	1,204,980	Cisco Systems, Inc.		28,088,084
	153,900	Corning, Inc.		2,160,756
	378,006	Dell, Inc.		5,205,143
	255,000	EMC Corp.		6,573,900
	620,563	Hewlett-Packard Co.		13,863,377
	6,800	Lexmark International, Inc.		232,288
	298,700	Qualcomm, Inc.		19,797,836
	11,600	Viasat, Inc. *		739,268
	55,400	Western Digital Corp.		3,434,800
		Total Technology Hardware & Equipment		94,589,024
		Telecommunication Services — 0.6%
	217,000	AT&T, Inc.		7,341,110
	30,400	NII Holdings, Inc. *		181,792
	9,800	Telephone & Data Systems, Inc.		271,362
	1,900	United States Cellular Corp.		81,282
		Total Telecommunication Services		7,875,546

Shares		Description	Value ($)
		Transportation — 0.2%
	34,000	CH Robinson Worldwide, Inc.		1,933,580
	50,400	Delta Air Lines, Inc.		994,392
		Total Transportation		2,927,972
		Utilities — 0.5%
	25,000	Entergy Corp.		1,580,750
	96,000	Exelon Corp.		2,927,040
	89,600	Public Service Enterprise Group, Inc.		2,904,832
		Total Utilities		7,412,622
		TOTAL COMMON STOCKS (COST $1,168,420,931)		1,344,750,192
		MUTUAL FUNDS — 2.4%
		Affiliated Issuers — 2.4%
	1,308,603	GMO U.S. Treasury Fund		32,715,073
		TOTAL MUTUAL FUNDS (COST $32,720,000)		32,715,073
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	3,826,030	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		3,826,030
		TOTAL SHORT-TERM INVESTMENTS (COST $3,826,030)		3,826,030
		TOTAL INVESTMENTS — 99.8% (Cost $1,204,966,961)		1,381,291,295
		Other Assets and Liabilities (net) — 0.2%		3,117,770
		TOTAL NET ASSETS — 100.0%		$1,384,409,065

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 30.

10 See accompanying notes to the financial statements.

GMO U.S. Flexible Equities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		96.8	%
Short-Term Investments		1.9
Mutual Funds		1.1
Other		0.2
		100.0	%
Country Summary*	% of Investments
United States		94.9	%
United Kingdom		2.5
Switzerland		1.7
France		0.8
Australia		0.1
		100.0	%

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

Industry Group Summary	% of Equity Investments**
Software & Services		21.3	%
Pharmaceuticals, Biotechnology & Life Sciences		18.9
Food, Beverage & Tobacco		14.6
Health Care Equipment & Services		10.7
Technology Hardware & Equipment		7.9
Household & Personal Products		7.3
Energy		6.9
Food & Staples Retailing		5.6
Consumer Services		2.4
Retailing		1.9
Capital Goods		1.7
Consumer Durables & Apparel		0.8
		100.0	%

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. The table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

11

GMO U.S. Flexible Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.8%
		Capital Goods — 1.6%
	992,300	3M Co.		112,705,434
	36,000	Danaher Corp.		2,358,720
		Total Capital Goods		115,064,154
		Consumer Durables & Apparel — 0.8%
	827,400	Nike, Inc. - Class B		51,977,268
		Consumer Services — 2.3%
	1,636,600	McDonald’s Corp.		154,429,576
	111,100	Yum! Brands, Inc.		7,779,222
		Total Consumer Services		162,208,798
		Energy — 6.7%
	4,216,538	BP Plc		29,156,591
	2,545,100	Chevron Corp.		306,506,393
	920,000	Exxon Mobil Corp.		80,187,200
	746,824	Royal Dutch Shell Plc - A Shares		24,153,763
	578,471	Total SA		32,033,356
		Total Energy		472,037,303
		Food & Staples Retailing — 5.4%
	298,400	Costco Wholesale Corp.		33,382,008
	511,400	CVS Caremark Corp.		29,686,770
	1,017,400	Sysco Corp.		32,577,148
	3,354,000	Wal-Mart Stores, Inc.		244,774,920
	690,400	Walgreen Co.		33,187,528
	256,294	Woolworths Ltd.		8,118,440
		Total Food & Staples Retailing		381,726,814
		Food, Beverage & Tobacco — 14.1%
	9,038,200	Coca-Cola Co. (The)		345,078,476
	532,700	General Mills, Inc.		26,272,764
	1,357,200	Lorillard, Inc.		57,409,560
	425,683	Nestle SA (Registered)		27,858,482
	3,050,400	PepsiCo, Inc.		243,208,392
	3,522,900	Philip Morris International, Inc.		293,950,776
		Total Food, Beverage & Tobacco		993,778,450
		Health Care Equipment & Services — 10.4%
	3,510,600	Abbott Laboratories		117,008,298
	89,700	AmerisourceBergen Corp.		5,105,724
	447,200	Baxter International, Inc.		31,107,232
	274,700	Becton, Dickinson and Co.		26,750,286
	102,600	Cardinal Health, Inc.		5,158,728
	3,415,100	Express Scripts Holding Co. *		218,156,588
	348,300	Laboratory Corp. of America Holdings *		33,339,276
	57,400	McKesson Corp.		6,968,934
	2,073,700	Medtronic, Inc.		107,313,975
	379,300	Quest Diagnostics, Inc.		22,234,566

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	361,500	Stryker Corp.		24,180,735
	1,127,700	UnitedHealth Group, Inc.		80,901,198
	677,400	Zimmer Holdings, Inc.		53,575,566
		Total Health Care Equipment & Services		731,801,106
		Household & Personal Products — 7.1%
	218,600	Church & Dwight Co., Inc.		12,973,910
	2,485,400	Colgate-Palmolive Co.		143,581,558
	316,100	Kimberly-Clark Corp.		29,549,028
	3,993,000	Procter & Gamble Co. (The)		311,014,770
		Total Household & Personal Products		497,119,266
		Pharmaceuticals, Biotechnology & Life Sciences — 18.3%
	168,600	Allergan, Inc.		14,900,868
	474,900	Amgen, Inc.		51,735,606
	537,651	AstraZeneca Plc		26,472,544
	1,561,900	Bristol-Myers Squibb Co.		65,115,611
	1,319,900	Eli Lilly & Co.		67,842,860
	487,400	Gilead Sciences, Inc. *		29,375,598
	3,511,954	GlaxoSmithKline Plc		89,567,323
	4,203,300	Johnson & Johnson		363,207,153
	2,830,500	Merck & Co., Inc.		133,854,345
	375,997	Novartis AG (Registered)		27,391,253
	11,849,600	Pfizer, Inc.		334,277,216
	225,846	Roche Holding AG		56,295,525
	246,452	Sanofi		23,619,077
		Total Pharmaceuticals, Biotechnology & Life Sciences		1,283,654,979
		Retailing — 1.9%
	159,400	Bed Bath & Beyond, Inc. *		11,754,156
	1,645,400	Target Corp.		104,170,274
	306,900	TJX Cos., Inc. (The)		16,179,768
		Total Retailing		132,104,198
		Software & Services — 20.6%
	430,300	Google, Inc. - Class A *		364,421,070
	1,490,200	International Business Machines Corp.		271,618,754
	228,900	Intuit, Inc.		14,542,017
	91,992	Mastercard, Inc. - Class A		55,754,511
	11,080,700	Microsoft Corp.		370,095,380
	10,443,600	Oracle Corp.		332,733,096
	227,400	Visa, Inc. - Class A		39,663,108
		Total Software & Services		1,448,827,936
		Technology Hardware & Equipment — 7.6%
	207,400	Apple, Inc.		101,014,170
	9,155,800	Cisco Systems, Inc.		213,421,698
	1,181,200	EMC Corp.		30,451,336
	5,437,300	Hewlett-Packard Co.		121,469,282

12 See accompanying notes to the financial statements.

GMO U.S. Flexible Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Technology Hardware & Equipment — continued
	1,037,500	Qualcomm, Inc.		68,765,500
		Total Technology Hardware & Equipment		535,121,986
		TOTAL COMMON STOCKS (COST $6,193,568,695)		6,805,422,258
		MUTUAL FUNDS — 1.1%
		Affiliated Issuers — 1.1%
	3,114,365	GMO U.S. Treasury Fund		77,859,118
		TOTAL MUTUAL FUNDS (COST $77,875,397)		77,859,118
		SHORT-TERM INVESTMENTS — 1.9%
		Money Market Funds — 1.9%
	132,937,409	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		132,937,409
		TOTAL SHORT-TERM INVESTMENTS (COST $132,937,409)		132,937,409
		TOTAL INVESTMENTS — 99.8% (Cost $6,404,381,501)		7,016,218,785
		Other Assets and Liabilities (net) — 0.2%		15,082,548
		TOTAL NET ASSETS — 100.0%		$7,031,301,333

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 30.

See accompanying notes to the financial statements. 13

GMO U.S. Growth Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		98.8	%
Mutual Funds		2.5
Short-Term Investments		0.6
Other		(1.9	)
		100.0	%
Industry Group Summary	% of Equity Investments*
Software & Services		22.7	%
Food, Beverage & Tobacco		17.9
Technology Hardware & Equipment		9.3
Retailing		8.6
Pharmaceuticals, Biotechnology & Life Sciences		8.4
Food & Staples Retailing		5.9
Household & Personal Products		5.3
Capital Goods		4.6
Consumer Services		3.3
Media		3.2
Consumer Durables & Apparel		2.8
Telecommunication Services		2.0
Materials		1.8
Health Care Equipment & Services		1.7
Transportation		0.6
Energy		0.6
Semiconductors & Semiconductor Equipment		0.5
Diversified Financials		0.3
Real Estate		0.3
Commercial & Professional Services		0.2
		100.0	%

* Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. The table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

14

GMO U.S. Growth Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.8%
		Capital Goods — 4.5%
	300	3M Co.		34,074
	51	BE Aerospace, Inc. *		3,478
	123	Boeing Co.		12,782
	344	Colfax Corp. *		17,919
	40	Danaher Corp.		2,621
	57	TransDigm Group, Inc.		7,809
	292	United Technologies Corp.		29,229
	42	WABCO Holdings, Inc. *		3,275
		Total Capital Goods		111,187
		Commercial & Professional Services — 0.2%
	53	IHS, Inc. - Class A *		5,679
		Consumer Durables & Apparel — 2.8%
	140	Carter’s, Inc.		10,310
	265	Michael Kors Holdings Ltd. *		19,634
	317	Nike, Inc. - Class B		19,914
	3	NVR, Inc. *		2,567
	93	Ralph Lauren Corp.		15,383
		Total Consumer Durables & Apparel		67,808
		Consumer Services — 3.3%
	200	Burger King Worldwide, Inc.		3,912
	365	H&R Block, Inc.		10,187
	505	McDonald’s Corp.		47,652
	170	Starbucks Corp.		11,989
	123	Wyndham Worldwide Corp.		7,301
		Total Consumer Services		81,041
		Diversified Financials — 0.3%
	18	IntercontinentalExchange, Inc. *		3,236
	44	McGraw-Hill Cos., Inc. (The)		2,568
	33	Moody’s Corp.		2,097
		Total Diversified Financials		7,901
		Energy — 0.6%
	151	Kinder Morgan Inc.		5,727
	42	Oceaneering International, Inc.		3,258
	73	Range Resources Corp.		5,474
		Total Energy		14,459
		Food & Staples Retailing — 5.9%
	187	Costco Wholesale Corp.		20,920
	239	CVS Caremark Corp.		13,874
	198	Kroger Co. (The)		7,247
	505	Sysco Corp.		16,170
	333	Walgreen Co.		16,007
	767	Wal–Mart Stores, Inc.		55,975

Shares		Description	Value ($)
		Food & Staples Retailing — continued
	265	Whole Foods Market, Inc.		13,979
		Total Food & Staples Retailing		144,172
		Food, Beverage & Tobacco — 17.7%
	765	Altria Group, Inc.		25,918
	181	Brown-Forman Corp. - Class B		12,125
	263	Campbell Soup Co.		11,356
	1,770	Coca-Cola Co. (The)		67,579
	147	ConAgra Foods, Inc.		4,971
	235	Dr Pepper Snapple Group, Inc.		10,519
	253	Flowers Foods, Inc.		5,260
	446	General Mills, Inc.		21,997
	40	Green Mountain Coffee Roasters, Inc. *		3,452
	219	Hershey Co. (The)		20,137
	281	Hormel Foods Corp.		11,642
	90	J.M. Smucker Co. (The)		9,553
	246	Kellogg Co.		14,935
	80	Kraft Foods Group, Inc.		4,142
	504	Lorillard, Inc.		21,319
	247	McCormick & Co., Inc. (Non Voting)		16,709
	343	Mead Johnson Nutrition Co.		25,735
	298	Monster Beverage Corp. *		17,102
	659	PepsiCo, Inc.		52,542
	756	Philip Morris International, Inc.		63,081
	335	Reynolds American, Inc.		15,956
		Total Food, Beverage & Tobacco		436,030
		Health Care Equipment & Services — 1.6%
	44	Baxter International, Inc.		3,061
	28	DaVita, Inc. *		3,010
	236	Express Scripts Holding Co. *		15,076
	42	Intuitive Surgical, Inc. *		16,234
	68	Tenet Healthcare Corp. *		2,655
		Total Health Care Equipment & Services		40,036
		Household & Personal Products — 5.2%
	272	Church & Dwight Co., Inc.		16,143
	206	Clorox Co.		17,036
	523	Colgate-Palmolive Co.		30,214
	332	Estee Lauder Cos., Inc. (The) - Class A		21,699
	170	Herbalife Ltd.		10,372
	213	Kimberly–Clark Corp.		19,911
	153	Nu Skin Enterprises, Inc. - Class A		12,808
		Total Household & Personal Products		128,183
		Materials — 1.8%
	38	Eastman Chemical Co.		2,888
	158	LyondellBasell Industries NV - Class A		11,084
	195	Monsanto Co.		19,089

See accompanying notes to the financial statements. 15

GMO U.S. Growth Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Materials — continued
	130	W.R. Grace & Co. *		10,445
		Total Materials		43,506
		Media — 3.1%
	128	CBS Corp. - Class B (Non Voting)		6,541
	77	Charter Communications, Inc. - Class A *		9,349
	338	Comcast Corp. - Class A		13,770
	276	Liberty Global Plc - Series C *		20,294
	667	Twenty-First Century Fox, Inc.		20,897
	107	Walt Disney Co. (The)		6,509
		Total Media		77,360
		Pharmaceuticals, Biotechnology & Life Sciences — 8.3%
	286	AbbVie, Inc.		12,186
	85	Alexion Pharmaceuticals, Inc. *		9,160
	279	Amgen, Inc.		30,394
	58	Biogen Idec, Inc. *		12,355
	56	BioMarin Pharmaceutical, Inc. *		3,666
	583	Bristol–Myers Squibb Co.		24,305
	74	Celgene Corp. *		10,359
	389	Eli Lilly & Co.		19,995
	600	Gilead Sciences, Inc. *		36,162
	534	Johnson & Johnson		46,143
		Total Pharmaceuticals, Biotechnology & Life Sciences		204,725
		Real Estate — 0.3%
	166	Realogy Holdings Corp. *		7,027
		Retailing — 8.5%
	49	Amazon.com, Inc. *		13,768
	436	Dollar General Corp. *		23,531
	344	Dollar Tree, Inc. *		18,129
	87	Expedia, Inc.		4,068
	53	Family Dollar Stores, Inc.		3,773
	290	Gap Inc. (The)		11,728
	1,591	Groupon, Inc. *		16,165
	435	Home Depot, Inc.		32,403
	93	Lowe’s Cos., Inc.		4,261
	138	Macy’s, Inc.		6,131
	42	Netflix, Inc. *		11,924
	25	O’Reilly Automotive, Inc. *		3,068
	47	Priceline.com, Inc. *		44,111
	240	Sally Beauty Holdings, Inc. *		6,271
	52	TripAdvisor, Inc. *		3,846
	49	Ulta Salon Cosmetics & Fragrance, Inc. *		4,863
		Total Retailing		208,040

Shares		Description	Value ($)
		Semiconductors & Semiconductor Equipment — 0.5%
	391	Intel Corp.		8,594
	162	Skyworks Solutions, Inc. *		4,109
		Total Semiconductors & Semiconductor Equipment		12,703
		Software & Services — 22.4%
	246	Accenture Plc - Class A		17,773
	82	Citrix Systems, Inc. *		5,803
	105	Cognizant Technology Solutions Corp. - Class A *		7,696
	655	eBay, Inc. *		32,743
	73	Equinix, Inc. *		12,683
	135	FleetCor Technologies, Inc. *		13,920
	130	Google, Inc. - Class A *		110,097
	406	International Business Machines Corp.		74,002
	71	Mastercard, Inc. - Class A		43,032
	3,124	Microsoft Corp.		104,341
	1,831	Oracle Corp.		58,336
	216	Verisign, Inc. *		10,366
	304	Visa, Inc. - Class A		53,024
	39	VMware, Inc. *		3,282
	73	Workday, Inc. - Class A *		5,295
		Total Software & Services		552,393
		Technology Hardware & Equipment — 9.2%
	87	3D Systems Corp. *		4,472
	236	Apple, Inc.		114,944
	671	EMC Corp.		17,298
	55	F5 Networks, Inc. *		4,586
	112	Motorola Solutions, Inc.		6,273
	219	NetApp, Inc.		9,097
	1,067	Qualcomm, Inc.		70,721
		Total Technology Hardware & Equipment		227,391
		Telecommunication Services — 2.0%
	183	Crown Castle International Corp. *		12,704
	752	Verizon Communications, Inc.		35,630
		Total Telecommunication Services		48,334
		Transportation — 0.6%
	36	JB Hunt Transport Services, Inc.		2,592
	23	Union Pacific Corp.		3,531
	108	United Parcel Service, Inc. - Class B		9,243
		Total Transportation		15,366
		TOTAL COMMON STOCKS (COST $2,087,084)		2,433,341

16 See accompanying notes to the financial statements.

GMO U.S. Growth Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 2.5%
		Affiliated Issuers — 2.5%
	2,479	GMO U.S. Treasury Fund		61,971
		TOTAL MUTUAL FUNDS (COST $61,989)		61,971
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.6%
	13,649	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		13,649
		TOTAL SHORT-TERM INVESTMENTS (COST $13,649)		13,649
		TOTAL INVESTMENTS — 101.9% (Cost $2,162,722)		2,508,961
		Other Assets and Liabilities (net) — (1.9%)		(46,843	)
		TOTAL NET ASSETS — 100.0%		$2,462,118

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 30.

See accompanying notes to the financial statements. 17

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		98.7	%
Mutual Funds		1.1
Short-Term Investments		0.2
Rights/Warrants		0.0	^
		100.0	%
Industry Group Summary	% of Equity Investments*
Pharmaceuticals, Biotechnology & Life Sciences		18.5	%
Software & Services		14.5
Health Care Equipment & Services		10.1
Diversified Financials		9.4
Food, Beverage & Tobacco		6.6
Technology Hardware & Equipment		6.1
Energy		5.8
Food & Staples Retailing		5.8
Insurance		4.5
Household & Personal Products		3.7
Capital Goods		3.3
Media		2.4
Automobiles & Components		1.7
Banks		1.6
Retailing		1.3
Telecommunication Services		1.0
Consumer Durables & Apparel		0.9
Semiconductors & Semiconductor Equipment		0.8
Consumer Services		0.8
Materials		0.6
Transportation		0.3
Commercial & Professional Services		0.2
Real Estate		0.1
		100.0	%

^ Rounds to 0.0%.

* Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. The table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

18

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.7%
		Automobiles & Components — 1.7%
	445	Delphi Automotive Plc		24,484
	2,800	Ford Motor Co.		45,332
	3,012	General Motors Co. *		102,649
	150	Lear Corp.		10,312
	200	TRW Automotive Holdings Corp. *		13,814
		Total Automobiles & Components		196,591
		Banks — 1.6%
	1,200	KeyCorp.		14,004
	372	PNC Financial Services Group, Inc.		26,884
	3,448	Wells Fargo & Co.		141,644
		Total Banks		182,532
		Capital Goods — 3.2%
	854	3M Co.		96,997
	190	Aecom Technology Corp. *		5,535
	354	Danaher Corp.		23,194
	486	Eaton Corp. Plc		30,774
	741	General Dynamics Corp.		61,688
	185	L-3 Communications Holdings, Inc.		16,711
	380	Lockheed Martin Corp.		46,520
	449	Northrop Grumman Corp.		41,429
	530	Raytheon Co.		39,967
	196	Rockwell Collins, Inc.		13,871
		Total Capital Goods		376,686
		Commercial & Professional Services — 0.2%
	144	Manpowergroup, Inc.		9,338
	500	Pitney Bowes, Inc.		8,160
		Total Commercial & Professional Services		17,498
		Consumer Durables & Apparel — 0.9%
	300	Hasbro, Inc.		13,674
	258	Jarden Corp. *		11,081
	866	Nike, Inc. - Class B		54,402
	120	Tupperware Brands Corp.		9,692
	133	Whirlpool Corp.		17,111
		Total Consumer Durables & Apparel		105,960
		Consumer Services — 0.8%
	400	H&R Block, Inc.		11,164
	874	McDonald’s Corp.		82,471
		Total Consumer Services		93,635
		Diversified Financials — 9.3%
	402	Ameriprise Financial, Inc.		34,632
	20,072	Bank of America Corp.		283,417
	1,689	Bank of New York Mellon Corp. (The)		50,231

Shares		Description	Value ($)
		Diversified Financials — continued
	2,284	Citigroup, Inc.		110,386
	616	Goldman Sachs Group, Inc. (The)		93,712
	8,440	JPMorgan Chase & Co.		426,473
	1,212	Morgan Stanley		31,221
	300	NASDAQ OMX Group, Inc. (The)		8,958
	613	SLM Corp.		14,706
	600	State Street Corp.		40,032
		Total Diversified Financials		1,093,768
		Energy — 5.8%
	1,430	Chevron Corp.		172,215
	1,025	ConocoPhillips		67,958
	2,019	Exxon Mobil Corp.		175,976
	464	Hess Corp.		34,730
	507	HollyFrontier Corp.		22,551
	708	Marathon Petroleum Corp.		51,337
	278	Murphy Oil Corp.		18,743
	1,259	Phillips 66		71,889
	300	Tesoro Corp.		13,827
	1,324	Valero Energy Corp.		47,042
		Total Energy		676,268
		Food & Staples Retailing — 5.7%
	1,795	CVS Caremark Corp.		104,200
	1,286	Kroger Co. (The)		47,068
	628	Safeway, Inc.		16,265
	662	Sysco Corp.		21,197
	2,267	Walgreen Co.		108,975
	5,130	Wal–Mart Stores, Inc.		374,387
		Total Food & Staples Retailing		672,092
		Food, Beverage & Tobacco — 6.5%
	885	Archer-Daniels-Midland Co.		31,161
	192	Brown-Forman Corp. - Class B		12,862
	194	Bunge Ltd.		14,701
	387	Campbell Soup Co.		16,711
	500	Coca-Cola Enterprises, Inc.		18,700
	4,024	Coca-Cola Co. (The)		153,636
	597	ConAgra Foods, Inc.		20,191
	632	General Mills, Inc.		31,170
	185	Hershey Co. (The)		17,011
	364	Hormel Foods Corp.		15,081
	400	Kellogg Co.		24,284
	514	Lorillard, Inc.		21,742
	2,580	PepsiCo, Inc.		205,703
	1,555	Philip Morris International, Inc.		129,749
	672	Reynolds American, Inc.		32,007
	748	Tyson Foods, Inc. - Class A		21,655
		Total Food, Beverage & Tobacco		766,364

See accompanying notes to the financial statements. 19

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Health Care Equipment & Services — 10.0%
	2,141	Abbott Laboratories		71,360
	926	Aetna, Inc.		58,699
	600	AmerisourceBergen Corp.		34,152
	1,319	Baxter International, Inc.		91,750
	554	Becton, Dickinson and Co.		53,949
	3,425	Boston Scientific Corp. *		36,236
	616	Cardinal Health, Inc.		30,972
	256	CareFusion Corp. *		9,178
	422	Cigna Corp.		33,207
	200	Community Health Systems, Inc.		7,852
	798	Covidien Plc		47,401
	100	CR Bard, Inc.		11,487
	663	Express Scripts Holding Co. *		42,352
	553	HCA Holdings, Inc.		21,119
	339	Humana, Inc.		31,215
	129	Laboratory Corp. of America Holdings *		12,348
	411	McKesson Corp.		49,900
	2,866	Medtronic, Inc.		148,315
	197	Omnicare, Inc.		10,711
	265	Quest Diagnostics, Inc.		15,534
	848	Stryker Corp.		56,723
	800	St Jude Medical, Inc.		40,328
	2,023	UnitedHealth Group, Inc.		145,130
	762	WellPoint, Inc.		64,877
	553	Zimmer Holdings, Inc.		43,737
		Total Health Care Equipment & Services		1,168,532
		Household & Personal Products — 3.6%
	500	Avon Products, Inc.		9,885
	190	Clorox Co.		15,713
	835	Colgate-Palmolive Co.		48,238
	129	Energizer Holdings, Inc.		12,749
	317	Estee Lauder Cos., Inc. (The) - Class A		20,719
	514	Kimberly-Clark Corp.		48,049
	3,490	Procter & Gamble Co. (The)		271,836
		Total Household & Personal Products		427,189
		Insurance — 4.4%
	741	AFLAC, Inc.		42,822
	862	Allstate Corp. (The)		41,307
	132	American Financial Group, Inc.		6,802
	1,606	American International Group, Inc. *		74,615
	188	Assurant, Inc.		9,972
	195	Axis Capital Holdings Ltd.		8,383
	810	Genworth Financial, Inc. - Class A *		9,558
	1,100	Hartford Financial Services Group, Inc. (The)		32,560
	659	Lincoln National Corp.		27,704
	1,711	MetLife, Inc.		79,031
	400	Principal Financial Group, Inc.		16,368
	792	Prudential Financial, Inc.		59,305

Shares		Description	Value ($)
		Insurance — continued
	156	Torchmark Corp.		10,747
	937	Travelers Cos., Inc. (The)		74,866
	656	Unum Group		19,372
		Total Insurance		513,412
		Materials — 0.6%
	200	Avery Dennison Corp.		8,552
	500	Huntsman Corp.		8,750
	418	LyondellBasell Industries NV - Class A		29,323
	279	Owens-Illinois, Inc. *		7,921
	102	Reliance Steel & Aluminum Co.		6,802
	427	Sealed Air Corp.		12,127
		Total Materials		73,475
		Media — 2.4%
	400	DIRECTV *		23,272
	600	Gannett Co., Inc.		14,454
	556	Thomson Reuters Corp.		18,281
	2,120	Time Warner, Inc.		128,324
	1,101	Viacom, Inc. - Class B		87,595
	16	Washington Post Co. (The) - Class B		9,024
		Total Media		280,950
		Pharmaceuticals, Biotechnology & Life Sciences — 18.3%
	252	Allergan, Inc.		22,272
	1,924	Amgen, Inc.		209,600
	1,861	Bristol–Myers Squibb Co.		77,585
	3,827	Eli Lilly & Co.		196,708
	332	Forest Laboratories, Inc. *		14,120
	1,931	Gilead Sciences, Inc. *		116,381
	6,277	Johnson & Johnson		542,396
	300	Life Technologies Corp. *		22,323
	6,611	Merck & Co., Inc.		312,634
	700	Mylan, Inc. *		24,738
	18,990	Pfizer, Inc.		535,708
	783	Thermo Fisher Scientific, Inc.		69,554
		Total Pharmaceuticals, Biotechnology & Life Sciences		2,144,019
		Real Estate — 0.0%
	1,900	Chimera Investment Corp. REIT		5,586
		Retailing — 1.3%
	556	Best Buy Co., Inc.		20,016
	300	GameStop Corp. - Class A		15,063
	153	Genuine Parts Co.		11,783
	302	Kohl’s Corp.		15,496
	737	Lowe’s Cos., Inc.		33,769
	193	Sears Holdings Corp. *		8,538
	1,188	Staples, Inc.		16,525

20 See accompanying notes to the financial statements.

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Retailing — continued
	602	TJX Cos., Inc. (The)		31,737
		Total Retailing		152,927
		Semiconductors & Semiconductor Equipment — 0.8%
	1,300	Applied Materials, Inc.		19,513
	200	First Solar, Inc. *		7,344
	3,171	Intel Corp.		69,699
		Total Semiconductors & Semiconductor Equipment		96,556
		Software & Services — 14.3%
	1,270	Accenture Plc - Class A		91,757
	1,000	Activision Blizzard, Inc.		16,320
	463	Amdocs Ltd.		17,066
	336	Automatic Data Processing, Inc.		23,910
	290	BMC Software, Inc. *		13,340
	536	CA, Inc.		15,678
	300	Computer Sciences Corp.		15,045
	402	Fidelity National Information Services, Inc.		17,873
	281	Google, Inc. - Class A *		237,979
	1,698	International Business Machines Corp.		309,494
	254	Intuit, Inc.		16,137
	15,581	Microsoft Corp.		520,405
	8,895	Oracle Corp.		283,395
	551	SAIC, Inc.		8,304
	1,800	Symantec Corp.		46,098
	1,055	Western Union Co.		18,494
	1,164	Yahoo!, Inc. *		31,568
		Total Software & Services		1,682,863
		Technology Hardware & Equipment — 6.0%
	198	Apple, Inc.		96,436
	117	Arrow Electronics, Inc. *		5,431
	210	Avnet, Inc. *		8,098
	9,913	Cisco Systems, Inc.		231,072
	2,173	Corning, Inc.		30,509
	1,900	Dell, Inc.		26,163
	269	Harris Corp.		15,233
	4,336	Hewlett-Packard Co.		96,866
	348	Ingram Micro, Inc. - Class A *		7,691
	1,400	Qualcomm, Inc.		92,792
	466	Seagate Technology Plc		17,857
	424	TE Connectivity Ltd.		20,776
	466	Western Digital Corp.		28,892
	2,700	Xerox Corp.		26,946
		Total Technology Hardware & Equipment		704,762
		Telecommunication Services — 1.0%
	2,529	AT&T, Inc.		85,556
	600	Centurylink, Inc.		19,872
	2,000	Frontier Communications Corp.		8,660

Shares		Description	Value ($)
		Telecommunication Services — continued
	1,057	Sprint Corp. *		7,092
		Total Telecommunication Services		121,180
		Transportation — 0.3%
	1,419	Delta Air Lines, Inc.		27,997
	400	United Continental Holdings, Inc. *		11,384
		Total Transportation		39,381
		TOTAL COMMON STOCKS (COST $9,577,641)		11,592,226
		MUTUAL FUNDS — 1.1%
		Affiliated Issuers — 1.1%
	5,079	GMO U.S. Treasury Fund		126,987
		TOTAL MUTUAL FUNDS (COST $127,015)		126,987
		RIGHTS/WARRANTS — 0.0%
		Insurance — 0.0%
	160	American International Group, Inc., Warrants, Strike 45.00 *		2,992
		TOTAL RIGHTS/WARRANTS (COST $2,717)		2,992
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	23,843	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		23,843
		TOTAL SHORT-TERM INVESTMENTS (COST $23,843)		23,843
		TOTAL INVESTMENTS — 100.0% (Cost $9,731,216)		11,746,048
		Other Assets and Liabilities (net) — (0.0%)		(5,505	)
		TOTAL NET ASSETS — 100.0%		$11,740,543

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 30.

See accompanying notes to the financial statements. 21

GMO U.S. Small/Mid Cap Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		98.7	%
Mutual Funds		1.6
Short-Term Investments		0.3
Other		(0.6	)
		100.0	%
Industry Group Summary	% of Equity Investments*
Insurance		12.3	%
Capital Goods		8.2
Software & Services		7.6
Technology Hardware & Equipment		6.5
Retailing		6.3
Banks		6.2
Materials		6.0
Health Care Equipment & Services		5.7
Commercial & Professional Services		4.7
Media		3.7
Consumer Services		3.5
Consumer Durables & Apparel		3.4
Energy		3.2
Diversified Financials		3.1
Pharmaceuticals, Biotechnology & Life Sciences		2.8
Real Estate		2.6
Automobiles & Components		2.5
Food, Beverage & Tobacco		2.4
Household & Personal Products		2.1
Food & Staples Retailing		1.8
Transportation		1.7
Semiconductors & Semiconductor Equipment		1.7
Telecommunication Services		1.2
Utilities		0.8
		100.0	%

* Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

22

GMO U.S. Small/Mid Cap Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.7%
		Automobiles & Components — 2.5%
	402	American Axle & Manufacturing Holdings, Inc. *		7,730
	374	Cooper Tire & Rubber Co.		11,942
	900	Dana Holding Corp.		18,864
	880	Federal-Mogul Corp. *		13,429
	624	Goodyear Tire & Rubber Co. (The) *		12,555
	782	Lear Corp.		53,762
	236	Standard Motor Products, Inc.		7,236
	307	Tenneco, Inc. *		14,162
	608	Thor Industries, Inc.		31,148
	797	TRW Automotive Holdings Corp. *		55,049
		Total Automobiles & Components		225,877
		Banks — 6.1%
	800	Associated Banc Corp.		12,760
	805	Astoria Financial Corp.		9,901
	399	Banco Latinoamericano de Comercio Exterior SA		9,608
	548	Bancorpsouth, Inc.		10,620
	236	Bank of Hawaii Corp.		12,154
	253	BankUnited, Inc.		7,476
	119	BofI Holding, Inc. *		7,708
	181	BOK Financial Corp.		11,600
	201	Cathay General Bancorp		4,426
	227	Commerce Bancshares, Inc.		9,804
	260	Community Bank System, Inc.		8,642
	689	CVB Financial Corp.		8,778
	77	First Citizens BancShares, Inc. - Class A		15,572
	633	First Horizon National Corp.		7,001
	428	First Interstate Bancsystem, Inc.		9,728
	2,946	First Niagara Financial Group, Inc.		29,755
	668	FirstMerit Corp.		14,135
	508	Flagstar Bancorp, Inc. *		7,366
	699	FNB Corp.		8,437
	1,131	Fulton Financial Corp.		13,674
	233	Glacier Bancorp, Inc.		5,499
	217	Hancock Holding Co.		6,977
	3,493	Hudson City Bancorp, Inc.		32,101
	3,122	Huntington Bancshares, Inc.		25,725
	623	International Bancshares Corp.		13,656
	594	National Penn Bancshares, Inc.		5,964
	156	NBT Bancorp, Inc.		3,342
	992	New York Community Bancorp, Inc.		14,533
	405	Northwest Bancshares, Inc.		5,403
	399	OFG Bancorp		6,855
	722	Old National Bancorp		9,487
	148	PacWest Bancorp		4,921
	44	Park National Corp.		3,348
	745	People’s United Financial, Inc.		10,594
	819	Popular, Inc. *		25,438
	204	Prosperity Bancshares, Inc.		12,199

Shares		Description	Value ($)
		Banks — continued
	510	Provident Financial Services, Inc.		8,252
	300	Republic Bancorp, Inc. - Class A		7,923
	85	Sterling Financial Corp.		2,057
	854	Susquehanna Bancshares, Inc.		10,769
	866	TCF Financial Corp.		12,167
	484	Trustmark Corp.		12,032
	225	UMB Financial Corp.		13,439
	404	Umpqua Holdings Corp.		6,561
	176	Union First Market Bankshares Corp.		3,765
	251	United Bankshares, Inc.		6,970
	1,011	Valley National Bancorp		10,201
	631	Washington Federal, Inc.		13,182
	409	Webster Financial Corp.		10,822
	300	WesBanco, Inc.		8,607
	120	Westamerica Bancorporation		5,648
	768	Zions Bancorporation		21,481
		Total Banks		559,063
		Capital Goods — 8.1%
	498	AAR Corp.		12,495
	317	Actuant Corp. - Class A		11,323
	1,120	Aecom Technology Corp. *		32,626
	463	AGCO Corp.		26,187
	762	Aircastle Ltd.		12,421
	179	Albany International Corp. - Class A		5,776
	406	Alliant Techsystems, Inc.		39,285
	232	Applied Industrial Technologies, Inc.		11,048
	247	Barnes Group, Inc.		7,724
	457	Brady Corp. - Class A		15,081
	558	Briggs & Stratton Corp.		10,652
	302	Chicago Bridge & Iron Co NV (NY Shares)		18,069
	83	CIRCOR International, Inc.		4,772
	79	Comfort Systems USA, Inc.		1,193
	560	Crane Co.		32,150
	309	Curtiss-Wright Corp.		12,904
	598	EMCOR Group, Inc.		22,479
	343	EnerSys		17,589
	77	Engility Holdings, Inc. *		2,592
	124	EnPro Industries, Inc. *		7,065
	168	Esterline Technologies Corp. *		12,817
	2,261	Exelis, Inc.		33,259
	142	GATX Corp.		6,427
	523	General Cable Corp.		15,967
	188	Griffon Corp.		2,074
	413	Harsco Corp.		9,718
	423	Huntington Ingalls Industries, Inc.		26,784
	21	Hyster-Yale Materials Handling, Inc.		1,588
	273	Idex Corp.		16,208
	879	ITT Corp.		28,875
	208	John Bean Technologies Corp.		4,557

See accompanying notes to the financial statements. 23

GMO U.S. Small/Mid Cap Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Capital Goods — continued
	315	Joy Global, Inc.		15,473
	185	Kennametal, Inc.		7,866
	884	Manitowoc Co, Inc. (The)		17,662
	597	MasTec, Inc. *		18,985
	1,043	Meritor, Inc. *		7,770
	326	Moog, Inc. - Class A *		16,561
	586	Navistar International Corp. *		20,082
	631	Orbital Sciences Corp. *		10,954
	834	Oshkosh Corp. *		37,463
	224	Rush Enterprises, Inc. - Class A *		5,607
	605	Terex Corp. *		17,545
	486	Timken Co. (The)		27,245
	297	Trinity Industries, Inc.		12,539
	610	Tutor Perini Corp. *		11,700
	512	URS Corp.		25,354
	280	Watts Water Technologies, Inc. - Class A		14,507
	163	WESCO International, Inc. *		12,024
		Total Capital Goods		741,042
		Commercial & Professional Services — 4.7%
	553	ABM Industries, Inc.		13,355
	395	Brink’s Co. (The)		10,203
	270	Cintas Corp.		12,895
	96	Consolidated Graphics, Inc. *		5,136
	695	Deluxe Corp.		27,348
	195	Dun & Bradstreet Corp.		19,399
	227	Equifax, Inc.		13,414
	514	FTI Consulting, Inc. *		17,188
	210	G&K Services, Inc. - Class A		10,802
	349	Herman Miller, Inc.		8,889
	281	HNI Corp.		9,408
	169	ICF International, Inc. *		5,558
	128	Insperity, Inc.		4,083
	510	Kelly Services, Inc. - Class A		9,282
	313	Knoll, Inc.		4,767
	229	Korn/Ferry International *		4,056
	926	Manpowergroup, Inc.		60,051
	242	Mine Safety Appliances Co.		11,648
	2,245	Pitney Bowes, Inc.		36,638
	659	Quad Graphics, Inc.		20,653
	1,427	RR Donnelley & Sons Co.		23,802
	1,737	Steelcase, Inc. - Class A		25,221
	427	Towers Watson & Co. - Class A		35,121
	138	TrueBlue, Inc. *		3,356
	85	UniFirst Corp.		8,150
	669	United Stationers, Inc.		26,586
		Total Commercial & Professional Services		427,009

Shares		Description	Value ($)
		Consumer Durables & Apparel — 3.4%
	177	Columbia Sportswear Co.		10,016
	242	Deckers Outdoor Corp. *		14,213
	310	G-III Apparel Group Ltd. *		14,201
	536	Hanesbrands, Inc.		31,881
	1,231	Hasbro, Inc.		56,109
	333	Helen of Troy Ltd. *		13,380
	638	Iconix Brand Group, Inc. *		20,939
	1,082	Jarden Corp. *		46,472
	1,025	Jones Group, Inc. (The)		15,098
	400	Leggett & Platt, Inc.		11,568
	157	NACCO Industries, Inc. - Class A		8,726
	1,213	Quiksilver, Inc. *		6,004
	278	Skechers U.S.A., Inc. *		8,543
	307	Tempur-Pedic International, Inc. *		11,823
	497	Tupperware Brands Corp.		40,143
	88	Universal Electronics, Inc. *		2,654
		Total Consumer Durables & Apparel		311,770
		Consumer Services — 3.4%
	968	Apollo Group, Inc. - Class A *		17,976
	172	Bally Technologies, Inc. *		12,406
	171	Bob Evans Farms, Inc.		8,384
	866	Boyd Gaming Corp. *		10,496
	707	Bridgepoint Education, Inc. *		11,679
	299	Brinker International, Inc.		11,957
	1,301	Caesars Entertainment Corp. *		27,932
	100	Capella Education Co. *		5,435
	127	CEC Entertainment, Inc.		5,140
	244	Cracker Barrel Old Country Store, Inc.		24,014
	766	DeVry, Inc.		22,988
	108	DineEquity, Inc.		7,157
	141	Domino’s Pizza, Inc.		8,663
	353	Education Management Corp. *		2,866
	730	Hillenbrand, Inc.		18,075
	1,583	International Game Technology		29,903
	123	International Speedway Corp. - Class A		3,812
	144	ITT Educational Services, Inc. *		4,149
	200	Jack in the Box, Inc. *		7,898
	200	Matthews International Corp. - Class A		7,380
	151	Outerwall, Inc. *		9,388
	124	Red Robin Gourmet Burgers, Inc. *		8,043
	483	Regis Corp.		7,622
	327	Scientific Games Corp. - Class A *		4,673
	483	Service Corp. International		8,733
	600	Speedway Motorsports, Inc.		10,608
	158	Weight Watchers International, Inc.		5,678
	1,601	Wendy’s Co. (The)		12,103
		Total Consumer Services		315,158

24 See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Diversified Financials — 3.0%
	2,377	American Capital Ltd. *		29,665
	1,318	Apollo Investment Corp.		10,399
	1,191	BGC Partners, Inc. - Class A		6,658
	332	Cash America International, Inc.		14,203
	114	Credit Acceptance Corp. *		12,261
	111	DFC Global Corp. *		1,254
	362	Eaton Vance Corp.		13,955
	198	Encore Capital Group, Inc. *		8,488
	248	EZCORP, Inc. - Class A *		4,211
	168	Green Dot Corp. - Class A *		3,857
	551	Interactive Brokers Group, Inc. - Class A		9,246
	330	Investment Technology Group, Inc. *		5,610
	985	Janus Capital Group, Inc.		8,235
	1,794	NASDAQ OMX Group, Inc. (The)		53,569
	607	Nelnet, Inc. - Class A		22,993
	586	PHH Corp. *		12,230
	205	Piper Jaffray Cos., Inc. *		6,665
	497	Solar Capital Ltd.		10,909
	210	Stifel Financial Corp. *		8,404
	470	Waddell and Reed Financial, Inc. - Class A		22,381
	127	World Acceptance Corp. *		10,880
		Total Diversified Financials		276,073
		Energy — 3.2%
	848	Alon USA Energy, Inc.		10,532
	1,443	Alpha Natural Resources, Inc. *		8,774
	373	Basic Energy Services, Inc. *		4,342
	255	Bristow Group, Inc.		16,754
	353	C&J Energy Services, Inc. *		7,247
	576	CVR Energy, Inc.		24,664
	734	Delek US Holdings, Inc.		18,247
	294	Exterran Holdings, Inc. *		8,064
	400	Green Plains Renewable Energy, Inc. *		6,436
	347	Helix Energy Solutions Group, Inc. *		8,685
	385	Helmerich & Payne, Inc.		24,270
	1,108	Nabors Industries Ltd.		17,063
	950	Newpark Resources, Inc. *		10,574
	895	Patterson-UTI Energy, Inc.		17,533
	360	Renewable Energy Group, Inc. *		5,562
	659	RPC, Inc.		9,411
	114	SEACOR Holdings, Inc.		9,471
	528	Ship Finance International Ltd.		8,163
	246	Stone Energy Corp. *		6,740
	414	Superior Energy Services, Inc. *		10,168
	313	W&T Offshore, Inc.		4,836
	1,025	Western Refining, Inc.		30,063
	559	World Fuel Services Corp.		21,326
		Total Energy		288,925

Shares		Description	Value ($)
		Food & Staples Retailing — 1.8%
	159	Andersons, Inc. (The)		10,440
	135	Harris Teeter Supermarkets, Inc.		6,635
	410	Ingles Markets, Inc. - Class A		10,246
	7,468	Rite Aid Corp. *		25,839
	2,723	Safeway, Inc.		70,526
	3,544	Supervalu, Inc. *		25,410
	200	Village Super Market, Inc.		6,998
	220	Weis Markets, Inc.		10,336
		Total Food & Staples Retailing		166,430
		Food, Beverage & Tobacco — 2.4%
	687	Chiquita Brands International, Inc. *		8,471
	733	Dean Foods Co. *		14,044
	818	Dole Food Co., Inc. *		11,223
	551	Flowers Foods, Inc.		11,455
	768	Fresh Del Monte Produce, Inc.		22,165
	516	Ingredion, Inc.		32,477
	910	Pilgrim’s Pride Corp. *		13,950
	331	Post Holdings, Inc. *		14,134
	11	Seaboard Corp.		29,480
	1,314	Smithfield Foods, Inc. *		44,058
	375	Universal Corp.		18,383
		Total Food, Beverage & Tobacco		219,840
		Health Care Equipment & Services — 5.6%
	955	Alere, Inc. *		29,767
	1,200	Allscripts Healthcare Solutions, Inc. *		17,448
	192	Chemed Corp.		13,371
	1,115	Community Health Systems, Inc.		43,775
	326	Conmed Corp.		10,135
	227	Greatbatch, Inc. *		7,711
	1,849	Health Management Associates, Inc. - Class A *		23,778
	610	Health Net, Inc. *		18,410
	647	Hill-Rom Holdings, Inc.		22,088
	246	Integra LifeSciences Holdings Corp. *		9,997
	310	Invacare Corp.		4,653
	710	Kindred Healthcare, Inc.		10,437
	600	LifePoint Hospitals, Inc. *		27,138
	294	Magellan Health Services, Inc. *		16,526
	338	MedAssets, Inc. *		7,578
	195	Molina Healthcare, Inc. *		6,511
	1,037	Omnicare, Inc.		56,382
	784	Owens & Minor, Inc.		26,742
	283	Patterson Cos., Inc.		11,286
	400	PharMerica Corp. *		4,920
	1,238	Select Medical Holdings Corp.		10,486
	585	STERIS Corp.		23,921
	187	Teleflex, Inc.		14,414
	452	Tenet Healthcare Corp. *		17,651
	400	Triple-S Management Corp. - Class B *		7,460

See accompanying notes to the financial statements. 25

GMO U.S. Small/Mid Cap Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	629	Universal Health Services, Inc. - Class B		42,615
	723	Vanguard Health Systems, Inc. *		15,147
	192	WellCare Health Plans, Inc. *		12,225
		Total Health Care Equipment & Services		512,572
		Household & Personal Products — 2.0%
	661	Energizer Holdings, Inc.		65,327
	1,128	Harbinger Group, Inc. *		10,366
	472	Herbalife Ltd.		28,797
	316	Inter Parfums, Inc.		8,396
	282	Nu Skin Enterprises, Inc. - Class A		23,606
	600	Revlon, Inc. - Class A *		13,428
	425	Spectrum Brands Holdings, Inc.		25,730
	162	USANA Health Sciences, Inc. *		12,304
		Total Household & Personal Products		187,954
		Insurance — 12.1%
	255	Allied World Assurance Co Holdings Ltd.		23,391
	842	American Equity Investment Life Holding Co.		16,680
	779	American Financial Group, Inc.		40,142
	360	American National Insurance Co.		37,789
	362	AmTrust Financial Services, Inc.		12,927
	517	Arch Capital Group Ltd. *		27,561
	279	Argo Group International Holdings Ltd.		11,394
	680	Aspen Insurance Holdings Ltd.		24,188
	898	Assurant, Inc.		47,630
	1,400	Assured Guaranty Ltd.		27,846
	1,132	Axis Capital Holdings Ltd.		48,665
	3,498	CNO Financial Group, Inc.		47,538
	467	Endurance Specialty Holdings Ltd.		23,406
	77	Enstar Group Ltd. *		10,377
	376	Everest Re Group Ltd.		51,493
	200	FBL Financial Group, Inc. - Class A		8,816
	457	Fidelity National Financial, Inc. - Class A		10,835
	933	First American Financial Corp.		19,500
	5,179	Genworth Financial, Inc. - Class A *		61,112
	587	Hanover Insurance Group, Inc. (The)		31,269
	953	HCC Insurance Holdings, Inc.		40,217
	636	Horace Mann Educators Corp.		16,765
	200	Kansas City Life Insurance Co.		8,732
	425	Kemper Corp.		14,429
	1,021	Maiden Holdings Ltd.		13,355
	943	MBIA, Inc. *		11,156
	177	Mercury General Corp.		7,767
	407	Montpelier Re Holdings Ltd.		10,114
	14	National Western Life Insurance Co. - Class A		2,772
	590	Old Republic International Corp.		8,378
	224	OneBeacon Insurance Group Ltd. - Class A		3,199
	501	PartnerRe Ltd.		43,662
	350	Platinum Underwriters Holdings Ltd.		20,223

Shares		Description	Value ($)
		Insurance — continued
	828	Primerica, Inc.		30,744
	180	ProAssurance Corp.		8,485
	1,052	Protective Life Corp.		43,963
	578	Reinsurance Group of America, Inc.		37,460
	245	RenaissanceRe Holdings Ltd.		21,413
	72	Safety Insurance Group, Inc.		3,610
	504	Selective Insurance Group, Inc.		11,557
	695	StanCorp Financial Group, Inc.		36,362
	1,552	Symetra Financial Corp.		26,803
	944	Torchmark Corp.		65,032
	566	Tower Group International Ltd.		7,998
	717	Validus Holdings Ltd.		24,815
	239	W.R. Berkley Corp.		9,828
		Total Insurance		1,111,398
		Materials — 5.9%
	510	A Schulman, Inc.		13,750
	991	Avery Dennison Corp.		42,375
	644	Bemis Co., Inc.		25,625
	905	Boise, Inc.		7,738
	217	Cabot Corp.		8,678
	257	Chemtura Corp. *		5,633
	114	Clearwater Paper Corp. *		5,433
	348	Cliffs Natural Resources, Inc.		7,263
	1,032	Commercial Metals Co.		15,356
	188	Domtar Corp.		12,408
	1,008	Ferro Corp. *		7,409
	1,256	Graphic Packaging Holding Co. *		10,437
	204	Greif, Inc. - Class A		10,990
	196	HB Fuller Co.		7,309
	2,194	Huntsman Corp.		38,395
	137	Innospec, Inc.		5,606
	173	International Flavors & Fragrances, Inc.		13,669
	268	KapStone Paper and Packaging Corp.		11,256
	175	Koppers Holdings, Inc.		6,785
	373	Kronos Worldwide, Inc.		5,524
	148	Minerals Technologies, Inc.		6,571
	349	Olin Corp.		8,062
	423	OM Group, Inc. *		12,022
	969	Owens-Illinois, Inc. *		27,510
	260	Packaging Corp. of America		13,790
	310	PH Glatfelter Co.		7,942
	752	PolyOne Corp.		20,319
	464	Reliance Steel & Aluminum Co.		30,944
	490	Resolute Forest Products, Inc. *		6,179
	295	Rock- Tenn Co.- Class A		32,777
	235	Schnitzer Steel Industries, Inc. - Class A		5,934
	275	Schweitzer-Mauduit International, Inc.		15,749
	2,079	Sealed Air Corp.		59,044
	66	Sensient Technologies Corp.		2,736

26 See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Materials — continued
	170	Sonoco Products Co.		6,329
	106	Tredegar Corp.		2,369
	764	Worthington Industries, Inc.		25,464
		Total Materials		545,380
		Media — 3.7%
	1,277	Belo Corp. - Class A		18,057
	791	Cablevision Systems Corp. - Class A		14,024
	2,722	Gannett Co., Inc.		65,573
	255	Harte-Hanks, Inc.		2,117
	282	John Wiley and Sons, Inc. - Class A		12,352
	724	LIN Media LLC - Class A *		12,163
	322	Lions Gate Entertainment Corp. *		11,273
	1,179	Live Nation Entertainment, Inc. *		19,878
	100	MDC Partners, Inc. - Class A		2,238
	506	Meredith Corp.		21,763
	1,275	New York Times Co. (The) - Class A *		14,216
	177	Nexstar Broadcasting Group, Inc. - Class A		5,942
	1,339	Regal Entertainment Group - Class A		23,955
	461	Scholastic Corp.		13,604
	1,047	Sinclair Broadcast Group, Inc.		25,044
	501	Starz-Liberty Capital *		12,505
	631	Valassis Communications, Inc.		17,384
	82	Washington Post Co. (The) - Class B		46,248
		Total Media		338,336
		Pharmaceuticals, Biotechnology & Life Sciences — 2.8%
	102	Bio-Rad Laboratories, Inc. *		11,629
	341	Bruker Corp. *		6,834
	463	Charles River Laboratories International, Inc. *		21,321
	246	Covance, Inc. *		19,936
	932	Endo Health Solutions, Inc. *		38,296
	316	Hospira, Inc. *		12,334
	347	Myriad Genetics, Inc. *		9,081
	2,009	PDL BioPharma, Inc.		15,951
	526	PerkinElmer, Inc.		18,920
	266	Questcor Pharmaceuticals, Inc.		17,737
	360	United Therapeutics Corp. *		25,528
	2,583	Warner Chilcott Plc. - Class A		55,405
		Total Pharmaceuticals, Biotechnology & Life Sciences		252,972
		Real Estate — 2.6%
	442	American Capital Mortgage Investment Corp. REIT		8,858
	1,454	Anworth Mortgage Asset Corp. REIT		6,441
	1,544	ARMOUR Residential, Inc. REIT		6,454
	831	Ashford Hospitality Trust, Inc. REIT		9,581
	705	Brandywine Realty Trust REIT		9,038
	635	Capstead Mortgage Corp. REIT		7,455
	11,319	Chimera Investment Corp. REIT		33,278
	808	CommonWealth REIT		19,836

Shares		Description	Value ($)
		Real Estate — continued
	104	EPR Properties REIT		5,094
	595	Geo Group, Inc. (The) REIT		18,570
	361	Hatteras Financial Corp. REIT		6,606
	580	Hospitality Properties Trust REIT		15,672
	1,143	Invesco Mortgage Capital, Inc. REIT		17,499
	706	iStar Financial, Inc. REIT *		7,823
	995	MFA Financial, Inc. REIT		7,164
	2,030	Newcastle Investment Corp. REIT		10,698
	1,038	NorthStar Realty Finance Corp. REIT		9,093
	303	Pennsylvania Real Estate Investment Trust REIT		5,621
	397	Pennymac Mortgage Investment Trust REIT		8,357
	519	Redwood Trust, Inc. REIT		9,233
	1,444	Two Harbors Investment Corp. REIT		13,732
		Total Real Estate		236,103
		Retailing — 6.2%
	900	Aaron’s, Inc.		24,363
	213	Abercrombie & Fitch Co. - Class A		7,521
	200	Advance Auto Parts, Inc.		16,014
	413	Aeropostale, Inc. *		3,358
	368	ANN, Inc. *		12,770
	388	Asbury Automotive Group, Inc. *		19,062
	389	Ascena Retail Group, Inc. *		6,348
	409	AutoNation, Inc. *		19,117
	604	Barnes & Noble, Inc. *		8,257
	301	Big 5 Sporting Goods Corp.		5,036
	396	Big Lots, Inc. *		14,026
	590	Brown Shoe Co., Inc.		13,228
	147	Conn’s, Inc. *		9,792
	200	Core-Mark Holding Co., Inc.		12,620
	280	Dillard’s, Inc. - Class A		21,353
	396	Express, Inc. *		8,312
	259	Finish Line, Inc. (The) - Class A		5,429
	1,441	GameStop Corp. - Class A		72,353
	155	Genesco, Inc. *		9,560
	302	Group 1 Automotive, Inc.		23,172
	650	Guess?, Inc.		19,825
	327	hhgregg, Inc. *		5,922
	401	HSN, Inc.		21,598
	306	Lithia Motors, Inc. - Class A		20,080
	421	Men’s Wearhouse, Inc. (The)		15,851
	2,886	Office Depot, Inc. *		12,092
	1,449	OfficeMax, Inc.		15,751
	546	Orbitz Worldwide, Inc. *		5,192
	1,150	Penske Auto Group, Inc.		44,884
	546	Rent-A-Center, Inc.		20,480
	448	Sears Holdings Corp. *		19,819
	285	Signet Jewelers Ltd		18,924
	882	Sonic Automotive, Inc.		19,219

See accompanying notes to the financial statements. 27

GMO U.S. Small/Mid Cap Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Retailing — continued
	364	Stage Stores, Inc.		6,781
	226	Williams-Sonoma, Inc.		12,749
		Total Retailing		570,858
		Semiconductors & Semiconductor Equipment — 1.6%
	2,352	Amkor Technology, Inc. *		9,432
	1,198	First Solar, Inc. *		43,991
	1,245	GT Advanced Technologies, Inc. *		8,043
	156	International Rectifier Corp. *		3,725
	481	Intersil Corp. - Class A		4,988
	3,159	Marvell Technology Group Ltd.		38,255
	280	Microsemi Corp. *		7,207
	1,160	PMC-Sierra, Inc. *		7,227
	1,603	SunEdison, Inc. *		11,798
	699	SunPower Corp. *		15,021
		Total Semiconductors & Semiconductor Equipment		149,687
		Software & Services — 7.5%
	336	Acxiom Corp. *		8,360
	1,565	Amdocs Ltd.		57,686
	469	AOL, Inc. *		15,444
	506	AVG Technologies NV *		10,965
	342	BMC Software, Inc. *		15,732
	1,816	Booz Allen Hamilton Holding Corp.		36,738
	534	Broadridge Financial Solutions, Inc.		15,892
	244	CACI International, Inc. - Class A *		16,446
	1,408	Computer Sciences Corp.		70,611
	834	Compuware Corp.		8,899
	1,051	Convergys Corp.		18,529
	351	CoreLogic, Inc. *		9,021
	510	CSG Systems International, Inc.		12,005
	325	DST Systems, Inc.		23,195
	1,287	EarthLink, Inc.		6,332
	203	EPIQ Systems, Inc.		2,487
	100	ePlus, Inc.		5,195
	409	Euronet Worldwide, Inc. *		14,049
	188	Fair Isaac Corp.		9,415
	391	Global Payments, Inc.		18,631
	163	Heartland Payment Systems, Inc.		6,023
	157	IAC/InterActiveCorp		7,707
	423	j2 Global, Inc.		20,828
	596	Lender Processing Services, Inc.		19,012
	58	Manhattan Associates, Inc. *		5,075
	504	Mantech International Corp. - Class A		14,339
	899	Mentor Graphics Corp.		19,922
	335	NeuStar, Inc. - Class A *		16,931
	647	Rovi Corp. *		11,601
	3,549	SAIC, Inc.		53,483
	326	Solera Holdings, Inc.		16,828
	521	Sykes Enterprises, Inc. *		8,873

Shares		Description	Value ($)
		Software & Services — continued
	505	Synopsys, Inc. *		18,311
	588	TeleTech Holdings, Inc. *		14,388
	568	Total System Services, Inc.		15,717
	552	Unisys Corp. *		13,888
	1,538	United Online, Inc.		12,073
	579	Valueclick, Inc. *		12,252
	245	Verint Systems, Inc. *		8,122
	230	VistaPrint NV *		12,245
		Total Software & Services		683,250
		Technology Hardware & Equipment — 6.4%
	415	Anixter International, Inc. *		34,677
	1,080	Arris Group, Inc. *		16,924
	1,008	Arrow Electronics, Inc. *		46,791
	1,152	Avnet, Inc. *		44,421
	1,189	AVX Corp.		15,303
	435	Belden, Inc.		24,673
	500	Benchmark Electronics, Inc. *		10,985
	3,586	Brocade Communications Systems, Inc. *		26,536
	262	Checkpoint Systems, Inc. *		3,844
	376	Diebold, Inc.		10,633
	295	Dolby Laboratories, Inc. - Class A		9,272
	421	Electronics for Imaging, Inc. *		12,327
	614	Emulex Corp. *		4,421
	940	FLIR Systems, Inc.		29,403
	1,157	Harris Corp.		65,521
	1,763	Ingram Micro, Inc. - Class A *		38,962
	719	Insight Enterprises, Inc. *		13,740
	256	InterDigital, Inc.		9,098
	216	Itron, Inc. *		8,091
	633	Jabil Circuit, Inc.		14,445
	859	Lexmark International, Inc.		29,344
	400	PC Connection, Inc.		5,940
	107	Plexus Corp. *		3,503
	620	Polycom, Inc. *		6,157
	1,242	Sanmina Corp. *		20,207
	143	Scansource, Inc. *		4,430
	467	SYNNEX Corp. *		22,187
	479	Tech Data Corp. *		23,548
	1,671	Vishay Intertechnology, Inc. *		20,470
	281	Zebra Technologies Corp. *		12,814
		Total Technology Hardware & Equipment		588,667
		Telecommunication Services — 1.2%
	58	Atlantic Tele-Network, Inc.		2,740
	9,532	Frontier Communications Corp.		41,273
	300	IDT Corp. - Class B		4,986
	781	Leap Wireless International, Inc. *		11,856
	1,323	NII Holdings, Inc. *		7,911
	233	Premiere Global Services, Inc. *		2,255

28 See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Telecommunication Services — continued
	553	Telephone & Data Systems, Inc.		15,313
	2,172	Vonage Holdings Corp. *		6,777
	1,785	Windstream Corp.		14,405
		Total Telecommunication Services		107,516
		Transportation — 1.7%
	269	Alaska Air Group, Inc.		15,231
	80	Amerco		13,088
	812	Avis Budget Group, Inc. *		21,737
	158	Copa Holdings SA - Class A		20,663
	1,257	JetBlue Airways Corp. *		7,731
	135	Macquarie Infrastructure Co. LLC		7,255
	715	Republic Airways Holdings, Inc. *		7,986
	382	Ryder System, Inc.		21,243
	721	Skywest, Inc.		9,294
	1,257	US Airways Group, Inc. *		20,313
	510	UTi Worldwide, Inc.		8,420
		Total Transportation		152,961
		Utilities — 0.8%
	210	Avista Corp.		5,517
	122	Black Hills Corp.		5,859
	400	PNM Resources, Inc.		8,764
	410	Portland General Electric Co.		11,812
	892	UGI Corp.		34,966
	132	UNS Energy Corp.		6,036
		Total Utilities		72,954
		TOTAL COMMON STOCKS (COST $7,539,368)		9,041,795
		MUTUAL FUNDS — 1.6%
		Affiliated Issuers — 1.6%
	5,765	GMO U.S. Treasury Fund		144,127
		TOTAL MUTUAL FUNDS (COST $144,150)		144,127
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	30,891	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		30,891
		TOTAL SHORT-TERM INVESTMENTS (COST $30,891)		30,891
		TOTAL INVESTMENTS — 100.6% (Cost $7,714,409)		9,216,813
		Other Assets and Liabilities (net) — (0.6%)		(51,163	)
		TOTAL NET ASSETS — 100.0%		$9,165,650

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 30.

See accompanying notes to the financial statements. 29

GMO Trust Funds

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Portfolio Abbreviations:

REIT - Real Estate Investment Trust

30 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2013 (Unaudited)

	Quality Fund		Real Estate Fund			U.S. Core Equity Fund			U.S. Flexible Equities Fund
Assets:
Investments in unaffiliated issuers, at value (Note 2)(a)	$	13,238,778,643	$	11,098,593		$	1,348,576,222		$	6,938,359,667
Investments in affiliated issuers, at value (Notes 2 and 10)(b)		160,034,000		123,975			32,715,073			77,859,118
Receivable for Fund shares sold		11,597,010		—			58,096			—
Dividends and interest receivable		39,653,861		5,482			3,632,591			21,793,578
Foreign taxes receivable		10,854,017		—			—			1,468,078
Receivable for expenses reimbursed and/or waived by Manager (Note 5)		165,323		5,508			29,667			87,885
Total assets		13,461,082,854		11,233,558			1,385,011,649			7,039,568,326
Liabilities:
Payable for Fund shares repurchased		31,403,382		—			—			5,504,958
Payable to affiliate for (Note 5):
Management fee		3,877,469		3,240			372,158			2,026,620
Shareholder service fee		1,282,086		1,473			82,530			372,554
Payable to agents unaffiliated with the Manager		1,736		5			186			930
Payable to Trustees and related expenses		13,792		4			1,388			8,024
Accrued expenses		671,936		35,009			146,322			353,907
Total liabilities		37,250,401		39,731			602,584			8,266,993
Net assets	$	13,423,832,453	$	11,193,827		$	1,384,409,065		$	7,031,301,333
Net assets consist of:
Paid-in capital	$	10,555,298,437	$	12,132,243		$	1,590,063,747		$	5,986,837,185
Accumulated undistributed net investment income		146,858,487		216,557			13,665,791			73,800,070
Accumulated net realized gain (loss)		577,146,832		(3,330,778	)		(395,644,807	)		358,819,646
Net unrealized appreciation (depreciation)		2,144,528,697		2,175,805			176,324,334			611,844,432	(c)
	$	13,423,832,453	$	11,193,827		$	1,384,409,065		$	7,031,301,333
Net assets attributable to:
Class III shares	$	6,082,542,244	$	11,193,827		$	177,328,936		$	290,356,307
Class IV shares	$	2,676,163,370	$	—		$	45,642,090		$	104,678,534
Class V shares	$	340,221,188	$	—		$	—		$	220,949,228
Class VI shares	$	4,324,905,651	$	—		$	1,161,438,039		$	6,415,317,264
Shares outstanding:
Class III		245,401,753		1,209,227			11,297,015			26,691,099
Class IV		107,860,293		—			2,912,347			9,621,963
Class V		13,711,914		—			—			20,305,637
Class VI		174,361,292		—			74,186,100			589,482,187
Net asset value per share:
Class III	$	24.79	$	9.26		$	15.70		$	10.88
Class IV	$	24.81	$	—		$	15.67		$	10.88
Class V	$	24.81	$	—		$	—		$	10.88
Class VI	$	24.80	$	—		$	15.66		$	10.88
(a)      Cost of investments – unaffiliated issuers:	$	11,094,144,349	$	8,922,763		$	1,172,246,961		$	6,326,506,104
(b)      Cost of investments – affiliated issuers:	$	160,034,000	$	124,000		$	32,720,000		$	77,875,397
(c)      As of August 31, 2013, net unrealized appreciation for U.S. federal income tax purposes exceed this amount by $522,185,132. See Note 2.

See accompanying notes to the financial statements. 31

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2013 (Unaudited) — (Continued)

	U.S. Growth Fund			U.S. Intrinsic Value Fund			U.S. Small/Mid Cap Fund
Assets:
Investments in unaffiliated issuers, at value (Note 2)(a)	$	2,446,990		$	11,619,061		$	9,072,686
Investments in affiliated issuers, at value (Notes 2 and 10)(b)		61,971			126,987			144,127
Dividends receivable		4,590			34,699			10,417
Receivable for expenses reimbursed and/or waived by Manager (Note 5)		7,719			6,014			7,843
Total assets		2,521,270			11,786,761			9,235,073
Liabilities:
Payable to affiliate for (Note 5):
Management fee		660			3,171			3,750
Shareholder service fee		319			1,535			1,238
Payable to agents unaffiliated with the Manager		5			5			5
Payable to Trustees and related expenses		3,868			482			537
Accrued expenses		54,300			41,025			63,893
Total liabilities		59,152			46,218			69,423
Net assets	$	2,462,118		$	11,740,543		$	9,165,650
Net assets consist of:
Paid-in capital	$	2,367,423		$	10,592,887		$	8,302,164
Accumulated undistributed net investment income		13,532			101,584			88,560
Accumulated net realized loss		(265,076	)		(968,760	)		(727,478	)
Net unrealized appreciation		346,239			2,014,832			1,502,404
	$	2,462,118		$	11,740,543		$	9,165,650
Net assets attributable to:
Class III shares	$	2,462,118		$	11,740,543		$	9,165,650
Shares outstanding:
Class III		116,598			1,135,984			828,846
Net asset value per share:
Class III	$	21.12		$	10.34		$	11.06
(a)      Cost of investments – unaffiliated issuers:	$	2,100,733		$	9,604,201		$	7,570,259
(b)      Cost of investments – affiliated issuers:	$	61,989		$	127,015		$	144,150

32 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2013 (Unaudited)

	Quality Fund			Real Estate Fund			U.S. Core Equity Fund			U.S. Flexible Equities Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax)(a)	$	186,420,722		$	252,305		$	17,140,648		$	89,594,658
Dividends from affiliated issuers (Note 10)		44,830			26			6,480			18,600
Interest		—			—			—			6,790
Total investment income		186,465,552			252,331			17,147,128			89,620,048
Expenses:
Management fee (Note 5)		23,228,355			20,393			2,413,491			12,462,262
Shareholder service fee – Class III (Note 5)		5,033,157			9,269			143,591			235,512
Shareholder service fee – Class IV (Note 5)		1,288,782			—			23,406			54,715
Shareholder service fee – Class V (Note 5)		166,865			—			—			107,200
Shareholder service fee – Class VI (Note 5)		1,242,854			—			362,676			1,892,664
Audit and tax fees		39,376			26,680			32,108			34,776
Custodian, fund accounting agent and transfer agent fees		730,848			3,220			111,964			398,452
Legal fees		132,940			184			19,504			71,668
Registration fees		18,334			1,472			13,524			—
Trustees fees and related expenses (Note 5)		70,877			13			7,990			39,228
Miscellaneous		54,464			3,317			9,016			17,756
Total expenses		32,006,852			64,548			3,137,270			15,314,233
Fees and expenses reimbursed by Manager (Note 5)		(965,474	)		(34,868	)		(179,952	)		(517,132	)
Expense reductions (Note 2)		(1,018	)		—			(81	)		(4	)
Net expenses		31,040,360			29,680			2,957,237			14,797,097
Net investment income (loss)		155,425,192			222,651			14,189,891			74,822,951
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		711,205,356			480,559			131,326,604			226,805,279
Investments in affiliated issuers		35,092			—			—			—
Realized gain distributions from affiliated issuers (Note 10)		11,443			5			2,291			7,065
Futures contracts		—			—			630,294			—
Foreign currency, forward contracts and foreign currency related transactions		9,009			—			—			(3,932	)
Net realized gain (loss)		711,260,900			480,564			131,959,189			226,808,412
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(72,811,771	)		(1,294,286	)		(12,124,284	)		147,458,098
Investments in affiliated issuers		34,236			(25	)		(4,927	)		(16,279	)
Foreign currency, forward contracts and foreign currency related transactions		(307,442	)		—			—			41,840
Net unrealized gain (loss)		(73,084,977	)		(1,294,311	)		(12,129,211	)		147,483,659
Net realized and unrealized gain (loss)		638,175,923			(813,747	)		119,829,978			374,292,071
Net increase (decrease) in net assets resulting from operations	$	793,601,115		$	(591,096	)	$	134,019,869		$	449,115,022
(a)    Withholding tax:	$	4,234,670		$	—		$	4,118		$	975,927

See accompanying notes to the financial statements. 33

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2013 (Unaudited) — (Continued)

	U.S. Growth Fund			U.S. Intrinsic Value Fund			U.S. Small/Mid Cap Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax)(a)	$	22,190		$	134,386		$	123,085
Dividends from affiliated issuers (Note 10)		21			43			27
Total investment income		22,211			134,429			123,112
Expenses:
Management fee (Note 5)		3,747			18,157			21,625
Shareholder service fee – Class III (Note 5)		1,813			8,786			7,208
Audit and tax fees		26,588			26,680			26,220
Custodian, fund accounting agent and transfer agent fees		9,936			6,992			18,768
Legal fees		92			184			184
Registration fees		10,948			369			368
Trustees fees and related expenses (Note 5)		11			25			17
Miscellaneous		3,593			3,317			3,316
Total expenses		56,728			64,510			77,706
Fees and expenses reimbursed by Manager (Note 5)		(51,060	)		(37,445	)		(48,760	)
Net expenses		5,668			27,065			28,946
Net investment income (loss)		16,543			107,364			94,166
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		200,898			640,611			974,174
Investments in affiliated issuers		16			20			—
Realized gain distributions from affiliated issuers (Note 10)		10			11			5
Net realized gain (loss)		200,924			640,642			974,179
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		26,351			286,272			67,890
Investments in affiliated issuers		(18	)		(28	)		(23	)
Net unrealized gain (loss)		26,333			286,244			67,867
Net realized and unrealized gain (loss)		227,257			926,886			1,042,046
Net increase (decrease) in net assets resulting from operations	$	243,800		$	1,034,250		$	1,136,212
(a)    Withholding tax:	$	—		$	99		$	2

34 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Quality Fund						Real Estate Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	155,425,192		$	315,771,405		$	222,651		$	379,166
Net realized gain (loss)		711,260,900			2,045,996,302			480,564			3,018,592
Change in net unrealized appreciation (depreciation)		(73,084,977	)		(719,788,500	)		(1,294,311	)		(1,017,892	)
Net increase (decrease) in net assets from operations		793,601,115			1,641,979,207			(591,096	)		2,379,866
Distributions to shareholders from:
Net investment income:
Class III		(16,796,606	)		(137,196,073	)		(69,253	)		(363,749	)
Class IV		(6,621,507	)		(44,679,254	)		—			—
Class V		(936,209	)		(14,094,928	)		—			—
Class VI		(12,079,246	)		(158,091,736	)		—			—
Total distributions from net investment income		(36,433,568	)		(354,061,991	)		(69,253	)		(363,749	)
Net realized gains:
Class III		(88,342,453	)		(483,233,958	)		—			—
Class IV		(33,694,376	)		(147,678,743	)		—			—
Class V		(4,813,792	)		(59,475,556	)		—			—
Class VI		(59,961,096	)		(562,432,264	)		—			—
Total distributions from net realized gains		(186,811,717	)		(1,252,820,521	)		—			—
Net share transactions (Note 9):
Class III		(902,397,482	)		19,370,394			(25,138	)		(6,517,944	)
Class IV		532,066,009			(7,262,944	)		—			—
Class V		(133,710,772	)		(109,175,865	)		—			—
Class VI		670,416			(5,550,855,897	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(503,371,829	)		(5,647,924,312	)		(25,138	)		(6,517,944	)
Total increase (decrease) in net assets		66,984,001			(5,612,827,617	)		(685,487	)		(4,501,827	)
Net assets:
Beginning of period		13,356,848,452			18,969,676,069			11,879,314			16,381,141
End of period	$	13,423,832,453		$	13,356,848,452		$	11,193,827		$	11,879,314
Accumulated undistributed net investment income	$	146,858,487		$	27,866,863		$	216,557		$	63,159

See accompanying notes to the financial statements. 35

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	U.S. Core Equity Fund						U.S. Flexible Equities Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Period from July 20, 2012 (commencement of operations) through February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	14,189,891		$	29,448,199		$	74,822,951		$	90,847,720
Net realized gain (loss)		131,959,189			181,929,616			226,808,412			58,426,198
Change in net unrealized appreciation (depreciation)		(12,129,211	)		(32,431,599	)		147,483,659			464,360,773
Net increase (decrease) in net assets from operations		134,019,869			178,946,216			449,115,022			613,634,691
Distributions to shareholders from:
Net investment income
Class III		(585,334	)		(4,527,823	)		(608,516	)		(3,426,484	)
Class IV		(149,258	)		(921,941	)		(254,564	)		(890,607	)
Class V		—			—			(504,511	)		(2,831,312	)
Class VI		(4,672,547	)		(24,844,302	)		(15,997,437	)		(67,911,797	)
Class M*		—			(14,539	)		—			—
Total distributions from net investment income		(5,407,139	)		(30,308,605	)		(17,365,028	)		(75,060,200	)
Net realized gains
Class III		—			—			(3,616,997	)		(10,566,065	)
Class IV		—			—			(1,409,815	)		(2,673,452	)
Class V		—			—			(2,839,677	)		(8,429,706	)
Class VI		—			—			(86,852,223	)		(199,479,502	)
Total distributions from net realized gains		—			—			(94,718,712	)		(221,148,725	)
Net share transactions (Note 9):
Class III		(26,450,860	)		(94,495,604	)		(65,547,635	)		320,872,313
Class IV		(2,740,354	)		(12,709,327	)		15,147,457			81,458,975
Class V		—			—			(71,754,497	)		263,621,518
Class VI		(197,342,188	)		33,705,448			(376,550,283	)		6,209,596,437
Class M*		—			(1,316,104	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(226,533,402	)		(74,815,587	)		(498,704,958	)		6,875,549,243
Total increase (decrease) in net assets		(97,920,672	)		73,822,024			(161,673,676	)		7,192,975,009
Net assets:
Beginning of period		1,482,329,737			1,408,507,713			7,192,975,009			—
End of period	$	1,384,409,065		$	1,482,329,737		$	7,031,301,333		$	7,192,975,009
Accumulated undistributed net investment income	$	13,665,791		$	4,883,039		$	73,800,070		$	16,342,147

* Class M liquidated on January 31, 2013.

36 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	U.S. Growth Fund								U.S. Intrinsic Value Fund
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28, 2013				Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	16,543			$	36,589			$	107,364			$	221,239
Net realized gain (loss)			200,924				407,809				640,642				584,610
Change in net unrealized appreciation (depreciation)			26,333				(138,954	)			286,244				767,306
Net increase (decrease) in net assets from operations			243,800				305,444				1,034,250				1,573,155
Distributions to shareholders from:
Net investment income
Class III			(4,022	)			(41,222	)			(25,052	)			(233,283	)
Class M*			—				(10,643	)			—				—
Total distributions from net investment income			(4,022	)			(51,865	)			(25,052	)			(233,283	)
Net realized gains
Class III			(10,271	)			(330,487	)			—				—
Class M*			—				(99,092	)			—				—
Total distributions from net realized gains			(10,271	)			(429,579	)			—				—
Net share transactions (Note 9):
Class III			10,970				500,197				41,084				193,516
Class M*			—				(552,162	)			—				—
Increase (decrease) in net assets resulting from net share transactions			10,970				(51,965	)			41,084				193,516
Total increase (decrease) in net assets			240,477				(227,965	)			1,050,282				1,533,388
Net assets:
Beginning of period			2,221,641				2,449,606				10,690,261				9,156,873
End of period		$	2,462,118			$	2,221,641			$	11,740,543			$	10,690,261
Accumulated undistributed net investment income		$	13,532			$	1,011			$	101,584			$	19,272

* Class M liquidated on January 31, 2013.

See accompanying notes to the financial statements. 37

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	U.S. Small/Mid Cap Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	94,166		$	195,131
Net realized gain (loss)		974,179			552,979
Change in net unrealized appreciation (depreciation)		67,867			718,673
Net increase (decrease) in net assets from operations		1,136,212			1,466,783
Distributions to shareholders from:
Net investment income
Class III		(34,384	)		(168,939	)
Total distributions from net investment income		(34,384	)		(168,939	)
Net share transactions (Note 9):
Class III		(1,734,312	)		(1,110,116	)
Increase (decrease) in net assets resulting from net share transactions		(1,734,312	)		(1,110,116	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		5,412			7,655
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(1,728,900	)		(1,102,461	)
Total increase (decrease) in net assets		(627,072	)		195,383
Net assets:
Beginning of period		9,792,722			9,597,339
End of period	$	9,165,650		$	9,792,722
Accumulated undistributed net investment income	$	88,560		$	28,778

38 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009								2013				2012				2011				2010				2009
Net asset value, beginning of period		$	23.81			$	23.41			$	20.81			$	18.99			$	14.17			$	20.56			$	23.83			$	23.42			$	20.83			$	19.01			$	14.19			$	20.57
Income (loss) from investment operations:
Net investment income (loss)†			0.27				0.47				0.43				0.36				0.33				0.37				0.29				0.49				0.44				0.38				0.34				0.39
Net realized and unrealized gain (loss)			1.12				2.24				2.58				1.82				4.83				(6.30	)			1.10				2.24				2.57				1.81				4.83				(6.30	)
Total from investment operations			1.39				2.71				3.01				2.18				5.16				(5.93	)			1.39				2.73				3.01				2.19				5.17				(5.91	)
Less distributions to shareholders:
From net investment income			(0.07	)			(0.51	)			(0.41	)			(0.36	)			(0.34	)			(0.34	)			(0.07	)			(0.52	)			(0.42	)			(0.37	)			(0.35	)			(0.35	)
From net realized gains			(0.34	)			(1.80	)			—				—				—				(0.12	)			(0.34	)			(1.80	)			—				—				—				(0.12	)
Total distributions			(0.41	)			(2.31	)			(0.41	)			(0.36	)			(0.34	)			(0.46	)			(0.41	)			(2.32	)			(0.42	)			(0.37	)			(0.35	)			(0.47	)
Net asset value, end of period		$	24.79			$	23.81			$	23.41			$	20.81			$	18.99			$	14.17			$	24.81			$	23.83			$	23.42			$	20.83			$	19.01			$	14.19
Total Return(a)			5.81	%**			12.39	%			14.71	%			11.67	%			36.73	%			(29.37	)%			5.81	%**			12.47	%			14.70	%			11.71	%			36.73	%			(29.27	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	6,082,542			$	6,682,281			$	6,539,510			$	5,288,776			$	4,119,119			$	1,952,579			$	2,676,163			$	2,079,055			$	2,035,597			$	1,662,542			$	1,132,006			$	787,276
Net expenses to average daily net assets(b)			0.48	%(c)*			0.48	%(c)			0.48	%(c)			0.48	%(c)			0.48	%			0.48	%			0.44	%(c)*			0.44	%(c)			0.44	%(c)			0.44	%(c)			0.44	%			0.44	%
Net investment income (loss) to average daily net assets			2.16	%*			2.02	%			2.01	%			1.88	%			1.88	%			2.03	%			2.24	%*			2.09	%			2.04	%			1.95	%			1.97	%			2.11	%
Portfolio turnover rate			21	%**			34	%			40	%			32	%			28	%			36	%			21	%**			34	%			40	%			32	%			28	%			36	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.01	%*			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%			0.01	%*			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%
	Class V Shares																								Class VI Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009								2013				2012				2011				2010				2009
Net asset value, beginning of period		$	23.82			$	23.42			$	20.82			$	19.00			$	14.17			$	20.56			$	23.82			$	23.41			$	20.82			$	19.00			$	14.18			$	20.57
Income (loss) from investment operations:
Net investment income (loss)†			0.28				0.48				0.44				0.38				0.34				0.39				0.29				0.49				0.45				0.38				0.35				0.40
Net realized and unrealized gain (loss)			1.12				2.25				2.58				1.81				4.84				(6.30	)			1.10				2.25				2.57				1.81				4.82				(6.31	)
Total from investment operations			1.40				2.73				3.02				2.19				5.18				(5.91	)			1.39				2.74				3.02				2.19				5.17				(5.91	)
Less distributions to shareholders:
From net investment income			(0.07	)			(0.53	)			(0.42	)			(0.37	)			(0.35	)			(0.36	)			(0.07	)			(0.53	)			(0.43	)			(0.37	)			(0.35	)			(0.36	)
From net realized gains			(0.34	)			(1.80	)			—				—				—				(0.12	)			(0.34	)			(1.80	)			—				—				—				(0.12	)
Total distributions			(0.41	)			(2.33	)			(0.42	)			(0.37	)			(0.35	)			(0.48	)			(0.41	)			(2.33	)			(0.43	)			(0.37	)			(0.35	)			(0.48	)
Net asset value, end of period		$	24.81			$	23.82			$	23.42			$	20.82			$	19.00			$	14.17			$	24.80			$	23.82			$	23.41			$	20.82			$	19.00			$	14.18
Total Return(a)			5.85	%**			12.45	%			14.74	%			11.73	%			36.87	%			(29.31	)%			5.82	%**			12.53	%			14.76	%			11.77	%			36.81	%			(29.28	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	340,221			$	455,097			$	578,367			$	371,927			$	551,272			$	637,834			$	4,324,906			$	4,140,416			$	9,816,202			$	8,913,391			$	9,156,696			$	5,273,791
Net expenses to average daily net assets(b)			0.42	%(c)*			0.41	%(c)			0.42	%(c)			0.42	%(c)			0.42	%			0.42	%			0.39	%(c)*			0.38	%(c)			0.39	%(c)			0.39	%(c)			0.39	%			0.39	%
Net investment income (loss) to average daily net assets			2.23	%*			2.05	%			2.08	%			1.96	%			1.98	%			2.11	%			2.26	%*			2.10	%			2.09	%			1.99	%			2.00	%			2.16	%
Portfolio turnover rate			21	%**			34	%			40	%			32	%			28	%			36	%			21	%**			34	%			40	%			32	%			28	%			36	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.01	%*			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%			0.01	%*			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%

^(a)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(b)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 39

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

REAL ESTATE FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	9.80			$	8.63			$	8.23			$	6.16			$	3.34			$	7.85
Income (loss) from investment operations:
Net investment income (loss)†			0.18				0.24				0.20				0.18				0.21				0.31
Net realized and unrealized gain (loss)			(0.66	)			1.16				0.34				2.11				2.76				(4.40	)
Total from investment operations			(0.48	)			1.40				0.54				2.29				2.97				(4.09	)
Less distributions to shareholders:
From net investment income			(0.06	)			(0.23	)			(0.14	)			(0.22	)			(0.15	)			(0.29	)
From net realized gains			—				—				—				—				—				(0.13	)
Total distributions			(0.06	)			(0.23	)			(0.14	)			(0.22	)			(0.15	)			(0.42	)
Net asset value, end of period		$	9.26			$	9.80			$	8.63			$	8.23			$	6.16			$	3.34
Total Return(a)			(4.96	)%**			16.35	%			6.76	%			38.19	%			89.86	%			(54.45	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	11,194			$	11,879			$	16,381			$	15,736			$	14,112			$	8,299
Net expenses to average daily net assets			0.48	%(b)*			0.48	%(b)			0.48	%(b)			0.48	%(b)			0.48	%(c)			0.48	%(c)
Net investment income (loss) to average daily net assets			3.60	%*			2.60	%			2.50	%			2.50	%			4.18	%			4.44	%
Portfolio turnover rate			14	%**			25	%			13	%			25	%			34	%			29	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.56	%*			0.45	%			0.45	%			0.58	%			0.55	%			0.41	%

^(a)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(b)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(c)  The net expense ratio does not include the effect of expense reductions (Note 2).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

40 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. CORE EQUITY FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009								2013				2012				2011				2010				2009
Net asset value, beginning of period		$	14.51			$	13.06			$	12.00			$	10.57			$	7.65			$	12.05			$	14.48			$	13.04			$	11.98			$	10.55			$	7.63			$	12.02
Income (loss) from investment operations:
Net investment income (loss)†			0.14				0.26				0.22				0.18				0.17				0.18				0.14				0.27				0.22				0.18				0.17				0.19
Net realized and unrealized gain (loss)			1.10				1.47				1.08				1.43				2.93				(4.40	)			1.10				1.46				1.08				1.43				2.93				(4.39	)
Total from investment operations			1.24				1.73				1.30				1.61				3.10				(4.22	)			1.24				1.73				1.30				1.61				3.10				(4.20	)
Less distributions to shareholders:
From net investment income			(0.05	)			(0.28	)			(0.24	)			(0.18	)			(0.18	)			(0.18	)			(0.05	)			(0.29	)			(0.24	)			(0.18	)			(0.18	)			(0.19	)
Total distributions			(0.05	)			(0.28	)			(0.24	)			(0.18	)			(0.18	)			(0.18	)			(0.05	)			(0.29	)			(0.24	)			(0.18	)			(0.18	)			(0.19	)
Net asset value, end of period		$	15.70			$	14.51			$	13.06			$	12.00			$	10.57			$	7.65			$	15.67			$	14.48			$	13.04			$	11.98			$	10.55			$	7.63
Total Return(a)			8.54	%**			13.40	%			11.00	%			15.42	%			40.85	%			(35.39	)%			8.57	%**			13.40	%			11.05	%			15.47	%			41.04	%			(35.36	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	177,329			$	188,363			$	259,751			$	393,523			$	519,309			$	509,120			$	45,642			$	44,849			$	52,486			$	163,627			$	415,267			$	286,333
Net expenses to average daily net assets(b)			0.46	%(c)*			0.46	%(c)			0.46	%(c)			0.46	%(c)			0.46	%			0.46	%			0.41	%(c)*			0.41	%(c)			0.41	%(c)			0.41	%(c)			0.41	%			0.41	%
Net investment income (loss) to average daily net assets			1.74	%*			1.95	%			1.82	%			1.68	%			1.73	%			1.70	%			1.78	%*			2.01	%			1.88	%			1.68	%			1.76	%			1.78	%
Portfolio turnover rate			34	%**			79	%			61	%			96	%			52	%			62	%			34	%**			79	%			61	%			96	%			52	%			62	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.02	%*			0.02	%			0.03	%			0.03	%			0.03	%			0.02	%			0.02	%*			0.02	%			0.03	%			0.03	%			0.03	%			0.02	%

	Class VI Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	14.47			$	13.02			$	11.97			$	10.54			$	7.63			$	12.02
Income (loss) from investment operations:
Net investment income (loss)†			0.14				0.28				0.23				0.20				0.17				0.19
Net realized and unrealized gain (loss)			1.10				1.46				1.07				1.42				2.93				(4.38	)
Total from investment operations			1.24				1.74				1.30				1.62				3.10				(4.19	)
Less distributions to shareholders:
From net investment income			(0.05	)			(0.29	)			(0.25	)			(0.19	)			(0.19	)			(0.20	)
Total distributions			(0.05	)			(0.29	)			(0.25	)			(0.19	)			(0.19	)			(0.20	)
Net asset value, end of period		$	15.66			$	14.47			$	13.02			$	11.97			$	10.54			$	7.63
Total Return(a)			8.58	%**			13.56	%			11.06	%			15.59	%			40.96	%			(35.33	)%
Ratios/ Supplemental Data:
Net assets, end of period (000’s)		$	1,161,438			$	1,249,117			$	1,095,053			$	1,129,978			$	1,069,030			$	858,170
Net expenses to average daily net assets(b)			0.37	%(c)*			0.37	%(c)			0.37	%(c)			0.37	%(c)			0.37	%			0.37	%
Net investment income (loss) to average daily net assets			1.84	%*			2.08	%			1.93	%			1.80	%			1.80	%			1.78	%
Portfolio turnover rate			34	%**			79	%			61	%			96	%			52	%			62	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.02	%*			0.02	%			0.03	%			0.03	%			0.03	%			0.02	%

^(a)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(b)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 41

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. FLEXIBLE EQUITIES FUND

	Class III Shares								Class IV Shares
	Six Months Ended August 31, 2013 (Unaudited)				Period from July 23, 2012 (commencement of operations) through February 28, 2013				Six Months Ended August 31, 2013 (Unaudited)				Period from July 23, 2012 (commencement of operations) through February 28, 2013
Net asset value, beginning of period		$	10.42			$	9.90			$	10.42			$	9.90
Income (loss) from investment operations:
Net investment income (loss)†			0.10				0.13				0.11				0.13
Net realized and unrealized gain (loss)			0.52				0.83				0.51				0.83
Total from investment operations			0.62				0.96				0.62				0.96
Less distributions to shareholders:
From net investment income			(0.02	)			(0.11	)			(0.02	)			(0.11	)
From net realized gains			(0.14	)			(0.33	)			(0.14	)			(0.33	)
Total distributions			(0.16	)			(0.44	)			(0.16	)			(0.44	)
Net asset value, end of period		$	10.88			$	10.42			$	10.88			$	10.42
Total Return(a)			5.93	%**			9.91	%**			5.95	%**			9.94	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	290,356			$	340,489			$	104,679			$	86,508
Net expenses to average daily net assets(b)(c)			0.48	%*			0.48	%*			0.44	%*			0.44	%*
Net investment income (loss) to average daily net assets			1.88	%*			2.05	%*			1.98	%*			2.09	%*
Portfolio turnover rate			16	%**			21	%**			16	%**			21	%**
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.01	%*			0.02	%*			0.01	%*			0.02	%*
	Class V Shares								Class VI Shares
	Six Months Ended August 31, 2013 (Unaudited)				Period from July 23, 2012 (commencement of operations) through February 28, 2013				Six Months Ended August 31, 2013 (Unaudited)				Period from July 20, 2012 (commencement of operations) through February 28, 2013
Net asset value, beginning of period		$	10.42			$	9.90			$	10.42			$	10.00
Income (loss) from investment operations:
Net investment income (loss)†			0.11				0.13				0.11				0.13
Net realized and unrealized gain (loss)			0.51				0.83				0.52				0.73
Total from investment operations			0.62				0.96				0.63				0.86
Less distributions to shareholders:
From net investment income			(0.02	)			(0.11	)			(0.03	)			(0.11	)
From net realized gains			(0.14	)			(0.33	)			(0.14	)			(0.33	)
Total distributions			(0.16	)			(0.44	)			(0.17	)			(0.44	)
Net asset value, end of period		$	10.88			$	10.42			$	10.88			$	10.42
Total Return(a)			5.94	%**			9.95	%**			5.95	%**			8.87	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	220,949			$	279,589			$	6,415,317			$	6,486,389
Net expenses to average daily net assets(b)(c)			0.42	%*			0.42	%*			0.39	%*			0.39	%*
Net investment income (loss) to average daily net assets			1.91	%*			2.11	%*			1.99	%*			2.10	%*
Portfolio turnover rate			16	%**			21	%**			16	%**			21	%**
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.01	%*			0.02	%*			0.01	%*			0.02	%*

^(a)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(b)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(c)  The net expense ratio does not include the effect of expense reductions (Note 2).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

42 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. GROWTH FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	19.14			$	20.51			$	17.59			$	14.61			$	10.47			$	15.82
Income (loss) from investment operations:
Net investment income (loss)†			0.14				0.31				0.23				0.16				0.21				0.18
Net realized and unrealized gain (loss)			1.96				2.10				2.96				3.00				4.15				(5.32	)
Total from investment operations			2.10				2.41				3.19				3.16				4.36				(5.14	)
Less distributions to shareholders:
From net investment income			(0.03	)			(0.43	)			(0.27	)			(0.18	)			(0.22	)			(0.21	)
From net realized gains			(0.09	)			(3.35	)			—				—				—				—
Total distributions			(0.12	)			(3.78	)			(0.27	)			(0.18	)			(0.22	)			(0.21	)
Net asset value, end of period		$	21.12			$	19.14			$	20.51			$	17.59			$	14.61			$	10.47
Total Return(a)			10.99	%(b)**			12.79	%(c)			18.39	%(d)			21.76	%(e)			41.94	%			(32.84	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,462			$	2,222			$	1,848			$	1,908			$	40,521			$	34,758
Net expenses to average daily net assets			0.47	%*(f)			0.47	%(f)			0.47	%(f)			0.46	%(f)(g)			0.46	%			0.46	%(g)
Net investment income (loss) to average daily net assets			1.37	%*			1.55	%			1.26	%			1.09	%			1.60	%			1.19	%
Portfolio turnover rate			34	%**			66	%			52	%			61	%			118	%			70	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			4.22	%*			4.53	%			4.61	%			1.40	%			0.33	%			0.19	%

^(a)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(b)  Litigation proceeds received during the period had a positive impact on total return adding approximately 2.82%.

^(c)  Litigation proceeds received during the fiscal year had a positive impact on total return adding approximately 1.29%.

^(d)  Litigation proceeds received during the fiscal year had a positive impact on total return adding approximately 5.24%.

^(e) Litigation proceeds received during the fiscal year had a positive impact on total return adding approximately 3.84%.

^(f)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(g)  The net expense ratio does not include the effect of expense reductions (Note 2).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 43

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. INTRINSIC VALUE FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	9.44			$	8.25			$	7.83			$	6.53			$	4.55			$	7.86
Income (loss) from investment operations:
Net investment income (loss)†			0.09				0.20				0.15				0.11				0.10				0.14
Net realized and unrealized gain (loss)			0.83				1.20				0.41				1.30				1.98				(3.31	)
Total from investment operations			0.92				1.40				0.56				1.41				2.08				(3.17	)
Less distributions to shareholders:
From net investment income			(0.02	)			(0.21	)			(0.14	)			(0.11	)			(0.10	)			(0.14	)
Total distributions			(0.02	)			(0.21	)			(0.14	)			(0.11	)			(0.10	)			(0.14	)
Net asset value, end of period		$	10.34			$	9.44			$	8.25			$	7.83			$	6.53			$	4.55
Total Return(a)			9.77	%**			17.19	%			7.28	%			21.81	%(b)			45.95	%			(40.83	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	11,741			$	10,690			$	9,157			$	8,574			$	7,020			$	4,838
Net expenses to average daily net assets			0.46	%*(c)			0.46	%(c)			0.46	%(c)			0.46	%(c)			0.46	%			0.46	%(d)
Net investment income (loss) to average daily net assets			1.83	%*			2.27	%			1.89	%			1.59	%			1.70	%			1.94	%
Portfolio turnover rate			26	%**			53	%			74	%			53	%			54	%			57	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.64	%*			0.81	%			0.98	%			1.30	%			1.22	%			0.43	%

^(a)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(b) Litigation proceeds received during the fiscal year had a positive impact on total return adding 1.35%.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d)  The net expense ratio does not include the effect of expense reductions (Note 2).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

44 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. SMALL/MID CAP FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28/29,
				2013			2012			2011			2010			2009
Net asset value, beginning of period	$	9.88		$	8.51		$	8.24		$	6.53		$	4.44		$	7.36
Income (loss) from investment operations:
Net investment income (loss)†		0.11			0.19			0.06			0.07			0.07			0.10
Net realized and unrealized gain (loss)		1.11			1.35			0.30			1.71			2.10			(2.92	)
Total from investment operations		1.22			1.54			0.36			1.78			2.17			(2.82	)
Less distributions to shareholders:
From net investment income		(0.04	)		(0.17	)		(0.09	)		(0.07	)		(0.08	)		(0.10	)
Total distributions		(0.04	)		(0.17	)		(0.09	)		(0.07	)		(0.08	)		(0.10	)
Net asset value, end of period	$	11.06		$	9.88		$	8.51		$	8.24		$	6.53		$	4.44
Total Return(a)		12.35	%**		18.32	%		4.52	%		27.43	%		49.15	%		(38.76	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	9,166		$	9,793		$	9,597		$	13,060		$	11,244		$	13,119
Net expenses to average daily net assets		0.60	%(b)*		0.52	%(b)		0.46	%(b)(c)		0.46	%(b)		0.46	%		0.46	%
Net investment income (loss) to average daily net assets		1.96	%*		2.16	%		0.78	%		1.02	%		1.27	%		1.46	%
Portfolio turnover rate		34	%**		79	%		172	%		106	%		175	%		73	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		1.01	%*		1.51	%		1.38	%		0.81	%		0.65	%		0.43	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.01		$	0.01		$	0.08		$	0.00	(d)	$	0.02		$	0.02

^(a) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(b)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(c)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(d)  Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 45

GMO Trust Funds

Notes to Financial Statements

August 31, 2013 (Unaudited)

1. Organization

Each of Quality Fund, Real Estate Fund, U.S. Core Equity Fund, U.S. Flexible Equities Fund, U.S. Growth Fund, U.S. Intrinsic Value Fund, and U.S. Small/Mid Cap Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”).

The Funds may invest in U.S. Treasury Fund and unaffiliated money market funds. The Funds may also invest in other GMO Funds (“underlying funds”).

The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):

Fund Name	Benchmark	Principal Investment Objective
Quality Fund	Not Applicable	Total return
Real Estate Fund	MSCI U.S. REIT Index	High total return
U.S. Core Equity Fund	S&P 500 Index	High total return
U.S. Flexible Equities Fund	Russell 3000 Index	Total return in excess of benchmark
U.S. Growth Fund	Russell 1000 Growth Index	Long-term capital growth
U.S. Intrinsic Value Fund	Russell 1000 Value Index	Long-term capital growth
U.S. Small/Mid Cap Fund	Russell 2500 Index	Long-term capital growth

U.S. Flexible Equities Fund currently limits subscriptions.

2. Significant accounting policies

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

Portfolio valuation

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. Cleared derivatives are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. 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 most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular 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 August 31, 2013, 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 Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equity securities that

46

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the value will generally 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 inputs obtained from that independent pricing service as of August 31, 2013. 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 Level 2 (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 inputs obtained from an independent pricing service. The net aggregate direct and/or indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2013 is as follows:

Securities

Fund Name	Fair valued using inputs obtained from an independent pricing service
Quality Fund		11	%
U.S. Flexible Equities Fund		5	%

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 into 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 the 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 (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 August 31, 2013, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

The three levels are defined as follows:

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 60 days or less valued at amortized cost; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; 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.

47

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2013:

Description	Level 1		Level 2		Level 3		Total
Quality Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	17,350,809	$	—	$	17,350,809
Belgium		—		32,595,113		—		32,595,113
Denmark		—		16,542,003		—		16,542,003
France		—		134,581,895		—		134,581,895
Germany		—		45,123,264		—		45,123,264
Japan		—		227,491,670		—		227,491,670
Netherlands		—		85,270,690		—		85,270,690
Switzerland		—		314,699,544		—		314,699,544
United Kingdom		—		551,089,825		—		551,089,825
United States		11,764,696,045		—		—		11,764,696,045
TOTAL COMMON STOCKS		11,764,696,045		1,424,744,813		—		13,189,440,858
Mutual Funds		160,034,000		—		—		160,034,000
Short-Term Investments		49,337,785		—		—		49,337,785
Total Investments		11,974,067,830		1,424,744,813		—		13,398,812,643
Total	$	11,974,067,830	$	1,424,744,813	$	—	$	13,398,812,643
Real Estate Fund
Asset Valuation Inputs
Common Stocks (Real Estate Investment Trusts)	$	11,054,154	$	—	$	—	$	11,054,154
Mutual Funds		123,975		—		—		123,975
Short-Term Investments		44,439		—		—		44,439
Total Investments		11,222,568		—		—		11,222,568
Total	$	11,222,568	$	—	$	—	$	11,222,568
U.S Core Equity Fund
Asset Valuation Inputs
Common Stocks	$	1,344,750,192	$	—	$	—	$	1,344,750,192
Mutual Funds		32,715,073		—		—		32,715,073
Short-Term Investments		3,826,030		—		—		3,826,030
Total Investments		1,381,291,295		—		—		1,381,291,295
Total	$	1,381,291,295	$	—	$	—	$	1,381,291,295

48

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
U.S. Flexible Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	8,118,440	$	—	$	8,118,440
France		—		55,652,433		—		55,652,433
Switzerland		—		111,545,260		—		111,545,260
United Kingdom		—		169,350,221		—		169,350,221
United States		6,460,755,904		—		—		6,460,755,904
TOTAL COMMON STOCKS		6,460,755,904		344,666,354		—		6,805,422,258
Mutual Funds		77,859,118		—		—		77,859,118
Short-Term Investments		132,937,409		—		—		132,937,409
Total Investments		6,671,552,431		344,666,354		—		7,016,218,785
Total	$	6,671,552,431	$	344,666,354	$	—	$	7,016,218,785
U.S. Growth Fund
Asset Valuation Inputs
Common Stocks	$	2,433,341	$	—	$	—	$	2,433,341
Mutual Funds		61,971		—		—		61,971
Short-Term Investments		13,649		—		—		13,649
Total Investments		2,508,961		—		—		2,508,961
Total	$	2,508,961	$	—	$	—	$	2,508,961
U.S. Intrinsic Value Fund
Asset Valuation Inputs
Common Stocks	$	11,592,226	$	—	$	—	$	11,592,226
Mutual Funds		126,987		—		—		126,987
Rights/Warrants		2,992		—		—		2,992
Short-Term Investments		23,843		—		—		23,843
Total Investments		11,746,048		—		—		11,746,048
Total	$	11,746,048	$	—	$	—	$	11,746,048
U.S. Small/Mid Cap Fund
Asset Valuation Inputs
Common Stocks	$	9,041,795	$	—	$	—	$	9,041,795
Mutual Funds		144,127		—		—		144,127
Short-Term Investments		30,891		—		—		30,891
Total Investments		9,216,813		—		—		9,216,813
Total	$	9,216,813	$	—	$	—	$	9,216,813

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 of the underlying funds, please refer to the underlying funds’ Notes to Financial Statements.

For all Funds for the period ended August 31, 2013, there were no material transfers between Level 1 and Level 2.

49

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Cash

Cash and Foreign Currency, if any, on the Statements of Assets and Liabilities consists of cash balances held with the custodian.

Due to/from broker

Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. Dollars at the close of regular trading on the NYSE, generally at 4:00 pm 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 on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Taxes and distributions

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

Each Fund’s policy is to declare and pay distributions of its net investment income, if any, semi-annually. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. Typically, distributions are reinvested in additional shares of each Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

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

Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2013, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.

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

U.S. Flexible Equities Fund’s initial holdings consisted of securities contributed to it by Quality Fund, another series of the Trust. The aggregate value of these securities significantly exceeded their aggregate tax basis. As a result, absent offsetting losses, if any, U.S. Flexible Equities Fund will likely make material capital gain distributions (both long-term and short-term) during the early years of its operations. Such distributions will generally be taxable to shareholders, as either ordinary income or long-term capital gains, to the extent U.S. Flexible Equities Fund’s shares are held in a taxable account. Accordingly, the capital accounts for U.S. Flexible Equities Fund reflect U.S. GAAP and tax accounting differences related to this contribution in-kind transactions and losses on wash sale transactions.

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

50

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

As of February 28, 2013, the Funds listed below elected to defer to March 1, 2013 post-October capital losses as follows:

Fund Name	Post-October Capital Losses ($)
U.S. Intrinsic Value Fund		(6,102)

As of February 28, 2013, the Funds listed below had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2013, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

	Short-Term ($)								Total Short Term ($)		Long- Term ($)
Fund Name	Expiration Date 2/28/2017		Expiration Date 2/28/2018		Expiration Date 2/28/2019		No Expiration Date				No Expiration Date
Real Estate Fund		—		(943,303)		(2,351,537)		—		(3,294,840)		—
U.S. Core Equity Fund		—		(488,201,634)		—		—		(488,201,634)		—
U.S. Growth Fund		(365,468)		(91,367)		—		—		(456,835)		—
U.S. Intrinsic Value Fund		(1,208,022)		(290,942)		(44,588)		—		(1,543,552)		—
U.S. Small/Mid Cap Fund		(1,065,118)		(586,840)		—		—		(1,651,958)		—

As of August 31, 2013, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:

Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Quality Fund		11,365,908,064		2,056,132,434		(23,227,855)		2,032,904,579
Real Estate Fund		9,512,919		1,907,342		(197,693)		1,709,649
U.S. Core Equity Fund		1,228,978,118		160,316,697		(8,003,520)		152,313,177
U.S. Flexible Equities Fund		5,882,196,369		1,144,019,287		(9,996,871)		1,134,022,416
U.S. Growth Fund		2,168,876		355,741		(15,656)		340,085
U.S. Intrinsic Value Fund		9,781,860		2,064,061		(99,873)		1,964,188
U.S. Small/Mid Cap Fund		7,751,472		1,611,770		(146,429)		1,465,341

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.

51

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual Fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, 12b-1 and administration fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. State Street’s transfer agent fees may be reduced by an earnings allowance calculated on the average daily cash balances each Fund maintains in a State Street transfer agent account. Earnings allowances are reported as a reduction of expenses in the Statement of Operations. Prior to December 31, 2012, State Street’s custodian fees may have been reduced by an earnings allowance calculated on the average daily cash balance each Fund maintained in a State Street custodial account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2013, any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.

Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions). If the Manager determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. The Manager also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

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

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

52

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

As of August 31, 2013, the premium on cash purchases and the fee on cash redemptions were as follows:

	Quality Fund	Real Estate Fund	U.S. Core Equity Fund	U.S. Flexible Equities Fund	U.S. Growth Fund	U.S. Intrinsic Value Fund	U.S. Small / Mid Cap Fund
Purchase Premium	—	—	—	—	—	—	0.30%
Redemption Fee	—	—	—	—	—	—	0.30%

3. Investment and other risks

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:

	Quality Fund	Real Estate Fund	U.S. Core Equity Fund	U.S. Flexible Equities Fund	U.S. Growth Fund	U.S. Intrinsic Value Fund	U.S. Small/Mid Cap Fund
Market Risk – Equities	X	X	X	X	X	X	X
Market Risk – Fixed Income Investments		X
Market Risk – Asset-Backed Securities		X
Credit Risk		X
Liquidity Risk		X					X
Smaller Company Risk		X	X		X	X	X
Derivatives Risk	X	X	X	X	X	X	X
Non-U.S. Investment Risk	X			X
Currency Risk	X			X
Focused Investment Risk	X	X	X	X	X	X	X
Real Estate Risk		X
Leveraging Risk	X	X	X	X	X	X	X
Counterparty Risk	X	X	X	X	X	X	X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X	X
Management and Operational Risk	X	X	X	X	X	X	X
Fund of Funds Risk				X
Non-Diversified Funds	X	X		X	X	X

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.

53

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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:

Equities. Funds that invest in equities run the risk that the market prices of those investments will decline. The market prices of equities may decline for reasons that directly relate to the issuing company, such as poor management performance or reduced demand for its goods or services. They 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. Equities generally have significant price volatility, and the market prices of equities can decline in a rapid or unpredictable manner.

The Funds invest a substantial portion of their assets in equities and, 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 equities 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 or will decline for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments.

The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

Fixed Income Investments — 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 interest rates and widening credit spreads, or decreased liquidity stemming from 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. Some fixed income securities 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 fixed income security. When interest rates rise, these securities also may be repaid more slowly than anticipated, which could cause the market price of the Fund’s investment to decrease. 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, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. See “Credit Risk” and “Liquidity Risk” below for more information about these risks

A risk run by each Fund with a significant investment in fixed income securities is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases 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.

The market 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 market price of

54

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities. The market 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 — 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” 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 reduction in the payment stream the Manager expected a Fund to receive at the time the Fund 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. 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 an entity that generated the assets underlying an asset-backed security is likely to result in a decline in the market price of that security, 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. When interest rates rise, these obligations also may be repaid more slowly than anticipated, which could cause the market price of the Fund’s investment to decrease.

In addition, the existence of insurance on an asset-backed 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.

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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 or the obligor of an obligation underlying an asset-backed security 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, guarantor’s, or obligor’s failure to meet its payment obligations or the downgrading of its credit rating. This 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.

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. In addition, payment of principal of fixed income securities guaranteed by the U.S. government can be delayed because the guarantee generally only requires payment upon maturity of the securities. 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 fixed income securities issued or guaranteed by emerging countries.

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.

Securities issued by the U.S. Treasury historically have presented minimal credit risk. However, recent events have led to a downgrade in the long-term U.S. credit rating by at least one major rating agency and have introduced greater uncertainty about the ability of the U.S. to repay its obligations. A further credit rating downgrade or a U.S. credit default could decrease the value and increase the volatility of a Fund’s investments.

As described under “Market Risk — Asset-Backed Securities” 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” 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 market 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 market price of its securities could decline much more than would be predicted by a change in their yield relative 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.

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• 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. In addition to these risks, a Fund is 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, 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, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by 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 market prices 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 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. Derivatives include futures, non-U.S. currency contracts, swap contracts, 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, 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 consent of 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, a Fund often will not receive the collateral the day the collateral is called for.

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 in which it has invested.

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.

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.

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Swap contracts 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. See “Leveraging Risk” below.

A Fund’s use of derivatives may be subject to one or more special tax rules and could generate additional taxable income for shareholders.

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 (and many of the rules are not yet final), its ultimate impact remains unclear.

Under recently adopted rules and regulations, transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds will hold cleared derivatives through accounts at clearing members. In cleared derivatives transactions, the Funds will make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In many ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements. For example, the Funds may be required to provide more margin for cleared derivatives transactions than for bilateral derivatives transactions. Also, in contrast to a bilateral derivatives transaction, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives transaction at any time or an increase in margin requirements above the margin that the clearing member required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions or to terminate those transactions at any time. Any increase in margin requirements or termination of existing cleared derivatives transactions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member, because (as described under “Counterparty Risk” below) margin for cleared derivatives transactions in excess of a clearing house’s margin requirements typically is held by the clearing member. Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of the transaction, including loss of an increase in the value of the transaction and/or loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent.

These and other new rules and regulations could, among other things, further 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, increasing margin or capital requirements, or otherwise limiting liquidity or increasing transaction costs. These regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that the new clearing mechanisms will achieve that result, and in the meantime, as noted above, central clearing exposes the Funds to new kinds of risks and costs.

• 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. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).

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. investments, (ii) transactions in those investments and (iii) the repatriation of proceeds generated from the sale of those investments. A Fund may seek to collect a refund on taxes paid to a non-U.S. country. In those cases, all or a portion of those taxes could

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ultimately be recovered by a Fund. However, the recovery process could take several years and the Fund will incur expenses in its efforts to collect the refund, which will reduce the benefit of any recovery. A Fund’s efforts to collect a refund may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to pursue a refund is in its sole discretion, and it may decide not to pursue a refund, even if eligible.

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).

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).

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• 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) or in securities from issuers with high positive correlations to one another (such as U.S. Treasury Fund’s investments in securities issued by the U.S. Treasury and other fixed income securities that are backed by the full faith and credit of the U.S. government) 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 price 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 Japan) 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 country are vulnerable to events affecting other companies 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 1940 Act.

• 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 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.

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.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or 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. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties maintain a specific rating by a nationally recognized rating organization 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).

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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 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 a 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 longer time that events may occur that 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 contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts 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 derivatives will be affected by new rules and regulations affecting the derivatives market. As described under “Derivatives Risk” above, some derivatives transactions are required to be centrally 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 derivatives transaction. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. A clearing member is obligated by contract and by applicable regulation to segregate all funds received from customers with respect to cleared derivatives transactions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing member from its customers with respect to cleared derivatives are generally held by the clearing member on a commingled basis in an omnibus account, and the clearing member may invest those funds in certain instruments permitted under the applicable regulations. Therefore, a Fund might not be fully protected in the event of the bankruptcy of a Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing member’s customers for a relevant account class. Also, the clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives, which amounts are generally held in an omnibus account at the clearing house for all customers of the clearing member. Regulations promulgated by the Commodities Futures Trading Commission require that the clearing member notify the clearing house of the initial margin provided by the clearing member to the clearing house that is attributable to each customer. However, if the clearing member does not accurately report the Funds’ initial margin, the Funds are subject to the risk that a clearing house will use a Fund’s assets held in an omnibus account at the clearing house to satisfy payment obligations of a defaulting customer of the clearing member to the clearing house. In addition, clearing members generally provide the clearing house the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than individually for each customer. The Funds are therefore subject to the risk that a clearing house will not make variation margin payments owed to a Fund if another customer of the clearing member has suffered a loss and is in default, and the risk that a Fund will be required to provide additional variation margin to the clearing house before the clearing house will move the Fund’s cleared derivatives transactions to another clearing member. In addition, if a clearing member does not comply with the applicable regulations or its agreement with the Funds, or in the event of fraud or misappropriation of customer assets by a clearing member, a Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the margin held by the clearing member.

• 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. Securities markets may be susceptible to market manipulation (e.g., the potential manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or adversely affect the value of investments traded in these markets, including investments of the Funds. While the U.S. government has honored its credit obligations continuously for the last 200 years, it remains possible that the U.S. could default on its obligations. While it is impossible to predict the consequences of such an unprecedented event, it is likely that a default by the U.S. would be highly disruptive to the U.S. and global securities markets and could significantly impair the value of the Funds’ investments. Similarly, political events within the U.S. at times have resulted, and may in the future result, in a shutdown of government services, which could

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negatively affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. The uncertainty surrounding the sovereign debt of a significant number of European Union countries, 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, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also 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 market disruption may adversely affect the orderly functioning of the securities markets and 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. To the extent that a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events could have a disproportionate impact on the 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 the shares of many Funds, and asset allocation decisions by the Manager may result in substantial redemptions from (or investments in) 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, by necessitating a sale of portfolio securities, accelerate the realization of taxable income to shareholders. 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, errors or limitations in those analyses and models could affect the ability of the portfolio managers to implement a Fund’s strategies. 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 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.

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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 of their underlying Funds (e.g., many of the Fixed Income Funds) 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 subject indirectly to Large Shareholder Risk because those other 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 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:

• Quality Fund

• Real Estate Fund

• U.S. Flexible Equities Fund

• U.S. Growth Fund

• U.S. Intrinsic Value Fund

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.

4. Derivative financial instruments

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

The 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. Quality Fund and U.S. Flexible Equities Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts, 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). 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.

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

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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).

Certain derivatives transactions used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions through clearing members, who are members of derivatives clearing houses. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing members generally can require termination of existing cleared derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

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 “Investment and other risks” above for further information.

For Funds that held derivatives during the period ended August 31, 2013, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	U.S. Core Equity Fund		U.S. Intrinsic Value Fund
Futures contracts
Maintain the diversity and liquidity of the portfolio		X
Rights and/or warrants
Received as a result of corporate actions				X

Forward currency contracts

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.

Futures contracts

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 (and if 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, 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 as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may

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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

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 in the Statements of Operations.

Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if 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, 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.

Swap contracts

The Funds may enter into various types of swap contracts, 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 contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract 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 contract 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 contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.

Interest rate swap contracts 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 contracts 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 futures 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.

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In a credit default swap contract, 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 contracts 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 contracts 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 contracts 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 OTC swap contracts 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 in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which might be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

The values assigned to swap contracts may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. 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 contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

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.

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2013 and the Statements of Operations for the period ended August 31, 2013^:

	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
U.S. Core Equity Fund
Net Realized Gain (Loss) on:
Futures Contracts	$	—	$	630,294		$	—	$	—	$	—	$	630,294
U.S. Intrinsic Value Fund
Asset:
Investments, at value (rights and/or warrants)	$	—	$	2,992		$	—	$	—	$	—	$	2,992
Derivatives not subject to Master Agreements	$	—	$	2,992		$	—	$	—	$	—	$	2,992
Total subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	(226	)	$	—	$	—	$	—	$	(226	)
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—	$	987		$	—	$	—	$	—	$	987

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

^ Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

The derivative financial instruments outstanding as of period end, if any, (as disclosed in the Funds’ Schedule of Investments) serve as an indicator of the volume of derivative activity for the Funds during the period.

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to each Fund. That fee, if any, is paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:

	Quality Fund		Real Estate Fund		U.S. Core Equity Fund		U.S. Flexible Equities Fund		U.S. Growth Fund		U.S. Intrinsic Value Fund		U.S. Small/Mid Cap Fund
Management Fee		0.33%		0.33%		0.31%		0.33%		0.31%		0.31%		0.45%

In addition, each class of shares of certain Funds (except Class M shares which are described below (U.S. Growth and U.S. Core Equity Fund Class M liquidated on January 31, 2013)) pays the Manager a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Class M shares of a Fund pay the Manager an administration fee, which is used by the Manager to defray its expenses (or the expenses of a third party) in providing administration and record keeping services to certain marketplaces where Class M shares of each Fund may be purchased. The Manager may pay part or all of the administration fee to third parties for providing administration and record keeping services. In some cases, these third parties also receive compensation from the Fund’s

67

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August 31, 2013 (Unaudited)

distributor pursuant to the Trust’s Distribution and Service (12b-1) Plan. Shareholder service fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:

Fund Name	Class III		Class IV		Class V			Class VI
Quality Fund		0.15%		0.105%		0.085%			0.055%
Real Estate Fund		0.15%
U.S. Core Equity Fund		0.15%		0.10%		0.085%	*		0.055%
U.S. Flexible Equities Fund		0.15%		0.105%		0.085%			0.055%
U.S. Growth Fund		0.15%
U.S. Intrinsic Value Fund		0.15%
U.S. Small/Mid Cap Fund		0.15%

* Class is offered but has no shareholders as of August 31, 2013.

For each Fund, the Manager has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to the Manager. “Specified Operating Expenses” means only the following expenses to the extent that they are borne by a Fund: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of the Manager, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

For each Fund that charges a management fee, the Manager will waive and/or reduce the Fund’s management fee, but not below zero, to the extent necessary to offset the management fees directly or indirectly paid by the Fund to the Manager as a result of the Fund’s direct or indirect investments in other GMO Funds.

For each Fund that charges a shareholder service fee, the Manager will waive and/or reduce the shareholder service fee charged by each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly paid by the class of shares of the Fund to the Manager as a result of the Fund’s direct or indirect investments in other GMO Funds.

These contractual waivers and reimbursements will continue through at least June 30, 2014 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to the Manager under the Fund’s management contract or servicing and supplement support agreement.

The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with the Manager during the period ended August 31, 2013 is shown in the table below and included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agents unaffiliated with the Manager ($)
Quality Fund		70,877		10,396
Real Estate Fund		13		5
U.S. Core Equity Fund		7,990		1,104
U.S. Flexible Equities Fund		39,228		5,520
U.S. Growth Fund		11		5
U.S. Intrinsic Value Fund		25		5
U.S. Small/Mid Cap Fund		17		5

68

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2013, these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:

Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Total Indirect Expenses
Quality Fund		<0.001%		0.000%		<0.001%
Real Estate Fund		<0.001%		0.000%		<0.001%
U.S. Core Equity Fund		<0.001%		0.000%		<0.001%
U.S. Flexible Equities Fund		<0.001%		0.000%		<0.001%
U.S. Growth Fund		<0.001%		0.000%		<0.001%
U.S. Intrinsic Value Fund		<0.001%		0.000%		<0.001%
U.S. Small/Mid Cap Fund		<0.001%		0.000%		<0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2013 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Quality Fund		—		2,865,034,804		—		3,743,083,907
Real Estate Fund		—		2,022,382		—		1,702,300
U.S. Core Equity Fund		—		511,178,333		—		715,434,677
U.S. Flexible Equities Fund		—		1,140,772,987		—		1,711,778,814
U.S. Growth Fund		—		914,871		—		820,887
U.S. Intrinsic Value Fund		—		3,251,960		—		3,022,967
U.S. Small/Mid Cap Fund		—		3,147,898		—		4,593,757

Cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, in accordance with U.S. GAAP for the period ended August 31, 2013 are noted in the table below:

Fund Name	Purchases ($)		Sales ($)
Quality Fund		295,541,382		—

7. Guarantees

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

69

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

8. Principal shareholders and related parties as of August 31, 2013

Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund			Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund (%)		Percentage of the shares of the Fund held by senior management of the Manager and GMO Trust officers (%)		Percentage of the Fund’s shares held by accounts for which the Manager has investment discretion (%)
Quality Fund		—			—		0.26		9.00
Real Estate Fund		2			90.69		0.24		58.80
U.S. Core Equity Fund		2	*		66.32		0.01		56.09
U.S. Flexible Equities Fund		5	**		72.48		—		100.00
U.S. Growth Fund		1			72.82		0.57		—
U.S. Intrinsic Value Fund		1			98.34		0.16		—
U.S. Small/Mid Cap Fund		4	*		85.81		0.84		88.87

* One of these shareholders is another fund of the Trust.

** Four of these shareholders are other funds of the Trust.

9. Share transactions

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

	Six Months Ended August 31, 2013 (Unaudited)						Year Ended February 28, 2013
	Shares			Amount			Shares			Amount
Quality Fund
Class III:
Shares sold		9,144,436		$	231,681,251			63,700,248		$	1,491,949,925
Shares issued to shareholders in reinvestment of distributions		3,903,844			98,572,051			25,508,027			576,497,416
Shares repurchased		(48,341,563	)		(1,232,650,784	)		(87,919,746	)(b)		(2,049,076,947	)(b)
Net increase (decrease)		(35,293,283	)	$	(902,397,482	)		1,288,529		$	19,370,394
Class IV:
Shares sold		32,581,592	(a)	$	837,241,987	(a)		53,745,204		$	1,252,455,988
Shares issued to shareholders in reinvestment of distributions		1,414,966			35,770,341			7,149,206			161,564,380
Shares repurchased		(13,397,001	)		(340,946,319	)		(60,540,630	)(c)		(1,421,283,312	)(c)
Net increase (decrease)		20,599,557		$	532,066,009			353,780		$	(7,262,944	)
Class V:
Shares sold		119,808		$	3,000,000			19,127,950		$	458,305,265
Shares issued to shareholders in reinvestment of distributions		222,736			5,630,755			3,154,208			71,322,133
Shares repurchased		(5,732,495	)		(142,341,527	)		(27,877,208	)(d)		(638,803,263	)(d)
Net increase (decrease)		(5,389,951	)	$	(133,710,772	)		(5,595,050	)	$	(109,175,865	)

70

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Six Months Ended August 31, 2013 (Unaudited)						Year Ended February 28, 2013
	Shares			Amount			Shares			Amount
Quality Fund (continued)
Class VI:
Shares sold		11,503,554	(e)	$	278,789,088	(e)		66,181,957		$	1,548,860,685
Shares issued to shareholders in reinvestment of distributions		2,814,633			71,125,770			31,309,909			709,189,378
Shares repurchased		(13,810,628	)		(349,244,442	)		(342,899,522	)(f)		(7,808,905,960	)(f)
Net increase (decrease)		507,559		$	670,416			(245,407,656	)	$	(5,550,855,897	)
Real Estate Fund
Class III:
Shares sold		—		$	—			36,902		$	338,374
Shares issued to shareholders in reinvestment of distributions		651			6,418			2,670			24,795
Shares repurchased		(3,093	)		(31,556	)		(725,836	)		(6,881,113	)
Net increase (decrease)		(2,442	)	$	(25,138	)		(686,264	)	$	(6,517,944	)
U.S. Core Equity Fund
Class III:
Shares sold		205,655		$	3,162,242			2,260,401		$	30,975,057
Shares issued to shareholders in reinvestment of distributions		33,572			533,131			296,373			4,019,796
Shares repurchased		(1,925,493	)		(30,146,233	)		(9,461,243	)		(129,490,457	)
Net increase (decrease)		(1,686,266	)	$	(26,450,860	)		(6,904,469	)	$	(94,495,604	)
Class IV:
Shares sold		359,388		$	5,635,201			—		$	—
Shares issued to shareholders in reinvestment of distributions		8,496			134,749			68,092			921,941
Shares repurchased		(552,374	)		(8,510,304	)		(997,176	)		(13,631,268	)
Net increase (decrease)		(184,490	)	$	(2,740,354	)		(929,084	)	$	(12,709,327	)
Class VI:
Shares sold		7,473,405		$	116,977,186			21,051,489		$	287,565,237
Shares issued to shareholders in reinvestment of distributions		294,984			4,672,547			1,836,320			24,844,302
Shares repurchased		(19,934,362	)		(318,991,921	)		(20,615,486	)		(278,704,091	)
Net increase (decrease)		(12,165,973	)	$	(197,342,188	)		2,272,323		$	33,705,448
Class M***:
Shares issued to shareholders in reinvestment of distributions								1,072			14,539
Shares repurchased								(94,324	)		(1,330,643	)
Net increase (decrease)								(93,252	)	$	(1,316,104	)
U.S. Flexible Equities Fund
Class III*:
Shares sold		745,578		$	8,249,752			77,895,051	(g)	$	772,410,711	(g)
Shares issued to shareholders in reinvestment of distributions		371,481			4,119,722			1,342,909			13,173,937
Shares repurchased		(7,117,197	)		(77,917,109	)		(46,546,723	)		(464,712,335	)
Net increase (decrease)		(6,000,138	)	$	(65,547,635	)		32,691,237		$	320,872,313

71

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Six Months Ended August 31, 2013 (Unaudited)						Year Ended February 28, 2013
	Shares			Amount			Shares			Amount
U.S. Flexible Equities Fund (continued)
Class IV*:
Shares sold		2,814,496		$	31,406,937			19,277,294	(h)	$	190,859,052	(h)
Shares issued to shareholders in reinvestment of distributions		143,818			1,594,940			363,309			3,564,059
Shares repurchased		(1,641,454	)		(17,854,420	)		(11,335,500	)		(112,964,136	)
Net increase (decrease)		1,316,860		$	15,147,457			8,305,103		$	81,458,975
Class V*:
Shares sold		—		$	—			59,559,593	(i)	$	589,682,736	(i)
Shares issued to shareholders in reinvestment of distributions		301,550			3,344,188			1,147,912			11,261,018
Shares repurchased		(6,836,314	)		(75,098,685	)		(33,867,104	)		(337,322,236	)
Net increase (decrease)		(6,534,764	)	$	(71,754,497	)		26,840,401		$	263,621,518
Class VI**:
Shares sold		48,813,355		$	539,475,156			1,459,955,534	(j)	$	14,561,201,981	(j)
Shares issued to shareholders in reinvestment of distributions		9,273,405			102,842,060			27,251,486			267,337,078
Shares repurchased		(91,271,175	)		(1,018,867,499	)		(864,540,418	)		(8,618,942,622	)
Net increase (decrease)		(33,184,415	)	$	(376,550,283	)		622,666,602		$	6,209,596,437
U.S. Growth Fund
Class III:
Shares sold		—		$	—			9,992		$	197,283
Shares issued to shareholders in reinvestment of distributions		676			14,293			19,310			371,709
Shares repurchased		(161	)		(3,323	)		(3,354	)		(68,795	)
Net increase (decrease)		515		$	10,970			25,948		$	500,197
Class M***:
Shares issued to shareholders in reinvestment of distributions								5,709			109,734
Shares repurchased								(35,082	)		(661,896	)
Net increase (decrease)								(29,373	)	$	(552,162	)
U.S. Intrinsic Value Fund
Class III:
Shares sold		1,966		$	18,990			2,387		$	20,573
Shares issued to shareholders in reinvestment of distributions		2,411			25,052			26,740			233,283
Shares repurchased		(285	)		(2,958	)		(6,816	)		(60,340	)
Net increase (decrease)		4,092		$	41,084			22,311		$	193,516
U.S. Small/Mid Cap Fund
Class III:
Shares sold		2,227		$	23,050			54,420		$	463,955
Shares issued to shareholders in reinvestment of distributions		2,151			23,550			13,889			122,491
Shares repurchased		(166,817	)		(1,780,912	)		(204,737	)		(1,696,562	)
Purchase premiums		—			69			—			951
Redemption fees		—			5,343			—			6,704
Net increase (decrease)		(162,439	)	$	(1,728,900	)		(136,428	)	$	(1,102,461	)

72

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

^(a) 6,495,158 shares and $167,185,390 were purchased in-kind.

^(b)  15,480,942 shares and $350,049,355 were redeemed in-kind.

^(c)  4,217,175 shares and $95,429,526 were redeemed in-kind.

^(d)  13,031,535 shares and $294,841,368 were redeemed in-kind.

^(e)  5,372,627 shares and $128,352,069 were purchased in-kind.

^(f)  287,187,391 shares and $6,502,556,921 were redeemed in-kind.

^(g)  35,355,956 shares and $350,049,355 were purchased in-kind.

^(h)  9,638,647 shares and $95,429,526 were purchased in-kind.

⁽ⁱ⁾  29,779,796 shares and $294,841,368 were purchased in-kind.

^(j)  656,058,687 shares and $6,502,556,921 were purchased in-kind.

* The period under the heading “Year Ended February 28, 2013” represents the period from July 23, 2012 (commencement of operations) through February 28, 2013.

** The period under the heading “Year Ended February 28, 2013” represents the period from July 20, 2012 (commencement of operations) through February 28, 2013.

*** Class M liquidated on January 31, 2013.

10. Investments in affiliated issuers

A summary of the Funds’ transactions in the shares of other funds of the Trust during the period ended August 31, 2013 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Value, end of period
Quality Fund
GMO U.S. Treasury Fund	$	129,198,867	$	628,932,000	$	598,166,194	$	44,830	$	11,443	$	160,034,000
Real Estate Fund
GMO U.S. Treasury Fund	$	—	$	208,000	$	84,000	$	26	$	5	$	123,975
U.S. Core Equity Fund
GMO U.S. Treasury Fund	$	23,294,000	$	54,985,000	$	45,559,000	$	6,480	$	2,291	$	32,715,073
U.S. Flexible Equities Fund
GMO U.S. Treasury Fund	$	58,187,959	$	117,482,000	$	97,782,959	$	18,600	$	7,065	$	77,859,118
U.S. Growth Fund
GMO U.S. Treasury Fund	$	40,973	$	113,000	$	92,000	$	21	$	10	$	61,971
U.S. Intrinsic Value Fund
GMO U.S. Treasury Fund	$	83,995	$	127,000	$	84,000	$	43	$	11	$	126,987
U.S. Small/Mid Cap Fund
GMO U.S. Treasury Fund	$	14,998	$	211,000	$	81,848	$	27	$	5	$	144,127

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2013 through August 31, 2013. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2014.

73

GMO Trust Funds

Board Review of Management Agreements

August 31, 2013 (Unaudited)

Quality Fund

Approval of renewal of management agreement for GMO Quality Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

74

GMO Trust Funds

Board Review of Management Agreements

August 31, 2013 (Unaudited)

Real Estate Fund

Approval of renewal of management agreement for GMO Real Estate Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

75

GMO Trust Funds

Board Review of Management Agreements

August 31, 2013 (Unaudited)

U.S. Core Equity Fund

Approval of renewal of management agreement for GMO U.S. Core Equity Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with fees paid to the Manager for providing sub-advisory services to funds managed by third parties and the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides, on the one hand, to the Fund and, on the other, to the third-party funds for which the Manager serves as subadviser and to the Manager’s separately managed accounts. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

76

GMO Trust Funds

Board Review of Management Agreements

August 31, 2013 (Unaudited)

U.S. Flexible Equities Fund

Approval of renewal of management agreement for GMO U.S. Flexible Equities Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. In addition, the Trustees took into account their discussion with representatives of the Manager regarding ways to evaluate the performance of the Fund, given that the Fund is not a standalone investment and the investment strategies the Manager pursues for the Fund are intended to complement the strategies being pursued by the Manager in other GMO funds or accounts. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

77

GMO Trust Funds

Board Review of Management Agreements

August 31, 2013 (Unaudited)

U.S. Growth Fund

Approval of renewal of management agreement for GMO U.S. Growth Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

78

GMO Trust Funds

Board Review of Management Agreements

August 31, 2013 (Unaudited)

U.S. Intrinsic Value Fund

Approval of renewal of management agreement for GMO U.S. Intrinsic Value Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with fees paid to the Manager for providing sub-advisory services to funds managed by third parties and the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides, on the one hand, to the Fund and, on the other, to the third-party funds for which the Manager serves as subadviser and to the Manager’s separately managed accounts. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

79

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2013 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2013.

As a shareholder of the Funds, you may incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in Dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2013 through August 31, 2013.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Actual						Hypothetical
	Beginning Account Value March 1, 2013		Ending Account Value August 31, 2013		Expenses Paid During the Period*		Beginning Account Value March 1, 2013		Ending Account Value August 31, 2013		Expenses Paid During the Period*		Annualized Net Expense Ratio
Quality Fund
Class III		$1,000.00		$1,058.10		$2.49		$1,000.00		$1,022.79		$2.45		0.48%
Class IV		$1,000.00		$1,058.10		$2.28		$1,000.00		$1,022.99		$2.24		0.44%
Class V		$1,000.00		$1,058.50		$2.18		$1,000.00		$1,023.09		$2.14		0.42%
Class VI		$1,000.00		$1,058.20		$2.02		$1,000.00		$1,023.24		$1.99		0.39%
Real Estate Fund
Class III		$1,000.00		$950.40		$2.36		$1,000.00		$1,022.79		$2.45		0.48%
U.S. Core Equity Fund
Class III		$1,000.00		$1,085.40		$2.42		$1,000.00		$1,022.89		$2.35		0.46%
Class IV		$1,000.00		$1,085.70		$2.16		$1,000.00		$1,023.14		$2.09		0.41%
Class VI		$1,000.00		$1,085.80		$1.95		$1,000.00		$1,023.34		$1.89		0.37%
U.S. Flexible Equities Fund
Class III		$1,000.00		$1,059.30		$2.49		$1,000.00		$1,022.79		$2.45		0.48%
Class IV		$1,000.00		$1,059.50		$2.28		$1,000.00		$1,022.99		$2.24		0.44%
Class V		$1,000.00		$1,059.40		$2.18		$1,000.00		$1,023.09		$2.14		0.42%
Class VI		$1,000.00		$1,059.50		$2.02		$1,000.00		$1,023.24		$1.99		0.39%
U.S. Growth Fund
Class III		$1,000.00		$1,109.90		$2.50		$1,000.00		$1,022.84		$2.40		0.47%
U.S. Intrinsic Value Fund
Class III		$1,000.00		$1,097.70		$2.43		$1,000.00		$1,022.89		$2.35		0.46%
U.S. Small/Mid Cap Fund
Class III		$1,000.00		$1,123.50		$3.21		$1,000.00		$1,022.18		$3.06		0.60%

* Expenses are calculated using each Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2013, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

80

GMO Trust

Semiannual Report

August 31, 2013

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

International Bond Fund

Short-Duration Collateral Fund

Short-Duration Collateral Share Fund

Strategic Fixed Income Fund

U.S. Treasury Fund

World Opportunity Overlay Fund

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

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

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

TABLE OF CONTENTS

Asset Allocation Bond Fund:
Investment Concentration Summary	1
Schedule of Investments	2
Core Plus Bond Fund:
Investment Concentration Summary	3
Schedule of Investments	4
Currency Hedged International Bond Fund:
Investment Concentration Summary	8
Schedule of Investments	9
Debt Opportunities Fund:
Investment Concentration Summary	12
Schedule of Investments	13
Domestic Bond Fund:
Investment Concentration Summary	21
Schedule of Investments	22
Emerging Country Debt Fund:
Investment Concentration Summary	23
Schedule of Investments	24
Global Bond Fund:
Investment Concentration Summary	34
Schedule of Investments	35
International Bond Fund:
Investment Concentration Summary	39
Schedule of Investments	40
Short-Duration Collateral Fund:
Investment Concentration Summary	43
Schedule of Investments	44
Short-Duration Collateral Share Fund:
Investment Concentration Summary	49
Schedule of Investments	50
Strategic Fixed Income Fund:
Investment Concentration Summary	51
Schedule of Investments	52
U.S. Treasury Fund:
Investment Concentration Summary	55
Schedule of Investments	56
World Opportunity Overlay Fund:
Investment Concentration Summary	57
Schedule of Investments	58
Portfolio Abbreviations and Currency Abbreviations	66
Fund Financial Statements:
Statements of Assets and Liabilities	67
Statements of Operations	73
Statements of Changes in Net Assets	76
Statements of Cash Flows	83
Financial Highlights	84
Notes to Financial Statements	97
Board Review of Management Agreements	150
Fund Expenses	163

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Debt Obligations		96.7	%
Mutual Funds		3.1
Short-Term Investments		0.1
Other		0.1
		100.0	%

1

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 96.7%
		U.S. Government — 96.7%
	453,105,486	U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/25 (a)		529,142,024
	111,147,840	U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/27 (a)		130,876,581
	77,228,200	U.S. Treasury Inflation Indexed Note, 1.25%, due 04/15/14 (a)		78,115,089
	521,934,150	U.S. Treasury Inflation Indexed Note, 1.13%, due 01/15/21 (a)		550,314,319
	924,424,260	U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22 (a)		891,925,201
		Total U.S. Government		2,180,373,214
		TOTAL DEBT OBLIGATIONS (COST $2,234,255,355)		2,180,373,214
		MUTUAL FUNDS — 3.1%
		United States — 3.1%
		Affiliated Issuers
	2,836,300	GMO U.S. Treasury Fund		70,907,506
		TOTAL MUTUAL FUNDS (COST $70,926,269)		70,907,506
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	2,041,957	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (b)		2,041,957
		TOTAL SHORT-TERM INVESTMENTS (COST $2,041,957)		2,041,957
		TOTAL INVESTMENTS — 99.9% (Cost $2,307,223,581)		2,253,322,677
		Other Assets and Liabilities (net) — 0.1%		1,187,842
		TOTAL NET ASSETS — 100.0%		$2,254,510,519

Notes to Schedule of Investments:

(a) Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

(b) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 66.

2 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		91.7	%
Short-Term Investments		11.1
Options Purchased		1.1
Loan Participations		0.1
Loan Assignments		0.0	^
Rights/Warrants		0.0	^
Forward Currency Contracts		(0.1	)
Futures Contracts		(0.2	)
Written Options		(0.4	)
Reverse Repurchase Agreements		(1.8	)
Swap Contracts		(3.1	)
Other		1.6
		100.0	%
Country/Region Summary**	% of Investments
United States		97.4	%
Canada		12.2
Switzerland		8.4
Sweden		6.9
Emerging***		3.9
Australia		1.3
Euro Region****		(2.4	)
United Kingdom		(10.6	)
Japan		(17.1	)
		100.0	%

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

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on Grantham, Mayo, Van Otterloo & Co. LLC’s (the “Manager”) models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security.

*** The “Emerging” exposure is associated only with investments in the Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of Mexico, Venezuela, Russia, Turkey, Brazil, Argentina, Indonesia, Philippines, Hungary and Tunisia. Additional information about the fund’s emerging country exposure is available in the financial statements of the Emerging Country Debt Fund country/region summary.

**** The “Euro Region” is comprised of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Malta, Netherlands, Portugal, Slovakia, Slovenia and Spain.

^ Rounds to 0.0%.

3

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 53.8%
		Albania — 3.7%
		Foreign Government Obligations
USD	14,281,227	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a)		8,497,330
		Australia — 0.1%
		Asset-Backed Securities
USD	114,708	Crusade Global Trust, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.33%, due 04/19/38		111,943
USD	165,894	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 0.34%, due 05/10/36		165,215
		Total Australia		277,158
		United Kingdom — 0.1%
		Asset-Backed Securities
USD	350,119	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 0.47%, due 01/13/39		335,869
USD	19,221	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .08%, 0.26%, due 12/20/54		18,820
		Total United Kingdom		354,689
		United States — 49.9%
		Asset-Backed Securities — 1.4%
USD	283,883	Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .20%, 0.58%, due 05/25/37 ¿		14,549
USD	943,620	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.33%, due 07/25/36 ¿		387,474
USD	90,979	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.29%, due 09/25/36 ¿		36,392
USD	790,483	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.33%, due 06/25/36 ¿		287,538
USD	104,312	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.57%, due 01/25/36		83,971
USD	300,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.52%, due 01/25/24		292,500
USD	94,517	Crest Exeter Street Solar, Series 04-1A, Class A1, 144A, 3 mo. LIBOR + .35%, 0.63%, due 06/28/19		92,627
USD	485,162	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.34%, due 04/25/36 ¿		362,052
USD	350,825	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.38%, due 05/25/36 ¿		195,969

Par Value		Description	Value ($)
		Asset-Backed Securities — continued
USD	91,843	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.34%, due 08/25/36 ¿		36,278
USD	566,638	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.42%, due 11/15/33		515,641
USD	254,532	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .51%, 1.26%, due 03/06/20		253,743
USD	125,622	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.33%, due 03/25/36 ¿		86,993
USD	610,431	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.33%, due 06/25/36 ¿		325,054
USD	477,367	Morgan Stanley Capital, Inc., Series 07-HE4, Class A2C, 1 mo. LIBOR + .23%, 0.41%, due 02/25/37 ¿		186,173
USD	28,423	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.47%, due 12/25/32		24,728
USD	11,984	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.76%, due 11/25/35		11,715
				3,193,397
		Corporate Debt — 2.0%
USD	1,000,000	Bank of America Corp., 3.30%, due 01/11/23		916,720
USD	1,000,000	Citigroup, Inc., 3.38%, due 03/01/23		942,660
USD	1,000,000	General Electric Capital Corp., 3.10%, due 01/09/23		923,720
USD	1,000,000	Goldman Sachs Group, Inc. (The), 3.63%, due 01/22/23		944,550
USD	1,000,000	JPMorgan Chase & Co., 3.20%, due 01/25/23		926,330
				4,653,980
		U.S. Government — 46.5%
USD	10,000,000	U.S. Treasury Bond, 3.13%, due 02/15/43		8,929,690
USD	18,645,094	U.S. Treasury Inflation Indexed Note, 1.25%, due 04/15/14 (b)		18,859,214
USD	50,000,000	U.S. Treasury Note, 0.75%, due 02/28/18		48,453,100
USD	35,000,000	U.S. Treasury Note, 1.63%, due 11/15/22 (c)		31,874,605
				108,116,609
		Total United States		115,963,986
		TOTAL DEBT OBLIGATIONS (COST $127,949,681)		125,093,163

4 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares / Principal Amount		Description	Value ($)
		MUTUAL FUNDS — 45.7%
		United States
		Affiliated Issuers
	1,027,202	GMO Emerging Country Debt Fund, Class IV		9,840,596
	7,417,054	GMO Short-Duration Collateral Fund		24,550,449
	751,893	GMO U.S. Treasury Fund		18,797,337
	2,030,456	GMO World Opportunity Overlay Fund		53,177,649
		TOTAL MUTUAL FUNDS (COST $99,209,910)		106,366,031
		OPTIONS PURCHASED — 0.5%
		Currency Options
EUR	5,800,000	EUR Call/USD Put, Expires 01/09/14, Strike 1.34, (OTC) (CP-BCLY)		119,591
NZD	14,000,000	NZD Call/USD Put, Expires 11/15/13, Strike 0.83, (OTC) (CP-CITI)		27,286
NZD	14,000,000	NZD Call/USD Put, Expires 11/15/13, Strike 0.83, (OTC) (CP-JPM)		27,286
AUD	9,000,000	USD Call/AUD Put, Expires 10/02/13, Strike 0.86, (OTC) (CP-JPM)		43,080
AUD	9,000,000	USD Call/AUD Put, Expires 10/02/13, Strike 0.99, (OTC) (CP-BCLY)		916,292
JPY	850,000,000	USD Call/JPY Put, Expires 02/12/14, Strike 104.00, (OTC) (CP-BCLY)		100,284
		TOTAL OPTIONS PURCHASED (COST $701,077)		1,233,819

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.0%
		Money Market Funds — 0.4%
	907,763	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (d)		907,763
		U.S. Government — 0.6%
	1,300,000	U.S. Treasury Bill, 0.10%, due 07/24/14 (c) (e)		1,298,801
		TOTAL SHORT-TERM INVESTMENTS (COST $2,206,444)		2,206,564
		TOTAL INVESTMENTS — 101.0% (Cost $230,067,112)		234,899,577
		Other Assets and Liabilities (net) — (1.0%)		(2,317,083	)
		TOTAL NET ASSETS — 100.0%		$232,582,494

A summary of outstanding financial instruments at August 31, 2013
is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/22/2013	BCLY		AUD	1,000,000		USD	906,890	$	19,671
10/29/2013	DB		CAD	2,300,000		USD	2,185,709		5,056
09/24/2013	BCLY		CHF	7,600,000		USD	8,048,963		(120,357	)
09/24/2013	JPM		CHF	900,000		USD	974,160		6,740
10/01/2013	BCLY		EUR	6,300,000		USD	8,335,543		8,411
10/01/2013	CITI		EUR	700,000		USD	935,148		9,911
10/01/2013	JPM		EUR	3,500,000		USD	4,663,005		36,820
09/10/2013	CITI		GBP	2,500,000		USD	3,752,067		(122,004	)
09/10/2013	JPM		GBP	1,800,000		USD	2,718,376		(70,955	)
10/08/2013	CITI		JPY	670,000,000		USD	6,806,214		(18,685	)
09/17/2013	CITI		NZD	6,100,000		USD	4,907,574		197,649
09/17/2013	JPM		NZD	3,900,000		USD	3,127,215		115,952
09/03/2013	CITI		SEK	34,350,000		USD	5,228,072		45,005
09/03/2013	DB		SEK	10,200,000		USD	1,537,304		(1,773	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
09/03/2013	DB		USD	3,099,561		SEK	20,300,000	$	(36,497	)
09/03/2013	GS		USD	965,157		SEK	6,300,000		(14,551	)
09/03/2013	JPM		USD	2,663,667		SEK	17,950,000		44,806
09/10/2013	CITI		USD	5,397,895		GBP	3,500,000		25,804
09/10/2013	DB		USD	4,811,609		GBP	3,100,000		(7,761	)
09/17/2013	CITI		USD	794,030		NZD	1,000,000		(21,911	)
09/17/2013	DB		USD	13,823,711		NZD	17,600,000		(234,420	)
09/24/2013	CITI		USD	2,354,062		CHF	2,200,000		10,742
10/01/2013	CITI		USD	2,121,771		EUR	1,600,000		(6,944	)
10/01/2013	JPM		USD	1,460,036		EUR	1,100,000		(6,092	)
10/15/2013	DB		USD	3,377,060		NOK	20,200,000		(81,382	)
10/22/2013	DB		USD	1,796,146		AUD	2,000,000		(21,707	)
10/29/2013	CITI		USD	4,181,377		CAD	4,400,000		(9,693	)
11/05/2013	CITI		USD	5,228,293		SEK	34,400,000		(45,059	)
								$	(293,224	)

See accompanying notes to the financial statements. 5

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
204	Canadian Government Bond 10 Yr.	December 2013	$	24,945,600	$	182,987
Sales
25	Euro Bund	September 2013	$	4,647,582	$	78,711
35	Japanese Government Bond 10 Yr. (TSE)	September 2013		51,456,435		(547,315	)
2	Australian Government Bond 10 Yr.	September 2013		208,801		964

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
188	U.S. Treasury Bond 30 Yr. (CBT)	December 2013	$	24,798,375	$	(161,836	)
17	U.S. Treasury Note 10 Yr. (CBT)	December 2013		2,112,781		(5,098	)
71	U.S. Treasury Note 5 Yr. (CBT)	December 2013		8,497,258		8,662
162	U.S. Treasury Note 2 Yr. (CBT)	December 2013		35,599,500		(3,387	)
153	UK Gilt Long Bond	December 2013		25,939,196		30,756
			$	153,259,928	$	(598,543	)

Written Options

Principal Amount				Expiration Date	Description	Premiums		Market Value
	Put	AUD	18,000,000	10/02/2013	USD Call/AUD Put, Strike 0.92 (OTC) (CP-JPM)	$	391,792	$	(625,712	)
	Put	JPY	850,000,000	02/12/2014	USD Call/JPY Put, Strike 110.00 (OTC) (CP-BCLY)		121,751		(35,416	)
							$513,543	$	(661,128	)

Swap Contracts

Credit Default Swaps

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)
	2,000,000	USD	12/20/2013	BCLY	Receive	0.25%	0.51%	SLM Corp.		2,000,000	USD	$	(661	)
	40,000,000	USD	12/20/2015	BCLY	(Pay)	1.00%	0.36%	CDX.NA.IG.19		N/A			(666,711	)
	25,000,000	USD	12/20/2022	BCLY	Receive	1.00%	1.26%	CDX.NA.IG.19		25,000,000	USD		(448,936	)
												$	(1,116,308	)
								Premiums to (Pay) Receive				$	1,238,548

^ Receive - Fund receives premium and sells credit protection. If a credit event occurs, the Fund will either, depending on the terms of the terms of the particular swap contract, (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, the Fund will either, depending on the terms of the terms of the particular swap contract, (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 contracts on the reference security, as of August 31, 2013, 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 contract.

⁽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 contract.

6 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	42,100,000	SEK	9/18/2020	DB	Receive	1.90%	3 Month SEK STIBOR	$	(308,062	)
	13,300,000	CHF	9/18/2023	BCLY (f)	Receive	1.20%	6 Month CHF LIBOR		(542,905	)
	33,300,000	SEK	9/18/2020	BCLY (f)	Receive	1.90%	3 Month SEK STIBOR		(245,759	)
	27,000,000	SEK	9/18/2023	BCLY (f)	Receive	2.60%	3 Month SEK STIBOR		(106,332	)
								$	(1,203,058	)
							Premiums to (Pay) Receive	$	324,930

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

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund (Pays)/Receives	Net Unrealized Appreciation/ (Depreciation)
	25,000,000	USD	9/30/2013	JPM	1 Month LIBOR + 0.07%	Barclays MBS Fixed Rate Index	$	—
	150,000,000	USD	1/31/2014	BCLY	1 Month LIBOR	Barclays Aggregate Total Return		(791,035	)
								$(791,035)
					Premiums to (Pay) Receive		$	—

As of August 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

¿ These securities are primarily backed by subprime mortgages.

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

(b) Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

(c) All or a portion of this security has been pledged to cover margin requirements on futures and cleared swap contracts, collateral on OTC swap contracts and forward currency contracts, and/or written options, if any. (Note 4).

(d) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

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

(f) Interest rate swap was cleared through the CME Group.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 66.

See accompanying notes to the financial statements. 7

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		86.5	%
Short-Term Investments		15.4
Options Purchased		1.1
Loan Participations		0.1
Loan Assignments		0.0	^
Rights/Warrants		0.0	^
Forward Currency Contracts		(0.1	)
Written Options		(0.4	)
Futures Contracts		(0.5	)
Reverse Repurchase Agreements		(1.8	)
Swap Contracts		(2.5	)
Other		2.2
		100.0	%
Country/Region Summary**	% of Investments
Euro Region***		65.9	%
Canada		15.8
Switzerland		8.1
Sweden		7.8
United Kingdom		6.4
United States		4.9
Emerging****		3.9
Australia		3.8
Japan		(16.6	)
		100.0	%

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

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on the Manager’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security.

*** The “Euro Region” is comprised of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Malta, Netherlands, Portugal, Slovakia, Slovenia and Spain.

**** The “Emerging” exposure is associated only with investments in the Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of Mexico, Venezuela, Russia, Turkey, Brazil, Argentina, Indonesia, Philippines, Hungary and Tunisia. Additional information about the fund’s emerging country exposure is available in the financial statements of the Emerging Country Debt Fund country/region summary.

^ Rounds to 0.0%.

8

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 45.8%
		Canada — 12.6%
		Foreign Government Obligations
CAD	4,000,000	Government of Canada, 1.50%, due 06/01/23		3,437,577
CAD	5,000,000	Government of Canada, 3.50%, due 06/01/20		5,118,817
		Total Canada		8,556,394
		France — 7.0%
		Foreign Government Obligations
EUR	3,300,000	Government of France, 4.00%, due 10/25/38		4,786,686
		Germany — 3.9%
		Foreign Government Obligations
EUR	1,500,000	Republic of Deutschland, 4.75%, due 07/04/34 (a)		2,666,231
		Italy — 10.0%
		Foreign Government Obligations
EUR	5,100,000	Italy Buoni Poliennali Del Tesoro, 5.00%, due 08/01/34		6,782,205
		Netherlands — 1.1%
		Foreign Government Obligations
EUR	500,000	Netherlands Government Bond, 3.75%, due 01/15/42		776,793
		Spain — 3.5%
		Foreign Government Obligations
EUR	1,900,000	Government of Spain, 4.70%, due 07/30/41		2,357,479
		United Kingdom — 1.9%
		Foreign Government Obligations
GBP	700,000	United Kingdom Gilt, 4.75%, due 12/07/30		1,290,033
		United States — 5.8%
		U.S. Government
USD	3,861,410	U.S. Treasury Inflation Indexed Note, 1.25%, due 04/15/14 (a) (b)		3,905,754
		TOTAL DEBT OBLIGATIONS (COST $29,776,587)		31,121,575
		MUTUAL FUNDS — 52.1%
		United States
		Affiliated Issuers
	304,767	GMO Emerging Country Debt Fund, Class IV		2,919,668

Shares / Principal Amount / Par Value ($)		Description	Value ($)
		Affiliated Issuers — continued
	2,683,050	GMO Short-Duration Collateral Fund		8,880,897
	316,927	GMO U.S. Treasury Fund		7,923,187
	599,715	GMO World Opportunity Overlay Fund		15,706,547
		TOTAL MUTUAL FUNDS (COST $32,518,115)		35,430,299
		OPTIONS PURCHASED — 0.6%
		Currency Options
EUR	1,700,000	EUR Call/USD Put, Expires 01/09/14, Strike 1.34%, (OTC) (CP-BCLY)		35,052
NZD	4,000,000	NZD Call/USD Put, Expires 11/15/13, Strike 0.83%, (OTC) (CP-CITI)		7,796
NZD	4,000,000	NZD Call/USD Put, Expires 11/15/13, Strike 0.83%, (OTC) (CP-JPM)		7,796
AUD	3,000,000	USD Call/AUD Put, Expires 10/02/13, Strike 0.86%, (OTC) (CP-JPM)		14,360
AUD	3,000,000	USD Call/AUD Put, Expires 10/02/13, Strike 0.99%, (OTC) (CP-BCLY)		305,431
JPY	250,000,000	USD Call/JPY Put, Expires 02/12/14, Strike 104.00%, (OTC) (CP-BCLY)		29,495
		TOTAL OPTIONS PURCHASED (COST $211,064)		399,930
		SHORT-TERM INVESTMENTS — 1.6%
		Money Market Funds — 0.7%
	464,489	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (c)		464,489
		U.S. Government — 0.9%
	600,000	U.S. Treasury Bill, 0.10%, due 07/24/14 (a) (d)		599,447
		TOTAL SHORT-TERM INVESTMENTS (COST $1,063,881)		1,063,936
		TOTAL INVESTMENTS — 100.1% (Cost $63,569,647)		68,015,740
		Other Assets and Liabilities (net) —(0.1%)		(89,944	)
		TOTAL NET ASSETS — 100.0%		$67,925,796

See accompanying notes to the financial statements. 9

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/22/2013	BCLY		AUD	300,000		USD	272,067	$	5,901
10/29/2013	CITI		CAD	7,700,000		USD	7,317,409		16,963
10/29/2013	DB		CAD	700,000		USD	665,216		1,539
09/24/2013	BCLY		CHF	2,200,000		USD	2,329,963		(34,840	)
09/24/2013	JPM		CHF	200,000		USD	216,480		1,498
10/01/2013	BCLY		EUR	15,700,000		USD	20,772,701		20,960
10/01/2013	CITI		EUR	200,000		USD	267,185		2,832
10/01/2013	JPM		EUR	1,000,000		USD	1,331,008		9,241
09/10/2013	CITI		GBP	1,100,000		USD	1,655,053		(49,538	)
09/10/2013	JPM		GBP	600,000		USD	907,414		(22,364	)
10/08/2013	CITI		JPY	190,000,000		USD	1,929,964		(5,455	)
09/17/2013	CITI		NZD	1,800,000		USD	1,448,513		58,699
09/17/2013	JPM		NZD	1,100,000		USD	882,035		32,704
09/03/2013	CITI		SEK	10,040,000		USD	1,528,089		13,154
09/03/2013	DB		SEK	3,000,000		USD	452,268		(402	)
09/03/2013	DB		USD	900,990		SEK	5,900,000		(10,740	)
09/03/2013	GS		USD	291,079		SEK	1,900,000		(4,388	)
09/03/2013	JPM		USD	777,583		SEK	5,240,000		13,080
09/10/2013	CITI		USD	781,876		GBP	500,000		(7,062	)
09/10/2013	DB		USD	1,552,132		GBP	1,000,000		(2,504	)
09/17/2013	CITI		USD	158,806		NZD	200,000		(4,382	)
09/17/2013	DB		USD	4,163,442		NZD	5,300,000		(71,212	)
09/24/2013	CITI		USD	642,017		CHF	600,000		2,930
10/01/2013	CITI		USD	530,443		EUR	400,000		(1,736	)
10/01/2013	JPM		USD	1,061,157		EUR	800,000		(3,743	)
10/15/2013	DB		USD	986,438		NOK	5,900,000		(23,839	)
10/22/2013	DB		USD	538,844		AUD	600,000		(6,512	)
11/05/2013	CITI		USD	1,519,853		SEK	10,000,000		(13,099	)
								$	(82,315	)

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
6	Australian Government Bond 10 Yr.	September 2013	$	6,268,265	$	(13,289	)
12	Australian Government Bond 3 Yr.	September 2013		1,168,149		(6,675	)
14	Canadian Government Bond 10 Yr.	December 2013		1,709,356		12,558
138	Euro BOBL	September 2013		22,758,591		(188,220	)
19	UK Gilt Long Bond	December 2013		3,215,387		109
47	U.S. Treasury Note 10 Yr. (CBT)	December 2013		5,841,219		(12,876	)
			$	40,960,967	$	(208,393	)
Sales
32	Euro Bund	September 2013	$	5,935,178	$	70,008
26	Euro Dollar 90 Day	September 2013		6,482,775		(6,175	)
10	Japanese Government Bond 10 Yr. (TSE)	September 2013		14,712,327		(159,366	)
4	U.S. Long Bond (CBT)	December 2013		527,625		(3,443	)
18	U.S. Treasury Note 2 Yr. (CBT)	December 2013		3,955,500		(1,023	)
			$	31,613,405	$	(99,999	)

Written Options

Principal Amount			Expiration Date		Description	Premiums		Market Value
Put	AUD	6,000,000		10/02/2013	USD Call/AUD Put, Strike 0.92 (OTC) (CP-JPM)	$	130,597	$	(208,571	)
Put	JPY	250,000,000		02/12/2014	USD Call/JPY Put, Strike 110.00 (OTC) (CP-BCLY)		35,809		(10,416	)
						$	166,406	$	(218,987	)

Swap Contracts

Credit Default Swaps

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)

14,000,000

USD

3/20/2014

DB

(Pay)

1.70%

0.74%

Republic of Italy

N/A

$

(122,176

)

Premiums to (Pay) Receive

$

—

10 See accompanying notes to the financial statements.

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

^ Receive - Fund receives premium and sells credit protection. If a credit event occurs, the Fund will either, depending on the terms of the terms of the particular swap contract, (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, the Fund will either, depending on the terms of the terms of the particular swap contract, (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 contracts on the reference security, as of August 31, 2013, 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 contract.

⁽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 contract.

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	11,900,000	SEK	9/18/2020	DB	Receive	1.90%	3 Month SEK STIBOR	$	(87,077	)
	3,800,000	CHF	9/18/2023	BCLY (e)	Receive	1.20%	6 Month CHF LIBOR		(155,116	)
	9,800,000	SEK	9/18/2020	BCLY (e)	Receive	1.90%	3 Month SEK STIBOR		(72,326	)
	11,600,000	SEK	9/18/2023	BCLY (e)	Receive	2.60%	3 Month SEK STIBOR		(45,683	)
								$	(360,202	)
							Premiums to (Pay) Receive	$	86,348

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

As of August 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

(a) All or a portion of this security has been pledged to cover margin requirements on futures and cleared swap contracts, collateral on OTC swap contracts and forward currency contracts, and/or written options, if any (Note 4).

(b) Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

(c) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

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

(e) Interest rate swap was cleared through the CME Group.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 66.

See accompanying notes to the financial statements. 11

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Debt Obligations		93.4	%
Mutual Funds		3.7
Short-Term Investments		2.7
Other		0.2
		100.0	%
Industry Sector Summary	% of Debt Obligations
Auto Retail		26.0	%
Residential Asset-Backed Securities (United States)		16.1
Student Loans		13.5
Time Share		8.8
Business Loans		7.2
Other		6.1
Credit Cards		6.0
Auto Rental		4.4
Auto Floor Plan		3.6
CMBS		1.7
Residential Mortgage-Backed Securities (United States)		1.7
Residential Mortgage-Backed Securities (European)		1.3
Residential Mortgage-Backed Securities (Australian)		1.3
Auto Financing		0.6
Corporate Collateralized Debt Obligations		0.5
Insured Other		0.4
CMBS Collateralized Debt Obligations		0.3
U.S. Government Agency		0.1
Insured Residential Asset-Backed Securities (United States)		0.1
Insured Residential Mortgage-Backed Securities (United States)		0.1
Airlines		0.1
Insured Time Share		0.1
Insured Transportation		0.0	^
Insured Business Loans		0.0	^
		100.0	%

^ Rounds to 0.0%.

12

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 93.4%
		Asset-Backed Securities — 93.3%
		Airlines — 0.1%
	1,424,981	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, 1 mo. LIBOR + .48%, 0.66%, due 05/15/24		584,242
		Auto Financing — 0.6%
	3,600,000	Chesapeake Funding LLC, Series 12-2A, Class C, 144A, 1 mo. LIBOR + 1.55%, 1.74%, due 05/07/24		3,621,797
	2,500,000	Chesapeake Funding LLC, Series 12-2A, Class D, 144A, 1 mo. LIBOR + 1.85%, 2.04%, due 05/07/24		2,506,738
		Total Auto Financing		6,128,535
		Auto Floor Plan — 3.4%
	5,000,000	Ally Master Owner Trust, Series 12-1, Class D, 144A, 3.12%, due 02/15/17		5,063,700
	5,500,000	Ally Master Owner Trust, Series 12-3, Class D, 144A, 1 mo. LIBOR + 2.35%, 2.53%, due 06/15/17		5,592,813
	3,375,000	Ford Credit Floorplan Master Owner Trust, Series 10-3, Class C, 144A, 4.99%, due 02/15/17		3,535,313
	1,315,000	Ford Credit Floorplan Master Owner Trust, Series 10-5, Class D, 144A, 2.41%, due 09/15/15		1,315,408
	1,000,000	Ford Credit Floorplan Master Owner Trust, Series 11-2, Class C, 2.37%, due 09/15/15		1,000,625
	2,000,000	Ford Credit Floorplan Master Owner Trust, Series 12-2, Class C, 2.86%, due 01/15/19		2,060,000
	5,490,000	Ford Credit Floorplan Master Owner Trust, Series 12-5, Class D, 2.73%, due 09/15/19		5,467,697
	7,430,000	Ford Credit Floorplan Master Owner Trust, Series 13-1, Class C, 1.37%, due 01/15/18		7,340,097
	4,824,000	Ford Credit Floorplan Master Owner Trust, Series 13-1, Class D, 1.82%, due 01/15/18		4,781,838
		Total Auto Floor Plan		36,157,491
		Auto Rental — 4.1%
	3,440,000	Avis Budget Rental Car Funding AESOP LLC, Series 10-5A, Class B, 144A, 5.11%, due 03/20/17		3,711,450
	13,375,000	Avis Budget Rental Car Funding AESOP LLC, Series 11-5A, Class B, 144A, 4.72%, due 02/20/18		14,156,602
	3,000,000	Avis Budget Rental Car Funding AESOP LLC, Series 12-2A, Class B, 144A, 3.89%, due 05/20/18		3,082,050
	10,000,000	Avis Budget Rental Car Funding AESOP LLC, Series 13-1A, Class B, 144A, 2.62%, due 09/20/19		9,621,107

Par Value ($)		Description	Value ($)
		Auto Rental — continued
	5,000,000	Hertz Vehicle Financing LLC, Series 09-2A, Class B2, 144A, 5.93%, due 03/25/16		5,281,250
	7,500,000	Hertz Vehicle Financing LLC, Series 13-1A, Class B1, 144A, 1.86%, due 08/25/17		7,392,750
		Total Auto Rental		43,245,209
		Auto Retail — 24.3%
	10,160,000	Ally Auto Receivables Trust, Series 12-A, Class D, 144A, 3.15%, due 10/15/18		10,251,440
	6,530,000	American Credit Acceptance Receivables Trust, Series 11-1I, Class D, 8.07%, due 07/16/18		6,665,184
	15,430,000	AmeriCredit Automobile Receivables Trust, Series 12-2, Class E, 144A, 4.85%, due 08/08/19		16,096,283
	12,962,000	AmeriCredit Automobile Receivables Trust, Series 12-3, Class E, 144A, 4.46%, due 11/08/19		13,221,058
	3,500,000	AmeriCredit Automobile Receivables Trust, Series 13-1, Class E, 144A, 2.64%, due 07/08/20		3,335,755
	9,000,000	AmeriCredit Automobile Receivables Trust, Series 13-3, Class E, 144A, 3.74%, due 12/08/20		8,778,600
	9,868,372	California Republic Auto Receivables Trust, Series 12-1, Class A, 144A, 1.18%, due 08/15/17		9,841,639
	4,500,000	California Republic Auto Receivables Trust, Series 12-1, Class C, 144A, 3.00%, due 01/15/20		4,461,511
	13,120,000	California Republic Auto Receivables Trust, Series 13-1, Class C, 144A, 3.25%, due 03/16/20		12,592,117
	939,143	CPS Auto Trust, Series 10-PG5, Class A, 144A, 9.25%, due 01/15/18		955,578
	717,515	CPS Auto Trust, Series 12-A, Class C, 144A, 6.51%, due 06/17/19		728,808
	2,000,000	CPS Auto Trust, Series 12-D, Class D, 144A, 4.82%, due 03/16/20		1,992,980
	800,000	CPS Auto Trust, Series 12-D, Class E, 144A, 7.26%, due 03/16/20		807,408
	2,300,000	CPS Auto Trust, Series 13-A, Class D, 144A, 4.41%, due 06/15/20		2,265,546
	1,200,000	CPS Auto Trust, Series 13-A, Class E, 144A, 6.41%, due 06/15/20		1,196,460
	18,822,738	CPS Auto Trust, Series 13-B, Class A, 144A, 1.82%, due 09/15/20		18,792,810
	10,250,000	CPS Auto Trust, Series 13-B, Class D, 144A, 4.66%, due 09/15/20		10,142,888
	2,820,000	CPS Auto Trust, Series 13-B, Class E, 144A, 6.41%, due 09/15/20		2,808,692
	25,000,000	DT Auto Owner Trust, Series 11-3A, Class D, 144A, 5.83%, due 03/15/18		25,700,525

See accompanying notes to the financial statements. 13

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Auto Retail — continued
	15,000,000	DT Auto Owner Trust, Series 12-2A, Class D, 144A, 4.35%, due 03/15/19		15,269,531
	18,000,000	DT Auto Owner Trust, Series 13-1A, Class D, 144A, 3.74%, due 05/15/20		17,878,904
	7,000,000	Exeter Automobile Receivables Trust, Series 13-1A, Class D, 144A, 5.05%, due 10/15/19		6,798,750
	3,000,000	First Investors Auto Owner Trust, Series 12-2A, Class D, 144A, 3.79%, due 09/16/19		3,054,360
	5,500,000	First Investors Auto Owner Trust, Series 13-2A, Class D, 144A, 3.58%, due 06/15/20		5,426,740
	3,000,000	Flagship Credit Auto Trust, Series 12-1, Class C, 144A, 4.93%, due 05/15/18		3,127,500
	3,000,000	Santander Consumer Acquired Receivables Trust, Series 11-WO, Class C, 144A, 3.19%, due 10/15/15		3,036,570
	5,000,000	Santander Drive Auto Receivables Trust, Series 10-2, Class C, 3.89%, due 07/17/17		5,098,450
	5,750,000	Santander Drive Auto Receivables Trust, Series 11-4, Class D, 4.74%, due 09/15/17		5,994,375
	5,000,000	Santander Drive Auto Receivables Trust, Series 12-2, Class D, 3.87%, due 02/15/18		5,110,000
	25,000,000	Santander Drive Auto Receivables Trust, Series 12-3, Class D, 3.64%, due 05/15/18		25,367,275
	6,000,000	Santander Drive Auto Receivables Trust, Series 13-1, Class C, 1.76%, due 01/15/19		5,810,400
	5,000,000	United Auto Credit Securitization Trust, Series 13-1, Class E, 144A, 4.40%, due 04/15/19		4,917,187
		Total Auto Retail		257,525,324
		Business Loans — 6.7%
	188,883	Bayview Commercial Asset Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .36%, 0.54%, due 04/25/34		171,883
	290,076	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.55%, due 01/25/35		258,168
	973,575	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.57%, due 01/25/36		783,728
	682,218	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, 1 mo. LIBOR + .24%, 0.42%, due 07/25/37		528,719
	642,849	Bayview Financial Acquisition Trust, Series 04-B, Class A1, 144A, 1 mo. LIBOR + .50%, 1.18%, due 05/28/39		292,496
	714,276	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.48%, due 05/28/39		269,639
	1,330,965	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.18%, due 02/28/40		913,840

Par Value ($)		Description	Value ($)
		Business Loans — continued
	5,000,000	CIT Equipment Collateral, Series 12-VT1, Class D, 144A, 4.12%, due 10/21/19		5,068,750
	207,091	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.47%, due 05/15/32		194,666
	523,051	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.42%, due 11/15/33		475,976
	10,230,906	GE Business Loan Trust, Series 06-2A, Class A, 144A, 1 mo. LIBOR + .18%, 0.36%, due 11/15/34		9,207,815
	16,640,345	GE Business Loan Trust, Series 07-1A, Class A, 144A, 1 mo. LIBOR + .17%, 0.35%, due 04/16/35		15,142,714
	17,008,690	GE Business Loan Trust, Series 07-1A, Class D, 144A, 1 mo. LIBOR + 1.00%, 1.18%, due 04/16/35		11,395,823
	5,800,000	GE Dealer Floorplan Master Note Trust, Series 12-4, Class B, 1 mo. LIBOR + .70%, 0.88%, due 10/20/17		5,781,484
	3,000,000	Great America Leasing Receivables, Series 12-1, Class C, 144A, 3.00%, due 11/15/18		3,037,200
	657,637	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.43%, due 02/25/30		601,777
	472,730	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.43%, due 09/25/30		416,003
	149,942	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A2, 144A, 1 mo. LIBOR + .85%, 1.03%, due 10/25/37		149,447
	2,500,000	Navistar Financial Corp. Owner Trust, Series 12-A, Class C, 144A, 2.55%, due 01/18/19		2,503,490
	5,000,000	Navistar Financial Corp. Owner Trust, Series 12-A, Class D, 144A, 3.29%, due 01/18/19		5,006,945
	2,000,000	Navistar Financial Dealer Note Master Trust, Series 11-1, Class C, 144A, 1 mo. LIBOR + 2.50%, 2.68%, due 10/25/16		2,002,000
	7,000,000	Navistar Financial Dealer Note Master Trust, Series 13-1, Class D, 144A, 1 mo. LIBOR + 2.25%, 2.43%, due 01/25/18		6,976,900
		Total Business Loans		71,179,463
		CMBS — 1.6%
	1,646,035	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.31%, due 12/15/20		1,604,884
	17,000,000	Commercial Mortgage Pass-Through Certificates, Series 13-300P, Class D, 144A, 4.54%, due 08/10/30		15,353,125

14 See accompanying notes to the financial statements.

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		CMBS — continued
	254,532	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .51%, 1.26%, due 03/06/20		253,743
		Total CMBS		17,211,752
		CMBS Collateralized Debt Obligations — 0.3%
	1,499,437	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.06%, due 11/23/52		1,499
	197,626	Crest Exeter Street Solar, Series 04-1A, Class A1, 144A, 3 mo. LIBOR + .35%, 0.63%, due 06/28/19		193,674
	2,812,251	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.51%, due 05/25/46		2,643,516
		Total CMBS Collateralized Debt Obligations		2,838,689
		Corporate Collateralized Debt Obligations — 0.5%
	5,420,834	Banc of America Funding Corp., Series 12-R4, Class A, 144A, 1 mo. LIBOR + .26%, 0.45%, due 03/04/39		5,302,117
		Credit Cards — 5.6%
	4,750,000	1st Financial Bank USA, Series 10-C, Class D, 144A, 8.35%, due 09/17/18		4,757,422
	8,260,000	1st Financial Bank USA, Series 10-D, Class D, 144A, 7.86%, due 06/17/19		8,587,819
	4,000,000	Capital One Multi-Asset Execution Trust, Series 03-C3, Class C3, 1 mo. LIBOR + 2.25%, 2.43%, due 07/15/16		4,001,600
	10,000,000	Citibank Credit Card Issuance Trust, Series 05-C2, Class C2, 1 mo. LIBOR + .47%, 0.65%, due 03/24/17		9,959,375
	20,000,000	GE Capital Credit Card Master Note Trust, Series 09-4, Class C, 144A, 7.82%, due 11/15/17		21,428,400
	10,000,000	GE Capital Credit Card Master Note Trust, Series 10-1, Class C, 144A, 5.75%, due 03/15/18		10,646,875
		Total Credit Cards		59,381,491
		Insured Business Loans — 0.0%
	155,360	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.62%, due 10/25/30		112,714
		Insured Other — 0.3%
	86,667	GE Seaco Finance SRL, Series 04-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .30%, 0.48%, due 04/17/19		86,537
	958,430	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.38%, due 09/15/41		908,299

Par Value ($)		Description	Value ($)
		Insured Other — continued
	1,368,227	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.38%, due 12/15/41		1,303,824
	395,067	TIB Card Receivables Fund, Series 2005-B, 144A, FGIC, 3 mo. LIBOR + .25%, 0.52%, due 01/05/14		355,560
	300,000	Toll Road Investment Part II, Series 1999B, 144A, MBIA, due 02/15/30		95,550
	4,200,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		821,730
		Total Insured Other		3,571,500
		Insured Residential Asset-Backed Securities (United States) ¿ — 0.1%
	545,192	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, 1 mo. LIBOR + .21%, 0.60%, due 07/25/34		504,302
	170,463	Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, 1 mo. LIBOR + .38%, 0.56%, due 12/25/33		158,531
	49,100	Quest Trust, Series 04-X1, Class A, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.51%, due 03/25/34		46,645
	533,429	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.40%, due 11/25/35		493,422
		Total Insured Residential Asset-Backed Securities (United States)		1,202,900
		Insured Residential Mortgage-Backed Securities (United States) — 0.1%
	97,243	Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.51%, due 01/25/35		77,795
	40,288	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.52%, due 10/25/34		34,547
	764,445	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.33%, due 06/15/37		593,592
	380,130	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, 1 mo. LIBOR + .23%, 0.41%, due 10/25/34		319,157
	13,923	GreenPoint Home Equity Loan Trust, Series 04-1, Class A, AMBAC, 1 mo. LIBOR + .23%, 0.64%, due 07/25/29		13,558
	22,140	GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, 1 mo. LIBOR + .28%, 0.74%, due 08/15/30		18,376
	31,657	Lehman ABS Corp., Series 04-2, Class A, AMBAC, 1 mo. LIBOR + .22%, 0.62%, due 06/25/34		28,570

See accompanying notes to the financial statements. 15

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Insured Residential Mortgage-Backed Securities (United States) — continued
	7,752	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.47%, due 12/25/32		6,744
		Total Insured Residential Mortgage-Backed Securities (United States)		1,092,339
		Insured Time Share — 0.0%
	506,867	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.18%, due 09/20/19		506,817
		Insured Transportation — 0.0%
	272,279	CLI Funding LLC, Series 06-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .18%, 0.36%, due 08/18/21		267,854
		Other — 5.7%
	19,925,000	CKE Restaurant Holdings, Inc., Series 13-1A, Class A2, 144A, 4.47%, due 03/20/43		19,667,370
	10,752,500	Dominos Pizza Master Issuer LLC, Series 12-1A, Class A2, 144A, 5.22%, due 01/25/42		11,465,498
	9,293,976	Fairway Outdoor Funding LLC, Series 12-1A, Class A2, 144A, 4.21%, due 10/15/42		9,189,233
	13,318,134	Sonic Capital LLC, Series 11-1A, Class A2, 144A, 5.44%, due 05/20/41		14,071,301
	6,000,000	Trafigura Securitisation Finance Plc, Series 12-1A, Class A, 144A, 1 mo. LIBOR + 2.40%, 2.58%, due 10/15/15		6,101,250
		Total Other		60,494,652
		Residential Asset-Backed Securities (United States) ¿ — 15.0%
	104,471	Accredited Mortgage Loan Trust, Series 04-4, Class A1B, 1 mo. LIBOR + .39%, 0.57%, due 01/25/35		97,550
	220,239	ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + .14%, 0.46%, due 02/25/36		78,736
	289,794	ACE Securities Corp., Series 06-ASP2, Class A2C, 1 mo. LIBOR + .18%, 0.36%, due 03/25/36		271,682
	2,476,927	ACE Securities Corp., Series 06-ASP5, Class A2C, 1 mo. LIBOR + .18%, 0.36%, due 10/25/36		1,275,617
	1,108,354	ACE Securities Corp., Series 06-HE2, Class A2C, 1 mo. LIBOR + .16%, 0.34%, due 05/25/36		698,263
	80,063	ACE Securities Corp., Series 06-HE3, Class A2B, 1 mo. LIBOR + .09%, 0.27%, due 06/25/36		41,833

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	860,130	ACE Securities Corp., Series 06-OP1, Class A2C, 1 mo. LIBOR + .15%, 0.33%, due 04/25/36		771,967
	396,637	ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + .16%, 0.50%, due 09/25/35		152,705
	972,176	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.38%, due 06/25/36		349,983
	1,131,071	ACE Securities Corp., Series 06-SL3, Class A2, 1 mo. LIBOR + .17%, 0.52%, due 06/25/36		395,875
	81,770	ACE Securities Corp., Series 06-SL4, Class A1, 1 mo. LIBOR + .12%, 0.30%, due 09/25/36		18,807
	406,243	ACE Securities Corp., Series 07-ASL1, Class A2, 1 mo. LIBOR + .17%, 0.35%, due 12/25/36		67,030
	654,660	ACE Securities Corp., Series 07-HE1, Class A2A, 1 mo. LIBOR + .09%, 0.27%, due 01/25/37		222,585
	440,470	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.25%, due 11/25/36		158,569
	1,277,472	Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .20%, 0.58%, due 05/25/37		65,470
	233,083	Argent Securities, Inc., Series 04-W8, Class A5, 1 mo. LIBOR + .52%, 1.22%, due 05/25/34		221,356
	7,627,592	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.33%, due 07/25/36		3,132,080
	1,228,218	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.29%, due 09/25/36		491,287
	1,204,690	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.37%, due 03/25/36		578,251
	1,264,772	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.33%, due 06/25/36		460,061
	1,379,032	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.33%, due 10/25/36		1,114,534
	1,889,557	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.40%, due 05/25/37		1,643,915
	517,446	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.29%, due 11/25/36		329,717
	1,389,590	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.38%, due 11/25/36		548,193

16 See accompanying notes to the financial statements.

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	225,012	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .16%, 0.50%, due 02/25/37		99,906
	3,970,470	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.38%, due 02/25/37		3,455,500
	4,077,240	Carrington Mortgage Loan Trust, Series 07-RFC1, Class A1, 1 mo. LIBOR + .05%, 0.23%, due 12/25/36		3,852,992
	833,249	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.34%, due 06/25/36		820,751
	7,864	Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .27%, 0.72%, due 04/25/33		7,574
	1,437,325	Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, 1 mo. LIBOR + .16%, 0.34%, due 12/25/36		657,576
	585,805	Citigroup Mortgage Loan Trust, Inc., Series 06-WFH4, Class A3, 1 mo. LIBOR + .15%, 0.33%, due 11/25/36		565,302
	4,059,299	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.32%, due 02/25/37		3,790,573
	56,090	Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.48%, due 04/25/34		41,743
	2,984,485	FBR Securitization Trust, Series 05-3, Class AV24, 1 mo. LIBOR + .34%, 0.86%, due 10/25/35		2,596,502
	25,243,843	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF3, Class A2B, 1 mo. LIBOR + .20%, 0.38%, due 02/25/36		22,467,020
	909,678	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.34%, due 04/25/36		678,847
	7,978,962	Fremont Home Loan Trust, Series 06-1, Class 2A3, 1 mo. LIBOR + .18%, 0.36%, due 04/25/36		6,622,538
	389,806	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.38%, due 05/25/36		217,743
	141,693	Fremont Home Loan Trust, Series 06-B, Class 2A2, 1 mo. LIBOR + .10%, 0.28%, due 08/25/36		58,537
	2,571,604	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.34%, due 08/25/36		1,015,783
	294,101	Household Home Equity Loan Trust, Series 05-2, Class A2, 1 mo. LIBOR + .31%, 0.49%, due 01/20/35		286,381
	288,774	Household Home Equity Loan Trust, Series 05-3, Class A2, 1 mo. LIBOR + .29%, 0.47%, due 01/20/35		282,457

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	653,029	Household Home Equity Loan Trust, Series 06-1, Class A1, 1 mo. LIBOR + .16%, 0.34%, due 01/20/36		637,111
	3,590,169	JP Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.30%, due 12/25/36		1,708,561
	2,162,725	JP Morgan Mortgage Acquisition Corp., Series 07-CH3, Class A3, 1 mo. LIBOR + .15%, 0.33%, due 03/25/37		2,016,741
	1,821,513	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.33%, due 03/25/36		1,261,398
	1,395,270	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.33%, due 06/25/36		742,981
	2,836,982	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.33%, due 08/25/36		978,759
	1,746,125	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.34%, due 10/25/36		936,360
	790,528	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .16%, 0.50%, due 03/25/36		167,987
	25,187,316	Merrill Lynch First Franklin Mortgage Loan Trust, Series 07-3, Class A2B, 1 mo. LIBOR + .13%, 0.31%, due 06/25/37		18,260,804
	472,390	Merrill Lynch Mortgage Investors, Series 07-HE2, Class A2A, 1 mo. LIBOR + .12%, 0.30%, due 02/25/37		210,970
	194,625	Merrill Lynch Mortgage Trust, Series 06-SD1, Class A, 1 mo. LIBOR + .28%, 0.46%, due 01/25/47		165,937
	159,429	Morgan Stanley Capital, Inc., Series 04-SD1, Class A, 1 mo. LIBOR + .40%, 0.98%, due 08/25/34		146,675
	5,413,121	Morgan Stanley Capital, Inc., Series 06-HE6, Class A2FP, 1 mo. LIBOR + .06%, 0.24%, due 09/25/36		3,153,143
	1,264,611	Morgan Stanley Capital, Inc., Series 06-HE7, Class A2FP, 1 mo. LIBOR + .08%, 0.26%, due 09/25/36		1,011,688
	1,879,874	Morgan Stanley Capital, Inc., Series 06-NC3, Class A2C, 1 mo. LIBOR + .17%, 0.35%, due 03/25/36		1,743,583
	1,468,141	Morgan Stanley Home Equity Loan Trust, Series 07-1, Class A2, 1 mo. LIBOR + .10%, 0.28%, due 12/25/36		822,159
	983,005	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.33%, due 11/25/36		389,516
	900,000	Nomura Home Equity Loan, Inc., Series 06-HE3, Class 2A3, 1 mo. LIBOR + .15%, 0.33%, due 07/25/36		576,844

See accompanying notes to the financial statements. 17

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	661,501	People’s Choice Home Loan Securities Trust, Series 05-4, Class 1A2, 1 mo. LIBOR + .26%, 0.44%, due 12/25/35		506,445
	8,689,593	Residential Asset Mortgage Products, Inc., Series 07-RZ1, Class A2, 1 mo. LIBOR + .16%, 0.34%, due 02/25/37		7,628,593
	10,000,000	Residential Asset Securities Corp., Series 07-KS3, Class AI3, 1 mo. LIBOR + .25%, 0.43%, due 04/25/37		7,500,000
	52,970	SACO I, Trust., Series 05-7, Class A, 1 mo. LIBOR + .28%, 0.74%, due 09/25/35		52,904
	26,092	Saxon Asset Securities Trust, Series 04-1, Class A, 1 mo. LIBOR + .27%, 0.72%, due 03/25/35		18,293
	12,990,578	Saxon Asset Securities Trust, Series 06-2, Class A3C, 1 mo. LIBOR + .15%, 0.33%, due 09/25/36		11,182,290
	7,417,844	Securitized Asset Backed Receivables LLC, Series 06-NC2, Class A3, 1 mo. LIBOR + .24%, 0.42%, due 03/25/36		6,323,712
	6,519,246	Securitized Asset Backed Receivables LLC, Series 06-WM1, Class A2C, 1 mo. LIBOR + .29%, 0.47%, due 12/25/35		5,182,801
	740,193	Securitized Asset-Backed Receivables LLC Trust, Series 06-HE1, Class A2C, 1 mo. LIBOR + .16%, 0.34%, due 07/25/36		346,040
	9,300,000	SG Mortgage Securities Trust, Series 06-FRE1, Class A2C, 1 mo. LIBOR + .27%, 0.45%, due 02/25/36		4,553,280
	21,356,156	SG Mortgage Securities Trust, Series 06-FRE2, Class A2C, 1 mo. LIBOR + .16%, 0.34%, due 07/25/36		8,382,291
	8,376,606	Soundview Home Equity Loan Trust, Series 07-OPT1, Class 2A1, 1 mo. LIBOR + .08%, 0.26%, due 06/25/37		6,366,221
	2,042,533	Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, 1 mo. LIBOR + .15%, 0.33%, due 06/25/37		1,143,002
	4,068,748	Specialty Underwriting & Residential Finance, Series 06-BC4, Class A2B, 1 mo. LIBOR + .11%, 0.29%, due 09/25/37		3,336,373
	519,971	Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.38%, due 01/25/36		504,372
	104,862	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.76%, due 11/25/35		102,503
	1,455,224	Yale Mortgage Loan Trust, Series 07-1, Class A, 144A, 1 mo. LIBOR + .40%, 0.58%, due 06/25/37		694,870
		Total Residential Asset-Backed Securities (United States)		159,458,998

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (Australian) — 1.2%
	663,516	Crusade Global Trust, Series 04-2, Class A1, 3 mo. LIBOR + .13%, 0.39%, due 11/19/37		662,525
	713,529	Crusade Global Trust, Series 06-1, Class A1, 144A, 3 mo. LIBOR + .06%, 0.33%, due 07/20/38		702,911
	642,362	Crusade Global Trust, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.33%, due 04/19/38		626,883
	126,077	Interstar Millennium Trust, Series 03-3G, Class A2, 3 mo. LIBOR + .25%, 0.78%, due 09/27/35		119,400
	1,290,806	Interstar Millennium Trust, Series 04-2G, Class A, 3 mo. LIBOR + .20%, 0.67%, due 03/14/36		1,234,643
	234,933	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 0.67%, due 12/08/36		225,464
	101,653	Interstar Millennium Trust, Series 06-2GA, Class A2, 144A, 3 mo. LIBOR + .08%, 0.56%, due 05/27/38		96,484
	4,317,441	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 0.34%, due 05/10/36		4,299,778
	466,824	Medallion Trust, Series 06-1G, Class A1, 3 mo. LIBOR + .05%, 0.32%, due 06/14/37		459,432
	687,555	Puma Finance Ltd., Series G5, Class A1, 144A, 3 mo. LIBOR + .07%, 0.40%, due 02/21/38		672,910
	508,488	Superannuation Members Home Loans Global Fund, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.39%, due 06/12/40		508,393
	56,484	Superannuation Members Home Loans Global Fund, Series 8, Class A1, 3 mo. LIBOR + .07%, 0.41%, due 01/12/37		56,438
	3,115,666	Westpac Securitization Trust, Series 07-1G, Class A2A, 144A, 3 mo. LIBOR + .05%, 0.31%, due 05/21/38		3,093,046
		Total Residential Mortgage-Backed Securities (Australian)		12,758,307
		Residential Mortgage-Backed Securities (European) — 1.3%
	1,651,190	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, 3 mo. LIBOR + .11%, 0.49%, due 09/20/66		1,505,018
	2,150,730	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 0.47%, due 01/13/39		2,063,196
	269,093	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .08%, 0.26%, due 12/20/54		263,474
	169,955	Granite Master Issuer Plc, Series 06-3, Class A3, 1 mo. LIBOR + .08%, 0.26%, due 12/20/54		165,939

18 See accompanying notes to the financial statements.

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (European) — continued
	129,017	Granite Mortgages Plc, Series 04-3, Class 2A1, 3 mo. LIBOR + .28%, 0.55%, due 09/20/44		127,856
	854,585	Kildare Securities Ltd., Series 07-1A, Class A2, 144A, 3 mo. LIBOR + .06%, 0.39%, due 12/10/43		833,220
	330,273	Leek Finance Plc, Series 17A, Class A2B, 144A, 3 mo. LIBOR + .14%, 0.55%, due 12/21/37		341,420
	1,396,433	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, 3 mo. LIBOR + .22%, 0.48%, due 11/15/38		1,220,525
	954,785	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .20%, 0.47%, due 09/15/39		832,954
	704,520	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, 3 mo. LIBOR + .42%, 0.68%, due 05/15/34		624,416
	3,291,534	Saecure BV, Series 11A, Class A1A, 3 mo. LIBOR + 1.55%, 1.82%, due 07/30/92		3,341,895
	2,000,000	Silverstone Master Issuer, Series 12-1A, Class 1A, 144A, 3 mo. LIBOR + 1.55%, 1.82%, due 01/21/55		2,038,600
		Total Residential Mortgage-Backed Securities (European)		13,358,513
		Residential Mortgage-Backed Securities (United States) — 1.6%
	49,877	Chevy Chase Mortgage Funding Corp., Series 04-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 0.48%, due 08/25/35		39,901
	194,189	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, 1 mo. LIBOR + .25%, 0.43%, due 02/26/34		169,733
	16,358,888	Stanwich Mortgage Loan Trust, Series 13-NPL2, Class A, 144A, 3.23%, due 04/16/59		16,236,197
		Total Residential Mortgage-Backed Securities (United States)		16,445,831
		Student Loans — 12.6%
	2,600,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.52%, due 01/25/24		2,535,000
	5,000,000	National Collegiate Student Loan Trust, Series 05-3, Class A4, 1 mo. LIBOR + .28%, 0.46%, due 04/25/29		4,325,000
	20,376,146	National Collegiate Student Loan Trust, Series 07-1, Class A2, 1 mo. LIBOR + .13%, 0.31%, due 11/25/28		19,510,159
	10,000,000	National Collegiate Student Loan Trust, Series 06-3, Class A3, 1 mo. LIBOR + .15%, 0.33%, due 10/25/27		9,350,000

Par Value ($)		Description	Value ($)
		Student Loans — continued
	15,000,000	National Collegiate Student Loan Trust, Series 05-2, Class A4, 1 mo. LIBOR + .27%, 0.45%, due 09/25/29		12,675,000
	2,985,229	National Collegiate Student Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .19%, 0.37%, due 05/25/26		2,906,867
	782,638	Nelnet Student Loan Trust, Series 05-2, Class A4, 3 mo. LIBOR + .08%, 0.35%, due 12/23/19		781,613
	15,580,881	SLC Student Loan Trust, Series 09-AA, Class A, 144A, 4.75%, due 06/15/33		14,499,958
	8,500,000	SLM Student Loan Trust, Series 04-B, Class A3, 3 mo. LIBOR + .33%, 0.60%, due 03/15/24		7,489,231
	3,000,000	SLM Student Loan Trust, Series 12-B, Class A2, 144A, 3.48%, due 10/15/30		3,114,450
	6,000,000	SLM Student Loan Trust, Series 11-B, Class A3, 144A, 1 mo. LIBOR + 2.25%, 2.43%, due 06/16/42		6,180,000
	4,216,357	SLM Student Loan Trust, Series 04-A, Class B, 3 mo. LIBOR + .58%, 0.85%, due 06/15/33		3,330,922
	9,000,000	SLM Student Loan Trust, Series 04-B, Class A4, 3 mo. LIBOR + .43%, 0.70%, due 09/15/33		7,110,000
	13,000,000	SLM Student Loan Trust, Series 06-C, Class A4, 3 mo. LIBOR + .17%, 0.44%, due 03/15/23		12,447,500
	7,105,668	SLM Student Loan Trust, Series 10-A, Class 2A, 144A, 1 mo. LIBOR + 3.25%, 3.43%, due 05/16/44		7,475,384
	8,000,000	SLM Student Loan Trust, Series 04-A, Class A3, 3 mo. LIBOR + .40%, 0.67%, due 06/15/33		7,120,000
	14,000,000	SLM Student Loan Trust, Series 05-A, Class A3, 3 mo. LIBOR + .20%, 0.47%, due 06/15/23		12,985,000
		Total Student Loans		133,836,084
		Time Share — 8.2%
	1,546,706	BXG Receivables Note Trust, Series 10-A, Class B, 144A, 7.50%, due 03/02/26		1,662,709
	3,664,006	BXG Receivables Note Trust, Series 12-A, Class B, 144A, 3.99%, due 12/02/27		3,675,456
	5,830,033	Marriott Vacation Club Owner Trust, Series 12-1A, Class B, 144A, 3.50%, due 05/20/30		5,970,310
	1,685,249	Orange Lake Timeshare Trust, Series 12-AA, Class B, 144A, 4.87%, due 03/10/27		1,735,005
	98,674	Sierra Receivables Funding Co., Series 08-1A, Class A2, 144A, 1 mo. LIBOR + 4.00%, 4.18%, due 02/20/20		99,969
	222,552	Sierra Receivables Funding Co. LLC, Series 11-1A, Class B, 144A, 4.23%, due 04/20/26		229,114

See accompanying notes to the financial statements. 19

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Time Share — continued
	4,517,537	Sierra Receivables Funding Co. LLC, Series 12-1A, Class B, 144A, 3.58%, due 11/20/28		4,572,807
	9,865,480	Sierra Receivables Funding Co. LLC, Series 12-2A, Class B, 144A, 3.42%, due 03/20/29		9,958,778
	2,477,430	Sierra Receivables Funding Co. LLC, Series 12-3A, Class B, 144A, 2.66%, due 08/20/29		2,478,205
	5,995,443	Sierra Receivables Funding Co. LLC, Series 13-1A, Class B, 144A, 2.39%, due 11/20/29		5,965,024
	14,343,659	Sierra Receivables Funding Co. LLC, Series 13-2A, Class C, 144A, 4.75%, due 11/20/25		14,168,709
	12,459,981	Silverleaf Finance LLC, Series 12-D, Class B, 144A, 4.45%, due 03/17/25		12,593,427
	969,744	Silverleaf Finance Vii LLC, Series 10-A, Class B, 144A, 8.00%, due 07/15/22		1,017,928
	421,628	Silverleaf Finance Vii LLC, Series 10-A, Class C, 144A, 10.00%, due 07/15/22		436,648
	2,886,622	Westgate Resorts LLC, Series 12-1, Class B, 144A, 5.50%, due 09/20/25		2,905,566
	1,360,404	Westgate Resorts LLC, Series 12-2A, Class B, 144A, 4.50%, due 01/20/25		1,355,302
	2,040,606	Westgate Resorts LLC, Series 12-2A, Class C, 144A, 9.00%, due 01/20/25		2,060,374
	3,780,645	Westgate Resorts LLC, Series 12-3A, Class A, 144A, 2.50%, due 03/20/25		3,778,282
	6,192,729	Westgate Resorts LLC, Series 13-1A, Class A, 144A, 2.25%, due 08/20/25		6,171,441
	6,192,729	Westgate Resorts LLC, Series 13-1A, Class B, 144A, 3.75%, due 08/20/25		6,107,579
		Total Time Share		86,942,633
		Total Asset-Backed Securities		989,603,455
		U.S. Government Agency — 0.1%
	1,064,670	Agency for International Development Floater (Support of Jamaica), 3 mo. LIBOR + .30%, 0.56%, due 10/01/18 (a)		1,039,092

Par Value ($) / Shares		Description	Value ($)
		U.S. Government Agency — continued
	29,952	Agency for International Development Floater (Support of Peru), Series B, 6 mo. U.S. Treasury Bill +.35%, 0.42%, due 05/01/14 (a)		29,814
	19,003	Agency for International Development Floater (Support of Peru), Series A, 6 mo. U.S. Treasury Bill + .35%, 0.42%, due 05/01/14 (a)		18,915
	200,000	U.S. Department of Transportation, 144A, 6.00%, due 12/07/21		210,000
		Total U.S. Government Agency		1,297,821
		TOTAL DEBT OBLIGATIONS (COST $971,039,879)		990,901,276
		MUTUAL FUNDS — 3.7%
		Affiliated Issuers — 3.7%
	1,560,834	GMO U.S. Treasury Fund		39,020,848
		TOTAL MUTUAL FUNDS (COST $39,030,846)		39,020,848
		SHORT-TERM INVESTMENTS — 2.7%
		Money Market Funds — 1.6%
	16,499,464	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (b)		16,499,464
		U.S. Government — 1.1%
	12,000,000	U.S. Treasury Bill, 0.03%, due 12/26/13 (c)		11,998,764
		TOTAL SHORT-TERM INVESTMENTS (COST $28,496,951)		28,498,228
		TOTAL INVESTMENTS — 99.8% (Cost $1,038,567,676)		1,058,420,352
		Other Assets and Liabilities (net) — 0.2%		2,353,671
		TOTAL NET ASSETS — 100.0%		$1,060,774,023

Notes to Schedule of Investments:

¿ These securities are primarily backed by subprime mortgages.

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

(b) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 66.

20 See accompanying notes to the financial statements.

GMO Domestic Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		91.7	%
Short-Term Investments		8.2
Other		0.1
		100.0	%

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

21

GMO Domestic Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 13.8%
		U.S. Government — 13.8%
	25,264,654	U.S. Treasury Inflation Indexed Note, 1.25%, due 04/15/14 (a)		25,554,794
		TOTAL DEBT OBLIGATIONS (COST $25,766,957)		25,554,794
		MUTUAL FUNDS — 86.1%
		Affiliated Issuers — 86.1%
	45,578,624	GMO Short-Duration Collateral Fund		150,865,247
	328,490	GMO U.S. Treasury Fund		8,212,252
		TOTAL MUTUAL FUNDS (COST $141,915,737)		159,077,499
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	161,725	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (b)		161,725
		TOTAL SHORT-TERM INVESTMENTS (COST $161,725)		161,725
		TOTAL INVESTMENTS — 100.0% (Cost $167,844,419)		184,794,018
		Other Assets and Liabilities (net) — 0.00%		42,404
		TOTAL NET ASSETS — 100.0%		$184,836,422

Notes to Schedule of Investments:

(a) Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

(b) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

22 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		87.0	%
Short-Term Investments		9.7
Loan Participations		2.0
Loan Assignments		0.7
Rights/Warrants		0.4
Options Purchased		0.0	^
Forward Currency Contracts		0.0	^
Written Options		(0.1	)
Reverse Repurchase Agreements		(0.1	)
Swap Contracts		(0.9	)
Other		1.3
		100.0	%
Country/Region Summary**	% of Investments
Mexico		11.8	%
Venezuela		11.1
Russia		6.7
Turkey		6.2
Brazil		5.3
Argentina		4.8
Indonesia		4.7
Philippines		4.4
Hungary		3.3
Tunisia		3.0
United States		2.7
Ukraine		2.5
Congo		2.2
Dominican Republic		1.7
Croatia		1.6
Colombia		1.5
United Kingdom		1.5
Pakistan		1.4
Peru		1.4
China		1.3
Iraq		1.3
South Africa		1.2
Uruguay		1.1
Chile		1.0
Greece		1.0
Ivory Coast		1.0
Serbia		1.0
Sri Lanka		1.0
Italy		0.9
Bahrain		0.8
Austria		0.7
Costa Rica		0.7
Israel		0.6
Lithuania		0.6
Nigeria		0.6
Vietnam		0.6
El Salvador		0.5
Romania		0.5
Slovenia		0.5
Thailand		0.5
Bahamas		0.4
Iceland		0.4

Country/Region Summary**	% of Investments
Mongolia		0.4	%
Qatar		0.4
Belize		0.3
Honduras		0.3
Panama		0.3
Angola		0.2
Belarus		0.2
Bosnia		0.2
Gabon		0.2
Ghana		0.2
Guatemala		0.2
Jamaica		0.2
Senegal		0.2
Trinidad & Tobago		0.2
Zambia		0.2
Albania		0.1
Ecuador		0.1
Grenada		0.1
		100.0	%

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

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on the Manager’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using a reference security and applying the same methodology to that security.

^ Rounds to 0.0%.

23

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 85.0%
		Albania — 0.6%
		Foreign Government Obligations
EUR	3,760,000	Albania Government International Bond, 7.50%, due 11/04/15		5,118,486
USD	19,639,573	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a)		11,685,546
		Total Albania		16,804,032
		Argentina — 7.9%
		Foreign Government Obligations — 6.9%
USD	9,000,000	Province of Buenos Aires, Reg S, Step Up, 4.00%, due 05/15/35		3,600,000
DEM	3,830,000	Republic of Argentina Discount Bond, Series DM, 6 mo. DEM LIBOR + .81%, due 03/31/23 (b)		1,682,277
EUR	18,044,340	Republic of Argentina Discount Bond, 7.82%, due 12/31/33		13,772,394
USD	55,386,424	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		30,877,931
USD	10,652,864	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		6,247,905
EUR	71,275	Republic of Argentina Discount Bond, PIK Shares, 1.00%, due 12/31/33		54,401
USD	231,699	Republic of Argentina Discount Bond, PIK Shares, 1.00%, due 12/31/33		129,172
USD	44,564	Republic of Argentina Discount Bond, PIK Shares, 1.00%, due 12/31/33		26,137
EUR	338,220,524	Republic of Argentina GDP Linked, due 12/15/35 (c)		31,514,144
EUR	192,500,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38		83,321,769
EUR	36,000,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38		15,106,459
USD	5,440,000	Republic of Argentina Par Bond, Step Up, 2.50%, due 12/31/38		1,816,960
				188,149,549
		Judgments — 1.0%
USD	32,000,000	Republic of Argentina Discount Bond, Series L-GL, 6 mo. LIBOR + .81%, due 03/31/23 (b) (d) (e)		17,920,000
USD	15,000,000	Republic of Argentina Global Par Bond, Series L-GP, Step Up, 6.00%, due 03/31/23 (b) (d) (e)		9,000,000
				26,920,000
		Total Argentina		215,069,549
		Bahrain — 0.7%
		Foreign Government Obligations
USD	2,000,000	Bahrain Government International Bond, Reg S, 6.13%, due 07/05/22		1,930,000

Par Value		Description	Value ($)
		Foreign Government Obligations — continued
USD	18,000,000	Bahrain Government International Bond, 144A, 6.13%, due 08/01/23		17,280,000
		Total Bahrain		19,210,000
		Barbados — 0.1%
		Foreign Government Obligations
USD	2,800,000	Government of Barbados, Reg S, 7.00%, due 08/04/22		2,744,000
		Belarus — 0.2%
		Foreign Government Obligations
USD	5,000,000	Republic of Belarus, Reg S, 8.95%, due 01/26/18		4,550,000
		Belize — 0.3%
		Foreign Government Obligations
USD	13,033,400	Republic of Belize, Reg S, Step Up, 5.00%, due 02/20/38		7,689,706
		Bosnia & Herzegovina — 0.2%
		Foreign Government Obligations
DEM	10,199,320	Bosnia & Herzegovina, Series A, 6 mo. DEM LIBOR + .81%, 1.06%, due 12/11/17		5,927,274
		Brazil — 2.7%
		Corporate Debt — 0.4%
USD	12,000,000	Petrobras International Finance Co., 6.88%, due 01/20/40		11,310,000
		Foreign Government Agency — 0.4%
USD	9,000,000	Banco Nacional de Desenvolvimento Economico e Social, Reg S, 5.50%, due 07/12/20		9,140,400
		Foreign Government Obligations — 1.9%
USD	841,667	Brazilian Government International Exit Bonds, 6.00%, due 09/15/13		839,563
USD	32,955	Brazilian Government International Exit Bonds, Odd Lot, 6.00%, due 09/15/13		32,872
USD	41,000,000	Republic of Brazil, 8.25%, due 01/20/34		51,557,500
				52,429,935
		Total Brazil		72,880,335
		Chile — 0.7%
		Corporate Debt
USD	17,000,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97		17,765,000

24 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value		Description	Value ($)
		Colombia — 0.7%
		Foreign Government Agency — 0.2%
USD	5,000,000	Ecopetrol SA, 7.63%, due 07/23/19		5,725,000
		Foreign Government Obligations — 0.5%
USD	8,000,000	Republic of Colombia, 8.70%, due 02/15/16		8,952,000
USD	3,800,000	Republic of Colombia, 11.85%, due 03/09/28 (d)		5,557,650
				14,509,650
		Total Colombia		20,234,650
		Congo Republic (Brazzaville) — 3.0%
		Foreign Government Obligations
USD	101,627,157	Republic of Congo, Reg S, Series INTL, Step Up, 3.00%, due 06/30/29		82,317,997
		Costa Rica — 0.4%
		Foreign Government Agency — 0.3%
USD	9,000,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		7,605,000
USD	2,000,000	Instituto Costarricense de Electricidad, Reg S, 6.95%, due 11/10/21		2,060,000
				9,665,000
		Foreign Government Obligations — 0.1%
USD	3,000,000	Costa Rica Government International Bond, Reg S, 5.63%, due 04/30/43		2,520,000
		Total Costa Rica		12,185,000
		Croatia — 0.9%
		Foreign Government Obligations
USD	18,000,000	Croatia Government International Bond, Reg S, 5.50%, due 04/04/23		17,235,000
USD	6,000,000	Croatia Government International Bond, Reg S, 6.38%, due 03/24/21		6,090,000
		Total Croatia		23,325,000
		Dominican Republic — 2.7%
		Asset-Backed Securities — 0.9%
USD	26,781,017	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 01/15/26 (d)		25,967,990
		Foreign Government Agency — 0.2%
USD	5,800,000	Banco de Reservas de la Republica Dominicana, Reg S, 7.00%, due 02/01/23		5,597,000
		Foreign Government Obligations — 1.6%
USD	8,000,000	Dominican Republic, Reg S, 8.63%, due 04/20/27		8,800,000

Par Value		Description	Value ($)
		Foreign Government Obligations — continued
USD	38,607,000	Dominican Republic Discount Bond, 6 mo. LIBOR + .81%, 1.25%, due 08/30/24		33,974,160
				42,774,160
		Total Dominican Republic		74,339,150
		Ecuador — 0.1%
		Foreign Government Obligations
USD	11,587,000	Republic of Ecuador, Step Up, Reg S, 10.00%, due 08/15/30 (b)		2,549,140
		El Salvador — 0.4%
		Foreign Government Obligations
USD	10,000,000	El Salvador Government International Bond, Reg S, 7.63%, due 02/01/41		9,600,000
		Gabon — 0.2%
		Foreign Government Obligations
USD	5,000,000	Gabonese Republic, Reg S, 8.20%, due 12/12/17		5,587,500
		Ghana — 0.2%
		Foreign Government Obligations
USD	5,000,000	Republic of Ghana, 144A, 7.88%, due 08/07/23		4,862,500
		Greece — 0.4%
		Foreign Government Obligations
EUR	20,882,000	Hellenic Republic Government Bond, Step Up, 2.00%, due 02/24/36		11,362,032
		Grenada — 0.1%
		Foreign Government Obligations
USD	9,000,000	Republic of Grenada, Reg S, Step Up, 4.50%, due 09/15/25		3,060,000
		Guatemala — 0.2%
		Foreign Government Obligations
USD	3,500,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		4,445,000
		Honduras — 0.2%
		Foreign Government Obligations
USD	8,000,000	Honduras Government International Bond, Reg S, 7.50%, due 03/15/24		6,560,000
		Hungary — 1.9%
		Foreign Government Obligations
USD	10,000,000	Hungary Government International Bond, 5.38%, due 02/21/23		9,413,000

See accompanying notes to the financial statements. 25

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value		Description	Value ($)
		Foreign Government Obligations — continued
USD	40,500,000	Hungary Government International Bond, 7.63%, due 03/29/41		41,563,125
		Total Hungary		50,976,125
		Iceland — 0.4%
		Foreign Government Obligations
USD	11,000,000	Iceland Government International Bond, Reg S, 5.88%, due 05/11/22		11,220,000
		Indonesia — 3.2%
		Foreign Government Agency — 1.8%
USD	10,600,000	Majapahit Holding BV, Reg S, 7.75%, due 01/20/20		11,130,000
USD	28,200,000	Majapahit Holding BV, Reg S, 7.88%, due 06/29/37		28,270,500
USD	10,400,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		8,476,000
				47,876,500
		Foreign Government Obligations
USD	55,300,000	Indonesia Government International Bond, Reg S, 4.63%, due 04/15/43		39,539,500
		Total Indonesia		87,416,000
		Iraq — 0.4%
		Foreign Government Obligations
USD	15,000,000	Republic of Iraq, Reg S, 5.80%, due 01/15/28		11,962,500
		Israel — 0.6%
		Foreign Government Agency
USD	14,000,000	Israel Electric Corp. Ltd., Reg S, 6.88%, due 06/21/23		14,315,000
USD	3,000,000	Israel Electric Corp. Ltd., Reg S, 7.88%, due 12/15/26		3,180,000
		Total Israel		17,495,000
		Ivory Coast — 0.8%
		Foreign Government Obligations
USD	25,265,000	Ivory Coast Government International Bond, Reg S, Step Up, 5.75%, due 12/31/32		21,412,087
		Jamaica — 0.1%
		Foreign Government Agency
USD	3,000,000	National Road Operating & Construction Co. Ltd., Reg S, 9.38%, due 11/10/24		3,030,000

Par Value		Description	Value ($)
		Latvia — 0.2%
		Foreign Government Obligations
USD	4,000,000	Republic of Latvia, Reg S, 5.25%, due 06/16/21		4,220,000
		Lithuania — 0.5%
		Foreign Government Obligations
USD	11,500,000	Republic of Lithuania, Reg S, 6.63%, due 02/01/22		13,124,375
		Mexico — 9.5%
		Foreign Government Agency — 2.0%
EUR	34,500,000	Pemex Project Funding Master Trust, Reg S, 5.50%, due 02/24/25		51,638,516
USD	1,360,000	Petroleos Mexicanos, 9.50%, due 09/15/27		1,672,800
				53,311,316
		Foreign Government Obligations — 7.5%
USD	170,984,000	United Mexican States, 5.75%, due 10/12/10		153,030,680
GBP	27,994,000	United Mexican States, GMTN, 6.75%, due 02/06/24		50,431,940
				203,462,620
		Total Mexico		256,773,936
		Mongolia — 0.4%
		Foreign Government Obligations
USD	12,000,000	Mongolia Government International Bond, Reg S, 5.13%, due 12/05/22		9,540,000
		Montenegro — 0.1%
		Foreign Government Obligations
EUR	2,000,000	Montenegro Government International Bond, 7.25%, due 04/08/16		2,742,424
		Nigeria — 0.6%
		Foreign Government Obligations
USD	8,400,000	Nigeria Government International Bond, Reg S, 6.38%, due 07/12/23		8,484,000
USD	6,100,000	Nigeria Government International Bond, Reg S, 6.75%, due 01/28/21		6,450,750
		Total Nigeria		14,934,750
		Pakistan — 0.5%
		Foreign Government Obligations
USD	17,000,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		13,260,000

26 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value		Description	Value ($)
		Panama — 0.2%
		Foreign Government Obligations
USD	5,000,000	Panama Government International Bond, 4.30%, due 04/29/53		3,700,000
USD	1,535,000	Panama Government International Bond, 8.13%, due 04/28/34		1,949,450
		Total Panama		5,649,450
		Peru — 1.2%
		Foreign Government Agency — 0.3%
USD	12,452,000	Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25		7,720,240
		Foreign Government Obligations — 0.9%
USD	5,000,000	Peru Par Bond, Series 30 Yr., Step Up, 4.00%, due 03/07/27		5,000,000
USD	20,000,000	Republic of Peru, 5.63%, due 11/18/50		19,600,000
				24,600,000
		Total Peru		32,320,240
		Philippines — 4.5%
		Foreign Government Agency — 3.4%
USD	25,651,000	Central Bank of Philippines, Series A, 8.60%, due 06/15/27		34,372,340
USD	40,550,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		57,986,500
				92,358,840
		Foreign Government Obligations — 1.1%
USD	26,720,000	Republic of Philippines, 6.38%, due 01/15/32		29,726,000
		Total Philippines		122,084,840
		Qatar — 0.2%
		Foreign Government Obligations
USD	5,000,000	Qatar Government International Bond, Reg S, 5.75%, due 01/20/42		5,200,000
		Romania — 0.5%
		Foreign Government Obligations
USD	7,000,000	Romanian Government International Bond, Reg S, 4.38%, due 08/22/23		6,510,000
USD	6,000,000	Romanian Government International Bond, Reg S, 6.75%, due 02/07/22		6,690,000
		Total Romania		13,200,000
		Russia — 4.5%
		Corporate Debt — 3.6%
USD	27,000,000	Gazprom Neft OAO Via GPN Capital SA, Reg S, 4.38%, due 09/19/22		24,030,000

Par Value		Description	Value ($)
		Corporate Debt — continued
USD	27,000,000	Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34		31,117,500
USD	12,000,000	Sberbank of Russia Via SB Capital SA, 144A, 5.13%, due 10/29/22		11,040,000
USD	3,000,000	Sberbank of Russia Via SB Capital SA, Reg S, 5.72%, due 06/16/21		3,015,000
USD	26,600,000	VTB Capital SA, Reg S, 6.25%, due 06/30/35		27,431,250
				96,633,750
		Foreign Government Obligations — 0.9%
USD	25,000,000	Russian Foreign Bond – Eurobond, Reg S, 5.63%, due 04/04/42		24,843,750
		Total Russia		121,477,500
		Senegal — 0.2%
		Foreign Government Obligations
USD	4,750,000	Republic of Senegal, Reg S, 8.75%, due 05/13/21		4,904,375
		Serbia — 1.1%
		Foreign Government Obligations
USD	5,908,401	Republic of Serbia, Reg S, Step Up, 6.75%, due 11/01/24		5,627,752
USD	24,000,000	Republic of Serbia, 7.25%, due 09/28/21		24,060,000
		Total Serbia		29,687,752
		Slovenia — 0.5%
		Foreign Government Obligations
USD	15,000,000	Slovenia Government International Bond, Reg S, 5.85%, due 05/10/23		14,175,000
		South Africa — 0.2%
		Foreign Government Agency
ZAR	163,000,000	Eskom Holdings Ltd., Zero Coupon, due 12/31/32		2,370,131
ZAR	20,000,000	Transnet Ltd., 13.50%, due 04/18/28		2,235,180
		Total South Africa		4,605,311
		South Korea — 0.8%
		Foreign Government Agency
USD	8,000,000	Export-Import Bank of Korea, 5.13%, due 06/29/20		8,614,880
USD	5,000,000	Korea Gas Corp., Reg S, 6.25%, due 01/20/42		5,677,100
USD	8,000,000	Korea Hydro & Nuclear Power Co. Ltd., Reg S, 4.75%, due 07/13/21		8,274,080
		Total South Korea		22,566,060

See accompanying notes to the financial statements. 27

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value		Description	Value ($)
		Sri Lanka — 0.9%
		Foreign Government Obligations
USD	8,500,000	Republic of Sri Lanka, Reg S, 6.25%, due 07/27/21		7,820,000
USD	17,150,000	Sri Lanka Government International Bond, Reg S, 5.88%, due 07/25/22		15,349,250
		Total Sri Lanka		23,169,250
		Thailand — 0.4%
		Foreign Government Agency
USD	7,000,000	PTT PCL, 144A, 4.50%, due 10/25/42		5,467,630
USD	4,000,000	PTTEP Canada International Finance Ltd., Reg S, 5.69%, due 04/05/21		4,228,840
		Total Thailand		9,696,470
		Trinidad And Tobago — 0.3%
		Foreign Government Agency
USD	6,000,000	Petroleum Company of Trinidad and Tobago Ltd., Reg S, 9.75%, due 08/14/19		7,320,000
		Tunisia — 2.0%
		Foreign Government Agency
JPY	7,000,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30		54,896,369
		Turkey — 3.6%
		Corporate Debt — 0.2%
USD	5,000,000	Turkiye Halk Bankasi AS, Reg S, 4.88%, due 07/19/17		4,875,000
		Foreign Government Agency — 0.1%
USD	1,000,000	Export Credit Bank of Turkey, Reg S, 5.38%, due 11/04/16		1,012,500
		Foreign Government Obligations — 3.3%
USD	92,000,000	Republic of Turkey, 6.75%, due 05/30/40		90,275,000
		Total Turkey		96,162,500
		Ukraine — 1.3%
		Foreign Government Obligations
USD	4,000,000	City of Kyiv Via Kyiv Finance PLC, Reg S, 9.38%, due 07/11/16		3,840,000
USD	25,500,000	Ukraine Government International Bond, Reg S, 7.50%, due 04/17/23		21,738,750
USD	12,500,000	Ukraine Government International Bond, Reg S, 7.80%, due 11/28/22		10,812,500
		Total Ukraine		36,391,250

Par Value		Description	Value ($)
		United States — 8.1%
		Asset-Backed Securities — 1.8%
USD	2,714,249	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, 1 mo. LIBOR + .48%, 0.68%, due 05/15/24		1,112,842
USD	128,189	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.53%, due 10/25/34		109,922
USD	706,183	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.63%, due 10/25/30		512,336
USD	5,226,413	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XL, 1 mo. LIBOR + .20%, 0.40%, due 05/15/36 ¿		3,952,213
USD	13,876,024	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, 1 mo. LIBOR + .24%, 0.44%, due 12/15/35 ¿		11,031,439
USD	10,332,484	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, 1 mo. LIBOR + .24%, 0.44%, due 12/15/35 ¿		6,096,166
USD	3,162,648	First Franklin Mortgage Loan Asset Backed Certificates, Series 05-FF10, Class A6M, 1 mo. LIBOR + .35%, 0.54%, due 11/25/35 ¿		708,117
USD	9,250,000	Home Equity Asset Trust, Series 07-1, Class 2A4, 1 mo. LIBOR + .23%, 0.42%, due 05/25/37 ¿		1,480,000
USD	11,349,814	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.35%, due 10/25/36 ¿		6,086,338
USD	3,745,342	Morgan Stanley Capital, Inc., Series 06-NC3, Class A2C, 1 mo. LIBOR + .17%, 0.36%, due 03/25/36 ¿		3,473,805
USD	13,404,615	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.34%, due 11/25/36 ¿		5,311,579
USD	13,583,343	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, 1 mo. LIBOR + .22%, 0.41%, due 11/25/36 ¿		5,908,754
USD	7,399,190	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, 1 mo. LIBOR + .36%, 0.55%, due 04/25/37 ¿		3,385,129
				49,168,640
		U.S. Government — 6.3%
USD	25,000,000	U.S. Treasury Bond, 2.75%, due 11/15/42 (f)		20,613,275
USD	147,285,210	U.S. Treasury Inflation Indexed Note, 1.25%, due 04/15/14 (f) (g)		148,976,633
				169,589,908
		Total United States		218,758,548

28 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value		Description	Value ($)
		Uruguay — 1.0%
		Foreign Government Obligations
USD	15,000,000	Uruguay Government International Bond, 4.13%, due 11/20/45		11,175,000
USD	17,500,000	Uruguay Government International Bond, 4.50%, due 08/14/24		16,625,000
		Total Uruguay		27,800,000
		Venezuela — 11.0%
		Foreign Government Agency — 6.9%
USD	61,785,000	Electricidad de Caracas Finance BV, 8.50%, due 04/10/18		49,276,627
USD	111,750,000	Petroleos de Venezuela SA, Reg S, 9.00%, due 11/17/21		89,791,125
USD	50,500,000	Petroleos de Venezuela SA, Reg S, 12.75%, due 02/17/22		48,858,750
				187,926,502
		Foreign Government Obligations — 4.1%
USD	123,000,000	Republic of Venezuela, Reg S, 11.95%, due 08/05/31		110,700,000
		Total Venezuela		298,626,502
		Vietnam — 0.2%
		Foreign Government Obligations
USD	5,000,000	Socialist Republic of Vietnam, Series 30 Yr., 6 mo. LIBOR + .81%, 1.31%, due 03/13/28		4,262,500
		Zambia — 0.2%
		Foreign Government Obligations
USD	6,000,000	Zambia Government International Bond, Reg S, 5.38%, due 09/20/22		5,062,500
		TOTAL DEBT OBLIGATIONS (COST $2,394,671,363)		2,299,191,479
		LOAN ASSIGNMENTS — 0.7%
		Dominican Republic — 0.1%
USD	1,600,060	Dominican Republic, 6 mo. LIBOR + 1.75%, 2.21%, due 08/15/15		1,437,702
		Indonesia — 0.3%
USD	2,152,800	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.19%, due 12/14/19		1,985,958
USD	2,152,800	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.19%, due 12/14/19		1,985,958
USD	2,870,400	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.19%, due 12/14/19		2,647,944

Par Value		Description	Value ($)
		Indonesia — continued
USD	1,564,269	Republic of Indonesia Loan Agreement, dated September 29, 1994, 6 mo. LIBOR + .88%, 1.44%, due 12/16/19		1,446,948
EUR	1,487,347	Republic of Indonesia, Indonesia Paris Club Debt, 4.00%, due 06/01/21		1,548,030
		Total Indonesia		9,614,838
		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)		7,740,000
		TOTAL LOAN ASSIGNMENTS (COST $27,204,633)		18,792,540
		LOAN PARTICIPATIONS — 2.0%
		Egypt — 0.1%
CHF	2,399,342	Paris Club Loan Agreement (Participation with Standard Chartered Bank), due 01/03/24 (d)		1,631,776
		Indonesia — 0.3%
USD	8,017,948	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR +.88%, 1.32%, due 09/29/19		7,396,557
		Iraq — 1.0%
JPY	4,202,173,706	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), due 01/01/28		24,024,417
JPY	549,069,346	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), due 01/01/28		3,069,066
		Total Iraq		27,093,483
		Russia — 0.1%
EUR	57,042,402	Russian Foreign Trade Obligations (Participation with GML International Ltd.) (b) (d)		3,361,636
		Vietnam — 0.5%
JPY	1,580,824,897	Socialist Republic of Vietnam Loan Agreement (Participation with Deutsche Bank), 6 mo. JPY LIBOR + .60%, 0.86%, due 09/01/17		14,570,928
		TOTAL LOAN PARTICIPATIONS (COST $66,342,011)		54,054,380

See accompanying notes to the financial statements. 29

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares / Par Value		Description	Value ($)
		MUTUAL FUNDS — 4.7%
		United States
		Affiliated Issuers
	3,976,082	GMO Short-Duration Collateral Fund		13,160,831
	2,959,377	GMO U.S. Treasury Fund		73,984,416
	1,515,449	GMO World Opportunity Overlay Fund		39,689,601
		TOTAL MUTUAL FUNDS (COST $121,764,277)		126,834,848
		RIGHTS/WARRANTS — 0.4%
		Nigeria — 0.1%
	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%
	283,235	Republic of Venezuela Oil Warrants, Expires 04/15/20		7,293,301
		TOTAL RIGHTS/WARRANTS (COST $0)		11,793,301
		SHORT-TERM INVESTMENTS — 6.9%
		Money Market Funds — 3.7%
	38,725,694	State Street Institutional Liquid Reserves Fund-Institutional Class, 0.08% (h)		38,725,694
	62,681,408	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (i)		62,681,408
		Total Money Market Funds		101,407,102
		Repurchase Agreements — 3.2%
	13,258,500	JP Morgan Chase Bank Repurchase Agreement, dated 07/25/13, with a maturity value of $13,262,025 and an effective yield of .29%, collateralized by an emerging sovereign government obligation with a rate of 10.00%, maturity date of 01/21/15 and a market value of $12,234,707 (j)		13,258,500
	16,060,001	JP Morgan Chase Bank Repurchase Agreement, dated 07/11/13, with a maturity value of $16,067,139 and an effective yield of .32%, collateralized by an emerging sovereign government obligation with a rate of 6.00%, maturity date of 09/15/16 and a market value of $15,135,271 (j)		16,060,001

Par Value		Description	Value ($)
		Repurchase Agreements — continued
	12,608,001	JP Morgan Chase Bank Repurchase Agreement, dated 07/11/13, with a maturity value of $12,613,604 and an effective yield of .32%, collateralized by an emerging sovereign government obligation with a rate of 0.50%, maturity date of 06/22/16 and a market value of $12,218,310 (j)		12,608,001
	20,742,750	JP Morgan Chase Bank Repurchase Agreement, dated 07/12/13, with a maturity value of $20,750,603 and an effective yield of .29%, collateralized by an emerging sovereign government obligation with a rate of 2.63%, maturity date of 06/17/20 and a market value of $20,777,540 (j)		20,742,750
	12,347,000	JP Morgan Chase Bank Repurchase Agreement, dated 07/16/13, with a maturity value of $12,351,829 and an effective yield of .32%, collateralized by an emerging sovereign government obligation with a rate of 5.00%, maturity date of 12/21/15 and a market value of $11,358,997 (j)		12,347,000
	10,850,001	JP Morgan Chase Bank Repurchase Agreement, dated 07/16/13, with a maturity value of $10,854,244 and an effective yield of .32%, collateralized by an emerging sovereign government obligation with a rate of 7.00%, maturity date of 04/13/15 and a market value of $10,097,655 (j)		10,850,001
		Total Repurchase Agreements		85,866,253
		TOTAL SHORT-TERM INVESTMENTS (COST $187,273,355)		187,273,355
		TOTAL INVESTMENTS — 99.7% (Cost $2,797,255,639)		2,697,939,903
		Other Assets and Liabilities (net) — 0.3%		8,027,234
		TOTAL NET ASSETS — 100.0%		$2,705,967,137

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/01/2013	BCLY		EUR	127,800,000		USD	169,092,436	$	170,620
10/01/2013	DB		EUR	72,200,000		USD	96,044,339		612,766
09/10/2013	CITI		GBP	35,000,000		USD	53,085,515		(1,151,480	)
10/08/2013	CITI		JPY	10,400,000,000		USD	105,424,496		(514,243	)
								$	(882,337	)

30 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Reverse Repurchase Agreements

Average balance outstanding	$	(9,113,171	)
Average interest rate		0.16	%
Maximum balance outstanding	$	(17,656,013	)

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.

Credit Linked Options

Number of Contracts			Expiration Date	Descriptions	Premiums		Market Value
Put	Sold USD	100,000,000	04/15/2024	Banco do Brasil Credit Linked Put Option Swap, Brazil, receives premium of 0.44% (OTC) (CP-DB) (d)	$	812,194	$	(1,851,295	)
Put	Sold USD	43,000,000	04/15/2024	Banco do Brasil Credit Linked Put Option Swap, Brazil, receives premium of 0.44% (OTC) (CP-DB) (d)		—		(63,992	)
Put	Sold USD	62,000,000	03/21/2017	Lebanese Republic Credit Linked Put Option Swap, Lebanon, receives premium of 0.50% (OTC) (CP-DB) (d)		—		168,045
Put	Sold USD	70,000,000	04/03/2018	Turkiye Cumhuriyeti Ziraat Bankasi A.S. Credit Linked Put Option Swap, Turkey, receives premium of 0.40% (OTC) (CP-DB) (d)		—		(608,455	)
Put	Sold USD	70,000,000	07/14/2017	Turkiye Is Bankasi A.S. Credit Linked Put Option Swap, Turkey, receives premium of 0.40% (OTC) (CP-DB) (d)		—		(499,115	)
					$	812,194	$	(2,854,812	)

Swap Contracts

Credit Default Swaps

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)
	5,000,000	USD	12/20/2013	DB	(Pay)	1.00%	0.85%	Gazprom	N/A		$	(12,188	)
	14,000,000	USD	3/20/2014	DB	(Pay)	1.68%	0.74%	Republic of Italy	N/A			(120,060	)
	39,000,000	USD	3/20/2014	DB	(Pay)	1.49%	0.04%	Republic of Austria	N/A			(431,477	)
	28,000,000	USD	3/20/2014	DB	(Pay)	1.70%	0.74%	Republic of Italy	N/A			(244,353	)
	14,000,000	USD	3/20/2014	DB	(Pay)	1.45%	0.05%	United Kingdom Government	N/A			(149,858	)
	10,000,000	USD	3/20/2014	DB	(Pay)	1.85%	0.74%	Republic of Italy	N/A			(98,605	)
	39,000,000	USD	3/20/2014	DB	(Pay)	1.28%	0.05%	United Kingdom Government	N/A			(367,234	)
	10,000,000	USD	6/20/2014	DB	(Pay)	5.00%	54.29%	Republic of Argentina	N/A			2,928,809
	2,000,000	USD	8/24/2014	DB	(Pay)	4.25%	2.55%	Lebanese Republic	N/A			(33,876	)
	15,000,000	USD	9/20/2014	DB	(Pay)	4.03%	1.29%	Sberbank	N/A			(708,455	)
	5,000,000	USD	12/20/2014	DB	(Pay)	5.00%	48.00%	Republic of Argentina	N/A			1,804,995
	650,000,000	USD	3/20/2015	DB	Receive	3.80%	8.68%	Bolivarian Republic of Venezuela	650,000,000	USD		(34,642,320	)
	70,000,000	USD	3/20/2015	DB	(Pay)	0.00%	25.00%	Republic of Argentina (d)	N/A			—
	550,500,000	EUR	3/20/2015	DB	(Pay)	3.72%	8.62%	Bolivarian Republic of Venezuela	N/A			39,259,802
	300,000,000	EUR	4/20/2015	DB	(Pay)	4.32%	8.68%	Bolivarian Republic of Venezuela	N/A			20,035,466
	412,500,000	USD	4/20/2015	DB	Receive	4.40%	8.74%	Bolivarian Republic of Venezuela	412,500,000	USD		(20,598,848	)
	11,000,000	USD	6/20/2015	DB	(Pay)	5.00%	N/A	CDX 13 Emerging Sovereign	N/A			(383,472	)
	30,000,000	USD	6/20/2015	BCLY	(Pay)	5.00%	N/A	CDX 13 Emerging Sovereign	N/A			(1,045,833	)
	40,000,000	USD	6/20/2015	BCLY	(Pay)	5.00%	N/A	CDX 13 Emerging Sovereign	N/A			(1,394,444	)
	15,000,000	USD	9/20/2015	BCLY	(Pay)	1.00%	0.77%	Republic of Colombia	N/A			(100,822	)
	56,950,000,000	COP	11/20/2015	CITI	Receive	1.81%	0.64%	Republic of Colombia	56,950,000,000	COP		874,342
	15,000,000	USD	2/20/2016	CITI	(Pay)	2.16%	0.87%	Republic of Colombia	N/A			(484,966	)

See accompanying notes to the financial statements. 31

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Credit Default Swaps (continued)

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)
	56,700,000,000	COP	2/20/2016	CITI	Receive	1.46%	0.67%	Republic of Colombia	56,700,000,000	COP	$	551,751
	114,800,000,000	COP	4/20/2016	CITI	Receive	1.33%	0.69%	Republic of Colombia	114,800,000,000	COP		1,227,205
	25,000,000	USD	4/20/2016	CITI	(Pay)	1.90%	0.90%	Republic of Colombia	N/A			(824,493	)
	11,000,000	EUR	6/17/2016	DB	Receive	5.60%	8.41%	Republic of Angola	11,000,000	EUR		348,435
	20,000,000	USD	8/20/2016	CITI	(Pay)	2.15%	0.96%	Republic of Colombia	N/A			(712,777	)
	97,680,000,000	COP	8/20/2016	CITI	Receive	1.51%	0.72%	Republic of Colombia	97,680,000,000	COP		1,118,877
	22,500,000	USD	2/20/2017	DB	Receive	2.43%	9.35%	Bolivarian Republic of Venezuela	22,500,000	USD		(4,419,606	)
	32,000,000	PEN	5/20/2017	DB	Receive	0.79%	1.03%	Republic of Peru	32,000,000	PEN		(65,068	)
	2,500,000	USD	5/20/2017	DB	(Pay)	1.05%	1.34%	Republic of Peru	N/A			18,250
	4,500,000	USD	7/20/2017	JPM	Receive	3.33%	6.89%	Republic of Jamaica	4,500,000	USD		(511,514	)
	25,000,000	USD	12/20/2017	JPM	Receive	5.00%	8.62%	Government of Ukraine	25,000,000	USD		(2,866,048	)
	5,400,000	EUR	3/20/2018	DB	Receive	1.00%	4.49%	Republic of Macedonia	5,400,000	EUR		(972,106	)
	10,000,000	USD	12/20/2018	DB	Receive	0.44%	0.41%	United Kingdom Government	10,000,000	USD		25,952
	10,000,000	USD	3/20/2019	DB	Receive	1.62%	2.47%	Republic of Italy	10,000,000	USD		(378,892	)
	10,000,000	USD	3/20/2019	DB	Receive	1.35%	0.43%	United Kingdom Government	10,000,000	USD		517,913
	30,000,000	USD	3/20/2019	DB	Receive	1.46%	0.37%	Republic of Austria	30,000,000	USD		1,833,612
	20,000,000	USD	3/20/2019	DB	Receive	1.66%	2.47%	Republic of Italy	20,000,000	USD		(717,351	)
	10,000,000	USD	3/20/2019	DB	Receive	1.70%	2.47%	Republic of Italy	10,000,000	USD		(338,460	)
	30,000,000	USD	3/20/2019	DB	Receive	1.25%	0.43%	United Kingdom Government	30,000,000	USD		1,388,167
	6,000,000	USD	3/20/2020	BCLY	Receive	1.00%	3.71%	Republic of Croatia	6,000,000	USD		(833,882	)
	6,000,000	USD	6/20/2020	DB	Receive	1.00%	3.82%	Commonwealth of Bahamas	6,000,000	USD		(926,117	)
	30,000,000	USD	3/20/2023	JPM	Receive	1.00%	2.82%	Republic of Turkey	30,000,000	USD		(4,093,737	)
	6,000,000	USD	6/20/2023	DB	Receive	1.00%	3.82%	Commonwealth of Bahamas	6,000,000	USD		(1,192,234	)
	200,000,000	USD	6/20/2023	DB	(Pay)	1.00%	3.91%	Republic of Croatia	N/A			40,804,002
	160,000,000	EUR	6/20/2023	DB	Receive	1.00%	3.93%	Republic of Croatia	160,000,000	EUR		(44,331,321	)
	3,000,000	USD	6/20/2023	DB	Receive	1.00%	3.82%	Commonwealth of Bahamas	3,000,000	USD		(596,117	)
	25,000,000	USD	9/20/2023	JPM	Receive	1.00%	2.50%	Republic of Brazil	25,000,000	USD		(2,927,343	)
	25,000,000	USD	9/20/2023	JPM	Receive	1.00%	2.50%	Republic of Brazil	25,000,000	USD		(2,927,343	)
	25,000,000	USD	9/20/2023	JPM	Receive	1.00%	1.55%	Peoples Republic of China	25,000,000	USD		(1,095,490	)
	25,000,000	USD	9/20/2023	JPM	Receive	1.00%	2.90%	Republic of South Africa	25,000,000	USD		(3,680,549	)
	20,000,000	USD	9/20/2031	GS	(Pay)	1.00%	1.83%	United Mexican States	N/A			1,931,376
											$	(20,558,305	)
								Premiums to (Pay) Receive			$	28,654,170

^ Receive - Fund receives premium and sells credit protection. If a credit event occurs, the Fund will either, depending on the terms of the terms of the particular swap contract, (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, the Fund will either, depending on the terms of the terms of the particular swap contract, (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 contracts on the reference security, as of August 31, 2013, 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 contract.

⁽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 contract.

32 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

As of August 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

¿ These securities are primarily backed by subprime mortgages.

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

(b) Security is in default.

(c) Security is linked to Argentina Republic Gross Domestic Product (GDP). Security does not pay principal over life of security or at expiration. Payments are based on growth of Argentina GDP, subject to certain conditions.

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

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

(f) All or a portion of this security has been pledged to cover margin requirements on futures and cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(g) Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

(h) The rate disclosed is the 7 day net yield as of August 31, 2013.

(i) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 66.

See accompanying notes to the financial statements. 33

GMO Global Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		87.5	%
Short-Term Investments		14.2
Options Purchased		1.2
Forward Currency Contracts		0.2
Loan Participations		0.1
Loan Assignments		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		0.0	^
Written Options		(0.5	)
Reverse Repurchase Agreements		(1.9	)
Swap Contracts		(2.6	)
Other		1.8
		100.0	%
Country/Region Summary**	% of Investments
United States		37.5	%
Euro Region***		21.3
Canada		13.7
Switzerland		9.5
Sweden		8.2
Japan		7.8
Emerging****		3.9
Australia		2.4
United Kingdom		(4.3	)
		100	%

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

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on the Manager’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security.

*** The “Euro Region” is comprised of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Malta, Netherlands, Portugal, Slovakia, Slovenia and Spain.

**** The “Emerging” exposure is associated only with investments in the Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of Mexico, Venezuela, Russia, Turkey, Brazil, Argentina, Indonesia, Philippines, Hungary and Tunisia. Additional information about the fund’s emerging country exposure is available in the financial statements of the Emerging Country Debt Fund country/region summary.

^ Rounds to 0.0%.

34

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 39.3%
		Canada — 3.0%
		Foreign Government Obligations
CAD	1,500,000	Government of Canada, 8.00%, due 06/01/23		2,088,792
CAD	2,000,000	Government of Canada, 1.50%, due 06/01/23		1,718,789
		Total Canada		3,807,581
		France — 3.4%
		Foreign Government Obligations
EUR	3,000,000	Government of France, 4.00%, due 10/25/38		4,351,532
		Italy — 4.5%
		Foreign Government Obligations
EUR	4,400,000	Buoni Poliennali Del Tesoro, 5.00%, due 08/01/34		5,851,314
		Japan — 10.8%
		Foreign Government Obligations
JPY	1,200,000,000	Japan Government Twenty Year Bond, 2.20%, due 06/20/26		13,996,558
		Spain — 1.9%
		Foreign Government Obligations
EUR	2,000,000	Government of Spain, 4.70%, due 07/30/41		2,481,556
		United States — 15.7%
		U.S. Government
USD	3,089,128	U.S. Treasury Inflation Indexed Note, 1.25%, due 04/15/14 (a)		3,124,604
USD	10,000,000	U.S. Treasury Note, 1.63%, due 11/15/22 (b)		9,107,030
USD	10,000,000	U.S. Treasury Principal Strip Bond, due 11/15/21		8,072,150
		Total United States		20,303,784
		TOTAL DEBT OBLIGATIONS (COST $51,112,378)		50,792,325
		MUTUAL FUNDS — 59.0%
		United States — 59.0%
		Affiliated Issuers
	564,202	GMO Emerging Country Debt Fund, Class IV		5,405,057
	7,873,225	GMO Short-Duration Collateral Fund		26,060,376
	550,396	GMO U.S. Treasury Fund		13,759,912
	1,188,134	GMO World Opportunity Overlay Fund		31,117,235
		TOTAL MUTUAL FUNDS (COST $76,596,359)		76,342,580

Principal Amount / Shares / Par Value ($)		Description	Value ($)
		OPTIONS PURCHASED — 0.6%
		Currency Options
EUR	3,300,000	EUR Call/USD Put, Expires 01/09/14, Strike 1.34, (OTC) (CP-BCLY)		68,043
NZD	7,800,000	NZD Call/USD Put, Expires 11/15/13, Strike 0.83, (OTC) (CP-CITI)		15,202
NZD	7,800,000	NZD Call/USD Put, Expires 11/15/13, Strike 0.83, (OTC) (CP-JPM)		15,202
AUD	6,000,000	USD Call/AUD Put, Expires 10/02/13, Strike 0.99, (OTC) (CP-BCLY)		610,861
AUD	6,000,000	USD Call/AUD Put, Expires 10/02/13, Strike 0.86, (OTC) (CP-JPM)		28,720
JPY	600,000,000	USD Call/JPY Put, Expires 02/12/14, Strike 104.00, (OTC) (CP-BCLY)		70,789
		TOTAL OPTIONS PURCHASED (COST $447,871)		808,817
		SHORT-TERM INVESTMENTS — 1.1%
		Money Market Funds — 0.3%
	365,849	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (c)		365,849
		U.S. Government — 0.8%
	1,000,000	U.S. Treasury Bill, 0.10%, due 07/24/14 (b) (d)		999,078
		TOTAL SHORT-TERM INVESTMENTS (COST $1,364,835)		1,364,927
		TOTAL INVESTMENTS — 100.0% (Cost $129,521,443)		129,308,649
		Other Assets and Liabilities (net) — 0.00%		46,454
		TOTAL NET ASSETS — 100.0%		$129,355,103

See accompanying notes to the financial statements. 35

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/29/2013	DB		CAD	1,300,000		USD	1,235,401	$	2,858
09/24/2013	BCLY		CHF	5,000,000		USD	5,295,370		(79,182	)
09/24/2013	JPM		CHF	100,000		USD	108,240		749
10/01/2013	CITI		EUR	700,000		USD	935,148		9,911
10/01/2013	JPM		EUR	4,900,000		USD	6,544,219		67,561
09/10/2013	CITI		GBP	2,200,000		USD	3,313,948		(95,234	)
09/10/2013	JPM		GBP	1,000,000		USD	1,509,779		(39,849	)
10/08/2013	CITI		JPY	40,000,000		USD	410,731		3,274
10/08/2013	JPM		JPY	420,000,000		USD	4,370,766		92,471
09/17/2013	CITI		NZD	4,500,000		USD	3,617,950		143,416
09/17/2013	JPM		NZD	2,300,000		USD	1,843,383		67,510
09/03/2013	CITI		SEK	22,300,000		USD	3,394,061		29,217
09/03/2013	DB		SEK	7,300,000		USD	1,101,433		(63	)
09/03/2013	DB		USD	1,799,416		SEK	11,800,000		(18,916	)
09/03/2013	GS		USD	229,799		SEK	1,500,000		(3,465	)
09/03/2013	JPM		USD	2,418,817		SEK	16,300,000		40,688
09/10/2013	CITI		USD	13,996,228		GBP	9,200,000		260,354
09/10/2013	DB		USD	1,552,132		GBP	1,000,000		(2,504	)
09/17/2013	CITI		USD	158,806		NZD	200,000		(4,382	)
09/17/2013	DB		USD	9,028,286		NZD	11,500,000		(148,920	)
09/24/2013	CITI		USD	1,710,365		CHF	1,600,000		9,492
10/01/2013	BCLY		USD	21,963,493		EUR	16,600,000		(22,162	)
10/01/2013	CITI		USD	928,275		EUR	700,000		(3,038	)
10/01/2013	JPM		USD	1,459,349		EUR	1,100,000		(5,405	)
10/08/2013	CITI		USD	15,205,456		JPY	1,500,000,000		74,170
10/15/2013	DB		USD	1,873,187		NOK	11,200,000		(45,880	)
10/22/2013	BCLY		USD	725,512		AUD	800,000		(15,737	)
10/22/2013	DB		USD	1,077,688		AUD	1,200,000		(13,024	)
10/29/2013	CITI		USD	475,156		CAD	500,000		(1,102	)
11/05/2013	CITI		USD	3,389,272		SEK	22,300,000		(29,210	)
								$	273,598

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
9	Australian Government Bond 3 Yr.	September 2013	$	876,112	$	(5,007	)
4	Australian Government Bond 10 Yr.	September 2013		417,884		(1,160	)
95	Canadian Government Bond 10 Yr.	December 2013		11,599,204		85,214
99	Euro BOBL	September 2013		16,326,815		(135,325	)
132	Euro Dollar 90 Day	September 2013		32,912,550		29,800
26	U.S. Treasury Bond 30 Yr. (CBT)	December 2013		3,429,562		22,266
51	U.S. Treasury Note 10 Yr. (CBT)	December 2013		6,338,344		(15,012	)
98	U.S. Treasury Note 5 Yr. (CBT)	December 2013		11,728,609		(11,914	)
			$	83,629,080	$	(31,138	)
Sales
47	Euro Bund	September 2013	$	8,717,292	$	126,666
7	Japanese Government Bond 10 Yr. (TSE)	September 2013		10,298,630		(97,444	)
34	U.S. Treasury Note 2 Yr. (CBT)	December 2013		7,471,500		(2,008	)
33	UK Gilt Long Bond	December 2013		5,584,620		6,634
			$	32,072,042	$	33,848

36 See accompanying notes to the financial statements.

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Written Options

Principal Amount			Expiration Date	Description	Premiums		Market Value
Put	AUD	12,000,000	10/2/2013	USD Call/AUD Put, Strike 0.92 (OTC) (CP-JPM)	$	261,195	$	(417,141	)
Put	JPY	600,000,000	2/12/2014	USD Call/JPY Put, Strike 110.00 (OTC) (CP-BCLY)		85,942		(25,000	)
					$	347,137	$	(442,141	)

Swap Contracts

Credit Default Swaps

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)

21,000,000

USD

3/20/2014

DB

(Pay)

1.70%

0.74%

Republic of Italy

N/A

$

(183,264

)

Premiums to (Pay) Receive

$

—

^ Receive - Fund receives premium and sells credit protection. If a credit event occurs, the Fund will either, depending on the terms of the terms of the particular swap contract, (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, the Fund will either, depending on the terms of the terms of the particular swap contract, (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 contracts on the reference security, as of August 31, 2013, 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 contract.

⁽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 contract.

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	8,400,000	CHF	9/18/2023	BCLY (e)	Receive	1.20%	6 Month CHF LIBOR	$	(342,888	)
	23,900,000	SEK	9/18/2020	BCLY (e)	Receive	1.90%	3 Month SEK STIBOR		(176,386	)
	15,900,000	SEK	9/18/2023	BCLY (e)	Receive	2.60%	3 Month SEK STIBOR		(62,618	)
	29,100,000	SEK	9/18/2020	DB	Receive	1.90%	3 Month SEK STIBOR		(212,936	)
								$	(794,828	)
							Premiums to (Pay) Receive	$	224,456

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

As of August 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

See accompanying notes to the financial statements. 37

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Notes to Schedule of Investments:

(a) Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

(b) All or a portion of this security has been pledged to cover margin requirements on futures and cleared swap contracts, collateral on OTC swap contracts and forward currency contracts, and/or written options, if any (Note 4).

(c) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

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

(e) Interest rate swap was cleared through the CME Group.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 66.

38 See accompanying notes to the financial statements.

GMO International Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		95.1	%
Short-Term Investments		7.0
Options Purchased		1.2
Forward Currency Contracts		0.2
Loan Participations		0.1
Loan Assignments		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		(0.3	)
Written Options		(0.5	)
Reverse Repurchase Agreements		(1.9	)
Swap Contracts		(2.9	)
Other		2.0
		100.0	%
Country/Region Summary**	% of Investments
Euro Region***		37.7	%
Japan		21.8
Canada		14.4
Switzerland		8.2
Sweden		7.2
United States		5.2
Emerging****		3.7
Australia		2.7
United Kingdom		(0.9	)
		100.0	%

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

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on the Manager’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security.

*** The “Euro Region” is comprised of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Malta, Netherlands, Portugal, Slovakia, Slovenia and Spain.

**** The “Emerging” exposure is associated only with investments in the Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of Mexico, Venezuela, Russia, Turkey, Brazil, Argentina, Indonesia, Philippines, Hungary and Tunisia. Additional information about the fund’s emerging country exposure is available in the financial statements of the Emerging Country Debt Fund country/region summary.

^ Rounds to 0.0%.

39

GMO International Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 44.4%
		Canada — 5.4%
		Foreign Government Obligations
CAD	3,000,000	Government of Canada, 3.50%, due 06/01/20		3,071,290
		France — 5.1%
		Foreign Government Obligations
EUR	2,000,000	Government of France, 4.00%, due 10/25/38		2,901,022
		Italy — 2.9%
		Foreign Government Obligations
EUR	1,250,000	Buoni Poliennali Del Tesoro, 5.00%, due 08/01/34		1,662,305
		Japan — 22.3%
		Foreign Government Obligations
JPY	250,000,000	Japan Government Thirty Year Bond, 2.20%, due 03/20/41		2,798,136
JPY	848,400,000	Japan Government Twenty Year Bond, 2.20%, due 06/20/26		9,895,566
		Total Japan		12,693,702
		Spain — 2.4%
		Foreign Government Obligations
EUR	1,100,000	Government of Spain, 4.70%, due 07/30/41		1,364,856
		United States — 6.3%
		U.S. Government
USD	3,530,432	U.S. Treasury Inflation Indexed Note, 1.25%, due 04/15/14 (a) (b)		3,570,976
		TOTAL DEBT OBLIGATIONS (COST $26,621,971)		25,264,151
		MUTUAL FUNDS — 52.4%
		United States — 52.4%
		Affiliated Issuers
	242,329	GMO Emerging Country Debt Fund, Class IV		2,321,511
	3,980,527	GMO Short-Duration Collateral Fund		13,175,545
	34,660	GMO U.S. Treasury Fund		866,489
	514,708	GMO World Opportunity Overlay Fund		13,480,196
		TOTAL MUTUAL FUNDS (COST $24,563,982)		29,843,741

Principal Amount / Shares / Par Value ($)		Description	Value ($)
		OPTIONS PURCHASED — 0.7%
		Currency Options
EUR	1,400,000	EUR Call/USD Put, Expires 01/09/14, Strike 1.34, (OTC) (CP-BCLY)		28,867
NZD	3,500,000	NZD Call/USD Put, Expires 11/15/13, Strike 0.83, (OTC) (CP-CITI)		6,822
NZD	3,500,000	NZD Call/USD Put, Expires 11/15/13, Strike 0.83, (OTC) (CP-JPM)		6,822
AUD	3,000,000	USD Call/AUD Put, Expires 10/02/13, Strike 0.99, (OTC) (CP-BCLY)		305,430
AUD	3,000,000	USD Call/AUD Put, Expires 10/02/13, Strike 0.86, (OTC) (CP-JPM)		14,360
JPY	250,000,000	USD Call/JPY Put, Expires 02/12/14, Strike 104.00, (OTC) (CP-BCLY)		29,495
		TOTAL OPTIONS PURCHASED (COST $200,085)		391,796
		SHORT-TERM INVESTMENTS — 2.9%
		Money Market Funds — 0.7%
	384,700	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (c)		384,700
		Total Money Market Funds (COST $384,700)		384,700
		U.S. Government — 2.2%
	1,250,000	U.S. Treasury Bill, 0.10%, due 07/24/14 (d)		1,248,848
		TOTAL SHORT-TERM INVESTMENTS (COST $1,633,433)		1,633,548
		TOTAL INVESTMENTS — 100.4% (Cost $53,019,471)		57,133,236
		Other Assets and Liabilities (net) — (0.4%)		(221,783	)
		TOTAL NET ASSETS — 100.0%		$56,911,453

40 See accompanying notes to the financial statements.

GMO International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/29/2013	CITI		CAD	700,000		USD	665,219	$	1,542
10/29/2013	DB		CAD	600,000		USD	570,185		1,319
09/24/2013	BCLY		CHF	2,100,000		USD	2,224,056		(33,256	)
09/24/2013	JPM		CHF	200,000		USD	216,480		1,498
10/01/2013	CITI		EUR	400,000		USD	534,370		5,663
10/01/2013	JPM		EUR	500,000		USD	666,000		5,116
09/10/2013	CITI		GBP	1,600,000		USD	2,424,668		(54,738	)
09/10/2013	JPM		GBP	400,000		USD	602,365		(17,486	)
10/08/2013	CITI		JPY	40,000,000		USD	410,731		3,274
10/08/2013	JPM		JPY	60,000,000		USD	624,395		13,210
09/17/2013	CITI		NZD	1,500,000		USD	1,206,477		48,299
09/17/2013	JPM		NZD	1,600,000		USD	1,277,730		42,340
09/03/2013	CITI		SEK	10,650,000		USD	1,620,931		13,953
09/03/2013	DB		SEK	4,500,000		USD	682,468		3,464
09/03/2013	DB		USD	777,779		SEK	5,100,000		(8,241	)
09/03/2013	GS		USD	275,759		SEK	1,800,000		(4,157	)
09/03/2013	JPM		USD	1,224,248		SEK	8,250,000		20,594
09/10/2013	CITI		USD	8,815,837		GBP	5,800,000		172,008
09/10/2013	DB		USD	1,086,492		GBP	700,000		(1,753	)
09/17/2013	CITI		USD	79,403		NZD	100,000		(2,191	)
09/17/2013	DB		USD	4,003,972		NZD	5,100,000		(66,167	)
09/24/2013	CITI		USD	854,342		CHF	800,000		5,586
10/01/2013	BCLY		USD	16,009,534		EUR	12,100,000		(16,154	)
10/01/2013	CITI		USD	265,221		EUR	200,000		(868	)
10/01/2013	JPM		USD	795,971		EUR	600,000		(2,910	)
10/08/2013	CITI		USD	7,604,378		JPY	750,000,000		35,434
10/15/2013	DB		USD	819,468		NOK	4,900,000		(20,021	)
10/22/2013	BCLY		USD	634,823		AUD	700,000		(13,769	)
10/22/2013	DB		USD	449,037		AUD	500,000		(5,427	)
11/05/2013	CITI		USD	1,626,242		SEK	10,700,000		(14,015	)
								$	112,147

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
3	Australian Government Bond 10 Yr.	September 2013	$	313,413	$	(3,270	)
6	Australian Government Bond 3 Yr.	September 2013		584,074		(3,338	)
40	Canadian Government Bond 10 Yr.	December 2013		4,883,875		35,880
68	Euro BOBL	September 2013		11,214,378		(91,682	)
5	Euro BUND	September 2013		927,372		581
40	U.S. Treasury Note 10 Yr. (CBT)	December 2013		4,971,250		(10,948	)
			$	22,894,362	$	(72,777	)
Sales
6	Japanese Government Bond 10 Yr. (TSE)	September 2013	$	8,827,396	$	(85,979	)
3	U.S. Treasury Bond 30 Yr. (CBT)	December 2013		395,719		(2,582	)
24	U.S. Treasury Note 2 Yr. (CBT)	December 2013		5,274,000		(1,134	)
2	UK Gilt Long Bond	December 2013		338,462		402
			$	14,835,577	$	(89,293	)

Written Options

Principal Amount			Expiration Date	Description	Premiums		Market Value
Put	JPY	250,000,000	2/12/2014	USD Call/JPY Put, Strike 110.00 (OTC) (CP-BCLY)	$	35,809	$	(10,416	)
Put	AUD	6,000,000	10/2/2013	USD Call/AUD Put, Strike 0.92 (OTC) (CP-JPM)		130,597		(208,571	)
						$166,406	$	(218,987	)

See accompanying notes to the financial statements. 41

GMO International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Swap Contracts

Credit Default Swaps

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%	0.74%	Republic of Italy		N/A		$	(78,542	)
	6,000,000	USD	3/20/2019	DB	Receive	1.66%	2.47%	Republic of Italy		6,000,000	USD		(215,205	)
												$	(293,747	)
								Premiums to (Pay) Receive				$	—

^ Receive - Fund receives premium and sells credit protection. If a credit event occurs, the Fund will either, depending on the terms of the terms of the particular swap contract, (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, the Fund will either, depending on the terms of the terms of the particular swap contract, (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 contracts on the reference security, as of August 31, 2013, 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 contract.

⁽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 contract.

Interest Rate Swaps

Notional Amount			Expiration Date		Counterparty	Receive (Pay) #	Fixed Rate		Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	10,100,000	SEK		9/18/2020	BCLY (e)	Receive		1.90%	3 Month SEK STIBOR	$	(74,539	)
	4,600,000	SEK		9/18/2023	BCLY (e)	Receive		2.60%	3 Month SEK STIBOR		(18,116	)
	12,800,000	SEK		9/18/2020	DB	Receive		1.90%	3 Month SEK STIBOR		(93,663	)
	3,200,000	CHF		9/18/2023	BCLY (e)	Receive		1.20%	6 Month CHF LIBOR		(130,624	)
										$	(316,942	)
									Premiums to (Pay) Receive	$	88,910

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

As of August 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

(a) All or a portion of this security has been pledged to cover margin requirements on futures and cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(b) Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

(c) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

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

(e) Interest rate swap was cleared through the CME Group.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 66.

42 See accompanying notes to the financial statements.

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Debt Obligations		95.5	%
Short-Term Investments		4.5
Other		0.0	^
		100.0	%
Industry Sector Summary	% of Debt Obligations
Residential Asset-Backed Securities (United States)		45.1	%
Student Loans		10.5
Business Loans		8.8
Residential Mortgage-Backed Securities (European)		8.3
Residential Mortgage-Backed Securities (Australian)		6.9
CMBS		4.4
U.S. Government Agency		4.3
Insured Other		3.6
CMBS Collateralized Debt Obligations		2.6
Airlines		1.7
Insured Residential Mortgage-Backed Securities (United States)		1.5
Insured Residential Asset-Backed Securities (United States)		1.2
Insured Time Share		0.5
Residential Mortgage-Backed Securities (United States)		0.3
Insured Business Loans		0.2
Time Share		0.1
		100.0	%

^ Rounds to 0.0%.

43

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 95.5%
		Asset-Backed Securities — 91.4%
		Airlines — 1.6%
	13,164,107	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, 1 mo. LIBOR + .48%, 0.66%, due 05/15/24		5,397,284
	4,673,863	Continental Airlines, Inc., Series 99-1A, 6.55%, due 08/02/20		5,047,771
		Total Airlines		10,445,055
		Business Loans — 8.4%
	1,726,927	Bayview Commercial Asset Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .36%, 0.54%, due 04/25/34		1,571,504
	1,491,818	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.55%, due 01/25/35		1,327,718
	6,397,779	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.57%, due 01/25/36		5,150,212
	6,237,423	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, 1 mo. LIBOR + .24%, 0.42%, due 07/25/37		4,834,003
	21,208,101	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.48%, due 12/25/37		20,359,777
	5,035,646	Bayview Financial Acquisition Trust, Series 04-B, Class A1, 144A, 1 mo. LIBOR + .50%, 1.18%, due 05/28/39		2,291,219
	5,249,929	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.48%, due 05/28/39		1,981,848
	8,112,545	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.18%, due 02/28/40		5,570,074
	1,587,699	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.47%, due 05/15/32		1,492,437
	3,617,766	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.42%, due 11/15/33		3,292,167
	4,667,099	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.43%, due 02/25/30		4,270,676
	2,611,272	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.43%, due 09/25/30		2,297,920
	1,234,475	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A2, 144A, 1 mo. LIBOR + .85%, 1.03%, due 10/25/37		1,230,401
		Total Business Loans		55,669,956
		CMBS — 4.2%
	10,424,888	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.31%, due 12/15/20		10,164,266

Par Value ($)		Description	Value ($)
		CMBS — continued
	7,706,345	GS Mortgage Securities Corp., Series 06-GG6, Class A2, 5.51%, due 04/10/38		7,821,940
	2,004,441	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .51%, 1.26%, due 03/06/20		1,998,228
	7,481,577	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.83%, due 05/12/39		7,513,747
		Total CMBS		27,498,181
		CMBS Collateralized Debt Obligations — 2.5%
	4,398,348	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.06%, due 11/23/52		4,398
	1,202,943	Crest Exeter Street Solar, Series 04-1A, Class A1, 144A, 3 mo. LIBOR + .35%, 0.63%, due 06/28/19		1,178,884
	16,215,318	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.51%, due 05/25/46		15,242,399
		Total CMBS Collateralized Debt Obligations		16,425,681
		Insured Business Loans — 0.1%
	1,327,625	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.62%, due 10/25/30		963,192
		Insured Other — 3.5%
	860,000	GE Seaco Finance SRL, Series 04-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .30%, 0.48%, due 04/17/19		858,710
	7,195,526	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.38%, due 09/15/41		6,819,166
	6,841,134	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.38%, due 12/15/41		6,519,120
	2,957,015	TIB Card Receivables Fund, Series 2005-B, 144A, FGIC, 3 mo. LIBOR + .25%, 0.52%, due 01/05/14		2,661,314
	2,988,000	Toll Road Investment Part II, Series 1999B, 144A, MBIA, due 02/15/30		951,678
	26,300,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		5,145,595
		Total Insured Other		22,955,583
		Insured Residential Asset-Backed Securities (United States) ¿ — 1.2%
	1,486,886	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, 1 mo. LIBOR + .21%, 0.60%, due 07/25/34		1,375,370
	1,714,658	Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, 1 mo. LIBOR + .38%, 0.56%, due 12/25/33		1,594,632

44 See accompanying notes to the financial statements.

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Insured Residential Asset-Backed Securities (United States) ¿ — continued
	463,720	Quest Trust, Series 04-X1, Class A, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.51%, due 03/25/34		440,534
	4,691,747	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.40%, due 11/25/35		4,339,866
		Total Insured Residential Asset-Backed Securities (United States)		7,750,402
		Insured Residential Mortgage-Backed Securities (United States) — 1.4%
	358,929	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.52%, due 10/25/34		307,782
	739,049	Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.51%, due 01/25/35		591,239
	6,584,093	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.33%, due 06/15/37		5,112,548
	3,421,166	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, 1 mo. LIBOR + .23%, 0.41%, due 10/25/34		2,872,411
	127,449	GreenPoint Home Equity Loan Trust, Series 04-1, Class A, AMBAC, 1 mo. LIBOR + .23%, 0.64%, due 07/25/29		124,106
	177,118	GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, 1 mo. LIBOR + .28%, 0.74%, due 08/15/30		147,008
	279,634	Lehman ABS Corp., Series 04-2, Class A, AMBAC, 1 mo. LIBOR + .22%, 0.62%, due 06/25/34		252,370
	68,043	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.47%, due 12/25/32		59,197
		Total Insured Residential Mortgage-Backed Securities (United States)		9,466,661
		Insured Time Share — 0.5%
	3,128,926	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.18%, due 09/20/19		3,128,623
		Residential Asset-Backed Securities (United States) ¿ — 43.0%
	977,554	Accredited Mortgage Loan Trust, Series 04-4, Class A1B, 1 mo. LIBOR + .39%, 0.57%, due 01/25/35		912,791
	1,999,092	ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + .14%, 0.46%, due 02/25/36		714,676
	2,736,942	ACE Securities Corp., Series 06-ASP2, Class A2C, 1 mo. LIBOR + .18%, 0.36%, due 03/25/36		2,565,883

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	17,957,717	ACE Securities Corp., Series 06-ASP5, Class A2C, 1 mo. LIBOR + .18%, 0.36%, due 10/25/36		9,248,224
	4,087,056	ACE Securities Corp., Series 06-HE2, Class A2C, 1 mo. LIBOR + .16%, 0.34%, due 05/25/36		2,574,845
	592,466	ACE Securities Corp., Series 06-HE3, Class A2B, 1 mo. LIBOR + .09%, 0.27%, due 06/25/36		309,563
	8,679,495	ACE Securities Corp., Series 06-OP1, Class A2C, 1 mo. LIBOR + .15%, 0.33%, due 04/25/36		7,789,846
	2,889,781	ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + .16%, 0.50%, due 09/25/35		1,112,566
	6,834,690	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.38%, due 06/25/36		2,460,488
	7,944,639	ACE Securities Corp., Series 06-SL3, Class A2, 1 mo. LIBOR + .17%, 0.52%, due 06/25/36		2,780,624
	4,796,647	ACE Securities Corp., Series 07-HE1, Class A2A, 1 mo. LIBOR + .09%, 0.27%, due 01/25/37		1,630,860
	2,495,995	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.25%, due 11/25/36		898,558
	11,515,695	Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .20%, 0.58%, due 05/25/37		590,179
	2,053,353	Argent Securities, Inc., Series 04-W8, Class A5, 1 mo. LIBOR + .52%, 1.22%, due 05/25/34		1,950,044
	46,290,046	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.33%, due 07/25/36		19,007,850
	6,823,433	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.29%, due 09/25/36		2,729,373
	9,396,586	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.37%, due 03/25/36		4,510,361
	266,311	Argent Securities, Inc., Series 06-W4, Class A2B, 1 mo. LIBOR + .11%, 0.29%, due 05/25/36		94,141
	7,588,633	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.33%, due 06/25/36		2,760,365
	7,737,902	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.33%, due 10/25/36		6,253,772
	13,519,650	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.40%, due 05/25/37		11,762,096
	2,684,252	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.29%, due 11/25/36		1,710,406

See accompanying notes to the financial statements. 45

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	7,874,345	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.38%, due 11/25/36		3,106,429
	1,515,873	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .16%, 0.50%, due 02/25/37		673,048
	37,351,829	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.38%, due 02/25/37		32,507,297
	5,613,469	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.34%, due 06/25/36		5,529,266
	59,540	Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .27%, 0.72%, due 04/25/33		57,349
	10,869,768	Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, 1 mo. LIBOR + .16%, 0.34%, due 12/25/36		4,972,919
	28,258,966	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.32%, due 02/25/37		26,388,222
	408,405	Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.48%, due 04/25/34		303,942
	8,732,909	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.34%, due 04/25/36		6,516,933
	3,332,838	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.38%, due 05/25/36		1,861,703
	1,228,005	Fremont Home Loan Trust, Series 06-B, Class 2A2, 1 mo. LIBOR + .10%, 0.28%, due 08/25/36		507,320
	18,299,714	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.34%, due 08/25/36		7,228,387
	12,302,918	GE-WMC Mortgage Securities, Series 06-1, Class A2B, 1 mo. LIBOR + .15%, 0.33%, due 08/25/36		4,675,109
	1,934,877	Household Home Equity Loan Trust, Series 05-2, Class A2, 1 mo. LIBOR + .31%, 0.49%, due 01/20/35		1,884,086
	1,714,594	Household Home Equity Loan Trust, Series 05-3, Class A2, 1 mo. LIBOR + .29%, 0.47%, due 01/20/35		1,677,087
	5,923,904	Household Home Equity Loan Trust, Series 06-1, Class A1, 1 mo. LIBOR + .16%, 0.34%, due 01/20/36		5,779,509
	24,546,736	JP Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.30%, due 12/25/36		11,681,791
	996,561	Master Asset-Backed Securities Trust, Series 05-FRE1, Class A4, 1 mo. LIBOR + .25%, 0.43%, due 10/25/35		984,104
	13,133,734	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.33%, due 03/25/36		9,095,111

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	9,854,095	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.33%, due 06/25/36		5,247,306
	19,433,325	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.33%, due 08/25/36		6,704,497
	12,572,101	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.34%, due 10/25/36		6,741,789
	5,144,580	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .16%, 0.50%, due 03/25/36		1,093,223
	4,074,366	Merrill Lynch Mortgage Investors, Series 07-HE2, Class A2A, 1 mo. LIBOR + .12%, 0.30%, due 02/25/37		1,819,612
	1,401,646	Morgan Stanley Capital, Inc., Series 04-SD1, Class A, 1 mo. LIBOR + .40%, 0.98%, due 08/25/34		1,289,514
	31,028,825	Morgan Stanley Capital, Inc., Series 07-HE4, Class A2C, 1 mo. LIBOR + .23%, 0.41%, due 02/25/37		12,101,242
	9,944,518	Morgan Stanley Home Equity Loans, Series 06-3, Class A3, 1 mo. LIBOR + .16%, 0.34%, due 04/25/36		6,762,272
	1,281,574	Morgan Stanley Home Equity Loans, Series 07-2, Class A1, 1 mo. LIBOR + .10%, 0.28%, due 04/25/37		858,655
	8,489,589	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.33%, due 11/25/36		3,364,000
	5,121,294	People’s Choice Home Loan Securities Trust, Series 05-4, Class 1A2, 1 mo. LIBOR + .26%, 0.44%, due 12/25/35		3,920,863
	2,981,799	RAAC Series Trust, Series 06-SP1, Class A2, 1 mo. LIBOR + .19%, 0.37%, due 09/25/45		2,843,444
	235,960	Residential Asset Mortgage Products, Inc., Series 05-RS8, Class A2, 1 mo. LIBOR + .29%, 0.47%, due 10/25/33		234,662
	1,362,125	Residential Asset Securities Corp., Series 05-KS12, Class A2, 1 mo. LIBOR + .25%, 0.43%, due 01/25/36		1,348,504
	236,691	Saxon Asset Securities Trust, Series 04-1, Class A, 1 mo. LIBOR + .27%, 0.72%, due 03/25/35		165,943
	128,846	SG Mortgage Securities Trust, Series 05-OPT1, Class A2, 1 mo. LIBOR + .26%, 0.44%, due 10/25/35		128,640
	15,876,056	Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, 1 mo. LIBOR + .15%, 0.33%, due 06/25/37		8,884,241
	3,847,784	Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.38%, due 01/25/36		3,732,350
	853,875	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.76%, due 11/25/35		834,663

46 See accompanying notes to the financial statements.

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	12,982,133	Yale Mortgage Loan Trust, Series 07-1, Class A, 144A, 1 mo. LIBOR + .40%, 0.58%, due 06/25/37		6,198,968
		Total Residential Asset-Backed Securities (United States)		284,071,511
		Residential Mortgage-Backed Securities (Australian) — 6.6%
	1,446,771	Crusade Global Trust, Series 04-2, Class A1, 3 mo. LIBOR + .13%, 0.39%, due 11/19/37		1,444,611
	3,464,686	Crusade Global Trust, Series 06-1, Class A1, 144A, 3 mo. LIBOR + .06%, 0.33%, due 07/20/38		3,413,128
	5,689,494	Crusade Global Trust, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.33%, due 04/19/38		5,552,389
	877,283	Interstar Millennium Trust, Series 03-3G, Class A2, 3 mo. LIBOR + .25%, 0.78%, due 09/27/35		830,822
	9,082,043	Interstar Millennium Trust, Series 04-2G, Class A, 3 mo. LIBOR + .20%, 0.67%, due 03/14/36		8,686,883
	568,787	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 0.67%, due 12/08/36		545,861
	914,873	Interstar Millennium Trust, Series 06-2GA, Class A2, 144A, 3 mo. LIBOR + .08%, 0.56%, due 05/27/38		868,352
	796,290	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 0.34%, due 05/10/36		793,032
	3,890,203	Medallion Trust, Series 06-1G, Class A1, 3 mo. LIBOR + .05%, 0.32%, due 06/14/37		3,828,597
	609,482	Medallion Trust, Series 07-1G, Class A1, 3 mo. LIBOR + .04%, 0.30%, due 02/27/39		605,841
	3,925,211	National RMBS Trust, Series 06-3, Class A1, 144A, 3 mo. LIBOR + .07%, 0.34%, due 10/20/37		3,893,932
	4,828,164	Puma Finance Ltd., Series G5, Class A1, 144A, 3 mo. LIBOR + .07%, 0.40%, due 02/21/38		4,725,324
	4,518,274	Superannuation Members Home Loans Global Fund, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.39%, due 06/12/40		4,517,438
	387,315	Superannuation Members Home Loans Global Fund, Series 8, Class A1, 3 mo. LIBOR + .07%, 0.41%, due 01/12/37		387,005
	3,634,944	Westpac Securitization Trust, Series 07-1G, Class A2A, 144A, 3 mo. LIBOR + .05%, 0.31%, due 05/21/38		3,608,554
		Total Residential Mortgage-Backed Securities (Australian)		43,701,769
		Residential Mortgage-Backed Securities (European) — 8.0%
	8,133,639	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, 3 mo. LIBOR + .11%, 0.49%, due 09/20/66		7,413,609

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (European) — continued
	15,405,232	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 0.47%, due 01/13/39		14,778,239
	2,306,513	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .08%, 0.26%, due 12/20/54		2,258,353
	1,179,585	Granite Mortgages Plc, Series 04-3, Class 2A1, 3 mo. LIBOR + .28%, 0.55%, due 09/20/44		1,168,969
	5,188,551	Kildare Securities Ltd., Series 07-1A, Class A2, 144A, 3 mo. LIBOR + .06%, 0.39%, due 12/10/43		5,058,837
	2,825,669	Leek Finance Plc, Series 17A, Class A2B, 144A, 3 mo. LIBOR + .14%, 0.55%, due 12/21/37		2,921,035
	5,858,638	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, 3 mo. LIBOR + .42%, 0.68%, due 05/15/34		5,192,511
	9,949,587	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, 3 mo. LIBOR + .22%, 0.48%, due 11/15/38		8,696,238
	5,796,908	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .20%, 0.47%, due 09/15/39		5,057,223
		Total Residential Mortgage-Backed Securities (European)		52,545,014
		Residential Mortgage-Backed Securities (United States) — 0.3%
	401,784	Chevy Chase Mortgage Funding Corp., Series 04-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 0.48%, due 08/25/35		321,427
	1,727,260	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, 1 mo. LIBOR + .25%, 0.43%, due 02/26/34		1,509,733
		Total Residential Mortgage-Backed Securities (United States)		1,831,160
		Student Loans — 10.0%
	20,300,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.52%, due 01/25/24		19,792,500
	6,830,292	Nelnet Student Loan Trust, Series 05-2, Class A4, 3 mo. LIBOR + .08%, 0.35%, due 12/23/19		6,821,345
	6,431,891	SLM Student Loan Trust, Series 05-1, Class A2, 3 mo. LIBOR + .08%, 0.35%, due 04/27/20		6,364,176
	12,054,734	SLM Student Loan Trust, Series 05-3, Class A4, 3 mo. LIBOR + .07%, 0.34%, due 04/27/20		12,022,669
	8,042,190	SLM Student Loan Trust, Series 07-2, Class A2, 3 mo. LIBOR + .00%, 0.27%, due 07/25/17		8,024,577
	2,480,703	SLM Student Loan Trust, Series 07-6, Class A2, 3 mo. LIBOR + .25%, 0.52%, due 01/25/19		2,480,455

See accompanying notes to the financial statements. 47

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($) / Shares		Description	Value ($)
		Student Loans — continued
	10,800,000	SLM Student Loan Trust, Series 08-6, Class A3, 3 mo. LIBOR + .75%, 1.02%, due 01/25/19		10,908,000
		Total Student Loans		66,413,722
		Time Share — 0.1%
	843,214	Sierra Receivables Funding Co., Series 08-1A, Class A2, 144A, 1 mo. LIBOR + 4.00%, 4.18%, due 02/20/20		854,281
		Total Asset-Backed Securities		603,720,791
		U.S. Government Agency — 4.1%
	11,356,250	Agency for International Development Floater (Support of Morocco), 6 mo. LIBOR - .02%, 0.38%, due 02/01/25 (a)		10,629,607
	10,125,000	Agency for International Development Floater (Support of Morocco), 6 mo. LIBOR + .15%, 0.55%, due 10/29/26 (a)		9,505,966
	126,683	Agency for International Development Floater (Support of Peru), Series A, 6 mo. U.S. Treasury Bill + .35%, 0.42%, due 05/01/14 (a)		126,101
	7,050,000	Agency for International Development Floater (Support of Tunisia), 6 mo. LIBOR, 0.40%, due 07/01/23 (a)		6,665,339
		Total U.S. Government Agency		26,927,013
		TOTAL DEBT OBLIGATIONS (COST $885,884,183)		630,647,804
		SHORT-TERM INVESTMENTS — 4.5%
		Money Market Funds — 4.5%
	29,880,928	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (b)		29,880,928
		TOTAL SHORT-TERM INVESTMENTS (COST $29,880,928)		29,880,928
		TOTAL INVESTMENTS — 100.0% (Cost $915,765,111)		660,528,732
		Other Assets and Liabilities (net) — 0.00%		210,892
		TOTAL NET ASSETS — 100.0%		$660,739,624

Notes to Schedule of Investments:

¿ These securities are primarily backed by subprime mortgages.

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

(b) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 66.

48 See accompanying notes to the financial statements.

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		95.5	%
Short-Term Investments		4.5
Other		0.0	^
		100.0	%
Industry Sector Summary**	% of Debt Obligations
Residential Asset-Backed Securities (United States)		45.1	%
Student Loans		10.5
Business Loans		8.8
Residential Mortgage-Backed Securities (European)		8.3
Residential Mortgage-Backed Securities (Australian)		6.9
CMBS		4.4
U.S. Government Agency		4.3
Insured Other		3.6
CMBS Collateralized Debt Obligations		2.6
Airlines		1.7
Insured Residential Mortgage-Backed Securities (United States)		1.5
Insured Residential Asset-Backed Securities (United States)		1.2
Insured Time Share		0.5
Residential Mortgage-Backed Securities (United States)		0.3
Insured Business Loans		0.2
Time Share		0.1
		100.0	%

* The table above incorporates aggregate indirect asset class exposure associated with investments in GMO Short-Duration Collateral Fund.

** The table above incorporates aggregate indirect sector exposure associated with investments in GMO Short-Duration Collateral Fund.

^ Rounds to 0.0%.

49

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.1%
		Affiliated Issuers — 100.1%
	11,790,022	GMO Short-Duration Collateral Fund		39,024,971
		TOTAL MUTUAL FUNDS (COST $30,838,309)		39,024,971
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	5,784	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (a)		5,784
		TOTAL SHORT-TERM INVESTMENTS (COST $5,784)		5,784
		TOTAL INVESTMENTS — 100.1% (Cost $30,844,093)		39,030,755
		Other Assets and Liabilities (net) — (0.1%)		(35,977	)
		TOTAL NET ASSETS — 100.0%		$38,994,778

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

50 See accompanying notes to the financial statements.

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		85.7	%
Short-Term Investments		15.7
Options Purchased		1.2
Loan Participations		0.1
Loan Assignments		0.0	^
Rights/Warrants		0.0	^
Forward Currency Contracts		(0.1	)
Futures Contracts		(0.2	)
Written Options		(0.5	)
Reverse Repurchase Agreements		(1.9	)
Swap Contracts		(1.9	)
Other		1.9
		100.0	%
Country/Region Summary**	% of Investments
United States		91.4	%
Canada		11.4
Switzerland		7.7
Sweden		6.4
New Zealand		6.1
Emerging***		3.6
Australia		1.3
Euro Region****		(2.0	)
United Kingdom		(9.9	)
Japan		(16.0	)
		100.0	%

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

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on the Manager’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security.

*** The “Emerging” exposure is associated only with investments in the Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of Mexico, Venezuela, Russia, Turkey, Brazil, Argentina, Indonesia, Philippines, Hungary and Tunisia. Additional information about the fund’s emerging country exposure is available in the financial statements of the Emerging Country Debt Fund country/region summary.

**** The “Euro Region” is comprised of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Malta, Netherlands, Portugal, Slovakia, Slovenia and Spain.

^ Rounds to 0.0%.

51

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($) / Shares / Principal Amount		Description	Value ($)
		DEBT OBLIGATIONS — 31.0%
		United States — 31.0%
		U.S. Government — 31.0%
	78,552,112	U.S. Treasury Inflation Indexed Note, 1.25% , due 04/15/14 (a)		79,454,204
	150,000,000	U.S. Treasury Note, 1.75%, due 01/31/14		151,025,400
	169,000,000	U.S. Treasury Note, 2.38%, due 02/28/15		174,221,762
		TOTAL DEBT OBLIGATIONS (COST $405,047,371)		404,701,366
		MUTUAL FUNDS — 63.4%
		United States — 63.4%
		Affiliated Issuers
	5,669,349	GMO Emerging Country Debt Fund, Class IV		54,312,364
	105,394,919	GMO Short-Duration Collateral Fund		348,857,183
	4,318,188	GMO U.S. Treasury Fund		107,954,702
	12,049,669	GMO World Opportunity Overlay Fund		315,580,831
		TOTAL MUTUAL FUNDS (COST $793,985,514)		826,705,080
		OPTIONS PURCHASED — 0.7%
		Currency Options — 0.7%
EUR	32,900,000	EUR Call/USD Put, Expires 01/09/14, Strike 1.34, (OTC) (CP-BCLY)		678,367
NZD	80,000,000	NZD Call/USD Put, Expires 11/15/13, Strike 0.83, (OTC) (CP-CITI)		155,920
NZD	80,000,000	NZD Call/USD Put, Expires 11/15/13, Strike 0.83, (OTC) (CP-JPM)		155,920
AUD	68,000,000	USD Call/AUD Put, Expires 10/02/13, Strike 0.99, (OTC) (CP-BCLY)		6,923,092
AUD	68,000,000	USD Call/AUD Put, Expires 10/02/13, Strike 0.86, (OTC) (CP-JPM)		325,495
JPY	6,300,000,000	USD Call/JPY Put, Expires 02/12/14, Strike 104.00, (OTC) (CP-BCLY)		743,283
		TOTAL OPTIONS PURCHASED (COST $4,748,338)		8,982,077
		SHORT-TERM INVESTMENTS — 4.6%
		Money Market Funds — 0.1%
	658,232	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (b)		658,232
		U.S. Government — 4.5%
	10,000,000	U.S. Treasury Bill, 0.03%, due 01/09/14 (c) (d)		9,998,760

Par Value ($)		Description	Value ($)
		U.S. Government — continued
	12,150,000	U.S. Treasury Bill, 0.05%, due 03/06/14 (c)		12,146,586
	37,000,000	U.S. Treasury Bill, 0.10%, due 07/24/14 (c) (d)		36,965,886
		Total U.S. Government		59,111,232
		TOTAL SHORT-TERM INVESTMENTS (COST $59,757,816)		59,769,464
		TOTAL INVESTMENTS — 99.7% (Cost $1,263,539,039)		1,300,157,987
		Other Assets and Liabilities (net) — 0.3%		4,065,253
		TOTAL NET ASSETS — 100.0%		$1,304,223,240

52 See accompanying notes to the financial statements.

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/22/2013	BCLY		AUD	5,900,000		USD	5,350,651	$	116,057
10/29/2013	DB		CAD	13,500,000		USD	12,829,163		29,679
09/24/2013	BCLY		CHF	50,600,000		USD	53,589,149		(801,323	)
09/24/2013	JPM		CHF	5,300,000		USD	5,736,719		39,693
10/01/2013	BCLY		EUR	35,600,000		USD	47,102,431		47,528
10/01/2013	CITI		EUR	4,500,000		USD	6,011,663		63,711
10/01/2013	JPM		EUR	19,200,000		USD	25,574,432		196,506
09/10/2013	CITI		GBP	16,100,000		USD	24,086,238		(862,780	)
09/10/2013	JPM		GBP	11,300,000		USD	17,022,621		(488,180	)
10/08/2013	CITI		JPY	3,800,000,000		USD	38,538,872		(169,513	)
09/17/2013	CITI		NZD	33,700,000		USD	27,098,606		1,078,203
09/17/2013	JPM		NZD	44,900,000		USD	35,806,955		1,138,821
09/03/2013	CITI		SEK	194,600,000		USD	29,618,130		254,961
09/03/2013	DB		SEK	106,100,000		USD	16,082,435		73,019
09/10/2013	CITI		USD	35,700,664		GBP	23,200,000		250,716
09/17/2013	CITI		USD	555,821		NZD	700,000		(15,338	)
09/24/2013	CITI		USD	21,462,760		CHF	20,100,000		142,942
10/01/2013	CITI		USD	6,365,314		EUR	4,800,000		(20,832	)
10/29/2013	CITI		USD	23,852,854		CAD	25,100,000		(55,294	)
11/05/2013	CITI		USD	29,576,333		SEK	194,600,000		(254,899	)
09/03/2013	DB		USD	18,931,104		SEK	124,200,000		(190,581	)
09/10/2013	DB		USD	27,007,097		GBP	17,400,000		(43,562	)
09/17/2013	DB		USD	99,756,006		NZD	127,100,000		(1,619,706	)
10/15/2013	DB		USD	19,076,616		NOK	114,100,000		(460,933	)
10/22/2013	DB		USD	10,507,454		AUD	11,700,000		(126,988	)
09/03/2013	GS		USD	6,143,302		SEK	40,100,000		(92,618	)
09/03/2013	JPM		USD	20,240,899		SEK	136,400,000		340,479
10/01/2013	JPM		USD	13,533,015		EUR	10,200,000		(50,992	)
								$	(1,481,224	)

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
1,152	Canadian Government Bond 10 Yr.	December 2013	$	140,655,607	$	1,033,338
919	U.S. Treasury Note 10 Yr. (CBT)	December 2013		114,214,469		(255,351	)
			$	254,870,076	$	777,987
Sales
14	Australian Government Bond 10 Yr.	September 2013	$	1,462,592	$	6,749
131	Euro Bund	September 2013		24,297,133		30,751
198	Japanese Government Bond 10 Yr. (TSE)	September 2013		291,304,082		(3,207,361	)
68	U.S. Treasury Bond 30 Yr. (CBT)	December 2013		8,969,625		(58,537	)
475	U.S. Treasury Note 2 Yr. (CBT)	December 2013		104,381,250		(24,901	)
865	UK Gilt Long Bond	December 2013		146,384,739		173,881
			$	576,799,421	$	(3,079,418	)

Written Options

Principal Amount			Expiration Date	Description	Premiums		Market Value
Put	AUD	136,000,000	10/2/2013	USD Call/AUD Put, Strike 0.92 (OTC) (CP-JPM)	$	2,960,209	$	(4,727,606	)
Put	JPY	6,300,000,000	2/12/2014	USD Call/JPY Put, Strike 110.00 (OTC) (CP-BCLY)		902,391		(262,497	)
					$	3,862,600	$	(4,990,103	)

See accompanying notes to the financial statements. 53

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Swap Contracts

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	100,000,000	NZD	7/14/2015	BCLY	Receive	4.87%	3 Month NZD Bank Bill Rate	$	2,169,552
	100,000,000	NZD	7/15/2015	BCLY	Receive	4.86%	3 Month NZD Bank Bill Rate		2,156,845
	100,000,000	NZD	7/15/2015	CITI	Receive	4.85%	3 Month NZD Bank Bill Rate		2,146,395
	211,700,000	SEK	9/18/2020	DB	Receive	1.90%	3 Month SEK STIBOR		(1,549,093	)
	384,300,000	SEK	9/18/2020	BCLY (e)	Receive	1.90%	3 Month SEK STIBOR		(2,836,196	)
	26,700,000	SEK	9/18/2023	BCLY (e)	Receive	2.60%	3 Month SEK STIBOR		(105,150	)
	74,100,000	CHF	9/18/2023	BCLY (e)	Receive	1.20%	6 Month CHF LIBOR		(3,024,759	)
								$	(1,042,406	)
						Premiums to (Pay) Receive		$	2,783,654

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

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

As of August 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

(a) Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

(b) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

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

(d) All or a portion of this security has been pledged to cover margin requirements on futures and cleared swap contracts, collateral on OTC swap contracts and forward currency contracts, and/or written options, if any (Note 4).

(e) Interest rate swap was cleared through the CME Group.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 66.

54 See accompanying notes to the financial statements.

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Short-Term Investments		100.0	%
Other		(0.0	)^
		100.0	%

^ Rounds to 0.0%.

55

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($) / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 100.0%
		U.S. Government —100.0%
	53,500,000	U.S. Treasury Bill, 0.07%, due 10/17/13 (a)		$     53,495,365
	49,000,000	U.S. Treasury Bill, 0.05%, due 10/03/13 (a)		48,997,791
	488,200,000	U.S. Treasury Bill, 0.02%, due 11/21/13 (a)		488,204,636
	114,000,000	U.S. Treasury Bill, 0.02%, due 11/29/13 (a)		113,993,160
	74,300,000	U.S. Treasury Bill, 0.02%, due 10/10/13 (a)		74,298,658
	425,000,000	U.S. Treasury Bill, 0.03%, due 12/05/13 (a)		424,969,825
	357,700,000	U.S. Treasury Bill, 0.03%, due 12/26/13 (a)		357,663,157
	414,200,000	U.S. Treasury Bill, 0.03%, due 01/09/14 (a)		414,148,639
	408,500,000	U.S. Treasury Bill, 0.03%, due 01/02/14 (a)		408,462,418
	145,000,000	U.S. Treasury Bill, 0.04%, due 02/20/14 (a)		144,970,855
	215,555,000	U.S. Treasury Note, 0.13%, due 09/30/13		215,554,592
		Total U.S. Government		2,744,759,096
		Money Market Funds — 0.0%
	983,295	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (b)		983,295
		TOTAL SHORT-TERM INVESTMENTS (COST $2,745,496,280)		2,745,742,391
		TOTAL INVESTMENTS — 100.0% (Cost $2,745,496,280)		2,745,742,391
		Other Assets and Liabilities (net) — (0.0%)		(44,141	)
		TOTAL NET ASSETS — 100.0%		$2,745,698,250

Notes to Schedule of Investments:

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

(b) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

56 See accompanying notes to the financial statements.

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Debt Obligations		105.6	%
Short-Term Investments		5.0
Options Purchased		2.3
Swap Contracts		(7.4	)
Written Options		(0.5	)
Reverse Repurchase Agreements		(7.8	)
Other		2.8
		100.0	%
Industry Summary	% of Debt Obligations
U.S. Government		68.4	%
Residential Asset-Backed Securities (United States)		13.2
Foreign Government Obligations		7.6
Residential Mortgage-Backed Securities (European)		2.8
Business Loans		2.1
CMBS		1.2
Residential Mortgage-Backed Securities (Australian)		1.1
Insured Other		1.0
Insured Residential Asset-Backed Securities (United States)		0.8
CMBS Collateralized Debt Obligations		0.6
Student Loans		0.5
Insured Transportation		0.4
Insured Time Share		0.2
U.S. Government Agency		0.1
		100.0	%

57

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 105.6%
		Asset-Backed Securities — 25.2%
		Business Loans — 2.3%
	932,387	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.55%, due 01/25/35		829,824
	1,390,821	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.57%, due 01/25/36		1,119,611
	6,117,722	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.48%, due 12/25/37		5,873,013
	2,978,825	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.18%, due 02/28/40		2,045,262
	915,339	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.42%, due 11/15/33		832,958
	1,124,347	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.43%, due 02/25/30		1,028,845
	720,351	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.43%, due 09/25/30		633,909
	122,680	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A2, 144A, 1 mo. LIBOR + .85%, 1.03%, due 10/25/37		122,275
		Total Business Loans		12,485,697
		CMBS — 1.2%
	3,711,647	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.31%, due 12/15/20		3,618,856
	1,699,929	GS Mortgage Securities Corp., Series 06-GG6, Class A2, 5.51%, due 04/10/38		1,725,428
	1,496,315	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.64%, due 05/12/39		1,502,750
		Total CMBS		6,847,034
		CMBS Collateralized Debt Obligations — 0.7%
	6,777,455	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.06%, due 11/23/52		6,777

Par Value ($)		Description	Value ($)
		CMBS Collateralized Debt Obligations — continued
	3,859,365	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.51%, due 05/25/46		3,627,804
		Total CMBS Collateralized Debt Obligations		3,634,581
		Insured Other — 1.0%
	2,053,778	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.38%, due 09/15/41		1,946,356
	1,596,265	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.38%, due 12/15/41		1,521,128
	550,699	TIB Card Receivables Fund, Series 2005-B, 144A, FGIC, 3 mo. LIBOR + .25%, 0.52%, due 01/05/14		495,629
	9,200,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		1,799,980
		Total Insured Other		5,763,093
		Insured Residential Asset-Backed Securities (United States) ¿ — 0.8%
	4,960,418	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, 1 mo. LIBOR + .21%, 0.60%, due 07/25/34		4,588,387
		Insured Time Share — 0.2%
	964,996	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.18%, due 09/20/19		964,902
		Insured Transportation — 0.4%
	2,259,914	CLI Funding LLC, Series 06-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .18%, 0.36%, due 08/18/21		2,223,191
		Residential Asset-Backed Securities (United States) ¿ — 13.9%
	8,315,396	ACE Securities Corp., Series 06-ASP5, Class A2C, 1 mo. LIBOR + .18%, 0.36%, due 10/25/36		4,282,429
	8,243,385	ACE Securities Corp., Series 06-HE2, Class A2C, 1 mo. LIBOR + .16%, 0.34%, due 05/25/36		5,193,332

58 See accompanying notes to the financial statements.

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	128,101	ACE Securities Corp., Series 06-HE3, Class A2B, 1 mo. LIBOR + .09%, 0.27%, due 06/25/36		66,933
	604,399	ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + .16%, 0.50%, due 09/25/35		232,694
	1,664,483	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.38%, due 06/25/36		599,214
	1,809,713	ACE Securities Corp., Series 06-SL3, Class A2, 1 mo. LIBOR + .17%, 0.52%, due 06/25/36		633,400
	978,171	ACE Securities Corp., Series 06-SL4, Class A1, 1 mo. LIBOR + .12%, 0.30%, due 09/25/36		224,979
	3,946,356	ACE Securities Corp., Series 07-ASL1, Class A2, 1 mo. LIBOR + .17%, 0.35%, due 12/25/36		651,149
	911,935	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.25%, due 11/25/36		328,297
	8,964,386	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.33%, due 07/25/36		3,681,001
	4,912,872	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.29%, due 09/25/36		1,965,149
	1,652,147	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.37%, due 03/25/36		793,030
	1,818,110	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.33%, due 06/25/36		661,338
	2,068,548	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.33%, due 10/25/36		1,671,801
	3,353,299	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.40%, due 05/25/37		2,917,370

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	1,908,083	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.29%, due 11/25/36		1,215,831
	5,002,525	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.38%, due 11/25/36		1,973,496
	532,924	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .16%, 0.50%, due 02/25/37		236,618
	1,140,236	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.34%, due 06/25/36		1,123,132
	2,335,653	Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, 1 mo. LIBOR + .16%, 0.34%, due 12/25/36		1,068,561
	4,832,894	Citigroup Mortgage Loan Trust, Inc., Series 06-WFH4, Class A3, 1 mo. LIBOR + .15%, 0.33%, due 11/25/36		4,663,743
	6,332,506	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.32%, due 02/25/37		5,913,295
	4,041,091	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.34%, due 08/25/36		1,596,231
	696,556	Household Home Equity Loan Trust, Series 05-2, Class A2, 1 mo. LIBOR + .31%, 0.49%, due 01/20/35		678,271
	270,725	Household Home Equity Loan Trust, Series 05-3, Class A2, 1 mo. LIBOR + .29%, 0.47%, due 01/20/35		264,803
	5,677,476	JP Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.30%, due 12/25/36		2,701,911
	128,967	Master Asset-Backed Securities Trust, Series 05-FRE1, Class A4, 1 mo. LIBOR + .25%, 0.43%, due 10/25/35		127,355
	2,763,674	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.33%, due 03/25/36		1,913,845
	2,354,518	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.33%, due 06/25/36		1,253,781

See accompanying notes to the financial statements. 59

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	5,139,944	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.33%, due 08/25/36		1,773,281
	2,706,494	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.34%, due 10/25/36		1,451,357
	1,075,997	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .16%, 0.50%, due 03/25/36		228,649
	1,751,626	Merrill Lynch Mortgage Trust, Series 06-SD1, Class A, 1 mo. LIBOR + .28%, 0.46%, due 01/25/47		1,493,436
	2,055,374	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.33%, due 11/25/36		814,442
	7,911,482	Nationstar Home Equity Loan Trust, Series 06-B, Class AV3, 1 mo. LIBOR + .17%, 0.35%, due 09/25/36		7,350,261
	9,100,000	Nomura Home Equity Loan, Inc., Series 06-HE3, Class 2A3, 1 mo. LIBOR + .15%, 0.33%, due 07/25/36		5,832,531
	1,344,340	People’s Choice Home Loan Securities Trust, Series 05-4, Class 1A2, 1 mo. LIBOR + .26%, 0.44%, due 12/25/35		1,029,227
	912,619	Saxon Asset Securities Trust, Series 06-3, Class A2, 1 mo. LIBOR + .11%, 0.29%, due 10/25/46		903,493
	8,419,692	Securitized Asset-Backed Receivables LLC Trust, Series 06-HE1, Class A2C, 1 mo. LIBOR + .16%, 0.34%, due 07/25/36		3,936,206
	33,644	SG Mortgage Securities Trust, Series 05-OPT1, Class A2, 1 mo. LIBOR + .26%, 0.44%, due 10/25/35		33,590
	3,342,328	Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, 1 mo. LIBOR + .15%, 0.33%, due 06/25/37		1,870,366
	935,948	Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.38%, due 01/25/36		907,869

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — continued
	137,819	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.76%, due 11/25/35		134,718
		Total Residential Asset-Backed Securities (United States)		76,392,415
		Residential Mortgage-Backed Securities (Australian) — 1.2%
	1,029,600	Crusade Global Trust, Series 06-1, Class A1, 144A, 3 mo. LIBOR + .06%, 0.33%, due 07/20/38		1,014,279
	2,547,865	Interstar Millennium Trust, Series 04-2G, Class A, 3 mo. LIBOR + .20%, 0.67%, due 03/14/36		2,437,008
	1,051,018	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 0.67%, due 12/08/36		1,008,655
	663,575	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 0.34%, due 05/10/36		660,860
	1,375,110	Puma Finance Ltd., Series G5, Class A1, 144A, 3 mo. LIBOR + .07%, 0.40%, due 02/21/38		1,345,820
		Total Residential Mortgage-Backed Securities (Australian)		6,466,622
		Residential Mortgage-Backed Securities (European) — 2.9%
	5,687,432	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, 3 mo. LIBOR + .11%, 0.49%, due 09/20/66		5,183,952
	2,850,968	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 0.47%, due 01/13/39		2,734,934
	1,626,711	Granite Master Issuer Plc, Series 06-3, Class A3, 1 mo. LIBOR + .08%, 0.26%, due 12/20/54		1,588,272
	2,339,935	Kildare Securities Ltd., Series 07-1A, Class A2, 144A, 3 mo. LIBOR + .06%, 0.39%, due 12/10/43		2,281,437
	2,618,312	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, 3 mo. LIBOR + .22%, 0.48%, due 11/15/38		2,288,484
	2,386,962	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .20%, 0.47%, due 09/15/39		2,082,386
		Total Residential Mortgage-Backed Securities (European)		16,159,465

60 See accompanying notes to the financial statements.

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($) / Principal Amount		Description	Value ($)
		Student Loans — 0.6%
	3,100,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.52%, due 01/25/24		3,022,500
		Total Asset-Backed Securities		138,547,887
		Foreign Government Obligations — 8.0%
GBP	25,000,000	U.K. Treasury Bond, 4.25%, due 12/07/46 (a)		43,972,750
		U.S. Government — 72.2%
	310,898,668	U.S. Treasury Inflation Indexed Note, 1.25%, due 04/15/14 (b) (c)		314,469,028
	105,000,000	U.S. Treasury Strip Coupon, due 08/15/22		81,831,960
		Total U.S. Government		396,300,988
		U.S. Government Agency — 0.2%
	800,000	U.S. Department of Transportation, 144A, 6.00%, due 12/07/21		840,000
		TOTAL DEBT OBLIGATIONS (COST $632,448,197)		579,661,625
		OPTIONS PURCHASED — 2.3%
		Currency Options — 0.0%
EUR	3,000,000	EUR Call/CHF Put, Expires 06/16/15, Strike 1.56%, (OTC) (CP - JPM)		19,825
		Options on Interest Rate Swaps — 2.3%
AUD	40,000,000	AUD Swaption Call, Expires 04/16/14, Strike 4.07%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 40,000,000 AUD in which it will pay 6 month AUD BBSW and will receive a rate of 4.07%, maturing on 04/17/24. (OTC) (CP - BCLY)		345,731
AUD	40,000,000	AUD Swaption Call, Expires 04/16/14, Strike 4.08%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 40,000,000 AUD in which it will pay 6 month AUD BBSW and will receive a rate of 4.08%, maturing on 04/17/24. (OTC) (CP - MSCI)		353,920

Principal Amount		Description	Value ($)
		Options on Interest Rate Swaps — continued
AUD	40,000,000	AUD Swaption Put, Expires 04/16/14, Strike 4.08%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 40,000,000 AUD in which it will pay a rate of 4.08% and will receive 6 month AUD BBSW, maturing on 04/17/24. (OTC) (CP -MSCI)		1,815,382
AUD	10,000,000	AUD Swaption Put, Expires 04/22/14, Strike 4.08%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 10,000,000 AUD in which it will pay a rate of 4.08% and will receive 6 month AUD BBSW, maturing on 04/22/24. (OTC) (CP -MSCI)		461,616
AUD	10,000,000	AUD Swaption Call, Expires 04/22/14, Strike 4.08%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 10,000,000 AUD in which it will pay 6 month AUD BBSW and will receive a rate of 4.08%, maturing on 04/22/24. (OTC) (CP - MSCI)		88,435
AUD	20,000,000	AUD Swaption Put, Expires 06/25/14, Strike 4.77%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 20,000,000 AUD in which it will pay a rate of 4.77% and will receive 6 month AUD BBSW, maturing on 06/26/24. (OTC) (CP - MSCI)		474,610
AUD	20,000,000	AUD Swaption Call, Expires 06/25/14, Strike 4.77%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 20,000,000 AUD in which it will pay 6 month AUD BBSW and will receive a rate of 4.77%, maturing on 06/26/24. (OTC) (CP - MSCI)		628,874
AUD	40,000,000	AUD Swaption Put, Expires 04/16/14, Strike 4.07%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 40,000,000 AUD in which it will pay a rate of 4.07% and will receive 6 month AUD BBSW, maturing on 04/17/24. (OTC) (CP - BCLY)		1,835,640

See accompanying notes to the financial statements. 61

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Number of Contracts / Principal Amount		Description	Value ($)
		Options on Interest Rate Swaps — continued
JPY	2,000,000,000	JPY Swaption Put, Expires 03/14/14, Strike 1.72%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 2,000,000,000 JPY in which it will pay a rate of 1.72% and will receive 6 month JPY LIBOR, maturing on 03/18/34. (OTC) (CP - CITI)		639,039
JPY	2,000,000,000	JPY Swaption Call, Expires 03/14/14, Strike 1.72%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 2,000,000,000 JPY in which it will pay 6 month JPY LIBOR and will receive a rate of 1.72%, maturing on 03/18/34. (OTC) (CP - CITI)		550,715
JPY	4,000,000,000	JPY Swaption Call, Expires 03/17/14, Strike 1.75%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 4,000,000,000 JPY in which it will pay 6 month JPY LIBOR and will receive a rate of 1.75%, maturing on 03/18/34. (OTC) (CP - MSCI)		1,227,805
JPY	4,000,000,000	JPY Swaption Put, Expires 03/17/14, Strike 1.75%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 4,000,000,000 JPY in which it will pay a rate of 1.75% and will receive 6 month JPY LIBOR, maturing on 03/19/34. (OTC) (CP - MSCI)		1,186,210
JPY	4,000,000,000	JPY Swaption Put, Expires 05/19/14, Strike 1.87%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 4,000,000,000 JPY in which it will pay a rate of 1.87% and will receive 6 month JPY LIBOR, maturing on 05/19/34. (OTC) (CP - MSCI)		1,056,984
JPY	4,000,000,000	JPY Swaption Call, Expires 05/19/14, Strike 1.87%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 4,000,000,000 JPY in which it will pay 6 month JPY LIBOR and will receive a rate of 1.87%, maturing on 05/21/34. (OTC) (CP - MSCI)		1,847,410

Number of Contracts / Principal Amount / Shares / Par Value ($)		Description	Value ($)
		Options on Interest Rate Swaps — continued
USD	200,000,000	USD Swaption Call, Expires 10/28/13, Strike 2.50%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 200,000,000 USD in which it will pay 3 month USD LIBOR and will receive a rate of 2.50%, maturing on 10/30/23. (OTC) (CP - CITI)		—
USD	200,000,000	USD Swaption Call, Expires 10/28/13, Strike 3.10%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 200,000,000 USD in which it will pay 3 month USD LIBOR and will receive a rate of 3.10%, maturing on 10/30/23. (OTC) (CP - CITI)		200
		Total Options on Interest Rate Swaps		12,512,571
		TOTAL OPTIONS PURCHASED (COST $18,502,471)		12,532,396
		SHORT-TERM INVESTMENTS — 5.0%
		Money Market Funds — 1.2%
	6,306,581	State Street Institutional Liquid Reserves Fund-Institutional Class, 0.08% (d)		6,306,581
		U.S. Government — 3.8%
	1,000,000	U.S. Treasury Bill, 0.02%, due 11/14/13 (c) (e)		999,965
	20,000,000	U.S. Treasury Bill, 0.03%, due 01/09/14 (c) (e)		19,997,520
		Total U.S. Government		20,997,485
		TOTAL SHORT-TERM INVESTMENTS (COST $27,296,528)		27,304,066
		TOTAL INVESTMENTS — 112.9% (Cost $678,247,196)		619,498,087
		Other Assets and Liabilities (net) — (12.9%)		(70,695,757	)
		TOTAL NET ASSETS — 100.0%		$548,802,330

62 See accompanying notes to the financial statements.

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Reverse Repurchase Agreements

Face Value		Description	Market Value
GBP	27,629,902	Barclays Bank, 0.52%, dated 08/31/13, to be repurchased on demand at face value plus accrued interest with a stated maturity date of 09/23/13.	$	(42,823,040	)
			$	(42,823,040	)
		Average balance outstanding	$	(44,592,831	)
		Average interest rate		0.51	%
		Maximum balance outstanding	$	(47,276,342	)

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

Written Options

Options on Interest Rate Swaps

Principal Amount				Expiration Date	Description	Premiums		Market Value
	Call	AUD	20,000,000	9/25/2013	Interest Rate Swaption, Strike 4.54, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 20,000,000 AUD in which it will pay a rate of 4.54% and will receive 6 month AUD BBSW maturing on 09/26/23. (OTC) (CP - MSCI)	$	374,387	$	(289,872	)
	Put	AUD	20,000,000	9/25/2013	Interest Rate Swaption, Strike 4.54, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 20,000,000 AUD in which it will pay 6 month AUD BBSW and will receive a rate of 4.54%, maturing on 09/26/23. (OTC) (CP - MSCI)		374,387		(101,875	)
	Call	AUD	40,000,000	10/2/2013	Interest Rate Swaption, Strike 4.40, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 40,000,000 AUD in which it will pay a rate of 4.40% and will receive 6 month AUD BBSW maturing on 10/03/23. (OTC) (CP - BCLY)		627,141		(375,067	)
	Put	AUD	40,000,000	10/2/2013	Interest Rate Swaption, Strike 4.40, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 40,000,000 AUD in which it will pay 6 month AUD BBSW and will receive a rate of 4.40%, maturing on 10/03/23. (OTC) (CP - BCLY)		627,141		(424,269	)
	Call	AUD	40,000,000	10/23/2013	Interest Rate Swaption, Strike 4.28, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 40,000,000 AUD in which it will pay a rate of 4.28% and will receive 6 month AUD BBSW maturing on 10/24/23. (OTC) (CP - BCLY)		631,856		(295,532	)
	Put	AUD	40,000,000	10/23/2013	Interest Rate Swaption, Strike 4.28, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 40,000,000 AUD in which it will pay 6 month AUD BBSW and will receive a rate of 4.28%, maturing on 10/24/23. (OTC) (CP - BCLY)		631,856		(759,498	)
	Call	JPY	2,000,000,000	9/2/2013	Interest Rate Swaption, Strike 1.81, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 2,000,000,000 JPY in which it will pay a rate of 1.81% and will receive 6 month JPY LIBOR maturing on 09/04/33. (OTC) (CP - CITI)		336,794		(429,231	)
	Put	JPY	2,000,000,000	9/2/2013	Interest Rate Swaption, Strike 1.81, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 2,000,000,000 JPY in which it will pay 6 month JPY LIBOR and will receive a rate of 1.81%, maturing on 09/04/33. (OTC) (CP - CITI)		336,794		(896	)

See accompanying notes to the financial statements. 63

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Options on Interest Rate Swaps (continued)

Principal Amount			Expiration Date	Description	Premiums		Market Value
Call	USD	400,000,000	10/28/2013	Interest Rate Swaption, Strike 2.80, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 400,000,000 USD in which it will pay a rate of 2.80% and will receive 3 month USD LIBOR maturing on 10/30/23. (OTC) (CP - CITI)	$	2,560,000	$	—
				Total Options on Interest Rate Swaps	$	6,500,356	$	(2,676,240	)

Swap Contracts

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	355,000,000	AUD	12/18/2015	BCLY (f)	Receive	2.80%	3 Month AUD BBSW	$	(591,211	)
	489,000,000	CAD	12/18/2015	CSI (f)	Receive	1.50%	3 Month CAD BA		(1,391,316	)
	576,000,000	CHF	12/18/2015	CSI (f)	(Pay)	0.25%	6 Month CHF LIBOR		124,038
	13,000,000	EUR	12/18/2015	CSI (f)	(Pay)	0.75%	6 Month EURIBOR		(4,805	)
	323,000,000	GBP	12/18/2015	BCLY (f)	(Pay)	0.75%	6 Month GBP LIBOR		2,053,861
	1,300,000,000	JPY	12/18/2015	BCLY (f)	(Pay)	0.30%	6 Month JPY LIBOR		(5,832	)
	4,736,000,000	SEK	12/18/2015	BCLY (f)	Receive	1.50%	3 Month SEK STIBOR		(4,674,782	)
	351,000,000	USD	12/18/2015	CSI (f)	(Pay)	0.75%	3 Month USD LIBOR		(229,013	)
	105,000,000	USD	8/15/2022	JPM	Receive	0.00%	3 Month USD LIBOR		(23,651,793	)
	40,000,000	AUD	7/17/2023	MSCI	Receive	3.93%	6 Month AUD BBSW		(1,326,158	)
	10,000,000	AUD	7/22/2023	MSCI	Receive	3.92%	6 Month AUD BBSW		(338,874	)
	84,000,000	AUD	12/18/2023	BCLY (f)	(Pay)	4.00%	6 Month AUD BBSW		3,009,952
	107,000,000	CAD	12/18/2023	CSI (f)	(Pay)	2.75%	3 Month CAD BA		3,701,707
	121,000,000	CHF	12/18/2023	CSI (f)	Receive	1.25%	6 Month CHF LIBOR		(5,117,825	)
	3,000,000	EUR	12/18/2023	CSI (f)	Receive	2.00%	6 Month EURIBOR		(96,263	)
	70,000,000	GBP	12/18/2023	BCLY (f)	Receive	2.25%	6 Month GBP LIBOR		(5,509,391	)
	400,000,000	JPY	12/18/2023	BCLY (f)	Receive	1.10%	6 Month JPY LIBOR		54,191
	1,045,000,000	SEK	12/18/2023	BCLY (f)	(Pay)	2.50%	3 Month SEK STIBOR		6,284,373
	76,000,000	USD	12/18/2023	CSI (f)	Receive	2.50%	3 Month USD LIBOR		(3,896,557	)
	4,000,000,000	JPY	7/19/2033	BCLY (f)	Receive	1.70%	6 Month JPY LIBOR		132,409
	4,000,000,000	JPY	8/21/2033	MSCI	(Pay)	1.78%	6 Month JPY LIBOR		(677,248	)
	25,000,000	GBP	12/7/2046	ML	(Pay)	4.36%	6 Month GBP LIBOR		(8,317,872	)
								$	(40,468,409	)
						Premiums to (Pay) Receive		$	6,894,632

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

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

As of August 31, 2013, 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.

64 See accompanying notes to the financial statements.

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Notes to Schedule of Investments:

(a) All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements (Note 2).

(b) Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

(c) All or a portion of this security has been pledged to cover margin requirements on futures and cleared swap contracts, collateral on OTC swap contracts and forward currency contracts, and/or written options, if any (Note 4).

(d) The rate disclosed is the 7 day net yield as of August 31, 2013.

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

(f) Interest rate swap was cleared through the CME Group.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 66.

See accompanying notes to the financial statements. 65

GMO Trust Funds

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Portfolio Abbreviations:

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

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

BBSW - Bank Bill Swap Reference Rate

BOBL - Bundesobligationen

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

DEM LIBOR - London Interbank Offered Rate denominated in Deutsche Marks

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.

GDP - Gross Domestic Product

GMTN - Global Medium Term Note

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

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.

RMBS - Residential Mortgage Backed Security

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

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

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 August 31, 2013, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

CITI - Citibank N.A.

DB - Deutsche Bank AG

CSI - Credit Suisse International

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

ML - Merrill Lynch Capital Services, Inc.

MSCI - Morgan Stanley & Co.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

COP - Colombian Peso

DEM - Deutche Mark

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

SEK - Swedish Krona

USD - United States Dollar

ZAR - South African Rand

66 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2013 (Unaudited)

	Asset Allocation Bond Fund		Core Plus Bond Fund		Currency Hedged International Bond Fund		Debt Opportunities Fund		Domestic Bond Fund
Assets:
Investments in unaffiliated issuers, at value (Note 2)(a)	$	2,182,415,171	$	128,533,546	$	32,585,441	$	1,019,399,504	$	25,716,519
Investments in affiliated issuers, at value (Notes 2 and 10)(b)		70,907,506		106,366,031		35,430,299		39,020,848		159,077,499
Receivable for investments sold		74,000,000		—		—		—		200,000
Receivable for Fund shares sold		—		—		—		1,195,200		—
Dividends and interest receivable		3,033,130		496,434		305,641		1,503,999		120,453
Unrealized appreciation on open forward currency contracts (Note 4)		—		526,567		179,501		—		—
Receivable for variation margin on open cleared swap contracts (Note 4)		—		28,332		9,832		—		—
Receivable for variation margin on open futures contracts (Note 4)		—		—		1,459		—		—
Due from broker (Note 2)		—		538,092		191,986		—		—
Receivable for expenses reimbursed and/or waived by Manager (Note 5)		8,928		25,850		14,449		19,406		17,144
Miscellaneous receivable		—		—		—		4,800		—
Total assets		2,330,364,735		236,514,852		68,718,608		1,061,143,757		185,131,615
Liabilities:
Payable for investments purchased		75,059,800		1,208		488		2,520		—
Payable for Fund shares repurchased		—		—		—		—		206,582
Payable to affiliate for (Note 5):
Management fee		480,698		49,696		14,517		221,122		15,688
Shareholder service fee		120,663		21,874		8,711		48,647		11,734
Unrealized depreciation on open forward currency contracts (Note 4)		—		819,791		261,816		—		—
Due to broker (Note 2)		130,235		—		162		—		—
Payable for variaton margin on open futures contracts (Note 4)		—		52,304		—		—		—
Payable for open OTC swap contracts (Note 4)		—		2,215,405		209,253		—		—
Written options outstanding, at value (Note 4)(c)		—		661,128		218,987		—		—
Payable to agents unaffiliated with the Manager		31		31		5		93		31
Payable to Trustees and related expenses		564		387		51		644		340
Accrued expenses		62,225		110,534		78,822		96,708		60,818
Total liabilities		75,854,216		3,932,358		792,812		369,734		295,193
Net assets	$	2,254,510,519	$	232,582,494	$	67,925,796	$	1,060,774,023	$	184,836,422
(a)      Cost of investments – unaffiliated issuers:	$	2,236,297,312	$	130,857,202	$	31,051,532	$	999,536,830	$	25,928,682
(b)      Cost of investments – affiliated issuers:	$	70,926,269	$	99,209,910	$	32,518,115	$	39,030,846	$	141,915,737
(c)      Premiums on written options:	$	—	$	513,543	$	166,406	$	—	$	—

See accompanying notes to the financial statements. 67

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2013 (Unaudited) — (Continued)

	Asset Allocation Bond Fund			Core Plus Bond Fund			Currency Hedged International Bond Fund			Debt Opportunities Fund		Domestic Bond Fund
Net assets consist of:
Paid-in capital	$	2,308,989,870		$	421,257,079		$	80,781,197		$	1,017,133,153	$	189,068,068
Accumulated undistributed net investment income		6,241,193			1,330,285			180,721			15,852,466		17,521
Accumulated net realized gain (loss)		(6,819,640	)		(192,432,923	)		(16,643,379	)		7,935,728		(21,198,766	)
Net unrealized appreciation (depreciation)		(53,900,904	)		2,428,053			3,607,257			19,852,676		16,949,599
	$	2,254,510,519		$	232,582,494		$	67,925,796		$	1,060,774,023	$	184,836,422
Net assets attributable to:
Class III shares	$	185,048,166		$	46,390,861		$	67,925,796		$	—	$	38,370,209
Class IV shares	$	—		$	186,191,633		$	—		$	—	$	—
Class VI shares	$	2,069,462,353		$	—		$	—		$	1,060,774,023	$	146,466,213
Shares outstanding:
Class III		7,684,984			6,508,480			8,019,209			—		2,642,014
Class IV		—			26,059,321			—			—		—
Class VI		85,797,199			—			—			38,978,674		10,016,871
Net asset value per share:
Class III	$	24.08		$	7.13		$	8.47		$	—	$	14.52
Class IV	$	—		$	7.14		$	—		$	—	$	—
Class VI	$	24.12		$	—		$	—		$	27.21	$	14.62

68 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2013 (Unaudited) — (Continued)

	Emerging Country Debt Fund		Global Bond Fund		International Bond Fund		Short- Duration Collateral Fund
Assets:
Investments in unaffiliated issuers, at value (Note 2)(a)	$	2,571,105,055	$	52,966,069	$	27,289,495	$	660,528,732
Investments in affiliated issuers, at value (Notes 2 and 10)(b)		126,834,848		76,342,580		29,843,741		—
Receivable for Fund shares sold		1,395,451		—		—		—
Dividends and interest receivable		37,770,043		324,347		208,517		296,095
Unrealized appreciation on open forward currency contracts (Note 4)		783,386		801,671		373,300		—
Receivable for variation margin on open cleared swap contracts (Note 4)		—		18,347		6,771		—
Due from broker (Note 2)		157		396,531		147,649		—
Receivable for open swap contracts (Note 4)		114,668,954		—		—		—
Receivable for expenses reimbursed and/or waived by Manager (Note 5)		—		12,667		15,018		16,834
Receivable for options (Note 4)		168,045		—		—		—
Miscellaneous receivable		4,549		—		—		—
Other expense reimbursement from Manager (Note 2)		—		—		830,768		—
Total assets		2,852,730,488		130,862,212		58,715,259		660,841,661
Liabilities:
Payable for investments purchased		4,671,316		1,019		63		—
Payable for Fund shares repurchased		490,183		—		—		—
Payable to affiliate for (Note 5):
Management fee		766,868		21,897		12,201		—
Shareholder service fee		238,670		17,287		7,321		—
Payable for variation margin on open futures contracts (Note 4)		—		4,236		1,738		—
Due to broker (Note 2)		—		503		388		—
Unrealized depreciation on open forward currency contracts (Note 4)		1,665,723		528,073		261,153		—
Payable for open OTC swap contracts (Note 4)		135,227,259		396,200		387,410		—
Payable for options (Note 4)(c)		3,022,857		442,141		218,987		—
Payable to agents unaffiliated with the Manager		310		31		5		93
Payable to Trustees and related expenses		2,538		202		69		1,220
Accrued expenses		677,627		95,520		914,471		100,724
Total liabilities		146,763,351		1,507,109		1,803,806		102,037
Net assets	$	2,705,967,137	$	129,355,103	$	56,911,453	$	660,739,624
(a)      Cost of investments – unaffiliated issuers:	$	2,675,491,362	$	52,925,084	$	28,455,489	$	915,765,111
(b)      Cost of investments – affiliated issuers:	$	121,764,277	$	76,596,359	$	24,563,982	$	—
(c)      Premiums on written options:	$	812,194	$	347,137	$	166,406	$	—

See accompanying notes to the financial statements. 69

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2013 (Unaudited) — (Continued)

	Emerging Country Debt Fund			Global Bond Fund			International Bond Fund			Short- Duration Collateral Fund
Net assets consist of:
Paid-in capital	$	2,843,856,069		$	161,425,535		$	94,310,497		$	1,005,487,438
Accumulated undistributed net investment income		47,276,943			1,429,886			—			—
Distributions in excess of net investment income		—			—			(259,286	)		(1,654,566	)
Accumulated net realized gain (loss)		(91,073,603	)		(32,716,573	)		(40,630,260	)		(87,856,869	)
Net unrealized appreciation (depreciation)		(94,092,272	)		(783,745	)		3,490,502			(255,236,379	)
	$	2,705,967,137		$	129,355,103		$	56,911,453		$	660,739,624
Net assets attributable to:
Core Class shares	$	—		$	—		$	—		$	660,739,624
Class III shares	$	461,041,394		$	129,355,103		$	56,911,453		$	—
Class IV shares	$	2,244,925,743		$	—		$	—		$	—
Shares outstanding:
Core Class		—			—			—			199,472,400
Class III		48,086,503			15,867,777			8,384,510			—
Class IV		234,411,465			—			—			—
Net asset value per share:
Core Class	$	—		$	—		$	—		$	3.31
Class III	$	9.59		$	8.15		$	6.79		$	—
Class IV	$	9.58		$	—		$	—		$	—

70 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2013 (Unaudited) — (Continued)

	Short- Duration Collateral Share Fund		Strategic Fixed Income Fund		U.S. Treasury Fund		World Opportunity Overlay Fund
Assets:
Investments in unaffiliated issuers, at value (Note 2)(a)	$	5,784	$	473,452,907	$	2,745,742,391	$	619,498,087
Investments in affiliated issuers, at value (Notes 2 and 10)(b)		39,024,971		826,705,080		—		—
Receivable for investments sold		—		9,000,000		83,198,974		—
Dividends and interest receivable		—		2,627,000		113,398		1,918,786
Unrealized appreciation on open forward currency contracts (Note 4)		—		3,772,315		—		—
Receivable for variation margin on open cleared swap contracts		—		172,518		—		221,574
Due from broker (Note 2)		—		3,599,011		—		7,372,049
Receivable for open OTC swap contracts (Note 4)		—		6,472,792		—		—
Interest receivable for open OTC swap contracts		—		666,534		—		—
Receivable for expenses reimbursed and/or waived by Manager (Note 5)		2,542		55,432		224,120		22,723
Miscellaneous receivable		—		19,783		—		—
Total assets		39,033,297		1,326,543,372		2,829,278,883		629,033,219
Liabilities:
Payable for Fund shares repurchased		—		9,891,599		83,200,000		—
Payable to affiliate for (Note 5):
Management fee		1,652		282,076		183,201		—
Shareholder service fee		4,959		71,409		—		—
Dividend payable		—		—		41,622		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		5,253,539		—		—
Interest payable for open OTC swap contracts		—		—		—		285,899
Payable for variation margin on open futures contracts (Note 4)		—		139,069		—		—
Payable for open OTC swap contracts (Note 4)		—		1,549,093		—		34,311,945
Payable for reverse repurchase agreements (Note 2)		—		—		—		42,823,040
Written options outstanding, at value (Note 4)(c)		—		4,990,103		—		2,676,240
Payable to agents unaffiliated with the Manager		5		217		374		93
Payable to Trustees and related expenses		594		2,021		3,221		703
Accrued expenses		31,309		141,006		152,215		132,969
Total liabilities		38,519		22,320,132		83,580,633		80,230,889
Net assets	$	38,994,778	$	1,304,223,240	$	2,745,698,250	$	548,802,330
(a)      Cost of investments – unaffiliated issuers:	$	5,784	$	469,553,525	$	2,745,496,280	$	678,247,196
(b)      Cost of investments – affiliated issuers:	$	30,838,309	$	793,985,514	$	—	$	—
(c)      Premiums on written options:	$	—	$	3,862,600	$	—	$	6,500,356

See accompanying notes to the financial statements. 71

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2013 (Unaudited) — (Continued)

	Short- Duration Collateral Share Fund			Strategic Fixed Income Fund			U.S. Treasury Fund		World Opportunity Overlay Fund
Net assets consist of:
Paid-in capital	$	35,664,666		$	1,572,456,507		$	2,745,118,239
Accumulated undistributed net investment income		87,906			2,485,224			—
Accumulated net realized gain (loss)		(4,944,456	)		(304,190,008	)		333,900
Net unrealized appreciation (depreciation)		8,186,662			33,471,517			246,111
	$	38,994,778		$	1,304,223,240		$	2,745,698,250
Net assets attributable to:
Core Class shares	$	—		$	—		$	2,745,698,250	$	548,802,330
Class III shares	$	38,994,778		$	117,484,469		$	—	$	—
Class VI shares	$	—		$	1,186,738,771		$	—	$	—
Shares outstanding:
Core Class		—			—			109,806,250		20,952,719
Class III		1,770,743			7,341,894			—		—
Class VI		—			74,131,449			—		—
Net asset value per share:
Core Class	$	—		$	—		$	25.00	$	26.19
Class III	$	22.02		$	16.00		$	—	$	—
Class VI	$	—		$	16.01		$	—	$	—

72 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2013 (Unaudited)

	Asset Allocation Bond Fund			Core Plus Bond Fund			Currency Hedged International Bond Fund			Debt Opportunities Fund			Domestic Bond Fund
Investment Income:
Interest	$	7,442,416		$	1,432,454		$	528,359		$	18,288,740		$	143,086
Dividends from affiliated issuers (Note 10)		20,784			251,582			82,838			11,508			727,665
Dividends from unaffiliated issuers		—			2			3			45			9
Total investment income		7,463,200			1,684,038			611,200			18,300,293			870,760
Expenses:
Management fee (Note 5)		943,034			304,186			88,363			1,163,646			100,813
Shareholder service fee – Class III (Note 5)		93,231			37,071			53,018			—			31,658
Shareholder service fee – Class IV (Note 5)		—			96,960			—			—			—
Shareholder service fee – Class VI (Note 5)		173,283			—			—			256,002			43,840
Interest expense (Note 2)		—			812			259			—			—
Audit and tax fees		30,360			50,232			40,020			50,048			27,600
Custodian, fund accounting agent and transfer agent fees		18,492			67,528			33,856			46,184			20,240
Legal fees		1,012			7,912			6,164			9,576			6,900
Registration fees		1,932			3,680			1,380			368			4,324
Trustees fees and related expenses (Note 5)		828			1,104			316			4,442			1,012
Miscellaneous		3,772			4,404			3,249			4,232			3,864
Total expenses		1,265,944			573,889			226,625			1,534,498			240,251
Fees and expenses reimbursed by Manager (Note 5)		(55,384	)		(127,236	)		(78,752	)		(108,928	)		(107,447	)
Expense reductions (Note 2)		—			—			—			(9	)		—
Indirectly incurred fees waived or borne by Manager (Note 5)		—			(21,618	)		(6,414	)		—			—
Shareholder service fee waived (Note 5)		—			(5,208	)		(1,545	)		—			—
Net expenses		1,210,560			419,827			139,914			1,425,561			132,804
Net investment income (loss)		6,252,640			1,264,211			471,286			16,874,732			737,956
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(183,145	)		295,390			1,832			8,064,607			(72,843	)
Investments in affiliated issuers		—			4,131,279			242,066			—			65,395
Realized gain distributions from affiliated issuers (Note 10)		8,701			1,944			732			2			10
Futures contracts		17,771			(742,566	)		(161,830	)		—			—
Swap contracts		—			(713,168	)		(249,834	)		—			(17,732	)
Written options		64,320			—			—			—			—
Foreign currency, forward contracts and foreign currency related transactions		—			(3,539,128	)		(785,450	)		—			—
Net realized gain (loss)		(92,353	)		(566,249	)		(952,484	)		8,064,609			(25,170	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(54,078,842	)		(5,483,674	)		(289,175	)		(14,516,224	)		(131,153	)
Investments in affiliated issuers		(18,763	)		1,143,510			410,731			(5,999	)		5,678,336
Futures contracts		—			(202,707	)		(307,986	)		—			—
Swap contracts		—			(1,307,682	)		(243,807	)		—			17,101
Written options		—			(147,585	)		(52,581	)		—			—
Foreign currency, forward contracts and foreign currency related transactions		—			(115,745	)		(380,807	)		—			—
Net unrealized gain (loss)		(54,097,605	)		(6,113,883	)		(863,625	)		(14,522,223	)		5,564,284
Net realized and unrealized gain (loss)		(54,189,958	)		(6,680,132	)		(1,816,109	)		(6,457,614	)		5,539,114
Net increase (decrease) in net assets resulting from operations	$	(47,937,318	)	$	(5,415,921	)	$	(1,344,823	)	$	10,417,118		$	6,277,070

See accompanying notes to the financial statements. 73

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2013 (Unaudited) — (Continued)

	Emerging Country Debt Fund			Global Bond Fund			International Bond Fund			Short- Duration Collateral Fund
Investment Income:
Interest	$	78,624,194		$	700,869		$	299,043		$	2,552,313
Dividends from affiliated issuers (Note 10)		67,707			234,358			103,637			—
Dividends from unaffiliated issuers		379,584			4			2			608
Total investment income		79,071,485			935,231			402,682			2,552,921
Expenses:
Management fee (Note 5)		4,256,818			150,359			86,010			—
Shareholder service fee – Class III (Note 5)		345,609			118,705			51,606			—
Shareholder service fee – Class IV (Note 5)		985,828			—			—			—
Interest expense (Note 2)		2,975			539			250			—
Audit and tax fees		75,900			44,712			44,620			48,208
Custodian, fund accounting agent and transfer agent fees		659,180			53,084			33,948			46,092
Legal fees		27,600			7,268			6,164			11,868
Registration fees		16,082			1,196			1,750			552
Trustees fees and related expenses (Note 5)		23,404			828			332			3,864
Miscellaneous		10,672			3,828			3,266			5,060
Total expenses		6,404,068			380,519			227,946			115,644
Fees and expenses reimbursed by Manager (Note 5)		—			(56,294	)		(83,814	)		(105,432	)
Expense reductions (Note 2)		(130	)		(19	)		—			(74	)
Indirectly incurred fees waived or borne by Manager (Note 5)		—			(15,893	)		(6,084	)		—
Shareholder service fee waived (Note 5)		—			(3,831	)		(1,466	)		—
Net expenses		6,403,938			304,482			136,582			10,138
Net investment income (loss)		72,667,547			630,749			266,100			2,542,783
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(4,183,589	)		61,531			18,952			2,044
Investments in affiliated issuers		941,618			3,177,495			2,162,607			—
Realized gain distributions from affiliated issuers (Note 10)		—			2,785			907			—
Futures contracts		—			(1,095,378	)		(283,728	)		—
Swap contracts		(2,550,349	)		(459,134	)		(167,922	)		—
Foreign currency, forward contracts and foreign currency related transactions		7,919,994			(4,345,555	)		(2,543,824	)		—
Net realized gain (loss)		2,127,674			(2,658,256	)		(813,008	)		2,044
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(223,702,372	)		(1,815,753	)		(643,695	)		25,419,543
Investments in affiliated issuers		1,237,033			(37,212	)		54,479			—
Futures contracts		—			(215,920	)		(310,761	)		—
Swap contracts		(3,257,788	)		(465,912	)		(24,507	)		—
Written options		(1,667,534	)		(95,004	)		(52,581	)		—
Foreign currency, forward contracts and foreign currency related transactions		(7,227,301	)		1,313,259			990,827			—
Net unrealized gain (loss)		(234,617,962	)		(1,316,542	)		13,762			25,419,543
Net realized and unrealized gain (loss)		(232,490,288	)		(3,974,798	)		(799,246	)		25,421,587
Net increase (decrease) in net assets resulting from operations	$	(159,822,741	)	$	(3,344,049	)	$	(533,146	)	$	27,964,370

74 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2013 (Unaudited) — (Continued)

	Short- Duration Collateral Share Fund			Strategic Fixed Income Fund			U.S. Treasury Fund			World Opportunity Overlay Fund
Investment Income:
Interest	$	—		$	1,261,015		$	1,287,987		$	4,889,115
Dividends from affiliated issuers (Note 10)		165,008			2,680,552			—			—
Dividends from unaffiliated issuers		—			—			50			14,757
Total investment income		165,008			3,941,567			1,288,037			4,903,872
Expenses:
Management fee (Note 5)		9,788			2,153,233			1,198,155			—
Shareholder service fee – Class III (Note 5)		29,364			97,647			—			—
Shareholder service fee – Class VI (Note 5)		—			437,907			—			—
Interest expense (Note 2)		—			6,364			—			132,415
Audit and tax fees		9,844			32,936			27,960			67,436
Custodian, fund accounting agent and transfer agent fees		2,852			125,212			164,000			59,800
Legal fees		184			23,000			31,098			10,948
Registration fees		—			2,484			646			—
Trustees fees and related expenses (Note 5)		184			9,200			16,234			3,465
Miscellaneous		3,040			13,913			12,614			4,140
Total expenses		55,256			2,901,896			1,450,707			278,204
Fees and expenses reimbursed by Manager (Note 5)		(15,916	)		(186,024	)		(1,432,077	)		(137,356	)
Expense reductions (Note 2)		—			—			(111	)		(8	)
Indirectly incurred fees waived or borne by Manager (Note 5)		—			(141,589	)		—			—
Shareholder service fee waived (Note 5)		—			(34,123	)		—			—
Net expenses		39,340			2,540,160			18,519			140,840
Net investment income (loss)		125,668			1,401,407			1,269,518			4,763,032
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		—			20,995,713			405,612			11,706,535
Investments in affiliated issuers		266,758			(10,161,390	)		—			—
Realized gain distributions from affiliated issuers (Note 10)		—			36,937			—			—
Futures contracts		—			(1,052,496	)		—			3,909,102
Written options		—			—			—			4,124,452
Swap contracts		—			(1,447,339	)		—			(16,090,964	)
Foreign currency, forward contracts and foreign currency related transactions		—			(25,921,945	)		—			(5,883	)
Net realized gain (loss)		266,758			(17,550,520	)		405,612			3,643,242
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		—			3,316,456			292,272			(20,544,014	)
Investments in affiliated issuers		931,188			6,676,150			—			—
Futures contracts		—			(250,598	)		—			—
Written options		—			(1,127,503	)		—			1,352,371
Swap contracts		—			(6,938,343	)		—			23,717,209
Foreign currency, forward contracts and foreign currency related transactions		—			(95,288	)		—			304,044
Net unrealized gain (loss)		931,188			1,580,874			292,272			4,829,610
Net realized and unrealized gain (loss)		1,197,946			(15,969,646	)		697,884			8,472,852
Net increase (decrease) in net assets resulting from operations	$	1,323,614		$	(14,568,239	)	$	1,967,402		$	13,235,884

See accompanying notes to the financial statements. 75

GMO Trust Funds

Statements of Changes in Net Assets

	Asset Allocation Bond Fund						Core Plus Bond Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	6,252,640		$	(37,339	)	$	1,264,211		$	2,516,882
Net realized gain (loss)		(92,353	)		832,638			(566,249	)		9,402,498
Change in net unrealized appreciation (depreciation)		(54,097,605	)		(324,177	)		(6,113,883	)		8,021,565
Net increase (decrease) in net assets from operations		(47,937,318	)		471,122			(5,415,921	)		19,940,945
Distributions to shareholders from:
Net investment income:
Class III		—			(29,049	)		(754,898	)		(2,156,506	)
Class IV		—			—			(2,957,677	)		(8,301,987	)
Class VI		—			(58,521	)		—			—
Total distributions from net investment income		—			(87,570	)		(3,712,575	)		(10,458,493	)
Net realized gains:
Class III		—			(778,680	)		—			—
Class VI		—			(1,249,886	)		—			—
Total distributions from net realized gains		—			(2,028,566	)		—			—
Net share transactions (Note 9):
Class III		97,090,475			35,008,227			(575,883	)		20,714
Class IV		—			—			2,929,589			(5,744,715	)
Class VI		2,026,142,009			(27,430,816	)		—			—
Increase (decrease) in net assets resulting from net share transactions		2,123,232,484			7,577,411			2,353,706			(5,724,001	)
Total increase (decrease) in net assets		2,075,295,166			5,932,397			(6,774,790	)		3,758,451
Net assets:
Beginning of period		179,215,353			173,282,956			239,357,284			235,598,833
End of period	$	2,254,510,519		$	179,215,353		$	232,582,494		$	239,357,284
Accumulated undistributed net investment income	$	6,241,193		$	—		$	1,330,285		$	3,778,649
Distributions in excess of net investment income	$	—		$	(11,447	)	$	—		$	—

76 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Currency Hedged International Bond Fund						Debt Opportunities Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	471,286		$	1,112,871		$	16,874,732		$	21,594,764
Net realized gain (loss)		(952,484	)		1,915,615			8,064,609			592,475
Change in net unrealized appreciation (depreciation)		(863,625	)		3,117,052			(14,522,223	)		32,993,263
Net increase (decrease) in net assets from operations		(1,344,823	)		6,145,538			10,417,118			55,180,502
Distributions to shareholders from:
Net investment income:
Class III		(965,361	)		(2,840,640	)		—			—
Class VI		—			—			(2,672,678	)		(10,663,822	)
Total distributions from net investment income		(965,361	)		(2,840,640	)		(2,672,678	)		(10,663,822	)
Net realized gains:
Class VI		—			—			(4,539,310	)		(13,695,843	)
Total distributions from net realized gains		—			—			(4,539,310	)		(13,695,843	)
Net share transactions (Note 9):
Class III		708,702			(5,798,418	)		—			—
Class VI		—			—			244,586,743			574,938,730
Increase (decrease) in net assets resulting from net share transactions		708,702			(5,798,418	)		244,586,743			574,938,730
Purchase premiums and redemption fees (Notes 2 and 9):
Class VI		—			—			962,064			2,217,239
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		708,702			(5,798,418	)		245,548,807			577,155,969
Total increase (decrease) in net assets		(1,601,482	)		(2,493,520	)		248,753,937			607,976,806
Net assets:
Beginning of period		69,527,278			72,020,798			812,020,086			204,043,280
End of period	$	67,925,796		$	69,527,278		$	1,060,774,023		$	812,020,086
Accumulated undistributed net investment income	$	180,721		$	674,796		$	15,852,466		$	1,650,412

See accompanying notes to the financial statements. 77

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Domestic Bond Fund						Emerging Country Debt Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	737,956		$	2,719,847		$	72,667,547		$	151,055,233
Net realized gain (loss)		(25,170	)		(71,474	)		2,127,674			84,370,650
Change in net unrealized appreciation (depreciation)		5,564,284			29,192,318			(234,617,962	)		54,683,491
Net increase (decrease) in net assets from operations		6,277,070			31,840,691			(159,822,741	)		290,109,374
Distributions to shareholders from:
Net investment income:
Class III		(99,053	)		(537,660	)		(5,493,085	)		(40,966,517	)
Class IV		—			—			(23,126,084	)		(122,413,953	)
Class VI		(418,087	)		(2,187,385	)		—			—
Total distributions from net investment income		(517,140	)		(2,725,045	)		(28,619,169	)		(163,380,470	)
Return of capital:
Class III		(8,381,610	)		(29,389,389	)		—			—
Class VI		(31,401,864	)		(108,985,245	)		—			—
Total distributions from return of capital		(39,783,474	)		(138,374,634	)		—			—
Net share transactions (Note 9):
Class III		(1,045,063	)		—			68,280,052			(290,913,212	)
Class IV		—			—			487,548,175			697,186,159
Class VI		(393,235	)		—			—			—
Increase (decrease) in net assets resulting from net share transactions		(1,438,298	)		—			555,828,227			406,272,947
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			586,446			1,438,628
Class IV		—			—			2,614,145			3,557,122
Increase in net assets resulting from purchase premiums and redemption fees		—			—			3,200,591			4,995,750
Total increase (decrease) in net assets resulting from net share transactions		(1,438,298	)		—			559,028,818			411,268,697
Total increase (decrease) in net assets		(35,461,842	)		(109,258,988	)		370,586,908			537,997,601
Net assets:
Beginning of period		220,298,264			329,557,252			2,335,380,229			1,797,382,628
End of period	$	184,836,422		$	220,298,264		$	2,705,967,137		$	2,335,380,229
Accumulated undistributed net investment income	$	17,521		$	—		$	47,276,943		$	3,228,565
Distributions in excess of net investment income	$	—		$	(203,295	)	$	—		$	—

78 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Global Bond Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	630,749		$	2,095,180
Net realized gain (loss)		(2,658,256	)		1,520,809
Change in net unrealized appreciation (depreciation)		(1,316,542	)		3,901,945
Net increase (decrease) in net assets from operations		(3,344,049	)		7,517,934
Distributions to shareholders from:
Net investment income
Class III		(399,948	)		(2,466,357	)
Net share transactions (Note 9):
Class III		(32,237,971	)		(2,927,852	)
Total increase (decrease) in net assets		(35,981,968	)		2,123,725
Net assets:
Beginning of period		165,337,071			163,213,346
End of period	$	129,355,103		$	165,337,071
Accumulated undistributed net investment income	$	1,429,886		$	474,321

See accompanying notes to the financial statements. 79

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Bond Fund						Short-Duration Collateral Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	266,100		$	841,849		$	2,542,783		$	11,447,822
Net realized gain (loss)		(813,008	)		(432,467	)		2,044			1,452,203
Change in net unrealized appreciation (depreciation)		13,762			1,740,299			25,419,543			125,472,366
Net increase (decrease) in net assets from operations		(533,146	)		2,149,681			27,964,370			138,372,391
Distributions to shareholders from:
Net investment income
Core Class		—			—			(3,156,872	)		(10,863,746	)
Class III		—			(1,677,811	)		—			—
Total distributions from net investment income		—			(1,677,811	)		(3,156,872	)		(10,863,746	)
Return of capital
Core Class		—			—			(141,533,058	)		(531,068,366	)
Net share transactions (Note 9):
Core Class		—			—			7,192,685			12,618,755
Class III		(13,504,294	)		531,597			—			—
Total increase (decrease) in net assets resulting from net share transactions		(13,504,294	)		531,597			7,192,685			12,618,755
Total increase (decrease) in net assets		(14,037,440	)		1,003,467			(109,532,875	)		(390,940,966	)
Net assets:
Beginning of period		70,948,893			69,945,426			770,272,499			1,161,213,465
End of period	$	56,911,453		$	70,948,893		$	660,739,624		$	770,272,499
Distributions in excess of net investment income	$	(259,286	)	$	(525,386	)	$	(1,654,566	)	$	(1,040,477	)

80 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Short-Duration Collateral Share Fund						Strategic Fixed Income Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	125,668		$	300,770		$	1,401,407		$	8,406,082
Net realized gain (loss)		266,758			225,196			(17,550,520	)		112,478,123
Change in net unrealized appreciation (depreciation)		931,188			4,934,812			1,580,874			49,916,851
Net increase (decrease) in net assets from operations		1,323,614			5,460,778			(14,568,239	)		170,801,056
Distributions to shareholders from:
Net investment income
Class III		(41,884	)		(310,996	)		(2,211,255	)		(8,874,326	)
Class VI		—			—			(28,126,403	)		(161,031,868	)
Total distributions from net investment income		(41,884	)		(310,996	)		(30,337,658	)		(169,906,194	)
Net share transactions (Note 9):
Class III		(299,936	)		(202,616	)		(13,908,071	)		56,239,936
Class VI		—			—			(455,384,560	)		(727,057,511	)
Increase (decrease) in net assets resulting from net share transactions		(299,936	)		(202,616	)		(469,292,631	)		(670,817,575	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			86,940			93,993
Class VI		—			—			976,375			2,151,304
Increase in net assets resulting from purchase premiums and redemption fees		—			—			1,063,315			2,245,297
Total increase (decrease) in net assets resulting from net share transactions		(299,936	)		(202,616	)		(468,229,316	)		(668,572,278	)
Total increase (decrease) in net assets		981,794			4,947,166			(513,135,213	)		(667,677,416	)
Net assets:
Beginning of period		38,012,984			33,065,818			1,817,358,453			2,485,035,869
End of period	$	38,994,778		$	38,012,984		$	1,304,223,240		$	1,817,358,453
Accumulated undistributed net investment income	$	87,906		$	4,122		$	2,485,224		$	31,421,475

See accompanying notes to the financial statements. 81

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	U.S. Treasury Fund						World Opportunity Overlay Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,269,518		$	2,617,295		$	4,763,032		$	9,320,366
Net realized gain (loss)		405,612			427,762			3,643,242			14,239,113
Change in net unrealized appreciation (depreciation)		292,272			25,875			4,829,610			23,771,305
Net increase (decrease) in net assets from operations		1,967,402			3,070,932			13,235,884			47,330,784
Distributions to shareholders from:
Net investment income
Core Class		(1,269,518	)		(2,617,295	)		—			—
Total distributions from net investment income		(1,269,518	)		(2,617,295	)		—			—
Net realized gains		(254,966	)		(228,045	)		—			—
Total distributions from net realized gains		(254,966	)		(228,045	)		—			—
Net share transactions (Note 9):
Core Class		(166,948,163	)		855,636,210			(155,920,000	)		(211,020,142	)
Increase (decrease) in net assets resulting from net share transactions		(166,948,163	)		855,636,210			(155,920,000	)		(211,020,142	)
Total increase (decrease) in net assets		(166,505,245	)		855,861,802			(142,684,116	)		(163,689,358	)
Net assets:
Beginning of period		2,912,203,495			2,056,341,693			691,486,446			855,175,804
End of period	$	2,745,698,250		$	2,912,203,495		$	548,802,330		$	691,486,446

82 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Cash Flows — Six Months Ended August 31, 2013 (Unaudited)

	Debt Opportunities Fund			Emerging Country Debt Fund			Short-Duration Collateral Fund			World Opportunity Overlay Fund
Cash flows from operating activities:
Net increase (decrease) in net assets resulting from operations	$	10,417,118		$	(159,822,741	)	$	27,964,370		$	13,235,884
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
Net change in unrealized (appreciation) depreciation		14,522,223			234,617,962			(25,419,543	)		(4,829,610	)
Net realized (gain) loss		(8,064,609	)		(2,127,674	)		(2,044	)		(3,643,242	)
Net amortization of discount and premium		(1,038,510	)		(8,333,923	)		(304,160	)		(1,331,048	)
Investments purchased		(426,911,029	)		(957,264,356	)		—			(399,375,915	)
Proceeds from sale of investments		153,209,141			342,489,945			63,343,214			395,421,321
Proceeds from paydowns		—			20,522,831			84,506,730			22,638,532
Short term investments, net		21,360,289			(3,114,258	)		(12,664,871	)		148,109,944
Other gain (loss):
Swap contracts		—			15,501,540			—			(18,619,733	)
Futures contracts		—			—			—			3,982,902
Written option contracts		—			667,972			—			7,912,929
Forward currency contracts		—			8,551,674			—			—
Foreign currency and foreign currency related transactions		—			(2,725,864	)		—			298,162
Changes in assets and liabilities:
(Increase) decrease in receivable for due from broker		—			1,899,843			—			(7,372,049	)
(Increase) decrease in dividends and interest receivable		(711,002	)		(11,060,260	)		84,565			(862,001	)
(Increase) decrease in receivable for expenses reimbursed by Manager		6,306			—			(3,861	)		7,421
(Increase) decrease in miscellaneous receivable		(4,800	)		2,206,638			—			—
(Increase) decrease in payable to affiliate for:
Management fee		68,789			139,396			—			—
Shareholder service fee payable		15,135			41,246			—			—
Increase (decrease) in payable to agents unaffiliated with the Manager		—			2			(19	)		9
Increase (decrease) in payable to Trustees and related expenses		—			(3,349	)		(1,154	)		(1,066	)
Increase (decrease) in interest payable for open swap contracts		—			—			—			113,759
Increase (decrease) in accrued expenses		(10,670	)		(236,240	)		(5,982	)		5,520
Net cash provided by (used in) operating activities		(237,141,619	)		(518,049,616	)		137,497,245			155,691,719
Cash flows from financing activities:*
Proceeds from shares sold		238,583,305			596,713,316			—			—
Shares repurchased		(2,388,319	)		(67,343,863	)		(376,500	)		(155,920,000	)
Purchase premiums and redemption fees		962,064			3,200,591			—			—
Cash distributions paid		(15,431	)		(6,008,374	)		(137,120,745	)		—
Increase (decrease) in payable for reverse repurchase agreements^		—			(8,512,060	)		—			228,281
Net cash provided by (used in) financing activities		237,141,619			518,049,610			(137,497,245	)		(155,691,719	)
Net increase (decrease) in cash		—			(6	)		—			—
Cash and cash equivalents, beginning of period		—			6			—			—
Cash and cash equivalents, end of period	$	—		$	—		$	—		$	—
Supplemental disclosure of cash flow information:
*      Reinvestment of dividends and distributions	$	(7,196,557	)		(22,610,795	)		(7,569,185	)		—
^      Cash paid during the year for interest related to reverse repurchase agreements and/or cleared swaps, if any		—			3,472			—			131,145

See accompanying notes to the financial statements. 83

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

ASSET ALLOCATION BOND FUND

	Class III Shares																				Class VI Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,																Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010(a)								2013				2012				2011				2010(b)
Net asset value, beginning of period		$	24.43			$	24.60			$	25.01			$	26.13			$	25.15			$	24.46			$	24.61			$	25.01			$	26.13			$	25.00
Income (loss) from investment operations:
Net investment income (loss)†			0.10				(0.02	)			0.32				0.51				0.92				0.23				0.01				0.56				0.64				0.80
Net realized and unrealized gain (loss)			(0.45	)			0.12				0.78				0.64				0.85				(0.57	)			0.11				0.57				0.54				1.15
Total from investment operations			(0.35	)			0.10				1.10				1.15				1.77				(0.34	)			0.12				1.13				1.18				1.95
Less distributions to shareholders:
From net investment income			—				(0.01	)			(0.51	)			(0.50	)			(0.60	)			—				(0.01	)			(0.53	)			(0.53	)			(0.63	)
From net realized gains			—				(0.26	)			(1.00	)			(1.77	)			(0.19	)			—				(0.26	)			(1.00	)			(1.77	)			(0.19	)
Total distributions			—				(0.27	)			(1.51	)			(2.27	)			(0.79	)			—				(0.27	)			(1.53	)			(2.30	)			(0.82	)
Net asset value, end of period		$	24.08			$	24.43			$	24.60			$	25.01			$	26.13			$	24.12			$	24.46			$	24.61			$	25.01			$	26.13
Total Return(c)			(1.43	)%**			0.42	%			4.49	%			4.51	%			7.07	%**			(1.39	)%**			0.52	%			4.61	%			4.60	%			7.83	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	185,048			$	91,186			$	56,692			$	48,676			$	40,225			$	2,069,462			$	88,029			$	116,591			$	489,202			$	859,763
Net operating expenses to average daily net assets			0.40	%(e)*			0.40	%(e)			0.40	%(d)(e)			0.41	%(d)(e)			0.40	%(d)*			0.31	%(e)*			0.31	%(e)			0.31	%(d)(e)			0.31	%(d)(e)			0.31	%(d)*
Interest expense to average daily net assets(f)			—				—				0.01	%			0.03	%			0.03	%*			—				—				0.01	%			0.03	%			0.03	%*
Total net expenses to average daily net assets(d)			0.40	%*			0.40	%			0.41	%			0.44	%			0.43	%*			0.31	%*			0.31	%			0.32	%			0.34	%			0.34	%*
Net investment income (loss) to average daily net assets			0.80	%*			(0.08	)%			1.31	%			1.94	%			3.86	%*			1.83	%*			0.02	%			2.25	%			2.43	%			3.24	%*
Portfolio turnover rate			36	%**			233	%			319	%			315	%			116	%(g)**			36	%**			233	%			319	%			315	%			116	%(g)**
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:(h)			0.03	%*			0.08	%			0.06	%			0.04	%			0.04	%*			0.01	%*			0.07	%			0.04	%			0.04	%			0.04	%*

^(a)  Period from March 27, 2009 (commencement of operations) through February 28, 2010.

^(b) Period from March 18, 2009 (commencement of operations) through February 28, 2010.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

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

^(g)  Calculation represents portfolio turnover of the Fund for the period from March 18, 2009 (commencement of operations) through February 28, 2010.

^(h)  Ratios include reimbursement of direct operating expenses and waiver of expenses indirectly incurred through investment in the underlying funds (See Note 5).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

84 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CORE PLUS BOND FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009								2013				2012				2011				2010				2009
Net asset value, beginning of period		$	7.41			$	7.13			$	7.26			$	7.02			$	6.08			$	9.42			$	7.43			$	7.14			$	7.27			$	7.03			$	6.09			$	9.44
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.04				0.07				0.13				0.11				0.05				0.27				0.04				0.08				0.13				0.11				0.12				0.17
Net realized and unrealized gain (loss)			(0.21	)			0.54				0.56				0.65				1.51				(2.08	)			(0.21	)			0.54				0.56				0.65				1.45				(1.99	)
Total from investment operations			(0.17	)			0.61				0.69				0.76				1.56				(1.81	)			(0.17	)			0.62				0.69				0.76				1.57				(1.82	)
Less distributions to shareholders:
From net investment income			(0.11	)			(0.33	)			(0.82	)			(0.52	)			(0.62	)			(1.53	)			(0.12	)			(0.33	)			(0.82	)			(0.52	)			(0.63	)			(1.53	)
Total distributions			(0.11	)			(0.33	)			(0.82	)			(0.52	)			(0.62	)			(1.53	)			(0.12	)			(0.33	)			(0.82	)			(0.52	)			(0.63	)			(1.53	)
Net asset value, end of period		$	7.13			$	7.41			$	7.13			$	7.26			$	7.02			$	6.08			$	7.14			$	7.43			$	7.14			$	7.27			$	7.03			$	6.09
Total Return(b)			(2.24	)%**			8.67	%			9.88	%			10.93	%			26.84	%			(20.12	)%			(2.36	)%**			8.85	%			9.90	%			10.97	%			26.87	%			(20.23	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	46,391			$	48,831			$	46,924			$	47,773			$	55,839			$	73,730			$	186,192			$	190,527			$	188,675			$	183,333			$	276,850			$	233,848
Net operating expenses to average daily net assets(c)			0.38	%*			0.38	%(d)			0.39	%(d)			0.39	%(d)			0.38	%(d)			0.39	%(d)			0.33	%*			0.33	%(d)			0.34	%(d)			0.34	%(d)			0.33	%(d)			0.34	%(d)
Interest expense to average daily net assets			0.00	%*(e)(g)			—				—				—				0.02	%(e)			—				0.00	%*(e)(g)			—				—				—				0.02	%(e)			—
Total net expenses to average daily net assets(c)			0.38	%*			0.38	%(d)			0.39	%(d)			0.39	%(d)			0.40	%(d)			0.39	%(d)			0.33	%*			0.33	%(d)			0.34	%(d)			0.34	%(d)			0.35	%(d)			0.34	%(d)
Net investment income (loss) to average daily net assets(a)			1.00	%*			1.02	%			1.74	%			1.48	%			0.77	%			3.20	%			1.05	%*			1.07	%			1.75	%			1.48	%			1.78	%			1.89	%
Portfolio turnover rate			79	%**			135	%			72	%			46	%			58	%			22	%			79	%**			135	%			72	%			46	%			58	%			22	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.13	%*			0.13	%			0.12	%			0.11	%			0.09	%			0.08	%			0.13	%*			0.13	%			0.12	%			0.11	%			0.09	%			0.08	%
Redemption fees consisted of the following per share amounts:†			—				—				—				—			$	0.00	(f)		$	0.01				—				—				—				—			$	0.00	(f)		$	0.01

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

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(e)  Interest expense incurred as a result of entering into reverse repurchase agreements and/or cleared swap contracts, if any, is included in the Fund’s net expenses.

^(f) Redemption fees were less than $0.01 per share.

^(g) Ratio is less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 85

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CURRENCY HEDGED INTERNATIONAL BOND FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	8.76			$	8.35			$	8.18			$	7.98			$	7.00			$	8.79
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.06				0.14				0.13				0.12				0.09				0.26
Net realized and unrealized gain (loss)			(0.23	)			0.64				0.71				0.47				1.39				(1.49	)
Total from investment operations			(0.17	)			0.78				0.84				0.59				1.48				(1.23	)
Less distributions to shareholders:
From net investment income			(0.12	)			(0.37	)			(0.41	)			(0.39	)			(0.42	)			(0.56	)
Return of capital			—				—				(0.26	)			—				(0.08	)			—
Total distributions			(0.12	)			(0.37	)			(0.67	)			(0.39	)			(0.50	)			(0.56	)
Net asset value, end of period		$	8.47			$	8.76			$	8.35			$	8.18			$	7.98			$	7.00
Total Return(b)			(1.93	)%**			9.43	%			10.48	%			7.35	%			22.19	%			(13.93	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	67,926			$	69,527			$	72,021			$	70,799			$	137,301			$	127,081
Net operating expenses to average daily net assets(c)			0.40	%*			0.40	%			0.39	%(d)			0.39	%(d)			0.39	%(d)			0.39	%(d)
Interest expense to average daily net assets			0.00	%*(e)(f)			—				—				—				—				—
Total net expenses to average daily net assets(c)			0.40	%*			0.40	%			0.39	%(d)			0.39	%(d)			0.39	%(d)			0.39	%(d)
Net investment income (loss) to average daily net assets(a)			1.33	%*			1.61	%			1.58	%			1.43	%			1.19	%			3.24	%
Portfolio turnover rate			9	%**			34	%			52	%			51	%			31	%			28	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.25	%*			0.27	%			0.25	%			0.17	%			0.12	%			0.13	%
Redemption fees consisted of the following per share amounts:†			—				—				—				—			$	0.01			$	0.00	(g)

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

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d) The net expense ratio does not include the effect of expense reductions (Note 2).

^(e) Interest expense incurred as a result of entering into reverse repurchase agreements and/or cleared swaps, if any, is included in the Fund’s net expenses.

^(f) Ratio is less than 0.01%.

^(g) Redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

86 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

DEBT OPPORTUNITIES FUND

	Class VI Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28, 2013				Period from October 3, 2011 (commencement of operations) through February 29, 2012
Net asset value, beginning of period		$	27.07			$	25.23			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.50				1.16				0.47
Net realized and unrealized gain (loss)			(0.15	)			1.73				0.13
Total from investment operations			0.35				2.89				0.60
Less distributions to shareholders:
From net investment income			(0.08	)			(0.44	)			(0.20	)
From net realized gains			(0.13	)			(0.61	)			(0.17	)
Total distributions			(0.21	)			(1.05	)			(0.37	)
Net asset value, end of period		$	27.21			$	27.07			$	25.23
Total Return(b)			1.28	%**			11.62	%			2.43	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,060,774			$	812,020			$	204,043
Total net expenses to average daily net assets(c)			0.31	%(d)*			0.31	%(d)			0.31	%*
Net investment income (loss) to average daily net assets(a)			3.63	%*			4.36	%			4.59	%*
Portfolio turnover rate			18	%**			39	%			23	%(e)**
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.02	%*			0.04	%			0.17	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.03			$	0.12			$	0.03

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

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d) The net expense ratio does not include the effect of expense reductions (Note 2).

^(e) Calculation represents portfolio turnover for the Fund for the period from October 3, 2011 through February 29, 2012.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 87

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

DOMESTIC BOND FUND

	Class III Shares																								Class VI Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012(a)				2011(a)				2010(a)				2009(a)								2013				2012(a)				2011(a)				2010(a)				2009(a)
Net asset value, beginning of period		$	17.21			$	25.79			$	41.13			$	53.91			$	71.91			$	85.23			$	17.30			$	25.87			$	41.22			$	53.91			$	71.91			$	85.32
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.05				0.20				0.37				0.54				0.81				3.51				0.06				0.22				0.41				0.63				0.81				3.96
Net realized and unrealized gain (loss)			0.43				2.27	(c)			(0.50	)			3.06				11.97				(12.24	)			0.43				2.28	(c)			(0.53	)			3.15				11.97				(12.69	)
Total from investment operations			0.48				2.47				(0.13	)			3.60				12.78				(8.73	)			0.49				2.50				(0.12	)			3.78				12.78				(8.73	)
Less distributions to shareholders:
From net investment income			(0.04	)			(0.20	)			(0.34	)			(0.54	)			(1.44	)			(4.50	)			(0.04	)			(0.22	)			(0.36	)			(0.63	)			(1.53	)			(4.59	)
From net realized gains			—				—				—				—				(4.14	)			(0.09	)			—				—				—				—				(4.14	)			(0.09	)
Return of capital			(3.13	)			(10.85	)			(14.87	)			(15.84	)			(25.20	)			—				(3.13	)			(10.85	)			(14.87	)			(15.84	)			(25.11	)			—
Total distributions			(3.17	)			(11.05	)			(15.21	)			(16.38	)			(30.78	)			(4.59	)			(3.17	)			(11.07	)			(15.23	)			(16.47	)			(30.78	)			(4.68	)
Net asset value, end of period		$	14.52			$	17.21			$	25.79			$	41.13			$	53.91			$	71.91			$	14.62			$	17.30			$	25.87			$	41.22			$	53.91			$	71.91
Total Return(d)			2.92	%**			13.69	%			(0.03	)%			8.19	%			23.87	%			(10.39	)%			2.99	%**			13.77	%			0.02	%			8.46	%			23.87	%			(10.40	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	38,370			$	46,596			$	69,834			$	120,397			$	173,619			$	337,524			$	146,466			$	173,702			$	259,723			$	418,686			$	614,415			$	720,731
Net expenses to average daily net assets(e)			0.21	%*			0.21	%			0.20	%			0.20	%(f)			0.21	%			0.26	%(f)			0.11	%*			0.11	%			0.11	%			0.11	%(f)			0.12	%			0.16	%(f)
Net investment income (loss) to average daily net assets(b)			0.65	%*			0.98	%			1.18	%			1.25	%			1.37	%			4.43	%			0.75	%*			1.08	%			1.29	%			1.33	%			1.43	%			5.02	%
Portfolio turnover rate			22	%**			12	%			13	%			8	%			30	%			68	%			22	%**			12	%			13	%			8	%			30	%			68	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.11	%*			0.10	%			0.09	%			0.08	%			0.07	%			0.02	%			0.11	%*			0.10	%			0.09	%			0.08	%			0.08	%			0.02	%
Redemption fees consisted of the following per share amounts:†			—				—				—				—			$	0.00	(g)		$	0.00	(g)			—				—				—				—			$	0.00	(g)		$	0.00	(g)

^(a)  Per share amounts were adjusted to reflect a 1:9 reverse stock split effective January 17, 2012.

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

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

^(d)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(f)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(g)  Redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

88 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009								2013				2012				2011				2010				2009
Net asset value, beginning of period		$	10.34			$	9.59			$	9.10			$	8.47			$	5.85			$	10.06			$	10.33			$	9.58			$	9.09			$	8.47			$	5.85			$	10.06
Income (loss) from investment operations:
Net investment income (loss)†			0.31				0.77				0.84				1.03	(a)			0.52				0.54				0.31				0.79				0.84				1.05	(j)			0.53				0.53
Net realized and unrealized gain (loss)			(0.94	)			0.82				0.58				0.81				2.70				(3.77	)			(0.94	)			0.81				0.59				0.78				2.69				(3.76	)
Total from investment operations			(0.63	)			1.59				1.42				1.84				3.22				(3.23	)			(0.63	)			1.60				1.43				1.83				3.22				(3.23	)
Less distributions to shareholders:
From net investment income			(0.12	)			(0.84	)			(0.93	)			(1.21	)			(0.60	)			(0.77	)			(0.12	)			(0.85	)			(0.94	)			(1.21	)			(0.60	)			(0.77	)
From net realized gains			—				—				—				—				—				(0.21	)			—				—				—				—				—				(0.21	)
Total distributions			(0.12	)			(0.84	)			(0.93	)			(1.21	)			(0.60	)			(0.98	)			(0.12	)			(0.85	)			(0.94	)			(1.21	)			(0.60	)			(0.98	)
Net asset value, end of period		$	9.59			$	10.34			$	9.59			$	9.10			$	8.47			$	5.85			$	9.58			$	10.33			$	9.58			$	9.09			$	8.47			$	5.85
Total Return(b)			(6.09	)%**			17.04	%			16.62	%			22.23	%			55.95	%			(32.75	)%			(6.08	)%**			17.14	%			16.69	%			22.19	%			56.02	%			(32.66	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	461,041			$	427,339			$	679,533			$	564,570			$	602,065			$	535,194			$	2,244,926			$	1,908,041			$	1,117,850			$	1,122,409			$	1,287,496			$	1,291,258
Net operating expenses to average daily net assets(c)(d)			0.57	%*			0.60	%			0.64	%			0.59	%			0.58	%			0.59	%			0.52	%*			0.55	%			0.59	%			0.54	%			0.53	%			0.54	%
Interest expense to average daily net assets			0.00	%(e)(f)*			0.02	%(e)			0.08	%(e)			0.08	%(g)			0.11	%(g)			0.23	%(g)			0.00	%(e)(f)*			0.02	%(e)			0.08	%(e)			0.07	%(g)			0.11	%(g)			0.23	%(g)
Total net expenses to average daily net assets(c)(d)			0.57	%*			0.62	%			0.72	%			0.67	%			0.69	%			0.82	%			0.52	%*			0.57	%			0.67	%			0.61	%			0.64	%			0.77	%
Net investment income (loss) to average daily net assets			5.95	%*			7.75	%			8.90	%			11.09	%(h)			6.98	%			6.36	%			5.98	%*			7.84	%			8.95	%			11.37	%(k)			7.03	%			6.46	%
Portfolio turnover rate			11	%**			36	%			29	%			21	%			36	%			38	%			11	%**			36	%			29	%			21	%			36	%			38	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			—				0.00	%(f)			—				—				—				—				—				0.00	%(f)			—				—				—				—
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.03			$	0.01			$	0.02			$	0.05			$	0.00	(i)		$	0.01			$	0.03			$	0.01			$	0.02			$	0.04			$	0.00	(i)

^(a)  Includes income per share of $0.40 as a result of the Fund’s participation in sovereign debt exchanges during the period. Excluding this income, the Fund’s net investment income per share would have been $0.63.

^(b)  Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing and redeeming Fund shares and assumes the effect of reinvested distributions.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d)  The net expense ratio does not include the effect of expense reductions (Note 2).

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

^(f)  Ratio is less than 0.01%.

^(g)  Interest expense incurred as a result of entering into reverse repurchase agreements and/or payables owed to Lehman Brothers in connection with the termination of derivative contracts in 2008 is included in the Fund’s net expenses.

^(h)  Includes income of 4.33% of average daily net assets as a result of the Fund’s participation in sovereign debt exchanges. Excluding this income, the Fund’s net investment income to average daily net assets would have been 6.76%.

⁽ⁱ⁾  Purchase premiums and redemption fees were less than $0.01 per share.

^(j)  Includes income per share of $0.41 as a result of the Fund’s participation in sovereign debt exchanges during the period. Excluding this income, the Fund’s net investment income per share would have been $0.64.

^(k)  Includes income of 4.43% of average daily net assets as a result of the Fund’s participation in sovereign debt exchanges. Excluding this income, the Fund’s net investment income to average daily net assets would have been 6.94%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 89

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL BOND FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	8.37			$	8.11			$	7.91			$	7.58			$	6.33			$	8.70
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.03				0.11				0.11				0.12				0.10				0.25
Net realized and unrealized gain (loss)			(0.23	)			0.27				0.55				0.82				1.66				(2.11	)
Total from investment operations			(0.20	)			0.38				0.66				0.94				1.76				(1.86	)
Less distributions to shareholders:
From net investment income			(0.02	)			(0.12	)			(0.46	)			(0.61	)			(0.51	)			(0.51	)
Total distributions			(0.02	)			(0.12	)			(0.46	)			(0.61	)			(0.51	)			(0.51	)
Net asset value, end of period		$	8.15			$	8.37			$	8.11			$	7.91			$	7.58			$	6.33
Total Return(b)			(2.38	)%**			4.72	%			8.57	%			12.84	%			28.99	%			(22.77	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	129,355			$	165,337			$	163,213			$	209,891			$	213,875			$	261,706
Net operating expenses to average daily net assets(c)(d)			0.38	%*			0.39	%			0.39	%			0.38	%			0.38	%			0.39	%
Interest expense to average daily net assets			0.00	(e)(f)*			—				—				0.01	%(e)			0.00	%(e)(f)			—
Total net expenses to average daily net assets(c)(d)			0.38	%*			0.39	%			0.39	%			0.39	%			0.38	%			0.39	%
Net investment income (loss) to average daily net assets(a)			0.80	%*			1.29	%			1.39	%			1.50	%			1.37	%			3.24	%
Portfolio turnover rate			15	%**			42	%			38	%			45	%			31	%			35	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.10	%*			0.10	%			0.09	%			0.07	%			0.04	%			0.03	%
Redemption fees consisted of the following per share amounts:†			—				—				—				—			$	0.01			$	0.00	(g)

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

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d) The net expense ratio does not include the effect of expense reductions (Note 2).

^(e) Interest expense incurred as a result of entering into reverse repurchase agreements and/or cleared swap contracts, if any, is included in the Fund’s net expenses.

^(f) Interest expense was less than 0.01% to average daily net assets.

^(g) Redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

90 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL BOND FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	6.84			$	6.79			$	7.11			$	6.59			$	6.17			$	9.51
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.03				0.08				0.10				0.10				0.09				0.19
Net realized and unrealized gain (loss)			(0.08	)			0.13				0.33				0.77				1.65				(2.32	)
Total from investment operations			(0.05	)			0.21				0.43				0.87				1.74				(2.13	)
Less distributions to shareholders:
From net investment income			—				(0.16	)			(0.75	)			(0.35	)			(1.32	)			(1.21	)
Total distributions			—				(0.16	)			(0.75	)			(0.35	)			(1.32	)			(1.21	)
Net asset value, end of period		$	6.79			$	6.84			$	6.79			$	7.11			$	6.59			$	6.17
Total Return(b)			(0.73	)%**			3.21	%			6.37	%			13.36	%			29.54	%			(24.52	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	56,911			$	70,949			$	69,945			$	108,684			$	209,150			$	211,764
Net operating expenses to average daily net assets(c)			0.40	%*			0.40	%(d)			0.39	%			0.39	%(d)			0.38	%(d)			0.39	%
Interest expense to average daily net assets(e)			0.00	%*(f)			0.00	%(f)			0.00	%(f)			0.00	%(f)			0.00	%(f)			—
Total net expenses to average daily net assets(c)			0.40	%*			0.40	%(d)			0.39	%			0.39	%(d)			0.38	%(d)			0.39	%
Net investment income (loss) to average daily net assets(a)			0.77	%*			1.18	%			1.39	%			1.45	%			1.32	%			2.20	%
Portfolio turnover rate			12	%**			21	%			43	%			46	%			29	%			47	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.27	%*			0.28	%			0.24	%			0.16	%			0.12	%			0.09	%
Redemption fees consisted of the following per share amounts:†			—				—				—				—			$	0.00	(g)		$	0.01

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

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d) The net expense ratio does not include the effect of expense reductions (Note 2).

^(e) Interest expense incurred as a result of entering into reverse repurchase agreements and/or cleared swap contracts, if any, is included in the Fund’s net expenses.

^(f) Interest expense was less than 0.01% to average daily net assets.

^(g) Redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 91

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

SHORT-DURATION COLLATERAL FUND

	Core Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	3.90			$	5.96			$	10.38			$	14.98			$	17.10			$	24.03
Income (loss) from investment operations:
Net investment income (loss)†			0.01				0.06				0.12				0.19				0.26				0.76
Net realized and unrealized gain (loss)			0.13				0.64				(0.15	)			0.91				3.40				(4.41	)
Total from investment operations			0.14				0.70				(0.03	)			1.10				3.66				(3.65	)
Less distributions to shareholders:
From net investment income			(0.02	)			(0.04	)			(0.10	)			(0.18	)			(0.24	)			(1.06	)
From return on capital			(0.71	)			(2.72	)			(4.29	)			(5.52	)			(5.54	)			(2.22	)
Total distributions			(0.73	)			(2.76	)			(4.39	)			(5.70	)			(5.78	)			(3.28	)
Net asset value, end of period		$	3.31			$	3.90			$	5.96			$	10.38			$	14.98			$	17.10
Total Return(a)			3.59	%**			16.87	%			0.13	%			9.30	%			25.58	%			(15.97	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	660,740			$	770,272			$	1,161,213			$	2,053,584			$	3,189,414			$	3,676,748
Net operating expenses to average daily net assets(b)(c)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%
Interest expense to average daily net assets			—				—				—				0.01	%(d)			0.01	%(d)			—
Total net expenses to average daily net assets(b)(c)			0.00	%(e)*			0.00	%(e)			0.00	%(e)			0.01	%			0.01	%			0.00	%(e)
Net investment income (loss) to average daily net assets			0.68	%*			1.23	%			1.50	%			1.52	%			1.60	%			3.46	%
Portfolio turnover rate			0	%**			0	%			0	%			0	%			0	%			16	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets			0.03	%*			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%
Redemption fees consisted of the following per share amounts:†			—				—				—				—				—			$	0.02

^(a) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(b) Net operating expenses were less than 0.01% to average daily net assets.

^(c) The net expense ratio does not include the effect of expense reductions (Note 2).

^(d) Interest expense incurred as a result of entering into reverse repurchase agreements and/or payables owed to Lehman Brothers in connection with the termination of derivative contracts in 2008 is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.

^(e) Total net expenses were less than 0.01% to average daily net assets.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

92 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

SHORT-DURATION COLLATERAL SHARE FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	21.30			$	18.42			$	18.65			$	17.27			$	17.08			$	23.39
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.07				0.17				0.18				0.22				0.21				1.17
Net realized and unrealized gain (loss)			0.67				2.88				(0.20	)			1.34				3.47				(4.92	)
Total from investment operations			0.74				3.05				(0.02	)			1.56				3.68				(3.75	)
Less distributions to shareholders:
From net investment income			(0.02	)			(0.17	)			(0.21	)			(0.18	)			(0.22	)			(0.81	)
Return of capital			—				—				—				—				(3.27	)			(1.75	)
Total distributions			(0.02	)			(0.17	)			(0.21	)			(0.18	)			(3.49	)			(2.56	)
Net asset value, end of period		$	22.02			$	21.30			$	18.42			$	18.65			$	17.27			$	17.08
Total Return(b)			3.49	%**			16.64	%			(0.07	)%			9.08	%			25.13	%			(15.90	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	38,995			$	38,013			$	33,066			$	34,959			$	33,744			$	26,878
Net expenses to average daily net assets(c)			0.20	%*			0.20	%			0.20	%			0.20	%			0.20	%(d)			0.20	%
Net investment income (loss) to average daily net assets(a)			0.64	%*			0.86	%			0.98	%			1.22	%			1.28	%			5.47	%
Portfolio turnover rate			1	%**			2	%			6	%			5	%			2	%			18	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.08	%*			0.09	%			0.13	%			0.16	%			0.20	%			0.17	%
Redemption fees consisted of the following per share amounts:†			—				—				—				—			$	0.00	(e)		$	0.01

^(a) Net investment income is affected by the timing of the declaration of dividends by GMO Short-Duration Collateral Fund.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in Short-Duration Collateral Fund.

^(d) The net expense ratio does not include the effect of expense reductions (Note 2).

^(e) Redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 93

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

STRATEGIC FIXED INCOME FUND

	Class III Shares																		Class VI Shares
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28/29,															Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28/29,
				2013			2012			2011			2010			2009						2013			2012			2011			2010			2009
Net asset value, beginning of period	$	16.42		$	16.40		$	15.39		$	15.51		$	17.37		$	23.60		$	16.43		$	16.40		$	15.38		$	15.49		$	17.35		$	23.57
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.01			0.05			0.08			0.17			0.16			0.71			0.01			0.07			0.09			0.15			0.17			0.68
Net realized and unrealized gain (loss)		(0.15	)		1.39			1.85			0.54			3.78			(5.70	)		(0.15	)		1.39			1.86			0.57			3.77			(5.64	)
Total from investment operations		(0.14	)		1.44			1.93			0.71			3.94			(4.99	)		(0.14	)		1.46			1.95			0.72			3.94			(4.96	)
Less distributions to shareholders:
From net investment income		(0.28	)		(1.42	)		(0.92	)		(0.46	)		(0.27	)		(1.24	)		(0.28	)		(1.43	)		(0.93	)		(0.46	)		(0.29	)		(1.26	)
Return of capital		—			—			—			(0.37	)		(5.53	)		—			—			—			—			(0.37	)		(5.51	)		—
Total distributions		(0.28	)		(1.42	)		(0.92	)		(0.83	)		(5.80	)		(1.24	)		(0.28	)		(1.43	)		(0.93	)		(0.83	)		(5.80	)		(1.26	)
Net asset value, end of period	$	16.00		$	16.42		$	16.40		$	15.39		$	15.51		$	17.37		$	16.01		$	16.43		$	16.40		$	15.38		$	15.49		$	17.35
Total Return(b)		(0.88	)%**		9.14	%		12.60	%		4.76	%		27.97	%		(21.20	)%		(0.87	)%**		9.26	%		12.77	%		4.84	%		28.00	%		(21.09	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	117,484		$	134,724		$	79,215		$	77,084		$	139,571		$	227,453		$	1,186,739		$	1,682,634		$	2,405,821		$	2,476,073		$	2,005,889		$	2,246,197
Net expenses to average daily net assets(d)		0.38	%*		0.38	%(c)		0.39	%(c)		0.39	%(c)		0.39	%		0.40	%(c)		0.29	%*		0.29	%(c)		0.29	%(c)		0.29	%(c)		0.30	%		0.30	%(c)
Interest expense to average daily net assets		0.00	%(f)(e)*		—			—			—			—			—			0.00	%(f)(e)*		—			—			—			—			—
Total net expenses to average daily net assets(d)		0.38	%*		0.38	%(c)		0.39	%(c)		0.39	%(c)		0.39	%		0.40	%(c)		0.29	%*		0.29	%(c)		0.29	%(c)		0.29	%(c)		0.30	%		0.30	%(c)
Net investment income (loss) to average daily net assets(a)		0.08	%*		0.30	%		0.51	%		1.09	%		1.01	%		3.32	%		0.17	%*		0.43	%		0.58	%		1.00	%		1.05	%		3.14	%
Portfolio turnover rate		12	%**		32	%		30	%		19	%		35	%		70	%		12	%**		32	%		30	%		19	%		35	%		70	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.04	%*		0.04	%		0.04	%		0.04	%		0.03	%		0.03	%		0.04	%*		0.04	%		0.04	%		0.04	%		0.03	%		0.03	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.01		$	0.02		$	0.00	(g)		—		$	0.00	(g)	$	0.02		$	0.01		$	0.02		$	0.00	(g)		—		$	0.00	(g)	$	0.02

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

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(e) Interest expense incurred as a result of entering into reverse repurchase agreements and/or cleared swap contracts, if any, is included in the Fund’s net expenses.

^(f) Ratio is less than 0.01%.

^(g)  Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

94 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

U.S. TREASURY FUND

	Core Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,												Period from March 17, 2009 (commencement of operations) through February 28, 2010
					2013				2012				2011
Net asset value, beginning of period		$	25.00			$	25.00			$	25.00			$	25.00			$	25.00
Income (loss) from investment operations:
Net investment income (loss)†			0.01				0.03				0.01				0.03				0.04
Net realized and unrealized gain (loss)			(0.01	)			(0.00	)(a)			0.01				0.00	(a)			0.02
Total from investment operations			0.00				0.03				0.02				0.03				0.06
Less distributions to shareholders:
From net investment income			(0.00	)			(0.03	)			(0.01	)			(0.03	)			(0.05	)
From net realized gains			(0.00	)(b)			—				(0.01	)			(0.00	)(b)			(0.01	)
Total distributions			(0.00	)			(0.03	)			(0.02	)			(0.03	)			(0.06	)
Net asset value, end of period		$	25.00			$	25.00			$	25.00			$	25.00			$	25.00
Total Return(c)			0.05	%**			0.11	%			0.07	%			0.15	%			0.25	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,745,698			$	2,912,203			$	2,056,342			$	1,814,553			$	546,076
Net expenses to average daily net assets(d)			0.00	%(e)			0.00	%(e)			0.00	(e)			0.00	%			0.00	%*
Net investment income (loss) to average daily net assets			0.08	%*			0.10	%			0.04	%			0.13	%			0.18	%*
Portfolio turnover rate(f)			0	%**			0	%			0	%			0	%			0	%**
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets			0.10	%*			0.10	%			0.10	%			0.11	%			0.12	%*

^(a)  Net realized and unrealized gain (loss) was less than $0.01 per share.

^(b) Distributions from net realized gains were less than $0.01 per share.

^(c) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assume the effect of reinvested distribution, if any. Without the waivers, total returns would have been 0.03%, (0.01%), 0.07% and 0.17%, respectively for the fiscal year and/or period ended February 28, 2013, February 29, 2012, February 28, 2011 and February 28, 2010.

^(d) Total net expenses were less than 0.01% to average daily net assets.

^(e) The net expense ratio does not include the effect of expense reductions (Note 2).

^(f) Portfolio turnover rate calculation excludes short-term investments.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 95

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

WORLD OPPORTUNITY OVERLAY FUND

	Core Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	25.68			$	24.00			$	22.68			$	21.30			$	18.35			$	25.68
Income (loss) from investment operations:
Net investment income (loss)†			0.19				0.32				0.37				0.37				0.39				0.76
Net realized and unrealized gain (loss)			0.32				1.36				0.95				1.01				4.24				(8.09	)
Total from investment operations			0.51				1.68				1.32				1.38				4.63				(7.33	)
Less distributions to shareholders:
From cash distributions			—				—				—				—				(1.68	)			—
Total distributions			—				—				—				—				(1.68	)			—
Net asset value, end of period		$	26.19			$	25.68			$	24.00			$	22.68			$	21.30			$	18.35
Total Return(a)			1.99	%**			7.00	%			5.82	%			6.48	%			27.20	%			(28.54	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	548,802			$	691,486			$	855,176			$	850,192			$	925,796			$	790,480
Net operating expenses to average daily net assets(b)			0.00	%(c)*			0.00	%(c)			0.00	%(c)			0.00	%(c)			0.00	%(c)			0.00	%
Interest expense to average daily net assets			0.04	%(d)*			0.04	%(d)			0.03	%(d)			0.03	%(e)			0.05	%(e)			—
Total net expenses to average daily net assets			0.04	%(c)*			0.04	%(c)			0.03	%(c)			0.03	%(c)			0.05	%(c)			0.00	%(b)
Net investment income (loss) to average daily net assets			1.43	%*			1.30	%			1.59	%			1.69	%			1.98	%			3.19	%
Portfolio turnover rate			62	%**			8	%			46	%			36	%			55	%			59	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets			0.04	%*			0.04	%			0.04	%			0.04	%			0.04	%			0.04	%
Redemption fees consisted of the following per share amounts:†			—				—				—				—			$	0.00	(f)		$	0.01

^(a)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(b)  Ratio is less than 0.01%.

^(c)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(d)  Interest expense incurred as a result of entering into reverse repurchase agreements is included in the Fund’s net expenses.

^(e) Interest expense incurred as a result of entering into reverse repurchase agreements and/or payables owed to Lehman Brothers in connection with the termination of derivative contracts in 2008 is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.

^(f)  There were no redemption fees during the period.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

96 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

August 31, 2013 (Unaudited)

1. Organization

Each of 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, International Bond Fund, Short-Duration Collateral Fund, Short-Duration Collateral Share Fund, Strategic Fixed Income Fund, U.S. Treasury Fund, and World Opportunity Overlay Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”).

The Funds may invest in U.S. Treasury Fund and unaffiliated money market funds.

Many of the Funds invest in other GMO Funds (“underlying funds”). In particular, pursuant to an exemptive order granted by the Securities and Exchange Commission (“SEC”), many of the Funds have invested a substantial portion of their assets in Short-Duration Collateral Fund and also may invest in Emerging Country Debt Fund, World Opportunity Overlay Fund, Debt Opportunities Fund and U.S. Treasury Fund. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. As of August 31, 2013, shares of World Opportunity Overlay Fund and Debt Opportunities Fund were not publicly offered for sale.

The following table provides information about the Funds’ investment objectives and benchmarks (if any):

Fund Name	Benchmark	Investment Objective
Asset Allocation Bond Fund	Citigroup 3-Month Treasury Bill Index	Total return in excess of benchmark
Core Plus Bond Fund	Barclays U.S. Aggregate Index	Total return in excess of benchmark
Currency Hedged International Bond Fund	J.P. Morgan GBI Global ex Japan ex U.S. (Hedged)	Total return in excess of benchmark
Debt Opportunities Fund	Not Applicable	Positive total return
Domestic Bond Fund*	Barclays U.S. Government Index	Total return in excess of benchmark
Emerging Country Debt Fund	J.P. Morgan EMBI Global	Total return in excess of benchmark
Global Bond Fund	J.P. Morgan GBI Global	Total return in excess of benchmark
International Bond Fund	J.P. Morgan GBI Global ex U.S.	Total return in excess of benchmark
Short-Duration Collateral Fund*	J.P. Morgan U.S. 3 Month Cash Index	Total return comparable to benchmark
Short-Duration Collateral Share Fund	J.P. Morgan U.S. 3 Month Cash Index	Total return comparable to benchmark
Strategic Fixed Income Fund	J.P. Morgan U.S. 3 Month Cash Index	Total return in excess of benchmark
U.S. Treasury Fund	Not Applicable	Liquidity and safety of principal with current income as a secondary objective
World Opportunity Overlay Fund	J.P. Morgan U.S. 3 Month Cash Index	Total return greater than benchmark

* The Fund is not currently pursuing an active investment program.

Domestic Bond Fund, Short-Duration Collateral Fund, Short-Duration Collateral Share Fund, Strategic Fixed Income Fund and U.S. Treasury Fund currently limit subscriptions.

2. Significant accounting policies

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

Portfolio valuation

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

97

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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. Cleared derivatives are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Unlisted securities (including debt instruments) for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular 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 August 31, 2013, 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 Note 4 “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 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 each Fund’s net assets) as of August 31, 2013 is as follows:

Securities and Derivatives

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		1%		1%
Currency Hedged International Bond Fund		1%		1%
Debt Opportunities Fund		<1%		4%
Domestic Bond Fund		3%		5%
Emerging Country Debt Fund		2%		4%
Global Bond Fund		1%		2%
International Bond Fund		1%		2%
Short-Duration Collateral Fund		4%		6%
Short-Duration Collateral Share Fund		4%		6%
Strategic Fixed Income Fund		1%		2%
U.S. Treasury Fund		—		—
World Opportunity Overlay Fund		—		2%

98

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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 into 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 the 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 (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 August 31, 2013, certain Funds directly held material Level 3 investments in asset-backed securities (Debt Opportunities Fund, Short-Duration Collateral Fund and World Opportunity Overlay Fund) and foreign government debt obligations (Emerging Country Debt Fund). Each Fund values these investments using unadjusted prices supplied by a third party pricing source (e.g., broker quotes) 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.

The three levels are defined as follows:

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 60 days or less valued at amortized cost; certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; and certain restricted securities valued at the most recent available market or quoted price.

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 valued using comparable securities issued by the sovereign adjusted by a specified spread; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; 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.

99

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2013:

Description	Level 1			Level 2			Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	—		$	2,180,373,214		$	—	$	2,180,373,214
TOTAL DEBT OBLIGATIONS		—			2,180,373,214			—		2,180,373,214
Mutual Funds		70,907,506			—			—		70,907,506
Short-Term Investments		2,041,957			—			—		2,041,957
Total Investments		72,949,463			2,180,373,214			—		2,253,322,677
Total	$	72,949,463		$	2,180,373,214		$	—	$	2,253,322,677
Core Plus Bond Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	18,820		$	3,806,424	$	3,825,244
Corporate Debt		—			4,653,980			—		4,653,980
Foreign Government Obligations		—			8,497,330			—		8,497,330
U.S. Government		89,257,395			18,859,214			—		108,116,609
TOTAL DEBT OBLIGATIONS		89,257,395			32,029,344			3,806,424		125,093,163
Mutual Funds		106,366,031			—			—		106,366,031
Options Purchased		—			1,233,819			—		1,233,819
Short-Term Investments		2,206,564			—			—		2,206,564
Total Investments		197,829,990			33,263,163			3,806,424		234,899,577
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—			526,567			—		526,567
Futures Contracts
Interest Rate Risk		302,080			—			—		302,080
Total	$	198,132,070		$	33,789,730		$	3,806,424	$	235,728,224
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(819,791	)	$	—	$	(819,791	)
Futures Contracts
Interest Rate Risk		(717,636	)		—			—		(717,636	)
Written Options
Foreign Currency Risk		—			(661,128	)		—		(661,128	)
Swap Contracts
Credit Risk		—			(1,116,308	)		—		(1,116,308	)
Interest Rate Risk		—			(1,994,093	)		—		(1,994,093	)
Total	$	(717,636	)	$	(4,591,320	)	$	—	$	(5,308,956	)

100

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Currency Hedged International Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	—		$	3,905,754		$	—	$	3,905,754
Foreign Government Obligations		—			27,215,821			—		27,215,821
TOTAL DEBT OBLIGATIONS		—			31,121,575			—		31,121,575
Mutual Funds		35,430,299			—			—		35,430,299
Options Purchased		—			399,930			—		399,930
Short-Term Investments		1,063,936			—			—		1,063,936
Total Investments		36,494,235			31,521,505			—		68,015,740
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—			179,501			—		179,501
Futures Contracts
Interest Rate Risk		82,675			—			—		82,675
Total	$	36,576,910		$	31,701,006		$	—	$	68,277,916
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(261,816	)	$	—	$	(261,816	)
Futures Contracts
Interest Rate Risk		(391,067	)		—			—		(391,067	)
Written Options
Foreign Currency Risk		—			(218,987	)		—		(218,987	)
Swap Contracts
Credit Risk		—			(360,202	)		—		(360,202	)
Interest Rate Risk		—			(122,176	)		—		(122,176	)
Total	$	(391,067	)	$	(963,181	)	$	—	$	(1,354,248	)
Debt Opportunities Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	22,566,384		$	967,037,071	$	989,603,455
U.S. Government Agency		—			210,000			1,087,821		1,297,821
TOTAL DEBT OBLIGATIONS		—			22,776,384			968,124,892		990,901,276
Mutual Funds		39,020,848			—			—		39,020,848
Short-Term Investments		28,498,228			—			—		28,498,228
Total Investments		67,519,076			22,776,384			968,124,892		1,058,420,352
Total	$	67,519,076		$	22,776,384		$	968,124,892	$	1,058,420,352
Domestic Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	—		$	25,554,794		$	—	$	25,554,794
TOTAL DEBT OBLIGATIONS		—			25,554,794			—		25,554,794
Mutual Funds		159,077,499			—			—		159,077,499
Short-Term Investments		161,725			—			—		161,725
Total Investments		159,239,224			25,554,794			—		184,794,018
Total	$	159,239,224		$	25,554,794		$	—	$	184,794,018

101

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Description	Level 1		Level 2			Level 3			Total
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	1,112,842		$	74,023,788		$	75,136,630
Corporate Debt		—		130,583,750			—			130,583,750
Foreign Government Agency		—		473,683,639			66,258,869			539,942,508
Foreign Government Obligations		—		1,241,315,801			115,702,882			1,357,018,683
Judgments		—		—			26,920,000			26,920,000
U.S. Government		20,613,275		148,976,633			—			169,589,908
TOTAL DEBT OBLIGATIONS		20,613,275		1,995,672,665			282,905,539			2,299,191,479
Loan Assignments		—		—			18,792,540			18,792,540
Loan Participations		—		—			54,054,380			54,054,380
Mutual Funds		126,834,848		—			—			126,834,848
Rights/Warrants		—		—			11,793,301			11,793,301
Short-Term Investments		101,407,102		85,866,253			—			187,273,355
Total Investments		248,855,225		2,081,538,918			367,545,760			2,697,939,903
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—		783,386			—			783,386
Options
Credit risk		—		—			168,045			168,045
Swap Contracts
Credit Risk		—		114,668,954			0	**		114,668,954
Total	$	248,855,225	$	2,196,991,258		$	367,713,805		$	2,813,560,288
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(1,665,723	)	$	—		$	(1,665,723	)
Options
Credit Risk		—		—			(3,022,857	)		(3,022,857	)
Swap Contracts
Credit Risk		—		(135,227,259	)		—			(135,227,259	)
Total	$	—	$	(136,892,982	)	$	(3,022,857	)	$	(139,915,839	)
Global Bond Fund
Asset Valuation Inputs
Debt Obligations
Foreign Government Obligations	$	—	$	30,488,541		$	—		$	30,488,541
U.S. Government		9,107,030		11,196,754			—			20,303,784
TOTAL DEBT OBLIGATIONS		9,107,030		41,685,295			—			50,792,325
Mutual Funds		76,342,580		—			—			76,342,580
Options Purchased		—		808,817			—			808,817
Short-Term Investments		1,364,927		—			—			1,364,927
Total Investments		86,814,537		42,494,112			—			129,308,649
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—		801,671			—			801,671
Futures Contracts
Interest Rate Risk		270,580		—			—			270,580
Total	$	87,085,117	$	43,295,783		$	—		$	130,380,900

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Description	Level 1			Level 2			Level 3		Total
Global Bond Fund (continued)
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(528,073	)	$	—	$	(528,073	)
Futures Contracts
Interest Rate Risk		(267,870	)		—			—		(267,870	)
Written Options
Foreign Currency Risk		—			(442,141	)		—		(442,141	)
Swap Contracts
Credit Risk		—			(183,264	)		—		(183,264	)
Interest Rate Risk		—			(794,828	)		—		(794,828	)
Total	$	(267,870	)	$	(1,948,306	)	$	—	$	(2,216,176	)
International Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	—		$	3,570,976		$	—	$	3,570,976
Foreign Government Obligations		—			21,693,175			—		21,693,175
TOTAL DEBT OBLIGATIONS		—			25,264,151			—		25,264,151
Mutual Funds		29,843,741			—			—		29,843,741
Options Purchased		—			391,796			—		391,796
Short-Term Investments		1,633,548			—			—		1,633,548
Total Investments		31,477,289			25,655,947			—		57,133,236
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—			373,300			—		373,300
Futures Contracts
Interest Rate Risk		36,863			—			—		36,863
Total	$	31,514,152		$	26,029,247		$	—	$	57,543,399
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(261,153	)	$	—	$	(261,153	)
Futures Contracts
Interest Rate Risk		(198,933	)		—			—		(198,933	)
Written Options
Foreign Currency Risk		—			(218,987	)		—		(218,987	)
Swap Contracts
Credit Risk		—			(293,747	)		—		(293,747	)
Interest Rate Risk		—			(316,942	)		—		(316,942	)
Total	$	(198,933	)	$	(1,090,829	)	$	—	$	(1,289,762	)

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Description	Level 1			Level 2			Level 3		Total
Short-Duration Collateral Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	53,672,254		$	550,048,537	$	603,720,791
U.S. Government Agency		—			—			26,927,013		26,927,013
TOTAL DEBT OBLIGATIONS		—			53,672,254			576,975,550		630,647,804
Short-Term Investments		29,880,928			—			—		29,880,928
Total Investments		29,880,928			53,672,254			576,975,550		660,528,732
Total	$	29,880,928		$	53,672,254		$	576,975,550	$	660,528,732
Short-Duration Collateral Share Fund
Asset Valuation Inputs
Mutual Funds	$	39,024,971		$	—		$	—	$	39,024,971
Short-Term Investments		5,784			—			—		5,784
Total Investments		39,030,755			—			—		39,030,755
Total	$	39,030,755		$	—		$	—	$	39,030,755
Strategic Fixed Income Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	325,247,162		$	79,454,204		$	—	$	404,701,366
TOTAL DEBT OBLIGATIONS		325,247,162			79,454,204			—		404,701,366
Mutual Funds		826,705,080			—			—		826,705,080
Options Purchased		—			8,982,077			—		8,982,077
Short-Term Investments		59,769,464			—			—		59,769,464
Total Investments		1,211,721,706			88,436,281			—		1,300,157,987
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—			3,772,315			—		3,772,315
Futures Contracts
Interest Rate Risk		1,244,719			—			—		1,244,719
Swap Contracts
Interest Rate Risk		—			6,472,792			—		6,472,792
Total	$	1,212,966,425		$	98,681,388		$	—	$	1,311,647,813
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(5,253,539	)	$	—	$	(5,253,539	)
Futures Contracts
Interest Rate Risk		(3,546,150	)		—			—		(3,546,150	)
Written Options
Foreign Currency Risk		—			(4,990,103	)		—		(4,990,103	)
Swap Contracts
Interest Rate Risk		—			(7,515,198	)		—		(7,515,198	)
Total	$	(3,546,150	)	$	(17,758,840	)	$	—	$	(21,304,990	)

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Description	Level 1		Level 2			Level 3		Total
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	2,353,395,985	$	392,346,406		$	—	$	2,745,742,391
Total Investments		2,353,395,985		392,346,406			—		2,745,742,391
Total	$	2,353,395,985	$	392,346,406		$	—	$	2,745,742,391
World Opportunity Overlay Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	1,588,272		$	136,959,615	$	138,547,887
Foreign Government Obligations		—		43,972,750			—		43,972,750
U.S. Government		—		396,300,988			—		396,300,988
U.S. Government Agency		—		840,000			—		840,000
TOTAL DEBT OBLIGATIONS		—		442,702,010			136,959,615		579,661,625
Options Purchased		—		12,532,396			—		12,532,396
Short-Term Investments		27,304,066		—			—		27,304,066
Total Investments		27,304,066		455,234,406			136,959,615		619,498,087
Derivatives*
Swap Contracts
Interest Rate Risk		—		15,360,531			—		15,360,531
Total	$	27,304,066	$	470,594,937		$	136,959,615	$	634,858,618
Liability Valuation Inputs
Derivatives*
Written Options
Interest Rate Risk	$	—	$	(2,676,240	)	$	—	$	(2,676,240	)
Swap Contracts
Interest Rate Risk		—		(55,828,940	)		—		(55,828,940	)
Total	$	—	$	(58,505,180	)	$	—	$	(58,505,180	)

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.

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

** Represents the interest in derivatives that were determined to have a fair value of zero at August 31, 2013.

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Additional Level 3 information

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 August 31, 2013.

Fund Name	Description	Fair Value at August 31, 2013		Valuation Technique(s)	Unobservable Input(s)	Resulting Range of Fair Value
Short-Duration Collateral Fund	Agency for International Development Floater Bond (Support of Morocco, Peru or Tunisia)		$26,927,013	Current LIBOR yield curve is adjusted to reflect a liquidity discount	Liquidity Discount*	Possible impact to fair value due to range of liquidity discount: $26,140,115 to $27,715,526 or approximately 0.24% of Fund net assets.

* The significant unobservable input used in the fair value measurement of Short-Duration Collateral Fund’s Agency for International Development Floater (Support of Morocco, Peru and Tunisia) is the liquidity discount, expressed as a premium ranging from 75 – 175 basis points (currently 125 basis points) over the current yield curve. Increases (decreases) in this input would result in a lower (higher) fair value measurement.

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ summary of levels above.

For all Funds for the period ended August 31, 2013, 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:

	Balances as of February 28, 2013		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 August 31, 2013		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2013
Core Plus Bond Fund
Debt Obligations
Asset-Backed Securities	$	4,921,731	$	—	$	(1,347,461	)	$	148,998	$	49,802	$	33,354		$	—	$	—	$	3,806,424	$	85,959
Total	$	4,921,731	$	—	$	(1,347,461	)#	$	148,998	$	49,802	$	33,354		$	—	$	—	$	3,806,424	$	85,959
Debt Opportunities Fund
Debt Obligations
Asset-Backed Securities	$	708,648,766	$	376,899,906	$	(120,082,391	)	$	7,192,141	$	8,050,333	$	(13,671,684	)	$	—	$	—	$	967,037,071	$	(11,327,255	)
U.S. Government Agency		1,203,773		—		(121,266	)		5,587		—		(273	)		—		—		1,087,821		(273	)
Total	$	709,852,539	$	376,899,906	$	(120,203,657	)##	$	7,197,728	$	8,050,333	$	(13,671,957	)	$	—	$	—	$	968,124,892	$	(11,327,528	)

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	Balances as of February 28, 2013			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 August 31, 2013			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2013
Emerging Country Debt Fund
Debt Obligations
Asset-Backed Securities	$	78,333,335		$	—	$	(8,492,259	)	$	291,226		$	(4,552,409	)	$	8,443,895		$	—	$	—	$	74,023,788		$	3,466,291
Foreign Government Agency		23,627,005			55,129,686		(11,292,220	)		235,100			(97,739	)		(1,342,963	)		—		—		66,258,869			(1,958,382	)
Foreign Government Obligations		129,375,029			—		(8,838,811	)		2,391,675			788,791			(8,013,802	)		—		—		115,702,882			(13,386,496	)
Judgments		28,800,000			—		—			384,899			—			(2,264,899	)		—		—		26,920,000			(2,264,899	)
Total Debt Obligations		260,135,369			55,129,686		(28,623,290	)		3,302,900			(3,861,357	)		(3,177,769	)		—		—		282,905,539			(14,143,486	)
Loan Assignments		24,325,626			—		(6,767,594	)		796,503			704			437,301			—		—		18,792,540			513,952
Loan Participations		68,578,286			—		(4,610,409	)		1,900,115			—			(11,813,612	)		—		—		54,054,380			—
Rights/ Warrants		11,013,004			—		—			—			—			780,297			—		—		11,793,301			—
Total Investments		364,052,285			55,129,686		(40,001,293	)###		5,999,518			(3,860,653	)		(13,773,783	)		—		—		367,545,760			(13,629,534	)
Derivatives
Swap Contracts		0	**		—		—			—			—			—			—		—		0	**		—
Options		(519,306	)		—		—			—			—			(2,335,506	)		—		—		(2,854,812	)		—
Total	$	363,532,979		$	55,129,686	$	(40,001,293	)	$	5,999,518		$	(3,860,653	)	$	(16,109,289	)	$	—	$	—	$	364,690,948		$	(13,629,534	)
Short-Duration Collateral Fund
Debt Obligations
Asset-Backed Securities	$	662,203,439		$	—	$	(137,888,413	)	$	(398,474	)	$	2,044		$	26,129,941		$	—	$	—	$	550,048,537		$	26,079,928
U.S. Government Agency		28,128,653			—		(1,269,065	)		4,955			—			62,470			—		—		26,927,013			62,470
Total	$	690,332,092		$	—	$	(139,157,478	)####	$	(393,519	)	$	2,044		$	26,192,411		$	—	$	—	$	576,975,550		$	26,142,398
World Opportunity Overlay Fund
Debt Obligations
Asset-Backed Securities	$	158,075,294		$	—	$	(28,511,481	)	$	(359,492	)	$	(79	)	$	7,755,373		$	—	$	—	$	136,959,615		$	7,739,049
Options Purchased		14,676,864			—		(14,275,200	)		—			5,088,000			(5,489,664	)		—		—		—			(5,489,664	)
Total	$	172,752,158		$	—	$	(42,786,681	)#####	$	(359,492	)	$	5,087,921		$	2,265,709		$	—	$	—	$	136,959,615		$	2,249,385

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* The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period.

** Represents the interest in derivatives that were determined to have a fair value of zero at February 28, 2013 and August 31, 2013.

# Includes $911,617 of proceeds received from paydowns.

## Includes $72,173,644 of proceeds received from paydowns.

### Includes $12,317,531 of proceeds received from paydowns.

#### Includes $96,281,659 of proceeds received from paydowns.

##### Includes $22,356,372 of proceeds received from paydowns.

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 August 31, 2013 were as follows:.

Fund Name	Level 3 securities		Level 3 derivatives
Asset Allocation Bond Fund		—		—
Core Plus Bond Fund		17%		(1)%
Currency Hedged International Bond Fund		18%		(1)%
Debt Opportunities Fund		91%		—
Domestic Bond Fund		71%		—
Emerging Country Debt Fund		14%		(1)%
Global Bond Fund		24%		(1)%
International Bond Fund		27%		(1)%
Short-Duration Collateral Fund		87%		—
Short-Duration Collateral Share Fund		87%		—
Strategic Fixed Income Fund		30%		(1)%
U.S. Treasury Fund		—		—
World Opportunity Overlay Fund		25%		—

Cash and Statement of Cash Flows

Cash and Foreign Currency, if any, on the Statements of Assets and Liabilities consists of cash balances held with the custodian.

Due to/from broker

Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark to market amounts related to foreign currency.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. Dollars at the close of regular trading on the 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 on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Loan agreements and participations

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

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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.

Repurchase agreements

The Funds may enter into repurchase agreements. Under a repurchase agreement a Fund acquires a security for a relatively short period 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. As of August 31, 2013, Emerging Country Debt Fund had investments in repurchase agreements with JPMorgan Chase Bank N.A. with a gross value of $85,866,253 and a net value of $4,043,773. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Reverse repurchase agreements

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 may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. As of August 31, 2013, the Funds listed below had entered into reverse repurchase agreements.

Fund Name	Received from reverse repurchase agreements ($)		Market value of securities plus accrued interest ($)
World Opportunity Overlay Fund		43,304,341		44,523,798

As of August 31, 2013, World Opportunity Overlay Fund had investments in reverse repurchase agreements with Barclays Bank PLC with a gross value of $43,304,341 and a net value of $1,219,457 (the value of related collateral exceeded the value of the reverse repurchase agreement at period end). Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Inflation-Indexed bonds

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 normally changes when real interest rates change. 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 change in the same proportion as changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. 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 in the principal amount of an inflation-indexed bond constitutes taxable ordinary income to investors, 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.

Delayed delivery commitments and when-issued securities

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.

Taxes and distributions

Each Fund, except World Opportunity Overlay Fund (see below), intends to qualify each tax year as a regulated investment company (each a “RIC Fund”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each RIC Fund intends to distribute substantially all of its net investment income, if any, and all of its net realized short-term and long-term capital gains, if any, after giving effect to

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any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each RIC Fund makes no provision for U.S. federal income or excise taxes. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to each RIC Fund’s investments in certain jurisdictions may be higher if a significant portion of each RIC Fund is held by non-U.S. shareholders.

World Opportunity Overlay Fund (a “Partnership Fund”) has elected to be treated as a partnership for U.S. federal income tax purposes and each shareholder is responsible for their tax liabilities, if any, related to their allocable share of Partnership Fund taxable income, gains, losses, deductions, credits and items of tax preference. The Partnership Fund’s activities do not generally constitute those of a U.S. trade or business. Accordingly, the Partnership Fund is generally not subject to U.S. federal, state and/or other income-based U.S. taxes (other than certain withholding taxes). Dividends and other income may be subject to withholding or similar taxes imposed by the country in which such dividends or other income originate.

With the exception of U.S. Treasury Fund, the policy of each RIC Fund is to declare and pay distributions of net investment income, if any, semi-annually. U.S. Treasury Fund’s policy is to declare distributions daily, to the extent net investment income is available, and pay distributions on the first business day following the end of each month in which distributions were declared. Each RIC Fund’s policy is to declare and pay distributions from net realized short-term and long-term capital gains, if any, at least annually. Typically all distributions are reinvested in additional shares of each RIC Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by each RIC Fund on the ex-dividend date.

Since October 2008 and April 2009, respectively, Short Duration Collateral Fund and Domestic Bond Fund have declared and paid distributions when each fund has acquired a meaningful cash position rather than reinvesting that cash in portfolio securities. A substantial portion of any such distributions could constitute a return of capital to shareholders of Short Duration Collateral Fund and Domestic Bond Fund for tax purposes.

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

Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2013, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.

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

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

As of February 28, 2013, the RIC Funds listed below elected to defer to March 1, 2013 late-year ordinary losses and post-October capital losses as follows:

Fund Name	Late-Year Ordinary Losses ($)		Post- October Capital Losses ($)
Asset Allocation Bond Fund		(11,447)		(133,919)
Currency Hedged International Bond Fund		—		(16,787)
Domestic Bond Fund		(216,770)		—
Global Bond Fund		(78,425)		—
International Bond Fund		(1,411,315)		—
Short-Duration Collateral Share Fund		(28,777)		—

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As of February 28, 2013, the RIC Funds listed below had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2013, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The RIC Funds’ capital loss carryforwards are as follows:

	Short-Term ($)														Total Short- Term ($)		Long- Term ($)
Fund Name	Expiration Date 2/28/2014		Expiration Date 2/28/2015		Expiration Date 2/29/2016		Expiration Date 2/28/2017		Expiration Date 2/28/2018		Expiration Date 2/28/2019		No Expiration Date				No Expiration Date
Asset Allocation Bond Fund		—		—		—		—		—		(6,593,369)		—		(6,593,369)		—
Core Plus Bond Fund		(34,693,380)		(2,795,728)		(33,008,915)		(74,050,257)		(17,147,333)		(138,723)		—		(161,834,336)		(1,756,490)
Currency Hedged International Bond Fund		—		—		—		(1,749,220)		(3,328,985)		—		—		(5,078,205)		(3,174,119)
Debt Opportunities Fund		—		—		—		—		—		—		—		—		—
Domestic Bond Fund		—		—		—		—		(3,229,648)		(814,498)		(248)		(4,044,394)		(647,925)
Emerging Country Debt Fund		—		—		—		(14,763,199)		—		(66,474,254)		—		(81,237,453)		—
Global Bond Fund		(5,470,276)		(269,796)		—		(4,412,277)		(6,769,760)		(1,398,524)		—		(18,320,633)		—
International Bond Fund		—		(8,815,813)		(507,910)		(8,354,148)		(4,431,029)		(4,162,554)		(644,675)		(26,916,129)		(296,123)
Short-Duration Collateral Fund		—		(4,239,935)		(1,158,601)		(32,360,541)		(41,313,788)		(307,583)		—		(79,380,448)		(8,478,464)
Short-Duration Collateral Share Fund		—		—		(3,173,391)		(862,175)		—		—		—		(4,035,566)		—
Strategic Fixed Income Fund		—		—		—		(93,680,008)		(123,451,454)		—		—		(217,131,462)		—

As of August 31, 2013, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:

Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Asset Allocation Bond Fund		2,307,229,883		—		(53,907,206)		(53,907,206)
Core Plus Bond Fund		258,704,883		—		(23,805,306)		(23,805,306)
Currency Hedged International Bond Fund		70,996,295		—		(2,980,555)		(2,980,555)
Debt Opportunities Fund		1,048,927,738		27,175,539		(17,682,925)		9,492,614
Domestic Bond Fund		184,330,746		678,720		(215,448)		463,272
Emerging Country Debt Fund		2,809,540,505		116,620,725		(228,221,327)		(111,600,602)
Global Bond Fund		141,423,226		3,042,698		(15,157,275)		(12,114,577)
International Bond Fund		65,694,669		—		(8,561,433)		(8,561,433)
Short-Duration Collateral Fund		915,595,180		1,286,925		(256,353,373)		(255,066,448)
Short-Duration Collateral Share Fund		32,026,031		7,004,724		—		7,004,724
Strategic Fixed Income Fund		1,336,558,724		11,453,104		(47,853,841)		(36,400,737)
U.S. Treasury Fund		2,745,496,280		246,111		—		246,111
World Opportunity Overlay Fund		642,164,841		19,026,861		(41,693,615)		(22,666,754)

On October 12, 2006, International Bond Fund paid a dividend under Code Section 860 of $0.09229 per share to shareholders of record as of October 11, 2006. It is anticipated that the fund will be required to make a payment, estimated to be $830,768, to the Internal Revenue Service (“IRS”) related to such dividend, which has been included in accrued expenses on the Statement of Assets and Liabilities. The Manager will make a reimbursement payment to the fund concurrent with International Bond Fund’s payment to the IRS.

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax

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August 31, 2013 (Unaudited)

returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual Fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. State Street’s transfer agent fees may be reduced by an earnings allowance calculated on the average daily cash balances each Fund maintains in a State Street transfer agent account. Earnings allowances are reported as a reduction of expenses in the Statement of Operations. Prior to December 31, 2012, State Street’s custodian fees may have been reduced by an earnings allowance calculated on the average daily cash balance each Fund maintained in a State Street custodial account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2013, any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.

Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions). If the Manager determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. The Manager also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

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

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

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As of August 31, 2013, the premium on cash purchases and the fee on cash redemptions were as follows:

	Asset Allocation Bond Fund	Core Plus Bond Fund	Currency Hedged Inter-national Bond Fund	Debt Oppor-tunities Fund	Domestic Bond Fund	Emerging Country Debt Fund	Global Bond Fund	Interna-tional Bond Fund	Short- Duration Collateral Fund	Short- Duration Collateral Share Fund	Strategic Fixed Income Fund	U.S. Treasury Fund	World Opportunity Overlay Fund
Purchase Premium	—	—	—	0.40%	—	0.50%	—	—	—	—	0.20%	—	—
Redemption Fee	—	—	—	0.40%	—	0.50%	—	—	—	—	0.20%	—	—

Other matters

Emerging Country Debt Fund

In December 2005, Emerging County Debt Fund (“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 1.0% of the net assets of ECDF as of August 31, 2013.

3. Investment and other risks

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 Allo-cation Bond Fund

Core Plus Bond Fund

Currency Hedged Inter-national Bond Fund

Debt Opportunities Fund

Domestic Bond Fund

Emerging Country Debt Fund

Global Bond Fund

Inter-national Bond Fund

Short-Duration Collateral Fund

Short-Duration Collateral Share Fund

Strategic Fixed Income Fund

U.S. Treasury Fund

World Oppor-tunity Overlay Fund

Market Risk – Fixed Income Investments

X

X

X

X

X

X

X

X

X

X

X

X

X

Market Risk – Asset-Backed Securities

X

X

X

X

X

X

X

X

X

X

X

X

Credit Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Liquidity Risk

X

X

X

X

X

X

X

X

X

X

X

X

Derivatives Risk

X

X

X

X

X

X

X

X

X

X

X

X

Non-U.S. Investment Risk

X

X

X

X

X

X

X

X

X

X

X

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August 31, 2013 (Unaudited)

Asset Allo-cation Bond Fund

Core Plus Bond Fund

Currency Hedged Inter-national Bond Fund

Debt Opportunities Fund

Domestic Bond Fund

Emerging Country Debt Fund

Global Bond Fund

Inter-national Bond Fund

Short-Duration Collateral Fund

Short-Duration Collateral Share Fund

Strategic Fixed Income Fund

U.S. Treasury Fund

World Oppor-tunity Overlay Fund

Currency Risk

X

X

X

X

X

X

X

X

X

Focused Investment Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Leveraging Risk

X

X

X

X

X

X

X

X

X

X

Counterparty Risk

X

X

X

X

X

X

X

X

X

X

X

X

Market Disruption and Geopolitical Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Large Shareholder Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Management and Operational Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

Options Risk

X

Fund of Funds Risk

X

X

X

X

X

X

X

X

X

X

Non-Diversified Funds

X

X

X

X

X

X

X

X

X

X

X

X

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:

Fixed Income Investments — 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 interest rates and widening credit spreads, or decreased liquidity stemming from 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. Some fixed income securities 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 fixed income security. When interest rates rise, these securities also may be repaid more slowly than anticipated, which could cause the market price of the Fund’s investment to decrease. 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, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. See “Credit Risk” and “Liquidity Risk” below for more information about these risks.

A risk run by each Fund with a significant investment in fixed income securities is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases 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.

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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.

The market 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 market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities. The market 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 — 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” 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 reduction in the payment stream the Manager expected a Fund to receive at the time the Fund 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.

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.

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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 an entity that generated the assets underlying an asset-backed security is likely to result in a decline in the market price of that security, 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. When interest rates rise, these obligations also may be repaid more slowly than anticipated, which could cause the market price of the Fund’s investment to decrease.

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.

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 or the obligor of an obligation underlying an asset-backed security 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, guarantor’s or obligor’s failure to meet its payment obligations or the downgrading of its credit rating. This 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.

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. In addition, payment of principal of fixed income securities guaranteed by the U.S. government can be delayed because the guarantee generally only requires payment upon maturity of the securities. 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 fixed income securities issued or guaranteed by emerging countries.

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.

Securities issued by the U.S. Treasury historically have presented minimal credit risk. However, recent events have led to a downgrade in the long-term U.S. credit rating by at least one major rating agency and have introduced greater uncertainty about the ability of the U.S. to repay its obligations. A further credit rating downgrade or a U.S. credit default could decrease the value and increase the volatility of a Fund’s investments.

As described under “Market Risk — Asset-Backed Securities” 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” 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.

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The extent to which the market 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 market price of its securities could decline much more than would be predicted by a change in their yield relative 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. In addition to these risks, a Fund is 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, 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, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by 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 market prices decline generally.

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 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. Derivatives include futures, non-U.S. currency contracts, swap contracts, 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, 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 consent of 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, a Fund often will not receive the collateral the day the collateral is called for.

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 in which it has invested.

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.

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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.

Swap contracts 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. See “Leveraging Risk” below.

A Fund’s use of derivatives may be subject to one or more special tax rules and could generate additional taxable income for shareholders.

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 (and many of the rules are not yet final), its ultimate impact remains unclear.

Under recently adopted rules and regulations, transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds will hold cleared derivatives through accounts at clearing members. In cleared derivatives transactions, the Funds will make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In many ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements. For example, the Funds may be required to provide more margin for cleared derivatives transactions than for bilateral derivatives transactions. Also, in contrast to a bilateral derivatives transaction, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives transaction at any time or an increase in margin requirements above the margin that the clearing member required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions or to terminate those transactions at any time. Any increase in margin requirements or termination of existing cleared derivatives transactions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member, because (as described under “Counterparty Risk” below) margin for cleared derivatives transactions in excess of a clearing house’s margin requirements typically is held by the clearing member. Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of the transaction, including loss of an increase in the value of the transaction and/or loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent.

These and other new rules and regulations could, among other things, further 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, increasing margin or capital requirements, or otherwise limiting liquidity or increasing transaction costs. These regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that the new clearing mechanisms will achieve that result, and in the meantime, as noted above, central clearing exposes the Funds to new kinds of risks and costs.

• 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. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).

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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. investments, (ii) transactions in those investments and (iii) the repatriation of proceeds generated from the sale of those investments. A Fund may seek to collect a refund on taxes paid to a non-U.S. country. In those cases, all or a portion of those taxes could ultimately be recovered by a Fund. However, the recovery process could take several years and the Fund will incur expenses in its efforts to collect the refund, which will reduce the benefit of any recovery. A Fund’s efforts to collect a refund may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to pursue a refund is in its sole discretion, and it may decide not to pursue a refund, even if eligible.

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).

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).

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• 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), or in securities from issuers with high positive correlations to one another (such as U.S. Treasury Fund’s investments in securities issued by the U.S. Treasury and other fixed income securities that are backed by the full faith and credit of the U.S. government), 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 price 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.

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 Japan) 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 country are vulnerable to events affecting other companies 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.

• 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 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.

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.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or 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. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties maintain a specific rating by a nationally recognized rating organization 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 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 a 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 longer time that events may occur that 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 contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts 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.

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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 derivatives will be affected by new rules and regulations affecting the derivatives market. As described under “Derivatives Risk” above, some derivatives transactions are required to be centrally 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 derivatives transaction. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. A clearing member is obligated by contract and by applicable regulation to segregate all funds received from customers with respect to cleared derivatives transactions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing member from its customers with respect to cleared derivatives are generally held by the clearing member on a commingled basis in an omnibus account, and the clearing member may invest those funds in certain instruments permitted under the applicable regulations. Therefore, a Fund might not be fully protected in the event of the bankruptcy of a Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing member’s customers for a relevant account class. Also, the clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives, which amounts are generally held in an omnibus account at the clearing house for all customers of the clearing member. Regulations promulgated by the Commodities Futures Trading Commission require that the clearing member notify the clearing house of the initial margin provided by the clearing member to the clearing house that is attributable to each customer. However, if the clearing member does not accurately report the Funds’ initial margin, the Funds are subject to the risk that a clearing house will use a Fund’s assets held in an omnibus account at the clearing house to satisfy payment obligations of a defaulting customer of the clearing member to the clearing house. In addition, clearing members generally provide the clearing house the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than individually for each customer. The Funds are therefore subject to the risk that a clearing house will not make variation margin payments owed to a Fund if another customer of the clearing member has suffered a loss and is in default, and the risk that a Fund will be required to provide additional variation margin to the clearing house before the clearing house will move the Fund’s cleared derivatives transactions to another clearing member. In addition, if a clearing member does not comply with the applicable regulations or its agreement with the Funds, or in the event of fraud or misappropriation of customer assets by a clearing member, a Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the margin held by the clearing member.

• 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. Securities markets may be susceptible to market manipulation (e.g., the potential manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or adversely affect the value of investments traded in these markets, including investments of the Funds. While the U.S. government has honored its credit obligations continuously for the last 200 years, it remains possible that the U.S. could default on its obligations. While it is impossible to predict the consequences of such an unprecedented event, it is likely that a default by the U.S. would be highly disruptive to the U.S. and global securities markets and could significantly impair the value of the Funds’ investments. Similarly, political events within the U.S. at times have resulted, and may in the future result, in a shutdown of government services, which could negatively affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. The uncertainty surrounding the sovereign debt of a significant number of European Union countries 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, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also 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 market disruption may adversely affect the orderly functioning of the securities markets and 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. To the extent that a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events could have a disproportionate impact on the Fund.

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• 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 the shares of many Funds, and asset allocation decisions by the Manager may result in substantial redemptions from (or investments in) 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, by necessitating a sale of portfolio securities, accelerate the realization of taxable income to shareholders. 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, errors or limitations in those analyses and models could affect the ability of the portfolio managers to implement a Fund’s strategies. 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 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.

• OPTIONS RISK. There are various risks associated with transactions in exchange-traded and OTC options. The market price 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 price of an option also may be adversely affected if the market for the option 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 because 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.

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• 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. Funds that invest in shares of other GMO Funds also are subject indirectly to Large Shareholder Risk because those other 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 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.”

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) may invest in shares of one or more other GMO Funds that are not diversified investment companies under the 1940 Act.

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 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.

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.

4. Derivative financial instruments

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

The Funds may use derivatives as a substitute 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 contracts 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.

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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, Short-Duration Collateral Fund, Short-Duration Collateral Share Fund, and U.S. Treasury Fund) gross investment exposures in excess of their net assets (i.e., the Funds will be (or may be, in the case of Domestic Bond Fund, Short-Duration Collateral Fund, Short-Duration Collateral Share Fund, and U.S. Treasury Fund) leveraged) and therefore are subject to heightened risk of loss. The Funds’ (other than Domestic Bond Fund, Short-Duration Collateral Fund, Short-Duration Collateral Share Fund, and U.S. Treasury Fund) performance can depend substantially, if not primarily, on The performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

Certain derivatives transactions used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions through clearing members, who are members of derivatives clearing houses. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing members generally can require termination of existing cleared derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

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 “Investment and other risks” above for further information.

For Funds that held derivatives during the period ended August 31, 2013, 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

Debt Opportunities Fund

Domestic Bond Fund

Emerging Country Debt Fund

Global Bond Fund

International Bond Fund

Short-Duration Collateral Fund

Short-Duration Collateral Share Fund

Strategic Fixed Income Fund

U.S. Treasury Fund

World Opportunity Overlay Fund

Forward currency contracts

Adjust currency exchange rate risk

X

X

X

X

X

Adjust exposure to foreign currencies

X

X

X

X

X

X

X

Futures contracts

Adjust exposure to certain markets

X

Adjust interest rate exposure

X

X

X

X

X

X

X

Maintain the diversity and liquidity of the portfolio

X

X

X

X

X

X

X

Options (Purchased)

Adjust currency exchange rate risk

X

X

X

X

X

X

Adjust exposure to foreign currencies

X

X

X

X

X

X

Adjust interest rate exposure

X

X

Maintain the diversity and liquidity of the portfolio

X

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Type of Derivative and Objective for Use

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

International Bond Fund

Short-Duration Collateral Fund

Short-Duration Collateral Share Fund

Strategic Fixed Income Fund

U.S. Treasury Fund

World Opportunity Overlay Fund

Options (Written)

Achieve exposure to a reference entity’s credit

X

Adjust currency exchange rate risk

X

X

X

X

X

X

Adjust exposure to foreign currencies

X

X

X

X

X

X

Adjust interest rate exposure

X

X

Maintain the diversity and liquidity of the portfolio

X

Swap Contracts

Achieve exposure to a reference entity’s credit

X

X

X

Adjust exposure to certain markets

X

X

Adjust interest rate exposure

X

X

X

X

X

X

X

Provide a measure of protection against default loss

X

X

X

X

X

X

Rights and/or warrants

Adjust exposure to certain markets

X

Forward currency contracts

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. 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.

Futures contracts

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 as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose

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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

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 in the Statements of Operations.

For the period ended August 31, 2013, investment activity in options contracts written by the Funds were as follows:

	Puts						Calls
	Principal Amount of Contracts		Number of Contracts		Premiums		Principal Amount of Contracts		Number of Contracts		Premiums
Core Plus Bond
Outstanding, beginning of period		—		—	$	—		—		—	$	—
Options written		868,000,000		—		513,543		—		—		—
Options bought back		—		—		—		—		—		—
Options expired		—		—		—		—		—		—
Options exercised		—		—		—		—		—		—
Outstanding, end of period		868,000,000		—	$	513,543		—		—	$	—
Currency Hedged International Bond Fund
Outstanding, beginning of period		—		—	$	—		—		—	$	—
Options written		256,000,000		—		166,406		—		—		—
Options bought back		—		—		—		—		—		—
Options expired		—		—		—		—		—		—
Options exercised		—		—		—		—		—		—
Outstanding, end of period		256,000,000		—	$	166,406		—		—	$	—

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	Puts								Calls
	Principal Amount of Contracts			Number of Contracts		Premiums			Principal Amount of Contracts			Number of Contracts		Premiums
Global Bond Fund
Outstanding, beginning of period		—			—	$	—			—			—	$	—
Options written		612,000,000			—		347,137			—			—		—
Options bought back		—			—		—			—			—		—
Options expired		—			—		—			—			—		—
Options exercised		—			—		—			—			—		—
Outstanding, end of period		612,000,000			—	$	347,137			—			—	$	—
International Bond Fund
Outstanding, beginning of period		—			—	$	—			—			—	$	—
Options written		256,000,000			—		166,406			—			—		—
Options bought back		—			—		—			—			—		—
Options expired		—			—		—			—			—		—
Options exercised		—			—		—			—			—		—
Outstanding, end of period		256,000,000			—	$	166,406			—			—	$	—
Strategic Fixed Income
Outstanding, beginning of period		—			—	$	—			—			—	$	—
Options written		6,436,000,000			—		3,862,600			—			—		—
Options bought back		—			—		—			—			—		—
Options expired		—			—		—			—			—		—
Options exercised		—			—		—			—			—		—
Outstanding, end of period		6,436,000,000			—	$	3,862,600			—			—	$	—
World Opportunity Overlay Fund
Outstanding, beginning of period		—			—	$	—			6,000,000			—	$	2,711,878
Options written		16,230,002,400			—		7,155,605			16,633,750,000			—		10,314,226
Options bought back		(4,130,000,000	)		—		(2,763,974	)		(10,083,750,000	)		—		(4,449,141	)
Options expired		(10,000,002,400	)		—		(2,421,454	)		(4,056,000,000	)		—		(4,046,784	)
Options exercised		—			—		—			—			—		—
Outstanding, end of period		2,100,000,000			—	$	1,970,177			2,500,000,000			—	$	4,530,179

Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Funds value OTC options using inputs provided by primary pricing sources and industry models.

Swap contracts

The Funds may enter into various types of swap contracts, 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 contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract 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 contract 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 contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.

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Interest rate swap contracts 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 contracts 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 futures 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 contract, 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 contracts 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 contracts 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.

In a credit linked option contract, one party makes payments to another party in exchange for the option to exercise a contract where the buyer has the right to receive a specified return if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities and a specified decrease in the value of the related collateral occurs. A writer of a credit linked option receives periodic payments in return for its obligation to pay an agreed-upon value to the other party if they exercise their option in the case of a credit event. If no credit event occurs, the seller has no payment obligation and will keep the premiums received.

Variance swap contracts 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 OTC swap contracts 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 in the Statements of Operations. Gains or losses are realized upon termination of the swap contract or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

The values assigned to swap contracts may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. 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 contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

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

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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.

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 valuations of derivative instruments categorized by risk exposure:

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2013 and the Statements of Operations for the period ended August 31, 2013^:

	Credit Contracts			Commodity Contracts		Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Asset Allocation Bond Fund
Net Realized Gain (Loss) on:
Investments (purchased options)	$	—		$	—	$	—	$	—		$	(155,997	)	$	—	$	(155,997	)
Futures Contracts		—			—		—		—			17,771			—		17,771
Written Options		—			—		—		—			64,320			—		64,320
Total	$	—		$	—	$	—	$	—		$	(73,906	)	$	—	$	(73,906	)
Core Plus Bond Fund
Asset:
Investments, at value (purchased options)	$	—		$	—	$	—	$	1,233,819		$	—		$	—	$	1,233,819
Unrealized Appreciation on Forward Currency Contracts		—			—		—		526,567			—			—		526,567
Unrealized Appreciation on Futures Contracts*		—			—		—		—			302,080			—		302,080
Total	$	—		$	—	$	—	$	1,760,386		$	302,080		$	—	$	2,062,466
Derivatives not subject to Master Agreements	$	—		$	—	$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—		$	—	$	—	$	1,760,386		$	302,080		$	—	$	2,062,466
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	—	$	(819,791	)	$	—		$	—	$	(819,791	)
Unrealized Depreciation on Futures Contracts*		—			—		—		—			(717,636	)		—		(717,636	)
Written Options, at value		—			—		—		(661,128	)		—			—		(661,128	)
Unrealized Depreciation on Swap Contracts		(1,116,308	)		—		—		—			(1,994,093	)		—		(3,110,401	)
Total	$	(1,116,308	)	$	—	$	—	$	(1,480,919	)	$	(2,711,729	)	$	—	$	(5,308,956	)
Derivatives not subject to Master Agreements	$	—		$	—	$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	(1,116,308	)	$	—	$	—	$	(1,480,919	)	$	(2,711,729	)	$	—	$	(5,308,956	)
Net Realized Gain (Loss) on:
Investments (purchased options)	$	—		$	—	$	—	$	92,187		$	—		$	—	$	92,187
Forward Currency Contracts		—			—		—		(4,192,618	)		—			—		(4,192,618	)
Futures Contracts		—			—		—		—			(742,566	)		—		(742,566	)
Swap Contracts		118,324			—		—		—			(831,492	)		—		(713,168	)
Total	$	118,324		$	—	$	—	$	(4,100,431	)	$	(1,574,058	)	$	—	$	(5,556,165	)
Change in Net Unrealized Appreciation (Depreciation):
Investments (purchased options)	$	—		$	—	$	—	$	532,742		$	—		$	—	$	532,742
Forward Currency Contracts		—			—		—		(113,995	)		—			—		(113,995	)
Futures Contracts		—			—		—		—			(202,707	)		—		(202,707	)
Written Options		—			—		—		(147,585	)		—			—		(147,585	)
Swap Contracts		136,287			—		—		—			(1,443,969	)		—		(1,307,682	)
Total	$	136,287		$	—	$	—	$	271,162		$	(1,646,676	)	$	—	$	(1,239,227	)

129

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Credit Contracts			Commodity Contracts		Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Currency Hedged International Bond Fund
Asset:
Investments, at value (purchased options)	$	—		$	—	$	—	$	399,930		$	—		$	—	$	399,930
Unrealized Appreciation on Forward Currency Contracts		—			—		—		179,501			—			—		179,501
Unrealized Appreciation on Futures Contracts*		—			—		—		—			82,675			—		82,675
Total	$	—		$	—	$	—	$	579,431		$	82,675		$	—	$	662,106
Derivatives not subject to Master Agreements	$	—		$	—	$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—		$	—	$	—	$	579,431		$	82,675		$	—	$	662,106
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	—	$	(261,816	)	$	—		$	—	$	(261,816	)
Unrealized Depreciation on Futures Contracts*		—			—		—		—			(391,067	)		—		(391,067	)
Written Options, at value		—			—		—		(218,987	)		—			—		(218,987	)
Unrealized Depreciation on Swap Contracts		(122,176	)		—		—		—			(360,202	)		—		(482,378	)
Total	$	(122,176	)	$	—	$	—	$	(480,803	)	$	(751,269	)	$	—	$	(1,354,248	)
Derivatives not subject to Master Agreements	$	—		$	—	$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	(122,176	)	$	—	$	—	$	(480,803	)	$	(751,269	)	$	—	$	(1,354,248	)
Net Realized Gain (Loss) on:
Investments (purchased options)	$	—		$	—	$	—	$	26,764		$	—		$	—	$	26,764
Forward Currency Contracts		—			—		—		(970,823	)		—			—		(970,823	)
Futures Contracts		—			—		—		—			(161,830	)		—		(161,830	)
Swap Contracts		(120,322	)		—		—		—			(129,512	)		—		(249,834	)
Total	$	(120,322	)	$	—	$	—	$	(944,059	)	$	(291,342	)	$	—	$	(1,355,723	)
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (purchased options)	$	—		$	—	$	—	$	188,866		$	—		$	—	$	188,866
Forward Currency Contracts		—			—		—		(387,043	)		—			—		(387,043	)
Futures Contracts		—			—		—		—			(307,986	)		—		(307,986	)
Written Options		—			—		—		(52,581	)		—			—		(52,581	)
Swap Contracts		(40,149	)		—		—		—			(203,658	)		—		(243,807	)
Total	$	(40,149	)	$	—	$	—	$	(250,758	)	$	(511,644	)	$	—	$	(802,551	)
Domestic Bond Fund
Net Realized Gain (Loss)
Swap Contracts	$	(17,732	)	$	—	$	—	$	—		$	—		$	—	$	(17,732	)
Total	$	(17,732	)	$	—	$	—	$	—		$	—		$	—	$	(17,732	)
Change in Net Unrealized Appreciation (Depreciation)
Swap Contracts	$	17,101		$	—	$	—	$	—		$	—		$	—	$	17,101
Total	$	17,101		$	—	$	—	$	—		$	—		$	—	$	17,101

130

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Credit Contracts			Commodity Contracts		Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts			Total
Emerging Country Debt Fund
Asset:
Investments, at value (rights and/or warrants)	$	—		$	—	$	—	$	—		$	—		$	11,793,301		$	11,793,301
Unrealized Appreciation on Forward Currency Contracts		—			—		—		783,386			—			—			783,386
Unrealized Appreciation on Swap Contracts		114,668,954			—		—		—			—			—			114,668,954
Options		168,045			—		—		—			—			—			168,045
Total	$	114,836,999		$	—	$	—	$	783,386		$	—		$	11,793,301		$	127,413,686
Derivatives not subject to Master Agreements	$	—		$	—	$	—	$	—		$	—		$	11,793,301		$	11,793,301
Total subject to Master Agreements	$	114,836,999		$	—	$	—	$	783,386		$	—		$	—		$	115,620,385
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	—	$	(1,665,723	)	$	—		$	—		$	(1,665,723	)
Unrealized Depreciation on Swap Contracts		(135,227,259	)		—		—		—			—			—			(135,227,259	)
Options		(3,022,857	)		—		—		—			—			—			(3,022,857	)
Total	$	(138,250,116	)	$	—	$	—	$	(1,665,723	)	$	—		$	—		$	(139,915,839	)
Derivatives not subject to Master Agreements	$	—		$	—	$	—	$	—		$	—		$	—		$	—
Total subject to Master Agreements	$	(138,250,116	)	$	—	$	—	$	(1,665,723	)	$	—		$	—		$	(139,915,839	)
Net Realized Gain (Loss):
Forward Currency Contracts	$	—		$	—	$	—	$	8,551,674		$	—		$	—		$	8,551,674
Swap Contracts		2,306,938			—		—		—			—			(4,857,287	)		(2,550,349	)
Total	$	2,306,938		$	—	$	—	$	8,551,674		$	—		$	(4,857,287	)	$	6,001,325
Change in Appreciation (Depreciation) on:
Investments (purchased options, rights and/or warrants)	$	—		$	—	$	—	$	—		$	—		$	780,297		$	780,297
Forward Currency Contracts		—			—		—		(5,133,117	)		—			—			(5,133,117	)
Swap Contracts		(3,099,516	)		—		—		—			(158,272	)		—			(3,257,788	)
Options		(1,667,534	)		—		—		—			—			—			(1,667,534	)
Total	$	(4,767,050	)	$	—	$	—	$	(5,133,117	)	$	(158,272	)	$	780,297		$	(9,278,142	)
Global Bond Fund
Asset:
Investments, at value (purchased options)	$	—		$	—	$	—	$	808,817		$	—		$	—		$	808,817
Unrealized Appreciation on Forward Currency Contracts		—			—		—		801,671			—			—			801,671
Unrealized Appreciation on Futures Contracts*		—			—		—		—			270,580			—			270,580
Total	$	—		$	—	$	—	$	1,610,488		$	270,580		$	—		$	1,881,068
Derivatives not subject to Master Agreements	$	—		$	—	$	—	$	—		$	—		$	—		$	—
Total subject to Master Agreements	$	—		$	—	$	—	$	1,610,488		$	270,580		$	—		$	1,881,068
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	—	$	(528,073	)	$	—		$	—		$	(528,073	)
Unrealized Depreciation on Futures Contracts*		—			—		—		—			(267,870	)		—			(267,870	)
Written Options, at value		—			—		—		(442,141	)		—			—			(442,141	)
Unrealized Depreciation on Swap Contracts		(183,264	)		—		—		—			(794,828	)		—			(978,092	)
Total	$	(183,264	)	$	—	$	—	$	(970,214	)	$	(1,062,698	)	$	—		$	(2,216,176	)
Derivatives not subject to Master Agreements	$	—		$	—	$	—	$	—		$	—		$	—		$	—
Total subject to Master Agreements	$	(183,264	)	$	—	$	—	$	(970,214	)	$	(1,062,698	)	$	—		$	(2,216,176	)

131

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Credit Contracts			Commodity Contracts		Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Global Bond Fund (continued)
Net Realized Gain (Loss):
Investments (purchased options)	$	—		$	—	$	—	$	69,884		$	—		$	—	$	69,884
Forward Currency Contracts		—			—		—		(4,869,843	)		—			—		(4,869,843	)
Futures Contracts		—			—		—		—			(1,095,378	)		—		(1,095,378	)
Swap Contracts		(180,483	)		—		—		—			(278,651	)		—		(459,134	)
Total	$	(180,483	)	$	—	$	—	$	(4,799,959	)	$	(1,374,029	)	$	—	$	(6,354,471	)
Change in Net Unrealized Appreciation (Depreciation):
Investments (purchased options)	$	—		$	—	$	—	$	360,946		$	—		$	—	$	360,946
Forward Currency Contracts		—			—		—		1,353,218			—			—		1,353,218
Futures Contracts		—			—		—		—			(215,920	)		—		(215,920	)
Written Options		—			—		—		(95,004	)		—			—		(95,004	)
Swap Contracts		(60,224	)		—		—		—			(405,688	)		—		(465,912	)
Total	$	(60,224	)	$	—	$	—	$	1,619,160		$	(621,608	)	$	—	$	937,328
International Bond Fund
Asset:
Investments, at value (purchased options)	$	—		$	—	$	—	$	391,796		$	—		$	—	$	391,796
Unrealized Appreciation on Forward Currency Contracts		—			—		—		373,300			—			—		373,300
Unrealized Appreciation on Futures Contracts*		—			—		—		—			36,863			—		36,863
Unrealized Appreciation on Swap Contracts		—			—		—		—			—			—		—
Total	$	—		$	—	$	—	$	765,096		$	36,863		$	—	$	801,959
Derivatives not subject to Master Agreements	$	—		$	—	$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—		$	—	$	—	$	765,096		$	36,863		$	—	$	801,959
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	—	$	(261,153	)	$	—		$	—	$	(261,153	)
Unrealized Depreciation on Futures Contracts*		—			—		—		—			(198,933	)		—		(198,933	)
Written Options, at value		—			—		—		(218,987	)		—			—		(218,987	)
Unrealized Depreciation on Swap Contracts		(293,747	)		—		—		—			(316,942	)		—		(610,689	)
Total	$	(293,747	)	$	—	$	—	$	(480,140	)	$	(515,875	)	$	—	$	(1,289,762	)
Derivatives not subject to Master Agreements	$	—		$	—	$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	(293,747	)	$	—	$	—	$	(480,140	)	$	(515,875	)	$	—	$	(1,289,762	)
Net Realized Gain (Loss) on:
Investments (purchased options)	$	—		$	—	$	—	$	31,225		$	—		$	—	$	31,225
Forward Currency Contracts		—			—		—		(2,768,942	)		—			—		(2,768,942	)
Futures Contracts		—			—		—		—			(283,728	)		—		(283,728	)
Swap Contracts		(26,997	)		—		—		—			(140,925	)		—		(167,922	)
Total	$	(26,997	)	$	—	$	—	$	(2,737,717	)	$	(424,653	)	$	—	$	(3,189,367	)
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (purchased options)	$	—		$	—	$	—	$	191,711		$	—		$	—	$	191,711
Forward Currency Contracts		—			—		—		985,148			—			—		985,148
Futures Contracts		—			—		—		—			(310,761	)		—		(310,761	)
Written options		—			—		—		(52,581	)		—			—		(52,581	)
Swap Contracts		132,150			—		—		—			(156,657	)		—		(24,507	)
Total	$	132,150		$	—	$	—	$	1,124,278		$	(467,418	)	$	—	$	789,010

132

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Credit Contracts		Commodity Contracts		Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Strategic Fixed Income Fund
Asset:
Investments, at value (purchased options)	$	—	$	—	$	—	$	8,982,077		$	—		$	—	$	8,982,077
Unrealized Appreciation on Forward Currency Contracts		—		—		—		3,772,315			—			—		3,772,315
Unrealized Appreciation on Futures Contracts*		—		—		—		—			1,244,719			—		1,244,719
Unrealized Appreciation on Swap Contracts		—		—		—		—			6,472,792			—		6,472,792
Total	$	—	$	—	$	—	$	12,754,392		$	7,717,511		$	—	$	20,471,903
Derivatives not subject to Master Agreements	$	—	$	—	$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	—	$	12,754,392		$	7,717,511		$	—	$	20,471,903
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—	$	(5,253,539	)	$	—		$	—	$	(5,253,539	)
Unrealized Depreciation on Futures Contracts*		—		—		—		—			(3,546,150	)		—		(3,546,150	)
Written Options, at value		—		—		—		(4,990,103	)		—			—		(4,990,103	)
Unrealized Depreciation on Swap Contracts		—		—		—		—			(7,515,198	)		—		(7,515,198	)
Total	$	—	$	—	$	—	$	(10,243,642	)	$	(11,061,348	)	$	—	$	(21,304,990	)
Derivatives not subject to Master Agreements	$	—	$	—	$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	—	$	(10,243,642	)	$	(11,061,348	)	$	—	$	(21,304,990	)
Net Realized Gain (Loss) on:
Investments (purchased options)	$	—	$	—	$	—	$	878,756		$	—		$	—	$	878,756
Forward Currency Contracts		—		—		—		(30,815,580	)		—			—		(30,815,580	)
Futures Contracts		—		—		—		—			(1,052,496	)		—		(1,052,496	)
Swap Contracts		—		—		—		—			(1,447,339	)		—		(1,447,339	)
Total	$	—	$	—	$	—	$	(29,936,824	)	$	(2,499,835	)	$	—	$	(32,436,659	)
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (purchased options)	$	—	$	—	$	—	$	4,233,739		$	—		$	—	$	4,233,739
Forward Currency Contracts		—		—		—		(112,404	)		—			—		(112,404	)
Futures Contracts		—		—		—		—			(250,598	)		—		(250,598	)
Written options		—		—		—		(1,127,503	)		—			—		(1,127,503	)
Swap Contracts		—		—		—		—			(6,938,343	)		—		(6,938,343	)
Total	$	—	$	—	$	—	$	2,993,832		$	(7,188,941	)	$	—	$	(4,195,109	)
World Opportunity Overlay Fund
Asset:
Investments, at value (purchased options)	$	—	$	—	$	—	$	19,825		$	12,512,571		$	—	$	12,532,396
Unrealized Appreciation on Swap Contracts		—		—		—		—			15,360,531			—		15,360,531
Total	$	—	$	—	$	—	$	19,825		$	27,873,102		$	—	$	27,892,927
Derivatives not subject to Master Agreements	$	—	$	—	$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	—	$	19,825		$	27,873,102		$	—	$	27,892,927
Liability:
Written Options, at value	$	—	$	—	$	—	$	—		$	(2,676,240	)	$	—	$	(2,676,240	)
Unrealized Depreciation on Swap Contracts		—		—		—		—			(55,828,940	)		—		(55,828,940	)
Total	$	—	$	—	$	—	$	—		$	(58,505,180	)	$	—	$	(58,505,180	)
Derivatives not subject to Master Agreements	$	—	$	—	$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	—	$	—		$	(58,505,180	)	$	—	$	(58,505,180	)

133

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Credit Contracts		Commodity Contracts		Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
World Opportunity Overlay Fund (continued)
Net Realized Gain (Loss) on:
Investments (purchased options)	$	—	$	—	$	—	$	2,008,172		$	4,264,012		$	—	$	6,272,184
Futures Contracts		—		—		—		—			3,909,102			—		3,909,102
Written Options		—		—		—		167,090			3,957,362			—		4,124,452
Swap Contracts		—		—		—		—			(16,090,964	)		—		(16,090,964	)
Total	$	—	$	—	$	—	$	2,175,262		$	(3,960,488	)	$	—	$	(1,785,226	)
Change in Net Unrealized Appreciation (Depreciation):
Investments (purchased options)	$	—	$	—	$	—	$	1,709,151		$	(10,123,213	)	$	—	$	(8,414,062	)
Written Options		—		—		—		(2,471,744	)		3,824,114			—		1,352,370
Swap Contracts		—		—		—		—			23,717,209			—		23,717,209
Total	$	—	$	—	$	—	$	(762,593	)	$	17,418,110		$	—	$	16,655,517

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

^ Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

* The table includes cumulative appreciation/depreciation of futures and cleared swap contracts as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts is reported within the Statements of Assets and Liabilities.

The Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some over-the-counter derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset obligations. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. For more information about other uncertainties and risks, see the Investment and Other Risks note.

For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2013, if any.

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The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements and net of the related collateral received or pledged by the Funds as of August 31, 2013:

Core Plus Bond Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Barclays Bank PLC	$	1,164,249	$	—		$	(641,509	)	$	522,740
Citibank N.A.		316,397		—			(224,296	)		92,101
Deutsche Bank AG		5,056		—			5,056			—
JPMorgan Chase Bank, N.A.		274,684		—			(186,390	)		88,294
Total	$	1,760,386	$	—		$	(1,047,139	)	$	703,135
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	2,063,116	$	(1,421,607	)	$	641,509		$	—
Citibank N.A.		224,296		—			224,296			—
Deutsche Bank AG		691,602		(666,635	)		(5,056	)		19,911
Goldman Sachs International		14,551		—			—			14,551
JPMorgan Chase Bank, N.A.		702,759		(516,369	)		186,390			—
Total	$	3,696,324	$	(2,604,611	)	$	1,047,139		$	34,462

Currency Hedged International Bond Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Barclays Bank PLC	$	396,839	$	—		$	(45,256	)	$	351,583
Citibank N.A.		102,374		—			(81,272	)		21,102
Deutsche Bank AG		1,539		—			1,539			—
JPMorgan Chase Bank, N.A.		78,679		—			78,679			—
Total	$	579,431	$	—		$	(46,310	)	$	372,685
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	45,256	$	—		$	45,256		$	—
Citibank N.A.		81,272		—			81,272			—
Deutsche Bank AG		324,462		(265,591	)		(1,539	)		57,332
Goldman Sachs International		4,388		—			—			4,388
JPMorgan Chase Bank, N.A.		234,678		(80,347	)		(78,679	)		75,652
Total	$	690,056	$	(345,938	)	$	46,310		$	137,372

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Emerging Country Debt Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Barclays Bank PLC	$	170,620	$	—		$	—		$	170,620
Citibank N.A.		3,772,175		—			(3,219,268	)		552,907
Deutsche Bank AG		109,746,214		—			(109,029,503	)		716,711
Goldman Sachs International		1,931,376		(1,931,376	)		—			—	*
Total	$	115,620,385	$	(1,931,376	)	$	(112,248,771	)	$	1,440,238
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	3,374,981	$	(3,374,981	)	$	—		$	—	*
Citibank N.A.		3,687,959		(468,691	)		3,219,268			—
Deutsche Bank AG		114,750,875		(5,721,372	)		109,029,503			—
JPMorgan Chase Bank, N.A.		18,102,024		(17,703,218	)		—			398,806
Total	$	139,915,839	$	(27,268,262	)	$	112,248,771		$	398,806

Global Bond Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Barclays Bank PLC	$	749,693	$	(645,025	)	$	104,668		$	—
Citibank N.A.		545,036		(545,036	)		—			—	*
Deutsche Bank AG		2,858		—			2,858			—
JPMorgan Chase Bank, N.A.		312,901		—			(243,826	)		69,075
Total	$	1,610,488	$	(1,190,061	)	$	(136,300	)	$	69,075
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	142,081	$	—		$	(104,668	)	$	37,413
Citibank N.A.		132,966		—			—			132,966
Deutsche Bank AG		625,507		(594,689	)		(2,858	)		27,960
Goldman Sachs International		3,465		—			—			3,465
JPMorgan Chase Bank, N.A.		462,395		(218,569	)		243,826			—
Total	$	1,366,414	$	(813,258	)	$	136,300		$	201,804

136

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August 31, 2013 (Unaudited)

International Bond Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Barclays Bank PLC	$	363,792	$	(282,439	)	$	(73,595	)	$	7,758
Citibank N.A.		292,581		(167,508	)		(71,812	)		53,261
Deutsche Bank AG		4,783		—			4,783			—
JPMorgan Chase Bank, N.A.		103,940		—			103,940			—
Total	$	765,096	$	(449,947	)	$	(36,684	)	$	61,019
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	73,595	$	—		$	73,595		$	—
Citibank N.A.		71,812		—			71,812			—
Deutsche Bank AG		489,019		(444,140	)		(4,783	)		40,096
Goldman Sachs International		4,157		—			—			4,157
JPMorgan Chase Bank, N.A.		228,967		(92,622	)		(103,940	)		32,405
Total	$	867,550	$	(536,762	)	$	36,684		$	76,658

Strategic Fixed Income Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Barclays Bank PLC	$	12,834,724	$	(11,695,573	)	$	(1,063,820	)	$	75,331
Citibank N.A.		4,092,848		(2,450,768	)		(1,378,656	)		263,424
Deutsche Bank AG		102,698		—			102,698			—
JPMorgan Chase Bank, N.A.		2,196,914		—			2,196,914			—
Total	$	19,227,184	$	(14,146,341	)	$	(142,864	)	$	338,755
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	1,063,820	$	—		$	1,063,820		$	—
Citibank N.A.		1,378,656		—			1,378,656			—
Deutsche Bank AG		3,990,863		(2,966,565	)		(102,698	)		921,600
Goldman Sachs International		92,618		—			—			92,618
JPMorgan Chase Bank, N.A.		5,266,778		(2,628,683	)		(2,196,914	)		441,181
Total	$	11,792,735	$	(5,595,248	)	$	142,864		$	1,455,399

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World Opportunity Overlay Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Barclays Bank PLC	$	2,181,371	$	(264,996	)	$	(1,854,366	)	$	62,009
Citibank N.A.		1,189,954		(675,620	)		(430,127	)		84,207
JPMorgan Chase Bank, N.A.		19,825		—			—			19,825
Morgan Stanley & Co. International PLC		9,141,246		(6,500,000	)		2,641,246			—
Total	$	12,532,396	$	(7,440,616	)	$	356,753		$	166,041
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	1,854,366	$	—		$	1,854,366		$	—
Citibank N.A.		430,127		—			430,127			—
JPMorgan Chase Bank, N.A.		23,651,793		(23,651,793	)		—			—	*
Merrill Lynch Capital Services, Inc.		8,317,872		(8,317,872	)		—			—	*
Morgan Stanley & Co. International PLC		2,734,027		—			(2,641,246	)		92,781
Total	$	36,988,185	$	(31,969,665	)	$	(356,753	)	$	92,781

* In some instances, the actual collateral received and/or pledged may be more than the amount shown.

The following tables present the Funds’ exchange-traded or cleared derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements and net of the related collateral received or pledged by the Funds as of August 31, 2013:

Core Plus Bond Fund

Counterparty	Gross Derivative Assets in the Statement of Assets and Liabilities		Collateral Received			Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Assets
Barclays Bank PLC	$	28,332	$	—		$	—	$	28,332	*
Total	$	28,332	$	—		$	—	$	28,332
Counterparty	Gross Derivative Liabilities in the Statement of Assets and Liabilities		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
J.P.Morgan Securities LLC	$	52,304	$	(52,304	)	$	—	$	—	*
Total	$	52,304	$	(52,304	)	$	—	$	—

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August 31, 2013 (Unaudited)

Currency Hedged International Bond Fund

Counterparty	Gross Derivative Assets in the Statement of Assets and Liabilities		Collateral Received		Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Assets
Barclays Bank PLC	$	9,832	$	—	$	—	$	9,832	*
J.P.Morgan Securities LLC		1,459		—		—		1,459	*
Total	$	11,291	$	—	$	—	$	11,291

Global Bond Fund

Counterparty	Gross Derivative Assets in the Statement of Assets and Liabilities		Collateral Received			Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Assets
Barclays Bank PLC	$	18,347	$	—		$	—	$	18,347	*
Total	$	18,347	$	—		$	—	$	18,347
Counterparty	Gross Derivative Liabilities in the Statement of Assets and Liabilities		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
J.P.Morgan Securities LLC	$	4,236	$	(4,236	)	$	—	$	—	*
Total	$	4,236	$	(4,236	)	$	—	$	—

International Bond Fund

Counterparty	Gross Derivative Assets in the Statement of Assets and Liabilities		Collateral Received			Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Assets
Barclays Bank PLC	$	6,771	$	—		$	—	$	6,771	*
Total	$	6,771	$	—		$	—	$	6,771
Counterparty	Gross Derivative Liabilities in the Statement of Assets and Liabilities		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
J.P.Morgan Securities LLC	$	1,738	$	(1,738	)	$	—	$	—	*
Total	$	1,738	$	(1,738	)	$	—	$	—

139

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August 31, 2013 (Unaudited)

Strategic Fixed Income Fund

Counterparty	Gross Derivative Assets in the Statement of Assets and Liabilities		Collateral Received			Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Assets
Barclays Bank PLC	$	172,518	$	—		$	—	$	172,518	*
Total	$	172,518	$	—		$	—	$	172,518
Counterparty	Gross Derivative Liabilities in the Statement of Assets and Liabilities		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
J.P.Morgan Securities LLC	$	139,069	$	(139,069	)	$	—	$	—	*
Total	$	139,069	$	(139,069	)	$	—	$	—

World Opportunity Overlay Fund

Counterparty	Gross Derivative Assets in the Statement of Assets and Liabilities		Collateral Received		Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Assets
Barclays Bank PLC	$	69,615	$	—	$	—	$	69,615	*
Credit Suisse Securities (USA) LLC		151,959		—		—		151,959	*
Total	$	221,574	$	—	$	—	$	221,574

* In some instances, the actual collateral received and/or pledged may be more than the amount shown.

The average derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants), notional amounts (swap contracts) or principal amounts (options) outstanding at each month-end, was as follows for the period ended August 31, 2013.

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)		Options ($)		Rights and/or Warrants ($)
Asset Allocation Bond Fund		—		5,139,291*		—		143,478*		—
Core Plus Bond Fund		154,332,567		242,367,007		224,144,248		38,212,802		—
Currency Hedged International Bond Fund		70,992,376		68,276,707		23,347,327		11,954,322		—
Domestic Bond Fund		—		—		1,250,000*		—		—
Emerging Country Debt Fund		455,003,688		—		3,510,181,559		309,166,667		11,819,647
Global Bond Fund		155,957,050		137,823,047		41,618,366		25,404,678		—
International Bond Fund		88,370,151		48,438,726		23,850,019		11,759,439		—
Strategic Fixed Income Fund		1,136,725,602		1,216,767,568		455,981,202		278,320,953		—
World Opportunity Overlay Fund		—		—		4,852,865,952		1,334,503,970		—

* During the period ended August 31, 2013, the Fund did not hold this investment type at any month-end, therefore, the average amount outstanding was calculated using daily outstanding absolute values, notional amounts or principal amounts.

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August 31, 2013 (Unaudited)

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to each Fund. That fee, if any, is paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:

	Asset Allocation Bond Fund	Core Plus Bond Fund	Currency Hedged Interna-tional Bond Fund	Debt Oppor-tunities Fund	Domestic Bond Fund	Emerging Country Debt Fund	Global Bond Fund	Interna-tional Bond Fund	Short-Duration Collateral Fund	Short-Duration Collateral Share Fund	Strategic Fixed Income Fund	U.S. Treasury Fund	World Oppo-rtuni ty Overlay Fund
Management Fee	0.25%	0.25%	0.25%	0.25%	0.10% (currently 0.05% waived)	0.35%	0.19%	0.25%	—	0.05%	0.25%	0.08% (currently 0.08% waived)	—

In addition, each class of shares of certain Funds pays the Manager a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholder service fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:

Fund Name	Class III			Class IV		Class VI
Asset Allocation Bond Fund		0.15%					0.055%
Core Plus Bond Fund		0.15%			0.10%
Currency Hedged International Bond Fund		0.15%
Debt Opportunities Fund		0.15%	*				0.055%
Domestic Bond Fund		0.15%					0.055%
Emerging Country Debt Fund		0.15%			0.10%
Global Bond Fund		0.15%
International Bond Fund		0.15%
Short-Duration Collateral Share Fund		0.15%					0.055%	*
Strategic Fixed Income Fund		0.15%					0.055%

* Class is offered but currently has no shareholders as of August 31, 2013.

For each Fund other than Global Bond Fund and Emerging Country Debt Fund, the Manager has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to the Manager. For Global Bond Fund, the Manager has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.06% of the Fund’s average daily net assets.

“Specified Operating Expenses” means only the following expenses to the extent that they are borne by a Fund: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of the Manager, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

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For each Fund that charges a management fee, the Manager will waive and/or reduce the Fund’s management fee, but not below zero, to the extent necessary to offset the management fees directly or indirectly paid by the Fund to the Manager as a result of the Fund’s direct or indirect investments in other GMO Funds.

For each Fund that charges a shareholder service fee, the Manager will waive and/or reduce the shareholder service fee charged by each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly paid by the class of shares of the Fund to the Manager as a result of the Fund’s direct or indirect investments in other GMO Funds.

These contractual waivers and reimbursements will continue through at least June 30, 2014 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to the Manager under the Fund’s management contract or servicing and supplement support agreement.

In addition to the contractual waivers and reimbursements described above, the Manager has voluntarily agreed to waive Domestic Bond Fund’s management fee by 0.05% and U.S. Treasury Fund’s entire management fee. The Manager may change or terminate these voluntary waivers at any time.

The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with the Manager during the period ended August 31, 2013 is shown in the table below and included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agents unaffiliated with the Manager ($)
Asset Allocation Bond Fund		828		184
Core Plus Bond Fund		1,104		184
Currency Hedged International Bond Fund		316		5
Debt Opportunities Fund		4,442		552
Domestic Bond Fund		1,012		184
Emerging Country Debt Fund		23,404		1,840
Global Bond Fund		828		184
International Bond Fund		332		5
Short-Duration Collateral Fund		3,864		552
Short-Duration Collateral Share Fund		184		5
Strategic Fixed Income Fund		9,200		1,380
U.S. Treasury Fund		16,234		2,396
World Opportunity Overlay Fund		3,465		552

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August 31, 2013 (Unaudited)

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2013, these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:

Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Indirect Interest Expense		Total Indirect Expenses
Asset Allocation Bond Fund		<0.000%		0.000%		0.000%		<0.000%
Core Plus Bond Fund*		0.092%		0.004%		0.009%		0.105%
Currency Hedged International Bond Fund*		0.034%		0.004%		0.009%		0.047%
Debt Opportunities Fund		<0.000%		0.000%		0.000%		<0.000%
Domestic Bond Fund*		0.004%		0.000%		0.000%		0.004%
Emerging Country Debt Fund*		0.002%		0.000%		<0.001%		0.002%
Global Bond Fund*		0.076%		0.005%		0.009%		0.090%
International Bond Fund*		0.122%		0.004%		0.009%		0.135%
Short-Duration Collateral Fund		0.000%		0.000%		0.000%		0.000%
Short-Duration Collateral Share Fund		0.003%		0.000%		0.000%		0.003%
Strategic Fixed Income Fund		0.018%		0.004%		0.010%		0.032%
U.S. Treasury Fund		0.000%		0.000%		0.000%		0.000%
World Opportunity Overlay Fund		0.000%		0.000%		0.000%		0.000%

* During the period, the Fund incurred non-recurring indirect legal expenses in connection with the final settlement of pending litigation. Subsequent to the receipt of the settlement proceeds, the underlying fund was liquidated.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2013 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Asset Allocation Bond Fund		2,229,745,013		175,929,485		177,543,344		105,500,000
Core Plus Bond Fund		185,125,952		19,943,694		197,367,194		37,091,530
Currency Hedged International Bond Fund		3,937,331		2,940,828		3,828,806		2,294,594
Debt Opportunities Fund		—		426,911,416		1,371,790		158,048,463
Domestic Bond Fund		25,760,733		24,500,000		26,582,910		16,652,238
Emerging Country Debt Fund		149,420,892		685,563,793		69,671,447		168,078,265
Global Bond Fund		3,150,151		20,111,746		3,172,404		49,292,205
International Bond Fund		3,600,419		4,191,146		3,454,471		16,671,564
Short-Duration Collateral Fund		—		—		7,865,602		126,094,160
Short-Duration Collateral Share Fund		—		7,569,185		—		376,500
Strategic Fixed Income Fund		80,100,228		116,100,000		77,943,256		569,465,000
U.S. Treasury Fund		—		—		—		—
World Opportunity Overlay Fund		367,861,456		17,034,120		368,107,063		51,595,485

143

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

7. Guarantees

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

8. Principal shareholders and related parties as of August 31, 2013

Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund			Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund		Percentage of the shares of the Fund held by senior management of the Manager and GMO Trust officers			Percentage of the Fund’s shares held by accounts for which the Manager has investment discretion
Asset Allocation Bond Fund		3	*		73.29%		—			100.00%
Core Plus Bond Fund		4			95.28%		0.03	%		14.43%
Currency Hedged International Bond Fund		1			94.04%		0.01	%		94.04%
Debt Opportunities Fund		4	**		90.66%		0.01	%		99.84%
Domestic Bond Fund		3	***		89.57%		—			99.52%
Emerging Country Debt Fund		2	***		23.95%		0.07	%		46.38%
Global Bond Fund		3			67.22%		—			63.58%
International Bond Fund		2			83.84%		5.63	%		0.00%
Short-Duration Collateral Fund		2	*		75.69%		—			100.00%
Short-Duration Collateral Share Fund		3			92.17%		61.49	%		0.00%
Strategic Fixed Income Fund		2	***		72.15%		—			100.00%
U.S. Treasury Fund		2	*		54.46%		0.13	%		95.20%
World Opportunity Overlay Fund		2	***		72.09%		—			100.00%

* Two of the shareholders are other funds of the Trust.

** Three of the shareholders are other funds of the Trust.

*** One of the shareholders is another fund of the Trust.

144

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

9. Share transactions

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

	Six Months Ended August 31, 2013 (Unaudited)						Year Ended February 28, 2013
	Shares			Amount			Shares			Amount
Asset Allocation Bond Fund
Class III:
Shares sold		3,952,997		$	97,101,423			2,070,300		$	50,655,398
Shares issued to shareholders in reinvestment of distributions		—			—			33,254			807,729
Shares repurchased		(448	)		(10,948	)		(675,900	)		(16,454,900	)
Net increase (decrease)		3,952,549		$	97,090,475			1,427,654		$	35,008,227
Class VI:
Shares sold		82,793,402		$	2,040,692,216			3,476,815		$	85,079,880
Shares issued to shareholders in reinvestment of distributions		—			—			44,519			1,081,817
Shares repurchased		(595,072	)		(14,550,207	)		(4,660,888	)		(113,592,513	)
Net increase (decrease)		82,198,330		$	2,026,142,009			(1,139,554	)	$	(27,430,816	)
Core Plus Bond Fund
Class III:
Shares sold		—		$	—			16,631		$	122,601
Shares issued to shareholders in reinvestment of distributions		2,308			16,571			6,657			48,286
Shares repurchased		(82,674	)		(592,454	)		(20,196	)		(150,173	)
Net increase (decrease)		(80,366	)	$	(575,883	)		3,092		$	20,714
Class IV:
Shares sold		—		$	—			12,990		$	95,672
Shares issued to shareholders in reinvestment of distributions		410,789			2,957,677			1,142,149			8,301,987
Shares repurchased		(3,880	)		(28,088	)		(1,929,418	)		(14,142,374	)
Net increase (decrease)		406,909		$	2,929,589			(774,279	)	$	(5,744,715	)
Currency Hedged International Bond Fund
Class III:
Shares sold		—		$	—			61,437		$	510,381
Shares issued to shareholders in reinvestment of distributions		106,416			911,980			308,625			2,669,608
Shares repurchased		(22,960	)		(203,278	)		(1,063,707	)		(8,978,407	)
Net increase (decrease)		83,456		$	708,702			(693,645	)	$	(5,798,418	)
Debt Opportunities Fund
Class VI:
Shares sold		8,798,924		$	239,778,505			21,056,932		$	552,417,644
Shares issued to shareholders in reinvestment of distributions		266,539			7,196,557			928,322			24,359,664
Shares repurchased		(87,624	)		(2,388,319	)		(71,734	)		(1,838,578	)
Purchase premium fees		—			957,728			—			2,214,206
Redemption fees		—			4,336			—			3,033
Net increase (decrease)		8,977,839		$	245,548,807			21,913,520		$	577,155,969

145

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Six Months Ended August 31, 2013 (Unaudited)						Year Ended February 28, 2013
	Shares			Amount			Shares			Amount
Domestic Bond Fund
Class III:
Shares sold		—		$	—			—		$	—
Shares repurchased		(66,105	)		(1,045,063	)		—			—
Net increase (decrease)		(66,105	)	$	(1,045,063	)		—		$	—
Class VI:
Shares sold		—		$	—			—		$	—
Shares repurchased		(24,184	)		(393,235	)		—			—
Net increase (decrease)		(24,184	)	$	(393,235	)		—		$	—
Emerging Country Debt Fund
Class III:
Shares sold		6,750,687		$	68,527,960			11,551,938		$	117,933,939
Shares issued to shareholders in reinvestment of distributions		471,523			4,540,768			2,987,123			30,018,467
Shares repurchased		(468,904	)		(4,788,676	)		(44,032,466	)		(438,865,618	)
Purchase premiums		—			535,881			—			846,685
Redemption fees		—			50,565			—			591,943
Net increase (decrease)		6,753,306		$	68,866,498			(29,493,405	)	$	(289,474,584	)
Class IV:
Shares sold		53,814,080		$	529,580,807			94,347,392		$	946,845,601
Shares issued to shareholders in reinvestment of distributions		1,878,381			18,070,027			10,665,343			107,808,489
Shares repurchased		(6,053,552	)		(60,102,659	)		(36,884,162	)		(357,467,931	)
Purchase premiums		—			2,404,798			—			2,330,408
Redemption fees		—			209,347			—			1,226,714
Net increase (decrease)		49,638,909		$	490,162,320			68,128,573		$	700,743,281
Global Bond Fund
Class III:
Shares sold		1,343,589		$	11,337,032			2,837,706		$	23,577,950
Shares issued to shareholders in reinvestment of distributions		36,175			295,185			212,699			1,778,023
Shares repurchased		(5,270,183	)		(43,870,188	)		(3,425,293	)		(28,283,825	)
Net increase (decrease)		(3,890,419	)	$	(32,237,971	)		(374,888	)	$	(2,927,852	)
International Bond Fund
Class III:
Shares sold		—		$	—			86,204		$	586,912
Shares issued to shareholders in reinvestment of distributions		—			—			109,873			727,361
Shares repurchased		(1,993,149	)		(13,504,294	)		(113,111	)		(782,676	)
Net increase (decrease)		(1,993,149	)	$	(13,504,294	)		82,966		$	531,597
Short-Duration Collateral Fund
Shares issued to shareholders in reinvestment of distributions		2,145,296		$	7,569,185			4,330,237		$	19,558,309
Shares repurchased		(108,740	)		(376,500	)		(1,694,994	)		(6,939,554	)
Net increase (decrease)		2,036,556		$	7,192,685			2,635,243		$	12,618,755

146

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Six Months Ended August 31, 2013 (Unaudited)						Year Ended February 28, 2013
	Shares			Amount			Shares			Amount
Short-Duration Collateral Share Fund
Class III:
Shares sold		—		$	—			—		$	—
Shares issued to shareholders in reinvestment of distributions		1,931			41,884			15,382			310,730
Shares repurchased		(15,665	)		(341,820	)		(26,005	)		(513,346	)
Net increase (decrease)		(13,734	)	$	(299,936	)		(10,623	)	$	(202,616	)
Strategic Fixed Income Fund
Class III:
Shares sold		466,663		$	7,634,780			4,421,324		$	73,477,169
Shares issued to shareholders in reinvestment of distributions		122,911			1,970,258			495,003			7,990,328
Shares repurchased		(1,450,369	)		(23,513,109	)		(1,542,929	)		(25,227,561	)
Purchase premiums		—			2,464			—			16,252
Redemption fees		—			84,476			—			77,741
Net increase (decrease)		(860,795	)	$	(13,821,131	)		3,373,398		$	56,333,929
Class VI:
Shares sold		932,911		$	15,393,026			5,866,043		$	97,724,127
Shares issued to shareholders in reinvestment of distributions		1,691,697			27,117,909			9,642,991			155,806,074
Shares repurchased		(30,933,933	)		(497,895,495	)		(59,770,229	)		(980,587,712	)
Purchase premium fees		—			30,848			—			272,112
Redemption fees		—			945,527			—			1,879,192
Net increase (decrease)		(28,309,325	)	$	(454,408,185	)		(44,261,195	)	$	(724,906,207	)
U.S. Treasury Fund
Shares sold		205,348,425		$	5,134,890,651			355,478,405		$	8,887,223,258
Shares issued to shareholders in reinvestment of distributions		39,130			978,509			64,744			1,618,607
Shares repurchased		(212,057,308	)		(5,302,817,323	)		(321,319,710	)		(8,033,205,655	)
Net increase (decrease)		(6,669,753	)	$	(166,948,163	)		34,223,439		$	855,636,210
World Opportunity Overlay Fund
Shares sold		—		$	—			226,302		$	5,575,000
Shares repurchased		(5,974,205	)		(155,920,000	)		(8,934,717	)		(216,595,142	)
Net increase (decrease)		(5,974,205	)	$	(155,920,000	)		(8,708,415	)	$	(211,020,142	)

10. Investments in affiliated issuers

A summary of the Funds’ transactions in the shares of other funds of the Trust during the period ended August 31, 2013 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Return of Capital*		Value, end of period
Asset Allocation Bond Fund
GMO U.S. Treasury Fund	$	500,127	$	175,929,485	$	105,500,000	$	20,784	$	8,701	$	—	$	70,907,506

147

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Return of Capital*		Value, end of period
Core Plus Bond Fund
GMO Emerging Country Debt Fund, Class IV	$	10,477,792	$	124,050	$	—	$	124,050	$	—	$	—	$	9,840,596
GMO Short-Duration Collateral Fund		28,926,511		—		—		118,132		—		5,300,768		24,550,449
GMO Special Purpose Holding Fund		50,683		—		141,703		—		—		3,986,337		—
GMO U.S. Treasury Fund		39,587,555		14,811,344		35,600,000		9,400		1,944		—		18,797,337
GMO World Opportunity Overlay Fund		52,142,116		—		—		—		—		—		53,177,649
Totals	$	131,184,657	$	14,935,394	$	35,741,703	$	251,582	$	1,944	$	9,287,105	$	106,366,031
Currency Hedged International Bond Fund
GMO Emerging Country Debt Fund, Class IV	$	3,108,722	$	36,805	$	—	$	36,801	$	—	$	—	$	2,919,668
GMO Short-Duration Collateral Fund		10,463,896		—		—		42,734		—		1,917,503		8,880,897
GMO Special Purpose Holding Fund		2,968		—		8,297		—		—		233,409		—
GMO U.S. Treasury Fund		6,719,605		2,904,023		1,700,000		3,303		732		—		7,923,187
GMO World Opportunity Overlay Fund		15,400,692		—		—		—		—		—		15,706,547
Totals	$	35,695,883	$	2,940,828	$	1,708,297	$	82,838	$	732	$	2,150,912	$	35,430,299
Debt Opportunities Fund
GMO U.S. Treasury Fund	$	28,007,742	$	50,011,510	$	39,000,000	$	11,508	$	2	$	—	$	39,020,848
Domestic Bond Fund
GMO Short-Duration Collateral Fund	$	177,756,635	$	—	$	—	$	725,934	$	—	$	32,573,809	$	150,865,247
GMO Special Purpose Holding Fund		801		—		2,238		—		—		62,970		—
GMO U.S. Treasury Fund		365,351		24,500,000		16,650,000		1,731		10		—		8,212,252
Totals	$	178,122,787	$	24,500,000	$	16,652,238	$	727,665	$	10	$	32,636,779	$	159,077,499
Emerging Country Debt Fund
GMO Short-Duration Collateral Fund	$	15,506,720	$	—	$	—	$	63,328	$	—	$	2,841,598	$	13,160,831
GMO Special Purpose Holding Fund		11,561		—		32,323		—		—		909,295		—
GMO U.S. Treasury Fund		31		74,004,379		—		4,379		—		—		73,984,416
GMO World Opportunity Overlay Fund		38,916,722		—		—		—		—		—		39,689,601
Totals	$	54,435,034	$	74,004,379	$	32,323	$	67,707	$	—	$	3,750,893	$	126,834,848
Global Bond Fund
GMO Emerging Country Debt Fund, Class IV	$	8,188,930	$	96,951	$	2,328,000	$	96,951	$	—	$	—	$	5,405,057
GMO Short-Duration Collateral Fund		30,705,579		—		—		125,397		—		5,626,781		26,060,376
GMO Special Purpose Holding Fund		24,753		—		69,205		—		—		1,946,842		—
GMO U.S. Treasury Fund		33,345,121		20,014,795		39,600,000		12,010		2,785		—		13,759,912
GMO World Opportunity Overlay Fund		37,691,995		—		7,295,000		—		—		—		31,117,235
Totals	$	109,956,378	$	20,111,746	$	49,292,205	$	234,358	$	2,785	$	7,573,623	$	76,342,580
International Bond Fund
GMO Emerging Country Debt Fund, Class IV	$	3,087,707	$	36,556	$	590,000	$	36,556	$	—	$	—	$	2,321,511
GMO Short-Duration Collateral Fund		15,524,056		—		—		63,398		—		2,844,775		13,175,545
GMO Special Purpose Holding Fund		20,231		—		56,564		—		—		1,591,252		—
GMO U.S. Treasury Fund		10,208,382		4,154,590		13,500,000		3,683		907		—		866,489
GMO World Opportunity Overlay Fund		15,702,723		—		2,525,000		—		—		—		13,480,196
Totals	$	44,543,099	$	4,191,146	$	16,671,564	$	103,637	$	907	$	4,436,027	$	29,843,741
Short-Duration Collateral Share Fund
GMO Short-Duration Collateral Fund	$	38,038,518	$	7,569,185	$	376,500	$	165,008	$	—	$	7,404,177	$	39,024,971

148

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Return of Capital*		Value, end of period
Strategic Fixed Income Fund
GMO Emerging Country Debt Fund, Class IV	$	71,686,956	$	—	$	12,465,000	$	848,724	$	—	$	—	$	54,312,364
GMO Short-Duration Collateral Fund		411,040,185		—		—		1,678,633		—		75,322,895		348,857,183
GMO U.S. Treasury Fund		402,640,955		116,100,000		410,900,000		153,195		36,937		—		107,954,702
GMO World Opportunity Overlay Fund		453,187,336		—		146,100,000		—		—		—		315,580,831
Totals	$	1,338,555,432	$	116,100,000	$	569,465,000	$	2,680,552	$	36,937	$	75,322,895	$	826,705,080

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2013 through August 31, 2013. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2014.

149

GMO Trust Funds

Board Review of Management Agreements

August 31, 2013 (Unaudited)

Asset Allocation Bond Fund

Approval of renewal of management agreement for GMO Asset Allocation Bond Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. In addition, the Trustees took into account their discussion with representatives of the Manager regarding ways to evaluate the performance of the Fund, given that the Fund is not a standalone investment and the investment strategies the Manager pursues for the Fund are intended to complement the strategies being pursued by the Manager in other GMO funds or accounts. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund invests (“underlying GMO funds”) do not charge any advisory fees and that with respect to all other underlying GMO funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

150

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

Core Plus Bond Fund

Approval of renewal of management agreement for GMO Core Plus Bond Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund invests (“underlying GMO funds”) do not charge any advisory fees and that with respect to all other underlying GMO funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

151

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

Currency Hedged International Bond Fund

Approval of renewal of management agreement for GMO Currency Hedged International Bond Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund invests (“underlying GMO funds”) do not charge any advisory fees and that with respect to all other underlying GMO funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

152

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

Debt Opportunities Fund

Approval of renewal of management agreement for GMO Debt Opportunities Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund invests (“underlying GMO funds”) do not charge any advisory fees and that with respect to all other underlying GMO funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

153

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

Domestic Bond Fund

Approval of renewal of management agreement for GMO Domestic Bond Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund invests (“underlying GMO funds”) do not charge any advisory fees and that with respect to all other underlying GMO funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

154

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

Emerging Country Debt Fund

Approval of renewal of management agreement for GMO Emerging Country Debt Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

155

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

Global Bond Fund

Approval of renewal of management agreement for GMO Global Bond Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund invests (“underlying GMO funds”) do not charge any advisory fees and that with respect to all other underlying GMO funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

156

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

International Bond Fund

Approval of renewal of management agreement for GMO International Bond Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund invests (“underlying GMO funds”) do not charge any advisory fees and that with respect to all other underlying GMO funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

157

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

Short-Duration Collateral Fund

Approval of renewal of management agreement for GMO Short-Duration Collateral Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees gave substantial consideration to the fact that the Fund does not pay a fee to the Manager under the Fund’s management agreement or any shareholder servicing and supplemental support agreement. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

158

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

Short-Duration Collateral Share Fund

Approval of renewal of management agreement for GMO Short-Duration Collateral Share Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees noted that the Fund invests substantially all of its assets in another series of the Trust, GMO Short-Duration Collateral Fund (“SDCF”) and, therefore, that the Fund’s investment objective and principal investment strategies are identical to those of SDCF.

The Trustees considered the Fund’s and SDCF’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund and SDCF. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund and SDCF had performed as expected given market conditions in recent years. The Trustees’ review of the Fund’s and SDCF’s performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees noted that the Fund’s expense ratio reflects total expenses payable by the Fund and SDCF. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund and SDCF.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements, and noted that SDCF does not pay a fee to the Manager under SDCF’s management agreement or any shareholder servicing and supplemental support agreement. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund and SDCF, the Manager’s overall profitability, and its profitability by division and with respect to the Fund and SDCF. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund and SDCF, the Manager’s reputation and relationship with Fund and SDCF investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund and SDCF.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

159

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

Strategic Fixed Income Fund

Approval of renewal of management agreement for GMO Strategic Fixed Income Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. In addition, the Trustees took into account their discussion with representatives of the Manager regarding ways to evaluate the performance of the Fund, given that the Fund is not a standalone investment and the investment strategies the Manager pursues for the Fund are intended to complement the strategies being pursued by the Manager in other GMO funds or accounts. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund invests (“underlying GMO funds”) do not charge any advisory fees and that with respect to all other underlying GMO funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

160

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

U.S. Treasury Fund

Approval of renewal of management agreement for GMO U.S. Treasury Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management agreement. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund invests (“underlying GMO funds”) do not charge any advisory fees and that with respect to all other underlying GMO funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

161

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

World Opportunity Overlay Fund

Approval of renewal of management agreement for GMO World Opportunity Overlay Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees gave substantial consideration to the fact that the Fund does not pay a fee to the Manager under the Fund’s management agreement or any shareholder servicing and supplemental support agreement. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

162

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2013 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2013.

As a shareholder of the Funds, you may incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in Dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2013 through August 31, 2013.

Actual Expense

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

Hypothetical Example for Comparison Purposes

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

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

	Actual						Hypothetical
	Beginning Account Value March 1, 2013		Ending Account Value August 31, 2013		Expenses Paid* During the Period		Beginning Account Value March 1, 2013		Ending Account Value August 31, 2013		Expenses Paid* During the Period		Annualized Net Expense Ratio
Asset Allocation Bond Fund
Class III		$1,000.00		$985.70		$2.00		$1,000.00		$1,023.19		$2.04		0.40%
Class VI		$1,000.00		$986.10		$1.55		$1,000.00		$1,023.64		$1.58		0.31%
Core Plus Bond Fund
Class III		$1,000.00		$977.60		$2.44		$1,000.00		$1,022.74		$2.50		0.49%
Class IV		$1,000.00		$976.40		$2.19		$1,000.00		$1,022.99		$2.24		0.44%
Currency Hedged International Bond Fund
Class III		$1,000.00		$980.70		$2.25		$1,000.00		$1,022.94		$2.29		0.45%
Debt Opportunities Fund
Class VI		$1,000.00		$1,012.80		$1.57		$1,000.00		$1,023.64		$1.58		0.31%
Domestic Bond Fund
Class III		$1,000.00		$1,029.20		$1.07		$1,000.00		$1,024.15		$1.07		0.21%
Class VI		$1,000.00		$1,029.90		$0.56		$1,000.00		$1,024.65		$0.56		0.11%
Emerging Country Debt Fund
Class III		$1,000.00		$939.10		$2.79		$1,000.00		$1,022.33		$2.91		0.57%
Class IV		$1,000.00		$939.20		$2.54		$1,000.00		$1,022.58		$2.65		0.52%
Global Bond Fund
Class III		$1,000.00		$976.20		$2.34		$1,000.00		$1,022.84		$2.40		0.47%
International Bond Fund
Class III		$1,000.00		$992.70		$2.71		$1,000.00		$1,022.48		$2.75		0.54%
Short-Duration Collateral Fund
Core Shares		$1,000.00		$1,035.90		$0.00		$1,000.00		$1,025.21		$0.00		0.00%

163

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses — (Continued)

August 31, 2013 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value March 1, 2013		Ending Account Value August 31, 2013		Expenses Paid* During the Period		Beginning Account Value March 1, 2013		Ending Account Value August 31, 2013		Expenses Paid* During the Period		Annualized Net Expense Ratio
Short-Duration Collateral Share Fund
Class III		$1,000.00		$1,034.90		$1.03		$1,000.00		$1,024.20		$1.02		0.20%
Strategic Fixed Income Fund
Class III		$1,000.00		$991.20		$2.06		$1,000.00		$1,023.14		$2.09		0.41%
Class VI		$1,000.00		$991.30		$1.61		$1,000.00		$1,023.59		$1.63		0.32%
U.S. Treasury Fund
Core Shares		$1,000.00		$1,000.50		$0.00		$1,000.00		$1,025.21		$0.00		0.00%
World Opportunity Overlay Fund
Core Shares		$1,000.00		$1,019.90		$0.20		$1,000.00		$1,025.00		$0.20		0.04%

* Expenses are calculated using each Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2013, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

164

GMO Trust

Semiannual Report

August 31, 2013

Foreign Fund

Foreign Small Companies Fund

Global Focused Equity Fund

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

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

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

TABLE OF CONTENTS

Foreign Fund:
Investment Concentration Summary	1
Schedule of Investments	2
Foreign Small Companies Fund:
Investment Concentration Summary	5
Schedule of Investments	6
Global Focused Equity Fund:
Investment Concentration Summary	9
Schedule of Investments	10
Portfolio Abbreviations and Currency Abbreviations	12
Fund Financial Statements:
Statements of Assets and Liabilities	13
Statements of Operations	14
Statements of Changes in Net Assets	15
Financial Highlights	17
Notes to Financial Statements	20
Board Review of Management Agreements	43
Fund Expenses	46

GMO Foreign Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.1	%
Mutual Funds		1.9
Preferred Stocks		1.5
Short-Term Investments		0.8
Rights		0.0	^
Other		(1.3	)
		100.0	%
Country Summary*	% of Investments
Japan		24.6	%
United Kingdom		19.1
France		16.4
Germany		8.6
Italy		7.0
Australia		6.9
Netherlands		4.4
Switzerland		3.8
Spain		1.6
Sweden		1.5
Hong Kong		1.2
Belgium		1.1
South Korea		0.9
Taiwan		0.6
Panama		0.5
Russia		0.5
Ireland		0.4
Israel		0.4
Norway		0.4
Mexico		0.1
Philippines		0.0	^
		100.0	%

^ Rounds to 0.0%.

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

Industry Group Summary	% of Equity Investments**
Banks		14.3	%
Automobiles & Components		10.4
Capital Goods		10.3
Materials		6.5
Food, Beverage & Tobacco		6.4
Pharmaceuticals, Biotechnology & Life Sciences		6.2
Insurance		6.0
Energy		5.6
Diversified Financials		5.5
Telecommunication Services		4.6
Transportation		3.9
Media		3.9
Technology Hardware & Equipment		2.6
Consumer Services		2.6
Utilities		2.2
Food & Staples Retailing		2.0
Real Estate		1.9
Retailing		1.6
Health Care Equipment & Services		0.7
Consumer Durables & Apparel		0.6
Household & Personal Products		0.6
Software & Services		0.6
Semiconductors & Semiconductor Equipment		0.6
Commercial & Professional Services		0.4
		100.0	%

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

1

GMO Foreign Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.1%
		Australia — 6.8%
	1,361,916	Asciano Group		6,719,848
	280,541	Australia and New Zealand Banking Group Ltd		7,365,327
	214,081	Leighton Holdings Ltd		3,290,385
	1,422,445	Telstra Corp Ltd		6,189,605
	622,666	Toll Holdings Ltd		3,009,990
		Total Australia		26,575,155
		Belgium — 1.1%
	45,565	Anheuser-Busch InBev NV		4,249,442
		France — 16.1%
	73,767	Accor SA		2,791,277
	317,152	ArcelorMittal		4,057,531
	34,103	Arkema SA		3,445,836
	176,183	AXA		3,839,923
	78,144	BNP Paribas		4,899,367
	42,455	Cap Gemini SA		2,325,396
	96,281	Carrefour SA		3,014,575
	30,559	Cie Generale des Etablissements Michelin - Class B		2,924,972
	80,842	Compagnie de Saint-Gobain		3,770,370
	97,683	GDF Suez		2,119,414
	11,459	Publicis Groupe SA		852,266
	61,495	Rexel SA		1,414,558
	73,591	Sanofi		7,052,704
	11,975	Societe BIC SA		1,376,851
	108,928	Societe Generale		4,770,325
	23,560	Sodexo		2,078,536
	15,194	Technip SA		1,766,428
	160,230	TF1 SA		2,133,476
	53,274	Total SA		2,950,096
	33,538	Valeo SA		2,524,318
	204,695	Veolia Environnement		3,162,306
		Total France		63,270,525
		Germany — 7.0%
	37,914	Allianz SE (Registered)		5,431,810
	122,920	Celesio AG		2,563,328
	71,104	Daimler AG (Registered)		4,879,008
	100,367	Deutsche Bank AG (Registered)		4,357,011
	212,625	E.ON AG		3,364,654
	56,517	Osram Licht AG *		2,262,533
	41,637	Siemens AG (Registered)		4,410,026
		Total Germany		27,268,370
		Hong Kong — 1.1%
	161,000	Cheung Kong Holdings Ltd		2,294,678
	1,001,000	HKT Trust		942,988

Shares		Description	Value ($)
		Hong Kong — continued
	897,000	New World Development Ltd		1,251,492
		Total Hong Kong		4,489,158
		Ireland — 0.3%
	22,555	Kerry Group Plc - Class A		1,423,026
		Israel — 0.4%
	906,996	Bezeq Israeli Telecommunication Corp Ltd		1,477,805
		Italy — 6.9%
	140,647	Assicurazioni Generali SPA		2,690,274
	46,664	Atlantia SPA		841,792
	184,965	Autogrill SPA *		2,914,092
	262,712	ENI SPA		5,983,997
	193,260	Fiat Industrial SPA		2,311,546
	76,933	Gtech SPA		2,161,535
	984,025	Mediaset SPA *		4,037,270
	685,875	Mediobanca SPA		4,258,497
	59,042	Saipem SPA		1,314,286
	349,125	Saras SPA *		420,796
		Total Italy		26,934,085
		Japan — 24.3%
	517,000	Asahi Kasei Corp		3,783,501
	46,900	Astellas Pharma Inc		2,386,173
	884	Dai-ichi Life Insurance Co Ltd (The)		1,173,856
	21,500	Daito Trust Construction Co Ltd		1,962,390
	82,000	Daiwa House Industry Co Ltd		1,465,129
	1,208	Fuji Media Holdings Inc		2,219,151
	662,000	Hitachi Ltd		3,960,140
	164,900	Honda Motor Co Ltd		5,912,532
	321,200	Itochu Corp		3,615,822
	49,700	Japan Airlines Co Ltd		2,629,265
	120,500	Japan Tobacco Inc		4,069,870
	75,700	KDDI Corp		3,598,657
	42,300	Lawson Inc		3,176,766
	1,211,000	Mazda Motor Corp *		4,821,057
	1,558,800	Mitsubishi UFJ Financial Group Inc		9,084,384
	189,500	Mitsui & Co Ltd		2,620,572
	520,500	Nissan Motor Co Ltd		5,149,065
	49,900	Nitto Denko Corp		2,638,979
	203,000	Sekisui Chemical Co Ltd		1,857,024
	1,365,000	Shinsei Bank Ltd		2,670,245
	119,700	Shionogi & Co Ltd		2,324,494
	251,000	Sumitomo Mitsui Financial Group Inc		11,032,922
	72,000	Tokio Marine Holdings Inc		2,202,080
	132,200	Toyota Motor Corp		7,952,020
	88,950	Yamada Denki Co Ltd		2,801,590
		Total Japan		95,107,684

2 See accompanying notes to the financial statements.

GMO Foreign Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Mexico — 0.1%
	103,700	Fibra Uno Administracion SA de CV (REIT)		298,891
		Netherlands — 4.4%
	61,198	Akzo Nobel NV		3,600,600
	98,243	Delta Lloyd NV		1,876,326
	391,143	ING Groep NV *		4,258,615
	184,811	Koninklijke Philips Electronics NV		5,714,735
	107,488	Koninklijke Ahold NV		1,712,416
		Total Netherlands		17,162,692
		Norway — 0.4%
	169,438	ProSafe SE		1,509,337
		Panama — 0.5%
	14,400	Copa Holdings SA - Class A		1,883,232
		Philippines — 0.0%
	12,060	Cebu Air Inc		14,731
		Russia — 0.5%
	201,953	Sberbank Sponsored ADR		2,128,875
		South Korea — 0.9%
	53,780	LG Display Co Ltd *		1,406,421
	1,778	Samsung Electronics Co Ltd		2,179,846
		Total South Korea		3,586,267
		Spain — 1.5%
	197,054	Atresmedia Corp de Medios de Comunicaion SA		1,924,770
	241,249	Banco Santander SA		1,704,723
	27,212	Mediaset Espana Comunicacion SA *		265,488
	95,435	Repsol YPF SA		2,214,644
		Total Spain		6,109,625
		Sweden — 1.5%
	297,351	Nordea Bank AB		3,457,187
	97,698	Svenska Cellulosa AB - Class B		2,385,905
		Total Sweden		5,843,092
		Switzerland — 3.8%
	42,182	Novartis AG (Registered)		3,072,947
	14,127	Roche Holding AG (Non Voting)		3,521,370
	6,593	Syngenta AG (Registered)		2,581,790
	115,407	UBS AG (Registered)		2,229,849
	13,790	Zurich Insurance Group AG		3,429,354
		Total Switzerland		14,835,310
		Taiwan — 0.6%
	141,416	Asustek Computer Inc		1,121,959

Shares		Description	Value ($)
		Taiwan — continued
	406,000	Hon Hai Precision Industry Co Ltd *		1,094,929
		Total Taiwan		2,216,888
		United Kingdom — 18.9%
	509,654	Aberdeen Asset Management Plc		2,785,000
	18,782	Berkeley Group Holdings Plc (Unit Shares)		616,965
	208,589	BG Group Plc		3,969,056
	70,872	BHP Billiton Plc		2,061,340
	101,735	British American Tobacco Plc		5,144,194
	644,730	BT Group Plc		3,247,196
	25,731	DCC Plc		1,021,779
	130,436	Diageo Plc		3,997,390
	140,383	Domino Printing Sciences Plc		1,454,230
	215,493	GlaxoSmithKline Plc		5,495,841
	392,188	Howden Joinery Group Plc		1,711,055
	759,986	HSBC Holdings Plc		7,957,020
	108,435	Imperial Tobacco Group Plc		3,585,309
	194,596	Inchcape Plc		1,775,269
	113,188	John Wood Group Plc		1,413,234
	46,381	Johnson Matthey Plc		2,043,706
	160,947	Prudential Plc		2,692,008
	38,695	Renishaw Plc		1,018,984
	22,778	Rio Tinto Plc		1,028,422
	197,602	Rolls-Royce Holdings Plc		3,408,181
	114,214	Schroders Plc (Non Voting)		3,282,875
	75,505	Travis Perkins Plc		1,842,631
	55,920	Unilever Plc		2,132,215
	763,884	Vodafone Group Plc		2,460,865
	67,218	Weir Group Plc (The)		2,268,394
	35,894	Wolseley Plc		1,815,125
	197,446	WPP Plc		3,657,793
		Total United Kingdom		73,886,077
		TOTAL COMMON STOCKS (COST $352,532,925)		380,270,267
		PREFERRED STOCKS — 1.5%
		Germany — 1.5%
	25,525	Volkswagen AG 2.09%		5,805,592
		TOTAL PREFERRED STOCKS (COST $5,287,140)		5,805,592
		RIGHTS/WARRANTS — 0.0%
		Italy — 0.0%
	148,359	FIAT Industrial SPA Rights, Expires 10/09/13 *		73
		TOTAL RIGHTS/WARRANTS (COST $235)		73

See accompanying notes to the financial statements. 3

GMO Foreign Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares / Par Value		Description	Value ($)
		MUTUAL FUNDS — 1.9%
		United States — 1.9%
		Affiliated Issuers
	297,617	GMO U.S. Treasury Fund		7,440,422
		TOTAL MUTUAL FUNDS (COST $7,440,639)		7,440,422
		SHORT-TERM INVESTMENTS — 0.8%
		Time Deposits — 0.8%
AUD	62	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.67%, due 09/03/13		55
NOK	85	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.50%, due 09/03/13		14
JPY	9,184,575	Citibank (New York) Time Deposit, 0.01%, due 09/03/13		93,550
USD	2,130,189	JPMorgan Chase (New York) Time Deposit, 0.06%, due 09/03/13		2,130,189
USD	1,019,635	Societe Generale (Paris) Time Deposit, 0.06%, due 09/03/13		1,019,635
		Total Time Deposits		3,243,443
		TOTAL SHORT-TERM INVESTMENTS (COST $3,243,443)		3,243,443
		TOTAL INVESTMENTS — 101.3% (Cost $368,504,382)		396,759,797
		Other Assets and Liabilities (net) — (1.3%)		(5,174,223	)
		TOTAL NET ASSETS — 100.0%		$391,585,574

Notes to Schedule of Investments:

* Non-income producing security.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 12.

4 See accompanying notes to the financial statements.

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		95.3	%
Mutual Funds		3.6
Short-Term Investments		0.5
Preferred Stocks		0.4
Other		0.2
		100.0	%
Country Summary*	% of Investments
Japan		22.6	%
United Kingdom		20.0
France		12.9
Italy		7.7
Germany		5.9
Australia		5.4
Canada		3.8
South Korea		3.3
Switzerland		3.3
Mexico		2.2
Norway		1.9
Austria		1.4
Belgium		1.4
Spain		1.4
New Zealand		1.1
Singapore		0.9
Hong Kong		0.8
Brazil		0.7
Chile		0.7
Finland		0.7
Netherlands		0.6
Ireland		0.5
Sweden		0.5
India		0.2
Thailand		0.1
Philippines		0.0	^
		100.0	%

^ Rounds to 0.0%.

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

Industry Group Summary	% of Equity Investments**
Capital Goods		13.9	%
Materials		7.7
Automobiles & Components		7.7
Energy		6.7
Retailing		6.6
Consumer Services		6.2
Health Care Equipment & Services		5.0
Commercial & Professional Services		4.6
Real Estate		4.6
Diversified Financials		4.6
Media		4.4
Transportation		4.4
Technology Hardware & Equipment		3.5
Banks		3.4
Food, Beverage & Tobacco		3.4
Consumer Durables & Apparel		3.4
Insurance		2.9
Software & Services		2.9
Pharmaceuticals, Biotechnology & Life Sciences		1.0
Semiconductors & Semiconductor Equipment		0.9
Utilities		0.9
Telecommunication Services		0.9
Household & Personal Products		0.4
		100.0	%

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

5

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.3%
		Australia — 5.2%
	2,378,746	Asciano Group		11,737,003
	4,306,412	Federation Centres Ltd		8,714,113
	1,579,111	Primary Health Care Ltd		7,230,672
	2,175,118	Toll Holdings Ltd		10,514,598
	2,584,996	Tox Free Solutions Ltd		7,641,713
		Total Australia		45,838,099
		Austria — 1.3%
	466,824	Wienerberger AG		6,760,788
	380,997	Zumtobel AG		4,737,236
		Total Austria		11,498,024
		Belgium — 1.4%
	53,515	Compagnie d’Entreprises CFE		2,907,064
	92,601	SA D’Ieteren NV		4,284,607
	104,120	Umicore SA		4,821,184
		Total Belgium		12,012,855
		Brazil — 0.7%
	491,800	Cia de Locacao das Americas *		1,721,130
	745,500	Even Construtora e Incorporadora SA		2,502,758
	216,300	Grendene SA		1,736,057
		Total Brazil		5,959,945
		Canada — 3.6%
	220,940	Alamos Gold Inc		3,605,771
	367,200	Canyon Services Group Inc		4,092,783
	163,700	Corus Entertainment Inc - Class B		3,924,262
	793,400	Gran Tierra Energy Inc *		5,423,412
	172,300	Karnalyte Resources Inc *		327,162
	827,800	NuVista Energy Ltd *		5,831,459
	478,700	Precision Drilling Corp		4,712,920
	464,900	Western Energy Services Corp		3,729,617
		Total Canada		31,647,386
		Chile — 0.2%
	1,500,000	Administradora de Fondos de Pensiones Provida SA		2,175,404
		Finland — 0.7%
	111,530	Aspo Oyj		786,424
	241,349	Tikkurila Oyj		5,430,807
		Total Finland		6,217,231
		France — 12.3%
	176,684	Accor SA		6,685,564
	79,826	Arkema SA		8,065,780
	156,980	Cap Gemini SA		8,598,298

Shares		Description	Value ($)
		France — continued
	78,752	Cie Generale des Etablissements Michelin -Class B		7,537,793
	75,196	Euler Hermes SA		8,498,069
	334,822	Faurecia *		8,519,095
	103,547	Groupe Steria SCA		1,557,754
	141,428	Legrand SA		7,169,542
	184,577	Nexity SA		6,803,213
	252,808	Rexel SA		5,815,296
	44,800	SA des Ciments Vicat		2,918,456
	95,928	Sodexo		8,463,063
	55,244	Technip SA		6,422,570
	244,417	TF1 SA		3,254,433
	138,535	Valeo SA		10,427,169
	491,415	Veolia Environnement		7,591,804
		Total France		108,327,899
		Germany — 5.6%
	302,289	Celesio AG		6,303,823
	112,967	Delticom AG		5,772,868
	283,845	Deutsche Wohnen AG		4,973,607
	812,537	Deutz AG *		7,318,818
	77,444	HeidelbergCement AG		5,371,107
	267,743	Rhoen-Klinikum AG		6,213,862
	414,905	SAF-Holland SA *		4,515,374
	372,713	TAG Immobilien AG		4,353,737
	224,876	Tom Tailor Holding AG *		4,692,181
		Total Germany		49,515,377
		Hong Kong — 0.8%
	4,660,910	HKT Trust		4,390,793
	880,500	Hopewell Holdings Ltd		2,791,333
		Total Hong Kong		7,182,126
		India — 0.2%
	1,585,122	KEC International Ltd		573,223
	632,259	Rolta India Ltd		592,866
	101,200	Sobha Developers Ltd		380,766
		Total India		1,546,855
		Ireland — 0.5%
	64,815	Kerry Group Plc - Class A		4,089,268
		Italy — 7.4%
	1,641,757	Amplifon SPA		8,680,475
	787,889	Autogrill SPA *		12,413,058
	3,808,304	Banco Popolare Scarl *		5,409,525
	1,497,079	Credito Emiliano SPA		8,404,814
	279,257	Gtech SPA		7,846,097
	1,594,232	Mediaset SPA *		6,540,835
	1,080,369	Mediobanca SPA		6,707,852

6 See accompanying notes to the financial statements.

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	941,601	Mediolanum SPA		6,553,160
	1,906,516	Saras SPA *		2,297,901
		Total Italy		64,853,717
		Japan — 21.6%
	789,000	77 Bank Ltd (The)		3,547,506
	1,082,000	Calsonic Kansei Corp		5,237,762
	316,500	Capcom		5,434,516
	258,500	Century Tokyo Leasing Corp		6,964,666
	607,000	Daicel Chemical Industries Ltd		5,228,155
	288,000	Fujitsu General Ltd		3,080,962
	450,200	Fuji Oil Co Ltd		7,894,050
	1,031,000	GS Yuasa Corp		5,069,541
	205,200	Hitachi Chemical Co Ltd		3,372,971
	416,400	Hitachi Transport System Ltd		5,522,043
	318,300	Ibiden Co Ltd		4,554,324
	327,200	Izumi Co Ltd		9,042,016
	690,000	Japan Aviation Electronics Industry Ltd		6,802,538
	442	Japan Logistics Fund Inc		3,999,798
	205,640	K’s Holdings Corp		6,247,860
	377,900	Keihin Corp		5,439,617
	161,500	Kintetsu World Express Inc		5,766,789
	193,200	Kyorin Co Ltd		4,127,645
	1,495,000	Mitsubishi UFJ Lease & Finance Co Ltd		6,739,614
	246,900	Nabtesco Corp		5,271,802
	879,300	NHK Spring Co Ltd		9,256,242
	384,400	Nihon Kohden Corp		14,155,207
	417,000	Nippon Shokubai Co Ltd		4,218,714
	1,072,000	Nippon Soda Co Ltd		6,169,298
	649,000	Nissin Electric Co Ltd		3,746,361
	398,500	Paltac Corp		5,130,051
	857,000	Rengo Co Ltd		4,208,632
	1,330,000	Sanden Corp		5,162,293
	1,290,000	Sanwa Holdings Corp		7,170,732
	308,500	Sumitomo Rubber Industries		4,314,706
	218,400	Tokai Rika Co Ltd		4,306,343
	863,000	Tsubakimoto Chain Co		5,763,338
	187,700	United Arrows Ltd		7,516,430
		Total Japan		190,462,522
		Mexico — 2.1%
	400,000	Banregio Grupo Financiero SAB de CV		2,380,061
	1,718,400	Corp Inmobiliaria Vesta SAB de CV		3,331,080
	1,800,000	Fibra Shop Portafolios Inmobiliarios SAPI de CV *		2,288,900
	1,889,400	Genomma Lab Internacional SAB de CV - Class B *		4,093,865
	1,517,000	Hoteles City Express SAB de CV *		2,528,523
	955,700	Mexico Real Estate Management SA de CV		1,699,531
	863,900	Organizacion Cultiba SAB de CV		2,049,669
		Total Mexico		18,371,629

Shares		Description	Value ($)
		Netherlands — 0.6%
	152,634	Imtech NV *		370,500
	146,588	Unit 4 Agresso NV		5,136,111
		Total Netherlands		5,506,611
		New Zealand — 1.1%
	3,130,637	Sky City Entertainment Group Ltd		9,396,493
		Norway — 1.8%
	119,287	Fred Olsen Energy ASA		5,517,969
	719,611	ProSafe SE		6,410,223
	524,280	SpareBank 1 SR Bank ASA		4,212,376
		Total Norway		16,140,568
		Philippines — 0.0%
	128,320	Cebu Air Inc		156,742
		Singapore — 0.8%
	1,009,000	ComfortDelgro Corp Ltd		1,453,526
	3,380,640	Mapletree Logistics Trust (REIT)		2,789,956
	1,214,000	MobileOne Ltd		3,059,211
		Total Singapore		7,302,693
		South Korea — 3.2%
	350,140	DGB Financial Group Inc		4,884,109
	153,858	Golfzon Co Ltd		2,840,844
	376,240	Kortek Corp		5,397,796
	375,100	Magnachip Semiconductor Corp *		7,670,795
	41,327	S1 Corp		2,357,999
	89,642	Youngone Holding Co Ltd		4,945,832
		Total South Korea		28,097,375
		Spain — 1.3%
	437,847	Atresmedia Corp de Medios de Comunicaion SA		4,276,772
	6,519	Construcciones y Auxiliar de Ferrocarriles SA		2,896,197
	1,300,490	Mapfre SA		4,380,059
		Total Spain		11,553,028
		Sweden — 0.5%
	126,688	Svenska Cellulosa AB - Class B		3,093,876
	2,446,793	Trigon Agri A/S		1,098,690
		Total Sweden		4,192,566
		Switzerland — 3.2%
	156,605	Aryzta AG		9,995,213
	16,947	Kaba Holding AG - Class B (Registered)		6,878,051
	41,047	Sulzer AG		5,979,903
	28,250	Swiss Life Holding AG (Registered)		5,290,284
		Total Switzerland		28,143,451

See accompanying notes to the financial statements. 7

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Thailand — 0.1%
	11,150,800	Ananda Development Pcl (Foreign Registered) *		578,289
		United Kingdom — 19.1%
	574,943	Aberdeen Asset Management Plc		3,141,771
	470,180	Babcock International Group Plc		8,286,993
	283,724	Berkeley Group Holdings Plc (Unit Shares)		9,319,969
	127,277	DCC Plc		5,054,175
	585,076	Diploma Plc		5,437,273
	354,575	Domino Printing Sciences Plc		3,673,049
	665,444	Euromoney Institutional Investor Plc		12,407,587
	1,985,022	F&C Asset Management Plc		2,982,516
	929,083	Filtrona Plc		11,059,384
	699,478	Great Portland Estates Plc (REIT)		5,782,076
	1,271,751	Howden Joinery Group Plc		5,548,451
	833,271	Inchcape Plc		7,601,802
	1,648,938	ITE Group Plc		7,118,612
	518,893	James Fisher & Sons Plc		8,861,989
	271,042	John Wood Group Plc		3,384,155
	1,241,864	Jupiter Fund Management Plc		6,408,675
	300,896	Keller Group Plc		5,176,641
	146,968	Renishaw Plc		3,870,218
	616,338	Restaurant Group Plc		5,157,324
	1,513,459	RPS Group Plc		5,847,577
	113,814	Schroders Plc (Non Voting)		3,271,378
	1,957,669	Senior Plc		8,183,004
	190,639	Travis Perkins Plc		4,652,371
	2,975,258	Tyman Plc		10,026,009
	155,177	Weir Group Plc (The)		5,236,730
	2,164,587	Wilmington Group Plc		6,496,506
	202,876	XP Power Ltd		4,319,884
		Total United Kingdom		168,306,119
		TOTAL COMMON STOCKS (COST $713,693,094)		839,072,272
		PREFERRED STOCKS — 0.4%
		Chile — 0.4%
	1,475,000	Coca-Cola Embonor SA - Class B 4.48%		3,685,693
		TOTAL PREFERRED STOCKS (COST $3,234,804)		3,685,693
		MUTUAL FUNDS — 3.6%
		United States — 3.6%
		Affiliated Issuers
	1,277,254	GMO U.S. Treasury Fund		31,931,352
		TOTAL MUTUAL FUNDS (COST $31,934,046)		31,931,352

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.5%
		Time Deposits — 0.5%
CAD	11,828	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.28%, due 09/03/13		11,230
NOK	145	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.50%, due 09/03/13		24
SGD	87,606	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/03/13		68,679
JPY	2,087,405	Citibank (New York) Time Deposit, 0.01%, due 09/03/13		21,261
AUD	129,414	JPMorgan Chase (New York) Time Deposit, 1.67%, due 09/03/13		115,185
USD	3,743,006	JPMorgan Chase (New York) Time Deposit, 0.06%, due 09/03/13		3,743,006
		Total Time Deposits		3,959,385
		TOTAL SHORT-TERM INVESTMENTS (COST $3,959,385)		3,959,385
		TOTAL INVESTMENTS — 99.8% (Cost $752,821,329)		878,648,702
		Other Assets and Liabilities (net) — 0.2%		1,397,752
		TOTAL NET ASSETS — 100.0%		$880,046,454

Notes to Schedule of Investments:

* Non-income producing security.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 12.

8 See accompanying notes to the financial statements.

GMO Global Focused Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		89.8	%
Short-Term Investments		7.9
Mutual Funds		4.8
Other		(2.5	)
		100.0	%

Country Summary*	% of Equity Investments
France		17.0	%
United States		15.5
Germany		13.1
Italy		12.1
Netherlands		12.1
Japan		11.8
Switzerland		3.8
Canada		3.3
Austria		3.1
Russia		2.9
United Kingdom		2.6
Thailand		1.4
Australia		1.3
		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 contracts and other derivative financial instruments, if any.

Industry Group Summary	% of Equity Investments**
Capital Goods		17.3	%
Materials		13.8
Automobiles & Components		10.6
Energy		9.1
Diversified Financials		7.2
Real Estate		6.2
Banks		6.0
Technology Hardware & Equipment		5.6
Retailing		5.5
Consumer Services		3.5
Transportation		3.2
Insurance		3.0
Media		2.7
Food, Beverage & Tobacco		2.7
Consumer Durables & Apparel		2.3
Commercial & Professional Services		1.3
		100.0	%

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

9

GMO Global Focused Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 89.8%
		Australia — 1.2%
	35,316	Tox Free Solutions Ltd		104,400
		Austria — 2.8%
	20,360	Zumtobel AG		253,152
		Canada — 2.9%
	7,900	Suncor Energy Inc		266,258
		France — 15.2%
	24,562	ArcelorMittal		314,238
	2,211	Euler Hermes SA		249,870
	12,644	Rexel SA		290,848
	5,693	Societe Generale		249,316
	3,783	Valeo SA		284,736
		Total France		1,389,008
		Germany — 11.7%
	5,120	Daimler AG (Registered)		351,324
	2,243	Siemens AG (Registered)		237,570
	21,275	TAG Immobilien AG		248,517
	11,037	Tom Tailor Holding AG *		230,294
		Total Germany		1,067,705
		Italy — 10.8%
	10,354	Gtech SPA		290,909
	53,548	Mediaset SPA *		219,697
	47,799	Mediobanca SPA		296,777
	8,043	Saipem SPA		179,039
		Total Italy		986,422
		Japan — 10.6%
	8,000	Daiwa House Industry Co Ltd		142,939
	26,000	Hitachi Ltd		155,534
	6,500	Japan Tobacco Inc		219,537
	7,300	K’s Holdings Corp		221,792
	59,000	Sanden Corp		229,004
		Total Japan		968,806
		Netherlands — 10.9%
	4,732	Akzo Nobel NV		278,408
	26,902	ING Groep NV *		292,899
	13,511	Koninklijke Philips Electronics NV		417,788
		Total Netherlands		989,095
		Russia — 2.6%
	22,676	Sberbank Sponsored ADR		239,038

Shares / Par Value		Description	Value ($)
		Switzerland — 3.5%
	802	Syngenta AG (Registered)		314,060
		Thailand — 1.3%
	2,277,300	Ananda Development Pcl (Foreign Registered) *		118,103
		United Kingdom — 2.4%
	63,979	Tyman Plc		215,596
		United States — 13.9%
	12,900	Cisco Systems, Inc.		300,699
	13,400	Delta Air Lines, Inc.		264,382
	8,800	EPL Oil & Gas, Inc. *		297,792
	5,700	Iconix Brand Group, Inc. *		187,074
	7,100	RTI International Metals, Inc *		219,887
		Total United States		1,269,834
		TOTAL COMMON STOCKS (COST $7,306,674)		8,181,477
		MUTUAL FUNDS — 4.8%
		United States — 4.8%
		Affiliated Issuers
	17,624	GMO U.S. Treasury Fund		440,597
		TOTAL MUTUAL FUNDS (COST $440,706)		440,597
		SHORT-TERM INVESTMENTS — 7.9%
		Time Deposits — 7.9%
USD	46,113	Australia and New Zealand Banking Group Ltd. (ANZ) Time Deposit, 0.06%, due 09/03/13		46,113
USD	46,113	Bank of America (Charlotte) Time Deposit, 0.06%, due 09/03/13		46,113
USD	46,113	Bank of Montreal Time Deposit, 0.06%, due 09/03/13		46,113
USD	46,113	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.06%, due 09/03/13		46,113
USD	46,113	BNP Paribas (Paris) Time Deposit, 0.06%, due 09/03/13		46,113
AUD	1,767	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.67%, due 09/03/13		1,573
EUR	214	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.00%, due 09/03/13 (a)		282
USD	46,113	Citibank (New York) Time Deposit, 0.06%, due 09/03/13		46,113
USD	46,113	DBS Bank Ltd (Singapore) Time Deposit, 0.06%, due 09/03/13		46,113
USD	27,771	Deustche Bank (Frankfurt) Time Deposit, 0.06%, due 09/03/13		27,771
USD	46,113	DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 09/03/13		46,113
USD	46,113	JPMorgan Chase (New York) Time Deposit, 0.06%, due 09/03/13		46,113

10 See accompanying notes to the financial statements.

GMO Global Focused Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value		Description	Value ($)
		Time Deposits — continued
USD	46,113	NAT Australia Bank (Grand Cayman) Time Deposit, 0.06%, due 09/03/13		46,113
USD	46,113	Skandinaviska Enskilda Banken, AB (Stockholm) Time Deposit, 0.06%, due 09/03/13		46,113
USD	46,113	Societe Generale (Paris) Time Deposit, 0.06%, due 09/03/13		46,113
USD	46,113	STD Charter Bank (London) Time Deposit, 0.06%, due 09/03/13		46,113
USD	46,113	Sumitomo (Tokyo) Time Deposit, 0.06%, due 09/03/13		46,113
USD	46,113	US Bank NA (Cincinnati) Time Deposit, 0.06%, due 09/03/13		46,113
		Total Time Deposits		721,321
		TOTAL SHORT-TERM INVESTMENTS (COST $721,321)		721,321
		TOTAL INVESTMENTS — 102.5% (Cost $8,468,701)		9,343,395
		Other Assets and Liabilities (net) — (2.5%)		(227,280	)
		TOTAL NET ASSETS — 100.0%		$9,116,115

Notes to Schedule of Investments:

* Non-income producing security.

(a) Rate rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 12.

See accompanying notes to the financial statements. 11

GMO Trust Funds

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Portfolio Abbreviations:

ADR - American Depositary Receipt

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

REIT - Real Estate Investment Trust

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

EUR - Euro

JPY - Japanese Yen

NOK - Norwegian Krone

SGD - Singapore Dollar

USD - United States Dollar

12 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2013 (Unaudited)

	Foreign Fund			Foreign Small Companies Fund		Global Focused Equity Fund
Assets:
Investments in unaffiliated issuers, at value (Note 2)(a)	$	389,319,375		$	846,717,350	$	8,902,798
Investments in affiliated issuers, at value (Notes 2 and 10)(b)		7,440,422			31,931,352		440,597
Foreign currency, at value (Note 2)(c)		77,799			218,276		1,295
Receivable for investments sold		26,013,291			1,127,385		15,000
Receivable for Fund shares sold		100,319			—		—
Dividends receivable		1,085,438			797,324		2,079
Foreign taxes receivable		515,429			209,521		4,378
Receivable for foreign currency sold		134,484			326		—
Receivable for expenses reimbursed and/or waived by Manager (Note 5)		51,398			56,544		13,946
Miscellaneous receivable		422			1,352		26
Total assets		424,738,377			881,059,430		9,380,119
Liabilities:
Payable for investments purchased		2,745,164			151,911		190,589
Payable for Fund shares repurchased		29,827,941			—		—
Payable to affiliate for (Note 5):
Management fee		223,964			536,978		4,803
Shareholder service fee		62,048			92,970		1,201
Payable to agents unaffiliated with the Manager		62			93		5
Payable to Trustees and related expenses		1,270			775		—
Accrued expenses		292,354			230,249		67,406
Total liabilities		33,152,803			1,012,976		264,004
Net assets	$	391,585,574		$	880,046,454	$	9,116,115
Net assets consist of:
Paid-in capital	$	981,160,523		$	745,509,886	$	7,585,767
Accumulated undistributed net investment income		6,483,845			403,638		73,715
Accumulated net realized gain (loss)		(624,293,848	)		8,305,246		581,862
Net unrealized appreciation (depreciation)		28,235,054			125,827,684		874,771
	$	391,585,574		$	880,046,454	$	9,116,115
Net assets attributable to:
Class II shares	$	157,368,523		$	—	$	—
Class III shares	$	165,286,968		$	373,056,580	$	9,116,115
Class IV shares	$	68,930,083		$	506,989,874	$	—
Shares outstanding:
Class II		13,171,114			—		—
Class III		13,749,861			24,223,736		367,765
Class IV		5,596,699			32,970,753		—
Net asset value per share:
Class II	$	11.95		$	—	$	—
Class III	$	12.02		$	15.40	$	24.79
Class IV	$	12.32		$	15.38	$	—
(a)      Cost of investments – unaffiliated issuers:	$	361,063,743		$	720,887,283	$	8,027,995
(b)      Cost of investments – affiliated issuers:	$	7,440,639		$	31,934,046	$	440,706
(c)      Cost of foreign currency:	$	77,802		$	218,251	$	1,295

See accompanying notes to the financial statements. 13

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2013 (Unaudited)

	Foreign Fund			Foreign Small Companies Fund			Global Focused Equity Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax)(a)	$	9,639,027		$	12,035,006		$	135,037
Dividends from affiliated issuers (Note 10)		2,726			6,919			136
Interest		2,547			5,355			143
Total investment income		9,644,300			12,047,280			135,316
Expenses:
Management fee (Note 5)		1,438,959			2,985,833			27,478
Shareholder service fee – Class II (Note 5)		189,026			—			—
Shareholder service fee – Class III (Note 5)		170,557			264,452			6,869
Shareholder service fee – Class IV (Note 5)		36,181			250,246			—
Audit and tax fees		51,980			42,228			39,008
Custodian and fund accounting agent fees		249,872			243,340			25,576
Legal fees		3,036			9,331			92
Registration fees		8,188			2,024			—
Transfer agent fees		25,944			21,436			13,708
Trustees fees and related expenses (Note 5)		2,392			4,211			31
Miscellaneous		14,364			14,650			4,789
Total expenses		2,190,499			3,837,751			117,551
Fees and expenses reimbursed and/or waived by Manager (Note 5)		(341,964	)		(325,167	)		(81,604	)
Expense reductions (Note 2)		(2	)		(31	)		—
Net expenses		1,848,533			3,512,553			35,947
Net investment income (loss)		7,795,767			8,534,727			99,369
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (Net of foreign capital gains tax) (Note 2)(b)		21,934,705			25,384,641			583,278
Investments in affiliated issuers		251			7,982			219
Realized gain distributions from affiliated issuers (Note 10)		201			1,081			18
Foreign currency, forward contracts and foreign currency related transactions		(65,808	)		126,503			(1,411	)
Net realized gain (loss)		21,869,349			25,520,207			582,104
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(8,990,404	)		27,136,485			147,901
Investments in affiliated issuers		(217	)		(2,694	)		(109	)
Foreign currency, forward contracts and foreign currency related transactions		(3,109	)		69,635			85
Net unrealized gain (loss)		(8,993,730	)		27,203,426			147,877
Net realized and unrealized gain (loss)		12,875,619			52,723,633			729,981
Net increase (decrease) in net assets resulting from operations	$	20,671,386		$	61,258,360		$	829,350
(a)    Withholding tax:	$	997,459		$	1,302,738		$	17,280
(b)    Foreign capital gains tax:	$	19,121		$	708		$	—

14 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Foreign Fund						Foreign Small Companies Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	7,795,767		$	23,671,476		$	8,534,727		$	9,437,180
Net realized gain (loss)		21,869,349			40,444,425			25,520,207			16,533,964
Change in net unrealized appreciation (depreciation)		(8,993,730	)		(20,229,518	)		27,203,426			59,049,081
Net increase (decrease) in net assets from operations		20,671,386			43,886,383			61,258,360			85,020,225
Distributions to shareholders from:
Net investment income:
Class II		(1,119,513	)		(7,175,647	)		—			—
Class III		(1,671,379	)		(8,804,177	)		(2,423,138	)		(3,541,755	)
Class IV		(579,423	)		(12,926,825	)		(3,324,510	)		(6,097,276	)
Total distributions from net investment income		(3,370,315	)		(28,906,649	)		(5,747,648	)		(9,639,031	)
Net share transactions (Note 9):
Class II		(66,131,922	)		(45,826,748	)		—			—
Class III		(65,219,956	)		(187,746,070	)		35,981,599			(208,090,031	)
Class IV		(22,669,031	)		(306,949,085	)		2,366,123			363,479,701
Increase (decrease) in net assets resulting from net share transactions		(154,020,909	)		(540,521,903	)		38,347,722			155,389,670
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			71,187			567,500
Class IV		—			—			99,703			183,773
Increase in net assets resulting from purchase premiums and redemption fees		—			—			170,890			751,273
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(154,020,909	)		(540,521,903	)		38,518,612			156,140,943
Total increase (decrease) in net assets		(136,719,838	)		(525,542,169	)		94,029,324			231,522,137
Net assets:
Beginning of period		528,305,412			1,053,847,581			786,017,130			554,494,993
End of period	$	391,585,574		$	528,305,412		$	880,046,454		$	786,017,130
Accumulated undistributed net investment income	$	6,483,845		$	2,058,393		$	403,638		$	—
Distributions in excess of net investment income	$	—		$	—		$	—		$	(2,383,441	)

See accompanying notes to the financial statements. 15

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Global Focused Equity Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	99,369		$	95,906
Net realized gain (loss)		582,104			383,212
Change in net unrealized appreciation (depreciation)		147,877			379,744
Net increase (decrease) in net assets from operations		829,350			858,862
Distributions to shareholders from:
Net investment income
Class III		(36,459	)		(95,315	)
Net realized gains
Class III		(377,132	)		(76,834	)
Net share transactions (Note 9):
Class III		(10,988	)		3,390,538
Total increase (decrease) in net assets		404,771			4,077,251
Net assets:
Beginning of period		8,711,344			4,634,093
End of period	$	9,116,115		$	8,711,344
Accumulated undistributed net investment income	$	73,715		$	10,805

16 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

FOREIGN FUND

	Class II Shares																								Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009								2013				2012				2011				2010				2009
Net asset value, beginning of period		$	11.57			$	11.21			$	12.88			$	11.07			$	8.03			$	16.52			$	11.64			$	11.27			$	12.95			$	11.13			$	8.07			$	16.59
Income (loss) from investment operations:
Net investment income (loss)†			0.19				0.29				0.31				0.24				0.26				0.45				0.19				0.30				0.34				0.24				0.28				0.47
Net realized and unrealized gain (loss)			0.28				0.43				(1.43	)			1.79				3.24				(7.95	)			0.28				0.44				(1.47	)			1.81				3.25				(7.99	)
Total from investment operations			0.47				0.72				(1.12	)			2.03				3.50				(7.50	)			0.47				0.74				(1.13	)			2.05				3.53				(7.52	)
Less distributions to shareholders:
From net investment income			(0.09	)			(0.36	)			(0.55	)			(0.22	)			(0.46	)			(0.33	)			(0.09	)			(0.37	)			(0.55	)			(0.23	)			(0.47	)			(0.34	)
From net realized gains			—				—				—				—				—				(0.66	)			—				—				—				—				—				(0.66	)
Total distributions			(0.09	)			(0.36	)			(0.55	)			(0.22	)			(0.46	)			(0.99	)			(0.09	)			(0.37	)			(0.55	)			(0.23	)			(0.47	)			(1.00	)
Net asset value, end of period		$	11.95			$	11.57			$	11.21			$	12.88			$	11.07			$	8.03			$	12.02			$	11.64			$	11.27			$	12.95			$	11.13			$	8.07
Total Return(a)			4.02	%**			6.65	%			(8.38	)%			18.71	%			43.95	%			(47.49	)%			4.02	%**			6.75	%			(8.36	)%			18.80	%			44.10	%			(47.42	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	157,369			$	217,052			$	259,270			$	417,685			$	545,336			$	765,201			$	165,287			$	222,262			$	403,157			$	1,440,952			$	1,591,717			$	2,054,885
Net expenses to average daily net assets			0.83	%(b)(d)*			0.84	%(b)(d)			0.82	%(b)			0.82	%(b)			0.82	%(b)			0.82	%(c)			0.76	%(b)(d)*			0.77	%(b)(d)			0.75	%(b)			0.75	%(b)			0.75	%(b)			0.75	%(c)
Net investment income (loss) to average daily net assets			3.16	%*			2.65	%			2.71	%			2.09	%			2.53	%			3.42	%			3.17	%*			2.78	%			2.89	%			2.08	%			2.65	%			3.51	%
Portfolio turnover rate			44	%**			91	%			58	%			55	%			59	%			39	%			44	%**			91	%			58	%			55	%			59	%			39	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.14	%*			0.07	%			0.07	%			0.06	%			0.05	%			0.05	%			0.14	%*			0.07	%			0.08	%			0.06	%			0.05	%			0.05	%

	Class IV Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	11.92			$	11.55			$	13.25			$	11.39			$	8.07			$	16.59
Income (loss) from investment operations:
Net investment income (loss)†			0.23				0.33				0.33				0.25				0.22				0.51
Net realized and unrealized gain (loss)			0.26				0.42				(1.46	)			1.85				3.35				(8.02	)
Total from investment operations			0.49				0.75				(1.13	)			2.10				3.57				(7.51	)
Less distributions to shareholders:
From net investment income			(0.09	)			(0.38	)			(0.57	)			(0.24	)			(0.25	)			(0.35	)
From net realized gains			—				—				—				—				—				(0.66	)
Total distributions			(0.09	)			(0.38	)			(0.57	)			(0.24	)			(0.25	)			(1.01	)
Net asset value, end of period		$	12.32			$	11.92			$	11.55			$	13.25			$	11.39			$	8.07
Total Return(a)			4.12	%**			6.68	%			(8.21	)%			18.80	%			44.05	%			(47.39	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	68,930			$	88,992			$	391,421			$	833,582			$	856,553			$	334,003
Net expenses to average daily net assets			0.70	%(b)(d)*			0.70	%(b)(d)			0.69	%(b)			0.69	%(b)			0.69	%(b)			0.69	%(c)
Net investment income (loss) to average daily net assets			3.68	%*			3.02	%			2.74	%			2.10	%			1.92	%			3.70	%
Portfolio turnover rate			44	%**			91	%			58	%			55	%			59	%			39	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.14	%*			0.07	%			0.07	%			0.06	%			0.05	%			0.05	%

^(a)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(b)  The net expense ratio does not include the effect of expense reductions (Note 2).

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

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 17

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

FOREIGN SMALL COMPANIES FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,																				Sixth Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,												Period from August 12, 2009 through February 28, 2010(a)				Period from March 1, 2009 through March  16, 2009(a)				Year Ended February 28, 2009
					2013				2012				2011				2010				2009								2013				2012				2011
Net asset value, beginning of period		$	14.40			$	12.91			$	14.22			$	10.74			$	6.41			$	14.63			$	14.37			$	12.90			$	14.20			$	10.73			$	9.84			$	6.42			$	14.64
Income (loss) from investment operations:
Net investment income (loss)†			0.15				0.23				0.19				0.14				0.13				0.30				0.16				0.12				0.17				0.13				0.02				0.01				0.33
Net realized and unrealized gain (loss)			0.95				1.43				(1.27	)(b)			3.47				4.32				(7.43	)			0.95				1.54				(1.23	)(b)			3.47				1.00				0.01				(7.46	)
Total from investment operations			1.10				1.66				(1.08	)			3.61				4.45				(7.13	)			1.11				1.66				(1.06	)			3.60				1.02				0.02				(7.13	)
Less distributions to shareholders:
From net investment income			(0.10	)			(0.17	)			(0.23	)			(0.13	)			(0.12	)			(0.27	)			(0.10	)			(0.19	)			(0.24	)			(0.13	)			(0.13	)			—				(0.27	)
From net realized gains			—				—				—				—				—				(0.81	)			—				—				—				—				—				—				(0.81	)
Return of capital			—				—				—				—				—				(0.01	)			—				—				—				—				—				—				(0.01	)
Total distributions			(0.10	)			(0.17	)			(0.23	)			(0.13	)			(0.12	)			(1.09	)			(0.10	)			(0.19	)			(0.24	)			(0.13	)			(0.13	)			—				(1.09	)
Net asset value, end of period		$	15.40			$	14.40			$	12.91			$	14.22			$	10.74			$	6.41			$	15.38			$	14.37			$	12.90			$	14.20			$	10.73			$	6.44			$	6.42
Total Return(c)			7.66	%**			12.93	%			(7.45	)%			33.67	%			69.44	%			(51.33	)%			7.75	%**			12.96	%			(7.33	)%			33.67	%			10.33	%**			0.31	%**			(51.29	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	373,057			$	314,389			$	483,122			$	398,648			$	292,852			$	185,298			$	506,990			$	471,628			$	71,373			$	147,131			$	84,225			$	144,101			$	143,564
Net expenses to average daily net assets			0.85	%(d)(e)*			0.85	%(d)(e)			0.86	%(d)			0.85	%(d)			0.86	%(d)			0.85	%(f)			0.80	%(d)(e)*			0.80	%(d)(e)			0.81	%(d)			0.80	%(d)			0.81	%(d)*			0.81	%(d)*			0.80	%(f)
Net investment income (loss) to average daily net assets			1.95	%*			1.83	%			1.43	%			1.15	%			1.40	%			2.59	%			2.04	%*			0.90	%			1.34	%			1.07	%			0.35	%*			3.28	%*			2.74	%
Portfolio turnover rate			26	%**			56	%			46	%			61	%			78	%			42	%			26	%**			56	%			46	%			61	%			78	%††			40	%†††			42	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.08	%*			0.09	%			0.10	%			0.14	%			0.14	%			0.11	%			0.08	%*			0.10	%			0.10	%			0.14	%			0.08	%*			0.22	%*			0.11	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(g)		$	0.02			$	0.00	(g)		$	0.01			$	0.02			$	0.00	(g)		$	0.00	(g)		$	0.01			$	0.01			$	0.02			$	0.00	(g)		$	0.00	(g)		$	0.00	(g)

^(a)  The class was inactive from March 17, 2009 to August 11, 2009.

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

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

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

^(g)  Purchase premiums and redemption fees were less than $0.01 per share.

* Annualized.

** Not annualized.

† Calculated using average shares outstanding throughout the period.

†† Calculation represents portfolio turnover of the Fund for the period ended February 28, 2010.

††† Calculation represents portfolio turnover of the Fund for the period ended August 31, 2009.

18 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL FOCUSED EQUITY FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28, 2013				Period from December 1, 2011 (commencement of operations) through February 29, 2012
Net asset value, beginning of period		$	23.67			$	21.99			$	20.00
Income (loss) from investment operations:
Net investment income (loss)†			0.27				0.31				0.03
Net realized and unrealized gain (loss)			1.97				1.90				1.96
Total from investment operations			2.24				2.21				1.99
Less distributions to shareholders:
From net investment income			(0.10	)			(0.28	)			—
From net realized gains			(1.02	)			(0.25	)			—
Total distributions			(1.12	)			(0.53	)			—
Net asset value, end of period		$	24.79			$	23.67			$	21.99
Total Return(a)			9.62	%**			10.35	%			9.95	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	9,116			$	8,711			$	4,634
Net expenses to average daily net assets			0.78	%(b)*			0.83	%(b)			0.84	%*
Net investment income (loss) to average daily net assets			2.17	%*			1.42	%			0.56	%*
Portfolio turnover rate			73	%**			103	%			18	%††**
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			1.78	%*			2.38	%			8.66	%*

^(a)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(b)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

† Calculated using average shares outstanding throughout the period.

†† Calculation represents portfolio turnover of the Fund for the period from December 1, 2011 through February 29, 2012.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 19

GMO Trust Funds

Notes to Financial Statements

August 31, 2013 (Unaudited)

1. Organization

Each of Foreign Fund, Foreign Small Companies Fund, and Global Focused Equity Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”).

The Funds may invest in U.S. Treasury Fund and unaffiliated money market funds.

The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):

Fund Name	Benchmark	Principal Investment Objective
Foreign Fund	MSCI EAFE Index	Total return in excess of benchmark
Foreign Small Companies Fund	S&P Developed ex-U.S. Small Cap Index	Total return in excess of benchmark
Global Focused Equity Fund	Not Applicable	Total return

Foreign Small Companies Fund currently limits subscriptions.

2. Significant accounting policies

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

Portfolio valuation

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. Cleared derivatives are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. 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 most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular 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 August 31, 2013, 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 Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that close 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 those derivatives closes prior to the close of the NYSE). In those cases, the value will generally 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 inputs obtained from that independent pricing service as of August 31, 2013. 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 Level 2 (levels defined below) in the table below.

20

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

“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 fair valued using inputs obtained from an independent pricing service and presented in the table below on a net basis. The net aggregate direct and/or indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2013 is as follows:

Securities

Fund Name	Fair valued using inputs obtained from an independent pricing service
Foreign Fund		98%
Foreign Small Companies Fund		88%
Global Focused Equity Fund		73%

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 into 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 the 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 (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 August 31, 2013, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

The three levels are defined as follows:

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 60 days or less valued at amortized cost; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; 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 valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; 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; certain equity securities valued based on the last traded exchange price adjusted for the movement in a securities index; and certain securities that are valued using a price from a comparable security related to the same issuer.

21

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2013:

Description	Level 1		Level 2		Level 3		Total
Foreign Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	26,575,155	$	—	$	26,575,155
Belgium		—		4,249,442		—		4,249,442
France		—		63,270,525		—		63,270,525
Germany		—		27,268,370		—		27,268,370
Hong Kong		—		4,489,158		—		4,489,158
Ireland		—		1,423,026		—		1,423,026
Israel		—		1,477,805		—		1,477,805
Italy		—		26,934,085		—		26,934,085
Japan		—		95,107,684		—		95,107,684
Mexico		298,891		—		—		298,891
Netherlands		—		17,162,692		—		17,162,692
Norway		—		1,509,337		—		1,509,337
Panama		1,883,232		—		—		1,883,232
Philippines		—		14,731		—		14,731
Russia		—		2,128,875		—		2,128,875
South Korea		—		3,586,267		—		3,586,267
Spain		—		6,109,625		—		6,109,625
Sweden		—		5,843,092		—		5,843,092
Switzerland		—		14,835,310		—		14,835,310
Taiwan		—		2,216,888		—		2,216,888
United Kingdom		—		73,886,077		—		73,886,077
TOTAL COMMON STOCKS		2,182,123		378,088,144		—		380,270,267
Preferred Stocks
Germany		—		5,805,592		—		5,805,592
TOTAL PREFERRED STOCKS		—		5,805,592		—		5,805,592
Rights/Warrants
Italy		—		—		73		73
TOTAL RIGHTS/WARRANTS		—		—		73		73
Mutual Funds
United States		7,440,422		—		—		7,440,422
TOTAL MUTUAL FUNDS		7,440,422		—		—		7,440,422
Total Short-Term Investments		3,243,443		—		—		3,243,443
Total Investments		12,865,988		383,893,736		73		396,759,797
Total	$	12,865,988	$	383,893,736	$	73	$	396,759,797
Foreign Small Companies Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	45,838,099	$	—	$	45,838,099
Austria		—		11,498,024		—		11,498,024
Belgium		—		12,012,855		—		12,012,855
Brazil		5,959,945		—		—		5,959,945
Canada		31,647,386		—		—		31,647,386
Chile		2,175,404		—		—		2,175,404

22

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Foreign Small Companies Fund (continued)
Asset Valuation Inputs (continued)
Finland	$	—	$	6,217,231	$	—	$	6,217,231
France		—		108,327,899		—		108,327,899
Germany		—		49,515,377		—		49,515,377
Hong Kong		—		7,182,126		—		7,182,126
India		—		1,546,855		—		1,546,855
Ireland		—		4,089,268		—		4,089,268
Italy		—		64,853,717		—		64,853,717
Japan		—		190,462,522		—		190,462,522
Mexico		18,371,629		—		—		18,371,629
Netherlands		—		5,506,611		—		5,506,611
New Zealand		—		9,396,493		—		9,396,493
Norway		—		16,140,568		—		16,140,568
Philippines		—		156,742		—		156,742
Singapore		—		7,302,693		—		7,302,693
South Korea		7,670,795		20,426,580		—		28,097,375
Spain		—		11,553,028		—		11,553,028
Sweden		—		4,192,566		—		4,192,566
Switzerland		—		28,143,451		—		28,143,451
Thailand		—		578,289		—		578,289
United Kingdom		—		168,306,119		—		168,306,119
TOTAL COMMON STOCKS		65,825,159		773,247,113		—		839,072,272
Preferred Stocks
Chile		3,685,693		—		—		3,685,693
TOTAL PREFERRED STOCKS		3,685,693		—		—		3,685,693
Mutual Funds
United States		31,931,352		—		—		31,931,352
TOTAL MUTUAL FUNDS		31,931,352		—		—		31,931,352
Total Short-Term Investments		3,959,385		—		—		3,959,385
Total Investments		105,401,589		773,247,113		—		878,648,702
Total	$	105,401,589	$	773,247,113	$	—	$	878,648,702
Global Focused Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	104,400	$	—	$	104,400
Austria		—		253,152		—		253,152
Canada		266,258		—		—		266,258
France		—		1,389,008		—		1,389,008
Germany		—		1,067,705		—		1,067,705
Italy		—		986,422		—		986,422
Japan		—		968,806		—		968,806
Netherlands		—		989,095		—		989,095
Russia		—		239,038		—		239,038
Switzerland		—		314,060		—		314,060
Thailand		—		118,103		—		118,103
United Kingdom		—		215,596		—		215,596
United States		1,269,834		—		—		1,269,834
TOTAL COMMON STOCKS		1,536,092		6,645,385		—		8,181,477

23

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Global Focused Equity Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	440,597	$	—	$	—	$	440,597
TOTAL MUTUAL FUNDS		440,597		—		—		440,597
Total Short-Term Investments		721,321		—		—		721,321
Total Investments		2,698,010		6,645,385		—		9,343,395
Total	$	2,698,010	$	6,645,385	$	—	$	9,343,395

The Funds’ investments in other GMO Funds (“underlying funds”) held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ Notes to Financial Statements.

For all Funds for the period ended August 31, 2013, 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:

	Balances as of February 28, 2013		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 August 31, 2013		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2013
Foreign Fund
Rights and/or warrants
Italy		$—		$0	**		$—		$—		$—		$73		$—		$—		$73		$73
Total		$—		$0			$—		$—		$—		$73		$—		$—		$73		$73

* The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period.

** Financial assets were acquired as a result of a corporate action.

Cash

Cash and Foreign Currency, if any, on the Statements of Assets and Liabilities consists of cash balances held with the custodian.

Due to/from broker

Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. Dollars at the close of regular trading on the NYSE, generally at 4:00 pm 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 on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Taxes and distributions

Each Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute substantially all of its net investment income, if any, and all of its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes. Taxes on foreign interest and dividend income are generally withheld in

24

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

Each Fund’s policy is to declare and pay distributions of its net investment income, if any, semi-annually. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. Typically, distributions are reinvested in additional shares of each Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

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

Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2013, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.

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

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

As of February 28, 2013, the Funds listed below had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2013, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

	Short-Term ($)								Long- Term ($)
Fund Name	Expiration Date 2/28/2018		Expiration Date 2/28/2019		No Expiration Date		Total Short- Term ($)		No Expiration Date
Foreign Fund		(587,518,459)		—		(18,094,912)		(605,613,371)		(28,795,275)
Foreign Small Companies Fund		(13,498,730)		(1,656,694)		—		(15,155,424)		—

As of August 31, 2013, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:

Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Foreign Fund		373,255,625		32,721,160		(9,216,988)		23,504,172
Foreign Small Companies Fund		762,432,728		141,120,003		(24,904,029)		116,215,974
Global Focused Equity Fund		8,492,309		1,095,386		(244,300)		851,086

25

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual Fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

Brown Brothers Harriman & Co. (“BBH”) serves as the Funds’ custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Funds’ transfer agent. State Street’s transfer agent fees may be reduced by an earnings allowance calculated on the average daily cash balances each Fund maintains in a State Street transfer agent account. Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.

Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions). If the Manager determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. The Manager also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

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

26

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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

As of August 31, 2013, the premium on cash purchases and the fee on cash redemptions were as follows:

	Foreign Fund	Foreign Small Companies Fund	Global Focused Equity Fund
Purchase Premium	—	0.50%	—
Redemption Fee	—	0.50%	—

3. Investment and other risks

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:

	Foreign Fund	Foreign Small Companies Fund	Global Focused Equity Fund
Market Risk – Equities	X	X	X
Liquidity Risk	X	X	X
Smaller Company Risk	X	X	X
Derivatives Risk	X	X	X
Non-U.S. Investment Risk	X	X	X
Currency Risk	X	X	X
Focused Investment Risk	X	X	X
Leveraging Risk	X	X	X
Counterparty Risk	X	X	X
Market Disruption and Geopolitical Risk	X	X	X
Large Shareholder Risk	X	X	X
Management and Operational Risk	X	X	X
Non-Diversified Funds	X		X

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.

27

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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:

Equities — Funds that invest in equities run the risk that the market prices of those investments will decline. The market prices of equities may decline for reasons that directly relate to the issuing company, such as poor management performance or reduced demand for its goods or services. They 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. Equities generally have significant price volatility, and the market prices of equities can decline in a rapid or unpredictable manner.

The Funds invest a substantial portion of their assets in equities and 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 equities 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 or will decline for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments.

The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

• 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. In addition to these risks, a Fund is 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, 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, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. In addition, Inflation-Protected Securities issued by the U.S. Treasury (“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 market prices 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 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. Derivatives include futures, non-U.S. currency contracts, swap contracts, 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, 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 consent of the

28

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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, a Fund often will not receive the collateral the day the collateral is called for.

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 in which it has invested.

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.

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.

Swap contracts 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.

A Fund’s use of derivatives may be subject to one or more special tax rules and could generate additional taxable income for shareholders.

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 (and many of the rules are not yet final), its ultimate impact remains unclear.

Under recently adopted rules and regulations, transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds will hold cleared derivatives through accounts at clearing members. In cleared derivatives transactions, the Funds will make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In many ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements. For example, the Funds may be required to provide more margin for cleared derivatives transactions than for bilateral derivatives transactions. Also, in contrast to a bilateral derivatives transaction, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives transaction at any time or an increase in margin requirements above the margin that the clearing member required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions or to terminate those transactions at any time. Any increase in margin requirements or termination of existing cleared derivatives transactions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member, because (as described under “Counterparty Risk” below) margin for cleared derivatives transactions in excess of a clearing house’s margin requirements typically is held by the clearing member. Also, a Fund is

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subject to risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of the transaction, including loss of an increase in the value of the transaction and/or loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent.

These and other new rules and regulations could, among other things, further 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, increasing margin or capital requirements, or otherwise limiting liquidity or increasing transaction costs. These regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that the new clearing mechanisms will achieve that result, and in the meantime, as noted above, central clearing exposes the Funds to new kinds of risks and costs.

• 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. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).

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. investments, (ii) transactions in those investments and (iii) the repatriation of proceeds generated from the sale of those investments. A Fund may seek to collect a refund on taxes paid to a non-U.S. country. In those cases, all or a portion of those taxes could ultimately be recovered by a Fund. However, the recovery process could take several years and the Fund will incur expenses in its efforts to collect the refund, which will reduce the benefit of any recovery. A Fund’s efforts to collect a refund may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to pursue a refund is in its sole discretion, and it may decide not to pursue a refund, even if eligible.

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).

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

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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), or in securities from issuers with high positive correlations to one another (such as U.S. Treasury Fund’s investments in securities issued by the U.S. Treasury and other fixed income securities that are backed by the full faith and credit of the U.S. government), 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 price 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.

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 Japan) 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 country are vulnerable to events affecting other companies 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.

• 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 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.

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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.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or 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. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties maintain a specific rating by a nationally recognized rating organization 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 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 a 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 longer time that events may occur that 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 contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts 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 derivatives will be affected by new rules and regulations affecting the derivatives market. As described under “Derivatives Risk” above, some derivatives transactions are required to be centrally 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 derivatives transaction. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. A clearing member is obligated by contract and by applicable regulation to segregate all funds received from customers with respect to cleared derivatives transactions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing member from its customers with respect to cleared derivatives are generally held by the clearing member on a commingled basis in an omnibus account, and the clearing member may invest those funds in certain instruments permitted under the applicable regulations. Therefore, a Fund might not be fully protected in the event of the bankruptcy of a Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing member’s customers for a relevant account class. Also, the clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives, which amounts are generally held in an omnibus account at the clearing house for all customers of the clearing member. Regulations promulgated by the Commodities Futures Trading Commission require that the clearing member notify the clearing house of the initial margin provided by the clearing member to the clearing house that is attributable to each customer. However, if the clearing member does not accurately report the Funds’ initial margin, the Funds are subject to the risk that a clearing house will use a Fund’s assets held in an omnibus account at the clearing house to satisfy payment obligations of a defaulting customer of the clearing member to the clearing house. In addition, clearing members generally provide the clearing house the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than individually for each customer. The Funds are therefore subject to the risk that a clearing house will not make variation margin payments owed to a Fund if another customer of the clearing member has suffered a loss and is in default, and the risk that a Fund will be required to provide additional variation margin to the clearing house before the clearing house will move the Fund’s cleared derivatives transactions to another clearing member. In addition, if a clearing member does not comply with the applicable regulations or its agreement with the Funds, or in the event of fraud or misappropriation of customer assets by a clearing member, a Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the margin held by the clearing member.

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• 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. Securities markets may be susceptible to market manipulation (e.g., the potential manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or adversely affect the value of investments traded in these markets, including investments of the Funds. While the U.S. government has honored its credit obligations continuously for the last 200 years, it remains possible that the U.S. could default on its obligations. While it is impossible to predict the consequences of such an unprecedented event, it is likely that a default by the U.S. would be highly disruptive to the U.S. and global securities markets and could significantly impair the value of the Funds’ investments. Similarly, political events within the U.S. at times have resulted, and may in the future result, in a shutdown of government services, which could negatively affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. The uncertainty surrounding the sovereign debt of a significant number of European Union countries 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, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also 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 market disruption may adversely affect the orderly functioning of the securities markets and 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. To the extent that a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events could have a disproportionate impact on the 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 the shares of many Funds, and asset allocation decisions by the Manager may result in substantial redemptions from (or investments in) 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, by necessitating a sale of portfolio securities, accelerate the realization of taxable income to shareholders. 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, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement a Fund’s strategies. 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 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

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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.

• 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.

• Foreign Fund

• Global Focused Equity Fund

Temporary Defensive Positions.

Foreign Fund and Foreign Small Companies Fund normally do not take temporary defensive positions. Global Focused Equity Fund may hold up to 20% of its assets in cash or cash equivalents. 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, it may not achieve its investment objective.

4. Derivative financial instruments

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

The 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 contracts 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 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.

Certain derivatives transactions used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions through clearing members, who are members of derivatives clearing houses. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing members generally can require termination of existing cleared derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

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 “Investment and other risks” above for further information.

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For Funds that held derivatives during the period ended August 31, 2013, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Foreign Fund		Foreign Small Companies Fund		Global Focused Equity Fund
Forward currency contracts
To manage against anticipated currency exchange rate changes		X		X
Rights and/or warrants
Received as a result of corporate actions		X		X		X

Forward currency contracts

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.

Futures contracts

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 (and if 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, 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 as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the 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

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

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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 in the Statements of Operations.

Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if 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, 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.

Swap contracts

The Funds may enter into various types of swap contracts, 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 contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract 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 contract 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 contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.

Interest rate swap contracts 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 contracts 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 futures 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 contract, 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 contracts 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 contracts 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 contracts 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

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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 OTC swap contracts 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 in the Statements of Operations. Gains or losses are realized upon termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

The values assigned to swap contracts may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. 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 contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

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 valuations of derivative instruments categorized by risk exposure:

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2013 and the Statements of Operations for the period ended August 31, 2013^:

		Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Foreign Fund
Asset:
Investments, at value (rights and/or warrants)	$	—	$	73		$	—	$	—	$	—	$	73
Total	$	—	$	73		$	—	$	—	$	—	$	73
Derivatives not subject to Master Agreements	$	—	$	73		$	—	$	—	$	—	$	73
Total subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	(54,473	)	$	—	$	—	$	—	$	(54,473	)
Forward Currency Contracts		—		—			173,391		—		—		173,391
Total	$	—	$	(54,473	)	$	173,391	$	—	$	—	$	118,918
Change in Net Unrealized Appreciation (Depreciation):
Investments (rights and/or warrants)	$	—	$	(162	)	$	—	$	—	$	—	$	(162	)
Forward Currency Contracts		—		—			27,294		—		—		27,294
Total	$	—	$	(162	)	$	27,294	$	—	$	—	$	27,132

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

		Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Foreign Small Companies Fund
Net Realized Gain (Loss) on:
Forward Currency Contracts	$	—	$	—		$	279,027	$	—	$	—	$	279,027
Investments (rights and/or warrants)		—		(1,850,169	)		—		—		—		(1,850,169	)
Total	$	—	$	(1,850,169	)	$	279,027	$	—	$	—	$	(1,571,142	)
Change in Net Unrealized Appreciation (Depreciation):
Forward Currency Contracts	$	—	$	—		$	43,922	$	—	$	—	$	43,922
Total	$	—	$	—		$	43,922	$	—	$	—	$	43,922
Global Focused Equity Fund
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	0	*	$	—	$	—	$	—	$	0	*

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

* Rounds to $0.

^ Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

The average derivative activity, based on absolute values (forward currency contracts and rights and/or warrants) outstanding at each month-end, was as follows for the period ended August 31, 2013.

Fund Name	Forward Currency Contracts ($)		Rights and/or Warrants ($)
Foreign Fund		4,079,162		49,344
Foreign Small Companies Fund		6,564,305		44,262	*
Global Focused Equity Fund		—		1,079	*

* During the period ended August 31, 2013, the Fund did not hold this investment type at any month-end, therefore, the average amount outstanding was calculated using daily outstanding absolute values.

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to each Fund. That fee, if any, is paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:

	Foreign Fund		Foreign Small Companies Fund		Global Focused Equity Fund
Management Fee		0.60%		0.70%		0.60%

In addition, each class of shares of certain Funds pays the Manager a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholder service fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:

Fund Name	Class II		Class III		Class IV
Foreign Fund		0.22%		0.15%		0.09%
Foreign Small Companies Fund				0.15%		0.10%
Global Focused Equity Fund				0.15%		0.10%	*

* Class is offered but has no shareholders as of August 31, 2013.

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

For each Fund, the Manager has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to the Manager.

“Specified Operating Expenses” means only the following expenses to the extent that they are borne by a Fund: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of the Manager, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

For each Fund that charges a management fee, the Manager will waive and/or reduce the Fund’s management fee, but not below zero, to the extent necessary to offset the management fees directly or indirectly paid by the Fund to the Manager as a result of the Fund’s direct or indirect investments in other GMO Funds.

For each Fund that charges a shareholder service fee, the Manager will waive and/or reduce the shareholder service fee charged by each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly paid by the class of shares of the Fund to the Manager as a result of the Fund’s direct or indirect investments in other GMO Funds.

These contractual waivers and reimbursements will continue through at least June 30, 2014 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to the Manager under the Fund’s management contract or servicing and supplement support agreement.

The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with the Manager during the period ended August 31, 2013 is shown in the table below and included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agents unaffiliated with the Manager ($)
Foreign Fund		2,392		368
Foreign Small Companies Fund		4,211		552
Global Focused Equity Fund		31		5

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2013, these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:

Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Total Indirect Expenses
Foreign Fund		< 0.001%		0.000%		< 0.001%
Foreign Small Companies Fund		< 0.001%		0.000%		< 0.001%
Global Focused Equity Fund		< 0.001%		0.000%		< 0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2013 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Foreign Fund		—		199,493,691		—		335,113,151
Foreign Small Companies Fund		—		277,754,206		—		211,693,994
Global Focused Equity Fund		—		6,273,278		—		6,375,847

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

7. Guarantees

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

8. Principal shareholders and related parties as of August 31, 2013

Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund		Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund		Percentage of the shares of the Fund held by senior management of the Manager and GMO Trust officers		Percentage of the Fund’s shares held by accounts for which the Manager has investment discretion
Foreign Fund		2		29.94%		0.14%		0.74%
Foreign Small Companies Fund		4		72.15%		0.05%		—
Global Focused Equity Fund		3		78.03%		92.25%		—

9. Share transactions

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

	Six Months Ended August 31, 2013 (Unaudited)						Year Ended February 28, 2013
	Shares			Amount			Shares			Amount
Foreign Fund
Class II:
Shares sold		147,155		$	1,778,452			2,299,470		$	24,402,935
Shares issued to shareholders in reinvestment of distributions		76,345			908,508			449,055			4,876,994
Shares repurchased		(5,814,703	)		(68,818,882	)		(7,118,690	)		(75,106,677	)
Net increase (decrease)		(5,591,203	)	$	(66,131,922	)		(4,370,165	)	$	(45,826,748	)
Class III:
Shares sold		586,628		$	6,968,482			2,281,734		$	25,000,634
Shares issued to shareholders in reinvestment of distributions		100,623			1,204,459			555,602			6,055,606
Shares repurchased		(6,033,649	)		(73,392,897	)		(19,517,218	)		(218,802,310	)
Net increase (decrease)		(5,346,398	)	$	(65,219,956	)		(16,679,882	)	$	(187,746,070	)
Class IV:
Shares sold		983		$	12,700			469,631		$	5,307,410
Shares issued to shareholders in reinvestment of distributions		15,469			189,649			922,716			10,369,630
Shares repurchased		(1,884,663	)		(22,871,380	)		(27,831,031	)		(322,626,125	)
Net increase (decrease)		(1,868,211	)	$	(22,669,031	)		(26,438,684	)	$	(306,949,085	)

40

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Six Months Ended August 31, 2013 (Unaudited)						Year Ended February 28, 2013
	Shares			Amount			Shares			Amount
Foreign Small Companies Fund
Class III:
Shares sold		2,227,038		$	33,568,616			9,304,269		$	124,236,252
Shares issued to shareholders in reinvestment of distributions		160,792			2,423,138			222,312			3,014,051
Shares repurchased		(694	)		(10,155	)		(25,098,581	)		(335,340,334	)
Purchase premiums		—			70,330			—			562,384
Redemption fees		—			857			—			5,116
Net increase (decrease)		2,387,136		$	36,052,786			(15,572,000	)	$	(207,522,531	)
Class IV:
Shares sold		784		$	12,481			26,920,343		$	358,520,424
Shares issued to shareholders in reinvestment of distributions		184,154			2,771,523			370,030			5,054,564
Shares repurchased		(28,827	)		(417,881	)		(6,877	)		(95,287	)
Purchase premiums		—			98,420			—			183,641
Redemption fees		—			1,283			—			132
Net increase (decrease)		156,111		$	2,465,826			27,283,496		$	363,663,474
Global Focused Equity Fund
Class III:
Shares sold		4,891		$	124,296			149,149		$	3,219,483
Shares issued to shareholders in reinvestment of distributions		17,219			413,590			8,097			172,149
Shares repurchased		(22,321	)		(548,874	)		(46	)		(1,094	)
Net increase (decrease)		(211	)	$	(10,988	)		157,200		$	3,390,538

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GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

10. Investments in affiliated issuers

A summary of the Funds’ transactions in the shares of other funds of the Trust during the period ended August 31, 2013 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds			Dividend Income*		Distributions of Realized Gains*		Value, end of period
Foreign Fund
GMO U.S. Treasury Fund	$	8,180,610	$	33,817,894	$	(34,558,117	)	$	2,726	$	201	$	7,440,422
Foreign Small Companies Fund
GMO U.S. Treasury Fund	$	20,131,383	$	55,125,355	$	(43,330,673	)	$	6,919	$	1,081	$	31,931,352
Global Focused Equity Fund
GMO U.S. Treasury Fund	$	270,041	$	1,123,257	$	(952,810	)	$	136	$	18	$	440,597

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2013 through August 31, 2013. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2014.

42

GMO Trust Funds

Board Review of Management Agreement

August 31, 2013 (Unaudited)

Foreign Fund

Approval of renewal of management agreement for GMO Foreign Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

43

GMO Trust Funds

Board Review of Management Agreement — (Continued)

August 31, 2013 (Unaudited)

Foreign Small Companies Fund

Approval of renewal of management agreement for GMO Foreign Small Companies Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

44

GMO Trust Funds

Board Review of Management Agreement — (Continued)

August 31, 2013 (Unaudited)

Global Focused Equity Fund

Approval of renewal of management agreement for GMO Global Focused Equity Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

45

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2013 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2013.

As a shareholder of the Funds, you may incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in Dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2013 through August 31, 2013.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Actual						Hypothetical
	Beginning Account Value March 1, 2013		Ending Account Value August 31, 2013		Expenses Paid* During the Period		Beginning Account Value March 1, 2013		Ending Account Value August 31, 2013		Expenses Paid* During the Period		Annualized Net Expense Ratio
Foreign Fund
Class II		$1,000.00		$1,040.20		$4.27		$1,000.00		$1,021.02		$4.23		0.83%
Class III		$1,000.00		$1,040.20		$3.91		$1,000.00		$1,021.37		$3.87		0.76%
Class IV		$1,000.00		$1,041.20		$3.60		$1,000.00		$1,021.68		$3.57		0.70%
Foreign Small Companies Fund
Class III		$1,000.00		$1,076.60		$4.45		$1,000.00		$1,020.92		$4.33		0.85%
Class IV		$1,000.00		$1,077.50		$4.19		$1,000.00		$1,021.17		$4.08		0.80%
Global Focused Equity Fund
Class III		$1,000.00		$1,096.20		$4.12		$1,000.00		$1,021.27		$3.97		0.78%

* Expenses are calculated using each Class’s annualized net expense ratio for the six months ended August 31, 2013, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

46

GMO Trust

Semiannual Report

August 31, 2013

Currency Hedged International Equity Fund

Developed World Stock Fund

International Core Equity Fund

International Growth Equity Fund

International Intrinsic Value Fund

International Small Companies Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities Fund

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

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

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

TABLE OF CONTENTS

Currency Hedged International Equity Fund:
Investment Concentration Summary	1
Schedule of Investments	2
Developed World Stock Fund:
Investment Concentration Summary	3
Schedule of Investments	4
International Core Equity Fund:
Investment Concentration Summary	10
Schedule of Investments	11
International Growth Equity Fund:
Investment Concentration Summary	17
Schedule of Investments	18
International Intrinsic Value Fund:
Investment Concentration Summary	25
Schedule of Investments	26
International Small Companies Fund:
Investment Concentration Summary	32
Schedule of Investments	33
Resources Fund:
Investment Concentration Summary	40
Schedule of Investments	41
Risk Premium Fund:
Investment Concentration Summary	44
Schedule of Investments	45
Tax-Managed International Equities Fund:
Investment Concentration Summary	46
Schedule of Investments	47
Portfolio Abbreviations, Counterparty and Currency Abbreviations	53
Fund Financial Statements:
Statements of Assets and Liabilities	54
Statements of Operations	58
Statements of Changes in Net Assets	60
Financial Highlights	65
Notes to Financial Statements	74
Board Review of Management Agreements	125
Fund Expenses	133

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		94.4	%
Short-Term Investments		4.8
Preferred Stocks		0.4
Forward Currency Contracts		0.1
Futures Contracts		(0.0	)^
Other		0.3
		100.0	%
Country/Region Summary**	% of Investments
United Kingdom		25.8	%
Japan		22.1
France		14.3
Spain		8.3
Germany		7.3
Italy		7.0
Australia		3.9
Switzerland		2.3
Hong Kong		1.4
Netherlands		1.3
Sweden		1.1
Singapore		1.1
Finland		0.7
Norway		0.6
Canada		0.6
Austria		0.4
Belgium		0.4
New Zealand		0.3
Portugal		0.3
Greece		0.3
Israel		0.3
Ireland		0.2
Denmark		0.0	^
		100.0	%

^ Rounds to 0.0%.

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

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts. The Fund attempts to hedge at least 70% of the foreign currency exposure in the underlying fund’s holdings relative to the U.S. Dollar. Therefore, the Fund’s currency exposures will be different than the country exposures noted above.

1

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares / Par Value		Description	Value ($)
		MUTUAL FUNDS — 97.1%
		United States — 97.1%
		Affiliated Issuers
	104,637,622	GMO International Intrinsic Value Fund, Class IV		2,341,789,978
		TOTAL MUTUAL FUNDS (COST $2,069,388,551)		2,341,789,978
		SHORT-TERM INVESTMENTS — 2.9%
		Time Deposits — 2.9%
EUR	7,130	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.00%, due 09/03/13 (a)		9,403
USD	24,410,823	JPMorgan Chase (New York) Time Deposit, 0.06%, due 09/03/13		24,410,823

Par Value		Description	Value ($)
		Time Deposits — continued
USD	22,160,742	Skandinaviska Enskilda Banken, AB (Stockholm) Time Deposit, 0.06%, due 09/03/13		22,160,742
USD	24,410,823	Societe Generale (Paris) Time Deposit, 0.06%, due 09/03/13		24,410,823
		Total Time Deposits		70,991,791
		TOTAL SHORT-TERM INVESTMENTS (COST $70,991,791)		70,991,791
		TOTAL INVESTMENTS — 100.0% (Cost $2,140,380,342)		2,412,781,769
		Other Assets and Liabilities (net) — (0.0%)		(242,414	)
		TOTAL NET ASSETS — 100.0%		$2,412,539,355

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/29/2013	GS		AUD	94,709,840		USD	85,079,838	$	1,095,548
10/29/2013	MSCI		AUD	107,171,976		USD	96,379,436		1,344,302
09/03/2013	BCLY		CAD	3,680,126		USD	3,511,571		17,669
09/03/2013	DB		CAD	5,000,000		USD	4,770,719		23,733
10/15/2013	BCLY		CHF	43,045,895		USD	46,469,993		191,400
10/15/2013	GS		CHF	21,027,799		USD	22,758,467		151,503
10/15/2013	JPM		CHF	21,836,561		USD	23,569,763		93,301
10/15/2013	MSCI		CHF	42,801,498		USD	46,256,068		240,226
09/24/2013	GS		DKK	91,670,557		USD	16,213,700		(30,613	)
09/24/2013	RBS		DKK	103,180,309		USD	18,115,010		(168,867	)
10/22/2013	BCLY		EUR	291,066,197		USD	385,776,677		1,023,964
10/22/2013	DB		EUR	96,878,334		USD	128,453,405		392,496
10/22/2013	MSCI		EUR	193,325,392		USD	256,276,596		724,869
09/17/2013	BCLY		GBP	149,643,887		USD	230,351,379		(1,528,102	)
09/17/2013	JPM		GBP	189,572,689		USD	291,787,774		(1,963,060	)
10/02/2013	RBS		HKD	191,523,973		USD	24,699,917		(1,118	)
09/25/2013	BCLY		JPY	2,535,792,288		USD	25,548,000		(281,052	)
09/25/2013	DB		JPY	2,743,924,306		USD	27,372,072		(576,969	)
09/25/2013	GS		JPY	26,300,000,000		USD	268,962,908		1,076,586
09/25/2013	JPM		JPY	26,293,694,494		USD	268,948,481		1,126,386
09/25/2013	MSCI		JPY	2,601,758,209		USD	26,066,300		(434,667	)
09/24/2013	BBH		NOK	506,452,407		USD	82,828,699		133,992
09/11/2013	BBH		NZD	27,948,086		USD	21,412,258		(175,810	)
09/24/2013	BBH		SEK	132,380,391		USD	19,651,198		(314,685	)
10/01/2013	JPM		SGD	28,537,116		USD	22,515,147		142,922
10/01/2013	BBH		USD	13,780,000		SGD	17,378,123		(156,083	)
09/17/2013	BCLY		USD	33,332,038		GBP	21,240,000		(419,767	)
09/25/2013	BCLY		USD	74,603,047		JPY	7,290,012,294		(348,501	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
11/05/2013	BCLY		USD	3,506,185		CAD	3,680,126	$	(17,695	)
09/03/2013	BOA		USD	8,225,908		CAD	8,680,126		14,979
11/05/2013	DB		USD	4,763,384		CAD	5,000,000		(23,751	)
10/22/2013	GS		USD	44,786,035		EUR	33,447,000		(573,329	)
09/17/2013	MSCI		USD	13,534,200		GBP	8,937,152		314,292
								$	1,094,099

Notes to Schedule of Investments:

(a) Rate rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 53.

2 See accompanying notes to the financial statements.

GMO Developed World Stock Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		95.3	%
Mutual Funds		3.0
Preferred Stocks		0.6
Short-Term Investments		0.5
Forward Currency Contracts		0.1
Futures Contracts		0.0	^
Other		0.5
		100.0	%
Country Summary*	% of Investments
United States		55.9	%
United Kingdom		9.8
Japan		9.7
France		7.9
Germany		4.8
Italy		4.0
Spain		3.9
Switzerland		0.7
Netherlands		0.5
Singapore		0.5
Austria		0.4
Hong Kong		0.4
Finland		0.3
Norway		0.3
Australia		0.2
Canada		0.2
Ireland		0.2
Portugal		0.2
Sweden		0.1
		100.0	%

^ Rounds to 0.0%.

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

Industry Group Summary	% of Equity Investments**
Energy		11.8	%
Pharmaceuticals, Biotechnology & Life Sciences		8.4
Software & Services		7.5
Capital Goods		7.5
Insurance		5.9
Banks		5.8
Diversified Financials		5.7
Telecommunication Services		5.5
Materials		4.9
Retailing		4.2
Food, Beverage & Tobacco		4.1
Automobiles & Components		3.9
Utilities		3.9
Health Care Equipment & Services		3.6
Technology Hardware & Equipment		3.2
Food & Staples Retailing		2.1
Household & Personal Products		2.1
Consumer Services		1.9
Transportation		1.9
Real Estate		1.9
Consumer Durables & Apparel		1.7
Media		1.7
Semiconductors & Semiconductor Equipment		0.8
		100.0	%

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

3

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.3%
		Australia — 1.0%
	9,966	Commonwealth Bank of Australia		642,946
	6,499	CSL Ltd		392,443
	99,953	GPT Group (REIT)		314,868
	322,705	Telstra Corp Ltd		1,404,214
	46,855	Westpac Banking Corp		1,300,688
		Total Australia		4,055,159
		Austria — 0.4%
	23,024	OMV AG		1,062,584
	9,268	Voestalpine AG		396,089
		Total Austria		1,458,673
		Canada — 0.2%
	32,400	Blackberry Ltd *		327,291
	3,800	Canadian Pacific Railway Ltd		446,887
		Total Canada		774,178
		Finland — 0.3%
	268,696	Nokia Oyj *		1,042,491
		France — 7.8%
	102,871	ArcelorMittal		1,316,095
	87,485	AXA		1,906,743
	45,147	BNP Paribas		2,830,565
	19,454	Bouygues SA		607,450
	13,091	Carrefour SA		409,882
	2,893	Casino Guichard-Perrachon SA		273,824
	36,129	CNP Assurances		639,063
	12,952	Compagnie de Saint-Gobain		604,065
	64,380	Credit Agricole SA *		650,412
	10,066	European Aeronautic Defense and Space Co NV		579,622
	144,607	GDF Suez		3,137,517
	10,914	Lafarge SA		665,825
	161,905	Orange		1,643,519
	30,084	Peugeot SA *		427,342
	23,420	Renault SA		1,675,220
	16,589	Sanofi		1,589,832
	28,437	Societe Generale		1,245,352
	129,601	Total SA		7,176,773
	18,786	Vinci SA		969,300
	81,386	Vivendi SA		1,650,889
		Total France		29,999,290
		Germany — 3.5%
	9,399	Allianz SE (Registered)		1,346,563
	4,931	BASF AG		431,302
	5,988	Bayerische Motoren Werke AG		564,390
	11,970	Bayer AG (Registered)		1,330,410
	19,466	Daimler AG (Registered)		1,335,716

Shares		Description	Value ($)
		Germany — continued
	24,194	Deutsche Lufthansa AG (Registered) *		431,614
	12,313	Deutsche Bank AG (Registered)		534,517
	20,631	Deutsche Post AG (Registered)		596,352
	150,402	E.On AG		2,380,015
	7,361	Hannover Rueck SE		513,830
	10,605	HeidelbergCement AG		735,507
	6,471	Muenchener Rueckversicherungs AG (Registered)		1,179,146
	25,675	RWE AG		705,163
	12,463	Suedzucker AG		402,398
	18,500	ThyssenKrupp AG *		388,848
	2,745	Volkswagen AG		610,039
		Total Germany		13,485,810
		Hong Kong — 0.4%
	37	Esprit Holdings Ltd		63
	108,000	Galaxy Entertainment Group Ltd *		655,733
	107,200	Sands China Ltd		613,675
	27,000	Wharf Holdings Ltd (The)		220,273
		Total Hong Kong		1,489,744
		Ireland — 0.2%
	38,559	CRH Plc		815,098
		Italy — 3.9%
	1,126,272	Enel SPA		3,713,572
	189,175	ENI SPA		4,308,987
	140,307	Fiat SPA *		1,057,332
	124,877	Finmeccanica SPA *		638,850
	466,904	Intesa Sanpaolo SPA		914,492
	153,751	Mediaset SPA *		630,811
	128,256	Parmalat SPA		414,026
	26,500	Prada SPA		259,135
	17,325	Prysmian SPA		384,156
	1,273,059	Telecom Italia SPA		886,661
	688,360	Telecom Italia SPA-Di RISP		380,572
	258,954	UniCredit SPA		1,462,553
		Total Italy		15,051,147
		Japan — 10.4%
	50,200	Aeon Co Ltd		684,002
	15,900	Asahi Breweries Ltd		393,385
	6,300	Central Japan Railway Co		717,275
	17,248	Century Tokyo Leasing Corp		464,706
	115,000	Cosmo Oil Co Ltd *		236,521
	27,000	Daiwa House Industry Co Ltd		482,420
	66,000	Daiwa Securities Group Inc		527,991
	1,200	Fast Retailing Co Ltd		386,337
	16,500	FujiFilm Holdings Corp		358,002
	23,000	Fuji Heavy Industries Ltd		553,713
	55,000	Hitachi Ltd		329,015

4 See accompanying notes to the financial statements.

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	93	INPEX Corp		419,354
	56,000	Isuzu Motors Ltd		338,993
	160,800	Itochu Corp		1,810,162
	4,400	Japan Airlines Co Ltd		232,772
	49,000	JFE Holdings Inc		1,074,788
	111,420	JX Holdings Inc		585,436
	33,700	KDDI Corp		1,602,044
	193,000	Marubeni Corp		1,394,007
	291,000	Mazda Motor Corp *		1,158,487
	16,000	Mitsubishi Estate Co Ltd		413,344
	72,000	Mitsubishi Chemical Holdings Corp		337,146
	54,200	Mitsubishi Corp		1,008,326
	94,000	Mitsubishi UFJ Financial Group Inc		547,814
	21,000	Mitsui Fudosan Co Ltd		657,416
	62,300	Mitsui & Co Ltd		861,539
	95,000	Mitsui OSK Lines Ltd *		372,522
	381,400	Mizuho Financial Group Inc		773,058
	397,545	Nippon Steel Corp		1,122,922
	49,800	Nippon Telegraph & Telephone Corp		2,526,439
	184,000	Nippon Yusen Kabushiki Kaisha		520,364
	66,600	Nissan Motor Co Ltd		658,843
	7,600	Nitto Denko Corp		401,929
	79,700	Nomura Holdings Inc		549,517
	1,282	NTT Docomo Inc		2,049,442
	26,900	ORIX Corp		366,538
	14,800	Otsuka Holdings Co Ltd		457,251
	42,000	Ricoh Co Ltd		451,954
	50,300	Showa Shell Sekiyu KK		497,190
	264,500	Sojitz Corp		469,790
	62,900	Sony Corp		1,251,894
	143,100	Sumitomo Corp		1,802,761
	40,000	Sumitomo Metal Mining Co Ltd		534,454
	16,300	Sumitomo Mitsui Financial Group Inc		716,481
	144,000	Sumitomo Mitsui Trust Holdings Inc		621,875
	13,000	Sumitomo Realty & Development Co Ltd		568,159
	157,000	Taisei Corp		639,870
	21,800	Takeda Pharmaceutical Co Ltd		986,552
	35,000	Tokyu Land Corp		322,338
	40,000	TonenGeneral Sekiyu KK		362,468
	39,000	Toyota Motor Corp		2,345,906
	32,500	Toyota Tsusho Corp		742,712
	11,520	Yamada Denki Co Ltd		362,837
		Total Japan		40,051,061
		Netherlands — 0.5%
	64,449	Aegon NV		458,759
	130,072	ING Groep NV *		1,416,174
		Total Netherlands		1,874,933
		Norway — 0.3%
	56,174	Statoil ASA		1,232,418

Shares		Description	Value ($)
		Portugal — 0.2%
	257,680	EDP-Energias de Portugal SA		910,680
		Singapore — 0.5%
	239,000	CapitaCommercial Trust (REIT)		253,000
	141,000	Capitaland Ltd		335,792
	190,019	Global Logistic Properties Ltd		400,313
	98,522	Keppel Land Ltd		259,444
	59,000	StarHub Ltd		193,762
	29,386	Venture Corp Ltd		174,905
	146,971	Yanlord Land Group Ltd		134,441
		Total Singapore		1,751,657
		Spain — 3.9%
	23,075	ACS Actividades de Construccion y Servicios SA		649,041
	199,036	Banco Bilbao Vizcaya Argentaria SA		1,902,085
	269,494	Banco Santander SA		1,904,309
	37,873	Distribuidora Internacional de Alimentacion SA		299,369
	42,192	Ferrovial SA		699,052
	61,921	Gas Natural SDG SA		1,212,394
	5,727	Grifols SA		230,017
	260,881	Iberdrola SA		1,382,554
	4,676	Inditex SA		618,251
	250,169	Mapfre SA		842,571
	92,559	Repsol YPF SA		2,147,903
	226,563	Telefonica SA *		3,080,016
		Total Spain		14,967,562
		Sweden — 0.1%
	11,108	Svenska Cellulosa AB - Class B		271,271
		Switzerland — 0.7%
	4,562	Roche Holding AG (Non Voting)		1,137,148
	633	Swisscom AG (Registered)		286,567
	4,489	Zurich Insurance Group AG		1,116,343
		Total Switzerland		2,540,058
		United Kingdom — 8.4%
	35,376	Anglo American Plc		811,553
	51,919	ARM Holdings Plc		702,404
	11,688	Associated British Foods Plc		334,379
	65,683	AstraZeneca Plc		3,234,061
	220,211	Aviva Plc		1,318,109
	118,412	BAE Systems Plc		798,290
	507,286	Barclays Plc		2,222,221
	30,001	BHP Billiton Plc		872,591
	819,747	BP Plc		5,668,401
	262,267	BT Group Plc		1,320,913
	21,838	Diageo Plc		669,256
	49,959	Kingfisher Plc		298,129
	1,864,631	Lloyds Banking Group Plc *		2,097,381

See accompanying notes to the financial statements. 5

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	91,320	Marks & Spencer Group Plc		667,579
	9,361	Next Plc		709,988
	44,787	Prudential Plc		749,110
	9,274	Reckitt Benckiser Group Plc		630,253
	14,964	Rio Tinto Plc		675,621
	95,356	Royal Dutch Shell Plc A Shares (London)		3,084,002
	71,216	Royal Dutch Shell Plc B Shares (London)		2,396,986
	326,996	RSA Insurance Group Plc		601,506
	129,745	TUI Travel Plc		692,744
	280,495	Vodafone Group Plc		903,619
	9,108	Wolseley Plc		460,583
	29,433	WPP Plc		545,262
		Total United Kingdom		32,464,941
		United States — 52.6%
	24,500	3M Co.		2,782,710
	44,400	Abbott Laboratories		1,479,852
	11,600	AbbVie, Inc.		494,276
	14,600	Accenture Plc - Class A		1,054,850
	17,386	Aetna, Inc.		1,102,099
	3,000	Affiliated Managers Group, Inc. *		522,960
	18,800	AFLAC, Inc.		1,086,452
	5,000	Alexion Pharmaceuticals, Inc. *		538,800
	3,500	Allergan, Inc.		309,330
	18,200	Allstate Corp. (The)		872,144
	22,900	Altria Group, Inc.		775,852
	25,600	American Capital Agency Corp. (REIT)		582,656
	9,400	American Express Co.		675,954
	31,200	American International Group, Inc. *		1,449,552
	8,500	American Tower Corp. (REIT)		590,665
	18,600	Amgen, Inc.		2,026,284
	12,300	Assurant, Inc.		652,392
	29,800	AT&T, Inc.		1,008,134
	19,800	Automatic Data Processing, Inc.		1,408,968
	1,000	AutoZone, Inc. *		419,940
	212,500	Bank of America Corp.		3,000,500
	15,100	Baxter International, Inc.		1,050,356
	5,200	BE Aerospace, Inc. *		354,588
	13,600	Becton, Dickinson and Co.		1,324,368
	5,000	Bed Bath & Beyond, Inc. *		368,700
	25,300	Best Buy Co., Inc.		910,800
	3,500	Biogen Idec, Inc. *		745,570
	4,700	BlackRock, Inc.		1,223,504
	10,800	Boeing Co.		1,122,336
	21,100	Bristol–Myers Squibb Co.		879,659
	18,800	Cabot Oil & Gas Corp.		735,644
	9,600	CBRE Group, Inc. *		209,952
	23,100	CBS Corp. - Class B (Non Voting)		1,180,410
	9,600	Celgene Corp. *		1,343,808
	38,200	Chevron Corp.		4,600,426
	15,900	CH Robinson Worldwide, Inc.		904,233

Shares		Description	Value ($)
		United States — continued
	82,600	Cisco Systems, Inc.		1,925,406
	58,500	Citigroup, Inc.		2,827,305
	22,300	Coach, Inc.		1,177,663
	65,700	Coca-Cola Co. (The)		2,508,426
	11,300	Cognizant Technology Solutions Corp. -Class A *		828,290
	13,200	Colgate-Palmolive Co.		762,564
	11,200	Comcast Corp. - Class A		471,408
	20,600	Comcast Corp. - Special Class A		839,244
	10,700	ConAgra Foods, Inc.		361,874
	7,600	ConocoPhillips		503,880
	11,600	Covidien Plc		689,040
	6,300	CR Bard, Inc.		723,681
	6,000	Cree, Inc. *		332,940
	6,100	Crown Castle International Corp. *		423,462
	10,600	Danaher Corp.		694,512
	71,400	Dell, Inc.		983,178
	29,700	Delta Air Lines, Inc.		585,981
	16,900	Discover Financial Services		798,525
	9,300	Dollar Tree, Inc. *		490,110
	5,800	Eastman Chemical Co.		440,800
	32,100	eBay, Inc. *		1,604,679
	19,400	Ecolab, Inc.		1,772,190
	37,100	Eli Lilly & Co.		1,906,940
	20,600	EMC Corp.		531,068
	5,800	Entergy Corp.		366,734
	5,300	EOG Resources, Inc.		832,365
	4,800	EQT Corp.		411,456
	13,300	Exelon Corp.		405,517
	7,000	Expeditors International of Washington, Inc.		283,920
	10,300	Fastenal Co.		453,097
	10,300	Fortune Brands Home & Security, Inc.		379,452
	15,300	Franklin Resources, Inc.		706,248
	13,600	GameStop Corp. - Class A		682,856
	14,600	Gannett Co., Inc.		351,714
	16,400	Gap Inc. (The)		663,216
	25,100	General Growth Properties, Inc. (REIT)		481,418
	60,700	General Motors Co. *		2,068,656
	19,100	General Dynamics Corp.		1,590,075
	11,500	General Mills, Inc.		567,180
	9,700	Genuine Parts Co.		746,997
	49,700	Genworth Financial, Inc. - Class A *		586,460
	23,600	Gilead Sciences, Inc. *		1,422,372
	9,600	Goldman Sachs Group, Inc. (The)		1,460,448
	5,500	Google, Inc. - Class A *		4,657,950
	6,200	Green Mountain Coffee Roasters, Inc. *		535,122
	11,200	Halliburton Co.		537,600
	54,800	Hartford Financial Services Group, Inc. (The)		1,622,080
	5,400	Helmerich & Payne, Inc.		340,416
	20,700	Hertz Global Holdings, Inc. *		497,421
	95,100	Hewlett-Packard Co.		2,124,534

6 See accompanying notes to the financial statements.

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	11,500	HollyFrontier Corp.		511,520
	43,400	Home Depot, Inc.		3,232,866
	17,400	Hormel Foods Corp.		720,882
	6,000	Humana, Inc.		552,480
	34,700	Intel Corp.		762,706
	15,000	International Paper Co.		708,150
	15,200	International Business Machines Corp.		2,770,504
	13,400	Intuit, Inc.		851,302
	800	Intuitive Surgical, Inc. *		309,216
	11,500	Invesco Ltd.		349,140
	62,800	Johnson & Johnson		5,426,548
	67,300	JPMorgan Chase & Co.		3,400,669
	4,000	Kansas City Southern		421,680
	17,300	Kimberly-Clark Corp.		1,617,204
	16,000	Kroger Co. (The)		585,600
	8,600	L-3 Communications Holdings, Inc.		776,838
	13,500	Las Vegas Sands Corp.		760,725
	18,600	Lincoln National Corp.		781,944
	2,000	LinkedIn Corp. *		480,080
	21,500	Lowe’s Cos., Inc.		985,130
	17,800	LyondellBasell Industries NV - Class A		1,248,670
	4,000	M&T Bank Corp.		453,360
	15,900	Marathon Petroleum Corp.		1,152,909
	20,300	Marathon Oil Corp.		698,929
	24,500	Masco Corp.		463,540
	25,500	McDonald’s Corp.		2,406,180
	16,400	Medtronic, Inc.		848,700
	39,800	Merck & Co., Inc.		1,882,142
	33,900	MetLife, Inc.		1,565,841
	32,000	Micron Technology, Inc. *		434,240
	197,200	Microsoft Corp.		6,586,480
	3,100	Mohawk Industries, Inc. *		364,219
	11,000	Monsanto Co.		1,076,790
	14,300	Monster Beverage Corp. *		820,677
	9,000	Moody’s Corp.		572,040
	32,000	Morgan Stanley		824,320
	2,100	Netflix, Inc. *		596,211
	29,200	Nike, Inc. - Class B		1,834,344
	7,000	Noble Energy, Inc.		430,010
	4,800	O’Reilly Automotive, Inc. *		589,008
	71,300	Oracle Corp.		2,271,618
	27,800	Paychex, Inc.		1,075,304
	40,000	PepsiCo, Inc.		3,189,200
	140,673	Pfizer, Inc.		3,968,385
	30,900	Philip Morris International, Inc.		2,578,296
	24,000	Phillips 66		1,370,400
	4,900	PPG Industries, Inc.		765,429
	52,900	Procter & Gamble Co. (The)		4,120,381
	12,900	Prudential Financial, Inc.		965,952
	22,500	Pulte Homes, Inc.		346,275

Shares		Description	Value ($)
		United States — continued
	36,900	Qualcomm, Inc.		2,445,732
	6,800	Raytheon Co.		512,788
	4,800	Realogy Holdings Corp. *		203,184
	2,300	Regeneron Pharmaceuticals, Inc. *		557,313
	19,900	Reynolds American, Inc.		947,837
	13,600	Rockwell Collins, Inc.		962,472
	9,800	Ross Stores, Inc.		659,148
	8,300	SanDisk Corp.		457,994
	3,800	Sherwin-Williams Co. (The)		655,120
	8,900	Sigma–Aldrich Corp.		733,983
	109,500	Sirius XM Radio, Inc.		392,010
	10,500	Southwestern Energy Co. *		401,100
	43,900	Staples, Inc.		610,649
	16,400	Starbucks Corp.		1,156,528
	11,300	State Street Corp.		753,936
	18,900	Stryker Corp.		1,264,221
	41,400	Sysco Corp.		1,325,628
	4,700	Teradata Corp. *		275,232
	9,200	Tesoro Corp.		424,028
	19,900	Texas Instruments, Inc.		760,180
	15,700	Time Warner, Inc.		950,321
	26,300	TJX Cos., Inc. (The)		1,386,536
	10,600	Travelers Cos., Inc. (The)		846,940
	20,700	Twenty-First Century Fox, Inc.		648,531
	11,100	Twenty-First Century Fox, Inc. - Class B		348,429
	3,600	Union Pacific Corp.		552,744
	13,400	United Continental Holdings, Inc. *		381,364
	28,615	UnitedHealth Group, Inc.		2,052,840
	10,700	United Technologies Corp.		1,071,070
	19,500	Unum Group		575,835
	39,000	Valero Energy Corp.		1,385,670
	4,400	Valspar Corp.		273,504
	7,900	Varian Medical Systems, Inc. *		556,555
	21,000	Verizon Communications, Inc.		994,980
	3,500	VF Corp.		655,235
	15,600	Visa, Inc. - Class A		2,720,952
	15,000	Walgreen Co.		721,050
	47,400	Wal–Mart Stores, Inc.		3,459,252
	17,500	WellPoint, Inc.		1,489,950
	23,000	Wells Fargo & Co.		944,840
	9,200	Western Digital Corp.		570,400
	16,300	Weyerhaeuser Co. (REIT)		446,294
	4,000	Whirlpool Corp.		514,600
	5,100	WW Grainger, Inc.		1,261,485
	37,300	Yahoo!, Inc. *		1,011,576
	9,500	Yum! Brands, Inc.		665,190
		Total United States		202,237,454
		TOTAL COMMON STOCKS (COST $319,669,157)		366,473,625

See accompanying notes to the financial statements. 7

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		PREFERRED STOCKS — 0.6%
		Germany — 0.6%
	3,599	Henkel AG & Co KGaA 1.28%		348,773
	14,679	Porsche Automobil Holding SE, 3.15%		1,235,216
	2,337	Volkswagen AG 2.09%		531,544
		Total Germany		2,115,533
		TOTAL PREFERRED STOCKS (COST $1,602,082)		2,115,533
		MUTUAL FUNDS — 3.0%
		United States — 3.0%
		Affiliated Issuers
	459,227	GMO U.S. Treasury Fund		11,480,665
		TOTAL MUTUAL FUNDS (COST $11,483,965)		11,480,665

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.5%
		Time Deposits — 0.5%
AUD	5,320	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.67%, due 09/03/13		4,735
DKK	8,351	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.10)%, due 09/03/13		1,480
JPY	278,335	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/03/13		2,846
SGD	19,176	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/03/13		15,033
USD	1,937,771	JPMorgan Chase (New York) Time Deposit, 0.06%, due 09/03/13		1,937,771
USD	102,028	Societe Generale (Paris) Time Deposit, 0.06%, due 09/03/13		102,028
		Total Time Deposits		2,063,893
		TOTAL SHORT-TERM INVESTMENTS (COST $2,063,893)		2,063,893
		TOTAL INVESTMENTS — 99.4% (Cost $334,819,097)		382,133,716
		Other Assets and Liabilities (net) — 0.6%		2,264,325
		TOTAL NET ASSETS — 100.0%		$384,398,041

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date		Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
	10/25/2013	BNYM		AUD	953,638		USD	861,970	$	16,093
	10/25/2013	BOA		AUD	1,237,051		USD	1,117,441		20,177
	10/25/2013	SSB		AUD	1,237,051		USD	1,117,411		20,146
	10/25/2013	BBH		EUR	1,803,658		USD	2,422,349		38,109
	10/25/2013	BCLY		EUR	2,540,031		USD	3,411,503		53,859
	10/25/2013	BNYM		EUR	592,850		USD	795,362		11,678
	10/25/2013	BOA		EUR	4,712,604		USD	6,307,787		78,238
	10/25/2013	DB		EUR	3,796,056		USD	5,102,279		84,306
	10/25/2013	JPM		EUR	3,255,700		USD	4,373,024		69,343
	10/25/2013	MSCI		EUR	3,213,814		USD	4,315,840		67,528
	10/25/2013	SSB		EUR	3,212,222		USD	4,299,238		53,030
	10/25/2013	DB		NOK	4,122,132		USD	692,074		19,815
	10/25/2013	BBH		USD	792,754		CAD	825,217		(10,293	)
	10/25/2013	BBH		USD	67,829		GBP	43,306		(744	)
	10/25/2013	BCLY		USD	412,518		CAD	429,283		(5,477	)
	10/25/2013	BCLY		USD	303,223		CHF	277,604		(4,746	)
	10/25/2013	BCLY		USD	2,541,106		HKD	19,700,707		(113	)
	10/25/2013	BNYM		USD	2,101,404		CAD	2,189,222		(25,608	)
	10/25/2013	BNYM		USD	335,703		CHF	307,944		(4,605	)
	10/25/2013	BOA		USD	2,107,594		CAD	2,189,221		(31,799	)
	10/25/2013	BOA		USD	330,184		CHF	303,347		(4,028	)

Settlement Date		Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
	10/25/2013	BOA		USD	1,817,709		HKD	14,092,107	$	(112	)
	10/25/2013	BOA		USD	1,210,357		SGD	1,544,058		176
	10/25/2013	DB		USD	2,103,742		CAD	2,189,217		(27,950	)
	10/25/2013	DB		USD	336,182		CHF	307,943		(5,085	)
	10/25/2013	DB		USD	3,030,772		HKD	23,497,577		(60	)
	10/25/2013	DB		USD	1,856,871		SGD	2,367,511		(757	)
	10/25/2013	JPM		USD	701,155		CHF	643,038		(9,766	)
	10/25/2013	JPM		USD	245,683		GBP	156,686		(2,964	)
	10/25/2013	JPM		USD	1,771,415		HKD	13,733,554		(64	)
	10/25/2013	JPM		USD	2,615,085		SGD	3,332,189		(2,669	)
	10/25/2013	MSCI		USD	192,480		GBP	122,892		(2,110	)
	10/25/2013	MSCI		USD	2,541,188		HKD	19,700,708		(195	)
	10/25/2013	MSCI		USD	1,455,469		SGD	1,856,084		(310	)
	10/25/2013	RBS		USD	2,354		CHF	2,156		(36	)
	10/25/2013	RBS		USD	2,604,161		HKD	20,189,866		(76	)
	10/25/2013	RBS		USD	1,525,657		SGD	1,943,689		(1,817	)
	10/25/2013	SSB		USD	993,614		HKD	7,703,303		(44	)
	10/25/2013	SSB		USD	2,228,445		SGD	2,843,540		874
									$	391,944

8 See accompanying notes to the financial statements.

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
9	DAX	September 2013	$	2,414,374	$	(5,796	)
46	FTSE 100	September 2013		4,571,173		112,999
113	S&P 500 E-Mini Index	September 2013		9,216,845		(25,257	)
			$	16,202,392	$	81,946
Sales
30	SPI 200	September 2013	$	3,399,478	$	(178,988	)
29	TOPIX	September 2013		3,232,757		51,571
			$	6,632,235	$	(127,417	)

As of August 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 53.

See accompanying notes to the financial statements. 9

GMO International Core Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		96.0	%
Mutual Funds		2.0
Preferred Stocks		0.7
Short-Term Investments		0.7
Forward Currency Contracts		0.1
Futures Contracts		0.0	^
Other		0.5
		100.0	%
Country Summary*	% of Investments
United Kingdom		25.0	%
Japan		21.4
France		12.6
Germany		8.9
Spain		7.7
Australia		5.3
Italy		4.9
Switzerland		3.0
Hong Kong		2.0
Netherlands		1.3
Singapore		1.2
Sweden		1.1
Finland		1.0
Belgium		0.8
Canada		0.7
Austria		0.6
New Zealand		0.6
Greece		0.5
Norway		0.4
Portugal		0.4
Ireland		0.3
Israel		0.2
Denmark		0.1
Malta		0.0	^
		100.0	%

^ Rounds to 0.0%.

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

Industry Group Summary	% of Equity Investments**
Energy		15.1	%
Banks		11.8
Pharmaceuticals, Biotechnology & Life Sciences		9.6
Telecommunication Services		9.2
Capital Goods		8.4
Utilities		6.6
Automobiles & Components		6.2
Materials		6.1
Insurance		4.5
Retailing		3.3
Real Estate		3.2
Diversified Financials		2.2
Transportation		2.1
Consumer Services		2.0
Technology Hardware & Equipment		1.8
Food & Staples Retailing		1.5
Food, Beverage & Tobacco		1.5
Consumer Durables & Apparel		1.3
Media		1.2
Software & Services		1.0
Household & Personal Products		0.9
Health Care Equipment & Services		0.3
Semiconductors & Semiconductor Equipment		0.2
Commercial Services & Supplies		0.0	^
		100.0	%

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

10

GMO International Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.0%
		Australia — 5.1%
	100,362	Amcor Ltd		928,501
	4,239,643	Arrium Ltd		4,203,884
	137,691	BHP Billiton Ltd		4,354,303
	1,203,917	BlueScope Steel Ltd *		5,324,685
	84,193	Commonwealth Bank of Australia		5,431,626
	214,136	CSL Ltd		12,930,649
	17,431	David Jones Ltd		43,587
	3,198,225	Goodman Fielder Ltd *		2,096,261
	622,039	GPT Group (REIT)		1,959,522
	206,493	Insurance Australia Group Ltd		1,066,266
	774,951	Investa Office Fund (REIT)		2,021,671
	206,485	JB Hi–Fi Ltd		3,453,444
	89,704	Macquarie Group Ltd		3,476,491
	1,960,230	Mirvac Group (REIT)		2,856,373
	287,893	Myer Holdings Ltd		701,770
	146,997	National Australia Bank Ltd		4,221,938
	1,522,140	Pacific Brands Ltd		1,024,715
	866,056	Qantas Airways Ltd *		1,049,939
	1,009,040	QBE Insurance Group Ltd		13,593,808
	1,641,177	Stockland (REIT)		5,428,274
	830,452	TABCORP Holdings Ltd		2,374,054
	281,661	Tatts Group Ltd		802,504
	1,517,687	Telstra Corp Ltd		6,604,040
	756,049	Westpac Banking Corp		20,987,808
		Total Australia		106,936,113
		Austria — 0.6%
	162,013	OMV AG		7,477,083
	25,339	Raiffeisen Bank International AG		869,320
	111,295	Voestalpine AG		4,756,451
		Total Austria		13,102,854
		Belgium — 0.8%
	188,796	Ageas		7,424,144
	142,401	Belgacom SA		3,408,944
	72,777	Delhaize Group		4,648,936
	30,183	KBC Groep NV		1,325,528
		Total Belgium		16,807,552
		Canada — 1.3%
	574,000	Blackberry Ltd *		5,798,310
	305,400	Bombardier Inc		1,388,841
	41,900	Canadian Oil Sands Ltd		803,948
	9,900	Canadian Tire Corp Ltd		837,360
	30,500	Canadian Pacific Railway Ltd		3,586,856
	210,530	First Quantum Minerals Ltd		3,495,841
	89,500	Husky Energy Inc		2,530,438
	37,400	Magna International Inc - Class A		2,874,683

Shares		Description	Value ($)
		Canada — continued
	32,855	Methanex Corp		1,526,870
	45,900	Metro Inc - Class A		2,938,855
	216,500	Sherritt International Corp		756,404
		Total Canada		26,538,406
		Denmark — 0.1%
	23,306	Coloplast A/S		1,264,646
	33,571	GN Store Nord A/S		690,715
	14,544	Pandora A/S		523,048
		Total Denmark		2,478,409
		Finland — 1.0%
	19,875	Kone Oyj - Class B		1,622,436
	133,182	Neste Oil Oyj		2,442,532
	3,124,635	Nokia Oyj *		12,123,004
	64,159	Sampo Oyj - Class A		2,670,635
	63,932	Tieto Oyj		1,271,690
	19,366	Wartsila Oyj		901,675
		Total Finland		21,031,972
		France — 12.4%
	589,452	Air France–KLM *		4,433,920
	160,834	ArcelorMittal		2,057,654
	390,263	AXA		8,505,814
	231,485	BNP Paribas		14,513,333
	115,582	Bouygues SA		3,609,039
	46,739	Carrefour SA		1,463,406
	37,868	Compagnie Generale des Etablissements Michelin - Class B		3,624,557
	114,767	Credit Agricole SA *		1,159,457
	161,736	European Aeronautic Defense and Space Co NV		9,313,105
	566,259	GDF Suez		12,286,040
	34,744	L’Oreal SA		5,800,606
	111,696	Lagardere SCA		3,403,971
	719,261	Orange		7,301,312
	801,518	Peugeot SA *		11,385,531
	34,868	Publicis Groupe SA		2,593,315
	35,124	Rallye SA		1,235,474
	216,174	Renault SA		15,462,808
	45,076	Safran SA		2,501,633
	347,496	Sanofi		33,302,799
	422,415	Societe Generale		18,498,982
	1,583,358	Total SA		87,679,887
	5,905	Valeo SA		444,454
	479,010	Vivendi SA		9,716,565
		Total France		260,293,662
		Germany — 5.7%
	31,252	Adidas AG		3,306,090

See accompanying notes to the financial statements. 11

GMO International Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	74,983	Allianz SE (Registered)		10,742,559
	72,572	Aurubis AG		4,185,871
	106,347	Bayer AG (Registered)		11,819,972
	8,447	Continental AG		1,274,860
	58,276	Daimler AG (Registered)		3,998,777
	261,143	Deutsche Lufthansa AG (Registered) *		4,658,714
	64,842	Deutsche Bank AG (Registered)		2,814,843
	163,438	Deutsche Post AG (Registered)		4,724,282
	74,506	Duerr AG		4,996,720
	2,025,155	E.ON AG		32,046,781
	94,886	Leoni AG		5,208,126
	15,548	Merck KGaA		2,362,013
	38,370	Metro AG		1,405,994
	53,679	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		9,781,395
	25,346	ProSiebenSat.1 Media AG (Registered)		1,073,597
	323,391	RWE AG		8,881,920
	54,426	Salzgitter AG		2,063,557
	48,982	Sky Deutschland AG *		409,803
	121,979	Suedzucker AG		3,938,385
		Total Germany		119,694,259
		Greece — 0.4%
	1,771	Hellenic Exchanges SA		13,031
	154,927	Marfin Investment Group Holdings SA *		57,525
	559,433	OPAP SA		5,533,497
	362,941	Public Power Corp SA		3,418,266
		Total Greece		9,022,319
		Hong Kong — 2.0%
	546,000	AAC Technologies Holdings Inc		2,463,872
	499,000	AIA Group Ltd		2,177,728
	319,000	Cheung Kong Holdings Ltd		4,546,597
	2,081,800	Esprit Holdings Ltd		3,540,009
	1,095,000	Galaxy Entertainment Group Ltd *		6,648,400
	126,030	Link (REIT)		577,413
	3,245,000	Pacific Basin Shipping Ltd		2,018,416
	892,400	Sands China Ltd		5,108,616
	440,000	Sun Hung Kai Properties Ltd		5,690,761
	283,500	Swire Pacific Ltd		3,241,678
	305,000	Wharf Holdings Ltd (The)		2,488,272
	984,000	Xinyi Glass Holdings Ltd		915,019
	566,000	Yue Yuen Industrial Holdings		1,731,651
		Total Hong Kong		41,148,432
		Ireland — 0.2%
	309,192	C&C Group Plc		1,712,088
	40,245	Paddy Power Plc		3,237,249
		Total Ireland		4,949,337

Shares		Description	Value ($)
		Israel — 0.2%
	396,070	Africa Israel Investments Ltd *		697,699
	283,039	Bezeq Israeli Telecommunication Corp Ltd		461,167
	226,368	Partner Communications Co Ltd		1,655,860
	1,287	Paz Oil Co Ltd *		197,660
	37,241	Teva Pharmaceutical Industries Ltd		1,423,591
		Total Israel		4,435,977
		Italy — 4.8%
	1,134,346	A2A SPA		983,974
	3,766	Ansaldo STS SPA		32,629
	131,045	Azimut Holding SPA		2,811,935
	8,699,711	Enel SPA		28,684,901
	1,026,211	ENI SPA		23,374,811
	16,127	Exor SPA		549,506
	979,478	Fiat SPA *		7,381,196
	1,323,895	Finmeccanica SPA *		6,772,830
	3,609,628	Intesa Sanpaolo SPA		7,069,925
	867,940	Mediaset SPA *		3,560,995
	486,461	Mediolanum SPA		3,385,571
	150,730	Recordati SPA		1,695,714
	10,160,713	Telecom Italia SPA		7,076,738
	7,020,762	Telecom Italia SPA-Di RISP		3,881,550
	700,184	UniCredit SPA		3,954,588
		Total Italy		101,216,863
		Japan — 21.1%
	8,700	ABC-Mart Inc		363,310
	2,206	Accordia Golf Co Ltd		2,387,658
	805	Advance Residence Investment Corp (REIT)		1,632,089
	239,500	Aeon Co Ltd		3,263,319
	149,000	Astellas Pharma Inc		7,580,807
	4,300	Avex Group Holding Inc		120,893
	91,000	Bridgestone Corp		2,970,123
	86,000	Credit Saison Co Ltd		1,964,387
	404,150	Daiei Inc *		1,380,839
	1,121,000	Daikyo Inc		3,237,325
	121,300	Daito Trust Construction Co Ltd		11,071,531
	556,000	Daiwabo Holdings Co Ltd		919,448
	650,000	Daiwa Securities Group Inc		5,199,914
	283,700	Dena Co Ltd		5,545,642
	742,000	DIC Corp		1,886,039
	1,800	Fast Retailing Co Ltd		579,506
	650,000	Fuji Electric Co Ltd		2,380,317
	451,000	Fuji Heavy Industries Ltd		10,857,587
	82,000	Fuji Oil Co Ltd		1,437,832
	25,200	GMO internet Inc		277,174
	2,848	GungHo Online Entertainment Inc *		1,926,242
	339,000	Gunze Ltd		842,664

12 See accompanying notes to the financial statements.

GMO International Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	319,000	Hanwa Co Ltd		1,372,395
	3,582,873	Haseko Corp *		4,154,923
	212,000	Hino Motors Ltd		2,746,438
	618	INPEX Corp		2,786,674
	1,157,500	Itochu Corp		13,030,242
	47,200	J Trust Co Ltd		696,029
	303,900	JFE Holdings Inc		6,665,879
	231,000	Juki Corp *		347,324
	2,861,130	JX Holdings Inc		15,033,274
	173,120	K’s Holdings Corp		5,259,821
	209,680	Kakaku.com Inc		3,835,343
	130,600	Kao Corp		3,801,181
	2,856,000	Kawasaki Kisen Kaisha Ltd		6,391,382
	297,708	KDDI Corp		14,152,562
	273,000	Kinugawa Rubber Industrial Co Ltd		1,516,491
	1,054,000	Kobe Steel Ltd *		1,668,381
	115,284	Kohnan Shoji Co Ltd		1,233,817
	182,000	Kubota Corp		2,460,414
	164,000	Kurimoto Ltd		447,630
	677,500	Leopalace21 Corp *		4,151,077
	1,119,000	Marubeni Corp		8,082,351
	2,402,000	Mazda Motor Corp *		9,562,493
	1,198	Medinet Co Ltd *		435,956
	184,994	Medipal Holdings Corp		2,059,160
	24,704	MEIJI Holdings Co Ltd		1,274,512
	3,900	Misawa Homes Co Ltd		55,382
	180,000	Mitsubishi Estate Co Ltd		4,650,118
	427,000	Mitsubishi Heavy Industries Ltd		2,329,397
	1,095,500	Mitsubishi Chemical Holdings Corp		5,129,767
	818,600	Mitsubishi Corp		15,229,069
	717,783	Mitsui Engineer & Shipbuilding Co Ltd		1,289,948
	115,000	Mitsui Fudosan Co Ltd		3,600,136
	579,600	Mitsui & Co Ltd		8,015,216
	906,000	Mitsui Mining & Smelting Co Ltd		2,103,292
	1,484,866	Mitsui OSK Lines Ltd *		5,822,585
	3,075,500	Mizuho Financial Group Inc		6,233,720
	30,200	Murata Manufacturing Co Ltd		2,059,359
	158,500	Namco Bandai Holdings Inc		2,521,227
	331,000	NEC Corp		699,250
	2,718,400	Nippon Light Metal Co Ltd		3,432,293
	226,500	Nippon Paper Industries Co Ltd		3,071,909
	699,000	Nippon Steel Corp		1,974,424
	207,600	Nippon Telegraph & Telephone Corp		10,531,903
	1,738,000	Nippon Yusen Kabushiki Kaisha		4,915,176
	199,108	Nipro Corp		1,708,717
	48,700	Nitori Holdings Co Ltd		4,345,782
	45,100	Nitto Denko Corp		2,385,129
	941,400	Nomura Holdings Inc		6,490,779
	386,097	North Pacific Bank Ltd		1,501,380
	4,778	NTT Docomo Inc		7,638,248

Shares		Description	Value ($)
		Japan — continued
	470,000	Orient Corp *		1,104,216
	13,500	Pigeon Corp		619,057
	88,620	Point Inc		4,155,859
	2,823,400	Resona Holdings Inc		13,397,251
	266,000	Ricoh Co Ltd		2,862,375
	408,900	Round One Corp		2,290,266
	50,800	Ryohin Keikaku Co Ltd		4,450,920
	52,800	Sanix Inc *		711,573
	93,600	Sankyo Co Ltd		4,343,250
	2,200	Ship Healthcare Holdings Inc		79,348
	3,500	SHO–BOND Holdings Co Ltd		137,711
	69,200	SoftBank Corp		4,317,122
	2,200,400	Sojitz Corp		3,908,228
	1,416,420	Sumitomo Light Metal Industries Ltd		1,390,513
	1,073,900	Sumitomo Mitsui Construction Co Ltd *		825,370
	1,046,600	Sumitomo Corp		13,184,972
	171,300	Sumitomo Mitsui Financial Group Inc		7,529,639
	576,000	Sumitomo Mitsui Trust Holdings Inc		2,487,500
	90,000	Sumitomo Realty & Development Co Ltd		3,933,408
	465,000	Taisei Corp		1,895,156
	28,900	Takara Bio Inc		561,425
	312,200	Takeda Pharmaceutical Co Ltd		14,128,516
	550,100	Tokyo Electric Power Co Inc (The) *		2,768,794
	91,000	Tokyu Land Corp		838,080
	190,000	TonenGeneral Sekiyu KK		1,721,724
	461,000	Toshiba Corp		1,816,685
	359,000	Tosoh Corp		1,273,960
	102,000	Toyobo Co Ltd		166,784
	563,500	Toyota Motor Corp		33,895,337
	382,700	Toyota Tsusho Corp		8,745,714
	833,645	Unitika Ltd *		447,822
	460,900	UNY Co Ltd		2,929,978
	291,728	Wacom Co Ltd		2,489,592
	1,056	Yahoo! Japan Corp		520,192
	236,220	Yamada Denki Co Ltd		7,440,040
		Total Japan		442,092,978
		Malta — 0.0%
	15,998,662	BGP Holdings Plc *		—
		Netherlands — 1.3%
	969,814	Aegon NV		6,903,300
	139,936	CSM NV		3,310,756
	62,543	Delta Lloyd NV		1,194,498
	10,054	Heineken NV		690,528
	388,557	ING Groep NV *		4,230,460
	92,378	Koninklijke Philips Electronics NV		2,856,517
	604,426	Koninklijke BAM Groep NV		2,468,253
	662,903	Koninklijke KPN NV *		1,934,145
	210,682	PostNL NV *		743,226

See accompanying notes to the financial statements. 13

GMO International Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Netherlands — continued
	934,497	SNS REAAL NV * (a)		—
	42,500	Wereldhave NV (REIT)		2,830,700
		Total Netherlands		27,162,383
		New Zealand — 0.6%
	1,023,735	Chorus Ltd		2,295,335
	521,810	Fletcher Building Ltd		3,523,365
	3,106,547	Telecom Corp of New Zealand		5,448,151
		Total New Zealand		11,266,851
		Norway — 0.4%
	91,441	Aker Solutions ASA		1,386,078
	80,207	DNB ASA		1,243,361
	10,602	Norwegian Air Shuttle ASA *		379,015
	103,826	Statoil ASA		2,277,870
	124,353	TGS Nopec Geophysical Co ASA		3,659,772
		Total Norway		8,946,096
		Portugal — 0.4%
	2,268,725	EDP-Energias de Portugal SA		8,018,012
	255,369	Portugal Telecom SGPS SA		963,952
		Total Portugal		8,981,964
		Singapore — 1.2%
	766,000	China Minzhong Food Corp Ltd *		318,266
	699,000	Ezion Holdings Ltd		1,238,972
	1,804,000	Ezra Holdings Ltd *		1,170,265
	18,114,000	Golden Agri-Resources Ltd		7,931,535
	1,931,000	Noble Group Ltd		1,220,564
	3,905,000	Singapore Telecommunications		10,722,427
	284,000	Vard Holdings Ltd *		190,600
	1,799,000	Yangzijiang Shipbuilding Holdings Ltd		1,329,757
		Total Singapore		24,122,386
		Spain — 7.6%
	63,331	Abengoa SA		165,247
	100,755	ACS Actividades de Construccion y Servicios SA		2,833,985
	107,308	Amadeus IT Holding SA - Class A		3,465,554
	2,017,966	Banco Bilbao Vizcaya Argentaria SA		19,284,664
	7,112,847	Banco Santander SA		50,261,074
	471,110	Distribuidora Internacional de Alimentacion SA		3,723,911
	121,320	Enagas		2,755,989
	86,628	Ferrovial SA		1,435,283
	72,447	Fomento de Construcciones y Contratas SA		1,289,739
	589,361	Gas Natural SDG SA		11,539,503
	17,292	Grifols SA		694,509
	2,609,110	Iberdrola SA		13,827,128
	451,484	Repsol YPF SA		10,477,038

Shares		Description	Value ($)
		Spain — continued
	2,714,093	Telefonica SA *		36,896,801
		Total Spain		158,650,425
		Sweden — 1.1%
	176,067	Boliden AB		2,569,344
	103,090	Ericsson LM B Shares		1,212,421
	180,271	Investor AB		5,194,906
	90,067	NCC AB - Class B		2,354,357
	142,429	Skandinaviska Enskilda Banken AB - Class A		1,461,258
	100,635	Svenska Cellulosa AB - Class B		2,457,630
	54,940	Svenska Handelsbanken AB - A Shares		2,356,681
	200,043	Swedbank AB - Class A		4,524,592
		Total Sweden		22,131,189
		Switzerland — 3.0%
	105,406	ABB Ltd		2,254,406
	30,056	Compagnie Financiere Richemont SA - Class A		2,853,195
	172,982	Credit Suisse Group AG (Registered)		4,986,105
	502	Givaudan SA (Registered)		675,608
	345,554	Novartis AG (Registered)		25,173,513
	72,699	Roche Holding AG (Non Voting)		18,121,332
	5,720	Swatch Group AG		3,290,495
	6,031	Swiss Life Holding AG (Registered)		1,129,406
	41,959	Swiss Re AG		3,215,482
		Total Switzerland		61,699,542
		United Kingdom — 24.7%
	564,935	Aberdeen Asset Management Plc		3,087,083
	39,278	Admiral Group Plc		768,631
	281,373	ARM Holdings Plc		3,806,649
	118,859	Ashtead Group Plc		1,184,672
	40,722	Associated British Foods Plc		1,165,006
	992,138	AstraZeneca Plc		48,850,304
	580,686	Aviva Plc		3,475,791
	2,809,095	BAE Systems Plc		18,937,889
	6,084,866	Barclays Plc		26,655,414
	201,882	BBA Aviation Plc		963,758
	426,127	BG Group Plc		8,108,395
	559,405	BHP Billiton Plc		16,270,518
	8,230,768	BP Plc		56,914,255
	905,254	BT Group Plc		4,559,330
	153,248	Bunzl Plc		3,234,181
	1,835,747	Darty Plc		2,294,369
	6,718,820	Dixons Retail Plc *		4,296,607
	459,647	Drax Group Plc		4,968,155
	146,788	easyJet Plc		2,808,719
	348,101	FirstGroup Plc		619,134
	99	Game Group Plc * (a) (b)		—

14 See accompanying notes to the financial statements.

GMO International Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	619,615	GlaxoSmithKline Plc		15,802,396
	5,299	Halfords Group Plc		29,731
	7,824	Hargreaves Lansdown Plc		121,188
	2,618,227	Home Retail Group Plc		5,776,684
	138,580	Imperial Tobacco Group Plc		4,582,028
	74,379	InterContinental Hotels Group Plc		2,083,023
	1,777,237	ITV Plc		4,533,968
	156,796	Lancashire Holdings Ltd		1,747,786
	18,651,652	Lloyds Banking Group Plc *		20,979,814
	7,131	Micro Focus International Plc		87,504
	36,638	Mondi Plc		564,722
	164,260	Next Plc		12,458,358
	76,673	Persimmon Plc, Bonus Shares		1,306,819
	281,188	Playtech Ltd		2,949,940
	616,504	Premier Foods Plc *		1,259,280
	617,772	Prudential Plc		10,332,887
	86,700	Reckitt Benckiser Group Plc		5,892,061
	147,672	Reed Elsevier Plc		1,810,843
	739,445	Rio Tinto Plc		33,385,779
	518,630	Rolls-Royce Holdings Plc		8,945,178
	657,783	Royal Bank of Scotland Group Plc *		3,398,132
	1,544,013	Royal Dutch Shell Plc A Shares (London)		49,936,444
	762,264	Royal Dutch Shell Plc B Shares (London)		25,656,262
	117,438	Scottish & Southern Energy Plc		2,845,296
	133,222	Spectris Plc		4,585,792
	448,244	Standard Life Assurance Plc		2,302,972
	232,574	Taylor Wimpey Plc		358,582
	1,618,746	Tesco Plc		9,199,252
	1,759,676	Thomas Cook Group Plc *		3,848,038
	737,141	Trinity Mirror Plc *		1,360,908
	351,215	Tullett Prebon Plc		1,861,002
	14,357,348	Vodafone Group Plc		46,252,431
	27,266	Whitbread Plc		1,302,318
	287,466	WH Smith Plc		3,775,337
	872,477	William Hill Plc		5,615,753
	327,920	WPP Plc		6,074,893
		Total United Kingdom		515,992,261
		TOTAL COMMON STOCKS (COST $1,863,698,020)		2,008,702,230
		PREFERRED STOCKS — 0.7%
		Germany — 0.7%
	140,992	Porsche Automobil Holding SE 3.15%		11,864,267
	8,463	Volkswagen AG 2.09%		1,924,886
		Total Germany		13,789,153
		TOTAL PREFERRED STOCKS (COST $10,898,977)		13,789,153

Shares / Par Value		Description	Value ($)
		MUTUAL FUNDS — 2.0%
		United States — 2.0%
		Affiliated Issuers
	1,691,257	GMO U.S. Treasury Fund		42,281,429
		TOTAL MUTUAL FUNDS (COST $42,292,133)		42,281,429
		SHORT-TERM INVESTMENTS — 0.7%
		Time Deposits — 0.7%
CAD	12,466	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.28%, due 09/03/13		11,835
EUR	849	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.00%, due 09/03/13 (c)		1,121
GBP	9,010	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.07%, due 09/03/13		13,963
HKD	36,552	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/03/13		4,714
SGD	427,500	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/03/13		335,137
JPY	36,599,169	Citibank (New York) Time Deposit, 0.01%, due 09/03/13		372,772
AUD	340,280	JPMorgan Chase (New York) Time Deposit, 1.67%, due 09/03/13		302,866
USD	10,286,699	JPMorgan Chase (New York) Time Deposit, 0.06%, due 09/03/13		10,286,699
USD	3,858,305	Societe Generale (Paris) Time Deposit, 0.06%, due 09/03/13		3,858,305
		Total Time Deposits		15,187,412
		TOTAL SHORT-TERM INVESTMENTS (COST $15,187,412)		15,187,412
		TOTAL INVESTMENTS — 99.4% (Cost $1,932,076,542)		2,079,960,224
		Other Assets and Liabilities (net) — 0.6%		13,547,085
		TOTAL NET ASSETS — 100.0%		$2,093,507,309

See accompanying notes to the financial statements. 15

GMO International Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/25/2013	BBH		AUD	3,397,694		USD	3,070,224	$	56,468
10/25/2013	BCLY		AUD	2,923,250		USD	2,640,776		47,852
10/25/2013	BNYM		AUD	8,053,366		USD	7,279,236		135,896
10/25/2013	BOA		AUD	7,282,420		USD	6,578,283		118,772
10/25/2013	MSCI		AUD	6,971,359		USD	6,298,232		114,633
10/25/2013	SSB		AUD	4,682,251		USD	4,229,412		76,253
10/25/2013	BBH		CAD	2,962,371		USD	2,845,834		36,946
10/25/2013	BCLY		CAD	399,308		USD	383,714		5,094
10/25/2013	BNYM		CAD	7,630,008		USD	7,323,941		89,251
10/25/2013	BOA		CAD	4,429,000		USD	4,263,861		64,331
10/25/2013	DB		CAD	4,523,207		USD	4,346,604		57,749
10/25/2013	JPM		CAD	3,575		USD	3,433		43
10/25/2013	MSCI		CAD	3,686,466		USD	3,541,196		45,729
10/25/2013	RBS		CAD	2,822,461		USD	2,712,171		35,944
10/25/2013	SSB		CAD	99,993		USD	96,255		1,443
10/25/2013	BCLY		EUR	13,053,422		USD	17,531,986		276,784
10/25/2013	BNYM		EUR	8,069,639		USD	10,756,326		89,142
10/25/2013	BOA		EUR	6,281,214		USD	8,407,361		104,281
10/25/2013	DB		EUR	9,900,967		USD	13,247,729		159,729
10/25/2013	MSCI		EUR	15,044,470		USD	20,203,264		316,114
10/25/2013	RBS		EUR	24,908,163		USD	33,473,059		547,181
10/25/2013	SSB		EUR	23,367,875		USD	31,275,564		385,779
10/25/2013	BCLY		GBP	4,138,538		USD	6,481,931		70,991
10/25/2013	BNYM		GBP	2,747,854		USD	4,308,470		51,815
10/25/2013	BOA		GBP	5,984,176		USD	9,277,567		7,579
10/25/2013	DB		GBP	10,581,401		USD	16,583,489		192,016
10/25/2013	MSCI		GBP	2,720,376		USD	4,260,803		46,713
10/25/2013	BBH		NOK	15,103,311		USD	2,532,328		69,202
10/25/2013	BOA		NOK	18,329,740		USD	3,063,644		74,334
10/25/2013	BCLY		NZD	5,791,048		USD	4,602,841		143,499
10/25/2013	BOA		NZD	4,740,813		USD	3,767,993		117,375
10/25/2013	BBH		USD	22,354,649		CHF	20,519,332		(292,440	)
10/25/2013	BBH		USD	7,198,209		HKD	55,805,700		(402	)
10/25/2013	BCLY		USD	3,746,291		CHF	3,429,767		(58,635	)
10/25/2013	BCLY		USD	12,726,255		HKD	98,664,198		(568	)
10/25/2013	BCLY		USD	5,878,422		SGD	7,494,388		(2,867	)
10/25/2013	BNYM		USD	3,738,940		CHF	3,429,767		(51,284	)
10/25/2013	BNYM		USD	9,839,919		HKD	76,288,103		(296	)
10/25/2013	BNYM		USD	500,355		SEK	3,248,054		(10,835	)
10/25/2013	BNYM		USD	4,175,660		SGD	5,320,209		(4,649	)
10/25/2013	BOA		USD	26,803		CHF	24,624		(327	)
10/25/2013	BOA		USD	9,290,375		HKD	72,025,268		(572	)
10/25/2013	BOA		USD	14,272,816		JPY	1,401,062,444		366
10/25/2013	BOA		USD	22,226,117		SGD	28,353,969		3,224
10/25/2013	DB		USD	6,170,172		CHF	5,651,878		(93,322	)
10/25/2013	DB		USD	4,601,920		HKD	35,680,760		176
10/25/2013	DB		USD	2,869,870		SEK	18,608,670		(65,328	)
10/25/2013	JPM		USD	18,982,423		CHF	17,409,008		(264,408	)
10/25/2013	JPM		USD	7,771,950		HKD	60,254,935		(282	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/25/2013	JPM		USD	14,562,727		JPY	1,401,062,443	$	(289,545	)
10/25/2013	JPM		USD	2,835,506		SEK	18,416,251		(59,963	)
10/25/2013	MSCI		USD	5,976,082		CHF	5,484,932		(78,731	)
10/25/2013	MSCI		USD	14,685,303		HKD	113,848,652		(1,129	)
10/25/2013	MSCI		USD	7,463,901		SGD	9,518,325		(1,592	)
10/25/2013	RBS		USD	3,258,448		CHF	2,984,530		(49,507	)
10/25/2013	RBS		USD	121,419		SEK	786,528		(2,880	)
10/25/2013	SSB		USD	18,500,447		CHF	17,004,038		(217,852	)
10/25/2013	SSB		USD	18,793,546		HKD	145,702,793		(831	)
10/25/2013	SSB		USD	28,679,919		SGD	36,596,150		11,243
								$	2,005,702

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
187	DAX	September 2013	$	50,165,323	$	(595,365	)
14	MSCI Singapore	September 2013		753,217		(8,464	)
19	SPI 200	September 2013		2,153,003		(6,103	)
			$	53,071,543	$	(609,932	)
Sales
86	S&P Toronto 60	September 2013	$	11,861,844	$	(364,258	)

As of August 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

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

(b) Bankrupt issuer.

(c) Rate rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 53.

16 See accompanying notes to the financial statements.

GMO International Growth Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		96.0	%
Mutual Funds		2.5
Preferred Stocks		1.0
Short-Term Investments		0.2
Forward Currency Contracts		0.1
Futures Contracts		0.0	^
Rights/Warrants		0.0	^
Other		0.2
		100.0	%
Country Summary*	% of Investments
United Kingdom		22.4	%
Japan		21.0
Switzerland		10.4
Germany		7.8
France		7.1
Australia		6.7
Hong Kong		3.1
Canada		2.6
Sweden		2.6
Denmark		2.4
Netherlands		2.4
Singapore		2.4
Spain		2.4
Finland		1.5
Italy		1.4
Belgium		1.1
Ireland		0.9
Norway		0.9
Israel		0.6
Austria		0.2
New Zealand		0.1
Greece		0.0	^
Portugal		0.0	^
		100.0	%

^ Rounds to 0.0%.

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

Industry Group Summary	% of Equity Investments**
Pharmaceuticals, Biotechnology & Life Sciences		15.1	%
Food, Beverage & Tobacco		10.9
Banks		7.1
Capital Goods		6.7
Materials		6.4
Automobiles & Components		6.0
Insurance		4.9
Retailing		4.0
Telecommunication Services		3.7
Diversified Financials		3.3
Energy		3.0
Transportation		3.0
Software & Services		2.7
Household & Personal Products		2.7
Real Estate		2.6
Food & Staples Retailing		2.5
Technology Hardware & Equipment		2.5
Consumer Durables & Apparel		2.4
Media		2.2
Consumer Services		2.1
Commercial & Professional Services		1.9
Utilities		1.9
Health Care Equipment & Services		1.8
Semiconductors & Semiconductor Equipment		0.6
		100.0	%

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

17

GMO International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.0%
		Australia — 6.2%
	520,948	BHP Billiton Ltd		16,474,320
	176,594	Coca Cola Amatil Ltd		1,922,467
	55,707	Commonwealth Bank of Australia		3,593,880
	293,376	CSL Ltd		17,715,574
	604,754	Insurance Australia Group Ltd		3,122,764
	40,204	JB Hi–Fi Ltd		672,409
	260,929	Myer Holdings Ltd		636,043
	116,334	National Australia Bank Ltd		3,341,258
	128,022	Primary Health Care Ltd		586,206
	287,193	QBE Insurance Group Ltd		3,869,070
	235,574	Rio Tinto Ltd		12,128,716
	280,546	Suncorp-Metway Ltd		3,064,523
	2,311,498	Telstra Corp Ltd		10,058,217
	602,791	Westpac Banking Corp		16,733,389
	160,848	Woodside Petroleum Ltd		5,443,596
	648,638	Woolworths Ltd		20,546,443
		Total Australia		119,908,875
		Austria — 0.3%
	147,420	Erste Group Bank AG		4,730,525
	946,419	Immofinanz AG (Entitlement Shares) *		—
	9,285	Verbund AG		178,803
		Total Austria		4,909,328
		Belgium — 1.1%
	169,581	Ageas		6,668,541
	46,445	Anheuser-Busch InBev NV		4,331,512
	40,716	Bekaert NV		1,448,807
	71,820	Colruyt SA		3,975,861
	29,882	Delhaize Group		1,908,838
	55,195	Mobistar SA		823,846
	36,290	Umicore SA		1,680,376
		Total Belgium		20,837,781
		Canada — 2.8%
	189,000	Canadian National Railway Co		17,724,694
	64,800	Canadian Pacific Railway Ltd		7,620,598
	145,900	Enbridge Inc		5,982,551
	63,100	Magna International Inc - Class A		4,850,067
	83,700	Potash Corp of Saskatchewan Inc		2,475,321
	113,300	Rogers Communications Inc - Class B		4,473,699
	56,900	Royal Bank of Canada		3,505,943
	38,800	Saputo Inc		1,722,480
	25,700	Tim Hortons, Inc.		1,405,412
	52,996	Valeant Pharmaceuticals International Inc *		5,212,556
		Total Canada		54,973,321

Shares		Description	Value ($)
		Denmark — 2.4%
	31,725	Chr Hansen Holding A/S		1,051,192
	120,003	Coloplast A/S - Class B		6,511,681
	97,857	GN Store Nord A/S		2,013,384
	180,533	Novo-Nordisk A/S - Class B		30,184,347
	135,179	Novozymes A/S - B Shares		4,921,764
	41,615	Pandora A/S		1,496,608
	30,584	Vestas Wind Systems A/S *		572,026
		Total Denmark		46,751,002
		Finland — 1.5%
	185,567	Fortum Oyj		3,693,327
	121,419	Kone Oyj - Class B		9,911,677
	87,664	Neste Oil Oyj		1,607,741
	26,654	Nokian Renkaat Oyj		1,243,714
	929,535	Nokia Oyj *		3,606,423
	43,258	Orion Oyj - Class B		1,000,239
	56,665	Outotec Oyj		733,854
	109,769	Sampo Oyj - Class A		4,569,163
	57,403	Wartsila Oyj		2,672,665
		Total Finland		29,038,803
		France — 6.1%
	199,430	Air France–KLM *		1,500,133
	836,689	Alcatel-Lucent *		2,155,060
	70,703	AXA		1,540,978
	59,273	BNP Paribas		3,716,218
	191,855	Bureau Veritas SA		5,785,761
	106,783	Carrefour SA		3,343,395
	32,227	Casino Guichard-Perrachon SA		3,050,302
	50,830	Cie Generale des Etablissements Michelin		4,865,223
	278,597	Credit Agricole SA *		2,814,583
	50,982	Danone SA		3,796,141
	41,001	Dassault Systemes SA		5,239,192
	74,508	Essilor International SA		8,045,735
	205,443	European Aeronautic Defense and Space Co NV		11,829,847
	12,037	ICADE (REIT)		1,046,610
	22,513	Iliad SA		5,401,410
	7,957	Kering		1,797,958
	95,510	L’Oreal SA		15,945,657
	33,916	Lafarge SA		2,069,097
	17,473	Neopost SA		1,223,658
	54,757	Publicis Groupe SA		4,072,564
	21,209	Remy Cointreau SA		2,229,486
	38,843	Safran SA		2,155,713
	68,386	Sanofi		6,553,875
	136,283	SES SA - Class A FDR		4,000,224
	9,556	Societe BIC SA		1,098,721
	158,864	Societe Generale		6,957,192
	70,664	Suez Environnement SA		1,053,098
	14,057	Teleperformance		632,744

18 See accompanying notes to the financial statements.

GMO International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		France — continued
	22,426	Valeo SA		1,687,947
	13,469	Vallourec SA		807,468
	20,559	Wendel		2,503,933
		Total France		118,919,923
		Germany — 6.1%
	10,819	Adidas AG		1,144,521
	86,079	Allianz SE (Registered)		12,332,246
	44,565	Aurubis AG		2,570,459
	19,347	BASF AG		1,692,231
	120,551	Bayer AG (Registered)		13,398,680
	40,710	Beiersdorf AG		3,507,496
	45,569	Daimler AG (Registered)		3,126,849
	205,863	Deutsche Lufthansa AG (Registered) *		3,672,535
	62,259	Deutsche Post AG (Registered)		1,799,637
	51,429	Duerr AG		3,449,069
	22,587	Fielmann AG		2,298,287
	182,423	Freenet AG		4,306,169
	50,087	Hannover Rueck SE		3,496,290
	17,456	Hochtief AG		1,237,795
	27,157	Hugo Boss AG		3,309,111
	29,247	Kabel Deutschland Holding AG		3,322,126
	17,828	KUKA AG		749,149
	23,976	Merck KGaA		3,642,373
	39,101	Metro AG		1,432,780
	76,314	Muenchener Rueckversicherungs- Gesellschaft AG (Registered)		13,905,948
	27,114	Salzgitter AG		1,028,025
	186,645	SAP AG		13,785,370
	435,756	Sky Deutschland AG *		3,645,710
	29,155	Software AG		892,975
	39,607	Stada Arzneimittel AG		1,916,488
	98,407	Suedzucker AG		3,177,307
	29,022	Symrise AG		1,269,759
	92,971	ThyssenKrupp AG *		1,954,141
	147,489	TUI AG *		1,709,657
	15,545	Volkswagen AG		3,454,667
	9,736	Wacker Chemie AG		955,126
		Total Germany		118,182,976
		Greece — 0.0%
	66,048	Hellenic Telecommunications Organization SA *		595,610
		Hong Kong — 3.0%
	803,500	AAC Technologies Holdings Inc		3,625,863
	247,400	AIA Group Ltd		1,079,699
	59,500	ASM Pacific Technology Ltd		611,750
	235,000	Cheung Kong Infrastructure Holdings Ltd		1,586,891
	297,500	CLP Holdings Ltd		2,380,524

Shares		Description	Value ($)
		Hong Kong — continued
	1,353,000	Galaxy Entertainment Group Ltd *		8,214,872
	203,200	Hang Seng Bank Ltd		3,153,200
	274,800	Henderson Land Development Co Ltd		1,605,408
	249,000	Hongkong Land Holdings Ltd		1,604,748
	3,654,222	Hong Kong & China Gas		8,466,478
	137,200	Hong Kong Exchanges & Clearing Ltd		2,097,465
	16,038	Jardine Matheson Holdings Ltd		851,218
	572,356	Link (REIT)		2,622,279
	113,000	Luk Fook Holdings International Ltd		382,847
	676,500	Power Assets Holdings Ltd		5,826,724
	699,200	Sands China Ltd		4,002,627
	259,000	Sun Hung Kai Properties Ltd		3,349,789
	707,000	Wharf Holdings Ltd (The)		5,767,895
	1,936,000	Xinyi Glass Holdings Ltd		1,800,281
		Total Hong Kong		59,030,558
		Ireland — 0.8%
	218,441	Elan Corp Plc *		3,315,540
	84,789	Kerry Group Plc - Class A		5,349,455
	84,465	Paddy Power Plc		6,794,241
	1	Prothena Corp. Plc *		20
	53,922	Smurfit Kappa Group Plc		1,096,698
		Total Ireland		16,555,954
		Israel — 0.6%
	141,300	Bezeq Israeli Telecommunication Corp Ltd		230,226
	149,070	Israel Chemicals Ltd		1,031,713
	28,005	Mellanox Technologies Ltd *		1,075,664
	221,967	Teva Pharmaceutical Industries Ltd		8,485,010
		Total Israel		10,822,613
		Italy — 1.1%
	360,807	Assicurazioni Generali SPA		6,901,460
	149,964	Atlantia SPA		2,705,266
	131,590	Azimut Holding SPA		2,823,630
	599,796	Fiat SPA *		4,519,970
	149,130	Mediolanum SPA		1,037,884
	639,621	UniCredit SPA		3,612,533
		Total Italy		21,600,743
		Japan — 20.8%
	42,100	3-D Matrix Ltd *		1,141,680
	42,200	ABC-Mart Inc		1,762,263
	1,017	Accordia Golf Co Ltd		1,100,747
	32,770	Aeon Mall Co Ltd		851,968
	135,500	Aeon Co Ltd		1,846,262
	69,000	Ajinomoto Co Inc		882,449
	118,300	Anritsu Corp		1,435,794
	11,900	Arnest One Corp		246,683
	292,000	Asahi Kasei Corp		2,136,910

See accompanying notes to the financial statements. 19

GMO International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	197,800	Astellas Pharma Inc		10,063,648
	99,600	Bridgestone Corp		3,250,816
	19,900	Calbee Inc		1,938,202
	14,900	Central Japan Railway Co		1,696,412
	168,800	Chugai Pharmaceutical Co Ltd		3,450,002
	5,099	Dai-ichi Life Insurance Co Ltd (The)		6,770,919
	72,000	Daihatsu Motor Co Ltd		1,343,898
	37,100	Dainippon Sumitomo Pharma Co Ltd		472,962
	64,800	Daito Trust Construction Co Ltd		5,914,553
	177,000	Daiwa House Industry Co Ltd		3,162,533
	792,000	Daiwa Securities Group Inc		6,335,895
	149,100	Dena Co Ltd		2,914,541
	81,400	Eisai Co Ltd		3,304,294
	32,100	Fanuc Ltd		4,871,485
	19,400	Fast Retailing Co Ltd		6,245,790
	392,000	Fuji Heavy Industries Ltd		9,437,193
	62,100	Gree Inc		491,719
	205,000	Hino Motors Ltd		2,655,754
	9,900	Hirose Electric Co Ltd		1,297,085
	94,100	Hisamitsu Pharmaceutical Co Inc		5,033,529
	919,000	Hitachi Ltd		5,497,536
	193,900	Hoya Corp		4,110,790
	8,600	Idemitsu Kosan Co Ltd		713,087
	412,000	IHI Corp		1,654,920
	308	INPEX Corp		1,388,828
	574,700	Itochu Corp		6,469,529
	67,500	Ito En Ltd		1,516,550
	76,700	Izumi Co Ltd		2,119,568
	73,900	J Trust Co Ltd		1,089,758
	161	Japan Real Estate Investment Corp (REIT)		1,707,361
	909	Japan Retail Fund Investment Corp (REIT)		1,667,366
	81,900	Japan Tobacco Inc		2,766,160
	157,000	JFE Holdings Inc		3,443,708
	66,000	JGC Corp		2,247,753
	32,400	K’s Holdings Corp		984,393
	162,116	Kakaku.com Inc		2,965,331
	206,100	Kao Corp		5,998,647
	228,800	KDDI Corp		10,876,786
	221,000	Keio Corp		1,489,836
	29,593	Keyence Corp		9,722,345
	616,000	Kintetsu Corp		2,280,479
	1,306,000	Kobe Steel Ltd *		2,067,273
	252,000	Kubota Corp		3,406,727
	45,500	Lawson Inc		3,417,089
	37,000	Makita Corp		1,943,146
	139,500	Matsui Securities Co Ltd		1,174,865
	2,221,000	Mazda Motor Corp *		8,841,922
	1,195	Medinet Co Ltd *		434,865
	183,100	Medipal Holdings Corp		2,038,078

Shares		Description	Value ($)
		Japan — continued
	240,000	Mitsubishi Estate Co Ltd		6,200,157
	534,000	Mitsubishi Heavy Industries Ltd		2,913,110
	466,000	Mitsui Engineer & Shipbuilding Co Ltd		837,462
	151,000	Mitsui Fudosan Co Ltd		4,727,136
	2,001,700	Mizuho Financial Group Inc		4,057,239
	589	Monex Group Inc		214,434
	35,100	Murata Manufacturing Co Ltd		2,393,493
	1,326,000	NEC Corp		2,801,226
	16,500	Nintendo Co Ltd		1,865,706
	196,000	Nippon Carbide Industries Co Inc		574,139
	147	Nippon Building Fund Inc (REIT)		1,595,329
	53,050	Nitori Holdings Co Ltd		4,733,958
	60,000	Nitto Denko Corp		3,173,121
	1,359,300	Nomura Holdings Inc		9,372,122
	99,000	Nomura Research Institute Ltd		3,073,998
	3,376	NTT Docomo Inc		5,396,970
	453,000	Odakyu Electric Railway Co Ltd		4,121,990
	301,000	OJI Paper Co Ltd		1,199,483
	40,600	Ono Pharmaceutical Co Ltd		2,436,805
	27,700	Oracle Corp		1,127,111
	27,800	Oriental Land Co Ltd		4,476,486
	568,000	Orient Corp *		1,334,457
	5,500	Osaka Securities Exchange Co Ltd		431,591
	265,400	Panasonic Corp *		2,391,048
	116,400	Park24 Co Ltd		2,014,972
	16,540	Point Inc		775,648
	91,300	Rakuten Inc		1,118,624
	186,000	Ricoh Co Ltd		2,001,510
	75,100	Santen Pharmaceutical Co Ltd		3,469,292
	16,400	Sawai Pharmaceuticals Co Ltd		2,134,282
	33,500	Secom Co Ltd		1,910,435
	71,000	Sekisui House Ltd		853,722
	512,000	Seven Bank Ltd		1,668,851
	232,000	Sharp Corp *		898,068
	31,200	Shimamura Co Ltd		3,174,940
	61,000	Shimano Inc		5,046,998
	444,000	Shinsei Bank Ltd		868,563
	74,100	Shionogi & Co Ltd		1,438,972
	9,200	SMC Corp		1,916,333
	29,100	SoftBank Corp		1,815,437
	100,500	Stanley Electric Co Ltd		1,920,506
	121,500	Sumitomo Rubber Industries		1,699,309
	166,000	Sumitomo Metal Mining Co Ltd		2,217,983
	172,300	Sumitomo Mitsui Financial Group Inc		7,573,595
	483,000	Sumitomo Mitsui Trust Holdings Inc		2,085,872
	83,000	Sumitomo Realty & Development Co Ltd		3,627,477
	28,700	Suzuken Co Ltd		881,664
	42,400	Suzuki Motor Corp		905,218
	56,700	Sysmex Corp		3,272,897
	158,900	Takeda Pharmaceutical Co Ltd		7,190,971

20 See accompanying notes to the financial statements.

GMO International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	111,000	Terumo Corp		5,294,367
	531,000	Tobu Railway Co Ltd		2,665,086
	190,000	Tokyo Gas Co Ltd		983,305
	231,000	Tokyu Land Corp		2,127,433
	906,000	Toshiba Corp		3,570,317
	242,000	Tosoh Corp		858,769
	27,600	Toyota Boshoku Corp		359,817
	683,000	Toyota Motor Corp		41,083,434
	63,800	Toyota Tsusho Corp		1,458,000
	46,000	Toyo Suisan Kaisha Ltd		1,380,022
	75,400	Trend Micro Inc		2,627,425
	88,200	Tsumura & Co		2,359,523
	10,400	Tsuruha Holdings Inc		937,158
	60,200	Unicharm Corp		3,111,618
	28,770	USS Co Ltd		3,589,399
	207,400	Wacom Co Ltd		1,769,941
	13,100	Yahoo! Japan Corp		6,453,133
	63,300	Yamada Denki Co Ltd		1,993,712
	71,000	Yamaha Motor Co Ltd		914,103
		Total Japan		403,557,954
		Netherlands — 2.4%
	17,591	ASML Holding NV		1,534,851
	53,388	Heineken NV		3,666,793
	189,089	Koninklijke Philips Electronics NV		5,847,019
	192,259	Koninklijke Ahold NV		3,062,922
	29,283	Randstad Holdings NV		1,359,468
	130,744	Reed Elsevier NV		2,360,441
	740,163	Unilever NV		27,849,134
		Total Netherlands		45,680,628
		New Zealand — 0.1%
	1,126,770	Telecom Corp of New Zealand Ltd		1,976,089
		Norway — 0.9%
	175,827	DNB ASA		2,725,652
	952,616	Marine Harvest ASA		884,165
	19,285	Norwegian Air Shuttle ASA *		689,427
	107,935	Seadrill Ltd		4,964,887
	240,273	Statoil ASA		5,271,421
	48,993	TGS Nopec Geophysical Co ASA		1,441,889
	34,230	Yara International ASA		1,353,029
		Total Norway		17,330,470
		Portugal — 0.0%
	14,453	Jeronimo Martins SGPS SA		280,793
	11,102	Zon Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA		61,054
		Total Portugal		341,847

Shares		Description	Value ($)
		Singapore — 2.3%
	1,105,000	CapitaCommercial Trust (REIT)		1,169,730
	608,000	Ezion Holdings Ltd		1,077,675
	2,238,000	Golden Agri-Resources Ltd		979,948
	18,952	Keppel (REIT)		17,774
	236,900	Keppel Corp Ltd		1,871,801
	2,132,000	Noble Group Ltd		1,347,614
	689,000	Oversea-Chinese Banking Corp Ltd		5,326,981
	865,000	SATS Ltd		2,038,501
	528,000	SembCorp Industries Ltd		2,018,236
	561,000	Singapore Exchange Ltd		3,188,488
	939,000	Singapore Press Holdings Ltd		2,890,054
	1,743,000	Singapore Technologies Engineering Ltd		5,399,089
	3,561,500	Singapore Telecommunications Ltd		9,779,238
	1,251,000	SMRT Corp Ltd		1,274,210
	931,000	StarHub Ltd		3,057,507
	137,000	United Overseas Bank Ltd		2,130,197
	1,651,000	Yangzijiang Shipbuilding Holdings Ltd		1,220,360
	839,000	Yanlord Land Group Ltd		767,471
		Total Singapore		45,554,874
		Spain — 2.4%
	77,828	Amadeus IT Holding SA - Class A		2,513,486
	426,183	Banco Bilbao Vizcaya Argentaria SA		4,072,812
	395,211	Distribuidora Internacional de Alimentacion SA		3,123,964
	81,032	Enagas		1,840,779
	246,174	Ferrovial SA		4,078,696
	122,428	Gas Natural SDG SA		2,397,102
	33,390	Grifols SA		1,341,063
	724,489	Iberdrola SA		3,839,471
	99,442	Inditex SA		13,148,008
	71,713	Red Electrica de Espana		3,720,414
	249,822	Repsol YPF SA		5,797,314
		Total Spain		45,873,109
		Sweden — 2.6%
	71,979	Boliden AB		1,050,389
	177,282	Ericsson LM B Shares		2,084,978
	552,867	Hennes & Mauritz AB - Class B		20,287,516
	182,119	Investor AB		5,248,160
	82,498	Kinnevik Investment AB		2,575,476
	36,140	Millicom International Cellular SA SDR		2,929,054
	105,962	Scania AB - Class B		2,115,399
	356,684	Skandinaviska Enskilda Banken AB - Class A		3,659,420
	148,832	Svenska Cellulosa AB - Class B		3,634,659
	272,547	Swedbank AB - Class A		6,164,494
		Total Sweden		49,749,545

See accompanying notes to the financial statements. 21

GMO International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Switzerland — 10.4%
	198,894	ABB Ltd		4,253,912
	73,971	Actelion Ltd (Registered)		5,026,627
	87,934	Compagnie Financiere Richemont SA - Class A		8,347,514
	337,104	Credit Suisse Group AG (Registered)		9,716,826
	22,980	Geberit AG (Registered)		5,588,535
	484	Givaudan SA (Registered)		651,383
	14,807	Holcim Ltd		1,004,070
	9,499	Kuehne & Nagel International AG (Registered)		1,182,370
	722,000	Nestle SA (Registered)		47,250,738
	198,370	Novartis AG (Registered)		14,451,200
	2,588	Pargesa Holding SA		183,959
	16,282	Partners Group Holding AG		4,170,236
	264,158	Roche Holding AG (Non Voting)		65,845,402
	18,447	Schindler Holding AG		2,540,917
	3,098	SGS SA (Registered)		7,045,390
	12,168	Sonova Holding AG (Registered)		1,345,842
	5,326	Straumann Holding AG		971,893
	21,996	Swatch Group AG (The)		2,201,377
	14,528	Swatch Group AG		8,357,397
	11,173	Swiss Life Holding AG (Registered)		2,092,331
	4,351	Swisscom AG (Registered)		1,969,754
	10,167	Syngenta AG (Registered)		3,981,353
	63,189	Transocean Ltd		2,865,520
		Total Switzerland		201,044,546
		United Kingdom — 22.1%
	605,065	Aberdeen Asset Management Plc		3,306,373
	189,943	Admiral Group Plc		3,716,996
	76,308	Aggreko Plc		1,925,629
	121,811	Anglo American Plc		2,794,441
	646,628	ARM Holdings Plc		8,748,123
	406,333	Ashmore Group Plc		2,102,598
	230,215	Ashtead Group Plc		2,294,562
	40,757	ASOS Plc *		2,999,406
	95,325	Associated British Foods Plc		2,727,130
	92,975	AstraZeneca Plc		4,577,848
	160,524	Babcock International Group Plc		2,829,260
	2,929,947	Barclays Plc		12,834,950
	491,867	Barratt Developments Plc *		2,315,673
	826,576	BG Group Plc		15,728,186
	222,714	BHP Billiton Plc		6,477,726
	955,646	British American Tobacco Plc		48,321,900
	278,695	British Sky Broadcasting Group Plc		3,623,877
	959,306	BT Group Plc		4,831,564
	240,510	Bunzl Plc		5,075,779
	129,497	Burberry Group Plc		3,082,174
	240,765	Capita Group Plc		3,560,446

Shares		Description	Value ($)
		United Kingdom — continued
	1,036,296	Cobham Plc		4,575,851
	51,705	Croda International Plc		2,082,380
	865,028	Debenhams Plc		1,437,052
	1,071,426	Diageo Plc		32,835,322
	155,216	easyJet Plc		2,969,984
	290,815	Experian Plc		5,091,970
	2,122,644	GlaxoSmithKline Plc		54,135,004
	400,425	Glencore International Plc		1,895,088
	131,251	ICAP Plc		747,473
	106,454	IMI Plc		2,369,373
	129,217	InterContinental Hotels Group Plc		3,618,789
	64,887	Intertek Group Plc		3,217,071
	1,686,908	ITV Plc		4,303,527
	288,029	John Wood Group Plc		3,596,249
	180,168	LG Group Holdings Plc		1,586,549
	19,580,682	Lloyds Banking Group Plc *		22,024,809
	770,303	Man Group Plc		973,175
	191,100	Micro Focus International Plc		2,344,972
	65,046	Mondi Plc		1,002,590
	100,959	Next Plc		7,657,271
	116,220	Persimmon Plc, Bonus Shares		1,980,860
	176,763	Playtech Ltd		1,854,418
	695,876	Prudential Plc		11,639,259
	259,998	Reckitt Benckiser Group Plc		17,669,250
	301,237	Reed Elsevier Plc		3,693,949
	333,713	Resolution Ltd		1,648,274
	113,664	Rightmove Plc		4,096,120
	719,978	Rio Tinto Plc		32,506,849
	283,473	Rolls-Royce Holdings Plc		4,889,259
	398,493	Royal Bank of Scotland Group Plc *		2,058,630
	270,176	Sage Group Plc (The)		1,442,374
	116,026	Smiths Group Plc		2,303,905
	234,334	Smith & Nephew Plc		2,726,610
	71,355	Spectris Plc		2,456,195
	1,064,096	Standard Life Assurance Plc		5,467,075
	161,999	Standard Chartered Plc		3,620,152
	1,446,798	Taylor Wimpey Plc		2,230,668
	152,386	Telecity Group Plc		1,937,359
	258,727	Unilever Plc		9,865,191
	70,362	United Business Media Ltd		753,537
	82,429	Whitbread Plc		3,937,093
	651,556	William Hill Plc		4,193,781
	246,921	WPP Plc		4,574,344
		Total United Kingdom		429,884,292
		TOTAL COMMON STOCKS (COST $1,647,130,344)		1,863,120,841

22 See accompanying notes to the financial statements.

GMO International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		PREFERRED STOCKS — 1.0%
		Germany — 1.0%
	31,752	Bayerische Motoren Werke AG 4.49%		2,329,014
	19,671	Fuchs Petrolub SE 2.12%		1,591,955
	26,373	Porsche Automobil Holding SE 3.15%		2,219,249
	59,801	Volkswagen AG 2.09%		13,601,574
		Total Germany		19,741,792
		TOTAL PREFERRED STOCKS (COST $17,500,378)		19,741,792
		RIGHTS/WARRANTS — 0.0%
		Canada — 0.0%
	19,162	Kinross Gold Corp Warrants, Strike 21.30, Expires 09/17/14 *		1,455
		TOTAL RIGHTS/WARRANTS (COST $67,723)		1,455
		MUTUAL FUNDS — 2.5%
		United States — 2.5%
		Affiliated Issuers
	1,966,458	GMO U.S. Treasury Fund		49,161,461
		TOTAL MUTUAL FUNDS (COST $49,169,894)		49,161,461

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Time Deposits — 0.2%
HKD	56,374	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/03/13		7,270
NZD	9,761	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.70%, due 09/03/13		7,543
SGD	561,180	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/03/13		439,934
EUR	19,389	Citibank (New York) Time Deposit, 0.00%, due 09/03/13 (a)		25,625
GBP	93,195	Citibank (New York) Time Deposit, 0.07%, due 09/03/13		144,424
JPY	3,896,566	Citibank (New York) Time Deposit, 0.01%, due 09/03/13		39,701
USD	3,296,213	JPMorgan Chase (New York) Time Deposit, 0.06%, due 09/03/13		3,296,213
		Total Time Deposits		3,960,710
		TOTAL SHORT-TERM INVESTMENTS (COST $3,960,710)		3,960,710
		TOTAL INVESTMENTS — 99.7% (Cost $1,717,829,049)		1,935,986,259
		Other Assets and Liabilities (net) — 0.3%		5,226,391
		TOTAL NET ASSETS — 100.0%		$1,941,212,650

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/25/2013	BBH		AUD	10,076,626		USD	9,105,441	$	167,468
10/25/2013	BCLY		AUD	4,659,020		USD	4,208,819		76,266
10/25/2013	BNYM		AUD	12,963,743		USD	11,717,603		218,756
10/25/2013	BOA		AUD	8,052,212		USD	7,273,644		131,327
10/25/2013	MSCI		AUD	12,815,905		USD	11,578,452		210,737
10/25/2013	SSB		AUD	7,398,300		USD	6,682,781		120,484
10/25/2013	BBH		CAD	6,672,526		USD	6,410,035		83,219
10/25/2013	BCLY		CAD	6,132,028		USD	5,892,555		78,233
10/25/2013	BNYM		CAD	4,151,726		USD	3,985,185		48,564
10/25/2013	BOA		CAD	4,647,910		USD	4,474,608		67,511
10/25/2013	DB		CAD	5,724,053		USD	5,500,565		73,081
10/25/2013	MSCI		CAD	11,062,505		USD	10,626,571		137,225
10/25/2013	RBS		CAD	4,435,972		USD	4,262,632		56,492
10/25/2013	SSB		CAD	9,676,529		USD	9,314,834		139,655
10/25/2013	BBH		DKK	58,369,777		USD	10,509,881		163,336
10/25/2013	BCLY		DKK	56,485,605		USD	10,187,517		174,957
10/25/2013	BOA		DKK	76,607,781		USD	13,757,242		177,854
10/25/2013	MSCI		DKK	15,505,443		USD	2,792,404		43,931
10/25/2013	BBH		GBP	3,394,225		USD	5,316,273		58,335

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/25/2013	BCLY		GBP	3,930,013		USD	6,155,332	$	67,414
10/25/2013	DB		GBP	9,785,749		USD	15,336,519		177,577
10/25/2013	BBH		NOK	32,689,705		USD	5,480,987		149,780
10/25/2013	BOA		NOK	12,520,570		USD	2,092,696		50,776
10/25/2013	JPM		NOK	51,743,821		USD	8,671,535		232,883
10/25/2013	BBH		USD	7,396,549		CHF	6,789,292		(96,761	)
10/25/2013	BBH		USD	15,922,667		JPY	1,548,049,484		(152,070	)
10/25/2013	BBH		USD	7,964,644		SGD	10,157,151		(1,499	)
10/25/2013	BCLY		USD	7,822,158		CHF	7,161,264		(122,429	)
10/25/2013	BCLY		USD	7,356,198		EUR	5,477,050		(116,135	)
10/25/2013	BCLY		USD	5,799,217		HKD	44,960,208		(259	)
10/25/2013	BNYM		USD	7,798,538		CHF	7,153,677		(106,966	)
10/25/2013	BNYM		USD	12,496,397		EUR	9,314,617		(183,488	)
10/25/2013	BNYM		USD	14,813,626		HKD	114,848,858		(445	)
10/25/2013	BNYM		USD	1,758,652		JPY	171,113,317		(15,452	)
10/25/2013	BNYM		USD	8,852,283		SGD	11,278,694		(9,855	)
10/25/2013	BOA		USD	2,532,520		CHF	2,326,677		(30,897	)
10/25/2013	BOA		USD	15,797,148		HKD	122,470,174		(972	)

See accompanying notes to the financial statements. 23

GMO International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Forward Currency Contracts (continued)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/25/2013	BOA		USD	6,114,650		JPY	588,302,727	$	(121,376	)
10/25/2013	DB		USD	5,325,546		CHF	4,878,200		(80,547	)
10/25/2013	DB		USD	5,379,295		HKD	41,705,674		(106	)
10/25/2013	DB		USD	6,090,153		JPY	588,302,728		(96,879	)
10/25/2013	JPM		USD	11,549,061		HKD	89,538,393		(419	)
10/25/2013	MSCI		USD	7,397,242		CHF	6,789,292		(97,454	)
10/25/2013	MSCI		USD	12,508,627		EUR	9,314,617		(195,718	)
10/25/2013	MSCI		USD	14,781,819		HKD	114,596,892		(1,136	)
10/25/2013	MSCI		USD	9,987,044		SGD	12,735,958		(2,130	)
10/25/2013	RBS		USD	9,058,376		SGD	11,540,380		(10,788	)
10/25/2013	SSB		USD	11,031,040		HKD	85,521,557		(488	)
10/25/2013	SSB		USD	2,714,071		SGD	3,463,209		1,064
								$	1,462,656

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
357	CAC40	September 2013	$	18,564,687	$	(804,000	)
42	DAX	September 2013		11,267,078		(256,049	)
51	FTSE/MIB	September 2013		5,615,500		176,181
73	SPI 200	September 2013		8,272,064		421,801
			$	43,719,329	$	(462,067	)
Sales
31	S&P Toronto 60	September 2013	$	4,275,781	$	(78,389	)

As of August 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

(a) Rate rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 53.

24 See accompanying notes to the financial statements.

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.2	%
Short-Term Investments		1.2
Mutual Funds		0.7
Preferred Stocks		0.4
Forward Currency Contracts		0.1
Futures Contracts		0.0	^
Other		0.4
		100.0	%

Country Summary*	% of Investments
United Kingdom		25.9	%
Japan		21.9
France		14.3
Spain		8.4
Germany		7.3
Italy		7.0
Australia		3.9
Switzerland		2.3
Hong Kong		1.4
Netherlands		1.3
Singapore		1.1
Sweden		1.1
Finland		0.7
Canada		0.6
Norway		0.6
Austria		0.4
Belgium		0.4
Greece		0.3
Israel		0.3
New Zealand		0.3
Portugal		0.3
Ireland		0.2
Denmark		0.0	^
Malta		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 contracts and other derivative financial instruments, if any.

Industry Group Summary	% of Equity Investments**
Energy		17.1	%
Banks		15.4
Telecommunication Services		10.6
Pharmaceuticals, Biotechnology & Life Sciences		9.2
Utilities		7.1
Capital Goods		7.0
Materials		5.8
Insurance		4.9
Automobiles & Components		4.7
Real Estate		2.9
Diversified Financials		2.6
Retailing		2.2
Transportation		2.1
Consumer Services		1.5
Technology Hardware & Equipment		1.4
Food & Staples Retailing		1.4
Food, Beverage & Tobacco		0.9
Media		0.8
Consumer Durables & Apparel		0.8
Household & Personal Products		0.6
Software & Services		0.6
Health Care Equipment & Services		0.4
Commercial & Professional Services		0.0	^
		100.0	%

^ Rounds to 0.0%.

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

25

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.2%
		Australia — 3.7%
	14,395,215	Arrium Ltd		14,273,798
	2,007,210	Bank of Queensland Ltd		17,060,166
	929,439	Bendigo and Adelaide Bank Ltd		8,331,985
	4,751,652	BlueScope Steel Ltd *		21,015,609
	378,887	Commonwealth Bank of Australia		24,443,508
	1,119,139	CSL Ltd		67,579,452
	11,972,942	Goodman Fielder Ltd *		7,847,608
	1,861,079	Insurance Australia Group Ltd		9,610,039
	2,850,614	Investa Office Fund (REIT)		7,436,604
	576,634	Macquarie Group Ltd		22,347,530
	12,941,106	Mirvac Group (REIT)		18,857,290
	688,198	National Australia Bank Ltd		19,765,910
	4,938,908	Pacific Brands Ltd		3,324,908
	4,033,889	QBE Insurance Group Ltd		54,344,637
	8,998,541	Stockland (REIT)		29,763,118
	5,043,701	TABCORP Holdings Ltd		14,418,678
	4,252,296	Tatts Group Ltd		12,115,567
	3,264,806	Westpac Banking Corp		90,630,531
		Total Australia		443,166,938
		Austria — 0.4%
	1,167,625	Immofinanz AG (Entitlement Shares) *		—
	741,274	OMV AG		34,210,633
	420,358	Voestalpine AG		17,964,978
		Total Austria		52,175,611
		Belgium — 0.4%
	764,810	Ageas		30,075,107
	702,443	Belgacom SA		16,815,814
		Total Belgium		46,890,921
		Canada — 1.1%
	4,688,700	Blackberry Ltd *		47,363,304
	188,400	Canadian Tire Corp Ltd		15,935,209
	71,600	Canadian Pacific Railway Ltd		8,420,291
	1,429,300	First Quantum Minerals Ltd		23,733,463
	154,500	Home Capital Group Inc		9,392,039
	570,500	Husky Energy Inc		16,129,773
	151,700	Magna International Inc - Class A		11,660,146
	21	Precision Drilling Corp		207
	315,100	RONA Inc		3,215,917
		Total Canada		135,850,349
		Denmark — 0.0%
	29,607	Jyske Bank A/S *		1,363,552
		Finland — 0.7%
	17,853,729	Nokia Oyj *		69,269,157
	305,103	Sampo Oyj - Class A		12,699,992
		Total Finland		81,969,149

Shares		Description	Value ($)
		France — 14.2%
	3,563,780	Air France–KLM *		26,807,127
	3,361,702	AXA		73,268,573
	2,384,947	BNP Paribas		149,528,178
	1,106,084	Carrefour SA		34,631,688
	247,274	Cie Generale des Etablissements Michelin - Class B		23,667,972
	490,090	CNP Assurances		8,668,899
	630,477	European Aeronautic Defense and Space Co NV		36,304,214
	4,337,044	GDF Suez		94,100,221
	120,938	L’Oreal SA		20,190,932
	6,017,526	Orange		61,084,686
	5,208,649	Peugeot SA *		73,988,646
	57,952	Publicis Groupe SA		4,310,193
	1,152,855	Renault SA		82,463,087
	2,318,061	Sanofi		222,154,847
	3,136,323	Societe Generale		137,350,192
	1,181,553	Solocal Group *		2,641,093
	1,313,695	Technicolor *		6,257,821
	10,552,420	Total SA		584,349,837
	3,221,179	Vivendi SA		65,340,589
		Total France		1,707,108,795
		Germany — 5.2%
	428,459	Allianz SE (Registered)		61,383,864
	375,859	Aurubis AG		21,679,123
	397,536	Bayer AG (Registered)		44,184,269
	241,678	Daimler AG (Registered)		16,583,438
	1,644,632	Deutsche Lufthansa AG (Registered) *		29,339,751
	1,550,997	Deutsche Post AG (Registered)		44,832,578
	193,751	Duerr AG		12,993,845
	11,665,498	E.ON AG		184,599,037
	676,298	Freenet AG		15,964,290
	152,532	Hannover Rueck SE		10,647,395
	705,875	Kloeckner & Co SE *		9,102,421
	103,997	Merck KGaA		15,798,961
	504,169	Metro AG		18,474,296
	322,653	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		58,793,875
	2,648,493	RWE AG		72,740,743
	300,152	Salzgitter AG		11,380,236
		Total Germany		628,498,122
		Greece — 0.3%
	2,404,523	OPAP SA		23,783,763
	1,039,100	Public Power Corp SA		9,786,495
		Total Greece		33,570,258
		Hong Kong — 1.4%
	2,158,500	AAC Technologies Holdings Inc		9,740,419
	1,340,000	Cheung Kong Holdings Ltd		19,098,557

26 See accompanying notes to the financial statements.

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	1,726,098	CLP Holdings Ltd		13,811,823
	11,711,290	Esprit Holdings Ltd		19,914,533
	10,116,539	Hong Kong & China Gas		23,439,039
	3,004,691	Link (REIT)		13,766,147
	7,264,000	Pacific Basin Shipping Ltd		4,518,266
	2,031,600	Sands China Ltd		11,630,058
	2,036,000	Sun Hung Kai Properties Ltd		26,332,705
	1,917,000	Wharf Holdings Ltd (The)		15,639,398
	2,294,900	Yue Yuen Industrial Holdings		7,021,141
		Total Hong Kong		164,912,086
		Ireland — 0.2%
	107,821	Paddy Power Plc		8,672,963
	780,008	Smurfit Kappa Group Plc		15,864,269
		Total Ireland		24,537,232
		Israel — 0.3%
	1,831,709	Bank Hapoalim BM		8,462,316
	3,305,753	Bank Leumi Le-Israel *		10,817,082
	4,904,302	Israel Discount Bank Ltd - Class A *		7,683,814
	718,759	Partner Communications Co Ltd		5,257,653
		Total Israel		32,220,865
		Italy — 6.8%
	24,743,714	A2A SPA		21,463,618
	1,678,962	Assicurazioni Generali SPA		32,114,925
	726,426	Azimut Holding SPA		15,587,491
	47,983,256	Enel SPA		158,211,573
	8,249,879	ENI SPA		187,913,948
	375,586	Exor SPA		12,797,597
	7,392,241	Fiat SPA *		55,706,790
	5,802,154	Finmeccanica SPA *		29,682,869
	30,970,319	Intesa Sanpaolo SPA		60,659,389
	233,701	Italcementi SPA-Di RISP		760,980
	13,178,520	Mediaset SPA *		54,068,998
	2,212,081	Mediolanum SPA		15,395,184
	13,832,507	Milano Assicurazioni SPA *		8,745,761
	467,998	Recordati SPA		5,264,982
	82,026,334	Telecom Italia SPA		57,129,739
	43,630,811	Telecom Italia SPA-Di RISP		24,122,050
	13,048,258	UniCredit SPA		73,695,610
		Total Italy		813,321,504
		Japan — 21.6%
	11,124	Accordia Golf Co Ltd		12,040,028
	2,657,400	Aeon Co Ltd		36,208,528
	240,800	Alfresa Holdings Corp		11,379,176
	675,400	Astellas Pharma Inc		34,362,932
	637,400	Bridgestone Corp		20,803,919
	1,595,000	Calsonic Kansei Corp		7,721,101

Shares		Description	Value ($)
		Japan — continued
	5,335,000	Cosmo Oil Co Ltd *		10,972,528
	7,753,000	Daikyo Inc		22,389,810
	700,400	Daito Trust Construction Co Ltd		63,928,282
	3,414,000	Daiwa Securities Group Inc		27,311,546
	1,568,700	Dena Co Ltd		30,664,256
	4,225,000	DIC Corp		10,739,241
	1,522,000	Fuji Heavy Industries Ltd		36,641,347
	392,300	Fuji Oil Co Ltd		6,878,800
	1,084,000	Gunze Ltd		2,694,536
	1,333,000	Hanwa Co Ltd		5,734,803
	24,143,500	Haseko Corp *		27,998,307
	142,600	Idemitsu Kosan Co Ltd		11,823,986
	682,200	IT Holdings Corp		8,113,800
	7,238,000	Itochu Corp		81,479,819
	6,862	Japan Retail Fund Investment Corp (REIT)		12,586,871
	2,458,600	JFE Holdings Inc		53,928,035
	13,000,290	JX Holdings Inc		68,307,597
	805,000	K’s Holdings Corp		24,457,923
	972,500	Kao Corp		28,305,116
	20,123,000	Kawasaki Kisen Kaisha Ltd		45,032,838
	2,121,400	KDDI Corp		100,847,960
	14,766,000	Kobe Steel Ltd *		23,373,164
	257,800	Kohnan Shoji Co Ltd		2,759,081
	3,820,200	Leopalace21 Corp *		23,406,561
	7,526,000	Marubeni Corp		54,359,048
	10,023,000	Mazda Motor Corp *		39,902,109
	1,054,000	Medipal Holdings Corp		11,732,029
	3,088,000	Mitsubishi Heavy Industries Ltd		16,845,850
	6,934,000	Mitsubishi Chemical Holdings Corp		32,469,011
	5,037,000	Mitsubishi Corp		93,707,333
	1,442,000	Mitsubishi Gas Chemical Co Inc		11,546,345
	3,226,800	Mitsubishi UFJ Lease & Finance Co Ltd		14,546,746
	8,172,000	Mitsui Chemicals Inc		21,596,636
	8,681,000	Mitsui Engineer & Shipbuilding Co Ltd		15,600,874
	762,000	Mitsui Fudosan Co Ltd		23,854,817
	4,654,400	Mitsui & Co Ltd		64,365,119
	5,474,000	Mitsui Mining & Smelting Co Ltd		12,707,970
	9,975,000	Mitsui OSK Lines Ltd *		39,114,832
	21,078,400	Mizuho Financial Group Inc		42,723,737
	6,010,000	NEC Corp		12,696,356
	940,100	Net One Systems Co Ltd		7,012,418
	1,540,000	Nichirei Corp		7,384,594
	522,000	Nippon Corp		8,348,227
	4,999,200	Nippon Light Metal Co Ltd		6,312,065
	836,900	Nippon Paper Industries Co Ltd		11,350,466
	8,823,000	Nippon Steel Corp		24,921,807
	1,941,000	Nippon Telegraph & Telephone Corp		98,470,249
	10,918,000	Nippon Yusen Kabushiki Kaisha		30,876,808
	1,910,400	Nipro Corp		16,394,782

See accompanying notes to the financial statements. 27

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	1,104,000	Nisshinbo Holdings Inc		8,089,445
	312,300	Nitto Denko Corp		16,516,093
	6,057,900	Nomura Holdings Inc		41,768,101
	1,643,800	North Pacific Bank Ltd		6,392,095
	37,429	NTT Docomo Inc		59,835,070
	247	Obayashi Corp		1,399
	130,700	Okinawa Electric Power Co		4,475,527
	7,997	ORIX JREIT Inc (REIT)		8,423,799
	292,900	Point Inc		13,735,625
	15,723,800	Resona Holdings Inc		74,610,645
	2,445,000	Ricoh Co Ltd		26,310,172
	1,275,500	Round One Corp		7,144,130
	214,400	Ryohin Keikaku Co Ltd		18,784,985
	339,100	Sankyo Co Ltd		15,735,002
	706,000	Sega Sammy Holdings Inc		16,803,216
	552,000	Seino Holdings Co Ltd		4,903,200
	115,300	Shimamura Co Ltd		11,733,032
	11,211,000	Shinsei Bank Ltd		21,931,223
	2,417,900	Showa Shell Sekiyu KK		23,899,739
	267,300	SoftBank Corp		16,675,819
	16,441,700	Sojitz Corp		29,202,834
	3,921,000	Sumitomo Light Metal Industries Ltd		3,849,282
	6,369,300	Sumitomo Corp		80,239,866
	1,279,500	Sumitomo Electric Industries Ltd		17,092,980
	1,910,000	Sumitomo Metal Mining Co Ltd		25,520,164
	858,000	Sumitomo Mitsui Financial Group Inc		37,714,130
	5,718,000	Sumitomo Mitsui Trust Holdings Inc		24,693,618
	513,000	Sumitomo Realty & Development Co Ltd		22,420,428
	627,000	Suruga Bank Ltd		9,808,349
	231,600	Suzuken Co Ltd		7,114,753
	1,971,300	Takeda Pharmaceutical Co Ltd		89,210,584
	2,930,000	Tokyo Tatemono Co Ltd		24,749,450
	1,080,000	TonenGeneral Sekiyu KK		9,786,644
	5,970,000	Tosoh Corp		21,185,345
	2,316,200	Toyota Motor Corp		139,322,766
	1,601,600	Toyota Tsusho Corp		36,600,825
	2,087,700	UNY Co Ltd		13,271,674
	1,087,090	Yamada Denki Co Ltd		34,239,241
		Total Japan		2,595,523,369
		Malta — 0.0%
	15,984,486	BGP Holdings Plc *		—
		Netherlands — 1.3%
	6,653,628	Aegon NV		47,361,648
	356,847	CSM NV		8,442,669
	6,823,100	ING Groep NV *		74,287,296
	561,669	Koninklijke Philips Electronics NV		17,367,956
	1,956,121	Koninklijke BAM Groep NV		7,988,077
		Total Netherlands		155,447,646

Shares		Description	Value ($)
		New Zealand — 0.3%
	2,458,789	Chorus Ltd		5,512,896
	1,921,098	Fletcher Building Ltd		12,971,636
	12,315,813	Telecom Corp of New Zealand		21,599,032
		Total New Zealand		40,083,564
		Norway — 0.6%
	3,089,397	DNB ASA		47,891,522
	1,752,475	Golden Ocean Group Ltd *		2,228,057
	775,404	Statoil ASA		17,011,819
	295,895	TGS Nopec Geophysical Co ASA		8,708,341
		Total Norway		75,839,739
		Portugal — 0.3%
	11,678,690	EDP-Energias de Portugal SA		41,274,229
		Singapore — 1.1%
	5,940,000	CapitaCommercial Trust (REIT)		6,287,962
	8,200,000	Ezra Holdings Ltd *		5,319,387
	80,916,000	Golden Agri-Resources Ltd		35,430,500
	2,488,000	Ho Bee Investment Ltd		3,968,304
	22,847,000	Noble Group Ltd		14,441,342
	2,619,000	Singapore Technologies Engineering Ltd		8,112,572
	16,020,000	Singapore Telecommunications Ltd		43,988,037
	5,668,000	Swiber Holdings Ltd		2,767,438
	10,013,000	Yangzijiang Shipbuilding Holdings Ltd		7,401,252
		Total Singapore		127,716,794
		Spain — 8.3%
	14,486,591	Banco Bilbao Vizcaya Argentaria SA		138,440,908
	46,453,671	Banco Santander SA		328,252,725
	3,228,049	Gas Natural SDG SA		63,204,184
	17,653,298	Iberdrola SA		93,554,666
	1,129,538	Indra Sistemas SA		16,382,217
	4,773,992	Repsol YPF SA		110,784,203
	18,192,762	Telefonica SA *		247,321,929
		Total Spain		997,940,832
		Sweden — 1.1%
	1,093,206	Investor AB		31,503,141
	1,084,591	Nordea Bank AB		12,610,127
	1,668,408	Skandinaviska Enskilda Banken AB - Class A		17,117,127
	396,445	Svenska Handelsbanken AB - A Shares		17,005,720
	1,256,831	Swedbank AB - Class A		28,427,125
	3,150,856	TeliaSonera AB		22,559,872
		Total Sweden		129,223,112
		Switzerland — 2.2%
	60,356	Compagnie Financiere Richemont SA - Class A		5,729,553

28 See accompanying notes to the financial statements.

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	1,186,130	Credit Suisse Group AG (Registered)		34,189,505
	2,255,658	Novartis AG (Registered)		164,324,061
	266,586	Roche Holding AG (Non Voting)		66,450,619
		Total Switzerland		270,693,738
		United Kingdom — 25.7%
	348,018	Admiral Group Plc		6,810,367
	1,243,424	Amlin Plc		7,559,420
	1,408,244	Ashtead Group Plc		14,036,021
	5,641,888	AstraZeneca Plc		277,791,944
	5,898,750	Aviva Plc		35,307,932
	14,829,750	BAE Systems Plc		99,976,739
	3,953,415	Balfour Beatty Plc		15,102,087
	48,708,213	Barclays Plc		213,371,597
	3,273,939	Barratt Developments Plc *		15,413,459
	386,673	BG Group Plc		7,357,660
	2,868,959	BHP Billiton Plc		83,444,820
	56,466,706	BP Plc		390,456,943
	7,010,127	BT Group Plc		35,306,647
	588,417	Bunzl Plc		12,418,088
	809,240	Cape Plc		3,182,975
	1,147,204	Catlin Group Ltd		8,307,234
	2,986,628	Cobham Plc		13,187,705
	3,738,285	Darty Plc		4,672,215
	5,256,942	Debenhams Plc		8,733,244
	22,124,295	Dixons Retail Plc *		14,148,229
	1,821,471	Drax Group Plc		19,687,610
	5,097,720	FirstGroup Plc		9,066,820
	3,796,327	GlaxoSmithKline Plc		96,819,899
	9,592,599	Home Retail Group Plc		21,164,479
	1,095,395	Imperial Tobacco Group Plc		36,218,288
	1,888,453	Inchcape Plc		17,228,064
	409,966	InterContinental Hotels Group Plc		11,481,311
	1,586,542	Intermediate Capital Group Plc		10,763,697
	122,616	Jardine Lloyd Thompson Group Plc		1,717,604
	360,128	JD Wetherspoon Plc		3,963,816
	659,840	Lancashire Holdings Ltd		7,355,159
	9,159,367	Legal & General Group Plc		26,533,421
	104,647,738	Lloyds Banking Group Plc *		117,710,223
	10,135,516	Man Group Plc		12,804,872
	2,414,767	Marks & Spencer Group Plc		17,652,725
	680,258	Micro Focus International Plc		8,347,387
	1,321,771	National Express Group Plc		5,412,183
	389,122	Next Plc		29,513,097
	2,550,208	Prudential Plc		42,654,914
	2,109,711	Punch Taverns Plc *		422,445
	365,498	Reckitt Benckiser Group Plc		24,838,943
	3,970,975	Rio Tinto Plc		179,288,649
	916,187	Rolls-Royce Holdings Plc		15,802,125

Shares / Par Value		Description	Value ($)
		United Kingdom — continued
	8,834,206	Royal Bank of Scotland Group Plc *		45,637,844
	9,695,816	Royal Dutch Shell Plc A Shares (London)		313,581,929
	6,065,227	Royal Dutch Shell Plc - B Shares (London)		204,143,253
	1,373,969	Scottish & Southern Energy Plc		33,288,617
	1,995,344	Spirit Pub Co Plc		2,291,333
	2,048,282	Standard Life Assurance Plc		10,523,592
	10,030,304	Tesco Plc		57,001,713
	11,071,446	Thomas Cook Group Plc *		24,210,903
	4,070,051	TUI Travel Plc		21,731,112
	105,760,535	Vodafone Group Plc		340,709,288
	3,836,544	William Hill Plc		24,694,156
	1,378,069	WPP Plc		25,529,465
		Total United Kingdom		3,086,376,262
		TOTAL COMMON STOCKS (COST $10,993,239,458)		11,685,704,667
		PREFERRED STOCKS — 0.4%
		Germany — 0.4%
	551,139	Porsche Automobil Holding SE 3.15%		46,377,526
		Total Germany		46,377,526
		TOTAL PREFERRED STOCKS (COST $31,360,612)		46,377,526
		MUTUAL FUNDS — 0.7%
		United States — 0.7%
		Affiliated Issuers
	3,532,301	GMO U.S. Treasury Fund		88,307,524
		TOTAL MUTUAL FUNDS (COST $88,312,206)		88,307,524
		SHORT-TERM INVESTMENTS — 1.2%
		Time Deposits — 0.8%
CAD	26	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.28%, due 09/03/13		25
EUR	16	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.00%, due 09/03/13 (a)		20
NZD	1,234	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.70%, due 09/03/13		954
SGD	1,866,838	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/03/13		1,463,498

See accompanying notes to the financial statements. 29

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value		Description	Value ($)
		Time Deposits — continued
JPY	125,104,842	Citibank (New York) Time Deposit, 0.01%, due 09/03/13		1,274,178
AUD	1,186,079	JPMorgan Chase (New York) Time Deposit, 1.67%, due 09/03/13		1,055,669
USD	59,834,978	JPMorgan Chase (New York) Time Deposit, 0.06%, due 09/03/13		59,834,978
USD	24,462,303	Societe Generale (Paris) Time Deposit, 0.06%, due 09/03/13		24,462,303
		Total Time Deposits		88,091,625

Par Value ($)		Description	Value ($)
		U.S. Government — 0.4%
	50,000,000	U.S. Treasury Bill, 0.02%, due 11/29/13 (b)		49,997,404
		Total U.S. Government		49,997,404
		TOTAL SHORT-TERM INVESTMENTS (COST $138,089,029)		138,089,029
		TOTAL INVESTMENTS — 99.5% (Cost $11,251,001,305)		11,958,478,746
		Other Assets and Liabilities (net) — 0.5%		62,112,958
		TOTAL NET ASSETS — 100.0%		$12,020,591,704

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/25/2013	BBH		CAD	9,838,950		USD	9,451,895	$	122,710
10/25/2013	BCLY		CAD	5,915,500		USD	5,684,483		75,470
10/25/2013	BOA		CAD	58,966,802		USD	56,768,171		856,495
10/25/2013	JPM		CAD	4,792,892		USD	4,601,970		57,402
10/25/2013	MSCI		CAD	9,838,951		USD	9,451,233		122,047
10/25/2013	SSB		CAD	24,050,768		USD	23,151,784		347,109
10/25/2013	BBH		EUR	34,992,780		USD	46,996,003		739,361
10/25/2013	BCLY		EUR	39,871,940		USD	53,551,803		845,443
10/25/2013	BNYM		EUR	41,691,222		USD	55,932,527		821,274
10/25/2013	BOA		EUR	44,803,342		USD	59,968,960		743,823
10/25/2013	DB		EUR	36,778,191		USD	49,159,708		542,947
10/25/2013	GS		EUR	21,206,000		USD	28,509,050		477,028
10/25/2013	JPM		EUR	30,145,551		USD	40,491,203		642,069
10/25/2013	MSCI		EUR	33,043,900		USD	44,374,752		694,317
10/25/2013	RBS		EUR	49,533,742		USD	66,566,365		1,088,155
10/25/2013	SSB		EUR	43,877,439		USD	58,500,457		499,264
10/25/2013	BBH		GBP	18,913,885		USD	29,624,251		325,064
10/25/2013	BCLY		GBP	21,106,445		USD	33,057,695		362,050
10/25/2013	BNYM		GBP	34,223,141		USD	53,659,832		645,329
10/25/2013	BOA		GBP	125,192		USD	196,014		2,082
10/25/2013	DB		GBP	546,442		USD	856,400		9,916
10/25/2013	JPM		GBP	17,597,128		USD	27,592,262		332,841
10/25/2013	MSCI		GBP	5,430,756		USD	8,505,949		93,254
10/25/2013	SSB		GBP	8,798,564		USD	13,776,334		146,624
10/25/2013	BBH		NOK	22,417,662		USD	3,758,704		102,715
10/25/2013	BCLY		NOK	22,417,661		USD	3,765,016		109,028
10/25/2013	BNYM		NOK	44,835,323		USD	7,509,916		197,938
10/25/2013	BOA		NOK	109,597,458		USD	18,318,184		444,460
10/25/2013	DB		NOK	188,036,216		USD	31,569,829		903,904
10/25/2013	BCLY		NZD	21,624,484		USD	17,187,572		535,844

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/25/2013	BOA		NZD	21,213,762		USD	16,860,677	$	525,221
10/25/2013	BBH		USD	100,441,475		HKD	778,694,634		(5,610	)
10/25/2013	BCLY		USD	4,964,593		DKK	27,738,755		(47,660	)
10/25/2013	BCLY		USD	59,759,215		HKD	463,301,664		(2,667	)
10/25/2013	BCLY		USD	37,574,699		JPY	3,647,282,085		(418,382	)
10/25/2013	BCLY		USD	44,403,604		SGD	56,610,066		(21,653	)
10/25/2013	BNYM		USD	53,342,458		HKD	413,559,809		(1,603	)
10/25/2013	BNYM		USD	40,474,713		JPY	3,894,193,605		(803,010	)
10/25/2013	BNYM		USD	47,978,543		SGD	61,129,462		(53,413	)
10/25/2013	BOA		USD	60,458,434		HKD	468,714,654		(3,720	)
10/25/2013	BOA		USD	10,482,920		JPY	1,018,295,160		(109,142	)
10/25/2013	BOA		USD	137,286,750		SGD	175,137,393		19,912
10/25/2013	DB		USD	21,925,957		HKD	169,991,948		(433	)
10/25/2013	DB		USD	40,312,981		JPY	3,894,193,606		(641,278	)
10/25/2013	DB		USD	20,767,496		SGD	26,478,557		(8,466	)
10/25/2013	GS		USD	24,674,880		HKD	191,294,376		(1,773	)
10/25/2013	JPM		USD	71,814,145		HKD	556,765,877		(2,603	)
10/25/2013	JPM		USD	55,774,810		SGD	71,069,267		(56,933	)
10/25/2013	MSCI		USD	42,276,269		HKD	327,749,187		(3,250	)
10/25/2013	MSCI		USD	17,171,746		JPY	1,669,232,828		(166,606	)
10/25/2013	MSCI		USD	18,855,757		SGD	24,045,766		(4,021	)
10/25/2013	RBS		USD	35,323,934		HKD	273,863,848		(1,034	)
10/25/2013	SSB		USD	83,408,469		SGD	106,430,874		32,696
								$	11,110,535

30 See accompanying notes to the financial statements.

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
751	DAX	September 2013	$	201,466,084	$	(1,615,953	)
156	FTSE/MIB	September 2013		17,176,823		553,929
182	SPI 200	September 2013		20,623,501		915,645
166	TOPIX	September 2013		18,504,747		(1,151,415	)
				$257,771,155	$	(1,297,794	)
Sales
451	S&P Toronto 60	September 2013	$	62,205,715	$	(1,396,650	)
				$62,205,715	$	(1,396,650	)

As of August 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

(a) Rate rounds to 0.00%.

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 53.

See accompanying notes to the financial statements. 31

GMO International Small Companies Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		95.0	%
Mutual Funds		2.5
Preferred Stocks		1.4
Short-Term Investments		0.4
Forward Currency Contracts		0.1
Rights/Warrants		0.0	^
Futures Contracts		(0.2	)
Other		0.8
		100.0	%
Country Summary*	% of Investments
Japan		26.8	%
United Kingdom		22.0
Germany		8.1
Italy		6.5
France		6.1
Australia		3.7
Spain		3.3
Ireland		3.1
Switzerland		2.7
Singapore		2.1
Hong Kong		1.9
Netherlands		1.6
Greece		1.3
Denmark		1.1
South Korea		1.1
Sweden		1.0
Norway		0.8
Brazil		0.7
China		0.7
Taiwan		0.7
Belgium		0.6
Russia		0.6
Canada		0.5
Portugal		0.5
Finland		0.4
Israel		0.4
Mexico		0.3
Thailand		0.3
Austria		0.2
India		0.2
Indonesia		0.2
Turkey		0.2
New Zealand		0.1
Philippines		0.1
South Africa		0.1
Czech Republic		0.0	^
Malaysia		0.0	^
		100.0	%

^ Rounds to 0.0%.

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

Industry Group Summary	% of Equity Investments**
Capital Goods		13.4	%
Materials		9.7
Retailing		9.4
Diversified Financials		7.8
Consumer Services		7.2
Insurance		6.5
Transportation		5.1
Real Estate		4.8
Software & Services		3.9
Automobiles & Components		3.7
Consumer Durables & Apparel		3.3
Food, Beverage & Tobacco		2.8
Commercial & Professional Services		2.6
Media		2.6
Energy		2.5
Food & Staples Retailing		2.4
Pharmaceuticals, Biotechnology & Life Sciences		2.4
Technology Hardware & Equipment		2.3
Utilities		2.1
Telecommunication Services		1.7
Semiconductors & Semiconductor Equipment		1.3
Health Care Equipment & Services		0.8
Banks		0.7
Household & Personal Products		0.6
Commercial Services & Supplies		0.4
		100.0	%

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

32

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.0%
		Australia — 3.8%
	1,152,966	Arrium Ltd		1,143,241
	411,551	BlueScope Steel Ltd *		1,820,208
	213,777	Downer Edi Ltd		785,462
	39,320	Flight Centre Ltd		1,636,109
	648,151	Goodman Fielder Ltd *		424,827
	93,763	JB Hi–Fi Ltd		1,568,178
	703,123	Myer Holdings Ltd		1,713,938
	773,950	PaperlinX Ltd *		39,774
	8,149	Perpetual Trustees Australia Ltd		277,077
	248,499	Primary Health Care Ltd		1,137,865
	5,728	REA Group Ltd		183,972
	494,316	Seven West Media Ltd		1,027,283
	241,888	TABCORP Holdings Ltd		691,497
		Total Australia		12,449,431
		Austria — 0.2%
	7,373	Flughafen Wien AG		472,031
	1,761,602	Immofinanz AG (Entitlement Shares) *		—
	10,332	RHI AG		325,283
		Total Austria		797,314
		Belgium — 0.6%
	21,808	Delhaize Group		1,393,078
	10,162	GIMV NV		485,643
	1,741	Tessenderlo Chemie NV *		18
		Total Belgium		1,878,739
		Brazil — 0.3%
	30,100	Companhia de Saneamento de Minas Gerais-Copasa MG *		362,696
	92,700	Estacio Participacoes SA		682,249
		Total Brazil		1,044,945
		Canada — 2.9%
	26,100	Artis Real Estate Investment Trust (REIT)		335,759
	31,100	Davis & Henderson Income Corp		767,387
	21,800	Dorel Industries Inc - Class B		745,087
	27,700	Element Financial Corp *		322,417
	16,500	Empire Co Ltd		1,269,966
	44,500	Ensign Energy Services Inc		742,723
	25,500	Genworth MI Canada Inc		681,501
	13,700	Industrial Alliance Insurance & Financial Services Inc		537,569
	19,800	Methanex Corp		920,165
	34,100	Parkland Fuel Corp		563,315
	38,600	Precision Drilling Corp		380,027
	69,000	RONA Inc		704,215
	117,700	Sherritt International Corp		411,218
	39,800	Superior Plus Corp		415,268

Shares		Description	Value ($)
		Canada — continued
	49,425	Transcontinental Inc		642,389
		Total Canada		9,439,006
		China — 0.7%
	538,000	Anton Oilfield Services Group/Hong Kong		341,080
	534,116	Jiangsu Future Land Co Ltd - Class B		334,270
	358,000	Kingsoft Corp Ltd		755,811
	1,884,173	Shenzhen Investment Ltd		776,018
		Total China		2,207,179
		Czech Republic — 0.0%
	3,256	Pegas Nonwovens SA		95,785
		Denmark — 1.1%
	60,264	Pandora A/S		2,167,285
	74,025	Vestas Wind Systems A/S *		1,384,523
		Total Denmark		3,551,808
		Finland — 0.4%
	30,061	Huhtamaki Oyj		587,658
	39,588	Tieto Oyj		787,457
		Total Finland		1,375,115
		France — 4.7%
	125,595	Air France–KLM *		944,739
	31,001	Bouygues SA		968,004
	17,756	Groupe Steria SCA		267,120
	10,487	Lagardere SCA		319,595
	171,666	Peugeot SA *		2,438,508
	18,167	Plastic Omnium SA		1,198,789
	26,456	Rallye SA		930,580
	201,391	Solocal Group *		450,164
	160,209	STMicroelectronics NV		1,281,654
	69,226	Teleperformance		3,116,049
	61,841	UbiSoft Entertainment SA *		934,265
	24,721	Valeo SA		1,860,685
	7,877	Wendel		959,360
		Total France		15,669,512
		Germany — 5.8%
	32,228	Aurubis AG		1,858,875
	17,345	Bechtle AG		839,750
	5,942	Bertrandt AG		653,976
	89,479	Deutsche Lufthansa AG (Registered) *		1,596,279
	36,002	Drillisch AG		752,375
	29,201	Duerr AG		1,958,355
	173,867	Freenet AG		4,104,201
	11,778	Hannover Rueck SE		822,156
	39,101	Kloeckner & Co SE *		504,217
	25,286	KUKA AG		1,062,541

See accompanying notes to the financial statements. 33

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	4,305	Morphosys AG *		311,071
	33,074	ProSiebenSat.1 Media AG (Registered)		1,400,937
	193,959	Sky Deutschland AG *		1,622,739
	13,886	Stada Arzneimittel AG		671,911
	93,575	TUI AG *		1,084,699
		Total Germany		19,244,082
		Greece — 1.3%
	111,009	Alapis Holding Industrial and Commercial SA *		6,015
	306,369	Intralot SA		610,796
	103,443	Jumbo SA		1,093,249
	790,261	Marfin Investment Group Holdings SA *		293,429
	74,302	Motor Oil (Hellas) Corinth Refineries SA		692,675
	173,887	Public Power Corp SA		1,637,710
		Total Greece		4,333,874
		Hong Kong — 1.8%
	249,000	AAC Technologies Holdings Inc		1,123,634
	167,000	Great Eagle Holdings Ltd		570,637
	5,436,000	Hanergy Solar Group Ltd *		516,536
	348,800	HKR International Ltd		162,450
	318,000	Kowloon Development Co Ltd		381,399
	124,000	Luk Fook Holdings International Ltd		420,115
	196,400	Man Wah Holdings Ltd		236,862
	557,000	Melco International Development Ltd		1,264,392
	520,000	Texwinca Holdings Ltd		489,293
	684,000	Xinyi Glass Holdings Ltd		636,050
		Total Hong Kong		5,801,368
		India — 0.2%
	83,082	Gitanjali Gems Ltd		90,582
	558,417	Housing Development & Infrastructure Ltd *		277,282
	275,905	Rain Industries Ltd		151,247
		Total India		519,111
		Indonesia — 0.2%
	42,939,000	Bakrie & Brothers Tbk PT *		196,607
	3,896,000	Trada Maritime Tbk PT *		498,401
		Total Indonesia		695,008
		Ireland — 3.1%
	53,595	DCC Plc		2,128,260
	517,640	Fyffes Plc		513,663
	87,072	Glanbia Plc		1,162,903
	287,666	Smurfit Kappa Group Plc		5,850,723
	427,401	Total Produce Ltd		426,284
		Total Ireland		10,081,833
		Israel — 0.4%
	273,847	Africa Israel Investments Ltd *		482,396

Shares		Description	Value ($)
		Israel — continued
	22,877	Gazit-Globe Ltd		275,948
	431,042	Israel Discount Bank Ltd - Class A *		675,335
		Total Israel		1,433,679
		Italy — 5.6%
	725,941	A2A SPA		629,708
	57,830	Astaldi SPA		442,708
	81,296	Autostrada Torino-Milano SPA *		962,097
	103,833	Azimut Holding SPA		2,228,026
	57,224	Banca Generali SPA		1,292,922
	61,866	Cementir SPA		192,668
	10,158	Danieli & Co SPA		264,145
	83,356	Danieli & Co SPA - RSP		1,448,371
	132,483	Finmeccanica SPA *		677,761
	22,857	Gtech SPA		642,198
	304,518	Iren SPA		351,758
	125,944	Italcementi SPA-Di RISP		410,100
	7,159	Italmobiliare SPA *		171,367
	264,552	Mediaset SPA *		1,085,407
	276,670	Mediolanum SPA		1,925,511
	1,940,573	Milano Assicurazioni SPA *		1,226,950
	137,440	Recordati SPA		1,546,201
	30,741	Safilo Group SPA *		541,498
	25,286	Salvatore Ferragamo Italia SPA		831,520
	84,711	Societa Iniziative Autostradali e Servizi SPA		774,443
	243,841	Unipol Gruppo Finanziario SPA		878,693
		Total Italy		18,524,052
		Japan — 25.7%
	18,500	3-D Matrix Ltd *		501,688
	1,627	Accordia Golf Co Ltd		1,760,979
	22,900	Alpen Co Ltd		437,003
	98,600	AOC Holdings Inc		312,666
	89,800	Arnest One Corp		1,861,525
	23,000	ASKUL Corp		447,773
	809	BIC Camera Inc		350,798
	30,400	Canon Marketing Japan Inc		384,060
	65,300	Century Tokyo Leasing Corp		1,759,353
	34,800	Chiba Kogyo Bank Ltd (The) *		233,712
	15,700	Cocokara fine Inc		460,094
	154	CROOZ Inc		465,263
	230,600	Daiei Inc *		787,879
	41,000	Daiichikosho Co Ltd		1,102,103
	354,000	Daikyo Inc		1,022,313
	142	Daiwahouse Residential Investment Corp (REIT)		521,369
	172	Daiwa Office Investment Corp (REIT)		624,284
	129,300	DCM Holdings Co Ltd		881,261
	131	Dwango Co Ltd		453,152
	147,300	Edion Corp		795,247
	7,200	Enplas Corp		528,087

34 See accompanying notes to the financial statements.

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	17,500	Fuji Soft Inc		295,921
	119,600	Futaba Industrial Co Ltd *		476,392
	39,700	Fuyo General Lease Co Ltd		1,273,619
	73,900	GMO internet Inc		812,823
	142,000	GNI Group Ltd *		541,395
	252,000	Godo Steel Ltd		411,636
	87,500	Gulliver International Co Ltd		467,651
	242,000	Gunze Ltd		601,548
	7,400	Hajime Construction Co Ltd		423,178
	295,000	Hanwa Co Ltd		1,269,142
	23,000	Hitachi Capital Corp		467,565
	303,000	Hitachi Zosen Corp		441,019
	53,400	Hoosiers Holdings Co Ltd *		385,551
	50	Industrial & Infrastructure Fund Investment Corp (REIT)		439,810
	443,000	Ishihara Sangyo Kaisha Ltd *		335,924
	87,400	IT Holdings Corp		1,039,499
	52,500	Itochu Enex Co Ltd		261,089
	77,900	Izumi Co Ltd		2,152,729
	54,700	J Trust Co Ltd		806,627
	183,000	JACCS Co Ltd		786,775
	3,900	Japan Drilling Co Ltd		248,470
	64	Japan Tissue Engineering Co Ltd *		250,518
	104	Japan Excellent Inc (REIT)		551,999
	77,000	J–Oil Mills Inc		237,417
	20,200	K’s Holdings Corp		613,727
	15,400	Kaga Electronics Co Ltd		122,931
	26,000	Kaken Pharmaceutical Co Ltd		396,582
	72,000	Kamei Corp		520,648
	21,000	Kanamoto Co Ltd		483,684
	820,000	Kanematsu Corp *		879,816
	375,000	Kawasaki Kisen Kaisha Ltd		839,205
	221	Kenedix Realty Investment Corp (REIT)		831,066
	29,200	Kewpie Corp		440,080
	79,900	Kohnan Shoji Co Ltd		855,122
	73,900	Kojima Co Ltd		205,422
	12,000	Komeri Co Ltd		296,843
	49,000	Konaka Co Ltd		429,044
	185,000	Krosaki Harima Corp		387,038
	237,000	Kurabo Industries Ltd		372,399
	186,000	Kurimoto Ltd		507,678
	378,000	Maruha Nichiro Holdings Inc		704,241
	1,840	Medinet Co Ltd *		669,582
	65,700	Misawa Homes Co Ltd		932,977
	203,000	Mitsubishi Steel Manufacturing Co Ltd		546,006
	689,000	Mitsui Engineer & Shipbuilding Co Ltd		1,238,222
	213,000	Mitsui Mining & Smelting Co Ltd		494,483
	3,242	Monex Group Inc		1,180,297
	139	Mori Hills REIT Investment Corp (REIT)		772,697
	44,100	Mori Seiki Co Ltd		601,416
	202,000	Morinaga Milk Industry Co Ltd		598,669

Shares		Description	Value ($)
		Japan — continued
	119,000	Nichias Corp		754,467
	106,000	Nichirei Corp		508,290
	64,000	Nippon Chemi-Con Corp *		248,780
	434,000	Nippon Coke & Engineering Co Ltd		491,793
	641,600	Nippon Light Metal Co Ltd		810,094
	31,000	Nippon Paint Co Ltd		444,515
	95,000	Nippon Soda Co Ltd		546,719
	37,000	Nippon Synthetic Chemical Industry Co Ltd		325,936
	109,000	Nippon Flour Mills Co Ltd		530,073
	81,000	Nipro Corp		695,130
	74,000	Nissan Shatai Co Ltd		1,049,145
	79,000	Nissan Tokyo Sales Holdings Co Ltd		243,110
	90,500	Nissan Chemical Industries Ltd		1,234,805
	25,200	Nissha Printing Co Ltd *		417,138
	226,000	NS United Kaiun Kaisha Ltd *		389,842
	75,000	Okasan Securities Co Ltd		556,838
	14,900	Okinawa Electric Power Co		510,217
	343,000	Orient Corp *		805,843
	914	ORIX JREIT Inc (REIT)		962,780
	11,300	Osaka Steel Co Ltd		191,314
	22,500	Pigeon Corp		1,031,762
	9,150	Point Inc		429,092
	101,000	Press Kogyo Co Ltd		393,275
	104,200	Round One Corp		583,629
	225,000	Ryobi Ltd		862,995
	76,600	Sanix Inc *		1,032,320
	99,900	Seiko Epson Corp		1,398,699
	122,000	Seino Holdings Co Ltd		1,083,678
	75,100	Shinko Electric Industries Co Ltd		708,014
	242,000	ShinMaywa Industries Ltd		1,775,129
	80,900	Showa Corp		1,005,619
	77,200	Sodick Co Ltd		336,346
	348,200	Sojitz Corp		618,453
	26,300	Sumisho Computer Systems Corp		610,822
	764,000	Sumitomo Light Metal Industries Ltd		750,026
	34,000	Tadano Ltd.		472,341
	75,000	Taihei Kogyo Co Ltd		251,395
	70,400	Taiyo Yuden Co Ltd		880,649
	383,600	Takara Leben Co Ltd		1,310,490
	106,000	TOA Corp *		145,999
	30,300	Toho Holdings Co Ltd		496,149
	81,000	Tokai Tokyo Financial Holdings		552,705
	134,000	Tokuyama Corp		470,300
	86,000	Tokyo Dome Corp		571,468
	98,000	Tokyotokeiba Co Ltd		414,046
	89	Tokyu REIT Inc (REIT)		452,348
	205,000	Topy Industries Ltd		397,988
	105,000	Toshiba TEC Corp		544,127
	437,000	Tosoh Corp		1,550,753
	302,000	Toyo Tire & Rubber Co Ltd		1,623,583

See accompanying notes to the financial statements. 35

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	26,500	TS Tech Co Ltd		886,853
	57,500	T–Gaia Corp		563,972
	89,000	Uchida Yoko Co Ltd		241,697
	105,000	Uniden Corp *		220,500
	101,400	UNY Co Ltd		644,608
	23,100	Xebio Co Ltd		519,088
	15,700	Zenkoku Hosho Co Ltd		553,444
		Total Japan		84,689,972
		Mexico — 0.3%
	267,600	Kimberly-Clark de Mexico SAB de CV-Series A		762,082
	111,900	OHL Mexico SAB de CV *		282,242
		Total Mexico		1,044,324
		Netherlands — 1.6%
	147,008	Delta Lloyd NV		2,807,681
	18,465	Koninklijke Ten Cate NV		448,582
	187,820	Koninklijke BAM Groep NV		766,988
	258,099	PostNL NV *		910,500
	195,126	SNS REAAL NV * (a)		—
	30,366	Tetragon Financial Group Ltd		309,778
		Total Netherlands		5,243,529
		New Zealand — 0.1%
	242,000	AMP NZ Office Ltd		196,154
	80,713	Fisher & Paykel Healthcare Corp Ltd		221,955
		Total New Zealand		418,109
		Norway — 0.8%
	29,491	Cermaq ASA		486,561
	15,353	Fred Olsen Energy ASA		710,198
	16,313	Norwegian Air Shuttle ASA *		583,180
	2,008,905	Renewable Energy Corp AS *		918,545
		Total Norway		2,698,484
		Philippines — 0.0%
	1,373,300	Lopez Holding Corp		155,077
		Portugal — 0.5%
	45,544	Portucel Empresa Produtora de Pasta e Papel SA		158,245
	1,285,784	Sonae		1,410,150
		Total Portugal		1,568,395
		Singapore — 2.1%
	958,000	Asiasons Capital Ltd *		731,710
	1,484,000	Ausgroup Ltd		353,645
	195,000	Blumont Group Ltd *		279,053
	1,242,000	China Minzhong Food Corp Ltd *		516,039

Shares		Description	Value ($)
		Singapore — continued
	412,000	Ho Bee Investment Ltd		657,131
	157,000	Hong Leong Asia Ltd		175,143
	299,000	Mapletree Commercial Trust (REIT)		262,884
	628,000	Mapletree Industrial Trust (REIT)		628,303
	603,791	Mapletree Logistics Trust (REIT)		498,293
	486,000	Suntec Real Estate Investment Trust (REIT)		577,461
	1,045,000	Swiber Holdings Ltd		510,228
	977,000	Vard Holdings Ltd *		655,691
	133,000	Wheelock Properties Ltd		175,402
	584,676	Wing Tai Holdings Ltd		963,944
		Total Singapore		6,984,927
		South Africa — 0.1%
	76,176	Basil Read Holdings Ltd		58,409
	56,841	Stefanutti Stocks Holdings Ltd *		47,884
	130,358	Super Group Ltd *		278,827
		Total South Africa		385,120
		South Korea — 1.1%
	1,255	Dongwon Industries Co Ltd		325,342
	7,210	KISCO Corp		170,393
	5,085	KISWIRE Ltd		157,888
	10,411	Kolon Corp		182,246
	9,191	Kolon Industries Inc		442,066
	373	Namyang Dairy Products Co Ltd		269,992
	2,305	Nong Shim Holdings Co Ltd		151,721
	43,159	Partron Co Ltd		702,711
	1,341	SeAH Holdings Corp		119,078
	3,473	SeAH Steel Corp		307,219
	4,846	SK Gas Co Ltd		313,902
	319	Taekwang Industrial Co Ltd		331,472
		Total South Korea		3,474,030
		Spain — 3.3%
	35,194	ACS Actividades de Construccion y Servicios SA		989,918
	145,935	Bankinter SA		652,117
	14,466	Corp Financiera Alba SA		754,371
	214,378	Distribuidora Internacional de Alimentacion SA		1,694,561
	103,229	Enagas		2,345,022
	182,284	Gamesa Corp Tecnologica SA *		1,276,742
	114,168	Indra Sistemas SA		1,655,832
	107,917	International Consolidated Airlines Group SA *		479,309
	30,162	Obrascon Huarte Lain SA		1,035,593
		Total Spain		10,883,465
		Sweden — 1.0%
	7,414	Axfood AB		330,323
	12,057	Hexpol AB		832,089
	28,028	NCC AB - Class B		732,654

36 See accompanying notes to the financial statements.

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Sweden — continued
	25,816	SAAB AB - Class B		473,347
	49,315	Trelleborg AB - Class B		831,677
	63,065	Vostok Gas Ltd SDR * (a)		2,093
		Total Sweden		3,202,183
		Switzerland — 2.7%
	7,430	Baloise Holding Ltd		786,202
	30,634	Lonza Group AG (Registered)		2,167,785
	31,004	Swiss Life Holding AG (Registered)		5,806,017
		Total Switzerland		8,760,004
		Taiwan — 0.7%
	386,000	Chipbond Technology Corp		858,985
	89,760	Eclat Textile Co Ltd		798,213
	95,680	Kenda Rubber Industrial Co Ltd		184,858
	126,000	L&K Engineering Co Ltd		105,465
	442,000	Long Bon International Co Ltd		287,524
	430,000	ProMOS Technologies Inc * (a) (b)		—
		Total Taiwan		2,235,045
		Thailand — 0.2%
	2,087,700	Jasmine International Pcl (Foreign Registered)		467,939
	5,409,974	Sansiri Pcl (Foreign Registered)		342,918
		Total Thailand		810,857
		Turkey — 0.2%
	1,202,230	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS - Class D *		586,883
		United Kingdom — 21.5%
	301,597	3i Group Plc		1,676,206
	61,511	Alent Plc		338,441
	177,847	Amlin Plc		1,081,224
	368,475	Ashtead Group Plc		3,672,604
	78,427	Atkins WS Plc		1,430,662
	501,122	Balfour Beatty Plc		1,914,291
	125,478	Beazley Plc		387,422
	25,069	Britvic Plc		222,773
	94,163	Cape Plc		370,370
	215,357	Carillion Plc		957,588
	180,177	Catlin Group Ltd		1,304,714
	248,425	Cobham Plc		1,096,941
	138,769	Dairy Crest Group Plc		1,085,116
	492,095	Darty Plc		615,034
	901,309	Debenhams Plc		1,497,325
	2,089,737	Dixons Retail Plc *		1,336,362
	219,283	DS Smith Plc		876,037
	119,575	easyJet Plc		2,288,011
	536,850	Enterprise Inns Plc *		1,187,987
	818,007	FirstGroup Plc		1,454,910

Shares		Description	Value ($)
		United Kingdom — continued
	31,617	Go–Ahead Group Plc		726,904
	98,737	Greene King Plc		1,275,864
	231,248	Halfords Group Plc		1,297,459
	28,277	Hargreaves Lansdown Plc		437,991
	317,784	Henderson Group Plc		812,980
	980,436	Home Retail Group Plc		2,163,169
	216,184	Howden Joinery Group Plc		943,177
	322,769	Inchcape Plc		2,944,572
	449,130	Intermediate Capital Group Plc		3,047,067
	86,798	Interserve Plc		751,544
	61,577	John Wood Group Plc		768,833
	747,980	Johnston Press Plc *		170,286
	260,703	Ladbrokes Plc		746,464
	51,146	Lancashire Holdings Ltd		570,118
	1,084,867	Man Group Plc		1,370,585
	609,181	Marston’s Plc		1,474,288
	135,848	Micro Focus International Plc		1,666,979
	112,317	Mitie Group Plc		482,239
	96,658	Mondi Plc		1,489,844
	369,634	National Express Group Plc		1,513,520
	333,720	Pace Plc		1,478,656
	45,504	Phoenix Group Holdings		528,521
	95,799	Playtech Ltd		1,005,026
	548,773	Premier Foods Plc *		1,120,932
	1,049,304	Punch Taverns Plc *		210,111
	253,307	Qinetiq Group Plc		738,313
	315,966	Resolution Ltd		1,560,619
	269,366	SIG Plc		731,748
	575,040	Spirit Pub Co Plc		660,341
	21,461	St James’s Place Plc		197,486
	103,362	Stagecoach Group Plc		511,587
	1,907,117	Thomas Cook Group Plc *		4,170,460
	365,863	Trinity Mirror Plc *		675,455
	469,550	TUI Travel Plc		2,507,056
	209,148	Tullett Prebon Plc		1,108,224
	150,757	Vesuvius Plc		1,079,043
	173,092	WH Smith Plc		2,273,245
	129,366	William Hill Plc		832,672
		Total United Kingdom		70,837,396
		TOTAL COMMON STOCKS (COST $283,944,861)		313,119,641
		PREFERRED STOCKS — 1.4%
		Brazil — 0.3%
	162,000	Eletropaulo Metropolitana SA 0.04%		494,972
	70,900	Metalurgica Gerdau SA 0.38%		629,080
		Total Brazil		1,124,052

See accompanying notes to the financial statements. 37

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Germany — 0.5%
	5,006	Biotest AG 0.89%		420,448
	20,058	Jungheinrich AG 2.02%		1,087,911
		Total Germany		1,508,359
		Russia — 0.6%
	857	Transneft 0.90%		1,968,632
		TOTAL PREFERRED STOCKS (COST $4,338,387)		4,601,043
		RIGHTS/WARRANTS — 0.0%
		Malaysia — 0.0%
	11,833	Coastal Contracts Warrants, Expires 07/18/16 *		1,675
		TOTAL RIGHTS/WARRANTS (COST $0)		1,675
		MUTUAL FUNDS — 2.5%
		United States — 2.5%
		Affiliated Issuers
	325,258	GMO U.S. Treasury Fund		8,131,457
		TOTAL MUTUAL FUNDS (COST $8,132,668)		8,131,457

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.4%
		Time Deposits — 0.4%
CAD	13,595	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.28%, due 09/03/13		12,907
EUR	4,249	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.00%, due 09/03/13 (c)		5,615
JPY	1,530,816	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/03/13		15,601
SGD	26,550	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/03/13		20,814
ZAR	164	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.15%, due 09/03/13		16
GBP	20,133	Citibank (New York) Time Deposit, 0.07%, due 09/03/13		31,199
USD	1,410,162	JPMorgan Chase (New York) Time Deposit, 0.06%, due 09/03/13		1,410,162
		Total Time Deposits		1,496,314
		TOTAL SHORT-TERM INVESTMENTS (COST $1,496,314)		1,496,314
		TOTAL INVESTMENTS — 99.3% (Cost $297,912,230)		327,350,130
		Other Assets and Liabilities (net) — 0.7%		2,393,977
		TOTAL NET ASSETS — 100.0%		$329,744,107

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/25/2013	BBH		AUD	2,526,647		USD	2,283,129	$	41,991
10/25/2013	BCLY		AUD	1,664,368		USD	1,503,540		27,245
10/25/2013	JPM		AUD	792,375		USD	723,659		20,822
10/25/2013	BBH		CAD	853,223		USD	819,658		10,641
10/25/2013	BOA		CAD	1,649,161		USD	1,587,671		23,954
10/25/2013	DB		CAD	743,049		USD	714,038		9,487
10/25/2013	JPM		CAD	2,489,547		USD	2,390,377		29,816
10/25/2013	MSCI		CAD	853,223		USD	819,601		10,584
10/25/2013	RBS		CAD	1,404,263		USD	1,349,390		17,883
10/25/2013	BBH		CHF	450,022		USD	490,273		6,414
10/25/2013	DB		CHF	73,047		USD	79,746		1,206
10/25/2013	MSCI		CHF	632,405		USD	689,034		9,078
10/25/2013	RBS		CHF	167,038		USD	182,369		2,771
10/25/2013	BBH		DKK	5,842,914		USD	1,045,637		9,930
10/25/2013	BCLY		DKK	5,829,534		USD	1,051,391		18,056
10/25/2013	BCLY		EUR	696,029		USD	931,444		11,369
10/25/2013	BOA		EUR	1,753,713		USD	2,344,274		26,056
10/25/2013	DB		EUR	2,435,323		USD	3,273,318		54,086
10/25/2013	JPM		EUR	638,296		USD	857,353		13,595
10/25/2013	MSCI		EUR	1,264,966		USD	1,698,727		26,579
10/25/2013	SSB		EUR	1,484,706		USD	1,987,131		24,511
10/25/2013	DB		GBP	347,922		USD	221,998		(4,028	)
10/25/2013	MSCI		GBP	13,052		USD	8,333		(143	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/25/2013	BBH		NOK	4,348,332		USD	729,072	$	19,923
10/25/2013	BOA		NOK	5,891,079		USD	984,638		23,891
10/25/2013	DB		NOK	5,298,888		USD	889,642		25,472
10/25/2013	BBH		USD	108,126		GBP	69,034		(1,186	)
10/25/2013	BBH		USD	1,600,744		HKD	12,410,118		(89	)
10/25/2013	BCLY		USD	495,907		HKD	3,844,668		(22	)
10/25/2013	BCLY		USD	675,382		JPY	65,557,689		(7,520	)
10/25/2013	BCLY		USD	171,408		SGD	218,528		(84	)
10/25/2013	BNYM		USD	3,442,850		HKD	26,692,142		(103	)
10/25/2013	BNYM		USD	1,228,628		JPY	119,543,022		(10,795	)
10/25/2013	BNYM		USD	765,950		SEK	4,972,163		(16,587	)
10/25/2013	BNYM		USD	1,747,609		SGD	2,226,629		(1,946	)
10/25/2013	BOA		USD	3,315,586		HKD	25,704,665		(204	)
10/25/2013	BOA		USD	1,523,745		JPY	148,014,262		(15,864	)
10/25/2013	BOA		USD	342,106		SEK	2,226,068		(6,612	)
10/25/2013	BOA		USD	4,273,851		SGD	5,452,173		620
10/25/2013	DB		USD	644,903		JPY	62,296,937		(10,259	)
10/25/2013	DB		USD	1,385,252		SGD	1,766,196		(565	)
10/25/2013	JPM		USD	1,661,959		HKD	12,884,956		(60	)
10/25/2013	JPM		USD	1,635,901		JPY	159,149,313		(14,584	)
10/25/2013	JPM		USD	630,688		SGD	803,634		(644	)
10/25/2013	MSCI		USD	1,685,883		HKD	13,069,903		(130	)

38 See accompanying notes to the financial statements.

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Forward Currency Contracts (continued)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/25/2013	MSCI		USD	1,827,585		JPY	177,007,237	$	(24,342	)
10/25/2013	MSCI		USD	1,423,525		SGD	1,815,348		(304	)
10/25/2013	RBS		USD	472,805		SEK	3,062,737		(11,215	)
10/25/2013	SSB		USD	1,296,458		HKD	10,051,191		(57	)
10/25/2013	SSB		USD	1,481,738		SGD	1,864,204		(20,213	)
								$	318,424

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
79	CAC40	September 2013	$	4,108,152	$	(177,444	)
21	DAX	September 2013		5,633,539		(133,838	)
9	FTSE 100	September 2013		894,360		(25,182	)
25	FTSE/MIB	September 2013		2,752,696		46,916
2	Hang Seng	September 2013		277,317		(4,096	)
24	TOPIX	September 2013		2,675,385		(195,101	)
			$	16,341,449	$	(488,745	)
Sales
57	S&P Toronto 60	September 2013	$	7,861,920	$	(230,441	)
3	SPI 200	September 2013		339,948		(5,432	)
			$	8,201,868	$	(235,873	)

As of August 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

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

(b) Bankrupt issuer.

(c) Rate rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 53.

See accompanying notes to the financial statements. 39

GMO Resources Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		94.9	%
Preferred Stocks		3.1
Mutual Funds		1.7
Short-Term Investments		0.0	^
Rights/Warrants		0.0	^
Other		0.3
		100.0	%
Country Summary*	% of Equity Investments*
United States		20.3	%
United Kingdom		15.7
Japan		13.5
Russia		7.0
Norway		6.4
Brazil		5.8
Canada		5.8
France		4.9
Spain		3.8
China		2.8
Italy		2.6
Poland		1.6
Singapore		1.3
Austria		1.0
Germany		1.0
Czech Republic		0.9
Israel		0.8
Denmark		0.7
South Africa		0.6
Sweden		0.6
Turkey		0.6
Netherlands		0.5
Australia		0.4
Thailand		0.4
Greece		0.3
Hungary		0.3
Belgium		0.2
Taiwan		0.2
		100.0	%

^ Rounds to 0.00%.

* 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 contracts and other derivative financial instruments, if any.

Industry Group Summary	% of Equity Investments**
Energy		45.3	%
Materials		28.9
Capital Goods		16.2
Utilities		5.5
Food, Beverage & Tobacco		4.1
		100.0	%

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

40

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 94.9%
		Australia — 0.4%
	317,655	Incitec Pivot Ltd		728,260
		Austria — 1.0%
	36,285	OMV AG		1,674,594
	14,526	Verbund AG		279,729
		Total Austria		1,954,323
		Belgium — 0.2%
	61,716	Nyrstar		287,915
		Brazil — 2.6%
	207,200	Petroleo Brasileiro SA (Petrobras)		1,386,862
	244,000	Vale SA		3,519,973
		Total Brazil		4,906,835
		Canada — 5.7%
	38,700	Agrium Inc		3,310,424
	19,500	Calfrac Well Services Ltd		607,975
	21,200	Canyon Services Group Inc		236,294
	33,300	Ensign Energy Services Inc		555,790
	14,800	First Quantum Minerals Ltd		245,753
	25,900	Pacific Rubiales Energy Corp		490,067
	60,200	Petrominerales Ltd		368,641
	84,800	Precision Drilling Corp		834,877
	147,300	Sherritt International Corp		514,634
	42,700	Talisman Energy Inc		456,067
	69,800	Teck Resources Ltd - Class B		1,757,425
	19,400	Total Energy Services Inc		294,877
	33,500	Trican Well Service Ltd		471,029
	57,100	Trinidad Drilling Ltd		492,232
	31,400	Western Energy Services Corp		251,904
		Total Canada		10,887,989
		China — 2.8%
	2,509,000	Asian Citrus Holdings Ltd		932,679
	240,000	China Oilfield Services Ltd - Class H		615,882
	1,126,000	CNOOC Ltd		2,226,431
	746,000	First Tractor Co Ltd - Class H		456,141
	2,508,000	Minmetals Resources Ltd *		562,918
	3,324,000	Sinofert Holdings Ltd		516,886
		Total China		5,310,937
		Czech Republic — 0.9%
	72,230	CEZ AS		1,668,285
		Denmark — 0.7%
	70,272	Vestas Wind Systems A/S *		1,314,329

Shares		Description	Value ($)
		France — 4.8%
	105,166	Electricite de France SA		2,945,879
	114,613	Total SA		6,346,799
		Total France		9,292,678
		Germany — 1.0%
	18,006	Aurubis AG		1,038,566
	33,961	K+S AG		826,682
		Total Germany		1,865,248
		Greece — 0.3%
	92,354	Mytilineos Holdings SA *		487,866
		Hungary — 0.3%
	8,745	MOL Hungarian Oil and Gas Plc		620,687
		Israel — 0.8%
	176,257	Israel Chemicals Ltd		1,219,875
	565	Israel Corp Ltd (The) *		238,701
		Total Israel		1,458,576
		Italy — 2.6%
	109,935	ENI SPA		2,504,076
	202,629	Fiat Industrial SPA		2,423,607
		Total Italy		4,927,683
		Japan — 13.2%
	186	INPEX Corp		838,708
	355,900	Itochu Corp		4,006,448
	14,000	Kurita Water Industries Ltd		281,068
	498,000	Marubeni Corp		3,596,971
	181,000	Mitsubishi Materials Corp		703,527
	247,900	Mitsubishi Corp		4,611,882
	323,300	Mitsui & Co Ltd		4,470,876
	339,000	Mitsui Mining & Smelting Co Ltd		786,993
	57,000	Nihon Nohyaku Co Ltd		628,851
	328,500	Nippon Coke & Engineering Co Ltd		372,244
	69,000	Nittetsu Mining Co Ltd		309,528
	34,700	Shinko Plantech Co Ltd		277,551
	258,700	Sumitomo Corp		3,259,079
	94,000	Sumitomo Metal Mining Co Ltd		1,255,966
		Total Japan		25,399,692
		Netherlands — 0.4%
	43,255	SBM Offshore NV *		849,680
		Norway — 6.2%
	186,875	Austevoll Seafood ASA		1,016,830
	182,107	BW Offshore Ltd		215,904
	41,838	Cermaq ASA		690,270
	15,453	Fred Olsen Energy ASA		714,824

See accompanying notes to the financial statements. 41

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Norway — continued
	562,406	Marine Harvest ASA		521,994
	153,242	Morpol ASA *		285,315
	25,823	Petroleum Geo–Services ASA		330,499
	213,894	Polarcus Ltd *		150,196
	55,167	ProSafe SE		491,422
	71,909	Salmar ASA *		703,690
	125,525	Songa Offshore SE *		132,053
	107,298	Statoil ASA		2,354,043
	24,106	TGS Nopec Geophysical Co ASA		709,452
	92,360	Yara International ASA		3,650,767
		Total Norway		11,967,259
		Poland — 1.6%
	30,105	Jastrzebska Spolka Weglowa SA		633,158
	62,681	KGHM Polska Miedz SA		2,377,550
		Total Poland		3,010,708
		Russia — 6.8%
	585,875	Gazprom OAO Sponsored ADR		4,602,742
	63,471	Lukoil OAO Sponsored ADR		3,677,874
	132,821	Phosagro OAO GDR		1,225,665
	267,004	Rosneft OJSC GDR (Registered)		1,961,519
	32,175	Tatneft Sponsored ADR		1,218,400
	34,164	TMK OAO GDR (Registered)		439,487
		Total Russia		13,125,687
		Singapore — 1.3%
	4,519,000	Golden Agri-Resources Ltd		1,978,724
	454,000	Indofood Agri Resources Ltd		275,375
	534,000	Swiber Holdings Ltd		260,729
		Total Singapore		2,514,828
		South Africa — 0.5%
	33,336	Palabora Mining Co Ltd *		370,340
	14,567	Sasol Ltd		682,054
		Total South Africa		1,052,394
		Spain — 3.8%
	98,974	Endesa SA *		2,304,179
	592,643	Iberdrola SA		3,140,746
	76,982	Repsol YPF SA		1,786,427
		Total Spain		7,231,352
		Sweden — 0.6%
	76,973	Boliden AB		1,123,266
		Taiwan — 0.2%
	713,000	Sinon Corp		351,761

Shares		Description	Value ($)
		Thailand — 0.4%
	74,264	PTT Exploration & Production Pcl (Foreign Registered)		383,038
	42,400	PTT Pcl (Foreign Registered)		429,456
		Total Thailand		812,494
		Turkey — 0.6%
	98,522	Gubre Fabrikalari TAS *		592,459
	335,120	Koza Anadolu Metal Madencilik Isletmeleri AS *		524,694
		Total Turkey		1,117,153
		United Kingdom — 15.4%
	431,853	Amerisur Resources Plc *		293,652
	140,534	Anglo American Plc		3,223,961
	143,254	BHP Billiton Plc		4,166,600
	954,129	BP Plc		6,597,627
	6,600	Ensco Plc - Class A		366,696
	191,579	Kazakhmys Plc		895,383
	162,433	Rio Tinto Plc		7,333,814
	122,227	Royal Dutch Shell Plc - A Shares (London)		3,953,064
	82,153	Royal Dutch Shell Plc - B Shares (London)		2,765,104
		Total United Kingdom		29,595,901
		United States — 19.8%
	49,700	AGCO Corp.		2,811,032
	27,700	Apache Corp.		2,373,336
	5,800	Atwood Oceanics, Inc. *		322,944
	23,100	Baker Hughes, Inc.		1,073,919
	30,900	Basic Energy Services, Inc. *		359,676
	5,600	Berry Petroleum Co. - Class A		230,440
	29,200	C&J Energy Services, Inc. *		599,476
	26,400	Chevron Corp.		3,179,352
	67,500	Chiquita Brands International, Inc. *		832,275
	6,400	Cimarex Energy Co.		536,384
	50,500	ConocoPhillips		3,348,150
	30,800	Deere & Co.		2,576,112
	14,200	Denbury Resources, Inc. *		245,518
	14,400	Devon Energy Corp.		822,096
	37,600	Dole Food Co., Inc. *		515,872
	4,100	Energen Corp.		271,871
	22,400	Exxon Mobil Corp.		1,952,384
	113,100	Freeport–McMoRan Copper & Gold, Inc.		3,417,882
	16,500	Helix Energy Solutions Group, Inc. *		412,995
	24,500	Hess Corp.		1,833,825
	13,300	Joy Global, Inc.		653,296
	45,300	Key Energy Services, Inc. *		302,151
	49,300	Kodiak Oil & Gas Corp. *		492,507
	47,400	Marathon Oil Corp.		1,631,982
	18,900	Mosaic Co. (The)		787,185
	3,700	National Oilwell Varco, Inc.		274,910

42 See accompanying notes to the financial statements.

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	25,600	Newfield Exploration Co. *		609,792
	21,400	Newpark Resources, Inc. *		238,182
	16,700	Noble Corp.		621,240
	4,500	Oil States International, Inc. *		401,490
	82,400	Parker Drilling Co. *		472,976
	44,500	Pioneer Energy Services Corp. *		300,820
	3,500	SM Energy Co.		239,120
	17,400	Stone Energy Corp. *		476,760
	32,700	Superior Energy Services, Inc. *		803,112
	16,700	Unit Corp. *		769,035
	16,400	W&T Offshore, Inc.		253,380
	45,300	Weatherford International Ltd. *		675,423
	6,700	Whiting Petroleum Corp. *		338,149
		Total United States		38,057,049
		TOTAL COMMON STOCKS (COST $188,760,246)		181,920,835
		PREFERRED STOCKS — 3.1%
		Brazil — 3.1%
	251,300	Petroleo Brasileiro SA (Petrobras) 4.67%		1,769,459
	322,087	Vale SA 0.48%		4,198,288
		Total Brazil		5,967,747
		TOTAL PREFERRED STOCKS (COST $7,202,998)		5,967,747
		RIGHTS/WARRANTS — 0.0%
		Italy — 0.0%
	202,629	Fiat Industrial SpA Rights, Expires 10/09/13 *		99
		TOTAL RIGHTS/WARRANTS (COST $0)		99
		MUTUAL FUNDS — 1.7%
		United States — 1.7%
		Affiliated Issuers
	126,277	GMO U.S. Treasury Fund		3,156,914
		TOTAL MUTUAL FUNDS (COST $3,157,811)		3,156,914

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
CAD	4,663	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.28%, due 09/03/13		4,430
USD	69,512	Sumitomo (Tokyo) Time Deposit, 0.06%, due 09/03/13		69,512
		Total Time Deposits		73,942
		TOTAL SHORT-TERM INVESTMENTS (COST $73,942)		73,942
		TOTAL INVESTMENTS — 99.7% (Cost $199,194,997)		191,119,537
		Other Assets and Liabilities (net) — 0.3%		607,553
		TOTAL NET ASSETS — 100.0%		$191,727,090

Notes to Schedule of Investments:

* Non-income producing security.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 53.

See accompanying notes to the financial statements. 43

GMO Risk Premium Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Mutual Funds		38.6	%
Short-Term Investments		6.9
Written Options		(2.9	)
Other		57.4
		100.0	%

44

GMO Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 38.6%
		Affiliated Issuers
	11,130,121	GMO U.S. Treasury Fund		278,253,028
		TOTAL MUTUAL FUNDS (COST $278,323,000)		278,253,028

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 6.9%
		Money Market Fund
	49,956,766	State Street Institutional Treasury Money Market Fund - Institutional Class, 0.00% (a)		49,956,766
		TOTAL SHORT-TERM INVESTMENTS (COST $49,956,766)		49,956,766
		TOTAL INVESTMENTS — 45.5% (Cost $328,279,766)		328,209,794
		Other Assets and Liabilities (net) — 54.5%		393,888,263
		TOTAL NET ASSETS — 100.0%		$722,098,057

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Written Options

Number of Contracts		Expiration Date	Description	Premiums		Market Value
Put	590	09/20/13	EUR Euro STOXX 50, Strike 2,750	$	384,628	$	(505,276	)
Put	4,487	09/20/13	EUR Euro STOXX 50, Strike 2,825		2,357,586		(6,646,947	)
Put	604	09/20/13	GBP FTSE 100, Strike 6,475		909,723		(1,209,190	)
Put	268	09/27/13	HKD Hang Seng, Strike 21,600		830,095		(777,966	)
Put	695	09/13/13	JPY Nikkei 225, Strike 13,625		2,865,046		(3,617,968	)
Put	114	09/13/13	JPY Nikkei 225, Strike 14,000		568,036		(909,888	)
Put	7	09/21/13	USD S&P 500, Strike 1,635		14,959		(17,500	)
Put	1,427	09/21/13	USD S&P 500, Strike 1,660		3,759,413		(5,914,915	)
Put	174	09/20/13	CAD S&P/TSX 60, Strike 720		22,262		(13,133	)
Put	4,173	09/20/13	CAD S&P/TSX 60, Strike 730		426,625		(481,363	)
Put	65	09/19/13	AUD SPI 200, Strike 5,075		75,322		(32,430	)
Put	298	09/19/13	AUD SPI 200, Strike 5,125		247,724		(219,138	)
Put	622	09/19/13	AUD SPI 200, Strike 5,150		553,579		(515,441	)
				$	13,014,998	$	(20,861,155	)

As of August 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 53.

See accompanying notes to the financial statements. 45

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.7	%
Mutual Funds		1.2
Preferred Stocks		0.6
Short-Term Investments		0.2
Forward Currency Contracts		0.0	^
Other		0.3
		100.0	%

Country Summary*	% of Investments
United Kingdom		25.9	%
Japan		21.3
France		13.8
Spain		8.2
Germany		6.8
Italy		5.3
Australia		4.1
Switzerland		3.3
Hong Kong		2.0
Singapore		1.5
Belgium		1.2
Netherlands		1.2
Canada		1.1
Austria		0.7
Finland		0.7
Sweden		0.7
Ireland		0.5
Portugal		0.5
Greece		0.3
New Zealand		0.3
Norway		0.3
Denmark		0.2
Israel		0.1
Malta		0.0	^
		100.0	%

^ Rounds to 0.0%.

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

Industry Group Summary	% of Equity Investments**
Energy		15.5	%
Banks		11.8
Pharmaceuticals, Biotechnology & Life Sciences		11.0
Telecommunication Services		9.0
Capital Goods		7.9
Utilities		6.1
Automobiles & Components		5.7
Insurance		5.4
Materials		5.2
Real Estate		3.0
Retailing		2.8
Diversified Financials		2.6
Consumer Services		2.4
Food, Beverage & Tobacco		2.0
Transportation		1.9
Food & Staples Retailing		1.6
Media		1.2
Technology Hardware & Equipment		1.0
Consumer Durables & Apparel		1.0
Household & Personal Products		0.9
Health Care Equipment & Services		0.8
Software & Services		0.6
Semiconductors & Semiconductor Equipment		0.4
Commercial & Professional Services		0.2
		100.0	%

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

46

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.7%
		Australia — 4.1%
	415,666	Arrium Ltd		412,160
	28,120	BHP Billiton Ltd		889,259
	155,094	BlueScope Steel Ltd *		685,950
	11,506	Commonwealth Bank of Australia		742,298
	51,200	CSL Ltd		3,091,723
	507,912	Goodman Fielder Ltd *		332,908
	28,954	JB Hi–Fi Ltd		484,253
	23,336	Macquarie Group Ltd		904,390
	388,328	Mirvac Group (REIT)		565,857
	88,505	Myer Holdings Ltd		215,741
	29,468	National Australia Bank Ltd		846,358
	156,122	QBE Insurance Group Ltd		2,103,279
	179,199	Stockland (REIT)		592,710
	84,675	TABCORP Holdings Ltd		242,065
	201,890	Tatts Group Ltd		575,221
	486,232	Telstra Corp Ltd		2,115,782
	170,629	Westpac Banking Corp		4,736,636
		Total Australia		19,536,590
		Austria — 0.7%
	3,318	Andritz AG		182,647
	8,906	Erste Group Bank AG		285,782
	88,088	Immofinanz AG (Entitlement Shares) *		—
	32,795	OMV AG		1,513,526
	8,153	Raiffeisen Bank International AG		279,710
	26,449	Voestalpine AG		1,130,360
		Total Austria		3,392,025
		Belgium — 1.1%
	41,633	Ageas		1,637,161
	5,690	Anheuser-Busch InBev NV		530,655
	10,700	Belgacom SA		256,148
	26,132	Delhaize Group		1,669,291
	32,336	KBC Groep NV		1,420,080
		Total Belgium		5,513,335
		Canada — 1.1%
	3,700	Alimentation Couche Tard Inc		213,366
	36,300	Blackberry Ltd *		366,687
	4,700	Canadian Tire Corp Ltd		397,534
	8,700	Canadian Pacific Railway Ltd		1,023,136
	15,100	First Quantum Minerals Ltd		250,735
	7,500	Husky Energy Inc		212,048
	13,800	Magna International Inc - Class A		1,060,712
	8,100	Metro Inc - Class A		518,621
	10,700	Valeant Pharmaceuticals International Inc *		1,052,426
		Total Canada		5,095,265

Shares		Description	Value ($)
		Denmark — 0.2%
	9,927	Coloplast A/S - Class B		538,666
	3,205	Novo-Nordisk A/S - Class B		535,862
		Total Denmark		1,074,528
		Finland — 0.7%
	4,723	Kone Oyj - Class B		385,548
	567,835	Nokia Oyj *		2,203,094
	17,439	Sampo Oyj - Class A		725,903
	3,387	Wartsila Oyj		157,698
		Total Finland		3,472,243
		France — 13.6%
	126,818	Air France–KLM *		953,938
	100,639	AXA		2,193,435
	67,073	BNP Paribas		4,205,252
	54,003	Bouygues SA		1,686,239
	7,168	Bureau Veritas SA		216,165
	30,904	Carrefour SA		967,610
	6,637	Cie Generale des Etablissements Michelin - Class B		635,264
	58,961	Credit Agricole SA *		595,666
	6,226	Dassault Systemes SA		795,571
	1,414	Essilor International SA		152,691
	1,613	Esso SAF		104,422
	40,083	European Aeronautic Defense and Space Co NV		2,308,065
	142,421	GDF Suez		3,090,088
	16,002	GDF Suez VVPR Strip *		21
	7,745	L’Oreal SA		1,293,049
	4,820	Lafarge SA		294,051
	119,154	Orange		1,209,548
	144,914	Peugeot SA *		2,058,497
	4,052	Publicis Groupe SA		301,368
	60,370	Renault SA		4,318,233
	96,403	Sanofi		9,238,926
	88,845	Societe Generale		3,890,823
	38,936	Solocal Group *		87,033
	74,959	STMicroelectronics NV		599,664
	400,005	Total SA		22,150,640
	19,079	Veolia Environnement		294,749
	73,072	Vivendi SA		1,482,242
	2,361	Zodiac Aerospace		342,131
		Total France		65,465,381
		Germany — 6.1%
	3,794	Adidas AG		401,360
	19,475	Allianz SE (Registered)		2,790,117
	13,966	Aurubis AG		805,543
	38,595	Bayer AG (Registered)		4,289,654
	26,856	Celesio AG		560,045

See accompanying notes to the financial statements. 47

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	2,516	Continental AG		379,726
	11,736	Daimler AG (Registered)		805,300
	73,201	Deutsche Lufthansa AG (Registered) *		1,305,884
	9,777	Deutsche Bank AG (Registered)		424,427
	45,524	Deutsche Post AG (Registered)		1,315,901
	14,684	Duerr AG		984,777
	370,257	E.ON AG		5,859,080
	29,880	Freenet AG		705,330
	11,465	Hannover Rueck SE		800,307
	7,275	Kabel Deutschland Holding AG		826,357
	2,978	KUKA AG		125,138
	8,577	Leoni AG		470,777
	5,421	Merck KGaA		823,545
	18,220	Metro AG		667,637
	12,657	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		2,306,360
	49,544	RWE AG		1,360,724
	6,941	Salzgitter AG		263,167
	3,438	SAP AG		253,926
	25,341	Suedzucker AG		818,195
	26,139	TUI AG *		302,997
		Total Germany		29,646,274
		Greece — 0.3%
	71,528	OPAP SA		707,502
	62,842	Public Power Corp SA		591,861
		Total Greece		1,299,363
		Hong Kong — 1.9%
	156,500	AAC Technologies Holdings Inc		706,220
	88,000	Cheung Kong Holdings Ltd		1,254,234
	256,430	Esprit Holdings Ltd		436,048
	278,000	Galaxy Entertainment Group Ltd *		1,687,904
	321,618	Hong Kong & China Gas		745,158
	43,353	Link (REIT)		198,624
	344,000	Pacific Basin Shipping Ltd		213,971
	192,400	Sands China Ltd		1,101,409
	134,000	Sun Hung Kai Properties Ltd		1,733,095
	26,000	Swire Pacific Ltd		297,297
	66,000	Wharf Holdings Ltd (The)		538,446
	115,000	Yue Yuen Industrial Holdings		351,837
		Total Hong Kong		9,264,243
		Ireland — 0.5%
	38,124	C&C Group Plc		211,104
	8,366	DCC Plc		332,214
	9,525	Kerry Group Plc - Class A		600,946
	6,997	Paddy Power Plc		562,828
	28,048	Smurfit Kappa Group Plc		570,457
		Total Ireland		2,277,549

Shares		Description	Value ($)
		Israel — 0.2%
	19,126	Teva Pharmaceutical Industries Ltd		731,119
		Italy — 5.2%
	899,003	A2A SPA		779,829
	45,779	Azimut Holding SPA		982,316
	13,348	Danieli & Co SPA - RSP		231,931
	1,421,101	Enel SPA		4,685,689
	256,296	ENI SPA		5,837,855
	41,052	Exor SPA		1,398,793
	250,436	Fiat SPA *		1,887,247
	256,687	Finmeccanica SPA *		1,313,169
	7,568	Gtech SPA		212,633
	658,850	Intesa Sanpaolo SPA		1,290,443
	411,876	Mediaset SPA *		1,689,850
	45,025	Mediobanca SPA		279,554
	162,338	Mediolanum SPA		1,129,806
	321,227	Milano Assicurazioni SPA *		203,099
	25,205	Recordati SPA		283,556
	58,631	Snam Rete Gas SPA		274,271
	1,854,985	Telecom Italia SPA		1,291,961
	1,513,666	Telecom Italia SPA-Di RISP		836,856
	151,188	Unipol Gruppo Finanziario SPA		544,814
		Total Italy		25,153,672
		Japan — 20.9%
	12,800	ABC-Mart Inc		534,525
	701	Accordia Golf Co Ltd		758,725
	94	Advance Residence Investment Corp (REIT)		190,579
	63,400	Aeon Co Ltd		863,860
	14,700	Alfresa Holdings Corp		694,659
	27,500	Arnest One Corp		570,066
	28,200	Astellas Pharma Inc		1,434,757
	13,000	Bridgestone Corp		424,303
	2,400	Calbee Inc		233,753
	5,200	Central Japan Railway Co		592,036
	192,000	Cosmo Oil Co Ltd *		394,888
	30,600	Daiei Inc *		104,549
	198,000	Daikyo Inc		571,802
	27,400	Daito Trust Construction Co Ltd		2,500,907
	16,000	Daiwa House Industry Co Ltd		285,879
	119,000	Daiwa Securities Group Inc		951,984
	184,000	DIC Corp		467,697
	2,500	Fast Retailing Co Ltd		804,870
	138,000	Fuji Electric Co Ltd		505,360
	97,000	Fuji Heavy Industries Ltd		2,335,224
	17,900	Fuji Oil Co Ltd		313,868
	8,500	Fuyo General Lease Co Ltd		272,689
	74,000	Hanwa Co Ltd		318,361
	970,500	Haseko Corp *		1,125,452
	2,400	Hosiden Corp		12,683

48 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	8,900	Idemitsu Kosan Co Ltd		737,963
	78	INPEX Corp		351,716
	309,500	Itochu Corp		3,484,112
	16,000	Izumi Co Ltd		442,152
	23,600	J Trust Co Ltd		348,015
	303	Japan Retail Fund Investment Corp (REIT)		555,789
	73,200	JFE Holdings Inc		1,605,602
	475,100	JX Holdings Inc		2,496,324
	32,960	K’s Holdings Corp		1,001,408
	51,000	Kajima Corp		181,038
	42,000	Kamigumi Co Ltd		334,388
	116,000	Kanematsu Corp *		124,462
	93,700	Kansai Electric Power Co Inc (The) *		1,045,326
	31,000	Kao Corp		902,271
	308,000	Kawasaki Kisen Kaisha Ltd		689,267
	94,800	KDDI Corp		4,506,640
	900	Keyence Corp		295,682
	9,000	Kinugawa Rubber Industrial Co Ltd		49,994
	331,000	Kobe Steel Ltd *		523,941
	21,600	Kohnan Shoji Co Ltd		231,172
	29,000	Kubota Corp		392,044
	15,000	Kurimoto Ltd		40,942
	8,000	Kyudenko Corp		36,495
	2,800	Lawson Inc		210,282
	131,400	Leopalace21 Corp *		805,095
	272,000	Marubeni Corp		1,964,611
	418,000	Mazda Motor Corp *		1,664,081
	55,000	Medipal Holdings Corp		612,203
	26,900	Misawa Homes Co Ltd		381,995
	23,000	Mitsubishi Estate Co Ltd		594,182
	255,000	Mitsubishi Chemical Holdings Corp		1,194,058
	127,400	Mitsubishi Corp		2,370,124
	94,000	Mitsui Engineer & Shipbuilding Co Ltd		168,930
	19,000	Mitsui Fudosan Co Ltd		594,805
	113,200	Mitsui & Co Ltd		1,565,429
	198,000	Mitsui Mining & Smelting Co Ltd		459,660
	249,000	Mitsui OSK Lines Ltd *		976,400
	968,200	Mizuho Financial Group Inc		1,962,441
	16,100	Nagase & Co		191,422
	19,900	Namco Bandai Holdings Inc		316,545
	84,500	Nippon Coke & Engineering Co Ltd		95,752
	20,000	Nippon Corp		319,855
	356,600	Nippon Light Metal Co Ltd		450,249
	10,100	Nippon Paper Industries Co Ltd		136,981
	66,300	Nippon Telegraph & Telephone Corp		3,363,512
	223,000	Nippon Yusen Kabushiki Kaisha		630,658
	71,900	Nipro Corp		617,036
	14,100	Nisshin Steel Holdings Co Ltd		157,325
	12,000	Nisshinbo Holdings Inc		87,929
	7,000	Nitori Holdings Co Ltd		624,650

Shares		Description	Value ($)
		Japan — continued
	11,800	Nitto Denko Corp		624,047
	229,200	Nomura Holdings Inc		1,580,292
	70,600	North Pacific Bank Ltd		274,536
	119,000	NTN Corp *		435,796
	787	NTT Docomo Inc		1,258,121
	3,000	Ono Pharmaceutical Co Ltd		180,060
	600	Oriental Land Co Ltd		96,615
	29,900	ORIX Corp		407,416
	14,000	Penta-Ocean Construction Co Ltd		32,859
	11,930	Point Inc		559,461
	514,100	Resona Holdings Inc		2,439,444
	40,000	Ricoh Co Ltd		430,432
	58,100	Round One Corp		325,421
	7,400	Ryohin Keikaku Co Ltd		648,362
	7,600	Ryosan Co		127,740
	3,500	Sankyo Co Ltd		162,408
	4,600	Shimamura Co Ltd		468,100
	9,300	Ship Healthcare Holdings Inc		335,425
	3,400	SHO–BOND Holdings Co Ltd		133,777
	26,400	SoftBank Corp		1,646,994
	564,700	Sojitz Corp		1,002,989
	323,000	Sumitomo Light Metal Industries Ltd		317,092
	207,900	Sumitomo Corp		2,619,105
	30,000	Sumitomo Metal Mining Co Ltd		400,840
	33,100	Sumitomo Mitsui Financial Group Inc		1,454,939
	393,000	Sumitomo Mitsui Trust Holdings Inc		1,697,200
	23,000	Sumitomo Realty & Development Co Ltd		1,005,204
	12,500	Suzuken Co Ltd		384,000
	122,000	Taisei Corp		497,224
	29,600	Takara Leben Co Ltd		101,122
	63,100	Takeda Pharmaceutical Co Ltd		2,855,571
	103,200	Tokyo Electric Power Co Inc (The) *		519,432
	31,000	Tokyu Land Corp		285,500
	69,000	TonenGeneral Sekiyu KK		625,258
	322,000	Tosoh Corp		1,142,660
	185,000	Toyobo Co Ltd		302,501
	152,500	Toyota Motor Corp		9,173,095
	75,500	Toyota Tsusho Corp		1,725,376
	26,703	UNY Co Ltd		169,753
	4,860	USS Co Ltd		606,343
	81,600	Wacom Co Ltd		696,370
	1,624	Yahoo! Japan Corp		799,991
	4,390	Yamada Denki Co Ltd		138,269
		Total Japan		100,843,569
		Malta — 0.0%
	1,718,063	BGP Holdings Plc *		—
		Netherlands — 1.2%
	280,253	Aegon NV		1,994,888

See accompanying notes to the financial statements. 49

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Netherlands — continued
	9,581	CSM NV		226,678
	39,003	Delta Lloyd NV		744,912
	1,326	Gemalto NV		152,618
	81,070	ING Groep NV *		882,659
	12,651	Koninklijke Philips Electronics NV		391,195
	96,642	Koninklijke BAM Groep NV		394,650
	123,744	PostNL NV *		436,534
	4,965	Wereldhave NV (REIT)		330,692
		Total Netherlands		5,554,826
		New Zealand — 0.3%
	99,092	Chorus Ltd		222,176
	57,894	Fletcher Building Ltd		390,912
	491,055	Telecom Corp of New Zealand		861,194
		Total New Zealand		1,474,282
		Norway — 0.3%
	33,852	DNB ASA		524,771
	31,332	Statoil ASA		687,402
	7,596	TGS Nopec Geophysical Co ASA		223,554
		Total Norway		1,435,727
		Portugal — 0.5%
	612,118	EDP-Energias de Portugal SA		2,163,316
	88,211	Portugal Telecom SGPS SA		332,974
		Total Portugal		2,496,290
		Singapore — 1.5%
	317,000	Asiasons Capital Ltd *		242,121
	208,000	CapitaCommercial Trust (REIT)		220,185
	356,000	China Minzhong Food Corp Ltd *		147,915
	398,000	Ezion Holdings Ltd		705,452
	217,000	Ezra Holdings Ltd *		140,769
	3,889,000	Golden Agri-Resources Ltd		1,702,867
	198,000	Ho Bee Investment Ltd		315,806
	626,000	Noble Group Ltd		395,688
	61,000	Singapore Press Holdings Ltd		187,746
	621,670	Singapore Telecommunications Ltd		1,706,994
	2	Suntec Real Estate Investment Trust (REIT)		2
	341,067	Swiber Holdings Ltd		166,528
	86,000	United Overseas Land		430,078
	97,000	Vard Holdings Ltd *		65,099
	735,000	Yangzijiang Shipbuilding Holdings Ltd		543,286
	247,000	Yanlord Land Group Ltd		225,942
		Total Singapore		7,196,478
		Spain — 8.1%
	40,357	Abengoa SA		105,302
	28,704	ACS Actividades de Construccion y Servicios SA		807,371

Shares		Description	Value ($)
		Spain — continued
	25,372	Amadeus IT Holding SA - Class A		819,399
	466,361	Banco Bilbao Vizcaya Argentaria SA		4,456,772
	1,481,836	Banco Santander SA		10,471,007
	103,312	Distribuidora Internacional de Alimentacion SA		816,634
	19,681	Enagas		447,087
	49,973	Ferrovial SA		827,970
	132,240	Gas Natural SDG SA		2,589,218
	20,151	Grifols SA		809,337
	573,248	Iberdrola SA		3,037,961
	10,461	Inditex SA		1,383,131
	106,849	Mapfre SA		359,868
	132,694	Repsol YPF SA		3,079,268
	656,098	Telefonica SA *		8,919,340
		Total Spain		38,929,665
		Sweden — 0.6%
	40,819	Investor AB		1,176,290
	32,601	Skandinaviska Enskilda Banken AB - Class A		334,472
	11,790	Svenska Handelsbanken AB - A Shares		505,738
	49,006	Swedbank AB - Class A		1,108,422
		Total Sweden		3,124,922
		Switzerland — 3.2%
	25,228	ABB Ltd		539,572
	4,893	Compagnie Financiere Richemont SA - Class A		464,489
	46,145	Credit Suisse Group AG (Registered)		1,330,103
	88,192	Novartis AG (Registered)		6,424,763
	18,049	Roche Holding AG (Non Voting)		4,498,988
	1,058	Swatch Group AG		608,626
	5,435	Swiss Life Holding AG (Registered)		1,017,795
	8,949	Swiss Re AG		685,797
		Total Switzerland		15,570,133
		United Kingdom — 25.4%
	126,978	Aberdeen Asset Management Plc		693,870
	37,205	Admiral Group Plc		728,065
	69,450	Amlin Plc		422,223
	86,599	ARM Holdings Plc		1,171,584
	20,070	Associated British Foods Plc		574,178
	257,644	AstraZeneca Plc		12,685,723
	37,454	Aviva Plc		224,187
	22,127	Babcock International Group Plc		389,992
	577,495	BAE Systems Plc		3,893,260
	74,235	Balfour Beatty Plc		283,578
	1,516,003	Barclays Plc		6,641,015
	47,442	Barratt Developments Plc *		223,353
	87,688	BG Group Plc		1,668,538
	121,071	BHP Billiton Plc		3,521,398

50 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	2,107,829	BP Plc		14,575,252
	219,337	BT Group Plc		1,104,695
	35,613	Bunzl Plc		751,585
	173,543	Cobham Plc		766,294
	3,543	Croda International Plc		142,692
	75,038	Diageo Plc		2,299,643
	71,035	Drax Group Plc		767,791
	33,358	easyJet Plc		638,290
	84,459	FirstGroup Plc		150,219
	125,281	GlaxoSmithKline Plc		3,195,113
	41,210	Halfords Group Plc		231,216
	244,115	Home Retail Group Plc		538,599
	104,636	HSBC Holdings Plc		1,095,534
	2,021	IMI Plc		44,982
	36,147	Imperial Tobacco Group Plc		1,195,169
	66,559	Inchcape Plc		607,207
	18,106	InterContinental Hotels Group Plc		507,068
	5,108	Intertek Group Plc		253,253
	93,368	ITV Plc		238,194
	548,994	Legal & General Group Plc		1,590,360
	3,796,074	Lloyds Banking Group Plc *		4,269,913
	195,428	Man Group Plc		246,897
	38,143	Next Plc		2,892,969
	11,249	Persimmon Plc, Bonus Shares		191,729
	54,907	Premier Foods Plc *		112,154
	149,098	Prudential Plc		2,493,821
	20,616	Reckitt Benckiser Group Plc		1,401,046
	44,091	Reed Elsevier Plc		540,670
	165,064	Rio Tinto Plc		7,452,603
	85,111	Rolls-Royce Holdings Plc		1,467,970
	53,593	Royal Bank of Scotland Group Plc *		276,863
	91,662	Royal Dutch Shell Group Class A (Amsterdam)		2,965,161
	273,326	Royal Dutch Shell Plc A Shares (London)		8,839,905
	172,064	Royal Dutch Shell Plc B Shares (London)		5,791,326
	24,570	Scottish & Southern Energy Plc		595,284
	164,965	Spirit Pub Co Plc		189,436
	155,165	Standard Life Assurance Plc		797,201
	273,820	Tesco Plc		1,556,105
	519,718	Thomas Cook Group Plc *		1,136,513
	154,102	TUI Travel Plc		822,793
	26,105	Vesuvius Plc		186,846
	3,349,439	Vodafone Group Plc		10,790,272
	13,792	Whitbread Plc		658,753
	199,629	William Hill Plc		1,284,925
	100,307	WPP Plc		1,858,241
		Total United Kingdom		122,633,516
		TOTAL COMMON STOCKS (COST $387,677,783)		471,180,995

Shares / Par Value		Description	Value ($)
		PREFERRED STOCKS — 0.6%
		Germany — 0.6%
	9,120	Henkel AG & Co KGaA, 1.28%		883,803
	20,674	Porsche Automobil Holding SE 3.15%		1,739,686
		Total Germany		2,623,489
		TOTAL PREFERRED STOCKS (COST $1,655,083)		2,623,489
		MUTUAL FUNDS — 1.2%
		United States — 1.2%
		Affiliated Issuers
	237,246	GMO U.S. Treasury Fund		5,931,149
		TOTAL MUTUAL FUNDS (COST $5,931,701)		5,931,149
		SHORT-TERM INVESTMENTS — 0.2%
		Time Deposits — 0.2%
CAD	6,005	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.28%, due 09/03/13		5,701
EUR	816	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.00%, due 09/03/13 (a)		1,079
GBP	2,932	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.07%, due 09/03/13		4,544
NZD	4,521	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.70%, due 09/03/13		3,494
SGD	71,647	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/03/13		56,130
AUD	31,580	JPMorgan Chase (New York) Time Deposit, 1.67%, due 09/03/13		28,108
USD	858,364	JPMorgan Chase (New York) Time Deposit, 0.06%, due 09/03/13		858,364
		Total Time Deposits		957,420
		TOTAL SHORT-TERM INVESTMENTS (COST $957,420)		957,420
		TOTAL INVESTMENTS — 99.7% (Cost $396,221,987)		480,693,053
		Other Assets and Liabilities (net) — 0.3%		1,426,791
		TOTAL NET ASSETS — 100.0%		$482,119,844

See accompanying notes to the financial statements. 51

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/25/2013	BBH		CAD	571,199		USD	548,729	$	7,124
10/25/2013	BOA		CAD	310,511		USD	298,933		4,510
10/25/2013	BCLY		EUR	2,701,859		USD	3,628,853		57,290
10/25/2013	BOA		EUR	6,056,761		USD	8,106,932		100,554
10/25/2013	DB		EUR	13,513,483		USD	18,163,473		300,120
10/25/2013	MSCI		EUR	3,457,407		USD	4,642,962		72,647
10/25/2013	SSB		EUR	3,457,408		USD	4,627,395		57,078
10/25/2013	BCLY		GBP	158,056		USD	247,553		2,711
10/25/2013	BOA		GBP	2,746,553		USD	4,258,118		3,479
10/25/2013	DB		GBP	51,986		USD	81,474		943
10/25/2013	MSCI		GBP	3,289,096		USD	5,151,563		56,479
10/25/2013	BBH		USD	4,551,996		CHF	4,178,277		(59,548	)
10/25/2013	BCLY		USD	1,564,623		CHF	1,432,428		(24,489	)
10/25/2013	BOA		USD	4,547,933		CHF	4,178,277		(55,486	)
10/25/2013	BOA		USD	6,938,315		JPY	673,977,546		(72,237	)
10/25/2013	DB		USD	4,561,438		CHF	4,178,277		(68,990	)
10/25/2013	DB		USD	2,547,023		JPY	246,039,880		(40,517	)
10/25/2013	MSCI		USD	3,398,306		CHF	3,119,013		(44,770	)
10/25/2013	MSCI		USD	2,557,425		JPY	246,039,879		(50,918	)
10/25/2013	SSB		USD	1,278,640		CHF	1,175,217		(15,057	)
								$	230,923

Notes to Schedule of Investments:

* Non-income producing security.

(a) Rate rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 53.

52 See accompanying notes to the financial statements.

GMO Trust Funds

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Portfolio Abbreviations:

ADR - American Depositary Receipt

FDR - Fiduciary Depositary Receipt

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

GDR - Global Depository Receipt

REIT - Real Estate Investment Trust

SDR - Swedish Depository Receipt

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BNYM - Bank of New York Mellon

BOA - Bank of America, N.A.

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

ZAR - South African Rand

See accompanying notes to the financial statements. 53

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2013 (Unaudited)

	Currency Hedged International Equity Fund		Developed World Stock Fund		International Core Equity Fund		International Growth Equity Fund		International Intrinsic Value Fund
Assets:
Investments in unaffiliated issuers, at value (Note 2)(a)	$	70,991,791	$	370,653,051	$	2,037,678,795	$	1,886,824,798	$	11,870,171,222
Investments in affiliated issuers, at value (Notes 2 and 10)(b)		2,341,789,978		11,480,665		42,281,429		49,161,461		88,307,524
Foreign currency, at value (Note 2)(c)		—		317		—		885		702
Receivable for investments sold		—		—		365,785		276,612		2,023,015
Receivable for Fund shares sold		—		—		109,221		5,779		31,449
Dividends and interest receivable		—		866,610		5,323,524		5,566,118		33,128,183
Foreign taxes receivable		—		104,792		3,099,558		2,505,366		6,442,967
Unrealized appreciation on open forward currency contracts (Note 4)		8,108,168		533,372		3,553,947		2,906,925		13,463,792
Receivable for foreign currency sold		—		—		—		66		—
Due from broker (Note 2)		—		1,290,460		4,761,544		3,327,196		22,277,440
Receivable for expenses reimbursed and/or waived by Manager (Note 5)		1,253,324		35,495		202,523		120,156		331,328
Miscellaneous receivable		—		588		2,395		2,141		5,402
Total assets		2,422,143,261		384,965,350		2,097,378,721		1,950,697,503		12,036,183,024
Liabilities:
Foreign currency due to custodian		—		—		8,612		—		—
Payable for investments purchased		—		—		—		289,884		808,717
Payable for Fund shares repurchased		909,858		—		260,625		5,999,293		3,339,327
Accrued capital gain taxes payable (Note 2)		—		—		—		683		2,050
Payable to affiliate for (Note 5):
Management fee		1,141,221		151,003		696,046		869,748		5,294,109
Shareholder service fee		317,006		40,125		190,214		170,318		1,044,357
Payable for foreign currency purchased		—		—		1,613		—		6,184
Payable for variation margin on open futures contracts (Note 4)		—		92,720		354,867		322,286		1,698,733
Unrealized depreciation on open forward currency contracts (Note 4)		7,014,069		141,428		1,548,245		1,444,269		2,353,257
Payable to agents unaffiliated with the Manager		279		62		589		279		1,240
Payable to Trustees and related expenses		2,627		360		9,736		2,903		7,260
Accrued expenses		218,846		141,611		800,865		385,190		1,036,086
Total liabilities		9,603,906		567,309		3,871,412		9,484,853		15,591,320
Net assets	$	2,412,539,355	$	384,398,041	$	2,093,507,309	$	1,941,212,650	$	12,020,591,704
(a)      Cost of investments – unaffiliated issuers:	$	70,991,791	$	323,335,132	$	1,889,784,409	$	1,668,659,155	$	11,162,689,099
(b)      Cost of investments – affiliated issuers:	$	2,069,388,551	$	11,483,965	$	42,292,133	$	49,169,894	$	88,312,206
(c)      Cost of foreign currency:	$	—	$	317	$	—	$	886	$	703

54 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2013 (Unaudited) — (Continued)

	Currency Hedged International Equity Fund		Developed World Stock Fund			International Core Equity Fund			International Growth Equity Fund			International Intrinsic Value Fund
Net assets consist of:
Paid-in capital	$	1,963,724,574	$	418,978,197		$	2,709,982,562		$	1,969,975,956		$	12,439,135,166
Accumulated undistributed net investment income		5,236,136		3,600,577			24,437,787			29,787,892			132,745,830
Accumulated net realized gain (loss)		170,083,268		(85,841,290	)		(789,953,427	)		(277,663,450	)		(1,267,155,275	)
Net unrealized appreciation (depreciation)		273,495,377		47,660,557			149,040,387			219,112,252			715,865,983
	$	2,412,539,355	$	384,398,041		$	2,093,507,309		$	1,941,212,650		$	12,020,591,704
Net assets attributable to:
Class II shares	$	—	$	—		$	—		$	—		$	147,714,589
Class III shares	$	2,412,539,355	$	150,494,868		$	558,892,146		$	254,772,038		$	1,400,704,518
Class IV shares	$	—	$	233,903,173		$	1,403,860,545		$	1,686,440,612		$	10,472,172,597
Class VI shares	$	—	$	—		$	130,754,618		$	—		$	—
Shares outstanding:
Class II		—		—			—			—			6,664,502
Class III		98,373,226		7,195,886			18,447,696			9,673,074			62,506,418
Class IV		—		11,174,588			46,365,737			64,011,138			467,835,374
Class VI		—		—			4,323,801			—			—
Net asset value per share:
Class II	$	—	$	—		$	—		$	—		$	22.16
Class III	$	24.52	$	20.91		$	30.30		$	26.34		$	22.41
Class IV	$	—	$	20.93		$	30.28		$	26.35		$	22.38
Class VI	$	—	$	—		$	30.24		$	—		$	—

See accompanying notes to the financial statements. 55

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2013 (Unaudited) — (Continued)

	International Small Companies Fund		Resources Fund		Risk Premium Fund		Tax-Managed International Equities Fund
Assets:
Investments in unaffiliated issuers, at value (Note 2)(a)	$	319,218,673	$	187,962,623	$	49,956,766	$	474,761,904
Investments in affiliated issuers, at value (Notes 2 and 10)(b)		8,131,457		3,156,914		278,253,028		5,931,149
Foreign currency, at value (Note 2)(c)		230,183		62,721		—		—
Receivable for investments sold		—		—		2,203,989		—
Dividends receivable		598,414		725,857		17,022		1,338,569
Foreign taxes receivable		142,467		12,226		—		312,871
Unrealized appreciation on open forward currency contracts (Note 4)		465,980		—		—		662,935
Receivable for foreign currency sold		15		—		—		—
Due from broker (Note 2)		1,599,520		—		413,781,205		—
Receivable for expenses reimbursed and/or waived by Manager (Note 5)		41,509		20,764		27,993		52,142
Miscellaneous receivable		303		207		739		200
Total assets		330,428,521		191,941,312		744,240,742		483,059,770
Liabilities:
Payable for investments purchased		—		—		385,882		—
Payable for Fund shares repurchased		—		—		492,952		—
Accrued foreign taxes payable (Note 2)		—		—		—		239
Payable to affiliate for (Note 5):
Management fee		174,687		83,057		272,749		211,318
Shareholder service fee		43,671		20,143		34,282		63,396
Payable for variation margin on open futures contracts (Note 4)		136,379		—		—		—
Unrealized depreciation on open forward currency contracts (Note 4)		147,556		—		—		432,012
Written options outstanding, at value (Note 4)(d)		—		—		20,861,155		—
Payable to agents unaffiliated with the Manager		31		31		93		62
Payable to Trustees and related expenses		343		124		622		622
Accrued expenses		181,747		110,867		94,950		232,277
Total liabilities		684,414		214,222		22,142,685		939,926
Net assets	$	329,744,107	$	191,727,090	$	722,098,057	$	482,119,844
(a)      Cost of investments – unaffiliated issuers:	$	289,779,562	$	196,037,186	$	49,956,766	$	390,290,286
(b)      Cost of investments – affiliated issuers:	$	8,132,668	$	3,157,811	$	278,323,000	$	5,931,701
(c)      Cost of foreign currency:	$	233,708	$	64,203	$	—	$	—
(d)      Premiums on written options:	$	—	$	—	$	13,014,998	$	—

56 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2013 (Unaudited) — (Continued)

	International Small Companies Fund			Resources Fund			Risk Premium Fund			Tax-Managed International Equities Fund
Net assets consist of:
Paid-in capital	$	303,160,242		$	196,713,365		$	731,301,653		$	478,710,346
Accumulated undistributed net investment income		—			2,476,953			—			5,837,489
Distributions in excess of net investment income		(3,065,544	)		—			(2,013,546	)		—
Accumulated net realized gain (loss)		616,412			612,065			725,823			(87,128,334	)
Net unrealized appreciation (depreciation)		29,032,997			(8,075,293	)		(7,915,873	)		84,700,343
	$	329,744,107		$	191,727,090		$	722,098,057		$	482,119,844
Net assets attributable to:
Class III shares	$	329,744,107		$	81,697,234		$	7,152,754		$	482,119,844
Class IV shares	$	—		$	110,029,856		$	26,811,011		$	—
Class VI shares	$	—		$	—		$	688,134,292		$	—
Shares outstanding:
Class III		38,063,352			3,945,603			705,240			31,240,259
Class IV		—			5,317,083			2,640,375			—
Class VI		—			—			67,791,463			—
Net asset value per share:
Class III	$	8.66		$	20.71		$	10.14		$	15.43
Class IV	$	—		$	20.69		$	10.15		$	—
Class VI	$	—		$	—		$	10.15		$	—

See accompanying notes to the financial statements. 57

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2013 (Unaudited)

	Currency Hedged International Equity Fund			Developed World Stock Fund			International Core Equity Fund			International Growth Equity Fund			International Intrinsic Value Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax)(a)	$	—		$	5,566,328		$	75,649,706		$	41,201,144		$	213,032,572
Dividends from affiliated issuers (Note 10)		16,663,436			3,986			12,086			11,803			37,928
Interest		16,607			1,350			18,967			11,412			89,469
Total investment income		16,680,043			5,571,664			75,680,759			41,224,359			213,159,969
Expenses:
Management fee (Note 5)		6,399,632			866,058			6,388,983			5,705,741			27,702,495
Shareholder service fee – Class II (Note 5)		—			—			—			—			186,408
Shareholder service fee – Class III (Note 5)		1,777,676			114,048			452,792			215,599			1,105,012
Shareholder service fee – Class IV (Note 5)		—			116,425			651,709			897,674			4,246,361
Shareholder service fee – Class VI (Note 5)		—			—			360,431			—			—
12b-1 fee – Class M* (Note 5)		—			—			—			—			2,286
Administration fee – Class M* (Note 5)		—			—			—			—			1,829
Audit and tax fees		28,336			37,628			43,332			43,516			46,276
Custodian and fund accounting agent fees		102,488			128,432			1,022,488			595,884			1,671,824
Legal fees		20,056			4,876			44,620			21,988			94,024
Registration fees		1,564			1,288			8,740			368			12,328
Transfer agent fees		13,708			21,252			25,484			22,448			33,028
Trustees fees and related expenses (Note 5)		11,316			1,907			23,552			11,960			51,191
Miscellaneous		10,580			11,409			34,730			28,622			65,685
Total expenses		8,365,356			1,303,323			9,056,861			7,543,800			35,218,747
Fees and expenses reimbursed and/or waived by Manager (Note 5)		(175,076	)		(203,228	)		(1,170,516	)		(706,744	)		(1,915,348	)
Expense reductions (Note 2)		(1	)		—			—			(1	)		(24	)
Indirectly incurred fees waived or borne by Manager (Note 5)		(5,804,764	)		—			—			—			—
Shareholder service fee waived (Note 5)		(1,044,858	)		—			—			—			—
Net expenses		1,340,657			1,100,095			7,886,345			6,837,055			33,303,375
Net investment income (loss)		15,339,386			4,471,569			67,794,414			34,387,304			179,856,594
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		—			7,252,983			212,509,480			182,882,376			216,499,946
Investments in affiliated issuers		154,569,640			2,640			999			(11,105	)		—
Realized gain distributions from affiliated issuers (Note 10)		—			929			467			4,299			7,771
Futures contracts		—			2,019,038			8,804,692			9,337,309			46,699,185
Foreign currency, forward contracts and foreign currency related transactions		30,089,330			(339,194	)		11,247,904			9,590,967			(17,406,920	)
Net realized gain (loss)		184,658,970			8,936,396			232,563,542			201,803,846			245,799,982
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		—			18,095,087			(17,996,700	)		(114,850,392	)		207,186,386
Investments in affiliated issuers		(26,542,888	)		(3,300	)		(10,704	)		(8,433	)		—
Futures contracts		—			(680,649	)		7,765,366			1,219,135			(14,736,402	)
Foreign currency, forward contracts and foreign currency related transactions		(9,592,818	)		110,337			225,927			(278,498	)		(541,642	)
Net unrealized gain (loss)		(36,135,706	)		17,521,475			(10,016,111	)		(113,918,188	)		191,908,342
Net realized and unrealized gain (loss)		148,523,264			26,457,871			222,547,431			87,885,658			437,708,324
Net increase (decrease) in net assets resulting from operations	$	163,862,650		$	30,929,440		$	290,341,845		$	122,272,962		$	617,564,918
(a)    Withholding tax:	$	—		$	438,116		$	8,721,084		$	3,535,854		$	21,815,335

* Class M liquidated on March 27, 2013.

58 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2013 (Unaudited) — (Continued)

	International Small Companies Fund			Resources Fund			Risk Premium Fund			Tax-Managed International Equities Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax)(a)	$	5,431,060		$	3,113,792		$	—		$	9,630,608
Dividends from affiliated issuers (Note 10)		1,527			893			119,509			1,501
Interest		1,770			1,595			—			1,493
Total investment income		5,434,357			3,116,280			119,509			9,633,602
Expenses:
Management fee (Note 5)		1,004,005			403,542			1,588,605			1,230,864
Shareholder service fee – Class III (Note 5)		251,001			63,894			5,248			369,259
Shareholder service fee – Class IV (Note 5)		—			38,112			4,278			—
Shareholder service fee – Class VI (Note 5)		—			—			189,886			—
Audit and tax fees		45,540			33,856			28,244			45,444
Custodian and fund accounting agent fees		186,484			115,276			112,792			204,976
Legal fees		4,048			1,472			7,084			4,784
Registration fees		1,380			414			3,809			1,380
Transfer agent fees		13,800			13,892			—			13,708
Trustees fees and related expenses (Note 5)		1,658			904			3,486			2,576
Miscellaneous		21,162			7,064			5,957			20,148
Total expenses		1,529,078			678,426			1,949,389			1,893,139
Fees and expenses reimbursed and/or waived by Manager (Note 5)		(262,752	)		(88,211	)		(156,989	)		(282,256	)
Expense reductions (Note 2)		(11	)		(31	)		(23	)		—
Net expenses		1,266,315			590,184			1,792,377			1,610,883
Net investment income (loss)		4,168,042			2,526,096			(1,672,868	)		8,022,719
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (Net of foreign capital gains tax) (Note 2)(b)		19,802,640			860,274			—			12,302,339
Investments in affiliated issuers		1,198			(1,189	)		—			(2,442	)
Realized gain distributions from affiliated issuers (Note 10)		520			98			24,486			438
Futures contracts		1,518,268			—			—			—
Written options		—			—			769,169			—
Foreign currency, forward contracts and foreign currency related transactions		226,156			(60,566	)		77,156			327,689
Net realized gain (loss)		21,548,782			798,617			870,811			12,628,024
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(5,277,869	)		(8,976,813	)		—			9,839,921
Investments in affiliated issuers		(1,211	)		(897	)		—			1,605
Futures contracts		(339,656	)		—			—			—
Written options		—			—			(10,684,532	)		—
Foreign currency, forward contracts and foreign currency related transactions		318,404			(4,098	)		1,602			156,528
Net unrealized gain (loss)		(5,300,332	)		(8,981,808	)		(10,682,930	)		9,998,054
Net realized and unrealized gain (loss)		16,248,450			(8,183,191	)		(9,812,119	)		22,626,078
Net increase (decrease) in net assets resulting from operations	$	20,416,492		$	(5,657,095	)	$	(11,484,987	)	$	30,648,797
(a)    Withholding tax:	$	431,052		$	364,971		$	—		$	1,020,095
(b)    Foreign capital gains tax:	$	2,288		$	—		$	—		$	—

See accompanying notes to the financial statements. 59

GMO Trust Funds

Statements of Changes in Net Assets

	Currency Hedged International Equity Fund						Developed World Stock Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	15,339,386		$	82,273,805		$	4,471,569		$	8,123,323
Net realized gain (loss)		184,658,970			138,375,815			8,936,396			13,618,415
Change in net unrealized appreciation (depreciation)		(36,135,706	)		157,889,396			17,521,475			6,760,707
Net increase (decrease) in net assets from operations		163,862,650			378,539,016			30,929,440			28,502,445
Distributions to shareholders from:
Net investment income:
Class III		(86,130,676	)		(67,902,089	)		(1,212,646	)		(3,758,014	)
Class IV		—			—			(1,872,251	)		(5,564,409	)
Total distributions from net investment income		(86,130,676	)		(67,902,089	)		(3,084,897	)		(9,322,423	)
Net realized gains:
Class III		(49,885,344	)		(35,023,168	)		—			—
Total distributions from net realized gains		(49,885,344	)		(35,023,168	)		—			—
Net share transactions (Note 9):
Class III		127,978,259			(437,064,588	)		(5,669,259	)		(10,090,587	)
Class IV		—			—			1,872,250			5,584,649
Increase (decrease) in net assets resulting from net share transactions		127,978,259			(437,064,588	)		(3,797,009	)		(4,505,938	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			16,141			42,712
Class IV		—			—			—			144
Increase in net assets resulting from purchase premiums and redemption fees		—			—			16,141			42,856
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		127,978,259			(437,064,588	)		(3,780,868	)		(4,463,082	)
Total increase (decrease) in net assets		155,824,889			(161,450,829	)		24,063,675			14,716,940
Net assets:
Beginning of period		2,256,714,466			2,418,165,295			360,334,366			345,617,426
End of period	$	2,412,539,355		$	2,256,714,466		$	384,398,041		$	360,334,366
Accumulated undistributed net investment income	$	5,236,136		$	76,027,426		$	3,600,577		$	2,213,905

60 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Core Equity Fund						International Growth Equity Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	67,794,414		$	119,887,032		$	34,387,304		$	58,008,017
Net realized gain (loss)		232,563,542			133,365,973			201,803,846			120,017,765
Change in net unrealized appreciation (depreciation)		(10,016,111	)		109,342,955			(113,918,188	)		118,731,538
Net increase (decrease) in net assets from operations		290,341,845			362,595,960			122,272,962			296,757,320
Distributions to shareholders from:
Net investment income:
Class III		(8,560,181	)		(29,456,208	)		(2,001,736	)		(12,148,477	)
Class IV		(20,229,728	)		(36,106,544	)		(15,312,923	)		(79,860,968	)
Class VI		(33,961,224	)		(80,427,858	)		—			—
Total distributions from net investment income		(62,751,133	)		(145,990,610	)		(17,314,659	)		(92,009,445	)
Net share transactions (Note 9):
Class III		(92,323,689	)		(311,705,125	)		(80,533,015	)		(99,281,827	)
Class IV		(53,981,719	)		262,914,776			(559,173,044	)		(575,068,164	)
Class VI		(2,486,340,622	)		118,842,565			—			—
Increase (decrease) in net assets resulting from net share transactions		(2,632,646,030	)		70,052,216			(639,706,059	)		(674,349,991	)
Total increase (decrease) in net assets		(2,405,055,318	)		286,657,566			(534,747,756	)		(469,602,116	)
Net assets:
Beginning of period		4,498,562,627			4,211,905,061			2,475,960,406			2,945,562,522
End of period	$	2,093,507,309		$	4,498,562,627		$	1,941,212,650		$	2,475,960,406
Accumulated undistributed net investment income	$	24,437,787		$	19,394,506		$	29,787,892		$	12,715,247

See accompanying notes to the financial statements. 61

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Intrinsic Value Fund						International Small Companies Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	179,856,594		$	221,431,862		$	4,168,042		$	8,162,271
Net realized gain (loss)		245,799,982			(8,664,702	)		21,548,782			3,073,350
Change in net unrealized appreciation (depreciation)		191,908,342			638,802,410			(5,300,332	)		31,372,037
Net increase (decrease) in net assets from operations		617,564,918			851,569,570			20,416,492			42,607,658
Distributions to shareholders from:
Net investment income:
Class II		(1,076,010	)		(5,511,657	)		—			—
Class III		(9,291,917	)		(58,931,056	)		(8,018,041	)		(12,800,768	)
Class IV		(76,150,664	)		(221,765,571	)		—			—
Class M*		—			(355,017	)		—			—
Total distributions from net investment income		(86,518,591	)		(286,563,301	)		(8,018,041	)		(12,800,768	)
Net share transactions (Note 9):
Class II		(32,126,422	)		(127,322,319	)		—			—
Class III		(231,516,873	)		(357,557,478	)		3,695,099			(84,805,041	)
Class IV		2,677,213,280			1,844,735,604			—			—
Class M*		(12,304,995	)		(385,380	)		—			—
Increase (decrease) in net assets resulting from net share transactions		2,401,264,990			1,359,470,427			3,695,099			(84,805,041	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			93,438			181,108
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		2,401,264,990			1,359,470,427			3,788,537			(84,623,933	)
Total increase (decrease) in net assets		2,932,311,317			1,924,476,696			16,186,988			(54,817,043	)
Net assets:
Beginning of period		9,088,280,387			7,163,803,691			313,557,119			368,374,162
End of period	$	12,020,591,704		$	9,088,280,387		$	329,744,107		$	313,557,119
Accumulated undistributed net investment income	$	132,745,830		$	39,407,827		$	—		$	784,455
Distributions in excess of net investment income	$	—		$	—		$	(3,065,544	)	$	—

* Class M liquidated on March 27, 2013.

62 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Resources Fund						Risk Premium Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Period from November 15, 2012 (commencement of operations) through February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,526,096		$	417,401		$	(1,672,868	)	$	(663,980	)
Net realized gain (loss)		798,617			806,525			870,811			16,174,891
Change in net unrealized appreciation (depreciation)		(8,981,808	)		48,070			(10,682,930	)		2,767,057
Net increase (decrease) in net assets from operations		(5,657,095	)		1,271,996			(11,484,987	)		18,277,968
Distributions to shareholders from:
Net investment income:
Class III		(23,418	)		(390,434	)		—			—
Class IV		(80,176	)*		—			—			—
Total distributions from net investment income		(103,594	)		—			—			—
Net realized gains:
Class III		(267,595	)		(263,708	)		(152,446	)		—
Class IV		(539,995	)*		—			(184,888	)		—
Class VI		—			—			(15,659,243	)		—
Total distributions from net realized gains		(807,590	)		—			(15,996,577	)		—
Net share transactions (Note 9):
Class III		(21,395,315	)		95,234,121			617,430			6,696,024
Class IV		115,157,328	*		—			18,972,971			8,059,007
Class VI		—			—			98,332,957			597,548,727
Increase (decrease) in net assets resulting from net share transactions		93,762,013			95,234,121			117,923,358			612,303,758
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		215,540			288,096			1,524			2,569
Class IV		77,147	*		—			2,615			367
Class VI		—			—			150,562			916,900
Increase in net assets resulting from purchase premiums and redemption fees		292,687			288,096			154,701			919,836
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		94,054,700			95,522,217			118,078,059			613,223,594
Total increase (decrease) in net assets		87,486,421			96,140,071			90,596,495			631,501,562
Net assets:
Beginning of period		104,240,669			8,100,598			631,501,562			—
End of period	$	191,727,090		$	104,240,669		$	722,098,057		$	631,501,562
Accumulated undistributed net investment income	$	2,476,953		$	54,451		$	—		$	—
Distributions in excess of net investment income	$	—		$	—		$	(2,013,546	)	$	(340,678	)

* Period from March 20, 2013 (commencement of operations) through August 31, 2013.

See accompanying notes to the financial statements. 63

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Tax-Managed International Equities Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	8,022,719		$	13,357,401
Net realized gain (loss)		12,628,024			3,533,244
Change in net unrealized appreciation (depreciation)		9,998,054			22,618,274
Net increase (decrease) in net assets from operations		30,648,797			39,508,919
Distributions to shareholders from:
Net investment income:
Class III		(2,219,460	)		(14,995,061	)
Total distributions from net investment income		(2,219,460	)		(14,995,061	)
Net share transactions (Note 9):
Class III		(25,314,885	)		(50,790,609	)
Increase (decrease) in net assets resulting from net share transactions		(25,314,885	)		(50,790,609	)
Total increase (decrease) in net assets		3,114,452			(26,276,751	)
Net assets:
Beginning of period		479,005,392			505,282,143
End of period	$	482,119,844		$	479,005,392
Accumulated undistributed net investment income	$	5,837,489		$	34,230

64 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CURRENCY HEDGED INTERNATIONAL EQUITY FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011(a)				2010(a)				2009(a)
Net asset value, beginning of period		$	24.21			$	22.03			$	24.11			$	21.12			$	18.08			$	42.56
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.16				0.72				0.86				0.30				0.64				1.20
Net realized and unrealized gain (loss)			1.60				2.56				(2.46	)(c)			2.69				4.40				(12.80	)
Total from investment operations			1.76				3.28				(1.60	)			2.99				5.04				(11.60	)
Less distributions to shareholders:
From net investment income			(0.92	)			(0.73	)			(0.16	)			—				(2.00	)(d)			(1.60	)
From net realized gains			(0.53	)			(0.37	)			(0.32	)			—				—				(11.28	)
Total distributions			(1.45	)			(1.10	)			(0.48	)			—				(2.00	)			(12.88	)
Net asset value, end of period		$	24.52			$	24.21			$	22.03			$	24.11			$	21.12			$	18.08
Total Return(e)			7.29	%**			15.24	%			(6.55	)%			14.16	%			29.15	%			(35.57	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,412,539			$	2,256,714			$	2,418,165			$	490,047			$	25,395			$	25,417
Net expenses to average daily net assets(f)			0.11	%*(g)			0.11	%(g)			0.12	%			0.12	%			0.11	%			0.11	%(g)
Net investment income (loss) to average daily net assets(b)			1.29	%*			3.25	%			4.00	%			1.32	%			3.25	%			3.96	%
Portfolio turnover rate			34	%**			45	%			24	%			32	%			15	%			17	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:(h)			0.59	%*			0.60	%			0.61	%			0.65	%			1.16	%			1.24	%

^(a)  Per share amounts were adjusted to reflect a 1:8 reverse stock split effective November 15, 2010.

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

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

^(d)  Distributions from net investment income include amounts (approximately $2.00 per share for 2010) from foreign currency transactions which are treated as realized capital gain for book purposes.

^(e)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(f)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(g)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(h)  Ratios include reimbursement of direct operating expenses and waiver of expenses indirectly incurred through investment in the underlying funds (See Note 5).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 65

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

DEVELOPED WORLD STOCK FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009								2013				2012				2011				2010				2009
Net asset value, beginning of period		$	19.41			$	18.35			$	19.24			$	16.28			$	11.34			$	21.88			$	19.42			$	18.36			$	19.26			$	16.30			$	11.35			$	21.90
Income (loss) from investment operations:
Net investment income (loss)†			0.24				0.44				0.43				0.33				0.29				0.51				0.25				0.44				0.44				0.34				0.30				0.51
Net realized and unrealized gain (loss)			1.43				1.12				(0.78	)(a)			3.09				5.03				(10.20	)			1.43				1.13				(0.79	)(a)			3.09				5.04				(10.20	)
Total from investment operations			1.67				1.56				(0.35	)			3.42				5.32				(9.69	)			1.68				1.57				(0.35	)			3.43				5.34				(9.69	)
Less distributions to shareholders:
From net investment income			(0.17	)			(0.50	)			(0.54	)			(0.46	)			(0.38	)			(0.64	)			(0.17	)			(0.51	)			(0.55	)			(0.47	)			(0.39	)			(0.65	)
From net realized gains			—				—				—				—				—				(0.21	)			—				—				—				—				—				(0.21	)
Total distributions			(0.17	)			(0.50	)			(0.54	)			(0.46	)			(0.38	)			(0.85	)			(0.17	)			(0.51	)			(0.55	)			(0.47	)			(0.39	)			(0.86	)
Net asset value, end of period		$	20.91			$	19.41			$	18.35			$	19.24			$	16.28			$	11.34			$	20.93			$	19.42			$	18.36			$	19.26			$	16.30			$	11.35
Total Return(b)			8.59	%**			8.68	%			(1.64	)%			21.41	%			47.03	%			(45.56	)%			8.65	%**			8.74	%			(1.61	)%			21.44	%			47.16	%			(45.52	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	150,495			$	145,072			$	147,629			$	210,780			$	171,842			$	155,560			$	233,903			$	215,262			$	197,989			$	201,121			$	165,445			$	112,438
Net expenses to average daily net assets			0.60	%(e)*			0.60	%(e)			0.60	%(c)(e)			0.60	%(c)(e)			0.60	%(c)			0.61	%(d)			0.55	%(e)*			0.55	%(e)			0.55	%(c)(e)			0.55	%(c)(e)			0.55	%(c)			0.56	%(d)
Net investment income (loss) to average daily net assets			2.30	%*			2.38	%			2.40	%			1.93	%			1.93	%			2.79	%			2.34	%*			2.40	%			2.42	%			1.98	%			1.94	%			2.82	%
Portfolio turnover rate			21	%**			50	%			56	%			34	%			47	%			50	%			21	%**			50	%			56	%			34	%			47	%			50	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.11	%*			0.11	%			0.11	%			0.11	%			0.11	%			0.12	%			0.11	%*			0.11	%			0.11	%			0.11	%			0.11	%			0.12	%
Purchase premiums and redemption fees consisted of the following per share amounts:†		$	0.00	(f)		$	0.01			$	0.01			$	0.00	(f)		$	0.02			$	0.01				—			$	0.00	(f)		$	0.00	(f)		$	0.00	(f)			—				—

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

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  The net expense ratio does not include the effect of expense reductions (Note 2).

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

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(f)  Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

66 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL CORE EQUITY FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009								2013				2012				2011				2010				2009
Net asset value, beginning of period		$	28.96			$	27.50			$	30.77			$	25.63			$	18.15			$	37.25			$	28.94			$	27.48			$	30.75			$	25.62			$	18.14			$	37.23
Income (loss) from investment operations:
Net investment income (loss)†			0.54				0.77				0.87				0.62				0.55				0.92				0.54				0.80				0.90				0.61				0.64				0.94
Net realized and unrealized gain (loss)			1.21				1.62				(3.15	)			5.11				7.79				(18.54	)			1.22				1.60				(3.17	)			5.13				7.71				(18.53	)
Total from investment operations			1.75				2.39				(2.28	)			5.73				8.34				(17.62	)			1.76				2.40				(2.27	)			5.74				8.35				(17.59	)
Less distributions to shareholders:
From net investment income			(0.41	)			(0.93	)			(0.99	)			(0.59	)			(0.86	)			(1.19	)			(0.42	)			(0.94	)			(1.00	)			(0.61	)			(0.87	)			(1.21	)
From net realized gains			—				—				—				—				—				(0.29	)			—				—				—				—				—				(0.29	)
Total distributions			(0.41	)			(0.93	)			(0.99	)			(0.59	)			(0.86	)			(1.48	)			(0.42	)			(0.94	)			(1.00	)			(0.61	)			(0.87	)			(1.50	)
Net asset value, end of period		$	30.30			$	28.96			$	27.50			$	30.77			$	25.63			$	18.15			$	30.28			$	28.94			$	27.48			$	30.75			$	25.62			$	18.14
Total Return(a)			6.01	%**			8.93	%			(7.25	)%			22.61	%			45.97	%			(48.61	)%			6.04	%**			9.00	%			(7.19	)%			22.68	%			46.04	%			(48.56	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	558,892			$	621,870			$	885,023			$	857,774			$	1,017,207			$	855,690			$	1,403,861			$	1,394,919			$	1,078,912			$	1,235,303			$	797,730			$	1,166,165
Net expenses to average daily net assets			0.53	%(c)*			0.53	%(b)(c)			0.53	%(b)(c)			0.53	%(b)(c)			0.53	%(b)			0.53	%(d)			0.47	%(c)*			0.47	%(b)(c)			0.47	%(b)(c)			0.47	%(b)(c)			0.47	%(b)			0.47	%(d)
Net investment income (loss) to average daily net assets			3.56	%*			2.87	%			3.10	%			2.28	%			2.22	%			3.08	%			3.56	%*			2.93	%			3.18	%			2.24	%			2.65	%			3.18	%
Portfolio turnover rate			22	%**			47	%			34	%			40	%			48	%			41	%			22	%**			47	%			34	%			40	%			48	%			41	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.08	%*			0.05	%			0.04	%			0.05	%			0.05	%			0.05	%			0.08	%*			0.05	%			0.05	%			0.05	%			0.05	%			0.05	%

	Class VI Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	28.91			$	27.46			$	30.72			$	25.60			$	18.13			$	37.22
Income (loss) from investment operations:
Net investment income (loss)†			0.71				0.79				0.92				0.61				0.52				0.92
Net realized and unrealized gain (loss)			1.04				1.61				(3.17	)			5.13				7.83				(18.50	)
Total from investment operations			1.75				2.40				(2.25	)			5.74				8.35				(17.58	)
Less distributions to shareholders:
From net investment income			(0.42	)			(0.95	)			(1.01	)			(0.62	)			(0.88	)			(1.22	)
From net realized gains			—				—				—				—				—				(0.29	)
Total distributions			(0.42	)			(0.95	)			(1.01	)			(0.62	)			(0.88	)			(1.51	)
Net asset value, end of period		$	30.24			$	28.91			$	27.46			$	30.72			$	25.60			$	18.13
Total Return(a)			6.02	%**			9.01	%			(7.13	)%			22.69	%			46.11	%			(48.56	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	130,755			$	2,481,773			$	2,247,969			$	3,507,677			$	2,288,572			$	1,098,838
Net expenses to average daily net assets			0.44	%(c)*			0.44	%(b)(c)			0.44	%(b)(c)			0.44	%(b)(c)			0.44	%(b)			0.44	%(d)
Net investment income (loss) to average daily net assets			4.76	%*			2.89	%			3.25	%			2.25	%			2.08	%			3.07	%
Portfolio turnover rate			22	%**			47	%			34	%			40	%			48	%			41	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.06	%*			0.05	%			0.05	%			0.05	%			0.05	%			0.05	%

^(a)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(b)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 67

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL GROWTH EQUITY FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009								2013				2012				2011				2010				2009
Net asset value, beginning of period		$	25.35			$	22.73			$	23.86			$	19.68			$	14.46			$	27.68			$	25.35			$	22.73			$	23.88			$	19.69			$	14.46			$	27.70
Income (loss) from investment operations:
Net investment income (loss)†			0.40				0.52				0.57				0.37				0.37				0.54				0.40				0.54				0.54				0.38				0.35				0.55
Net realized and unrealized gain (loss)			0.79				2.91				(1.32	)(a)			4.03				5.52				(11.93	)			0.80				2.91				(1.28	)(a)			4.05				5.56				(11.95	)
Total from investment operations			1.19				3.43				(0.75	)			4.40				5.89				(11.39	)			1.20				3.45				(0.74	)			4.43				5.91				(11.40	)
Less distributions to shareholders:
From net investment income			(0.20	)			(0.81	)			(0.38	)			(0.22	)			(0.67	)			(0.88	)			(0.20	)			(0.83	)			(0.41	)			(0.24	)			(0.68	)			(0.89	)
From net realized gains			—				—				—				—				—				(0.95	)			—				—				—				—				—				(0.95	)
Total distributions			(0.20	)			(0.81	)			(0.38	)			(0.22	)			(0.67	)			(1.83	)			(0.20	)			(0.83	)			(0.41	)			(0.24	)			(0.68	)			(1.84	)
Net asset value, end of period		$	26.34			$	25.35			$	22.73			$	23.86			$	19.68			$	14.46			$	26.35			$	25.35			$	22.73			$	23.88			$	19.69			$	14.46
Total Return(b)			4.70	%**			15.61	%			(3.06	)%			22.48	%			41.10	%			(43.54	)%			4.75	%**			15.69	%			(3.01	)%			22.59	%			41.26	%			(43.53	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	254,772			$	322,692			$	391,497			$	713,815			$	599,455			$	564,067			$	1,686,441			$	2,153,269			$	2,554,065			$	2,829,393			$	2,220,138			$	1,420,407
Net expenses to average daily net assets			0.65	%(c)(e)*			0.65	%(c)(e)			0.65	%(c)(e)			0.65	%(c)			0.65	%(c)			0.66	%(d)			0.59	%(c)(e)*			0.59	%(c)(e)			0.59	%(c)(e)			0.59	%(c)			0.59	%(c)			0.60	%(d)
Net investment income (loss) to average daily net assets			3.03	%*			2.25	%			2.49	%			1.74	%			2.00	%			2.43	%			3.01	%*			2.35	%			2.37	%			1.79	%			1.89	%			2.47	%
Portfolio turnover rate			30	%**			55	%			53	%			59	%			65	%			63	%			30	%**			55	%			53	%			59	%			65	%			63	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.06	%*			0.05	%			0.05	%			0.05	%			0.06	%			0.06	%			0.06	%*			0.05	%			0.05	%			0.05	%			0.06	%			0.06	%

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

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  The net expense ratio does not include the effect of expense reductions (Note 2).

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

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

68 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL INTRINSIC VALUE FUND

	Class II Shares																								Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009								2013				2012				2011				2010				2009
Net asset value, beginning of period		$	20.94			$	20.18			$	23.07			$	19.35			$	13.86			$	29.69			$	21.16			$	20.39			$	23.31			$	19.56			$	14.00			$	29.97
Income (loss) from investment operations:
Net investment income (loss)†			0.37				0.56				0.63				0.48				0.41				0.79				0.38				0.56				0.65				0.47				0.42				0.79
Net realized and unrealized gain (loss)			1.00				0.85				(2.83	)(a)			3.51				5.68				(14.01	)			1.02				0.88				(2.86	)(a)			3.58				5.76				(14.13	)
Total from investment operations			1.37				1.41				(2.20	)			3.99				6.09				(13.22	)			1.40				1.44				(2.21	)			4.05				6.18				(13.34	)
Less distributions to shareholders:
From net investment income			(0.15	)			(0.65	)			(0.69	)			(0.27	)			(0.60	)			(0.99	)			(0.15	)			(0.67	)			(0.71	)			(0.30	)			(0.62	)			(1.01	)
From net realized gains			—				—				—				—				—				(1.62	)			—				—				—				—				—				(1.62	)
Total distributions			(0.15	)			(0.65	)			(0.69	)			(0.27	)			(0.60	)			(2.61	)			(0.15	)			(0.67	)			(0.71	)			(0.30	)			(0.62	)			(2.63	)
Net asset value, end of period		$	22.16			$	20.94			$	20.18			$	23.07			$	19.35			$	13.86			$	22.41			$	21.16			$	20.39			$	23.31			$	19.56			$	14.00
Total Return(b)			6.55	%**			7.23	%			(9.51	)%			20.79	%			44.05	%			(48.04	)%			6.63	%**			7.30	%			(9.47	)%			20.88	%			44.21	%			(48.01	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	147,715			$	169,056			$	292,379			$	217,090			$	394,009			$	394,070			$	1,400,705			$	1,540,203			$	1,812,184			$	2,257,078			$	1,925,104			$	1,487,839
Net expenses to average daily net assets			0.72	%(c)(d)*			0.72	%(c)(d)			0.72	%(c)(d)			0.72	%(c)(d)			0.72	%(c)			0.74	%(e)			0.65	%(c)(d)*			0.65	%(c)(d)			0.65	%(c)(d)			0.65	%(c)(d)			0.65	%(c)			0.67	%(e)
Net investment income (loss) to average daily net assets			3.37	%*			2.87	%			3.04	%			2.36	%			2.21	%			3.41	%			3.40	%*			2.82	%			3.09	%			2.30	%			2.19	%			3.38	%
Portfolio turnover rate			14	%**			40	%			37	%			40	%			40	%			53	%			14	%**			40	%			37	%			40	%			40	%			53	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.04	%*			0.04	%			0.05	%			0.05	%			0.05	%			0.05	%			0.04	%*			0.04	%			0.05	%			0.05	%			0.05	%			0.05	%

	Class IV Shares
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28/29,
				2013			2012			2011			2010			2009
Net asset value, beginning of period	$	21.14		$	20.37		$	23.30		$	19.55		$	14.00		$	29.96
Income (loss) from investment operations:
Net investment income (loss)†		0.36			0.54			0.62			0.48			0.43			0.82
Net realized and unrealized gain (loss)		1.03			0.91			(2.83	)(a)		3.58			5.75			(14.14	)
Total from investment operations		1.39			1.45			(2.21	)		4.06			6.18			(13.32	)
Less distributions to shareholders:
From net investment income		(0.15	)		(0.68	)		(0.72	)		(0.31	)		(0.63	)		(1.02	)
From net realized gains		—			—			—			—			—			(1.62	)
Total distributions		(0.15	)		(0.68	)		(0.72	)		(0.31	)		(0.63	)		(2.64	)
Net asset value, end of period	$	22.38		$	21.14		$	20.37		$	23.30		$	19.55		$	14.00
Total Return(b)		6.62	%**		7.39	%		(9.43	)%		20.96	%		44.22	%		(47.95	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	10,472,173		$	7,366,819		$	5,047,058		$	3,458,202		$	2,779,470		$	1,900,168
Net expenses to average daily net assets		0.59	%( c)(d)*		0.59	%(c)(d)		0.59	%(c)(d)		0.59	%(c)(d)		0.59	%(c)		0.61	%(e)
Net investment income (loss) to average daily net assets		3.22	%*		2.70	%		3.00	%		2.32	%		2.25	%		3.47	%
Portfolio turnover rate		14	%**		40	%		37	%		40	%		40	%		53	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.03	%*		0.04	%		0.05	%		0.05	%		0.05	%		0.05	%

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

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 69

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL SMALL COMPANIES FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	8.34			$	7.44			$	8.48			$	6.63			$	4.20			$	9.29
Income (loss) from investment operations:
Net investment income (loss)†			0.11				0.18				0.17				0.14				0.08				0.20
Net realized and unrealized gain (loss)			0.42				1.02				(0.84	)			1.88				2.50				(4.78	)
Total from investment operations			0.53				1.20				(0.67	)			2.02				2.58				(4.58	)
Less distributions to shareholders:
From net investment income			(0.21	)			(0.30	)			(0.37	)			(0.17	)			(0.15	)			(0.13	)
From net realized gains			—				—				—				—				—				(0.38	)
Total distributions			(0.21	)			(0.30	)			(0.37	)			(0.17	)			(0.15	)			(0.51	)
Net asset value, end of period		$	8.66			$	8.34			$	7.44			$	8.48			$	6.63			$	4.20
Total Return(a)			6.41	%**			16.75	%			(8.05	)%			31.11	%			61.64	%			(51.47	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	329,744			$	313,557			$	368,374			$	467,733			$	1,160,294			$	386,816
Net expenses to average daily net assets			0.76	%*(b)(c)			0.76	%(b)(c)			0.76	%(b)(c)			0.76	%(b)(c)			0.75	%(b)			0.75	%(d)
Net investment income (loss) to average daily net assets			2.49	%*			2.50	%			2.28	%			1.91	%			1.17	%			2.89	%
Portfolio turnover rate			38	**			76	%			90	%			55	%			58	%			64	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.16	%*			0.17	%			0.14	%			0.12	%			0.09	%			0.12	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(e)		$	0.00	(e)		$	0.01			$	0.05			$	0.02			$	0.01

^(a)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(b)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

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

^(e)  Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

70 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RESOURCES FUND

	Class III Shares									Class IV Shares
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Period from December 28, 2011 (commencement of operations) through February 29, 2012			Period from March 20, 2013 (commencement of operations) through August 31, 2013 (Unaudited)
Net asset value, beginning of period	$	21.59		$	22.96		$	20.00		$	21.40
Income (loss) from investment operations:
Net investment income (loss)†		0.32			0.32			0.03			0.30
Net realized and unrealized gain (loss)		(1.09	)(a)		(1.25	)(a)		2.93			(0.89	)
Total from investment operations		(0.77	)		(0.93	)		2.96			(0.59	)
Less distributions to shareholders:
From net investment income		(0.01	)		(0.20	)		—			(0.02	)
From net realized gains		(0.10	)		(0.24	)		—			(0.10	)
Total distributions		(0.11	)		(0.44	)		—			(0.12	)
Net asset value, end of period	$	20.71		$	21.59		$	22.96		$	20.69
Total Return(b)		(3.54	)%**		(4.00	)%		14.80	%**		(2.75	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	81,697		$	104,241		$	8,101		$	110,030
Net expenses to average daily net assets		0.75	%*(c)(d)		0.77	%(c)		0.75	%*		0.70	%*(c)(d)
Net investment income (loss) to average daily net assets		3.05	%*		1.48	%		0.78	%*		3.22	%*
Portfolio turnover rate		23	%**		51	%		15	%**		23	%**
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.10	%*		0.73	%		7.69	%*		0.12	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.05		$	0.22		$	0.06		$	0.02

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

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d)  The net expense ratio does not include the effect of expense reductions (Note 2).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 71

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RISK PREMIUM FUND

	Class III Shares								Class IV Shares								Class VI Shares
	Six Months Ended August 31, 2013 (Unaudited)				Period from December 14, 2012 (commencement of operations) through February 28, 2013				Six Months Ended August 31, 2013 (Unaudited)				Period from December 17, 2012 (commencement of operations) through February 28, 2013				Six Months Ended August 31, 2013 (Unaudited)				Period from November 15, 2012 (commencement of operations) through February 28, 2013
Net asset value, beginning of period		$	10.53			$	10.27			$	10.54			$	10.30			$	10.53			$	10.00
Income (loss) from investment operations:
Net investment income (loss)†			(0.03	)			(0.01	)			(0.03	)			(0.01	)			(0.03	)			(0.01	)
Net realized and unrealized gain (loss)			(0.12	)			0.27				(0.12	)			0.25				(0.11	)			0.54
Total from investment operations			(0.15	)			0.26				(0.15	)			0.24				(0.14	)			0.53
Less distributions to shareholders:
From net realized gains			(0.24	)			—				(0.24	)			—				(0.24	)			—
Total distributions			(0.24	)			—				(0.24	)			—				(0.24	)			—
Net asset value, end of period		$	10.14			$	10.53			$	10.15			$	10.54			$	10.15			$	10.53
Total Return(a)			(1.48	)%**			2.53	%**			(1.48	)%**			2.33	%**			(1.39	)%**			5.30	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	7,153			$	6,793			$	26,811			$	8,244			$	688,134			$	616,464
Net expenses to average daily net assets(b)(c)			0.60	%*			0.60	%*			0.55	%*			0.55	%*			0.51	%*			0.51	%*
Net investment income (loss) to average daily net assets			(0.57	)%*			(0.56	)%*			(0.52	)%*			(0.51	)%*			(0.47	)%*			(0.46	)%*
Portfolio turnover rate			0	%**			0	%**			0	%**			0	%**			0	%**			0	%**
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.04	%*			0.08	%*			0.04	%*			0.07	%*			0.04	%*			0.10	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(d)		$	0.01			$	0.00	(d)		$	0.00	(d)		$	0.00	(d)		$	0.02

^(a)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(b)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d)  Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

72 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

TAX-MANAGED INTERNATIONAL EQUITIES FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	14.56			$	13.80			$	15.41			$	12.97			$	9.28			$	18.73
Income (loss) from investment operations:
Net investment income (loss)†			0.25				0.39				0.43				0.30				0.26				0.48
Net realized and unrealized gain (loss)			0.69				0.83				(1.59	)			2.47				3.80				(8.92	)
Total from investment operations			0.94				1.22				(1.16	)			2.77				4.06				(8.44	)
Less distributions to shareholders:
From net investment income			(0.07	)			(0.46	)			(0.45	)			(0.33	)			(0.37	)			(0.49	)
From net realized gains			—				—				—				—				—				(0.52	)
Total distributions			(0.07	)			(0.46	)			(0.45	)			(0.33	)			(0.37	)			(1.01	)
Net asset value, end of period		$	15.43			$	14.56			$	13.80			$	15.41			$	12.97			$	9.28
Total Return(a)			6.47	%**			8.99	%			(7.35	)%			21.51	%			43.60	%			(46.71	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	482,120			$	479,005			$	505,282			$	599,876			$	547,178			$	414,024
Net expenses to average daily net assets			0.65	%(c)*			0.67	%(b)(c)			0.65	%(b)(c)			0.65	%(b)(c)			0.65	%(b)			0.67	%(b)
Net investment income (loss) to average daily net assets			3.26	%*			2.83	%			3.02	%			2.20	%			2.08	%			3.09	%
Portfolio turnover rate			25	%**			54	%			48	%			40	%			49	%			67	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.11	%*			0.12	%			0.11	%			0.11	%			0.09	%			0.11	%

^(a)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(b)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 73

GMO Trust Funds

Notes to Financial Statements

August 31, 2013 (Unaudited)

1. Organization

Each of Currency Hedged International Equity Fund, Developed World Stock Fund, International Core Equity Fund, International Growth Equity Fund, International Intrinsic Value Fund, International Small Companies Fund, Resources Fund, Risk Premium Fund and Tax-Managed International Equities Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”).

The Funds may invest in U.S. Treasury Fund and unaffiliated money market funds. The Funds may also invest in other GMO Funds (“underlying funds”).

The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):

Fund Name	Benchmark	Principal Investment Objective
Currency Hedged International Equity Fund	MSCI EAFE Index (Hedged)	Total return greater than benchmark
Developed World Stock Fund	MSCI World Index	High total return
International Core Equity Fund	MSCI EAFE Index	High total return
International Growth Equity Fund	MSCI EAFE Growth Index	High total return
International Intrinsic Value Fund	MSCI EAFE Value Index	High total return
International Small Companies Fund	MSCI EAFE Small Cap Index	High total return
Resources Fund	MSCI ACWI Commodity Producers	Total return
Risk Premium Fund	Not Applicable	Total return
Tax-Managed International Equities Fund	MSCI EAFE Index (after tax)	High after-tax total return

International Small Companies Fund and Risk Premium Fund currently limit subscriptions.

2. Significant accounting policies

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

Portfolio valuation

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. Cleared derivatives are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. 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 the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular 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

74

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

August 31, 2013, 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 Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that close 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 those derivatives closes prior to the close of the NYSE). In those cases, the value will generally 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 inputs obtained from that independent pricing service as of August 31, 2013. 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 Level 2 (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 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 fair valued using inputs obtained from an independent pricing service and presented in the table below on a net basis. The net aggregate direct and/or indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2013 is as follows:

Securities and Derivatives

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%
Developed World Stock Fund		—			43%
International Core Equity Fund		0%	*		95%
International Growth Equity Fund		—			94%
International Intrinsic Value Fund		—			97%
International Small Companies Fund		<1%			93%
Resources Fund		—			67%
Risk Premium Fund		—			(2)%
Tax-Managed International Equities Fund		—			97%

* Represents the interest in securities that were determined to have a fair value of zero at August 31, 2013.

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 into 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 the 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 (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 August 31, 2013, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

75

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August 31, 2013 (Unaudited)

The three levels are defined as follows:

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 60 days or less valued at amortized cost; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; 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 valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; 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 equity securities valued based on the last traded exchange price adjusted for the movement in a securities index; and certain securities that are valued using a price from a comparable security related to the same issuer.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2013:

Description	Level 1		Level 2			Level 3		Total
Currency Hedged International Equity Fund
Asset Valuation Inputs
Mutual Funds
United States	$	2,341,789,978	$	—		$	—	$	2,341,789,978
TOTAL MUTUAL FUNDS		2,341,789,978		—			—		2,341,789,978
Short-Term Investments		70,991,791		—			—		70,991,791
Total Investments		2,412,781,769		—			—		2,412,781,769
Derivatives*
Forward Currency Contracts
Foreign currency risk		—		8,108,168			—		8,108,168
Total	$	2,412,781,769	$	8,108,168		$	—	$	2,420,889,937
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—	$	(7,014,069	)	$	—	$	(7,014,069	)
Total	$	—	$	(7,014,069	)	$	—	$	(7,014,069	)

76

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August 31, 2013 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Developed World Stock Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	4,055,159		$	—	$	4,055,159
Austria		—			1,458,673			—		1,458,673
Canada		774,178			—			—		774,178
Finland		—			1,042,491			—		1,042,491
France		—			29,999,290			—		29,999,290
Germany		—			13,485,810			—		13,485,810
Hong Kong		—			1,489,744			—		1,489,744
Ireland		—			815,098			—		815,098
Italy		—			15,051,147			—		15,051,147
Japan		—			40,051,061			—		40,051,061
Netherlands		—			1,874,933			—		1,874,933
Norway		—			1,232,418			—		1,232,418
Portugal		—			910,680			—		910,680
Singapore		—			1,751,657			—		1,751,657
Spain		—			14,967,562			—		14,967,562
Sweden		—			271,271			—		271,271
Switzerland		—			2,540,058			—		2,540,058
United Kingdom		—			32,464,941			—		32,464,941
United States		202,237,454			—			—		202,237,454
TOTAL COMMON STOCKS		203,011,632			163,461,993			—		366,473,625
Preferred Stocks
Germany		—			2,115,533			—		2,115,533
TOTAL PREFERRED STOCKS		—			2,115,533			—		2,115,533
Mutual Funds
United States		11,480,665			—			—		11,480,665
TOTAL MUTUAL FUNDS		11,480,665			—			—		11,480,665
Short-Term Investments		2,063,893			—			—		2,063,893
Total Investments	$	216,556,190		$	165,577,526		$	—	$	382,133,716
Derivatives*
Forward Currency Contracts
Foreign currency risk		—			533,372			—		533,372
Futures Contracts
Equity risk		—			164,570			—		164,570
Total	$	216,556,190		$	166,275,468		$	—	$	382,831,658
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency Risk	$	—		$	(141,428	)	$	—	$	(141,428	)
Futures Contracts
Equity risk		(25,257	)		(184,784	)		—		(210,041	)
Total	$	(25,257	)	$	(326,212	)	$	—	$	(351,469	)

77

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Description	Level 1			Level 2			Level 3			Total
International Core Equity
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	106,936,113		$	—		$	106,936,113
Austria		—			13,102,854			—			13,102,854
Belgium		—			16,807,552			—			16,807,552
Canada		26,538,406			—			—			26,538,406
Denmark		—			2,478,409			—			2,478,409
Finland		—			21,031,972			—			21,031,972
France		—			260,293,662			—			260,293,662
Germany		—			119,694,259			—			119,694,259
Greece		—			9,022,319			—			9,022,319
Hong Kong		—			41,148,432			—			41,148,432
Ireland		—			4,949,337			—			4,949,337
Israel		—			4,435,977			—			4,435,977
Italy		—			101,216,863			—			101,216,863
Japan		—			442,092,978			—			442,092,978
Malta		—			—			0	**		0	**
Netherlands		—			27,162,383			0	**		27,162,383
New Zealand		—			11,266,851			—			11,266,851
Norway		—			8,946,096			—			8,946,096
Portugal		—			8,981,964			—			8,981,964
Singapore		—			24,122,386			—			24,122,386
Spain		—			158,650,425			—			158,650,425
Sweden		—			22,131,189			—			22,131,189
Switzerland		—			61,699,542			—			61,699,542
United Kingdom		—			515,992,261			0	**		515,992,261
TOTAL COMMON STOCKS		26,538,406			1,982,163,824			0	**		2,008,702,230
Preferred Stocks
Germany		—			13,789,153			—			13,789,153
TOTAL PREFERRED STOCKS		—			13,789,153			—			13,789,153
Mutual Funds
United States		42,281,429									42,281,429
TOTAL MUTUAL FUNDS		42,281,429			—			—			42,281,429
Short-Term Investments		15,187,412			—			—			15,187,412
Total Investments		84,007,247			1,995,952,977			0	**		2,079,960,224
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—			3,553,947			—			3,553,947
Total	$	84,007,247		$	1,999,506,924		$	—		$	2,083,514,171
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(1,548,245	)	$	—		$	(1,548,245	)
Futures Contracts
Equity Risk		(364,258	)		(609,932	)					(974,190	)
Total	$	(364,258	)	$	(2,158,177	)	$	—		$	(2,522,435	)

78

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Description	Level 1		Level 2		Level 3			Total
International Growth Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	119,908,875	$	—		$	119,908,875
Austria		—		4,909,328		0	**		4,909,328
Belgium		—		20,837,781		—			20,837,781
Canada		54,973,321		—		—			54,973,321
Denmark		—		46,751,002		—			46,751,002
Finland		—		29,038,803		—			29,038,803
France		—		118,919,923		—			118,919,923
Germany		—		118,182,976		—			118,182,976
Greece		—		595,610		—			595,610
Hong Kong		—		59,030,558		—			59,030,558
Ireland		20		16,555,934		—			16,555,954
Israel		—		10,822,613		—			10,822,613
Italy		—		21,600,743		—			21,600,743
Japan		—		403,557,954		—			403,557,954
Netherlands		—		45,680,628		—			45,680,628
New Zealand		—		1,976,089		—			1,976,089
Norway		—		17,330,470		—			17,330,470
Portugal		—		341,847		—			341,847
Singapore		—		45,554,874		—			45,554,874
Spain		—		45,873,109		—			45,873,109
Sweden		—		49,749,545		—			49,749,545
Switzerland		—		201,044,546		—			201,044,546
United Kingdom		—		429,884,292		—			429,884,292
TOTAL COMMON STOCKS		54,973,341		1,808,147,500		0	**		1,863,120,841
Preferred Stocks
Germany		—		19,741,792		—			19,741,792
TOTAL PREFERRED STOCKS		—		19,741,792		—			19,741,792
Rights/Warrants
Canada		1,455		—		—			1,455
TOTAL RIGHTS/WARRANTS		1,455		—		—			1,455
Mutual Funds
United States		49,161,461		—		—			49,161,461
TOTAL MUTUAL FUNDS		49,161,461		—		—			49,161,461
Short-Term Investments		3,960,710		—		—			3,960,710
Total Investments		108,096,967		1,827,889,292		0	**		1,935,986,259
Derivatives*
Forward Currency Contracts
Foreign currency risk		—		2,906,925		—			2,906,925
Futures Contracts
Equity risk		—		597,982		—			597,982
Total	$	108,096,967	$	1,831,394,199	$	0	**	$	1,939,491,166

79

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Description	Level 1			Level 2			Level 3			Total
International Growth Equity Fund (continued)
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—		$	(1,444,269	)	$	—		$	(1,444,269	)
Futures Contracts
Equity risk		(78,389	)		(1,060,049	)		—			(1,138,438	)
Total	$	(78,389	)	$	(2,504,318	)	$	—		$	(2,582,707	)
International Intrinsic Value Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	443,166,938		$	—		$	443,166,938
Austria		—			52,175,611			0	**		52,175,611
Belgium		—			46,890,921			—			46,890,921
Canada		135,850,349			—			—			135,850,349
Denmark		—			1,363,552			—			1,363,552
Finland		—			81,969,149			—			81,969,149
France		—			1,707,108,795			—			1,707,108,795
Germany		—			628,498,122			—			628,498,122
Greece		—			33,570,258			—			33,570,258
Hong Kong		—			164,912,086			—			164,912,086
Ireland		—			24,537,232			—			24,537,232
Israel		—			32,220,865			—			32,220,865
Italy		—			813,321,504			—			813,321,504
Japan		—			2,595,523,369			—			2,595,523,369
Malta		—			—			0	**		0	**
Netherlands		—			155,447,646			—			155,447,646
New Zealand		—			40,083,564			—			40,083,564
Norway		—			75,839,739			—			75,839,739
Portugal		—			41,274,229			—			41,274,229
Singapore		—			127,716,794			—			127,716,794
Spain		—			997,940,832			—			997,940,832
Sweden		—			129,223,112			—			129,223,112
Switzerland		—			270,693,738			—			270,693,738
United Kingdom		—			3,086,376,262			—			3,086,376,262
TOTAL COMMON STOCKS		135,850,349			11,549,854,318			—			11,685,704,667
Preferred Stocks
Germany		—			46,377,526			—			46,377,526
TOTAL PREFERRED STOCKS		—			46,377,526			—			46,377,526
Mutual Funds
United States		88,307,524			—			—			88,307,524
TOTAL MUTUAL FUNDS		88,307,524			—			—			88,307,524
Short-Term Investments		138,089,029			—			—			138,089,029
Total Investments		362,246,902			11,596,231,844			—			11,958,478,746

80

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August 31, 2013 (Unaudited)

Description	Level 1			Level 2			Level 3			Total
International Intrinsic Value Fund (continued)
Asset Valuation Inputs (continued)
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—		$	13,463,792		$	—		$	13,463,792
Futures Contracts
Equity risk		—			1,469,574			—			1,469,574
Total	$	362,246,902		$	11,611,165,210		$	—		$	11,973,412,112
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—		$	(2,353,257	)	$	—		$	(2,353,257	)
Futures Contracts
Equity risk		(1,396,650	)		(2,767,368	)		—			(4,164,018	)
Total	$	(1,396,650	)	$	(5,120,625	)	$	—		$	(6,517,275	)
International Small Companies Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	12,449,431		$	—		$	12,449,431
Austria		—			797,314			0	**		797,314
Belgium		—			1,878,721			18			1,878,739
Brazil		1,044,945			—			—			1,044,945
Canada		9,439,006			—			—			9,439,006
China		—			2,207,179			—			2,207,179
Czech Republic		—			95,785			—			95,785
Denmark		—			3,551,808			—			3,551,808
Finland		—			1,375,115			—			1,375,115
France		—			15,669,512			—			15,669,512
Germany		—			19,244,082			—			19,244,082
Greece		—			4,327,859			6,015			4,333,874
Hong Kong		—			5,801,368			—			5,801,368
India		—			519,111			—			519,111
Indonesia		—			498,401			196,607			695,008
Ireland		—			10,081,833			—			10,081,833
Israel		—			1,433,679			—			1,433,679
Italy		—			18,524,052			—			18,524,052
Japan		—			84,689,972			—			84,689,972
Mexico		1,044,324			—			—			1,044,324
Netherlands		—			5,243,529			0	**		5,243,529
New Zealand		—			418,109			—			418,109
Norway		—			2,698,484			—			2,698,484
Philippines		—			155,077			—			155,077
Portugal		—			1,568,395			—			1,568,395
Singapore		—			6,984,927			—			6,984,927
South Africa		—			385,120			—			385,120
South Korea		—			3,474,030			—			3,474,030
Spain		—			10,883,465			—			10,883,465
Sweden		—			3,200,090			2,093			3,202,183
Switzerland		—			8,760,004			—			8,760,004
Taiwan		—			2,235,045			0	**		2,235,045
Thailand		—			810,857			—			810,857

81

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August 31, 2013 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
International Small Companies Fund (continued)
Asset Valuation Inputs (continued)
Turkey	$	—		$	586,883		$	—	$	586,883
United Kingdom		—			70,837,396			—		70,837,396
TOTAL COMMON STOCKS		11,528,275			301,386,633			204,733		313,119,641
Preferred Stocks
Brazil		1,124,052			—			—		1,124,052
Germany		—			1,508,359			—		1,508,359
Russia		—			1,968,632			—		1,968,632
TOTAL PREFERRED STOCKS		1,124,052			3,476,991			—		4,601,043
Rights/Warrants
Malaysia		—			1,675			—		1,675
TOTAL RIGHTS/WARRANTS		—			1,675			—		1,675
Mutual Funds
United States		8,131,457			—			—		8,131,457
TOTAL MUTUAL FUNDS		8,131,457			—			—		8,131,457
Short-Term Investments		1,496,314			—			—		1,496,314
Total Investments		22,280,098			304,865,299			204,733		327,350,130
Derivatives*
Forward Currency Contracts
Foreign currency risk		—			465,980			—		465,980
Futures Contracts
Equity risk		—			46,916			—		46,916
Total	$	22,280,098		$	305,378,195		$	204,733	$	327,863,026
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—		$	(147,556	)	$	—	$	(147,556	)
Futures Contracts
Equity risk		(230,441	)		(541,093	)		—		(771,534	)
Total	$	(230,441	)	$	(688,649	)	$	—	$	(919,090	)
Resources Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	728,260		$	—	$	728,260
Austria		—			1,954,323			—		1,954,323
Belgium		—			287,915			—		287,915
Brazil		4,906,835			—			—		4,906,835
Canada		10,887,989			—			—		10,887,989
China		—			5,310,937			—		5,310,937
Czech Republic		—			1,668,285			—		1,668,285
Denmark		—			1,314,329			—		1,314,329
France		—			9,292,678			—		9,292,678
Germany		—			1,865,248			—		1,865,248
Greece		—			487,866			—		487,866
Hungary		—			620,687			—		620,687
Israel		—			1,458,576			—		1,458,576

82

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Italy	$	—		$	4,927,683		$	—	$	4,927,683
Japan		—			25,399,692			—		25,399,692
Netherlands		—			849,680			—		849,680
Norway		—			11,967,259			—		11,967,259
Poland		—			3,010,708			—		3,010,708
Russia		—			13,125,687			—		13,125,687
Singapore		—			2,514,828			—		2,514,828
South Africa		—			1,052,394			—		1,052,394
Spain		—			7,231,352			—		7,231,352
Sweden		—			1,123,266			—		1,123,266
Taiwan		—			351,761			—		351,761
Thailand		—			812,494			—		812,494
Turkey		—			1,117,153			—		1,117,153
United Kingdom		366,696			29,229,205			—		29,595,901
United States		38,057,049			—			—		38,057,049
TOTAL COMMON STOCKS		54,218,569			127,702,266			—		181,920,835
Preferred Stocks
Brazil		5,967,747			—			—		5,967,747
TOTAL PREFERRED STOCKS		5,967,747			—			—		5,967,747
RIGHTS/WARRANTS
Italy		—			—			99		99
TOTAL RIGHTS/WARRANTS		—			—			99		99
Mutual Funds
United States		3,156,914			—			—		3,156,914
TOTAL MUTUAL FUNDS		3,156,914			—			—		3,156,914
Short-Term Investments		73,942			—			—		73,942
Total Investments		63,417,172			127,702,266			99		191,119,537
Total	$	63,417,172		$	127,702,266		$	99	$	191,119,537
Risk Premium Fund
Asset Valuation Inputs
Mutual Funds
United States	$	278,253,028		$	—		$	—	$	278,253,028
TOTAL MUTUAL FUNDS		278,253,028			—			—		278,253,028
Short-Term Investments		49,956,766			—			—		49,956,766
Total Investments		328,209,794			—			—		328,209,794
Total	$	328,209,794		$	—		$	—	$	328,209,794
Liability Valuation Inputs
Derivatives*
Written Options
Equity Risk	$	(6,426,911	)	$	(14,434,244	)	$	—	$	(20,861,155	)
Total	$	(6,426,911	)	$	(14,434,244	)	$	—	$	(20,861,155	)

83

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Description	Level 1		Level 2			Level 3			Total
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	19,536,590		$	—		$	19,536,590
Austria		—		3,392,025			0	**		3,392,025
Belgium		—		5,513,335			—			5,513,335
Canada		5,095,265		—			—			5,095,265
Denmark		—		1,074,528			—			1,074,528
Finland		—		3,472,243			—			3,472,243
France		—		65,465,360			21			65,465,381
Germany		—		29,646,274			—			29,646,274
Greece		—		1,299,363			—			1,299,363
Hong Kong		—		9,264,243			—			9,264,243
Ireland		—		2,277,549			—			2,277,549
Israel		—		731,119			—			731,119
Italy		—		25,153,672			—			25,153,672
Japan		—		100,843,569			—			100,843,569
Malta		—		—			0	**		0	**
Netherlands		—		5,554,826			—			5,554,826
New Zealand		—		1,474,282			—			1,474,282
Norway		—		1,435,727			—			1,435,727
Portugal		—		2,496,290			—			2,496,290
Singapore		—		7,196,478			—			7,196,478
Spain		—		38,929,665			—			38,929,665
Sweden		—		3,124,922			—			3,124,922
Switzerland		—		15,570,133			—			15,570,133
United Kingdom		—		122,633,516			—			122,633,516
TOTAL COMMON STOCKS		5,095,265		466,085,709			21			471,180,995
Preferred Stocks
Germany		—		2,623,489			—			2,623,489
TOTAL PREFERRED STOCKS		—		2,623,489			—			2,623,489
Mutual Funds
United States		5,931,149		—			—			5,931,149
TOTAL MUTUAL FUNDS		5,931,149		—			—			5,931,149
Short-Term Investments		957,420		—			—			957,420
Total Investments		11,983,834		468,709,198			21			480,693,053
Derivatives*
Forward Currency Contracts
Foreign currency risk		—		662,935			—			662,935
Total	$	11,983,834	$	469,372,133		$	21		$	481,355,988
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—	$	(432,012	)	$	—		$	(432,012	)
Total	$	—	$	(432,012	)	$	—		$	(432,012	)

84

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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.

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

** Represents the interest in securities that were determined to have a fair value of zero at August 31, 2013.

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ Notes to Financial Statements.

For all Funds for the period ended August 31, 2013, 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:

	Balances as of February 28, 2013		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 August 31, 2013			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2013
International Core Equity Fund
Common Stocks
Netherlands	$	1,026,047	$	—	$	—		$	—	$	—		$	(1,026,047	)	$	—	$	—	$	0	***	$	(1,026,047	)
Total	$	1,026,047	$	—	$	—		$	—	$	—		$	(1,026,047	)	$	—	$	—	$	0	***	$	(1,026,047	)
International Small Companies Fund
Common Stocks
Austria	$	—	$	—	$	—		$	—	$	—		$	—		$	—	$	—	$	0	***	$	—
Belgium		18		—		—			—		—			—			—		—		18			0
Greece		5,942		—		—			—		—			73			—		—		6,015			73
Indonesia		222,158		—		—			—		—			(25,551	)		—		—		196,607			(25,551	)
Netherlands		214,242		—		—			—		—			(214,242	)		—		—		0	***		(214,242	)
Sweden		7,818		—		(595	)		—		(916,013	)		910,883			—		—		2,093			(52	)
Taiwan		—		—		—			—		—			—			—		—		0	***		—
Total	$	450,178	$	—	$	(595	)	$	—	$	(916,013	)	$	671,163		$	—	$	—	$	204,733		$	(239,772	)
Resources Fund
Rights and/or Warrants
Italy	$	—	$	—	$	—		$	—	$	—		$	99		$	—	$	—	$	99		$	99
Total	$	—	$	—	$	—		$	—	$	—		$	99		$	—	$	—	$	99		$	99
Tax-Managed International Equities Fund
Common Stocks
France	$	21	$	—	$	—		$	—	$	—		$	—		$	—	$	—	$	21		$	—
Total	$	21	$	—	$	—		$	—	$	—		$	—		$	—	$	—	$	21		$	—

* The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period.

** Financial assets transferred between Level 2 and Level 3, if any, were due to a change in observable and/or unobservable inputs

*** Represents the interest in securities that were determined to have a fair value of zero at August 31, 2013.

85

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

The net aggregate direct and/or indirect exposure to investments in securities using Level 3 inputs (based on the Funds’ net assets) as of August 31, 2013 were as follows:

Fund Name	Level 3 securities
Currency Hedged International Equity Fund		—
Developed World Stock Fund		—
International Core Equity Fund		0%	*
International Growth Equity Fund		0%	*
International Intrinsic Value Fund		0%	*
International Small Companies Fund		<1%
Resources Fund		<1%
Risk Premium Fund		—
Tax-Managed International Equities Fund		<1%

* Represents the interest in securities that were determined to have a fair value of zero at August 31, 2013.

Cash

Cash and Foreign Currency, if any, on the Statements of Assets and Liabilities consists of cash balances held with the custodian.

Due to/from broker

Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. Dollars at the close of regular trading on the NYSE, generally at 4:00 pm 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 on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Taxes and distributions

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

Each Fund’s policy is to declare and pay distributions of its net investment income, if any, semi-annually. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. Typically, distributions are reinvested in additional shares of each Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

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

Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2013, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.

86

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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

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

As of February 28, 2013, the Funds listed below elected to defer to March 1, 2013 late-year ordinary losses and post-October capital losses as follows:

Fund Name	Late-Year Ordinary Losses ($)		Post- October Capital Losses ($)
International Intrinsic Value Fund		—		(15,899,642)
Risk Premium Fund		(340,678)		—
Tax-Managed International Equities Fund		—		(2,623,168)

As of February 28, 2013, the Funds listed below had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses and losses realized subsequent to February 28, 2013, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

Fund Name	Short-Term ($)								Total Short- Term ($)		Long- Term ($)
	Expiration Date 2/28/2017		Expiration Date 2/28/2018		Expiration Date 2/28/2019		No Expiration Date				No Expiration Date
Currency Hedged International Equity Fund		—		(4,202,627)		—		—		(4,202,627)		—
Developed World Stock Fund		(1,215,292)		(76,431,352)		(13,491,492)		—		(91,138,136)		—
International Core Equity Fund		(17,648,106)		(906,840,158)		(47,181,759)		—		(971,670,023)		—
International Growth Equity Fund		—		(461,122,519)		—		—		(461,122,519)		—
International Intrinsic Value Fund		(111,903,032)		(948,787,215)		(163,539,321)		(7,292,886)		(1,231,522,454)		(173,117,030)
International Small Companies Fund		—		(13,357,765)		—		(4,056,634)		(17,414,399)		—
Tax-Managed International Equities Fund		—		(94,049,954)		—		(2,679,210)		(96,729,164)		—

87

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

As of August 31, 2013, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:

Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Currency Hedged International Equity Fund		2,149,308,473		263,473,296		—		263,473,296
Developed World Stock Fund		338,802,112		57,603,453		(14,271,849)		43,331,604
International Core Equity Fund		1,991,080,283		179,109,268		(90,229,327)		88,879,941
International Growth Equity Fund		1,737,277,524		248,332,393		(49,623,658)		198,708,735
International Intrinsic Value Fund		11,409,019,733		1,117,522,323		(568,063,310)		549,459,013
International Small Companies Fund		308,223,058		42,865,863		(23,738,791)		19,127,072
Resources Fund		199,779,083		5,725,147		(14,384,693)		(8,659,546)
Risk Premium Fund		328,279,766		—		(69,972)		(69,972)
Tax-Managed International Equities Fund		398,752,859		91,494,544		(9,554,350)		81,940,194

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual Fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, 12b-1 and administration fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (See Note 5).

Brown Brothers Harriman & Co. (“BBH”) serves as the Funds’ custodian and fund accounting agent except for Risk Premium Fund. For Risk Premium Fund, State Street Bank and Trust Company (“State Street”) serves as the custodian and fund accounting agent. State Street serves as the transfer agent for all Funds. State Street’s transfer agent fees may be reduced by an earnings allowance calculated on the average daily cash balances each Fund maintains in a State Street transfer agent account. Earnings allowances are reported as a reduction of expenses in the Statement of Operations. Prior to December 31, 2012 for Risk Premium Fund, State Street’s custodian fees may have been reduced by an earnings

88

GMO Trust Funds

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August 31, 2013 (Unaudited)

allowance calculated on the average daily cash balance maintained in a State Street custodial account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2013 for Risk Premium Fund, any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.

Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions). If the Manager determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. The Manager also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

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

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

As of August 31, 2013, the premium on cash purchases and the fee on cash redemptions were as follows:

	Currency Hedged Inter- national Equity Fund	Developed World Stock Fund	Inter- national Core Equity Fund	Inter- national Growth Equity Fund	Inter- national Intrinsic Value Fund	Inter- national Small Companies Fund	Resources Fund	Risk Premium Fund	Tax- Managed Inter- national Equities Fund
Purchase Premium	—	0.25%	—	—	—	0.50%	0.30%	0.15%	—
Redemption Fee	—	0.25%	—	—	—	0.50%	0.30%	0.15%	—

89

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

3. Investment and other risks

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 Inter- national Equity Fund	Developed World Stock Fund	Inter- national Core Equity Fund	Inter- national Growth Equity Fund	Inter- national Intrinsic Value Fund	Inter- national Small Companies Fund	Resources Fund	Risk Premium Fund	Tax- Managed Inter- national Equities Fund
Market Risk – Equities	X	X	X	X	X	X	X	X	X
Options Risk								X
Liquidity Risk	X					X	X	X	X
Smaller Company Risk	X		X	X	X	X	X		X
Derivatives Risk	X	X	X	X	X	X	X	X	X
Non-U.S. Investment Risk	X	X	X	X	X	X	X	X	X
Currency Risk	X	X	X	X	X	X	X	X	X
Focused Investment Risk	X	X	X	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X	X	X		X
Counterparty Risk	X	X	X	X	X	X	X	X	X
Market Risk – Fixed Income Investments								X
Credit Risk								X
Natural Resources Risk							X
Commodities Risk							X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X	X	X	X
Management and Operational Risk	X	X	X	X	X	X	X	X	X
Fund of Funds Risk	X
Non-Diversified Funds	X	X					X	X	X

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.

90

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

• 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:

Equities. Funds that invest in equities run the risk that the market prices of those investments will decline. The market prices of equities may decline for reasons that directly relate to the issuing company, such as poor management performance or reduced demand for its goods or services. They 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. Equities generally have significant price volatility, and the market prices of equities can decline in a rapid or unpredictable manner.

The Funds invest a substantial portion of their assets in equities and, 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 equities 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 or will decline for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments.

The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

Because of Risk Premium Fund’s emphasis on selling put options on stock indices, its shares are expected to decline in value when those indices decline in value. Also, Risk Premium Fund’s investment strategy of writing put options on stock indices can be expected to cause the Fund to underperform the equity markets on which its puts were written when those markets rise rapidly because the Fund does not have exposure to the upside of the equity markets.

• OPTIONS RISK. There are various risks associated with transactions in exchange-traded and OTC options. The market price 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 price of an option also may be adversely affected if the market for the option 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 because 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. Due to Risk Premium Fund’s primary investment strategy of selling put options on various stock indices, a substantial portion of that Fund’s income could consist of short-term capital gains.

• 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. In addition to these risks, a Fund is 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, but those with the greatest risk have principal investment strategies that involve investment in asset-backed securities, emerging country debt

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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, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by the Fund. In addition, Inflation-Protected Securities issued by the U.S. Treasury (“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 market prices 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 those instruments. In addition, a liquid market may not 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 markets for underlying securities that are not immediately 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 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.

• 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 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. Derivatives include futures, non-U.S. currency contracts, swap contracts, 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, 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 consent of 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, a Fund often will not receive the collateral the day the collateral is called for.

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 in which it has invested.

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.

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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.

Swap contracts 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.

A Fund’s use of derivatives may be subject to one or more special tax rules and could generate additional taxable income for shareholders.

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 (and many of the rules are not yet final), its ultimate impact remains unclear.

Under recently adopted rules and regulations, transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds will hold cleared derivatives through accounts at clearing members. In cleared derivatives transactions, the Funds will make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In many ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements. For example, the Funds may be required to provide more margin for cleared derivatives transactions than for bilateral derivatives transactions. Also, in contrast to a bilateral derivatives transaction, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives transaction at any time or an increase in margin requirements above the margin that the clearing member required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions or to terminate those transactions at any time. Any increase in margin requirements or termination of existing cleared derivatives transactions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member, because (as described under “Counterparty Risk” below) margin for cleared derivatives transactions in excess of a clearing house’s margin requirements typically is held by the clearing member. Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of the transaction, including loss of an increase in the value of the transaction and/or loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent.

These and other new rules and regulations could, among other things, further 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, increasing margin or capital requirements, or otherwise limiting liquidity or increasing transaction costs. These regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that the new clearing mechanisms will achieve that result, and in the meantime, as noted above, central clearing exposes the Funds to new kinds of risks and costs.

• 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. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).

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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. investments, (ii) transactions in those investments and (iii) the repatriation of proceeds generated from the sale of those investments. A Fund may seek to collect a refund on taxes paid to a non-U.S. country. In those cases, all or a portion of those taxes could ultimately be recovered by a Fund. However, the recovery process could take several years and the Fund will incur expenses in its efforts to collect the refund, which will reduce the benefit of any recovery. A Fund’s efforts to collect a refund may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to pursue a refund is in its sole discretion, and it may decide not to pursue a refund, even if eligible.

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).

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.

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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), or in securities from issuers with high positive correlations to one another (such as U.S.Treasury Fund’s investments in securities issued by the U.S. Treasury and other fixed income securities that are backed by the full faith and credit of the U.S. government), 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 price 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.

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 Japan) 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 country are vulnerable to events affecting other companies 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.

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.

• 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 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.

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.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or 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. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties maintain a specific rating by a nationally recognized rating organization 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 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 a counterparty defaults, the Fund will have contractual remedies, but the Fund

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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 longer time that events may occur that 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 contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts 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 derivatives will be affected by new rules and regulations affecting the derivatives market. As described under “Derivatives Risk” above, some derivatives transactions are required to be centrally 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 derivatives transaction. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. A clearing member is obligated by contract and by applicable regulation to segregate all funds received from customers with respect to cleared derivatives transactions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing member from its customers with respect to cleared derivatives are generally held by the clearing member on a commingled basis in an omnibus account, and the clearing member may invest those funds in certain instruments permitted under the applicable regulations. Therefore, a Fund might not be fully protected in the event of the bankruptcy of a Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing member’s customers for a relevant account class. Also, the clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives, which amounts are generally held in an omnibus account at the clearing house for all customers of the clearing member. Regulations promulgated by the Commodities Futures Trading Commission require that the clearing member notify the clearing house of the initial margin provided by the clearing member to the clearing house that is attributable to each customer. However, if the clearing member does not accurately report the Funds’ initial margin, the Funds are subject to the risk that a clearing house will use a Fund’s assets held in an omnibus account at the clearing house to satisfy payment obligations of a defaulting customer of the clearing member to the clearing house. In addition, clearing members generally provide the clearing house the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than individually for each customer. The Funds are therefore subject to the risk that a clearing house will not make variation margin payments owed to a Fund if another customer of the clearing member has suffered a loss and is in default, and the risk that a Fund will be required to provide additional variation margin to the clearing house before the clearing house will move the Fund’s cleared derivatives transactions to another clearing member. In addition, if a clearing member does not comply with the applicable regulations or its agreement with the Funds, or in the event of fraud or misappropriation of customer assets by a clearing member, a Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the margin held by the clearing member.

• MARKET RISK — Fixed Income Investments. 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” below and “Liquidity Risk” above for more information about these risks.

A risk run by each Fund with a significant investment in fixed income securities is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases 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

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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.

The market 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.

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security 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, guarantor’s or obligor’s failure to meet its payment obligations or the downgrading of its credit rating. This 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.

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. In addition, payment of principal of fixed income securities guaranteed by the U.S. government can be delayed because the guarantee generally only requires payment upon maturity of the securities. 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 fixed income securities issued or guaranteed by emerging countries.

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.

Securities issued by the U.S. Treasury historically have presented minimal credit risk. However, recent events have led to a downgrade in the long-term U.S. credit rating by at least one major rating agency and have introduced greater uncertainty about the ability of the U.S. to repay its obligations. A further credit rating downgrade or a U.S. credit default could decrease the value and increase the volatility of the Fund’s investments.

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.

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” above for more information regarding risks associated with the use of credit default swaps.

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The extent to which the market 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 market price of its securities could decline much more than would be predicted by a change in their yield relative 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.

• 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 market 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. 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.

• 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. Securities markets may be susceptible to market manipulation (e.g., the potential manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or adversely affect the value of investments traded in these markets, including investments of the Funds. While the U.S. government has honored its credit obligations continuously for the last 200 years, it remains possible that the U.S. could default on its obligations. While it is impossible to predict the consequences of such an unprecedented event, it is likely that a default by the U.S. would be highly disruptive to the U.S. and global securities markets and could significantly impair the value of the Funds’ investments. Similarly, political events within the U.S. at times have resulted, and may in the future result, in a shutdown of government services, which could negatively affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. The uncertainty surrounding the sovereign debt of a significant number of European Union countries 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, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also 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

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interventions, can also prevent the Funds from implementing their investment programs for a period of time and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and 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. To the extent that a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events could have a disproportionate impact on the 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 the shares of many Funds, and asset allocation decisions by the Manager may result in substantial redemptions from (or investments in) 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, by necessitating a sale of portfolio securities, accelerate the realization of taxable income to shareholders. 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, errors or limitations in those analyses and models could affect the ability of the portfolio managers to implement a Fund’s strategies. 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 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 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 of their underlying Funds (e.g., many of the Fixed Income Funds) 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. Many of the Funds that invest in shares of other GMO Funds are subject indirectly to Large Shareholder Risk because those other 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

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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 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:

• Developed World Stock Fund

• Resources Fund

• Risk Premium Fund

• Tax-Managed International Equities Fund

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 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.

4. Derivative financial instruments

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

The 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 contracts 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 may have investment exposures in excess of their net assets (i.e., they may be leveraged). 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 the performance of assets or indices underlying its derivatives even though it does not own those assets or indices. The Funds’ foreign currency exposure may differ significantly from the currency exposure represented by their investments.

Certain derivatives transactions used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions through clearing members, who are members of derivatives clearing houses. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing members

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generally can require termination of existing cleared derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

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 “Investment and other risks” above for further information.

For Funds that held derivatives during the period ended August 31, 2013, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Currency Hedged International Equity Fund	Developed World Stock Fund	International Core Equity Fund	International Growth Equity Fund	International Intrinsic Value Fund	International Small Companies Fund	Resources Fund	Risk Premium Fund	Tax-Managed International Equities Fund
Forward currency contracts
Adjust exposure to foreign currencies		X	X	X	X	X			X
To manage against anticipated currency exchange rate changes		X	X	X	X	X			X
To hedge foreign currency exposure in the underlying Funds’ investments relative to the U.S. Dollar	X
Futures contracts
Adjust exposure to certain securities markets		X	X	X	X	X
Maintain the diversity and liquidity of the portfolio		X	X	X	X	X
Options (Written)
Used written put option contracts as a substitute for direct equity investment								X
Rights and/or warrants
Received as a result of corporate actions		X	X	X	X	X	X		X

Forward currency contracts

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.

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Futures contracts

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 (and if 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, 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 as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the 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

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 in the Statements of Operations.

For the period ended August 31, 2013, investment activity in options contracts written by the Funds were as follows:

	Puts								Calls
	Principal Amount of Contracts		Number of Contracts			Premiums			Principal Amount of Contracts		Number of Contracts		Premiums
Risk Premium Fund
Outstanding, beginning of period		—		12,048		$	10,179,773			—		—	$	—
Options written		—		83,206			86,050,982			—		—		—
Options bought back		—		(30,570	)		(32,369,841	)		—		—		—
Options expired		—		(51,085	)		(50,482,549	)		—		—		—
Options exercised		—		(75	)		(363,367	)		—		—		—
Outstanding, end of period		—		13,524		$	13,014,998			—		—	$	—

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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 (and if 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, 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.

Swap contracts

The Funds may enter into various types of swap contracts, 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 contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract 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 contract 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 contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.

Interest rate swap contracts 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 contracts 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 futures 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 contract, 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 contracts 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 contracts 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 contracts 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 OTC swap contracts 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 in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

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August 31, 2013 (Unaudited)

The values assigned to swap contracts may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. 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 contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

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 valuations of derivative instruments categorized by risk exposure:

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2013 and the Statements of Operations for the period ended August 31, 2013^:

	Credit Contracts		Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Currency Hedged International Equity Fund
Asset:
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—	$	8,108,168		$	—	$	—	$	8,108,168
Total	$	—	$	—	$	8,108,168		$	—	$	—	$	8,108,168
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	8,108,168		$	—	$	—	$	8,108,168
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	(7,014,069	)	$	—	$	—	$	(7,014,069	)
Total	$	—	$	—	$	(7,014,069	)	$	—	$	—	$	(7,014,069	)
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	(7,014,069	)	$	—	$	—	$	(7,014,069	)
Net Realized Gain (Loss) on:
Forward Currency Contracts	$	—	$	—	$	31,993,865		$	—	$	—	$	31,993,865
Total	$	—	$	—	$	31,993,865		$	—	$	—	$	31,993,865
Change in Net Unrealized Appreciation (Depreciation) on:
Forward Currency Contracts	$	—	$	—	$	(9,592,682	)	$	—	$	—	$	(9,592,682	)
Total	$	—	$	—	$	(9,592,682	)	$	—	$	—	$	(9,592,682	)

104

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Developed World Stock Fund
Asset:
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	533,372		$	—	$	—	$	533,372
Unrealized Appreciation on Futures Contracts*				164,570			—							164,570
Total	$	—	$	164,570		$	533,372		$	—	$	—	$	697,942
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	164,570		$	533,372		$	—	$	—	$	697,942
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(141,428	)	$	—	$	—	$	(141,428	)
Unrealized Depreciation on Futures Contracts*		—		(210,041	)		—			—		—		(210,041	)
Total	$	—	$	(210,041	)	$	(141,428	)	$	—	$	—	$	(351,469	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	(210,041	)	$	(141,428	)	$	—	$	—	$	(351,469	)
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	3		$	—		$	—	$	—	$	3
Forward Currency Contracts		—		—			(208,471	)		—		—		(208,471	)
Futures Contracts		—		2,019,038			—			—		—		2,019,038
Total	$	—	$	2,019,041		$	(208,471	)	$	—	$	—	$	1,810,570
Change in Net Unrealized Appreciation (Depreciation) on:
Forward Currency Contracts	$	—	$	—		$	104,898		$	—	$	—	$	104,898
Futures Contracts		—		(680,649	)		—			—		—		(680,649	)
Total	$	—	$	(680,649	)	$	104,898		$	—	$	—	$	(575,751	)
International Core Equity Fund
Asset:
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	3,553,947		$	—	$	—	$	3,553,947
Total	$	—	$	—		$	3,553,947		$	—	$	—	$	3,553,947
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	—		$	3,553,947		$	—	$	—	$	3,553,947
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(1,548,245	)	$	—	$	—	$	(1,548,245	)
Unrealized Depreciation on Futures Contracts*		—		(974,190	)		—			—		—		(974,190	)
Total	$	—	$	(974,190	)	$	(1,548,245	)	$	—	$	—	$	(2,522,435	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	(974,190	)	$	(1,548,245	)	$	—	$	—	$	(2,522,435	)
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	8,089		$	—		$	—		—	$	8,089
Forward Currency Contracts		—					11,680,058			—		—		11,680,058
Futures Contracts		—		8,804,692			—			—		—		8,804,692
Total	$	—	$	8,812,781		$	11,680,058		$	—	$	—	$	20,492,839
Change in Net Unrealized Appreciation (Depreciation) on:
Forward Currency Contracts	$	—	$	—		$	(61,012	)	$	—	$	—	$	(61,012	)
Futures Contracts		—		7,765,366			—			—		—		7,765,366
Total	$	—	$	7,765,366		$	(61,012	)	$	—	$	—	$	7,704,354

105

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
International Growth Equity Fund
Asset:
Investments, at value (rights and/or warrants)	$	—	$	1,455		$	—		$	—	$	—	$	1,455
Unrealized Appreciation on Forward Currency Contracts		—		—			2,906,925			—		—		2,906,925
Unrealized Appreciation on Futures Contracts*		—		597,982			—			—		—		597,982
Total	$	—	$	599,437		$	2,906,925		$	—	$	—	$	3,506,362
Derivatives not subject to Master Agreements	$	—	$	1,455		$	—		$	—	$	—	$	1,455
Total subject to Master Agreements	$	—	$	597,982		$	2,906,925		$	—	$	—	$	3,504,907
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(1,444,269	)	$	—	$	—	$	(1,444,269	)
Unrealized Depreciation on Futures Contracts*		—		(1,138,438	)		—			—		—		(1,138,438	)
Total	$	—	$	(1,138,438	)	$	(1,444,269	)	$	—	$	—	$	(2,582,707	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	(1,138,438	)	$	(1,444,269	)	$	—	$	—	$	(2,582,707	)
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	4,949		$	—		$	—	$	—	$	4,949
Forward Currency Contracts		—		—			9,798,241			—		—		9,798,241
Futures Contracts		—		9,337,309			—			—		—		9,337,309
Total	$	—	$	9,342,258		$	9,798,241		$	—	$	—	$	19,140,499
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—	$	(2,261	)	$	—		$	—	$	—	$	(2,261	)
Forward Currency Contracts		—		—			(333,891	)		—		—		(333,891	)
Futures Contracts		—		1,219,135			—			—		—		1,219,135
Total	$	—	$	1,216,874		$	(333,891	)	$	—	$	—	$	882,983
International Intrinsic Value Fund
Assets:
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	13,463,792		$	—	$	—	$	13,463,792
Unrealized Appreciation on Futures Contracts*		—		1,469,574			—			—		—		1,469,574
Total	$	—	$	1,469,574		$	13,463,792		$	—	$	—	$	14,933,366
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	1,469,574		$	13,463,792		$	—	$	—	$	14,933,366
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(2,353,257	)	$	—	$	—	$	(2,353,257	)
Unrealized Depreciation on Futures Contracts*		—		(4,164,018	)		—			—		—		(4,164,018	)
Total	$	—	$	(4,164,018	)	$	(2,353,257	)	$	—	$	—	$	(6,517,275	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	(4,164,018	)	$	(2,353,257	)	$	—	$	—	$	(6,517,275	)

106

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
International Intrinsic Value Fund (continued)
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	(710,679	)	$	—		$	—	$	—	$	(710,679	)
Forward Currency Contracts		—		—			(10,450,425	)		—		—		(10,450,425	)
Futures Contracts		—		46,699,185			—			—		—		46,699,185
Total	$	—	$	45,988,506		$	(10,450,425	)	$	—	$	—	$	35,538,081
Change in Net Unrealized Appreciation (Depreciation) on:
Forward Currency Contracts	$	—	$	—		$	(895,700	)	$	—	$	—	$	(895,700	)
Futures Contracts		—		(14,736,402	)		—			—		—		(14,736,402	)
Total	$	—	$	(14,736,402	)	$	(895,700	)	$	—	$	—	$	(15,632,102	)
International Small Companies Fund
Asset:
Investments, at value (rights and/or warrants)	$	—	$	1,675		$	—		$	—	$	—	$	1,675
Unrealized Appreciation on Forward Currency Contracts		—		—			465,980			—		—		465,980
Unrealized Appreciation on Futures Contracts*		—		46,916			—			—		—		46,916
Total	$	—	$	48,591		$	465,980		$	—	$	—	$	514,571
Derivatives not subject to Master Agreements	$	—	$	1,675		$	—		$	—	$	—	$	1,675
Total subject to Master Agreements	$	—	$	46,916		$	465,980		$	—	$	—	$	512,896
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(147,556	)	$	—	$	—	$	(147,556	)
Unrealized Depreciation on Futures Contracts*		—		(771,534	)		—			—		—		(771,534	)
Total	$	—	$	(771,534	)	$	(147,556	)	$	—	$	—	$	(919,090	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	(771,534	)	$	(147,556	)	$	—	$	—	$	(919,090	)
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	(153,673	)	$	—		$	—	$	—	$	(153,673	)
Forward Currency Contracts		—		—			350,263			—		—		350,263
Futures Contracts		—		1,518,268			—			—		—		1,518,268
Total	$	—	$	1,364,595		$	350,263		$	—	$	—	$	1,714,858
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—	$	852		$	—		$	—	$	—	$	852
Forward Currency Contracts		—		—			304,220			—		—		304,220
Futures Contracts				(339,656	)									(339,656	)
Total	$	—	$	(338,804	)	$	304,220		$	—	$	—	$	(34,584	)
Resources Fund
Asset:
Investments, at value (rights and/or warrants)	$	—	$	99		$	—		$	—	$	—	$	99
Total	$	—	$	99		$	—		$	—	$	—	$	99
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	99		$	—		$	—	$	—	$	99

107

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Resources Fund (continued)
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	10,654		$	—		$	—	$	—	$	10,654
Total	$	—	$	10,654		$	—		$	—	$	—	$	10,654
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—	$	99		$	—		$	—	$	—	$	99
Total	$	—	$	99		$	—		$	—	$	—	$	99
Risk Premium Fund
Liability:
Written Options, at value	$	—	$	(20,861,155	)	$	—		$	—	$	—	$	(20,861,155	)
Total	$	—	$	(20,861,155	)	$	—		$	—	$	—	$	(20,861,155	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	(20,861,155	)	$	—		$	—	$	—	$	(20,861,155	)
Net Realized Gain (Loss) on:
Written Options		—		769,169			—			—		—		769,169
Total	$	—	$	769,169		$	—		$	—	$	—	$	769,169
Change in Net Unrealized Appreciation (Depreciation) on:
Written Options		—		(10,684,532	)		—			—		—		(10,684,532	)
Total	$	—	$	(10,684,532	)	$	—		$	—	$	—	$	(10,684,532	)
Tax-Managed International Equities Fund
Asset:
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	662,935		$	—	$	—	$	662,935
Total	$	—	$	—		$	662,935		$	—	$	—	$	662,935
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	—		$	662,935		$	—	$	—	$	662,935
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(432,012	)	$	—	$	—	$	(432,012	)
Total	$	—	$	—		$	(432,012	)	$	—	$	—	$	(432,012	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	—		$	(432,012	)	$	—	$	—	$	(432,012	)
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	66,301		$	—		$	—	$	—	$	66,301
Forward Currency Contracts		—		—			447,629			—		—		447,629
Total	$	—	$	66,301		$	447,629		$	—	$	—	$	513,930
Change in Net Unrealized Appreciation (Depreciation) on:
Forward Currency Contracts	$	—	$	—		$	139,017		$	—	$	—	$	139,017
Total	$	—	$	—		$	139,017		$	—	$	—	$	139,017

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

^ Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

* The table includes cumulative appreciation/depreciation of futures and cleared swap contracts as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts is reported within the Statements of Assets and Liabilities.

108

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

The Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some over-the-counter derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset obligations. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. For more information about other uncertainties and risks, see the Investment and Other Risks note.

For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2013, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements and net of the related collateral received or pledged by the Funds as of August 31, 2013:

Currency Hedged International Equity Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	14,979	$	—	$	—		$	14,979
Barclays Bank PLC		1,233,033		—		1,233,033			—
Brown Brothers Harriman & Co.		133,992		—		133,992			—
Deutsche Bank AG		416,229		—		416,229			—
Goldman Sachs International		2,323,637		—		(603,942	)		1,719,695
JPMorgan Chase Bank, N.A.		1,362,609		—		1,362,609			—
Morgan Stanley & Co. International PLC		2,623,689		—		(434,667	)		2,189,022
Total	$	8,108,168	$	—	$	2,107,254		$	3,923,696
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	2,595,117	$	—	$	(1,233,033	)	$	1,362,084
Brown Brothers Harriman & Co.		646,578		—		(133,992	)		512,586
Deutsche Bank AG		600,720		—		(416,229	)		184,491
Goldman Sachs International		603,942		—		603,942			—
JPMorgan Chase Bank, N.A.		1,963,060		—		(1,362,609	)		600,451
Morgan Stanley & Co. International PLC		434,667		—		434,667			—
Royal Bank of Scotland PLC		169,985		—		—			169,985
Total	$	7,014,069	$	—	$	(2,107,254	)	$	2,829,597

109

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Developed World Stock Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	98,591	$	—	$	(35,939	)	$	62,652
Bank of New York Mellon		27,771		—		27,771			—
Barclays Bank PLC		53,859		—		(10,336	)		43,523
Brown Brothers Harriman & Co.		38,109		—		(11,037	)		27,072
Deutsche Bank AG		104,121		—		(33,852	)		70,269
JPMorgan Chase Bank, N.A.		69,343		—		(15,463	)		53,880
Morgan Stanley & Co. International PLC		67,528		—		(2,615	)		64,913
State Street Bank and Trust Company		74,050		—		(44	)		74,006
Total	$	533,372	$	—	$	(81,515	)	$	396,315
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	35,939	$	—	$	35,939		$	—
Bank of New York Mellon		30,213		—		(27,771	)		2,442
Barclays Bank PLC		10,336		—		10,336			—
Brown Brothers Harriman & Co.		11,037		—		11,037			—
Deutsche Bank AG		33,852		—		33,852			—
JPMorgan Chase Bank, N.A.		15,463		—		15,463			—
Morgan Stanley & Co. International PLC		2,615		—		2,615			—
Royal Bank of Scotland PLC		1,929		—		—			1,929
State Street Bank and Trust Company		44		—		44			—
Total	$	141,428	$	—	$	81,515		$	4,371

110

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

International Core Equity Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	490,262	$	—	$	(899	)	$	489,363
Bank of New York Mellon		366,104		—		(67,064	)		299,040
Barclays Bank PLC		544,220		—		(62,070	)		482,150
Brown Brothers Harriman & Co.		162,616		—		162,616			—
Deutsche Bank AG		409,670		—		(158,650	)		251,020
JPMorgan Chase Bank, N.A.		43		—		43			—
Morgan Stanley & Co. International PLC		523,189		—		(81,451	)		441,738
Royal Bank of Scotland PLC		583,125		—		(52,387	)		530,738
State Street Bank and Trust Company		474,717		—		(218,683	)		256,034
Total	$	3,553,946	$	—	$	(478,545	)	$	2,750,083
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	899	$	—	$	899		$	—
Bank of New York Mellon		67,064		—		67,064			—
Barclays Bank PLC		62,070		—		62,070			—
Brown Brothers Harriman & Co.		292,842		—		(162,616	)		130,226
Deutsche Bank AG		158,650		—		158,650			—
JPMorgan Chase Bank, N.A.		614,198		—		(43	)		614,155
Morgan Stanley & Co. International PLC		81,451		—		81,451			—
Royal Bank of Scotland PLC		52,387		—		52,387			—
State Street Bank and Trust Company		218,683		—		218,683			—
Total	$	1,548,244	$	—	$	478,545		$	744,381

111

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

International Growth Equity Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	427,468	$	—	$	(153,245	)	$	274,223
Bank of New York Mellon		267,320		—		267,320			—
Barclays Bank PLC		396,870		—		(238,823	)		158,047
Brown Brothers Harriman & Co.		622,138		—		(250,330	)		371,808
Deutsche Bank AG		250,658		—		(177,532	)		73,126
JPMorgan Chase Bank, N.A.		232,883		—		(419	)		232,464
Morgan Stanley & Co. International PLC		391,893		—		(296,438	)		95,455
Royal Bank of Scotland PLC		56,492		—		(10,788	)		45,704
State Street Bank and Trust Company		261,203		—		(488	)		260,715
Total	$	2,906,925	$	—	$	(860,743	)	$	1,511,542
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	153,245	$	—	$	153,245		$	—
Bank of New York Mellon		316,206		—		(267,320	)		48,886
Barclays Bank PLC		238,823		—		238,823			—
Brown Brothers Harriman & Co.		250,330		—		250,330			—
Deutsche Bank AG		177,532		—		177,532			—
JPMorgan Chase Bank, N.A.		419		—		419			—
Morgan Stanley & Co. International PLC		296,438		—		296,438			—
Royal Bank of Scotland PLC		10,788		—		10,788			—
State Street Bank and Trust Company		488		—		488			—
Total	$	1,444,269	$	—	$	860,743		$	48,886

112

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

International Intrinsic Value Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	2,591,993	$	—	$	(112,862	)	$	2,479,131
Bank of New York Mellon		1,664,541		—		(858,026	)		806,515
Barclays Bank PLC		1,927,835		—		(490,362	)		1,437,473
Brown Brothers Harriman & Co.		1,289,850		—		(5,610	)		1,284,240
Deutsche Bank AG		1,456,767		—		(650,177	)		806,590
Goldman Sachs International		477,028		—		(1,773	)		475,255
JPMorgan Chase Bank, N.A.		1,032,312		—		(59,536	)		972,776
Morgan Stanley & Co. International PLC		909,618		—		(173,877	)		735,741
Royal Bank of Scotland PLC		1,088,155		—		(1,034	)		1,087,121
State Street Bank and Trust Company		1,025,693		—		—			1,025,693
Total	$	13,463,792	$	—	$	(2,353,257	)	$	11,110,535
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	112,862	$	—	$	112,862		$	—
Bank of New York Mellon		858,026		—		858,026			—
Barclays Bank PLC		490,362		—		490,362			—
Brown Brothers Harriman & Co.		5,610		—		5,610			—
Deutsche Bank AG		650,177		—		650,177			—
Goldman Sachs International		1,773		—		1,773			—
JPMorgan Chase Bank, N.A.		59,536		—		59,536			—
Morgan Stanley & Co. International PLC		173,877		—		173,877			—
Royal Bank of Scotland PLC		1,034		—		1,034			—
Total	$	2,353,257	$	—	$	2,353,257		$	—

113

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

International Small Companies Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	74,521	$	—	$	(22,680	)	$	51,841
Barclays Bank PLC		56,670		—		(7,626	)		49,044
Brown Brothers Harriman & Co.		88,899		—		(1,275	)		87,624
Deutsche Bank AG		90,251		—		(14,852	)		75,399
JPMorgan Chase Bank, N.A.		64,233		—		(15,288	)		48,945
Morgan Stanley & Co. International PLC		46,241		—		(24,919	)		21,322
Royal Bank of Scotland PLC		20,654		—		(11,215	)		9,439
State Street Bank and Trust Company		24,511		—		(20,270	)		4,241
Total	$	465,980	$	—	$	(118,125	)	$	347,855
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	22,680	$	—	$	22,680		$	—
Bank of New York Mellon		29,431		—		—			29,431
Barclays Bank PLC		7,626		—		7,626			—
Brown Brothers Harriman & Co.		1,275		—		1,275			—
Deutsche Bank AG		14,852		—		14,852			—
JPMorgan Chase Bank, N.A.		15,288		—		15,288			—
Morgan Stanley & Co. International PLC		24,919		—		24,919			—
Royal Bank of Scotland PLC		11,215		—		11,215			—
State Street Bank and Trust Company		20,270		—		20,270			—
Total	$	147,556	$	—	$	118,125		$	29,431

114

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Tax-Managed International Equities Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	108,543	$	—	$	108,543		$	—
Barclays Bank PLC		60,001		—		(24,489	)		35,512
Brown Brothers Harriman & Co.		7,124		—		7,124			—
Deutsche Bank AG		301,063		—		(109,507	)		191,556
Morgan Stanley & Co. International PLC		129,126		—		(95,688	)		33,438
State Street Bank and Trust Company		57,078		—		(15,057	)		42,021
Total	$	662,935	$	—	$	(129,074	)	$	302,527
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	127,723	$	—	$	(108,543	)	$	19,180
Barclays Bank PLC		24,489		—		24,489			—
Brown Brothers Harriman & Co.		59,548		—		(7,124	)		52,424
Deutsche Bank AG		109,507		—		109,507			—
Morgan Stanley & Co. International PLC		95,688		—		95,688			—
State Street Bank and Trust Company		15,057		—		15,057			—
Total	$	432,012	$	—	$	129,074		$	71,604

The following tables present the Funds’ exchange-traded or cleared derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements and net of the related collateral received or pledged by the Funds as of August 31, 2013:

Developed World Stock Fund

Counterparty	Gross Derivative Liabilities in the Statement of Assets and Liabilities		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Goldman Sachs & Co.	$	92,720	$	(92,720	)	$	—	$	—	*
Total	$	92,720	$	(92,720	)	$	—	$	—

International Core Equity Fund

Counterparty	Gross Derivative Liabilities in the Statement of Assets and Liabilities		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Goldman Sachs & Co.	$	354,867	$	(354,867	)	$	—	$	—	*
Total	$	354,867	$	(354,867	)	$	—	$	—

115

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

International Growth Equity Fund

Counterparty	Gross Derivative Liabilities in the Statement of Assets and Liabilities		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Goldman Sachs & Co.	$	322,286	$	(322,286	)	$	—	$	—	*
Total	$	322,286	$	(322,286	)	$	—	$	—

International Intrinsic Value Fund

Counterparty	Gross Derivative Liabilities in the Statement of Assets and Liabilities		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Goldman Sachs & Co.	$	1,698,733	$	(1,698,733	)	$	—	$	—	*
Total	$	1,698,733	$	(1,698,733	)	$	—	$	—

International Small Companies Fund

Counterparty	Gross Derivative Liabilities in the Statement of Assets and Liabilities		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Goldman Sachs & Co.	$	136,379	$	(136,379	)	$	—	$	—	*
Total	$	136,379	$	(136,379	)	$	—	$	—

Risk Premium Fund

Counterparty	Gross Derivative Liabilities in the Statement of Assets and Liabilities		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Morgan Stanley & Co. LLC	$	20,861,155	$	(20,861,155	)	$	—	$	—	*
Total	$	20,861,155	$	(20,861,155	)	$	—	$	—

* In some instances, the actual collateral received and/or pledged may be more than the amount shown.

116

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

The average derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants) or, notional amounts (swap contracts) or number of contracts (options) outstanding at each month-end, was as follows for the period ended August 31, 2013:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options		Rights and/or Warrants ($)
Currency Hedged International Equity Fund		2,293,748,630		—		—		—
Developed World Stock Fund		76,157,574		21,118,184		—		8,145
International Core Equity Fund		913,464,375		166,117,063		—		59,731
International Growth Equity Fund		406,820,878		111,220,882		—		56,875
International Intrinsic Value Fund		2,144,509,671		528,516,000		—		439,627
International Small Companies Fund		61,446,055		27,910,412		—		39,249
Resources Fund		—		—		—		6,428
Risk Premium Fund		—		—		14,029		—
Tax-Managed International Equities Fund		82,501,595		—		—		24,168

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to each Fund. That fee, if any, is paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:

	Currency Hedged International Equity Fund	Developed World Stock Fund	International Core Equity Fund	International Growth Equity Fund	International Intrinsic Value Fund	International Small Companies Fund	Resources Fund	Risk Premium Fund	Tax-Managed International Equities Fund
Management Fee	0.54%	0.45%	0.38%	0.50%	0.50%	0.60%	0.50%	0.45%	0.50%

In addition, each class of shares of certain Funds (except Class M shares which are described below (International Intrinsic Value Class M liquidated on March 27, 2013)) pays the Manager a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Class M shares of a Fund pay the Manager an administration fee, which is used by the Manager to defray its expenses (or the expenses of a third party) in providing administration and record keeping services to certain marketplaces where Class M shares of each Fund may be purchased. The Manager may pay part or all of the administration fee to third parties for providing administration and record keeping services. In some cases, these third parties also receive compensation from the Fund’s distributor pursuant to the Trust’s Distribution and Service (12b-1) Plan. Shareholder service fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:

117

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Fund Name	Class II		Class III		Class IV		Class V			Class VI
Currency Hedged International Equity Fund				0.15%
Developed World Stock Fund				0.15%		0.10%
International Core Equity Fund				0.15%		0.09%					0.055%
International Growth Equity Fund				0.15%		0.09%
International Intrinsic Value Fund		0.22%		0.15%		0.09%
International Small Companies Fund				0.15%
Resources Fund				0.15%		0.10%		0.085%	*		0.055%	*
Risk Premium Fund				0.15%		0.10%		0.085%	*		0.055%
Tax-Managed International Equities Fund				0.15%

* Class is offered but has no shareholders as of August 31, 2013.

For each Fund other than Resources Fund, the Manager has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to the Manager. For Resources Fund, the Manager has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.10% of the Fund’s average daily net assets.

“Specified Operating Expenses” means only the following expenses to the extent that they are borne by a Fund: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of the Manager, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

For each Fund that charges a management fee, the Manager will waive and/or reduce the Fund’s management fee, but not below zero, to the extent necessary to offset the management fees directly or indirectly paid by the Fund to the Manager as a result of the Fund’s direct or indirect investments in other GMO Funds.

For each Fund that charges a shareholder service fee, the Manager will waive and/or reduce the shareholder service fee charged by each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly paid by the class of shares of the Fund to the Manager as a result of the Fund’s direct or indirect investments in other GMO Funds.

These contractual waivers and reimbursements will continue through at least June 30, 2014 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to the Manager under the Fund’s management contract or servicing and supplement support agreement.

The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with the Manager during the period ended August 31, 2013 is shown in the table below and included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agents unaffiliated with the Manager ($)
Currency Hedged International Equity Fund		11,316		1,656
Developed World Stock Fund		1,907		368
International Core Equity Fund		23,552		3,496
International Growth Equity Fund		11,960		1,748
International Intrinsic Value Fund		51,191		7,268
International Small Companies Fund		1,658		184
Resources Fund		904		92
Risk Premium Fund		3,486		552
Tax-Managed International Equities Fund		2,576		368

118

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2013, these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:

Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Total Indirect Expenses
Currency Hedged International Equity Fund		0.491%		0.088%		0.579%
Developed World Stock Fund		< 0.001%		0.000%		< 0.001%
International Core Equity Fund		< 0.001%		0.000%		< 0.001%
International Growth Equity Fund		< 0.001%		0.000%		< 0.001%
International Intrinsic Value Fund		< 0.001%		0.000%		< 0.001%
International Small Companies Fund		< 0.001%		0.000%		< 0.001%
Resources Fund		< 0.001%		0.000%		< 0.001%
Risk Premium Fund		< 0.001%		0.000%		< 0.001%
Tax-Managed International Equities Fund		< 0.001%		0.000%		< 0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2013 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Currency Hedged International Equity Fund		—		798,679,423		—		772,767,082
Developed World Stock Fund		—		78,577,244		—		78,438,010
International Core Equity Fund		—		730,573,057		—		3,320,993,655
International Growth Equity Fund		—		656,743,177		—		1,216,456,440
International Intrinsic Value Fund		—		4,130,515,502		—		1,429,067,126
International Small Companies Fund		—		127,809,587		—		123,409,290
Resources Fund		—		150,435,593		—		36,292,485
Risk Premium Fund		—		—		—		—
Tax-Managed International Equities Fund		—		117,845,516		—		133,811,012

7. Guarantees

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

119

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

8. Principal shareholders and related parties as of August 31, 2013

Fund name	Number of shareholders that held more than 10% of the outstanding shares of the Fund			Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund (%)		Percentage of the shares of the Fund held by senior management of the Manager and GMO Trust officers (%)		Percentage of the Fund’s shares held by accounts for which the Manager has investment discretion (%)
Currency Hedged International Equity Fund		3	*		64.60		—		99.95
Developed World Stock Fund		3			90.37		0.04		—
International Core Equity Fund		2			21.28		<0.01		0.02
International Growth Equity Fund		4	**		62.75		<0.01		96.97
International Intrinsic Value Fund		2	***		30.39		<0.01		86.85
International Small Companies Fund		3			60.78		0.11		0.91
Resources Fund		2			47.44		9.00		7.53
Risk Premium Fund		4	****		85.12		0.01		97.26
Tax-Managed International Equities Fund		2			24.78		0.88		—

* Two of the shareholders are other funds of the Trust.

** Four of the shareholders are other funds of the Trust.

*** One of the shareholders is other funds of the Trust.

**** Three of the shareholders are other funds of theTrust.

9. Share transactions

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

	Six Months Ended August 31, 2013 (Unaudited)						Year Ended February 28, 2013
	Shares			Amount			Shares			Amount
Currency Hedged International Equity Fund
Class III:
Shares sold		11,987,277		$	304,843,871			49,688,032		$	1,054,339,199
Shares issued to shareholders in reinvestment of distributions		5,469,647			133,787,584			4,444,753			101,134,422
Shares repurchased		(12,316,753	)		(310,653,196	)		(70,686,278	)		(1,592,538,209	)
Net increase (decrease)		5,140,171		$	127,978,259			(16,553,493	)	$	(437,064,588	)
Developed World Stock Fund
Class III:
Shares sold		—		$	—			121,607		$	2,273,818
Shares issued to shareholders in reinvestment of distributions		37,704			787,268			134,758			2,478,061
Shares repurchased		(317,327	)		(6,456,527	)		(825,769	)		(14,842,466	)
Purchase premiums		—			—			—			5,606
Redemption fees		—			16,141			—			37,106
Net increase (decrease)		(279,623	)	$	(5,653,118	)		(569,404	)	$	(10,047,875	)

120

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Six Months Ended August 31, 2013 (Unaudited)						Year Ended February 28, 2013
	Shares			Amount			Shares			Amount
Developed World Stock Fund (continued)
Class IV:
Shares sold		—		$	—			3,106		$	57,452
Shares issued to shareholders in reinvestment of distributions		89,624			1,872,250			302,042			5,564,409
Shares repurchased		—			—			(1,936	)		(37,212	)
Purchase premiums		—			—			—			144
Net increase (decrease)		89,624		$	1,872,250			303,212		$	5,584,793
International Core Equity Fund
Class III:
Shares sold		114,867		$	3,466,679			5,303,352		$	144,847,864
Shares issued to shareholders in reinvestment of distributions		247,989			7,712,443			859,044			23,292,515
Shares repurchased		(3,391,035	)		(103,502,811	)		(16,867,210	)		(479,845,504	)
Net increase (decrease)		(3,028,179	)	$	(92,323,689	)		(10,704,814	)	$	(311,705,125	)
Class IV:
Shares sold		698,049		$	21,132,834			10,604,288		$	308,585,098
Shares issued to shareholders in reinvestment of distributions		590,365			18,348,538			1,330,617			36,106,545
Shares repurchased		(3,124,025	)		(93,463,091	)		(2,988,640	)		(81,776,867	)
Net increase (decrease)		(1,835,611	)	$	(53,981,719	)		8,946,265		$	262,914,776
Class VI:
Shares sold		13,640		$	425,859			22,524,609		$	614,368,716
Shares issued to shareholders in reinvestment of distributions		1,092,522			33,922,796			2,952,338			80,343,611
Shares repurchased		(82,630,233	)		(2,520,689,277	)		(21,505,510	)		(575,869,762	)
Net increase (decrease)		(81,524,071	)	$	(2,486,340,622	)		3,971,437		$	118,842,565
International Growth Equity Fund
Class III:
Shares sold		988,221		$	26,733,318			1,489,980		$	34,412,939
Shares issued to shareholders in reinvestment of distributions		66,587			1,752,578			462,364			10,238,174
Shares repurchased		(4,112,325	)		(109,018,911	)		(6,446,940	)		(143,932,940	)
Net increase (decrease)		(3,057,517	)	$	(80,533,015	)		(4,494,596	)	$	(99,281,827	)
Class IV:
Shares sold		25,680,772		$	691,938,379			29,884,448		$	688,998,993
Shares issued to shareholders in reinvestment of distributions		580,088			15,273,709			3,613,632			79,860,606
Shares repurchased		(47,192,737	)		(1,266,385,132	)		(60,919,824	)		(1,343,927,763	)
Net increase (decrease)		(20,931,877	)	$	(559,173,044	)		(27,421,744	)	$	(575,068,164	)

121

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Six Months Ended August 31, 2013 (Unaudited)						Year Ended February 28, 2013
	Shares			Amount			Shares			Amount
International Intrinsic Value Fund
Class II:
Shares sold		371,289		$	8,007,824			1,230,249		$	24,762,609
Shares issued to shareholders in reinvestment of distributions		42,212			913,471			256,870			5,037,027
Shares repurchased		(1,822,689	)		(41,047,717	)		(7,905,099	)		(157,121,955	)
Net increase (decrease)		(1,409,188	)	$	(32,126,422	)		(6,417,980	)	$	(127,322,319	)
Class III:
Shares sold		5,549,777		$	123,834,105			21,082,732		$	418,044,602
Shares issued to shareholders in reinvestment of distributions		383,713			8,395,639			2,694,812			53,417,109
Shares repurchased		(16,208,645	)		(363,746,617	)		(39,878,950	)		(829,019,189	)
Net increase (decrease)		(10,275,155	)	$	(231,516,873	)		(16,101,406	)	$	(357,557,478	)
Class IV:
Shares sold		165,299,392		$	3,713,276,122			179,162,155		$	3,436,981,395
Shares issued to shareholders in reinvestment of distributions		3,475,864			75,947,647			11,116,201			220,646,057
Shares repurchased		(49,476,464	)		(1,112,010,489	)		(89,538,398	)		(1,812,891,848	)
Net increase (decrease)		119,298,792		$	2,677,213,280			100,739,958		$	1,844,735,604
Class M*:
Shares sold		11,217		$	239,036			104,304		$	2,052,368
Shares issued to shareholders in reinvestment of distributions		—			—			18,152			355,017
Shares repurchased		(596,232	)		(12,544,031	)		(143,348	)		(2,792,765	)
Net increase (decrease)		(585,015	)	$	(12,304,995	)		(20,892	)	$	(385,380	)
International Small Companies Fund
Class III:
Shares sold		2,475,897		$	21,961,213			1,095,501		$	7,496,147
Shares issued to shareholders in reinvestment of distributions		816,150			7,027,048			1,517,039			11,116,742
Shares repurchased		(2,831,093	)		(25,293,162	)		(14,548,664	)		(103,417,930	)
Purchase premiums		—			38,786			—			37,669
Redemption fees		—			54,652			—			143,439
Net increase (decrease)		460,954		$	3,788,537			(11,936,124	)	$	(84,623,933	)
Resources Fund
Class III:
Shares sold		3,333,781		$	70,131,037			4,473,926		$	95,250,684
Shares issued to shareholders in reinvestment of distributions		14,320			284,686			22,542			478,172
Shares repurchased		(4,229,614	)		(91,811,038	)		(22,181	)		(494,735	)
Purchase premiums		—			211,026			—			286,612
Redemption fees		—			4,514			—			1,484
Net increase (decrease)		(881,513	)	$	(21,179,775	)		4,474,287		$	95,522,217

122

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Six Months Ended August 31, 2013 (Unaudited)						Year Ended February 28, 2013
	Shares			Amount			Shares			Amount
Resources Fund (continued)
Class IV**:
Shares sold		5,319,428		$	115,247,330
Shares issued to shareholders in reinvestment of distributions		30,683			609,687
Shares repurchased		(33,028	)		(699,689	)
Purchase premiums		—			75,048
Redemption fees		—			2,099
Net increase (decrease)		5,317,083		$	115,234,475
Risk Premium Fund
Class III:
Shares sold		45,232		$	464,984			645,135	***	$	6,696,024	***
Shares issued to shareholders in reinvestment of distributions		14,873			152,446			—			—
Purchase premiums		—			1,516			—			2,569	***
Redemption fees		—			8			—			—
Net increase (decrease)		60,105		$	618,954			645,135		$	6,698,593
Class IV:
Shares sold		1,888,446		$	19,281,035			782,428	****	$	8,059,007	****
Shares issued to shareholders in reinvestment of distributions		18,020			184,888			—			—
Shares repurchased		(48,519	)		(492,952	)		—			—
Purchase premiums		—			2,586			—			367	****
Redemption fees		—			29			—			—
Net increase (decrease)		1,857,947		$	18,975,586			782,428		$	8,059,374
Class VI:
Shares sold		7,744,196		$	82,707,434			58,524,290	*****	$	597,548,727	*****
Shares issued to shareholders in reinvestment of distributions		1,526,242			15,659,243			—			—
Shares repurchased		(3,265	)		(33,720	)		—			—
Purchase premium		—			149,809			—			916,900	*****
Redemption fees		—			753			—			—
Net increase (decrease)		9,267,173		$	98,483,519			58,524,290		$	598,465,627
Tax-Managed International Equities Fund
Class III:
Shares sold		101,358		$	1,485,819			211,447		$	2,911,172
Shares issued to shareholders in reinvestment of distributions		75,421			1,141,116			573,850			7,962,239
Shares repurchased		(1,840,800	)		(27,941,820	)		(4,503,828	)		(61,664,020	)
Net increase (decrease)		(1,664,021	)	$	(25,314,885	)		(3,718,531	)	$	(50,790,609	)

* Class M liquidated on March 27, 2013.

** Period from March 20, 2013 (commencement of operations) through August 31, 2013.

*** Period from December 14, 2012 (commencement of operations) through February 28, 2013.

**** Period from December 17, 2012 (commencement of operations) through February 28, 2013.

***** Period from November 15, 2012 (commencement of operations) through February 28, 2013.

123

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

10. Investments in affiliated issuers

A summary of the Funds’ transactions in the shares of other funds of the Trust during the period ended August 31, 2013 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Value, end of period
Currency Hedged International Equity Fund
GMO International Growth Equity Fund, Class IV	$	549,081,026	$	11,083,900	$	593,311,683	$	—	$	—	$	—
GMO International Intrinsic Value Fund, Class IV		1,638,769,861		787,595,523		179,455,400		16,663,436		—		2,341,789,978
Total	$	2,187,850,887	$	798,679,423	$	772,767,083	$	16,663,436	$	—	$	2,341,789,978
Developed World Stock Fund
GMO U.S. Treasury Fund	$	9,708,326	$	12,797,000	$	11,024,000	$	3,986	$	929	$	11,480,665
International Core Equity Fund
GMO U.S. Treasury Fund	$	86,633,100	$	99,129,000	$	143,470,966	$	12,086	$	467	$	42,281,429
International Growth Equity Fund
GMO U.S. Treasury Fund	$	52,767,000	$	131,531,000	$	135,117,000	$	11,803	$	4,299	$	49,161,461
International Intrinsic Value Fund
GMO U.S. Treasury Fund	$	88,307,524	$	—	$	—	$	37,928	$	7,771	$	88,307,524
International Small Companies Fund
GMO U.S. Treasury Fund	$	4,067,469	$	12,704,000	$	8,640,000	$	1,527	$	520	$	8,131,457
Resources Fund
GMO U.S. Treasury Fund	$	1,041,000	$	7,886,000	$	5,768,000	$	893	$	98	$	3,156,914
Risk Premium Fund
GMO U.S. Treasury Fund	$	278,253,028	$	—	$	—	$	119,509	$	24,486	$	278,253,028
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	5,391,305	$	12,221,000	$	11,680,318	$	1,501	$	438	$	5,931,149

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2013 through August 31, 2013. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2014.

11. Subsequent events

Subsequent to August 31, 2013, GMO International Growth Equity Fund received significant redemption requests. As a result, “Large Shareholder Risk” is heightened for the Fund.

124

GMO Trust Funds

Board Review of Management Agreement

August 31, 2013 (Unaudited)

Currency Hedged International Equity Fund

Approval of renewal of management agreement for GMO Currency Hedged International Equity Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund invests (“underlying GMO funds”) do not charge any advisory fees and that with respect to all other underlying GMO funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

125

GMO Trust Funds

Board Review of Management Agreement — (Continued)

August 31, 2013 (Unaudited)

Developed World Stock Fund

Approval of renewal of management agreement for GMO Developed World Stock Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

126

GMO Trust Funds

Board Review of Management Agreement — (Continued)

August 31, 2013 (Unaudited)

International Core Equity Fund

Approval of renewal of management agreement for GMO International Core Equity Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with fees paid to the Manager for providing sub-advisory services to funds managed by third parties and the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides, on the one hand, to the Fund and, on the other, to the third-party funds for which the Manager serves as subadviser and to the Manager’s separately managed accounts. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

127

GMO Trust Funds

Board Review of Management Agreement — (Continued)

August 31, 2013 (Unaudited)

International Growth Equity Fund

Approval of renewal of management agreement for GMO International Growth Equity Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with fees paid to the Manager for providing sub-advisory services to funds managed by third parties and the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides, on the one hand, to the Fund and, on the other, to the third-party funds for which the Manager serves as subadviser and to the Manager’s separately managed accounts. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

128

GMO Trust Funds

Board Review of Management Agreement — (Continued)

August 31, 2013 (Unaudited)

International Intrinsic Value Fund

Approval of renewal of management agreement for GMO International Intrinsic Value Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

129

GMO Trust Funds

Board Review of Management Agreement — (Continued)

August 31, 2013 (Unaudited)

International Small Companies Fund

Approval of renewal of management agreement for GMO International Small Companies Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

130

GMO Trust Funds

Board Review of Management Agreement — (Continued)

August 31, 2013 (Unaudited)

Resources Fund

Approval of renewal of management agreement for GMO Resources Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

131

GMO Trust Funds

Board Review of Management Agreement — (Continued)

August 31, 2013 (Unaudited)

Tax-Managed International Equities Fund

Approval of renewal of management agreement for GMO Tax-Managed International Equities Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

132

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2013 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2013.

As a shareholder of the Funds, you may incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and /or indirect management fees, direct and/or indirect shareholder services fees, and distribution (12b-1) and/or administration fees for Funds with Class M shares, if applicable, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2013 through August 31, 2013.

Actual Expenses

This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

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

account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

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

	Actual						Hypothetical
	Beginning Account Value March 1, 2013		Ending Account Value August 31, 2013		Expenses Paid* During the Period		Beginning Account Value March 1, 2013		Ending Account Value August 31, 2013		Expenses Paid* During the Period		Annualized Net Expense Ratio
Currency Hedged International Equity Fund
Class III		$1,000.00		$1,072.90		$3.61		$1,000.00		$1,021.73		$3.52		0.69%
Developed World Stock Fund
Class III		$1,000.00		$1,085.90		$3.15		$1,000.00		$1,022.18		$3.06		0.60%
Class IV		$1,000.00		$1,086.50		$2.89		$1,000.00		$1,022.43		$2.80		0.55%
International Core Equity Fund
Class III		$1,000.00		$1,060.10		$2.75		$1,000.00		$1,022.53		$2.70		0.53%
Class IV		$1,000.00		$1,060.40		$2.44		$1,000.00		$1,022.84		$2.40		0.47%
Class VI		$1,000.00		$1,060.20		$2.28		$1,000.00		$1,022.99		$2.24		0.44%
International Growth Equity Fund
Class III		$1,000.00		$1,047.00		$3.35		$1,000.00		$1,021.93		$3.31		0.65%
Class IV		$1,000.00		$1,047.50		$3.04		$1,000.00		$1,022.23		$3.01		0.59%
International Intrinsic Value Fund
Class II		$1,000.00		$1,065.50		$3.75		$1,000.00		$1,021.58		$3.67		0.72%
Class III		$1,000.00		$1,066.30		$3.39		$1,000.00		$1,021.93		$3.31		0.65%
Class IV		$1,000.00		$1,066.20		$3.07		$1,000.00		$1,022.23		$3.01		0.59%
International Small Companies Fund
Class III		$1,000.00		$1,064.10		$3.95		$1,000.00		$1,021.37		$3.87		0.76%
Resources Fund
Class III		$1,000.00		$964.60		$3.71		$1,000.00		$1,021.42		$3.82		0.75%
Class IV(a)		$1,000.00		$972.50		$3.10		$1,000.00		$1,019.32		$3.18		0.70%
Risk Premium Fund
Class III		$1,000.00		$985.20		$3.00		$1,000.00		$1,022.18		$3.06		0.60%
Class IV		$1,000.00		$985.20		$2.75		$1,000.00		$1,022.43		$2.80		0.55%
Class VI		$1,000.00		$986.10		$2.55		$1,000.00		$1,022.64		$2.60		0.51%
Tax-Managed International Equities Fund
Class III		$1,000.00		$1,064.70		$3.38		$1,000.00		$1,021.93		$3.31		0.65%

* Expenses are calculated using each Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31,2013, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

^(a)  For the period March 20, 2013 (commencement of operations) through August 31, 2013. Expense is calculated using the Class’s annualized net expense ratio for the period ended August 31, 2013, multiplied by the average account value over the period, multiplied by 164 days in the period, divided by 365 days in the year.

133

GMO Trust

Semiannual Report

August 31, 2013

Emerging Countries Fund

Emerging Domestic Opportunities Fund

Emerging Markets Fund

Taiwan Fund

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

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

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

TABLE OF CONTENTS

Emerging Countries Fund:
Investment Concentration Summary	1
Schedule of Investments	2
Emerging Domestic Opportunities Fund:
Investment Concentration Summary	7
Schedule of Investments	8
Emerging Markets Fund:
Investment Concentration Summary	12
Schedule of Investments	13
Taiwan Fund:
Investment Concentration Summary	21
Schedule of Investments	22
Portfolio Abbreviations, Counterparty Abbreviations and Currency Abbreviations	23
Fund Financial Statements:
Statements of Assets and Liabilities	24
Statements of Operations	26
Statements of Changes in Net Assets	27
Financial Highlights	29
Notes to Financial Statements	34
Board Review of Management Agreements	63
Fund Expenses	67

GMO Emerging Countries Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		86.3	%
Preferred Stocks		9.4
Investment Funds		3.1
Mutual Funds		0.4
Short-Term Investments		0.2
Other		0.6
		100.0	%

Country Summary*	% of Investments
South Korea		21.4	%
Brazil		14.3
Russia		13.9
China		13.5
Taiwan		7.0
Indonesia		5.4
India		4.3
Thailand		4.1
South Africa		2.6
Poland		2.4
Czech Republic		2.3
Mexico		2.1
Turkey		1.3
Egypt		1.2
Philippines		1.1
Peru		1.0
Malaysia		0.7
United Kingdom**		0.4
United States**		0.4
France**		0.3
Morocco		0.2
Hungary		0.1
Norway**		0.0	^
		100.0	%

^ Rounds to 0.0%.

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

** Includes companies that derive at least 50% of their revenues or profits from emerging markets.

Industry Group Summary	% of Equity Investments***
Banks		20.7	%
Telecommunication Services		16.6
Energy		15.2
Materials		12.9
Automobiles & Components		7.2
Software & Services		5.7
Semiconductors & Semiconductor Equipment		4.6
Technology Hardware & Equipment		4.0
Utilities		2.2
Media		1.9
Capital Goods		1.7
Food, Beverage & Tobacco		1.3
Diversified Financials		0.9
Real Estate		0.8
Consumer Durables & Apparel		0.7
Insurance		0.6
Consumer Services		0.5
Health Care Equipment & Services		0.5
Food & Staples Retailing		0.5
Pharmaceuticals, Biotechnology & Life Sciences		0.5
Transportation		0.4
Retailing		0.4
Commercial & Professional Services		0.1
Household & Personal Products		0.1
		100.0	%

*** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. The table excludes exposure to derivative contracts and ETFs if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

1

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 86.3%
		Brazil — 7.7%
	1,700	Banco Bradesco SA		22,514
	184,260	Banco do Brasil SA		1,780,085
	18,905	Banco Santander Brasil SA		108,076
	45,395	Banco Santander Brasil SA ADR		261,929
	8,600	BM&FBOVESPA SA		42,136
	9,300	BR Malls Participacoes SA		70,550
	12,200	BR Properties SA		92,806
	7,100	Brasil Brokers Participacoes SA		15,623
	1,100	Cia de Saneamento Basico do Estado de Sao Paulo		9,032
	63,652	Cielo SA		1,558,253
	8,400	Cyrela Brazil Realty SA		55,344
	10,450	Duratex SA		52,908
	1,900	Fibria Celulose SA *		21,963
	64,500	Gerdau SA		386,575
	12,053	Gol Linhas Aereas Inteligentes SA ADR *		44,114
	4,455	Localiza Rent a Car SA		58,163
	1,100	Lojas Renner SA		26,459
	3,300	LPS Brasil Consultoria de Imoveis SA		21,037
	3,500	Multiplan Empreendimentos Imobiliarios SA		70,324
	2,000	Multiplus SA		21,844
	3,128	Qualicorp SA *		24,450
	9,000	Tim Participacoes SA		35,382
	1,900	Totvs SA		29,783
	23,400	Vale SA		337,571
	56,500	Vale SA Sponsored ADR		814,165
		Total Brazil		5,961,086
		China — 12.9%
	164,802	Agricultural Bank of China Ltd - Class H		70,443
	2,100	Baidu Inc Sponsored ADR *		284,613
	1,677,000	Bank of China Ltd - Class H		705,352
	18,950	Beijing Enterprises Holdings Ltd		134,375
	14,000	Belle International Holdings Ltd		19,256
	34,000	Brilliance China Automotive Holdings Ltd *		49,803
	164,900	China Coal Energy Co Ltd - Class H		96,832
	569,160	China Communications Services Corp Ltd - Class H		382,298
	1,552,720	China Construction Bank - Class H		1,134,603
	107,000	China Everbright International Ltd		100,873
	23,000	China Life Insurance Co Ltd - Class H		56,138
	8,000	China Mengniu Dairy Co Ltd		33,846
	211,334	China Mobile Ltd		2,277,697
	2,282	China Mobile Ltd Sponsored ADR		123,159
	14,000	China Oilfield Services Ltd - Class H		35,926
	13,600	China Overseas Land & Investment Ltd		40,097
	382,607	China Petroleum & Chemical Corp - Class H		275,508
	22,000	China Resources Land Ltd		60,114

Shares		Description	Value ($)
		China — continued
	21,000	China Shenhua Energy Co Ltd - Class H		65,044
	300	China Telecom Corp Ltd ADR		15,165
	2,055,900	China Telecom Corp Ltd - Class H		1,039,397
	22,000	China Unicom Hong Kong Ltd		33,233
	8,800	China Unicom Hong Kong Ltd ADR		132,440
	229,000	CNOOC Ltd		452,800
	1,649	CNOOC Ltd ADR		330,624
	93,800	Dongfeng Motor Group Co Ltd - Class H		129,596
	4,500	Great Wall Motor Co Ltd - Class H		22,808
	36,000	Huaneng Power International Inc - Class H		35,791
	1,883,000	Industrial and Commercial Bank of China Ltd - Class H		1,231,305
	19,000	Inner Mongolia Yitai Coal Co Ltd - Class B		39,193
	16,000	Kunlun Energy Co Ltd		23,184
	68,000	Lenovo Group Ltd		65,576
	8,300	New Oriental Education & Technology Group Inc Sponsored ADR *		176,209
	9,000	Ping An Insurance (Group) Co of China Ltd - Class H		62,848
	5,600	Sands China Ltd		32,058
	14,000	Shanghai Industrial Holdings Ltd		45,695
	16,500	Sun Art Retail Group Ltd		22,475
	165,000	Yangzijiang Shipbuilding Holdings Ltd		121,962
	12,000	Zhejiang Expressway Co Ltd - Class H		10,044
		Total China		9,968,380
		Czech Republic — 2.2%
	51,717	CEZ AS		1,194,499
	1,040	Komercni Banka AS		224,332
	3,575	Pegas Nonwovens SA		105,169
	282	Philip Morris CR AS		156,235
		Total Czech Republic		1,680,235
		Egypt — 1.1%
	14,835	Alexandria Mineral Oils Co *		149,079
	36,806	ElSwedy Electric Co		110,839
	14,643	Orascom Telecom Holding SAE GDR (Registered Shares) *		43,694
	1,398,375	Orascom Telecom Media And Technology Holding SAE		110,049
	19,791	Oriental Weavers Co		64,707
	34,712	Sidi Kerir Petrochemicals Co		73,495
	131,908	South Valley Cement *		82,246
	125,763	Telecom Egypt Co		225,248
		Total Egypt		859,357
		France — 0.2%
	478	Casino Guichard-Perrachon SA		45,243
	1,955	Danone SA		145,570
		Total France		190,813

2 See accompanying notes to the financial statements.

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Hungary — 0.1%
	6,522	Magyar Telekom Telecommunications Plc		9,024
	2,635	OTP Bank Plc		48,950
		Total Hungary		57,974
		India — 4.1%
	1,371	Apollo Hospitals Enterprise Ltd		17,800
	1,399	Cadila Healthcare Ltd		13,818
	31,444	Cairn India Ltd		153,482
	6,972	Cipla Ltd		44,091
	3,192	Dewan Housing Finance Corp Ltd		5,676
	12,405	DLF Ltd		24,271
	15,321	HCL Technologies Ltd		241,781
	1,468	Hero MotoCorp Ltd *		44,595
	16,968	Idea Cellular Ltd *		40,994
	7,279	Indian Oil Corp Ltd		23,063
	14,433	Infosys Technologies Ltd		673,517
	6,060	Infosys Technologies Ltd Sponsored ADR		281,002
	13,181	Kajaria Ceramics Ltd		45,725
	6,401	Lupin Ltd		77,903
	25,799	Mphasis Ltd		164,323
	78,858	Sesa Goa Ltd		224,666
	23,539	Steel Authority of India Ltd		16,425
	3,100	Sterlite Industries India Ltd ADR		18,600
	4,136	Sun Pharmaceutical Industries Ltd		32,646
	4,824	Sun TV Network Ltd		28,380
	15,312	Tata Consultancy Services Ltd		469,903
	10,585	Tata Motors Ltd		47,441
	400	Tata Motors Ltd Sponsored ADR		8,928
	10,482	Tech Mahindra Ltd		217,623
	523	Ultratech Cement Ltd		11,786
	20,162	Wipro Ltd		145,544
	8,746	Wipro Ltd ADR		78,889
		Total India		3,152,872
		Indonesia — 5.2%
	443,000	ACE Hardware Indonesia Tbk PT		28,747
	2,275,000	Astra International Tbk PT		1,257,224
	194,816	Bank Danamon Indonesia Tbk PT		72,086
	344,172	Bank Mandiri Persero Tbk PT		223,082
	70,000	Bank Negara Indonesia Persero Tbk PT		24,595
	867,500	Bank Rakyat Indonesia Persero Tbk PT		522,446
	30,000	First Real Estate Investment Trust		24,163
	685,000	Global Mediacom Tbk PT *		109,339
	114,000	Indosat Tbk PT		42,948
	1,519,000	Kalbe Farma Tbk PT		187,043
	274,000	Lippo Karawaci Tbk PT *		28,792
	870,500	Media Nusantara Citra Tbk PT *		234,065
	132,715	Semen Gresik Persero Tbk PT		152,804
	2,815,000	Telekomunikasi Indonesia Persero Tbk PT		565,448

Shares		Description	Value ($)
		Indonesia — continued
	14,800	Telekomunikasi Indonesia Tbk PT Sponsored ADR		548,488
		Total Indonesia		4,021,270
		Malaysia — 0.7%
	69,280	AMMB Holdings Berhad		156,582
	108,500	CIMB Group Holdings Berhad		239,990
	27,870	Hong Leong Bank Berhad		119,473
		Total Malaysia		516,045
		Mexico — 2.0%
	11,600	Alsea SA		29,519
	29,240	America Movil SAB de CV		564,332
	373,100	America Movil SAB de CV - Class L		361,065
	20,000	Fibra Uno Administracion SA de CV (REIT)		57,645
	9,600	Fomento Economico Mexicano SAB de CV		90,511
	15,400	Grupo Financiero Banorte SAB de CV - Class O		94,825
	3,300	Grupo Financiero Santander Mexico SAB de CV		45,012
	49,800	Grupo Financiero Santander Mexico SAB de CV - Class B		135,933
	20,800	Grupo Televisa SAB - Series CPO		104,335
	20,500	Wal-Mart de Mexico SAB de CV - Class V		49,098
		Total Mexico		1,532,275
		Morocco — 0.2%
	14,574	Maroc Telecom		153,836
		Norway — 0.0%
	1,464	Telenor ASA		30,375
		Peru — 1.0%
	55,037	Compania de Minas Buenaventura SA ADR		695,117
	1,900	Southern Copper Corp		52,250
		Total Peru		747,367
		Philippines — 1.1%
	103,020	BDO Unibank Inc		170,343
	9,300	GT Capital Holdings Inc		161,078
	1,771,300	Lopez Holding Corp		200,021
	63,787	Metropolitan Bank & Trust		116,117
	2,372	Philippine Long Distance Telephone Co		151,826
	26,600	Puregold Price Club Inc		22,991
	3,120	San Miguel Corp		5,243
		Total Philippines		827,619
		Poland — 2.3%
	354	Jastrzebska Spolka Weglowa SA		7,445
	47,393	KGHM Polska Miedz SA		1,797,662
		Total Poland		1,805,107

See accompanying notes to the financial statements. 3

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Russia — 10.5%
	7,900	CTC Media Inc		84,688
	2,353	Eurasia Drilling Co Ltd GDR		90,711
	6,614	Gazprom Neft JSC Sponsored ADR *		136,079
	44,716	Gazprom Neft-Class S		182,052
	305,204	Gazprom OAO Sponsored ADR		2,397,739
	46,022	KamAZ		74,624
	17,171	Lukoil OAO Sponsored ADR		994,986
	720	Magnit OJSC		160,742
	876	Magnit OJSC GDR		48,579
	1,649	Mail.ru Group Ltd GDR (Registered Shares)		53,814
	1,304	MegaFon OAO GDR		44,024
	17,492	Mobile Telesystems Sponsored ADR *		370,131
	25,730	Moscow Exchange MICEX-RTS		47,129
	5,601	Rosneft OJSC GDR (Registered)		41,147
	152,818	Sberbank Sponsored ADR		1,610,921
	1,448	Sistema JSFC Sponsored GDR (Registered Shares)		32,061
	63,649	Surgutneftegas Sponsored ADR		495,761
	13,635	Tatneft Sponsored ADR		516,329
	4,800	VimpelCom Ltd Sponsored ADR		51,504
	246,578	VTB Bank OJSC GDR (Registered Shares)		653,810
		Total Russia		8,086,831
		South Africa — 2.5%
	85,879	African Bank Investments Ltd		136,481
	2,852	Bidvest Group Ltd		70,089
	6,869	Coronation Fund Managers Ltd		44,749
	12,014	Exxaro Resources Ltd		189,864
	7,286	FirstRand Ltd		21,297
	34,904	Growthpoint Properties Ltd		80,550
	1,252	Imperial Holdings Ltd		25,333
	17,397	MTN Group Ltd		317,776
	7,291	Naspers Ltd - N Shares		600,586
	421	RMB Holdings Ltd		1,654
	4,120	Sasol Ltd		192,906
	1,300	Sasol Ltd Sponsored ADR		60,853
	500	Sibanye Gold Ltd Sponsored ADR *		2,065
	49,055	Telkom South Africa Ltd *		109,259
	2,562	Truworths International Ltd		20,426
	4,549	Vodacom Group Ltd		51,332
		Total South Africa		1,925,220
		South Korea — 19.9%
	211	Cheil Industries Inc		16,701
	239	CJ Corp		22,849
	1,990	Daewoo Securities Co Ltd		16,614
	1,150	Daewoo Shipbuilding & Marine Engineering Co Ltd		30,473
	14,102	DGB Financial Group Inc		196,709
	3,330	Dongbu Insurance Co Ltd		140,974
	510	Doosan Heavy Industries and Construction Co		19,501

Shares		Description	Value ($)
		South Korea — continued
	5,706	GS Holdings		289,849
	31,571	Hana Financial Group Inc		990,724
	610	Hankook Tire Co Ltd		31,532
	14,727	Hanwha Corp		430,650
	84	Honam Petrochemical Corp		12,872
	2,630	Hynix Semiconductor Inc *		66,468
	382	Hyosung Corp		24,328
	938	Hyundai Engineering & Construction		48,236
	552	Hyundai Heavy Industries Co Ltd		112,399
	2,632	Hyundai Mobis		658,844
	4,343	Hyundai Motor Co		968,465
	4,248	Hyundai Steel Co		279,159
	212	Hyundai Wia Corp		32,568
	43,925	Industrial Bank of Korea		445,143
	5,103	INTOPS Co Ltd		101,705
	2,060	Kangwon Land Inc		51,229
	17,216	KB Financial Group Inc		549,223
	1,500	KB Financial Group Inc ADR		47,415
	25,483	Kia Motors Corp		1,533,124
	109	Korea Kumho Petrochemical Co Ltd		8,979
	105	Korea Zinc Co Ltd		30,057
	9,220	KT Corp		299,076
	29,500	KT Corp Sponsored ADR		474,065
	664	KT&G Corp		43,373
	36	LG Chem Ltd		9,261
	474	LG Corp		28,483
	1,600	LG Display Co Ltd ADR *		20,768
	1,550	LG Electronics Inc		100,508
	9,638	LG Uplus Corp *		113,138
	206	Lotte Shopping Co Ltd		63,051
	233	NCSoft Corp		33,782
	3,093	POSCO		893,335
	277	POSCO ADR		19,950
	47,580	Samho International Co Ltd *		73,870
	657	Samsung C&T Corp		33,736
	819	Samsung Electro Mechanics Co Ltd		59,912
	196	Samsung Electronics Co Ltd GDR (Registered Shares)		119,398
	1,047	Samsung Engineering Co Ltd		78,915
	593	Samsung Fire & Marine Insurance Co Ltd		133,306
	1,830	Samsung Heavy Industries Co Ltd		64,669
	685	Samsung Life Insurance Co Ltd		65,295
	331	Samsung SDI Co Ltd		50,078
	1,761	Samsung Electronics Co Ltd		2,159,004
	14,193	Shinhan Financial Group Co Ltd		515,818
	6,316	SK Innovation Co Ltd		790,583
	54,939	SK Telecom Co Ltd ADR		1,204,812
	353	SK Holdings Co Ltd		59,223
	607	Woongjin Coway Co Ltd		31,977
	66,134	Woori Finance Holdings Co Ltd		657,107
		Total South Korea		15,353,283

4 See accompanying notes to the financial statements.

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Taiwan — 6.7%
	43,000	Advanced Semiconductor Engineering Inc		37,736
	22,000	Asustek Computer Inc		174,543
	28,000	Catcher Technology Co Ltd		132,411
	33,235	Cheng Shin Rubber Industry Co Ltd		85,249
	241,884	Chunghwa Telecom Co Ltd		762,883
	886,577	Compal Electronics Inc		594,178
	36,000	Delta Electronics Inc		162,073
	123,200	E.Sun Financial Holdings Co Ltd		77,719
	104,914	Far EasTone Telecommunications Co Ltd		264,765
	16,800	Foxconn Technology Co Ltd		42,596
	5,000	Giant Manufacturing Co Ltd		33,509
	118,000	Hon Hai Precision Industry Co Ltd *		318,231
	45,000	HTC Corp		233,951
	42,000	Innolux Display Corp *		20,891
	2,000	Largan Precision Co Ltd		69,533
	90,996	Lite-On Technology Corp		153,781
	16,000	MediaTek Inc		195,290
	4,000	Mstar Semiconductor Inc		36,391
	34,000	Pegatron Corp *		52,292
	21,000	Pou Chen Corp		22,874
	6,100	Powertech Technology Inc		11,090
	830,200	ProMOS Technologies Inc * (a)		—
	57,715	Quanta Computer Inc		120,843
	25,000	Siliconware Precision Industries Co		27,970
	307,012	Taishin Financial Holding Co Ltd		131,755
	69,928	Taiwan Mobile Co Ltd		251,475
	26,300	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		435,528
	46,000	Taiwan Semiconductor Manufacturing Co Ltd		152,507
	16,000	TPK Holding Co Ltd		168,801
	77,000	United Microelectronics Corp		31,462
	421,747	Wistron Corp		376,538
		Total Taiwan		5,178,865
		Thailand — 3.9%
	53,090	Advanced Info Service Pcl (Foreign Registered)		394,047
	6	Bangkok Bank Pcl NVDR		33
	87,100	Bangkok Dusit Medical Service Pcl (Foreign Registered)		347,517
	20,650	Banpu Pcl (Foreign Registered)		176,673
	452,200	BTS Rail Mass Transit Growth Infrastructure Fund		131,014
	70,400	Charoen Pokphand Foods Pcl (Foreign Registered)		50,628
	77,900	Electricity Generating Pcl (Foreign Registered)		311,171
	184,095	Hemaraj Land and Development Pcl (Foreign Registered)		15,758
	68,190	Home Product Center Pcl (Foreign Registered)		23,587
	124,500	Jasmine International Pcl (Foreign Registered)		27,905

Shares		Description	Value ($)
		Thailand — continued
	110	Kasikornbank Pcl (Foreign Registered) (a)		540
	12,327	PTT Exploration & Production Pcl (Foreign Registered)		63,580
	100,122	PTT Pcl (Foreign Registered)		1,014,105
	27,080	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) (a)		41,755
	234,400	Sansiri Pcl (Foreign Registered)		14,858
	15,500	Shin Corp Pcl		36,429
	34,800	Shin Corp Pcl (Foreign Registered) (a)		82,894
	5,739	Siam Cement Pcl (Foreign Registered) (a)		70,353
	3,000	Siam Cement Pcl NVDR		36,498
	43,400	Thai Airways International Pcl (Foreign Registered)		21,762
	43,400	Thai Oil Pcl (Foreign Registered)		73,169
	74,400	Thai Tap Water Supply Pcl (Foreign Registered)		22,592
	10,150	Total Access Communication Pcl (Foreign Registered) (a)		33,664
	5,800	VGI Global Media Pcl (Foreign Registered)		17,553
		Total Thailand		3,008,085
		Turkey — 1.3%
	23,895	Akbank TAS		78,796
	13,936	Arcelik AS		69,420
	958	BIM Birlesik Magazalar AS		17,574
	1,782	Bizim Toptan Satis Magazalari AS		21,625
	13,245	Dogus Otomotiv Servis ve Ticaret AS		49,330
	4,152	Haci Omer Sabanci Holding AS		17,560
	8,502	KOC Holding AS		34,050
	11,080	Tofas Turk Otomobil Fabrikasi AS		56,838
	66,932	Turk Telekomunikasyon AS		202,686
	919	Turk Traktor ve Ziraat Makineleri AS		24,122
	19,329	Turkcell Iletisim Hizmet AS *		100,981
	600	Turkcell Iletisim Hizmetleri AS ADR *		7,896
	64,270	Turkiye Garanti Bankasi AS		219,788
	1,674	Turkiye Halk Bankasi AS		10,585
	33,247	Yapi ve Kredi Bankasi AS		65,465
		Total Turkey		976,716
		United Kingdom — 0.4%
	3,711	British American Tobacco Plc		187,645
	128	British American Tobacco Plc Sponsored ADR		13,001
	200	Unilever Plc Sponsored ADR		7,636
	2,650	Unilever Plc		101,044
		Total United Kingdom		309,326
		United States — 0.3%
	1,551	Colgate-Palmolive Co.		89,601
	500	Mead Johnson Nutrition Co.		37,515
	490	Tupperware Brands Corp.		39,578

See accompanying notes to the financial statements. 5

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	1,500	Yum! Brands, Inc.		105,030
		Total United States		271,724
		TOTAL COMMON STOCKS (COST $74,880,914)		66,614,661
		PREFERRED STOCKS — 9.4%
		Brazil — 5.9%
	6,543	Banco Bradesco SA 0.24%		75,989
	12,800	Banco Bradesco SA ADR 0.29%		148,736
	28,300	Banco do Estado do Rio Grande do Sul SA - Class B 1.13%		169,377
	54,400	Bradespar SA 2.09%		562,480
	1,200	Cia de Bebidas das Americas ADR 2.70%		41,736
	1,200	Companhia de Bebidas das Americas 3.20%		41,845
	3,000	Companhia Energetica de Minas Gerais Sponsored ADR 2.92%		23,850
	4,800	Gol Linhas Aereas Inteligentes SA *		17,020
	12,000	Itau Unibanco Holding SA 0.62%		145,854
	38,413	Itau Unibanco Holding SA ADR 0.65%		467,486
	140,534	Itausa-Investimentos Itau SA 0.73%		492,409
	18,100	Klabin SA 4.04%		93,385
	38,000	Metalurgica Gerdau SA 0.38%		337,165
	5,700	Randon Participacoes SA 0.03%		27,712
	14,400	Suzano Papel e Celulose SA 1.03%		56,732
	3,000	Telefonica Brasil SA 2.96%		58,442
	3,500	Telefonica Brasil SA ADR 3.44%		69,055
	1,700	Tim Participacoes SA ADR		33,524
	16,600	Usinas Siderrurgicas de Minas Gerais SA *		71,731
	126,030	Vale SA Sponsored ADR 2.86%		1,635,869
		Total Brazil		4,570,397
		Russia — 2.9%
	97,018	Sberbank 4.56%		203,923
	967,124	Surgutneftegaz OJSC 7.01%		653,592
	586	Transneft 0.90%		1,346,113
		Total Russia		2,203,628
		South Korea — 0.6%
	3,733	Hyundai Motor Co 1.81%		375,279
	123	Samsung Electronics Co Ltd (Non-Voting) 0.91%		101,449
		Total South Korea		476,728
		TOTAL PREFERRED STOCKS (COST $8,484,510)		7,250,753

Shares / Par Value		Description	Value ($)
		INVESTMENT FUNDS — 3.1%
		United States — 3.1%
	63,461	iShares MSCI Emerging Markets ETF		2,414,057
		TOTAL INVESTMENT FUNDS (COST $2,498,490)		2,414,057
		MUTUAL FUNDS — 0.4%
		United States — 0.4%
		Affiliated Issuers
	11,401	GMO U.S. Treasury Fund		285,029
		TOTAL MUTUAL FUNDS (COST $285,029)		285,029
		SHORT-TERM INVESTMENTS — 0.2%
		Time Deposits — 0.2%
HKD	378,016	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/03/13		48,748
SGD	257	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/03/13		201
USD	67,685	JPMorgan Chase (New York) Time Deposit, 0.06%, due 09/03/13		67,685
ZAR	220,844	JPMorgan Chase (New York) Time Deposit, 4.15%, due 09/03/13		21,480
		Total Time Deposits		138,114
		TOTAL SHORT-TERM INVESTMENTS (COST $138,114)		138,114
		TOTAL INVESTMENTS — 99.4% (Cost $86,287,057)		76,702,614
		Other Assets and Liabilities (net) — 0.6%		493,815
		TOTAL NET ASSETS — 100.0%		$77,196,429

Notes to Schedule of Investments:

* Non-income producing security.

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 23.

6 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		90.2	%
Mutual Funds		3.7
Preferred Stocks		2.1
Investment Funds		1.1
Short-Term Investments		0.6
Swap Contracts		0.5
Debt Obligations		0.3
Other		1.5
		100.0	%

Country Summary*	% of Investments
China		18.9	%
United States**		15.6
United Kingdom**		12.5
Russia		7.4
France**		6.0
Brazil		4.5
Indonesia		4.3
Panama		4.2
Turkey		3.8
Mexico		3.8
South Korea		2.9
Malaysia		2.8
Switzerland**		2.2
Philippines		2.2
South Africa		2.2
Thailand		1.7
Taiwan		1.1
Norway**		1.1
Qatar		0.8
Nigeria		0.8
India		0.7
Vietnam		0.5
		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 contracts and other derivative financial instruments, if any.

** Includes companies that derive at least 50% of their revenues or profits from emerging markets.

Industry Group Summary	% of Equity Investments***
Food, Beverage & Tobacco		19.5	%
Telecommunication Services		10.9
Transportation		9.7
Banks		8.8
Software & Services		6.8
Consumer Services		6.1
Capital Goods		4.6
Media		4.2
Diversified Financials		3.8
Health Care Equipment & Services		3.7
Food & Staples Retailing		3.6
Household & Personal Products		3.1
Automobiles & Components		2.7
Real Estate		2.6
Consumer Durables & Apparel		2.2
Pharmaceuticals, Biotechnology & Life Sciences		1.6
Utilities		1.4
Retailing		1.3
Materials		1.3
Insurance		1.2
Energy		0.9
		100.0	%

*** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. The table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

7

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 90.2%
		Brazil — 2.3%
	1,535,575	Localiza Rent a Car SA		20,047,847
	839,500	LPS Brasil Consultoria de Imoveis SA		5,351,661
	875,400	Multiplus SA		9,561,359
	1,072,700	Qualicorp SA *		8,384,859
	608,900	Smiles SA		7,018,064
		Total Brazil		50,363,790
		China — 14.0%
	832,500	Baidu Inc Sponsored ADR *		112,828,725
	4,163,500	Beijing Enterprises Holdings Ltd		29,523,534
	15,282,000	Brilliance China Automotive Holdings Ltd *		22,385,183
	5,295,600	China Mengniu Dairy Co Ltd		22,404,390
	1,715,030	China Mobile Ltd		18,484,101
	78,100	China Mobile Ltd Sponsored ADR		4,215,057
	6,546,000	Dongfeng Motor Group Co Ltd - Class H		9,044,062
	2,155,000	Galaxy Entertainment Group Ltd *		13,084,294
	2,218,600	Great Wall Motor Co Ltd - Class H		11,245,064
	1,641,000	New Oriental Education & Technology Group Inc Sponsored ADR *		34,838,430
	2,471,600	Sands China Ltd		14,148,874
	7,218,400	Sun Art Retail Group Ltd		9,832,169
	139,200	Vipshop Holdings Ltd *		6,027,360
		Total China		308,061,243
		France — 4.7%
	183,020	Casino Guichard-Perrachon SA		17,322,938
	915,633	Danone SA		68,178,410
	109,788	L’Oreal SA		18,329,409
		Total France		103,830,757
		India — 2.4%
	500,649	Apollo Hospitals Enterprise Ltd		6,499,997
	615,932	Cadila Healthcare Ltd		6,083,742
	2,938,671	Idea Cellular Ltd *		7,099,774
	1,572,753	Kajaria Ceramics Ltd		5,455,906
	1,525,220	Lupin Ltd		18,562,452
	1,680,607	Sun TV Network Ltd		9,887,266
		Total India		53,589,137
		Indonesia — 3.8%
	119,236,640	ACE Hardware Indonesia Tbk PT		7,737,539
	18,137,950	Bank Mandiri Persero Tbk PT		11,756,493
	22,311,500	Bank Negara Indonesia Persero Tbk PT		7,839,208
	8,738,800	First Real Estate Investment Trust		7,038,474
	71,945,000	Lippo Karawaci Tbk PT *		7,560,080
	31,470,000	Media Nusantara Citra Tbk PT *		8,461,840
	13,753,200	Semen Gresik Persero Tbk PT		15,835,006

Shares		Description	Value ($)
		Indonesia — continued
	181,923,000	Sumber Alfaria Trijaya Tbk PT		9,484,172
	21,785,500	Tempo Scan Pacific Tbk PT		7,255,249
		Total Indonesia		82,968,061
		Malaysia — 2.2%
	5,594,200	AMMB Holdings Berhad		12,643,628
	16,509,600	CIMB Group Holdings Berhad		36,517,405
		Total Malaysia		49,161,033
		Mexico — 3.0%
	4,635,300	Alsea SA		11,795,539
	7,675,800	Fibra Uno Administracion SA de CV (REIT)		22,123,723
	1,369,100	Grupo Financiero Santander Mexico SAB de CV		18,674,524
	321,800	Grupo Televisa SAB Sponsored ADR		8,093,270
	1,033,400	Grupo Televisa SAB - Series CPO		5,183,629
		Total Mexico		65,870,685
		Nigeria — 0.6%
	2,350,390	Nestle Nigeria Plc		13,366,289
		Norway — 0.9%
	906,232	Telenor ASA		18,802,743
		Panama — 3.3%
	559,900	Copa Holdings SA - Class A		73,223,722
		Philippines — 5.3%
	7,335,424	BDO Unibank Inc		12,129,103
	64	Bloomberry Resorts Corp *		15
	23,812,250	First Gen Corp		8,786,200
	29,590,640	GMA Holdings Inc		5,625,393
	1,744,300	GT Capital Holdings Inc		30,211,629
	51,291,700	LT Group Inc		22,270,426
	4,984,122	Metropolitan Bank & Trust		9,073,050
	134,849	Philippine Long Distance Telephone Co		8,631,333
	75,350	Philippine Long Distance Telephone Co Sponsored ADR		4,773,422
	10,801,600	Philweb Corp		2,757,044
	7,931,597	Puregold Price Club Inc		6,855,512
	1,007,850	Semirara Mining Corp		5,459,485
		Total Philippines		116,572,612
		Qatar — 0.6%
	2,593,419	Qatar Gas Transport Co Nakilat		13,702,833
		Russia — 6.2%
	2,505,800	CTC Media Inc		26,862,176
	555,791	Global Ports Investments Plc		5,841,206

8 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	34,604	Magnit OJSC		7,725,452
	206,481	Magnit OJSC GDR		11,450,505
	810,028	Mail.ru Group Ltd GDR (Registered Shares)		26,434,468
	2,073,700	Mobile Telesystems Sponsored ADR *		43,879,492
	7,583,927	Moscow Exchange MICEX-RTS		13,891,229
		Total Russia		136,084,528
		South Africa — 1.7%
	358,789	Bidvest Group Ltd		8,817,353
	3,181,022	Coronation Fund Managers Ltd		20,722,916
	3,720,191	Growthpoint Properties Ltd		8,585,340
		Total South Africa		38,125,609
		South Korea — 2.3%
	194,950	Kia Motors Corp		11,728,705
	107,129	Samsung Fire & Marine Insurance Co Ltd		24,082,499
	274,057	Woongjin Coway Co Ltd		14,437,641
		Total South Korea		50,248,845
		Switzerland — 1.7%
	584,578	Nestle SA (Registered)		38,257,260
		Taiwan — 0.9%
	2,061,000	Giant Manufacturing Co Ltd		13,812,544
	1,529,000	Taiwan Mobile Co Ltd		5,498,584
		Total Taiwan		19,311,128
		Thailand — 10.0%
	7,567,600	Advanced Info Service Pcl (Foreign Registered)		56,168,575
	2,954,175	Bangkok Dusit Medical Service Pcl (Foreign Registered)		11,786,769
	200,359,684	BTS Rail Mass Transit Growth Infrastructure Fund		58,049,248
	1,845,400	Electricity Generating Pcl (Foreign Registered)		7,371,448
	20,594,880	Hemaraj Land and Development Pcl (Foreign Registered)		1,762,910
	48,130,700	Jasmine International Pcl (Foreign Registered)		10,788,055
	6,156,738	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) (a)		9,493,049
	2,428,600	Ratchaburi Electricity Generating Holding Pcl NVDR		3,744,649
	7,826,200	Shin Corp Pcl		18,393,488
	5,667,900	Shin Corp Pcl (Foreign Registered) (a)		13,500,967
	834,000	Siam Cement Pcl NVDR		10,146,361
	1,172,717	Thai Airways International Pcl (Foreign Registered)		588,025

Shares		Description	Value ($)
		Thailand — continued
	2,151,300	Total Access Communication Pcl (Foreign Registered) (a)		7,135,082
	2,020,500	Total Access Communication Pcl NVDR		6,215,894
	653,700	Toyo-Thai Corp Pcl (Foreign Registered)		489,081
	1,933,975	VGI Global Media Pcl (Foreign Registered)		5,852,913
		Total Thailand		221,486,514
		Turkey — 3.0%
	216,643	BIM Birlesik Magazalar AS		3,974,186
	586,104	Bizim Toptan Satis Magazalari AS		7,112,630
	3,588,986	Dogus Otomotiv Servis ve Ticaret AS		13,366,938
	1,485,823	Pegasus Hava Tasimaciligi AS *		20,223,078
	290,212	Turk Traktor ve Ziraat Makineleri AS		7,617,470
	4,250,334	Turkiye Garanti Bankasi AS		14,535,139
		Total Turkey		66,829,441
		United Kingdom — 9.9%
	1,764,848	British American Tobacco Plc		89,238,912
	18,809	British American Tobacco Plc Sponsored ADR		1,910,430
	626,712	Diageo Plc		19,206,450
	4,663,984	HSBC Holdings Plc		48,831,707
	267,228	Unilever Plc Sponsored ADR		10,202,765
	1,259,565	Unilever Plc		48,026,874
		Total United Kingdom		217,417,138
		United States — 11.0%
	1,466,200	Abbott Laboratories		48,868,446
	762,446	Colgate-Palmolive Co.		44,046,505
	229,800	Cummins, Inc.		28,311,360
	170,500	Mead Johnson Nutrition Co.		12,792,615
	546,700	PepsiCo, Inc.		43,588,391
	219,298	Tupperware Brands Corp.		17,712,700
	688,300	Yum! Brands, Inc.		48,194,766
		Total United States		243,514,783
		Vietnam — 0.4%
	1,472,475	Viet Nam Dairy Products JSC		9,036,170
		TOTAL COMMON STOCKS (COST $2,064,340,478)		1,989,824,321
		PREFERRED STOCKS — 2.1%
		Brazil — 1.2%
	1,294,800	Gol Linhas Aereas Inteligentes SA *		4,591,047
	4,007,249	Gol Linhas Aereas Inteligentes SA ADR *		14,666,531
	1,605,100	Randon Participacoes SA 0.03%		7,803,667
		Total Brazil		27,061,245

See accompanying notes to the financial statements. 9

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		Russia — 0.9%
	9,317,929	Sberbank 4.56%		19,585,476
		TOTAL PREFERRED STOCKS (COST $54,078,690)		46,646,721
		INVESTMENT FUNDS — 1.1%
		China — 0.9%
	560,400	iShares China Large-Cap ETF		19,703,664
		Thailand — 0.2%
	13,255,583	CPN Commercial Growth Leasehold Property Fund		4,191,361
		TOTAL INVESTMENT FUNDS (COST $26,231,185)		23,895,025
		DEBT OBLIGATIONS — 0.3%
		India — 0.3%
	8,330,000	Jaiprakash Associates Ltd, 5.75%, due 09/08/17		6,255,482
		TOTAL DEBT OBLIGATIONS (COST $8,838,815)		6,255,482
		MUTUAL FUNDS — 3.7%
		United States — 3.7%
		Affiliated Issuers
	3,268,820	GMO U.S. Treasury Fund		81,720,507
		TOTAL MUTUAL FUNDS (COST $81,720,509)		81,720,507

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.6%
		Time Deposits — 0.6%
GBP	7	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.07%, due 09/03/13		12
NOK	1,535	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.50%, due 09/03/13		251
SGD	74,017	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/03/13		58,024
USD	567,282	DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 09/03/13		567,282
USD	4,406,091	JPMorgan Chase (New York) Time Deposit, 0.06%, due 09/03/13		4,406,091
USD	4,406,091	Skandinaviska Enskilda Banken, AB (Stockholm) Time Deposit, 0.06%, due 09/03/13		4,406,091
USD	4,406,091	Societe Generale (Paris) Time Deposit, 0.06%, due 09/03/13		4,406,091
		Total Time Deposits		13,843,842
		TOTAL SHORT-TERM INVESTMENTS (COST $13,843,842)		13,843,842
		TOTAL INVESTMENTS — 98.0% (Cost $2,249,053,519)		2,162,185,898
		Other Assets and Liabilities (net) — 2.0%		43,237,325
		TOTAL NET ASSETS — 100.0%		$2,205,423,223

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Swap Contracts

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund (Pays)/Receives	Net Unrealized Appreciation/ (Depreciation)
	30,000,155	USD	9/26/2013	JPM	MSCI Daily Total Return Thailand	1 month USD LIBOR BBA minus 1.00%	$	839,963
	11,517,274	USD	11/18/2013	GS	MSCI Daily Total Return Thailand	1 month USD LIBOR BBA minus 0.50%		749,385
	9,420,296	USD	11/18/2013	GS	MSCI Daily Total Return Thailand	1 month USD LIBOR BBA minus 1.00%		853,879
	7,929,274	USD	12/20/2013	SG	MSCI Daily Total Return Indonesia	1 month USD LIBOR BBA minus 0.90%		60,542
	33,962,810	USD	12/20/2013	JPM	MSCI Daily Total Return Thailand	1 month USD LIBOR BBA minus 0.85%		2,207,188
	14,283,974	USD	12/20/2013	BNP	MSCI Daily Total Return Philippines	1 month USD LIBOR BBA minus 0.40%		1,353,405
	11,100,017	USD	12/20/2013	BNP	MSCI Daily Total Return Thailand	1 month USD LIBOR BBA minus 0.60%		721,989
	14,461,582	USD	12/20/2013	BNP	MSCI Daily Total Return Philippines	1 month USD LIBOR BBA minus 0.40%		1,370,233

10 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Total Return Swaps (continued)

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund (Pays)/Receives	Net Unrealized Appreciation/ (Depreciation)
	10,939,906	USD	12/20/2013	SG	MSCI Daily Total Return Thailand	1 month USD LIBOR BBA minus 0.25%	$	712,425
	14,614,930	USD	12/20/2013	BNP	MSCI Daily Total Return Philippines	1 month USD LIBOR BBA minus 0.40%		1,384,763
	13,463,828	USD	12/20/2013	BNP	MSCI Daily Total Return Thailand	1 month USD LIBOR BBA minus 0.60%		875,740
	14,961,371	USD	12/23/2013	BNP	MSCI Daily Total Return Philippines	1 month USD LIBOR BBA minus 0.60%		363,664
	6,604,271	USD	12/24/2013	BNP	MSCI Daily Total Return Thailand	1 month USD LIBOR BBA minus 0.30%		185,167
	5,062,404	USD	12/26/2013	CSI	MSCI Daily Total Return Thailand	1 month USD LIBOR BBA minus 0.90%		141,768
	20,000,635	USD	1/10/2014	BNP	MSCI Daily Total Return Philippines	1 month USD LIBOR BBA minus 1.00%		(1,997,493	)
	23,631,132	USD	1/30/2014	CSI	MSCI Daily Total Return Thailand	1 month USD LIBOR BBA minus 0.90%		95,428
	25,000,086	USD	1/30/2014	CSI	MSCI Daily Total Return India	1 month USD LIBOR BBA minus 0.525%		331,409
	21,864,861	USD	1/30/2014	CSI	MSCI Daily Total Return India	1 month USD LIBOR BBA minus 0.10%		344,418
	19,409,596	USD	1/30/2014	GS	MSCI Daily Total Return Thailand	1 month USD LIBOR BBA minus 0.70%		80,507
	20,950,994	USD	1/30/2014	GS	MSCI Daily Total Return Thailand	1 month USD LIBOR BBA minus 0.70%		85,929
							$	10,760,309
					Premiums to (Pay) Receive		$	—

As of August 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 23.

See accompanying notes to the financial statements. 11

GMO Emerging Markets Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		89.1	%
Preferred Stocks		8.8
Investment Funds		0.7
Short-Term Investments		0.1
Mutual Funds		0.0	^
Swap Contracts		(0.0	)^
Other		1.3
		100.0	%

Country Summary*	% of Investments
China		19.5	%
South Korea		18.5
Russia		14.4
Brazil		12.1
Taiwan		7.7
Indonesia		4.5
Thailand		4.1
India		3.9
South Africa		3.1
Mexico		2.4
Poland		1.8
Turkey		1.7
Czech Republic		1.5
Philippines		1.0
Peru		0.9
Egypt		0.7
Malaysia		0.6
Panama		0.5
United Kingdom**		0.4
United States**		0.3
France**		0.2
Hungary		0.1
Norway**		0.1
Morocco		0.0	^
Nigeria		0.0	^
Qatar		0.0	^
Sri Lanka		0.0	^
Vietnam		0.0	^
		100.0	%

^ Rounds to 0.0%.

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

** Includes companies that derive at least 50% of their revenues or profits from emerging markets.

Industry Group Summary	% of Equity Investments***
Banks		19.3	%
Energy		16.5
Telecommunication Services		16.0
Materials		11.9
Automobiles & Components		6.8
Software & Services		4.4
Semiconductors & Semiconductor Equipment		4.4
Technology Hardware & Equipment		4.3
Capital Goods		2.7
Utilities		2.2
Media		1.7
Diversified Financials		1.6
Food, Beverage & Tobacco		1.3
Real Estate		1.3
Transportation		1.1
Insurance		0.9
Consumer Durables & Apparel		0.8
Food & Staples Retailing		0.6
Pharmaceuticals, Biotechnology & Life Sciences		0.6
Health Care Equipment & Services		0.5
Consumer Services		0.5
Retailing		0.4
Household & Personal Products		0.1
Commercial & Professional Services		0.1
		100.0	%

*** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. The table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

12

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 89.1%
		Brazil — 6.5%
	14,424,500	Banco do Brasil SA		139,351,087
	1,156,300	Banco Santander Brasil SA		6,610,336
	5,434,600	Banco Santander Brasil SA ADR		31,357,642
	1,149,600	BR Malls Participacoes SA		8,720,954
	788,200	BR Properties SA		5,995,863
	822,300	Brasil Brokers Participacoes SA		1,809,374
	5,377,532	Cielo SA		131,646,365
	736,100	Cyrela Brazil Realty SA		4,849,847
	498,790	Duratex SA		2,525,360
	315,500	Equatorial Energia SA		2,651,260
	1,615,165	Gerdau SA		9,680,362
	472,100	Grendene SA		3,789,147
	774,100	Grupo BTG Pactual		8,792,351
	355,910	Localiza Rent a Car SA		4,646,617
	286,700	LPS Brasil Consultoria de Imoveis SA		1,827,661
	1,462,100	MRV Engenharia e Participacoes SA		5,104,589
	335,500	Multiplan Empreendimentos Imobiliarios SA		6,741,076
	4,100	Multiplus SA		44,781
	5,866,800	PDG Realty SA Empreendimentos e Participacoes *		5,655,458
	175,600	Porto Seguro SA		1,892,192
	1,204,600	Qualicorp SA *		9,415,868
	954,300	Tim Participacoes SA		3,751,685
	291,100	Transmissora Alianca de Energia Eletrica SA		2,684,130
	2,449,500	Vale SA		35,336,780
	8,238,900	Vale SA Sponsored ADR		118,722,549
		Total Brazil		553,603,334
		China — 19.0%
	68,138,000	Agricultural Bank of China Ltd - Class H		29,124,967
	1,128,400	AIA Group Ltd		4,924,546
	2,696,000	Anta Sports Products Ltd		3,475,093
	238,200	Baidu Inc Sponsored ADR *		32,283,246
	274,372,152	Bank of China Ltd - Class H		115,401,823
	17,214,703	Bank of Communications Co Ltd - Class A		11,061,606
	1,566,000	Beijing Enterprises Holdings Ltd		11,104,565
	3,436,000	Brilliance China Automotive Holdings Ltd *		5,033,077
	3,371,800	Changsha Zoomlion Heavy Industry Science and Technology Development Co Ltd - Class H		2,621,916
	3,880,000	Chaowei Power Holdings Ltd		1,708,330
	16,819,700	China Coal Energy Co Ltd - Class H		9,876,764
	46,087,550	China Communications Construction Co Ltd - Class H		35,144,657
	41,579,700	China Communications Services Corp Ltd - Class H		27,928,591

Shares		Description	Value ($)
		China — continued
	14,376,656	China Construction Bank - Class A		9,933,711
	222,900,606	China Construction Bank - Class H		162,877,882
	12,803,600	China Eastern Airlines Corp Ltd - Class H *		3,883,182
	10,332,000	China Everbright International Ltd		9,740,393
	11,494,000	China Everbright Ltd		15,443,365
	1,860,088	China Life Insurance Co Ltd - Class A		4,200,404
	1,727,000	China Life Insurance Co Ltd - Class H		4,215,239
	1,191,000	China Mengniu Dairy Co Ltd		5,038,830
	25,555,237	China Mobile Ltd		275,427,011
	726,600	China Mobile Ltd Sponsored ADR		39,214,602
	1,132,000	China Oilfield Services Ltd - Class H		2,904,911
	12,416,400	China Overseas Land & Investment Ltd		36,607,024
	2,631,227	China Pacific Insurance Group Co Ltd - Class A		7,405,809
	62,364,236	China Petroleum & Chemical Corp - Class H		44,907,252
	850,400	China Railway Construction Corp Ltd - Class A		645,462
	12,215,520	China Railway Construction Corp Ltd - Class H		11,591,208
	46,021,000	China Railway Group Ltd - Class H		23,521,242
	1,346,000	China Resources Land Ltd		3,677,869
	4,447,342	China Shenhua Energy Co Ltd - Class A		12,032,199
	6,248,000	China Shenhua Energy Co Ltd - Class H		19,352,064
	11,710,000	China Southern Airlines Co Ltd - Class H		3,970,156
	32,900	China Telecom Corp Ltd ADR		1,663,095
	192,286,800	China Telecom Corp Ltd - Class H		97,214,009
	18,671,200	China Unicom Hong Kong Ltd		28,204,500
	732,700	China Unicom Hong Kong Ltd ADR		11,027,135
	18,692,350	Citic Pacific Ltd		21,672,925
	488,794	CITIC Securities Co Ltd - Class A		876,850
	38,594,170	CNOOC Ltd		76,311,939
	29,420	CNOOC Ltd ADR		5,898,710
	107,000	Dazhong Transportation Group Co Ltd - Class B		73,293
	32,394,000	Dongfeng Motor Group Co Ltd - Class H		44,756,089
	486,000	Galaxy Entertainment Group Ltd *		2,950,797
	495,500	Great Wall Motor Co Ltd - Class H		2,511,462
	11,524,000	Guangzhou Automobile Group Co Ltd		11,746,402
	3,170,000	Huaneng Power International Inc - Class H		3,151,589
	18,097,781	Industrial and Commercial Bank of China Ltd - Class A		11,491,368
	261,200,037	Industrial and Commercial Bank of China Ltd - Class H		170,800,225
	1,088,000	Kunlun Energy Co Ltd		1,576,545
	562,557	Kweichow Moutai Co Ltd		15,490,341
	6,237,000	Lee & Man Paper Manufacturing Ltd		3,676,938
	5,071,600	Lenovo Group Ltd		4,890,779
	12,108,800	Lonking Holdings Ltd *		2,514,562

See accompanying notes to the financial statements. 13

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		China — continued
	806,941	New Oriental Education & Technology Group Inc Sponsored ADR *		17,131,357
	6,356,172	Peace Mark Holdings Ltd * (a) (b)		—
	39,000	PetroChina Co Ltd ADR		4,243,200
	10,637,121	PetroChina Co Ltd - Class H		11,563,870
	811,855	Ping An Insurance (Group) Co of China Ltd - Class A		4,610,385
	689,000	Ping An Insurance (Group) Co of China Ltd - Class H		4,811,346
	557,600	Sands China Ltd		3,192,026
	1,475,000	Shenzhou International Group Holdings Ltd		4,792,312
	18,960,000	Skyworth Digital Holdings Ltd		10,246,579
	9,072,500	Sun Art Retail Group Ltd		12,357,635
	30,400	Vipshop Holdings Ltd *		1,316,320
	541,384	Weichai Power Co Ltd - Class A		1,691,631
	2,521,098	Weichai Power Co Ltd - Class H		9,108,394
	31,403,000	Yangzijiang Shipbuilding Holdings Ltd		23,211,977
	38,800	Yanzhou Coal Mining Co Ltd Sponsored ADR		339,888
	8,500,000	Yanzhou Coal Mining Co Ltd - Class H		7,560,003
	3,076,000	Yuanda China Holdings Ltd		197,460
	1,580,000	Zhuzhou CSR Times Electric Co Ltd - Class H		4,961,576
		Total China		1,626,114,508
		Czech Republic — 1.4%
	4,160,198	CEZ AS		96,087,429
	89,464	Komercni Banka AS		19,297,721
	167,583	Pegas Nonwovens SA		4,929,939
	4,008	Philip Morris CR AS		2,220,530
		Total Czech Republic		122,535,619
		Egypt — 0.7%
	1,247,377	Al Ezz Steel Rebars SAE *		1,984,271
	1,203,339	Alexandria Mineral Oils Co *		12,092,506
	393,470	ElSwedy Electric Co		1,184,912
	581,860	Orascom Telecom Holding SAE *		354,073
	3,682,038	Orascom Telecom Holding SAE GDR (Registered Shares) *		10,987,065
	50,272,624	Orascom Telecom Media And Technology Holding SAE		3,956,328
	5,336,431	Sidi Kerir Petrochemicals Co		11,298,653
	7,109,228	South Valley Cement *		4,432,698
	7,205,815	Telecom Egypt Co		12,906,013
		Total Egypt		59,196,519
		France — 0.2%
	41,134	Casino Guichard-Perrachon SA		3,893,354
	210,609	Danone SA		15,682,033
		Total France		19,575,387

Shares		Description	Value ($)
		Hungary — 0.1%
	2,935,442	Magyar Telekom Telecommunications Plc		4,061,681
	198,540	OTP Bank Plc		3,688,246
		Total Hungary		7,749,927
		India — 3.8%
	1,194,493	Aban Offshore Ltd		3,828,713
	113,524	Apollo Hospitals Enterprise Ltd		1,473,898
	1,864,004	Aurobindo Pharma Ltd		5,123,497
	122,552	Bayer Cropscience Ltd		2,844,852
	140,156	Cadila Healthcare Ltd		1,384,362
	2,577,586	Cairn India Ltd		12,581,536
	1,210,497	Canara Bank Ltd		3,754,761
	633,360	Cipla Ltd		4,005,372
	2,452,255	Dena Bank		1,629,311
	60,655	Financial Technologies India Ltd		103,479
	1,290,353	Gitanjali Gems Ltd		1,406,843
	80,227	Grasim Industries Ltd (a)		2,631,474
	969,859	HCL Technologies Ltd		15,305,377
	164,034	Hero MotoCorp Ltd *		4,983,020
	3,249,027	Hexaware Technologies Ltd		6,340,820
	2,988,161	Hindalco Industries Ltd		4,713,609
	10,995,413	Housing Development & Infrastructure Ltd *		5,459,770
	1,769,742	Idea Cellular Ltd *		4,275,663
	621,707	Infosys Technologies Ltd		29,011,984
	1,114,290	Infosys Technologies Ltd Sponsored ADR		51,669,627
	1,998,008	Jai Balaji Industries Ltd *		604,662
	365,986	Kajaria Ceramics Ltd		1,269,611
	651,327	Kiri Industries Ltd *		108,050
	627,229	Lupin Ltd		7,633,593
	1,103,697	Mphasis Ltd		7,029,845
	882,582	Oil & Natural Gas Corp Ltd		3,361,478
	564,880	Punjab National Bank Ltd (a)		3,816,526
	2,346,145	Rural Electrification Corp Ltd		6,000,302
	9,333,501	Sesa Goa Ltd		26,591,111
	562,700	Sterlite Industries India Ltd ADR		3,376,200
	386,779	Sun Pharmaceutical Industries Ltd		3,052,918
	380,581	Sun TV Network Ltd		2,239,016
	1,391,079	Tata Consultancy Services Ltd		42,690,217
	903,930	Tata Motors Ltd		4,051,319
	13,500	Tata Motors Ltd Sponsored ADR		301,320
	1,645,620	Tech Mahindra Ltd		34,165,641
	979,258	Union Bank of India		1,513,484
	857,289	Welspun Corp Ltd *		448,699
	1,439,096	Wipro Ltd		10,388,433
		Total India		321,170,393

14 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Indonesia — 4.4%
	60,852,589	ACE Hardware Indonesia Tbk PT		3,948,864
	205,324,500	Astra International Tbk PT		113,467,635
	52,639,500	Bakrie Telecom Tbk PT *		241,070
	6,910,168	Bank Danamon Indonesia Tbk PT		2,556,892
	37,266,202	Bank Mandiri Persero Tbk PT		24,154,870
	5,057,000	Bank Negara Indonesia Persero Tbk PT		1,776,791
	68,760,000	Bank Rakyat Indonesia Persero Tbk PT		41,410,270
	2,068,960	First Real Estate Investment Trust		1,666,398
	58,566,500	Gajah Tunggal Tbk PT		9,992,711
	77,246,500	Global Mediacom Tbk PT *		12,330,018
	8,240,000	Harum Energy Tbk PT		2,422,931
	177,996,000	Kalbe Farma Tbk PT		21,917,623
	16,315,000	Lippo Karawaci Tbk PT *		1,714,403
	8,094,000	Matahari Putra Prima Tbk PT		1,589,059
	67,977,025	Media Nusantara Citra Tbk PT *		18,278,064
	68,573,485	MNC Investama Tbk PT		2,157,801
	11,309,958	Semen Gresik Persero Tbk PT		13,021,933
	31,118,280	Sumber Alfaria Trijaya Tbk PT		1,622,286
	333,787,500	Telekomunikasi Indonesia Persero Tbk PT		67,047,704
	799,800	Telekomunikasi Indonesia Tbk PT Sponsored ADR		29,640,588
	5,015,000	Tempo Scan Pacific Tbk PT		1,670,151
		Total Indonesia		372,628,062
		Malaysia — 0.6%
	6,148,130	AMMB Holdings Berhad		13,895,582
	9,755,500	CIMB Group Holdings Berhad		21,578,085
	2,435,736	Hong Leong Bank Berhad		10,441,555
	15,826,527	Lion Industries Corp Berhad		4,331,060
		Total Malaysia		50,246,282
		Mexico — 2.3%
	1,046,500	Alsea SA		2,663,049
	48,056,700	America Movil SAB de CV - Class L		46,506,484
	4,995,400	America Movil SAB de CV - Class L ADR		96,411,220
	1,723,000	Fibra Uno Administracion SA de CV (REIT)		4,966,150
	621,400	Fomento Economico Mexicano SAB de CV		5,858,675
	20,000	Fomento Economico Mexicano Sponsored ADR		1,887,600
	1,314,700	Grupo Financiero Banorte SAB de CV - Class O		8,095,230
	1,122,774	Grupo Financiero Santander Mexico SAB de CV		15,314,637
	129,900	Grupo Televisa SAB Sponsored ADR		3,266,985
	1,246,600	Grupo Televisa SAB-Series CPO		6,253,060
	1,844,200	Wal-Mart de Mexico SAB de CV - Class V		4,416,915
		Total Mexico		195,640,005

Shares		Description	Value ($)
		Morocco — 0.0%
	284,034	Maroc Telecom		2,998,134
		Nigeria — 0.0%
	529,616	Nestle Nigeria Plc		3,011,841
		Norway — 0.1%
	245,044	Telenor ASA		5,084,238
		Panama — 0.5%
	286,462	Copa Holdings SA - Class A		37,463,500
		Peru — 0.9%
	3,939,600	Compania de Minas Buenaventura SA ADR		49,757,148
	1,010,300	Southern Copper Corp		27,783,250
		Total Peru		77,540,398
		Philippines — 1.0%
	9,313,185	BDO Unibank Inc		15,399,325
	15	Bloomberry Resorts Corp *		4
	6,440,400	First Gen Corp		2,376,367
	10,059,200	GMA Holdings Inc		1,912,326
	852,092	GT Capital Holdings Inc		14,758,406
	78,277,550	Lopez Holding Corp		8,839,334
	11,493,300	LT Group Inc		4,990,294
	5,768,206	Metropolitan Bank & Trust		10,500,390
	121,581	Philippine Long Distance Telephone Co		7,782,083
	96,912	Philippine Long Distance Telephone Co Sponsored ADR		6,139,375
	13,057,488	Puregold Price Club Inc		11,285,970
	95,367	Semirara Mining Corp		516,599
		Total Philippines		84,500,473
		Poland — 1.8%
	259,289	Asseco Poland SA		3,666,897
	3,894,558	KGHM Polska Miedz SA		147,724,272
	1,180,527	Synthos SA		1,617,935
		Total Poland		153,009,104
		Qatar — 0.0%
	583,116	Qatar Gas Transport Co Nakilat		3,081,007
		Russia — 11.5%
	313,418	Bashneft OAO - Class S		17,937,564
	1,251,120	CTC Media Inc		13,412,006
	131,302	Eurasia Drilling Co Ltd GDR		5,061,874
	533,553	Gazprom Neft JSC Sponsored ADR *		10,977,554
	1,351,136	Gazprom Neft - Class S		5,500,861
	40,033,279	Gazprom OAO Sponsored ADR		314,508,846
	116,905	Global Ports Investments Plc		1,228,639

See accompanying notes to the financial statements. 15

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	184,499	Globaltrans Investment Plc Sponsored GDR		2,455,873
	3,504,068	Lukoil OAO Sponsored ADR		203,045,817
	85,909	Magnit OJSC		19,179,456
	4,411	Magnit OJSC GDR		244,614
	181,827	Mail.ru Group Ltd GDR (Registered Shares)		5,933,746
	124,440	MegaFon OAO GDR		4,201,228
	1,692,400	Mobile Telesystems Sponsored ADR *		35,811,184
	2,216,104	Moscow Exchange MICEX-RTS		4,059,165
	7,059,111	Rosneft OJSC GDR (Registered)		51,859,060
	12,812,873	Sberbank Sponsored ADR		135,066,081
	154,449	Sistema JSFC Sponsored GDR (Registered Shares)		3,419,724
	6,514,531	Surgutneftegas Sponsored ADR		50,741,610
	1,243,919	Tatneft Sponsored ADR		47,104,599
	3,835,875	TNK-BP Holding - Class S *		5,540,208
	515,800	VimpelCom Ltd Sponsored ADR		5,534,534
	536,299	Volga Gas Plc *		724,402
	16,094,909	VTB Bank OJSC GDR (Registered Shares)		42,676,182
		Total Russia		986,224,827
		South Africa — 3.0%
	5,785,336	African Bank Investments Ltd		9,194,206
	172,326	AngloGold Ashanti Ltd		2,313,172
	416,000	AngloGold Ashanti Ltd Sponsored ADR		5,561,920
	248,488	Bidvest Group Ltd		6,106,671
	715,987	Coronation Fund Managers Ltd		4,664,331
	938,836	Exxaro Resources Ltd		14,836,923
	1,821,811	FirstRand Ltd		5,325,230
	393,014	Gold Fields Ltd		2,031,755
	736,900	Gold Fields Ltd Sponsored ADR		3,795,035
	3,729,153	Growthpoint Properties Ltd		8,606,023
	2,824,181	Investec Ltd		18,267,351
	74,841	Kumba Iron Ore Ltd		3,275,898
	2,273,020	MTN Group Ltd		41,519,293
	797,307	Naspers Ltd - N Shares		65,677,051
	579,123	Sasol Ltd		27,115,597
	83,900	Sasol Ltd Sponsored ADR		3,927,359
	166,750	Sibanye Gold Ltd Sponsored ADR *		688,677
	7,526,495	Telkom South Africa Ltd *		16,763,582
	765,042	Vodacom Group Ltd		8,632,883
	471,845	Wilson Bayly Holmes-Ovcon Ltd		6,493,759
		Total South Africa		254,796,716
		South Korea — 17.2%
	785,980	BS Financial Group Inc		10,037,118
	53,065	Daelim Industrial Co Ltd		4,155,885
	682,170	DGB Financial Group Inc		9,515,601

Shares		Description	Value ($)
		South Korea — continued
	247,050	Dongbu Insurance Co Ltd		10,458,760
	149,812	GS Engineering & Construction Corp		4,748,982
	476,927	GS Holdings		24,226,558
	2,655,568	Hana Financial Group Inc		83,333,874
	648,050	Hankook Tire Co Ltd		14,009,396
	6,740	Hanmi Pharm Co Ltd *		88,787
	1,013,095	Hanwha Corp		29,625,119
	78,696	Hyosung Corp		5,011,883
	82,691	Hyundai Engineering & Construction		4,252,315
	50,381	Hyundai Heavy Industries Co Ltd		10,258,638
	345,470	Hyundai Marine & Fire Insurance Co Ltd		9,194,117
	20,062	Hyundai Mipo Dockyard		2,421,441
	286,435	Hyundai Mobis		71,700,608
	471,640	Hyundai Motor Co		105,173,068
	426,460	Hyundai Steel Co		28,024,972
	3,324,786	Industrial Bank of Korea		33,693,928
	1,687,401	KB Financial Group Inc		53,831,293
	124,500	KB Financial Group Inc ADR		3,935,445
	2,449,153	Kia Motors Corp		147,347,487
	61,060	KleanNara Co Ltd *		279,665
	225,240	Kolon Corp		3,942,862
	211,261	Kolon Industries Inc		10,161,180
	48,196	Korea Zinc Co Ltd		13,796,506
	1,600,306	KT Corp		51,910,334
	1,316,600	KT Corp Sponsored ADR		21,157,762
	57,636	KT&G Corp		3,764,837
	9	KTB Securities Co Ltd *		19
	80,411	LG Chem Ltd		20,686,073
	1,747,338	LG Uplus Corp *		20,511,517
	173,680	LIG Insurance Co Ltd		3,838,428
	15,654	Lotte Shopping Co Ltd		4,791,273
	350,530	Meritz Fire & Marine Insurance Co Ltd		4,029,396
	89,419	O Media Holdings Co Ltd *		3,059,078
	316,611	POSCO		91,445,077
	30,900	POSCO ADR		2,225,418
	65,192	Samsung Electro Mechanics Co Ltd		4,768,990
	21,237	Samsung Electronics Co Ltd GDR (Registered Shares)		12,937,068
	100,544	Samsung Engineering Co Ltd		7,578,242
	54,961	Samsung Fire & Marine Insurance Co Ltd		12,355,181
	158,840	Samsung Heavy Industries Co Ltd		5,613,166
	31,383	Samsung Life Insurance Co Ltd		2,991,481
	28,137	Samsung SDI Co Ltd		4,256,900
	264,010	Samsung Card Co		8,588,107
	146,645	Samsung Electronics Co Ltd		179,788,304
	55,750	Seah Besteel Corp		1,482,896
	1,479,967	Shinhan Financial Group Co Ltd		53,786,673
	571,353	SK Innovation Co Ltd		71,517,099
	358,604	SK Telecom Co Ltd		71,413,819
	2,126,600	SK Telecom Co Ltd ADR		46,636,338

16 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	33,530	SK Holdings Co Ltd		5,625,355
	2,106,221	Tong Yang Securities Inc		5,644,395
	100,164	Woongjin Coway Co Ltd		5,276,756
	5,179,610	Woori Finance Holdings Co Ltd		51,464,550
		Total South Korea		1,472,370,020
		Sri Lanka — 0.0%
	15,949,200	Anilana Hotels & Properties Ltd *		1,032,077
	27,986,667	Anilana Hotels & Properties Ltd * (c)		1,811,026
				2,843,103
		Taiwan — 7.8%
	5,449,000	Acer Inc *		3,613,006
	3,831,000	Advanced Semiconductor Engineering Inc		3,362,051
	2,005,743	Advantech Co Ltd		10,162,245
	2,286,000	Asustek Computer Inc		18,136,557
	15,172,000	AU Optronics Corp *		5,925,302
	2,660,000	Catcher Technology Co Ltd		12,579,078
	2,510,750	Cheng Shin Rubber Industry Co Ltd		6,440,128
	19,190,449	Chunghwa Telecom Co Ltd		60,525,165
	71,241,311	Compal Electronics Inc		47,745,446
	4,135,000	Delta Electronics Inc		18,615,851
	11,214,500	E.Sun Financial Holdings Co Ltd		7,074,494
	1,799,000	Elan Microelectronics Corp		3,021,963
	11,861,994	Far EasTone Telecommunications Co Ltd		29,935,317
	1,668,450	Foxconn Technology Co Ltd		4,230,280
	484,000	Giant Manufacturing Co Ltd		3,243,703
	1,920,000	Highwealth Construction Corp		4,248,069
	26,069,743	Hon Hai Precision Industry Co Ltd *		70,306,694
	5,184,000	HTC Corp		26,951,183
	185,000	Largan Precision Co Ltd		6,431,839
	11,560,156	Lite-On Technology Corp		19,536,357
	1,446,000	Makalot Industrial Co Ltd		7,778,074
	1,445,000	MediaTek Inc		17,637,154
	354,000	Mstar Semiconductor Inc		3,220,611
	1,018,000	Novatek Microelectronics Corp Ltd		4,209,139
	3,247,000	Pegatron Corp *		4,993,889
	426,000	Phison Electronics Corp		2,974,740
	11,632,749	Powertech Technology Inc		21,149,291
	17,137,290	Quanta Computer Inc		35,881,948
	2,327,730	Radiant Opto-Electronics Corp		7,341,714
	1,393,990	Realtek Semiconductor Corp		3,074,673
	2,241,000	Siliconware Precision Industries Co		2,507,224
	580,000	Simplo Technology Co Ltd		2,756,796
	2,281,000	Synnex Technology International Corp		3,577,555
	54,323,312	Taishin Financial Holding Co Ltd		23,312,974
	8,060,676	Taiwan Mobile Co Ltd		28,987,770
	2,081,900	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		34,476,264
	6,831,044	Taiwan Semiconductor Manufacturing Co Ltd		22,647,483

Shares		Description	Value ($)
		Taiwan — continued
	1,578,000	TPK Holding Co Ltd		16,648,005
	18,302,000	United Microelectronics Corp		7,478,056
	1,119,400	United Microelectronics Corp Sponsored ADR		2,194,024
	44,944,885	Wistron Corp		40,127,051
	1,868,000	WPG Holdings Co Ltd		2,135,825
	3,146,970	Yungtay Engineering Co Ltd		7,260,891
		Total Taiwan		664,455,879
		Thailand — 4.0%
	4,822,690	Advanced Info Service Pcl (Foreign Registered)		35,795,183
	14,359,233	Bangchak Petroleum Pcl (Foreign Registered)		14,107,575
	2,800	Bangkok Bank Pcl NVDR		15,493
	8,424,586	Bangkok Dusit Medical Service Pcl (Foreign Registered)		33,612,988
	2,278,000	Banpu Pcl (Foreign Registered)		19,489,597
	68,250,221	BTS Rail Mass Transit Growth Infrastructure Fund		19,773,809
	6,158,800	Charoen Pokphand Foods Pcl (Foreign Registered)		4,429,126
	7,677,371	Electricity Generating Pcl (Foreign Registered)		30,667,249
	10,125,500	Esso Thailand Pcl (Foreign Registered)		1,940,559
	6,648,701	Glow Energy Pcl (Foreign Registered)		12,923,567
	5,460,495	Hemaraj Land and Development Pcl (Foreign Registered)		467,415
	10,906,500	Jasmine International Pcl (Foreign Registered)		2,444,592
	6,320	Kasikornbank Pcl (Foreign Registered) (a)		31,043
	206,500	Kasikornbank Pcl NVDR		1,014,313
	2,214,400	PTT Exploration & Production Pcl (Foreign Registered)		11,421,395
	8,562,270	PTT Pcl (Foreign Registered)		86,724,591
	4,054,552	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) (a)		6,251,697
	931,200	Ratchaburi Electricity Generating Holding Pcl NVDR		1,435,814
	10,529,650	Saha Pathana Inter-Holding Pcl (Foreign Registered)		7,373,436
	111,378,285	Sansiri Pcl (Foreign Registered)		7,059,847
	2,871,392	Shin Corp Pcl		6,748,475
	1,973,600	Shin Corp Pcl (Foreign Registered) (a)		4,701,125
	28	Siam Cement Pcl (Foreign Registered) (a)		343
	745,800	Siam Cement Pcl NVDR		9,073,329
	3,108,050	Star Block Co Ltd (Foreign Registered) * (a) (b) (d)		—
	639,123	Thai Airways International Pcl (Foreign Registered)		320,470
	5,111,141	Thai Oil Pcl (Foreign Registered)		8,617,006

See accompanying notes to the financial statements. 17

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Thailand — continued
	41,810,806	Thai Tap Water Supply Pcl (Foreign Registered)		12,695,880
	941,210	Total Access Communication Pcl (Foreign Registered) (a)		3,121,652
	225,100	Toyo-Thai Corp Pcl		168,414
	443,530	VGI Global Media Pcl (Foreign Registered)		1,342,283
		Total Thailand		343,768,266
		Turkey — 1.6%
	1,334,687	Akbank TAS		4,401,259
	8,833,908	Asya Katilim Bankasi AS *		7,634,555
	2,351,350	Aygaz AS		9,143,082
	136,095	Bizim Toptan Satis Magazalari AS		1,651,573
	6,621,446	Dogus Otomotiv Servis ve Ticaret AS		24,661,133
	4,007,924	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		4,361,472
	127,785	Ford Otomotiv Sanayi AS		1,582,332
	1,196,866	Haci Omer Sabanci Holding AS		5,061,832
	690,770	KOC Holding AS		2,766,487
	42,150	Medya Holding AS (a) (b)		—
	793,420	Pegasus Hava Tasimaciligi AS *		10,798,994
	623,407	Tekfen Holding AS		1,297,050
	5,805,180	Turk Telekomunikasyon AS		17,579,511
	87,207	Turk Traktor ve Ziraat Makineleri AS		2,289,005
	4,053,222	Turkcell Iletisim Hizmet AS *		21,175,334
	61,700	Turkcell Iletisim Hizmetleri AS ADR *		811,972
	4,935,340	Turkiye Garanti Bankasi AS		16,877,698
	151,354	Turkiye Halk Bankasi AS		957,020
	2,020,512	Yapi ve Kredi Bankasi AS		3,978,462
		Total Turkey		137,028,771
		United Kingdom — 0.4%
	388,786	British American Tobacco Plc		19,658,826
	22,377	British American Tobacco Plc Sponsored ADR		2,272,832
	47,000	Unilever Plc Sponsored ADR		1,794,460
	240,805	Unilever Plc		9,181,830
		Total United Kingdom		32,907,948
		United States — 0.3%
	170,730	Colgate-Palmolive Co.		9,863,072
	38,600	Mead Johnson Nutrition Co.		2,896,158
	49,127	Tupperware Brands Corp.		3,967,988
	154,000	Yum! Brands, Inc.		10,783,080
		Total United States		27,510,298
		Vietnam — 0.0%
	483,155	Viet Nam Dairy Products JSC		2,964,988
		TOTAL COMMON STOCKS (COST $8,418,009,493)		7,620,019,547

Shares		Description	Value ($)
		PREFERRED STOCKS — 8.8%
		Brazil — 5.4%
	1,914,918	Banco Bradesco SA 0.24%		22,239,518
	748,900	Banco Bradesco SA ADR 0.29%		8,702,218
	1,739,300	Banco do Estado do Rio Grande do Sul SA - Class B 1.13%		10,409,775
	3,782,950	Bradespar SA 2.09%		39,114,557
	345,100	Cia Energetica de Minas Gerais Sponsored ADR 6.77%		2,690,274
	207,700	Companhia de Bebidas das Americas ADR 2.70%		7,223,806
	2,034,988	Gerdau SA Sponsored ADR 0.52%		14,611,214
	834,900	Gol Linhas Aereas Inteligentes SA *		2,960,353
	1,187,500	Gol Linhas Aereas Inteligentes SA ADR *		4,346,250
	593,100	Itau Unibanco Holding SA 0.62%		7,208,827
	4,865,125	Itau Unibanco Holding SA ADR 0.65%		59,208,571
	11,246,433	Itausa-Investimentos Itau SA 0.73%		39,405,763
	1,744,300	Klabin SA 4.04%		8,999,490
	2,910,700	Metalurgica Gerdau SA 0.38%		25,825,989
	571,100	Randon Participacoes SA 0.03%		2,776,571
	941,000	Suzano Papel e Celulose SA 1.03%		3,707,286
	319,400	Telefonica Brasil SA 2.96%		6,222,139
	375,600	Telefonica Brasil SA ADR 3.44%		7,410,588
	177,900	Tim Participacoes SA ADR		3,508,188
	1,971,600	Usinas Siderrurgicas de Minas Gerais SA *		8,519,540
	3,273,510	Vale SA 0.48%		42,669,025
	10,141,365	Vale SA Sponsored ADR 2.86%		131,634,918
		Total Brazil		459,394,860
		Russia — 2.5%
	26,748,437	Sberbank 4.56%		56,222,888
	82,656,552	Surgutneftegaz OJSC 7.01%		55,860,124
	12,100	Surgutneftegaz Sponsored ADR 6.69%		80,102
	2,610,682	TNK BP Holding *		2,964,777
	43,703	Transneft 0.90%		100,391,052
		Total Russia		215,518,943
		South Korea — 0.9%
	269,537	Hyundai Motor Co 1.81%		27,096,566
	109,901	Hyundai Motor Co 1.86%		10,260,266
	46,130	Samsung Electronics Co Ltd (Non-Voting) 0.91%		38,047,636
		Total South Korea		75,404,468
		TOTAL PREFERRED STOCKS (COST $871,299,391)		750,318,271

18 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		INVESTMENT FUNDS — 0.7%
		China — 0.0%
	1,828	The China A Share Fund Ltd - Class S1 * (a) (c)		—
	245,374	The China A Share Fund Ltd - Class S2 * (a) (c)		2,287,988
		Total China		2,287,988
		India — 0.1%
	10,512	Fire Capital Mauritius Private Fund * (a) (c)		7,760,788
	1,371,900	TDA India Technology Fund II LP * (a) (c)		359,801
		Total India		8,120,589
		Poland — 0.0%
	1,749,150	Templeton EE FD * (a) (c)		200,654
		Russia — 0.1%
	6,741,100	NCH Eagle Fund LP * (a) (c)		4,493,017
	2,769	Steep Rock Russia Fund LP * (a) (c)		1,362,204
		Total Russia		5,855,221
		Thailand — 0.0%
	4,011,862	CPN Commercial Growth Leasehold Property Fund		1,268,535
		Ukraine — 0.0%
	16,667	Societe Generale Thalmann Ukraine Fund * (a) (c) (e)		4,000
		United States — 0.5%
	1,041,949	iShares MSCI Emerging Markets ETF		39,635,740
		TOTAL INVESTMENT FUNDS (COST $65,285,697)		57,372,727

Shares / Par Value		Description	Value ($)
		MUTUAL FUNDS — 0.0%
		United States — 0.0%
		Affiliated Issuers
	16,208	GMO U.S. Treasury Fund		405,204
		TOTAL MUTUAL FUNDS (COST $405,205)		405,204
		SHORT-TERM INVESTMENTS — 0.1%
		Time Deposits — 0.1%
HKD	21,927,987	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/03/13		2,827,794
SGD	17,690	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/03/13		13,867
ZAR	23,728,610	JPMorgan Chase (New York) Time Deposit, 4.15%, due 09/03/13		2,307,894
		Total Time Deposits		5,149,555
		TOTAL SHORT-TERM INVESTMENTS (COST $5,149,555)		5,149,555
		TOTAL INVESTMENTS — 98.7% (Cost $9,360,149,341)		8,433,265,304
		Other Assets and Liabilities (net) — 1.3%		114,712,791
		TOTAL NET ASSETS — 100.0%		$8,547,978,095

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of August 31, 2013
Anilana Hotels & Properties Ltd	2/10/11-2/16/12	$	1,890,310	0.02%	$	1,811,026
The China A Share Fund Ltd - Class S1	10/14/08		—	0.00%		—
The China A Share Fund Ltd - Class S2	4/23/10		2,453,738	0.03%		2,287,988
Fire Capital Mauritius Private Fund	9/06/06-10/26/09		11,185,180	0.09%		7,760,788
NCH Eagle Fund LP	4/6/09		7,816,032	0.05%		4,493,017
Societe Generale Thalmann Ukraine Fund	7/15/97		199,943	0.00%		4,000
Steep Rock Russia Fund LP	12/22/06-5/13/09		2,250,000	0.02%		1,362,204
TDA India Technology Fund II LP	2/23/00-3/23/04		—	0.00%		359,801
Templeton EE FD	12/05/97-6/24/02		471,720	0.00%		200,654
					$	18,279,478

See accompanying notes to the financial statements. 19

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Swap Contracts

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Fund (Pays)/Receives	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	13,918,000	USD	9/13/13	CSI	Depreciation of Total Return on Astra International + (3 month BBA USD LIBOR minus 4.00%)	Appreciation of Total Return on Astra International	$	(2,760,280	)
	21,073,290	USD	9/30/13	MSCI	Depreciation of Total Return on Asustek Computer Inc + (Daily Fed Funds Rate minus 2.00%)	Appreciation of Total Return on Asustek Computer Inc		(1,716	)
	7,279,500	USD	11/6/13	MSCI	Depreciation of Total Return on BZ Multiplus SA + (Daily Fed Funds Rate minus 10.00%)	Appreciation of Total Return on BZ Multiplus SA		(684,032	)
							$	(3,446,028	)
					Premiums to (Pay) Receive		$	—

As of August 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

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

(b) Bankrupt issuer.

(c) Private placement securities are restricted as to resale.

(d) Affiliated company (Note 10).

(e) The security is currently in full liquidation.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 23.

20 See accompanying notes to the financial statements.

GMO Taiwan Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		96.4	%
Investment Funds		2.2
Short-Term Investments		0.2
Mutual Funds		0.0	^
Other		1.2
		100.0	%

Industry Sector Summary	% of Equity Investments*
Computer Hardware		21.3	%
Semiconductors & Semiconductor Equipment		20.9
Electronic Equipment, Instruments & Components		18.4
Diversified Telecommunication Services		9.6
Wireless Telecommunication Services		8.7
Computer Storage & Peripherals		4.9
Commercial Banks		4.6
Communications Equipment		4.2
Mutual Funds		2.2
Textiles, Apparel & Luxury Goods		1.2
Machinery		1.2
Auto Components		1.0
Real Estate		0.7
Leisure Equipment & Products		0.6
Computers & Peripherals		0.5
Chemicals		0.0	^
Metals & Mining		0.0	^
		100.0	%

* Equity investments may consist of common stocks and other stock-related securities, such as a preferred stock. The table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

^ Rounds to 0.0%.

21

GMO Taiwan Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.4%
		Taiwan — 96.4%
	999,000	Advanced Semiconductor Engineering Inc		876,713
	241,000	Advantech Co Ltd		1,221,044
	905,323	Asustek Computer Inc		7,182,608
	3,599,000	AU Optronics Corp *		1,405,560
	574,448	Catcher Technology Co Ltd		2,716,551
	573,550	Cheng Shin Rubber Industry Co Ltd		1,471,168
	578	China Steel Corp		487
	3,926,132	Chunghwa Telecom Co Ltd		12,382,711
	13,293,486	Compal Electronics Inc		8,909,205
	874,000	Delta Electronics Inc		3,934,765
	2,586,100	E.Sun Financial Holdings Co Ltd		1,631,401
	467,000	Elan Microelectronics Corp		784,467
	2,476,767	Far EasTone Telecommunications Co Ltd		6,250,450
	389	First Financial Holding Co Ltd		224
	690	Formosa Chemicals & Fibre Co		1,784
	26,250	Foxconn Technology Co Ltd		66,556
	124,000	Giant Manufacturing Co Ltd		831,031
	464,550	Highwealth Construction Corp		1,027,834
	5,225,329	Hon Hai Precision Industry Co Ltd *		14,092,030
	1,147,228	HTC Corp		5,964,343
	43,000	Largan Precision Co Ltd		1,494,968
	2,470,258	Lite-On Technology Corp		4,174,671
	324,000	Makalot Industrial Co Ltd		1,742,805
	306,000	MediaTek Inc		3,734,927
	95,000	Mstar Semiconductor Inc		864,288
	311	Nan Ya Plastics Corp		606
	250,995	Novatek Microelectronics Corp Ltd		1,037,793
	138,000	Pegatron Corp *		212,244
	111,000	Phison Electronics Corp		775,108
	2,454,475	Powertech Technology Inc		4,462,437
	3,113,856	Quanta Computer Inc		6,519,772
	529,670	Radiant Opto-Electronics Corp		1,670,591
	363,870	Realtek Semiconductor Corp		802,575
	619,000	Siliconware Precision Industries Co		692,535
	159,000	Simplo Technology Co Ltd		755,742
	601,000	Synnex Technology International Corp		942,618
	11,443,937	Taishin Financial Holding Co Ltd		4,911,192
	1,676,158	Taiwan Mobile Co Ltd		6,027,793
	1,025,190	Taiwan Semiconductor Manufacturing Co Ltd		3,398,891
	500,700	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		8,291,592
	336,358	TPK Holding Co Ltd		3,548,599
	4,966,000	United Microelectronics Corp		2,029,069
	58,500	United Microelectronics Corp Sponsored ADR		114,660
	8,238,261	Wistron Corp		7,355,167
	537,000	WPG Holdings Co Ltd		613,993
	2,968,195	Ya Hsin Industrial Co Ltd * (a) (b)		—

Shares / Par Value		Description	Value ($)
		Taiwan — continued
	715,152	Yungtay Engineering Co Ltd		1,650,045
	750	Zhen Ding Technology Holding Ltd		1,980
		Total Taiwan		138,577,593
		TOTAL COMMON STOCKS (COST $140,711,177)		138,577,593
		INVESTMENT FUNDS — 2.2%
		United States — 2.2%
	228,183	iShares MSCI Taiwan ETF		3,075,907
		TOTAL INVESTMENT FUNDS (COST $3,008,764)		3,075,907
		MUTUAL FUNDS — 0.0%
		United States — 0.0%
		Affiliated Issuers
	27	GMO U.S. Treasury Fund		677
		TOTAL MUTUAL FUNDS (COST $677)		677
		SHORT-TERM INVESTMENTS — 0.2%
		Time Deposits — 0.2%
USD	284,460	JPMorgan Chase (New York) Time Deposit, 0.06%, due 09/03/13		284,460
USD	22,239	Societe Generale (Paris) Time Deposit, 0.06%, due 09/03/13		22,239
		Total Time Deposits		306,699
		TOTAL SHORT-TERM INVESTMENTS (COST $306,699)		306,699
		TOTAL INVESTMENTS — 98.8% (Cost $144,027,317)		141,960,876
		Other Assets and Liabilities (net) — 1.2%		1,784,968
		TOTAL NET ASSETS — 100.0%		$143,745,844

Notes to Schedule of Investments:

* Non-income producing security.

(a) Bankrupt issuer.

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 23.

22 See accompanying notes to the financial statements.

GMO Trust Funds

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Portfolio Abbreviations:

ADR - American Depositary Receipt

BBA - British Banks Association

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

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

GDR - Global Depository Receipt

NVDR - Non-Voting Depository Receipt

OJSC - Open Joint-Stock Company

REIT - Real Estate Investment Trust

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

Counterparty Abbreviations:

BNP - BNP Paribus

CSI - Credit Suisse International

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co.
    International PLC

SG - Societe Generale

Currency Abbreviations:

GBP - British Pound

HKD - Hong Kong Dollar

NOK - Norwegian Krone

SGD - Singapore Dollar

USD - United States Dollar

ZAR - South African Rand

See accompanying notes to the financial statements. 23

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2013 (Unaudited)

	Emerging Countries Fund		Emerging Domestic Opportunities Fund		Emerging Markets Fund		Taiwan Fund
Assets:
Investments in unaffiliated issuers, at value (Note 2)(a)	$	76,417,585	$	2,080,465,391	$	8,432,860,100	$	141,960,199
Investments in affiliated issuers, at value (Notes 2 and 10)(b)		285,029		81,720,507		405,204		677
Foreign currency, at value (Note 2)(c)		246,130		1,921,701		41,296,487		5,110,193
Receivable for investments sold		637,279		246,702,836		179,515,269		2,017,431
Receivable for Fund shares sold		11,037		—		1,830,000		—
Dividends receivable		391,286		8,452,611		33,055,021		659,972
Foreign taxes receivable		224,106		164,851		2,688,067		—
Receivable for open OTC swap contracts (Note 4)		—		12,757,802		—		—
Due from broker (Note 4)		—		6,210,000		5,910,000		—
Receivable for expenses reimbursed and/or waived by Manager (Note 5)		31		16,864		241,080		—
Miscellaneous receivable		29		5,855		665,911		467
Total assets		78,212,512		2,438,418,418		8,698,467,139		149,748,939
Liabilities:
Payable for investments purchased		557,791		228,441,328		114,031,753		5,806,941
Payable for Fund shares repurchased		57,930		—		20,308,601		—
Accrued capital gain taxes payable (Note 2)		—		—		4,818		—
Due to Investment Adviser		24,829		—		—		—
Payable to affiliate for (Note 5):
Management fee		43,463		1,471,718		5,558,428		81,925
Shareholder service fee		8,181		242,657		713,032		15,172
Administration fee – Class M		2,468		—		—		—
Payable for 12b-1 fee – Class M		6,161		—		—		—
Payable for foreign currency purchased		1,063		303,436		68,429		1,988
Payable for open OTC swap contracts (Note 4)		—		1,997,493		3,446,028		—
Miscellaneous payable		—		—		994,400		—
Payable to agents unaffiliated with the Manager		31		279		1,209		5
Payable to Trustees and related expenses		280		1,612		16,085		31
Accrued expenses		313,886		536,672		5,346,261		97,033
Total liabilities		1,016,083		232,995,195		150,489,044		6,003,095
Net assets	$	77,196,429	$	2,205,423,223	$	8,547,978,095	$	143,745,844
(a)      Cost of investments – unaffiliated issuers:	$	86,002,028	$	2,167,333,010	$	9,359,744,135	$	144,026,640
(b)      Cost of investments – affiliated issuers:	$	285,029	$	81,720,509	$	405,206	$	677
(c)      Cost of foreign currency:	$	246,103	$	1,960,388	$	41,378,413	$	5,108,626

24 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2013 (Unaudited) — (Continued)

	Emerging Countries Fund			Emerging Domestic Opportunities Fund			Emerging Markets Fund			Taiwan Fund
Net assets consist of:
Paid-in capital	$	119,152,715		$	2,207,720,594		$	9,891,656,966		$	149,755,008
Accumulated undistributed net investment income		1,059,746			23,300,215			171,555,822			1,560,719
Accumulated net realized gain (loss)		(33,431,286	)		50,798,454			(585,392,388	)		(5,497,583	)
Net unrealized appreciation (depreciation)		(9,584,746	)		(76,396,040	)		(929,842,305	)		(2,072,300	)
	$	77,196,429		$	2,205,423,223		$	8,547,978,095		$	143,745,844
Net assets attributable to:
Class II shares	$	—		$	482,575,558		$	1,425,140,063		$	—
Class III shares	$	62,780,760		$	360,332,783		$	561,994,070		$	143,745,844
Class IV shares	$	—		$	750,424,094		$	929,594,489		$	—
Class V shares	$	—		$	—		$	554,764,901		$	—
Class VI shares	$	—		$	612,090,788		$	5,076,484,572		$	—
Class M shares	$	14,415,669		$	—		$	—		$	—
Shares outstanding:
Class II		—			21,278,713			137,227,549			—
Class III		6,847,578			15,892,816			53,960,465			6,920,048
Class IV		—			33,071,608			89,950,181			—
Class V		—			—			53,747,290			—
Class VI		—			26,913,287			490,875,704			—
Class M		1,596,818			—			—			—
Net asset value per share:
Class II	$	—		$	22.68		$	10.39		$	—
Class III	$	9.17		$	22.67		$	10.41		$	20.77
Class IV	$	—		$	22.69		$	10.33		$	—
Class V	$	—		$	—		$	10.32		$	—
Class VI	$	—		$	22.74		$	10.34		$	—
Class M	$	9.03		$	—		$	—		$	—

See accompanying notes to the financial statements. 25

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2013 (Unaudited)

	Emerging Countries Fund			Emerging Domestic Opportunities Fund			Emerging Markets Fund			Taiwan Fund
Investment from unaffiliated issuers income:
Dividends from unaffiliated issuers (Net of withholding tax)(a)	$	2,994,733		$	34,368,075		$	222,548,329		$	2,221,825
Dividends from affiliated issuers (Note 10)		496			40,785			26,276			839
Interest		322			176,716			22,137			329
Total investment income		2,995,551			34,585,576			222,596,742			2,222,993
Expenses:
Management fee (Note 5)		390,352			8,173,162			35,530,376			288,787
Shareholder service fee – Class II (Note 5)		—			526,012			1,875,825			—
Shareholder service fee – Class III (Note 5)		78,573			234,953			517,504			53,479
Shareholder service fee – Class IV (Note 5)		—			378,340			607,655			—
Shareholder service fee – Class V (Note 5)		—			—			258,799			—
Shareholder service fee – Class VI (Note 5)		—			183,482			1,461,100			—
12b-1 fee – Class M (Note 5)		19,180			—			—			—
Administration fee – Class M (Note 5)		15,344			—			—			—
Audit and tax fees		54,648			59,892			103,408			44,179
Custodian and fund accounting agent fees		367,995			887,340			5,837,492			81,880
Legal fees		6,992			21,843			106,168			460
Registration fees		22,460			460			22,024			552
Transfer agent fees		24,196			25,208			37,076			13,708
Trustees fees and related expenses (Note 5)		736			11,269			52,348			278
Miscellaneous		22,734			12,480			56,017			6,486
Total expenses		1,003,210			10,514,441			46,465,792			489,809
Fees and expenses reimbursed by Manager (Note 5)		(263,113	)		(93,196	)		(1,519,624	)		—
Expense reductions (Note 2)		(2	)		(438	)		(38	)		(4	)
Net expenses		740,095			10,420,807			44,946,130			489,805
Net investment income (loss)		2,255,456			24,164,769			177,650,612			1,733,188
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		(8,569,851	)		26,742,114			4,196,711			2,894,942
Investments in affiliated issuers		(1,093	)		3,405			365,667			(1,278	)
Realized gain distributions from affiliated issuers (Note 10)		107			13,063			11,145			41
Swap contracts		—			27,691,078			(11,382,040	)		—
Foreign currency, forward contracts and foreign currency related transactions (net of foreign tax)		(120,426	)		(1,594,728	)		(8,132,922	)		(78,737	)
Net realized gain (loss)		(8,691,263	)		52,854,932			(14,941,439	)		2,814,968
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(11,624,288	)		(256,112,497	)		(1,343,964,562	)		(2,455,782	)
Investments in affiliated issuers		—			(2	)		6,821,306			—
Swap contracts		—			10,760,309			(4,636,141	)		—
Foreign currency, forward contracts and foreign currency related transactions		3,106			(143,843	)		129,192			(5,806	)
Net unrealized gain (loss)		(11,621,182	)		(245,496,033	)		(1,341,650,205	)		(2,461,588	)
Net realized and unrealized gain (loss)		(20,312,445	)		(192,641,101	)		(1,356,591,644	)		353,380
Net increase (decrease) in net assets resulting from operations	$	(18,056,989	)	$	(168,476,332	)	$	(1,178,941,032	)	$	2,086,568
(a)    Withholding tax:	$	428,078		$	3,530,719		$	31,612,531		$	502,492
(b)    Foreign capital gains tax on realized gain:	$	35,276		$	101,033		$	468,706			—

26 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Emerging Countries Fund						Emerging Domestic Opportunities Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,255,456		$	3,175,115		$	24,164,769		$	11,517,084
Net realized gain (loss)		(8,691,263	)		389,248			52,854,932			39,269,669
Change in net unrealized appreciation (depreciation)		(11,621,182	)		(6,901,208	)		(245,496,033	)		119,327,679
Net increase (decrease) in net assets from operations		(18,056,989	)		(3,336,845	)		(168,476,332	)		170,114,432
Distributions to shareholders from:
Net investment income:
Class II		—			—			—			(1,818,077	)
Class III		(1,052,700	)		(2,584,045	)		(30,139	)		(1,254,405	)
Class IV		—			—			(82,013	)		(2,267,159	)
Class VI		—			—			(74,286	)		(4,163,677	)
Class M		(147,400	)		(467,194	)		—			—
Total distributions from net investment income		(1,200,100	)		(3,051,239	)		(186,438	)		(9,503,318	)
Net realized gains:
Class II		—			—			(7,076,924	)		(1,837,653	)
Class III		—			—			(4,587,968	)		(1,110,263	)
Class IV		—			—			(10,563,941	)		(2,011,384	)
Class VI		—			—			(8,885,150	)		(3,696,125	)
Total distributions from net realized gains		—			—			(31,113,983	)		(8,655,425	)
Net share transactions (Note 9):
Class II		—			—			175,682,663			203,458,003
Class III		(54,717,099	)		(17,919,019	)		287,036,644			89,438,256	*
Class IV		—			—			297,628,365			487,790,775	**
Class VI		—			—			8,880,423			159,160,871
Class M		375,429			(15,684,692	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(54,341,670	)		(33,603,711	)		769,228,095			939,847,905
Purchase premiums and redemption fees (Notes 2 and 9):
Class II		—			—			1,724,065			2,331,367
Class III		—			—			2,160,503			1,340,406	*
Class IV		—			—			2,373,942			2,631,471	**
Class VI		—			—			1,534			1,531,907
Increase in net assets resulting from purchase premiums and redemption fees		—			—			6,260,044			7,835,151
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(54,341,670	)		(33,603,711	)		775,488,139			947,683,056
Total increase (decrease) in net assets		(73,598,759	)		(39,991,795	)		575,711,386			1,099,638,745
Net assets:
Beginning of period		150,795,188			190,786,983			1,629,711,837			530,073,092
End of period	$	77,196,429		$	150,795,188		$	2,205,423,223		$	1,629,711,837
Accumulated undistributed net investment income	$	1,059,746		$	4,390		$	23,300,215		$	—
Distributions in excess of net investment income	$	—		$	—		$	—		$	(678,116	)

* Period from June 29, 2012 (commencement of operations) through February 28, 2013.

** Period from May 2, 2012 (commencement of operations) through February 28, 2013.

See accompanying notes to the financial statements. 27

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Emerging Markets Fund						Taiwan Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	177,650,612		$	218,568,651		$	1,733,188		$	1,058,360
Net realized gain (loss)		(14,941,439	)		(59,451,625	)		2,814,968			157,265
Change in net unrealized appreciation (depreciation)		(1,341,650,205	)		(202,095,631	)		(2,461,588	)		(4,165,144	)
Net increase (decrease) in net assets from operations		(1,178,941,032	)		(42,978,605	)		2,086,568			(2,949,519	)
Distributions to shareholders from:
Net investment income
Class II		—			(37,619,189	)		—			—
Class III		—			(21,580,762	)		(292,653	)		(655,033	)
Class IV		—			(35,770,168	)		—			—
Class V		—			(14,966,761	)		—			—
Class VI		—			(121,137,674	)		—			—
Total distributions from net investment income		—			(231,074,554	)		(292,653	)		(655,033	)
Net realized gains
Class III		—			—			—			(1,314,571	)
Total distributions from net realized gains		—			—			—			(1,314,571	)
Net share transactions (Note 9):
Class II		(372,083,467	)		(38,970,340	)		—			—
Class III		(316,670,732	)		(316,691,915	)		85,524,437			(13,897,050	)
Class IV		(404,386,016	)		(282,675,145	)		—			—
Class V		(47,707,594	)		35,367,330			—			—
Class VI		48,346,223			669,170,405			—			—
Increase (decrease) in net assets resulting from net share transactions		(1,092,501,586	)		66,200,335			85,524,437			(13,897,050	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class II		3,264,683			3,849,559			—			—
Class III		2,739,008			865,900			144,863			127,796
Class IV		2,816,429			2,999,721			—			—
Class V		119,708			267,196			—			—
Class VI		3,475,235			10,790,098			—			—
Increase in net assets resulting from purchase premiums and redemption fees		12,415,063			18,772,474			144,863			127,796
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(1,080,086,523	)		84,972,809			85,669,300			(13,769,254	)
Total increase (decrease) in net assets		(2,259,027,555	)		(189,080,350	)		87,463,215			(18,688,377	)
Net assets:
Beginning of period		10,807,005,650			10,996,086,000			56,282,629			74,971,006
End of period	$	8,547,978,095		$	10,807,005,650		$	143,745,844		$	56,282,629
Accumulated undistributed net investment income	$	171,555,822		$	—		$	1,560,719		$	120,184
Distributions in excess of net investment income	$	—		$	(6,094,790	)	$	—		$	—

28 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING COUNTRIES FUND

	Class III Shares																								Class M Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009								2013				2012				2011				2010				2009
Net asset value, beginning of period		$	10.61			$	11.03			$	11.50			$	9.24			$	5.06			$	15.26			$	10.44			$	10.87			$	11.34			$	9.12			$	5.00			$	15.07
Income (loss) from investment operations:
Net investment income (loss)†			0.19				0.20				0.24				0.11				0.09				0.24				0.17				0.17				0.18				0.08				0.07				0.16
Net realized and unrealized gain (loss)			(1.52	)			(0.43	)			(0.50	)(a)			2.28				4.23				(8.10	)			(1.49	)			(0.43	)			(0.47	)			2.24				4.17				(7.92	)
Total from investment operations			(1.33	)			(0.23	)			(0.26	)			2.39				4.32				(7.86	)			(1.32	)			(0.26	)			(0.29	)			2.32				4.24				(7.76	)
Less distributions to shareholders:
From net investment income			(0.11	)			(0.19	)			(0.21	)			(0.13	)			(0.12	)			(0.22	)			(0.09	)			(0.17	)			(0.18	)			(0.10	)			(0.10	)			(0.19	)
From net realized gains			—				—				—				—				(0.02	)			(2.12	)			—				—				—				—				(0.02	)			(2.12	)
Total distributions			(0.11	)			(0.19	)			(0.21	)			(0.13	)			(0.14	)			(2.34	)			(0.09	)			(0.17	)			(0.18	)			(0.10	)			(0.12	)			(2.31	)
Net asset value, end of period		$	9.17			$	10.61			$	11.03			$	11.50			$	9.24			$	5.06			$	9.03			$	10.44			$	10.87			$	11.34			$	9.12			$	5.00
Total Return(b)			(12.52	)%**			(2.05	)%			(1.96	)%			25.89	%			85.52	%			(58.58	)%			(12.59	)%**			(2.42	)%			(2.27	)%			25.48	%			84.90	%			(58.67	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	62,781			$	134,535			$	157,638			$	231,921			$	174,933			$	89,902			$	14,416			$	16,261			$	33,149			$	28,467			$	31,582			$	20,948
Net expenses to average daily net assets			1.19	%(c)(d)*			1.18	%(c)(d)			1.17	%(c)(d)			1.15	%(c)(d)			1.17	%(c)			1.16	%(e)			1.49	%(c)(d)*			1.47	%(c)(d)			1.46	%(c)(d)			1.45	%(c)(d)			1.47	%(c)			1.48	%(e)
Net investment income (loss) to average daily net assets			3.78	%*			1.94	%			2.14	%			1.05	%			1.10	%			2.25	%			3.59	%*			1.73	%			1.63	%			0.80	%			0.83	%			1.68	%
Portfolio turnover rate			66	%**			108	%			113	%			124	%			138	%			128	%			66	%**			108	%			113	%			124	%			138	%			128	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.44	%*			0.21	%			0.14	%			0.15	%			0.25	%			0.14	%			0.42	%*			0.20	%			0.14	%			0.15	%			0.25	%			0.23	%

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

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 29

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND

	Class II Shares												Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28, 2013				Period from March 24, 2011 (commencement of operations) through February 29, 2012				Six Months Ended August 31, 2013 (Unaudited)				Period from June 29, 2012 (commencement of operations) through February 28, 2013
Net asset value, beginning of period		$	24.60			$	21.39			$	20.89			$	24.59			$	21.02
Income (loss) from investment operations:
Net investment income (loss)†			0.26				0.24				0.20				0.28				0.05
Net realized and unrealized gain (loss)			(1.85	)			3.27				0.39	(a)			(1.87	)			3.84
Total from investment operations			(1.59	)			3.51				0.59				(1.59	)			3.89
Less distributions to shareholders:
From net investment income			—				(0.15	)			(0.09	)			(0.00	)(e)			(0.17	)
From net realized gains			(0.33	)			(0.15	)			—				(0.33	)			(0.15	)
Total distributions			(0.33	)			(0.30	)			(0.09	)			(0.33	)			(0.32	)
Net asset value, end of period		$	22.68			$	24.60			$	21.39			$	22.67			$	24.59
Total Return(b)			(6.48	)%**			16.47	%			2.86	%**			(6.48	)%**			18.57	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	482,576			$	352,479			$	112,056			$	360,333			$	104,740
Net expenses to average daily net assets(c)(d)			1.05	%*			1.07	%			1.02	%*			0.98	%*			1.00	%*
Net investment income (loss) to average daily net assets			2.04	%*			1.05	%			1.05	%*			2.23	%*			0.31	%*
Portfolio turnover rate			138	%**			247	%			459	%**††			138	%**			247	%**†††
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.01	%*			0.03	%			0.42	%*			0.01	%*			0.04	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.09			$	0.24			$	0.45			$	0.17			$	0.31
	Class IV Shares								Class VI Shares
	Six Months Ended August 31, 2013 (Unaudited)				Period from May 2, 2012 (commencement of operations) through February 28, 2013				Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28, 2013				Period from September 19, 2011 (commencement of operations) through February 29, 2012
Net asset value, beginning of period		$	24.60			$	22.00			$	24.65			$	21.41			$	20.34
Income (loss) from investment operations:
Net investment income (loss)†			0.28				0.14				0.29				0.34				0.10
Net realized and unrealized gain (loss)			(1.86	)			2.78				(1.87	)			3.22				1.06	(a)
Total from investment operations			(1.58	)			2.92				(1.58	)			3.56				1.16
Less distributions to shareholders:
From net investment income			(0.00	)(e)			(0.17	)			(0.00	)(e)			(0.17	)			(0.09	)
From net realized gains			(0.33	)			(0.15	)			(0.33	)			(0.15	)			—
Total distributions			(0.33	)			(0.32	)			(0.33	)			(0.32	)			(0.09	)
Net asset value, end of period		$	22.69			$	24.60			$	22.74			$	24.65			$	21.41
Total Return(b)			(6.43	)%**			13.34	%**			(6.42	)%**			16.69	%			5.78	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	750,424			$	518,430			$	612,091			$	654,063			$	418,017
Net expenses to average daily net assets(c)(d)			0.94	%*			0.95	%*			0.89	%*			0.90	%			0.87	%*
Net investment income (loss) to average daily net assets			2.23	%*			0.71	%*			2.32	%*			1.50	%			1.10	%*
Portfolio turnover rate			138	%**			247	%**††††			138	%**			247	%			459	%††
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.01	%*			0.04	%*			0.01	%*			0.03	%			0.13	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.08			$	0.28			$	0.00	(f)		$	0.07			$	0.18

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

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) The net expense ratio does not include the effect of expense reductions (Note 2).

^(d) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(e) Distributions from net investment income were less than $0.01 per share.

^(f) Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

†† Calculation represents portfolio turnover of the Fund for the period from March 1, 2011 through February 29, 2012.

††† Calculation represents portfolio turnover of the Fund for the period from June 29, 2012 through February 28, 2013.

†††† Calculation represents portfolio turnover of the Fund for the period from May 2, 2012 through February 28, 2013.

* Annualized.

** Not annualized.

30 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND

	Class II Shares																				Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,												Period from August 12, 2009 (commencement of operations) through February 28, 2010				Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011												2013				2012				2011				2010				2009
Net asset value, beginning of period		$	11.74			$	12.10			$	14.46			$	11.63			$	10.62			$	11.77			$	12.13			$	14.49			$	11.66			$	6.30			$	20.48
Income (loss) from investment operations:
Net investment income (loss)†			0.20				0.22				0.24				0.16				0.02				0.20				0.24				0.26				0.16				0.21				0.23
Net realized and unrealized gain (loss)			(1.55	)			(0.35	)			(0.65	)			2.84				1.18				(1.56	)			(0.36	)			(0.66	)			2.85				5.34				(10.65	)
Total from investment operations			(1.35	)			(0.13	)			(0.41	)			3.00				1.20				(1.36	)			(0.12	)			(0.40	)			3.01				5.55				(10.42	)
Less distributions to shareholders:
From net investment income			—				(0.23	)			(0.21	)			(0.17	)			(0.19	)			—				(0.24	)			(0.22	)			(0.18	)			(0.19	)			(0.13	)
From net realized gains			—				—				(1.74	)			—				—				—				—				(1.74	)			—				—				(3.63	)
Total distributions			—				(0.23	)			(1.95	)			(0.17	)			(0.19	)			—				(0.24	)			(1.96	)			(0.18	)			(0.19	)			(3.76	)
Net asset value, end of period		$	10.39			$	11.74			$	12.10			$	14.46			$	11.63			$	10.41			$	11.77			$	12.13			$	14.49			$	11.66			$	6.30
Total Return(a)			(11.50	)%**			(1.00	)%			(1.94	)%			25.77	%			11.21	%**			(11.55	)%**			(0.96	)%			(1.89	)%			25.80	%			88.05	%			(58.62	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,425,140			$	2,004,694			$	2,100,382			$	2,304,697			$	2,265,637			$	561,994			$	970,102			$	1,334,720			$	1,445,916			$	1,014,490			$	2,309,057
Net expenses to average daily net assets			1.08	%(b)(c)*			1.06	%(b)(c)			1.05	%(b)(c)			1.07	%(b)(c)			1.07	%*			1.03	%(b)(c)*			1.01	%(b)(c)			1.00	%(b)(c)			1.02	%(b)(c)			1.06	%(b)			1.10	%(d)
Net investment income (loss) to average daily net assets			3.57	%*			1.97	%			1.88	%			1.21	%			0.30	%*			3.59	%*			2.12	%			2.00	%			1.17	%			2.25	%			1.77	%
Portfolio turnover rate			42	%**			119	%			108	%			114	%			126	%**††			42	%**			119	%			108	%			114	%			126	%			99	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.03	%*			0.03	%			0.03	%			0.03	%			0.03	%*			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02			$	0.02			$	0.02			$	0.02			$	0.02			$	0.04			$	0.01			$	0.01			$	0.00	(e)		$	0.02			$	0.04

	Class IV Shares																								Class V Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009								2013				2012				2011				2010				2009
Net asset value, beginning of period		$	11.68			$	12.03			$	14.40			$	11.58			$	6.27			$	20.40			$	11.66			$	12.01			$	14.39			$	11.57			$	6.26			$	20.39
Income (loss) from investment operations:
Net investment income (loss)†			0.20				0.22				0.26				0.17				0.16				0.25				0.21				0.25				0.26				0.15				0.20				0.22
Net realized and unrealized gain (loss)			(1.55	)			(0.32	)			(0.67	)			2.83				5.36				(10.62	)			(1.55	)			(0.35	)			(0.67	)			2.86				5.32				(10.58	)
Total from investment operations			(1.35	)			(0.10	)			(0.41	)			3.00				5.52				(10.37	)			(1.34	)			(0.10	)			(0.41	)			3.01				5.52				(10.36	)
Less distributions to shareholders:
From net investment income			—				(0.25	)			(0.22	)			(0.18	)			(0.21	)			(0.13	)			—				(0.25	)			(0.23	)			(0.19	)			(0.21	)			(0.14	)
From net realized gains			—				—				(1.74	)			—				—				(3.63	)			—				—				(1.74	)			—				—				(3.63	)
Total distributions			—				(0.25	)			(1.96	)			(0.18	)			(0.21	)			(3.76	)			—				(0.25	)			(1.97	)			(0.19	)			(0.21	)			(3.77	)
Net asset value, end of period		$	10.33			$	11.68			$	12.03			$	14.40			$	11.58			$	6.27			$	10.32			$	11.66			$	12.01			$	14.39			$	11.57			$	6.26
Total Return(a)			(11.56	)%**			(0.81	)%			(1.90	)%			25.93	%			88.05	%			(58.59	)%			(11.49	)%**			(0.78	)%			(1.92	)%			26.03	%			88.21	%			(58.59	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	929,594			$	1,481,411			$	1,816,285			$	1,649,840			$	1,639,961			$	1,345,811			$	554,765			$	677,796			$	662,263			$	835,561			$	367,836			$	795,586
Net expenses to average daily net assets			0.98	%(b)(c)*			0.96	%(b)(c)			0.95	%(b)(c)			0.97	%(b)(c)			0.99	%(b)			1.06	%(d)			0.93	%(b)(c)*			0.91	%(b)(c)			0.90	%(b)(c)			0.93	%(b)(c)			0.98	%(b)			1.03	%(d)
Net investment income (loss) to average daily net assets			3.65	%*			1.99	%			2.00	%			1.29	%			1.54	%			1.86	%			3.81	%*			2.25	%			2.03	%			1.15	%			2.12	%			1.81	%
Portfolio turnover rate			42	%**			119	%			108	%			114	%			126	%			99	%			42	%**			119	%			108	%			114	%			126	%			99	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%			0.04	%*			0.04	%			0.04	%			0.04	%			0.03	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.03			$	0.02			$	0.02			$	0.01			$	0.02			$	0.04			$	0.00	(e)		$	0.00	(e)		$	0.00	(e)		$	0.01			$	0.01			$	0.05

^(a)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(b)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

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

^(e)  Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

†† Calculation represents portfolio turnover of the Fund for the six months ended August 31, 2009.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 31

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	11.68			$	12.04			$	14.41			$	11.59			$	6.27			$	20.42
Income (loss) from investment operations:
Net investment income (loss)†			0.21				0.24				0.27				0.17				0.13				0.23
Net realized and unrealized gain (loss)			(1.55	)			(0.34	)			(0.67	)			2.84				5.41				(10.61	)
Total from investment operations			(1.34	)			(0.10	)			(0.40	)			3.01				5.54				(10.38	)
Less distributions to shareholders:
From net investment income			—				(0.26	)			(0.23	)			(0.19	)			(0.22	)			(0.14	)
From net realized gains			—				—				(1.74	)			—				—				(3.63	)
Total distributions			—				(0.26	)			(1.97	)			(0.19	)			(0.22	)			(3.77	)
Net asset value, end of period		$	10.34			$	11.68			$	12.04			$	14.41			$	11.59			$	6.27
Total Return(a)			(11.47	)%**			(0.82	)%			(1.81	)%			26.01	%			88.34	%			(58.61	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	5,076,485			$	5,673,002			$	5,082,437			$	5,800,427			$	3,836,631			$	1,226,252
Net expenses to average daily net assets			0.90	%(b)(c)*			0.88	%(b)(c)			0.87	%(b)(c)			0.89	%(b)(c)			0.91	%(b)			1.00	%(d)
Net investment income (loss) to average daily net assets			3.84	%*			2.12	%			2.11	%			1.29	%			1.18	%			1.83	%
Portfolio turnover rate			42	%**			119	%			108	%			114	%			126	%			99	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.04	%*			0.04	%			0.04	%			0.04	%			0.04	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.02			$	0.02			$	0.03			$	0.02			$	0.07

^(a)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(b)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

32 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

TAIWAN FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	20.43			$	21.60			$	23.85			$	17.75			$	11.06			$	22.42
Income (loss) from investment operations:
Net investment income (loss)†			0.51				0.34				0.73				0.16				0.25				0.59
Net realized and unrealized gain (loss)			(0.07	)(a)			(0.87	)(a)			(1.04	)			6.30				6.89	(a)			(10.80	)
Total from investment operations			0.44				(0.53	)			(0.31	)			6.46				7.14				(10.21	)
Less distributions to shareholders:
From net investment income			(0.10	)			(0.23	)			(1.09	)			(0.36	)			(0.45	)			(0.30	)
From net realized gains			—				(0.41	)			(0.85	)			—				—				(0.85	)
Total distributions			(0.10	)			(0.64	)			(1.94	)			(0.36	)			(0.45	)			(1.15	)
Net asset value, end of period		$	20.77			$	20.43			$	21.60			$	23.85			$	17.75			$	11.06
Total Return(b)			2.17	%**			(2.25	)%			0.15	%			36.71	%			64.80	%			(47.14	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	143,746			$	56,283			$	74,971			$	146,857			$	91,176			$	100,176
Net expenses to average daily net assets			1.37	%(c)(d)*			1.38	%(c)(d)			1.36	%(d)			1.33	%			1.35	%(c)(d)			1.32	%(c)
Net investment income (loss) to average daily net assets			4.86	%*			1.71	%			3.16	%			0.78	%			1.55	%			3.42	%
Portfolio turnover rate			196	%**			156	%			105	%			129	%			106	%			88	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			—				0.00	%(e)			—				—				—				—
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):		$	0.04			$	0.04			$	0.08			$	0.09			$	0.06			$	0.03

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

^(b)  Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing and redeeming Fund shares and assumes the effect of reinvested distributions.

^(c)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(e)  Ratio is less than 0.1%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 33

GMO Trust Funds

Notes to Financial Statements

August 31, 2013 (Unaudited)

1. Organization

Each of Emerging Countries Fund, Emerging Domestic Opportunities Fund, Emerging Markets Fund, and Taiwan Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”).

The Funds may invest in U.S. Treasury Fund and unaffiliated money market funds.

The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):

Fund Name	Benchmark	Principal Investment Objective
Emerging Countries Fund	S&P/IFCI Composite	Total return in excess of benchmark
Emerging Domestic Opportunities Fund	Not Applicable	Total return
Emerging Markets Fund	S&P/IFCI Composite	Total return in excess of benchmark
Taiwan Fund	MSCI Taiwan Index	Total return in excess of benchmark

Emerging Countries Fund and Taiwan Fund currently limit subscriptions.

2. Significant accounting policies

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

Portfolio valuation

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. Cleared derivatives are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. 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 most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular 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 August 31, 2013, 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 Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that close 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 those derivatives closes prior to the close of the NYSE). In those cases, the value will generally 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 inputs obtained from that independent pricing service as of August 31, 2013. These securities listed on foreign

34

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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 Level 2 (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 fair valued using inputs obtained from an independent pricing service and presented in the table below on a net basis. The net aggregate direct and/or indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2013 is as follows:

Securities and Derivatives

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
Emerging Countries Fund		< 1%			72%
Emerging Domestic Opportunities Fund		1%			60%
Emerging Markets Fund		< 1%			77%
Taiwan Fund		0%	*		91%

* Represents an interest in securities that were determined to have a fair value of zero at August 31, 2013.

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 into 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 the 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 (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 August 31, 2013, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

The three levels are defined as follows:

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 60 days or less valued at amortized cost; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; 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.

35

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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 valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; 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 equity securities valued based on the last traded exchange price adjusted for the movement in a securities index; and certain securities that are valued using a price from a comparable security related to the same issuer.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2013:

Description	Level 1		Level 2		Level 3			Total
Emerging Countries Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	5,961,086	$	—	$	—		$	5,961,086
China		1,062,210		8,906,170		—			9,968,380
Czech Republic		—		1,680,235		—			1,680,235
Egypt		—		859,357		—			859,357
France		—		190,813		—			190,813
Hungary		—		57,974		—			57,974
India		387,419		2,765,453		—			3,152,872
Indonesia		548,488		3,472,782		—			4,021,270
Malaysia		—		516,045		—			516,045
Mexico		1,532,275		—		—			1,532,275
Morocco		—		153,836		—			153,836
Norway		—		30,375		—			30,375
Peru		747,367		—		—			747,367
Philippines		—		827,619		—			827,619
Poland		—		1,805,107		—			1,805,107
Russia		506,323		7,580,508		—			8,086,831
South Africa		62,918		1,862,302		—			1,925,220
South Korea		1,767,010		13,586,273		—			15,353,283
Taiwan		435,528		4,743,337		0	*		5,178,865
Thailand		—		2,778,879		229,206			3,008,085
Turkey		7,896		968,820		—			976,716
United Kingdom		20,637		288,689		—			309,326
United States		271,724		—		—			271,724
TOTAL COMMON STOCKS		13,310,881		53,074,574		229,206			66,614,661
Preferred Stocks
Brazil		4,570,397		—		—			4,570,397
Russia		—		2,203,628		—			2,203,628
South Korea		—		476,728		—			476,728
TOTAL PREFERRED STOCKS		4,570,397		2,680,356		—			7,250,753
Investment Funds
United States		2,414,057		—		—			2,414,057
TOTAL INVESTMENT FUNDS		2,414,057		—		—			2,414,057
Mutual Funds
United States		285,029		—		—			285,029
TOTAL MUTUAL FUNDS		285,029		—		—			285,029
Short-Term Investments		138,114		—		—			138,114
Total Investments		20,718,478		55,754,930		229,206			76,702,614
Total	$	20,718,478	$	55,754,930	$	229,206		$	76,702,614

36

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Description	Level 1		Level 2			Level 3		Total
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	50,363,790	$	—		$	—	$	50,363,790
China		157,909,572		150,151,671			—		308,061,243
France		—		103,830,757			—		103,830,757
India		—		53,589,137			—		53,589,137
Indonesia		—		82,968,061			—		82,968,061
Malaysia		—		49,161,033			—		49,161,033
Mexico		65,870,685		—			—		65,870,685
Nigeria		—		13,366,289			—		13,366,289
Norway		—		18,802,743			—		18,802,743
Panama		73,223,722		—			—		73,223,722
Philippines		4,773,422		111,799,190			—		116,572,612
Qatar		—		13,702,833			—		13,702,833
Russia		70,741,668		65,342,860			—		136,084,528
South Africa		—		38,125,609			—		38,125,609
South Korea		—		50,248,845			—		50,248,845
Switzerland		—		38,257,260			—		38,257,260
Taiwan		—		19,311,128			—		19,311,128
Thailand		—		191,357,416			30,129,098		221,486,514
Turkey		—		66,829,441			—		66,829,441
United Kingdom		12,113,195		205,303,943			—		217,417,138
United States		243,514,783		—			—		243,514,783
Vietnam		—		9,036,170			—		9,036,170
TOTAL COMMON STOCKS		678,510,837		1,281,184,386			30,129,098		1,989,824,321
Preferred Stocks
Brazil		27,061,245		—			—		27,061,245
Russia		—		19,585,476			—		19,585,476
TOTAL PREFERRED STOCKS		27,061,245		19,585,476			—		46,646,721
Investment Funds
China		19,703,664		—			—		19,703,664
Thailand		—		4,191,361			—		4,191,361
TOTAL INVESTMENT FUNDS		19,703,664		4,191,361			—		23,895,025
Debt Obligations
India		—		6,255,482			—		6,255,482
TOTAL DEBT OBLIGATIONS		—		6,255,482			—		6,255,482
Mutual Funds
United States		81,720,507		—			—		81,720,507
TOTAL MUTUAL FUNDS		81,720,507		—			—		81,720,507
Short-Term Investments		13,843,842		—			—		13,843,842
Total Investments		820,840,095		1,311,216,705			30,129,098		2,162,185,898
Derivatives**
Swap Contracts
Equity risk		—		12,757,802			—		12,757,802
Total	$	820,840,095	$	1,323,974,507		$	30,129,098	$	2,174,943,700
Liability Valuation Inputs
Derivatives**
Swap Contracts
Equity risk	$	—	$	(1,997,493	)	$	—	$	(1,997,493	)
Total	$	—	$	(1,997,493	)	$	—	$	(1,997,493	)

37

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Description	Level 1		Level 2		Level 3			Total
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	553,603,334	$	—	$	—		$	553,603,334
China		113,117,553		1,512,996,955		0	*		1,626,114,508
Czech Republic		—		122,535,619		—			122,535,619
Egypt		—		59,196,519		—			59,196,519
France		—		19,575,387		—			19,575,387
Hungary		—		7,749,927		—			7,749,927
India		55,347,147		259,375,246		6,448,000			321,170,393
Indonesia		29,640,588		342,746,404		241,070			372,628,062
Malaysia		—		50,246,282		—			50,246,282
Mexico		195,640,005		—		—			195,640,005
Morocco		—		2,998,134		—			2,998,134
Nigeria		—		3,011,841		—			3,011,841
Norway		—		5,084,238		—			5,084,238
Panama		37,463,500		—		—			37,463,500
Peru		77,540,398		—		—			77,540,398
Philippines		6,139,375		78,361,098		—			84,500,473
Poland		—		153,009,104		—			153,009,104
Qatar		—		3,081,007		—			3,081,007
Russia		54,757,724		931,467,103		—			986,224,827
South Africa		13,972,991		240,823,725		—			254,796,716
South Korea		73,954,963		1,398,415,057		—			1,472,370,020
Sri Lanka		2,843,103		—		—			2,843,103
Taiwan		36,670,288		627,785,591		—			664,455,879
Thailand		—		329,662,406		14,105,860			343,768,266
Turkey		811,972		136,216,799		0	*		137,028,771
United Kingdom		4,067,292		28,840,656		—			32,907,948
United States		27,510,298		—		—			27,510,298
Vietnam		—		2,964,988		—			2,964,988
TOTAL COMMON STOCKS		1,283,080,531		6,316,144,086		20,794,930			7,620,019,547
Preferred Stocks
Brazil		459,394,860		—		—			459,394,860
Russia		80,102		215,438,841		—			215,518,943
South Korea		—		75,404,468		—			75,404,468
TOTAL PREFERRED STOCKS		459,474,962		290,843,309		—			750,318,271
Investment Funds
China		—		—		2,287,988			2,287,988
India		—		—		8,120,589			8,120,589
Poland		—		—		200,654			200,654
Russia		—		—		5,855,221			5,855,221
Thailand		—		1,268,535		—			1,268,535
Ukraine		—		—		4,000			4,000
United States		39,635,740		—		—			39,635,740
TOTAL INVESTMENT FUNDS		39,635,740		1,268,535		16,468,452			57,372,727
Mutual Funds
United States		405,204		—		—			405,204
TOTAL MUTUAL FUNDS		405,204		—		—			405,204
Short-Term Investments		5,149,555		—		—			5,149,555
Total Investments	$	1,787,745,992	$	6,608,255,930	$	37,263,382		$	8,433,265,304

38

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Description	Level 1		Level 2			Level 3			Total
Emerging Markets Fund (continued)
Liability Valuation Inputs
Derivatives**
Swap Contracts
Equity risk	$	—	$	(3,446,028	)	$	—		$	(3,446,028	)
Total	$	—	$	(3,446,028	)	$	—		$	(3,446,028	)
Taiwan Fund
Asset Valuation Inputs
Common Stocks
Taiwan	$	8,406,252	$	130,171,341		$	0	*	$	138,577,593
TOTAL COMMON STOCKS		8,406,252		130,171,341			0	*		138,577,593
Investment Funds
United States		3,075,907		—			—			3,075,907
TOTAL INVESTMENT FUNDS		3,075,907		—			—			3,075,907
Mutual Funds
United States		677		—			—			677
TOTAL MUTUAL FUNDS		677		—			—			677
Short-Term Investments		306,699		—			—			306,699
Total Investments		11,789,535		130,171,341			0	*		141,960,876
Total	$	11,789,535	$	130,171,341		$	0	*	$	141,960,876

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.

* Represents an interest in securities that were determined to have a fair value of zero at August 31, 2013.

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

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ Notes to Financial Statements.

For all Funds for the period ended August 31, 2013, 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:

	Balances as of February 28, 2013			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 August 31, 2013			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2013
Emerging Countries Fund
Common Stocks
India	$	250,834		$	15,822	$	(234,358	)	$	—	$	(29,347	)	$	(2,951	)	$	—	$	—		$	—		$	—
Taiwan		0	***		—		—			—		—			—			—		—			0	***		—
Thailand		1,035,503			54,645		(712,000	)		—		285,625			(418,809	)		—		(15,758	)**		229,206			(368,344	)
Total	$	1,286,337		$	70,467	$	(946,358	)	$	—	$	256,278		$	(421,760	)	$	—	$	(15,758	)	$	229,206		$	(368,344	)

39

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Balances as of February 28, 2013		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 August 31, 2013		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2013
Emerging Domestic Opportunities Fund
Common Stocks
Thailand	$	44,535,710	$	13,843,075	$	(25,351,812	)	$	—	$	7,406,907		$	(8,541,872	)	$	—		$	(1,762,910	)**	$	30,129,098	$	287,886
Total	$	44,535,710	$	13,843,075	$	(25,351,812	)	$	—	$	7,406,907		$	(8,541,872	)	$	—		$	(1,762,910	)	$	30,129,098	$	287,886
Emerging Markets Fund
Common Stocks
India	$	25,023,685	$	5,246,505	$	(12,671,684	)	$	—	$	(1,302,631	)	$	(8,218,564	)	$	—		$	(1,629,311	)**	$	6,448,000	$	(5,947,165	)
Indonesia		—		—		—			—		—			—			241,070	**		—			241,070		—
Russia		1,350		—		(224,617	)		—		(945,383	)		1,168,650			—			—			—		—
South Korea		3,724,493		—		(2,892,541	)		—		(6,926,403	)		6,094,451			—			—			—		—
Sri Lanka		1,645,629		—		(1,890,310	)		—		—			244,681			—			—			—		—
Thailand		56,616,814		750,301		(35,705,945	)		—		15,946,362			(23,034,256	)		—			(467,416	)**		14,105,860		(16,533,343	)
Total Common Stocks	$	87,011,971	$	5,996,806	$	(53,385,097	)	$	—	$	6,771,945		$	(23,745,038	)	$	241,070		$	(2,096,727	)	$	20,794,930	$	(22,480,508	)
Investment Funds
China	$	2,254,617	$	—	$	—		$	—	$	—		$	33,371		$	—		$	—		$	2,287,988	$	33,371
India		11,315,764		—		(512,228	)		—		(160,882	)		(2,522,065	)		—			—			8,120,589		(2,522,065	)
Poland		208,208		—		—			—		—			(7,554	)		—			—			200,654		(7,554	)
Russia		7,265,136		—		(99,896	)		—		(11,372	)		(1,298,647	)		—			—			5,855,221		(1,298,647	)
Ukraine		4,000		—		—			—		—			—			—			—			4,000		—
Total Investment Funds		21,047,725		—		(612,124	)		—		(172,254	)		(3,794,895	)		—			—			16,468,452		(3,794,895	)
Total	$	108,059,696	$	5,996,806	$	(53,997,221	)	$	—	$	6,599,691		$	(27,539,933	)	$	241,070		$	(2,096,727	)	$	37,263,382	$	(26,275,403	)

* The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period.

** Financial assets transferred between Level 2 and Level 3, if any, were due to a change in observable and/or unobservable inputs.

*** Represents an interest in securities that were determined to have a fair value of zero at February 28, 2013 and August 31, 2013.

The net aggregate direct and/or indirect exposure to investments in securities using Level 3 inputs (based on the Funds’ net assets) as of August 31, 2013 were as follows:

Fund Name	Level 3 securities
Emerging Countries Fund		< 1%
Emerging Domestic Opportunities Fund		1%
Emerging Markets Fund		< 1%
Taiwan Fund		< 1%	*

* Represents the interest in securities that were determined to have a fair value of zero at August 31, 2013.

Cash

Cash and Foreign Currency, if any, on the Statements of Assets and Liabilities consists of cash balances held with the custodian.

40

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Due to/from broker

Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark to market amounts related to foreign currency.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. Dollars at the close of regular trading on the NYSE, generally at 4:00 pm 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 on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Taxes and distributions

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

Each Fund’s policy is to declare and pay distributions of its net investment income, if any, semi-annually. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. Typically, distributions are reinvested in additional shares of each Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

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

Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2013, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.

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

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

As of February 28, 2013, the Funds listed below elected to defer to March 1, 2013 late-year ordinary losses as follows:

Fund Name	Late-Year Ordinary Losses ($)
Emerging Countries Fund		(34,100)
Taiwan Fund		(142,320)

As of February 28, 2013, the Funds listed below had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused.

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Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses and losses realized subsequent to February 28, 2013, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

	Short-Term ($)				Total Short- Term ($)		Long- Term ($)
Fund Name	Expiration Date 2/28/2018		No Expiration Date				No Expiration Date
Emerging Countries Fund		(17,038,014)		(3,296,764)		(20,334,778)		—
Emerging Markets Fund		—		(275,866,167)		(275,866,167)		(68,905,064)
Taiwan Fund		—		(4,972,468)		(4,972,468)		—

As of August 31, 2013, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:

Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Emerging Countries Fund		89,884,201		3,428,780		(16,610,367)		(13,181,587)
Emerging Domestic Opportunities Fund		2,258,103,859		82,764,120		(178,682,081)		(95,917,961)
Emerging Markets Fund		9,566,626,441		419,829,934		(1,553,191,071)		(1,133,361,137)
Taiwan Fund		146,391,701		2,562,290		(6,993,115)		(4,430,825)

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual Fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, 12b-1 and administration fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

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Brown Brothers Harriman & Co. (“BBH”) serves as the Funds’ custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Funds’ transfer agent. State Street’s transfer agent fees may be reduced by an earnings allowance calculated on the average daily cash balances each Fund maintains in a State Street transfer agent account. Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.

Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions). If the Manager determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. The Manager also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

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

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

As of August 31, 2013, the premium on cash purchases and the fee on cash redemptions were as follows:

	Emerging Countries Fund	Emerging Domestic Opportunities Fund	Emerging Markets Fund	Taiwan Fund
Purchase Premium	—	0.80%	0.80%	0.15%
Redemption Fee	—	0.80%	0.80%	0.45%

Other matters

Emerging Markets Fund (“EMF”)

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 0.09% of the Fund’s total net assets as of August 31, 2013. 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.

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3. Investment and other risks

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.

	Emerging Countries Fund	Emerging Domestic Opportunities Fund	Emerging Markets Fund	Taiwan Fund
Market Risk – Equities	X	X	X	X
Liquidity Risk	X	X	X	X
Smaller Company Risk	X	X	X	X
Derivatives Risk	X	X	X	X
Non-U.S. Investment Risk	X	X	X	X
Currency Risk	X	X	X	X
Focused Investment Risk	X	X	X	X
Leveraging Risk	X	X	X	X
Counterparty Risk	X	X	X	X
Market Disruption and Geopolitical Risk	X	X	X	X
Large Shareholder Risk	X	X	X	X
Management and Operational Risk	X	X	X	X
Fund of Funds Risk	X	X	X	X
Non-Diversified Funds	X	X	X	X

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:

Equities. Funds that invest in equities run the risk that the market prices of those investments will decline. The market prices of equities may decline for reasons that directly relate to the issuing company, such as poor management performance or reduced demand for its goods or services. They 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

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rates, or adverse investor sentiment generally. Equities generally have significant price volatility, and the market prices of equities can decline in a rapid or unpredictable manner.

The Funds invest a substantial portion of their assets in equities, and as a result, declines in stock market prices generally are likely to reduce the net asset values of the Funds’ shares.

If a Fund purchases equities 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 or will decline for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments.

The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

• 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. In addition to these risks, a Fund is 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, 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, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by 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 market prices 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 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. Derivatives include futures, non-U.S. currency contracts, swap contracts, 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, 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 consent of 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, a Fund often will not receive the collateral the day the collateral is called for.

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 in which it has invested.

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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.

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.

Swap contracts 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.

A Fund’s use of derivatives may be subject to one or more special tax rules and could generate additional taxable income for shareholders.

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 (and many of the rules are not yet final), its ultimate impact remains unclear.

Under recently adopted rules and regulations, transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds will hold cleared derivatives through accounts at clearing members. In cleared derivatives transactions, the Funds will make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In many ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements. For example, the Funds may be required to provide more margin for cleared derivatives transactions than for bilateral derivatives transactions. Also, in contrast to a bilateral derivatives transaction, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives transaction at any time or an increase in margin requirements above the margin that the clearing member required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions or to terminate those transactions at any time. Any increase in margin requirements or termination of existing cleared derivatives transactions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member, because (as described under “Counterparty Risk” below) margin for cleared derivatives transactions in excess of a clearing house’s margin requirements typically is held by the clearing member. Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of the transaction, including loss of an increase in the value of the transaction and/or loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent.

These and other new rules and regulations could, among other things, further 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, increasing margin or capital requirements, or otherwise limiting liquidity or increasing transaction costs. These regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that the new clearing mechanisms will achieve that result, and in the meantime, as noted above, central clearing exposes the Funds to new kinds of risks and costs.

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• 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. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).

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. investments, (ii) transactions in those investments and (iii) the repatriation of proceeds generated from the sale of those investments. A Fund may seek to collect a refund on taxes paid to a non-U.S. country. In those cases, all or a portion of those taxes could ultimately be recovered by a Fund. However, the recovery process could take several years and the Fund will incur expenses in its efforts to collect the refund, which will reduce the benefit of any recovery. A Fund’s efforts to collect a refund may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to pursue a refund is in its sole discretion, and it may decide not to pursue a refund, even if eligible.

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).

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

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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), or in securities from issuers with high positive correlations to one another (such as U.S. Treasury Fund’s investments in securities issued by the U.S. Treasury and other fixed income securities that are backed by the full faith and credit of the U.S. government), 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 price 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.

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 Japan) 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 country are vulnerable to events affecting other companies 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.

• 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 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.

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.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or 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. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties maintain a specific rating by a nationally recognized rating organization 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 and subsequent market disruptions.

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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 a 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 longer time that events may occur that 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 contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts 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 derivatives will be affected by new rules and regulations affecting the derivatives market. As described under “Derivatives Risk” above, some derivatives transactions are required to be centrally 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 derivatives transaction. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. A clearing member is obligated by contract and by applicable regulation to segregate all funds received from customers with respect to cleared derivatives transactions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing member from its customers with respect to cleared derivatives are generally held by the clearing member on a commingled basis in an omnibus account, and the clearing member may invest those funds in certain instruments permitted under the applicable regulations. Therefore, a Fund might not be fully protected in the event of the bankruptcy of a Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing member’s customers for a relevant account class. Also, the clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives, which amounts are generally held in an omnibus account at the clearing house for all customers of the clearing member. Regulations promulgated by the Commodities Futures Trading Commission require that the clearing member notify the clearing house of the initial margin provided by the clearing member to the clearing house that is attributable to each customer. However, if the clearing member does not accurately report the Funds’ initial margin, the Funds are subject to the risk that a clearing house will use a Fund’s assets held in an omnibus account at the clearing house to satisfy payment obligations of a defaulting customer of the clearing member to the clearing house. In addition, clearing members generally provide the clearing house the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than individually for each customer. The Funds are therefore subject to the risk that a clearing house will not make variation margin payments owed to a Fund if another customer of the clearing member has suffered a loss and is in default, and the risk that a Fund will be required to provide additional variation margin to the clearing house before the clearing house will move the Fund’s cleared derivatives transactions to another clearing member. In addition, if a clearing member does not comply with the applicable regulations or its agreement with the Funds, or in the event of fraud or misappropriation of customer assets by a clearing member, a Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the margin held by the clearing member.

• 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. Securities markets may be susceptible to market manipulation (e.g., the potential manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or adversely affect the value of investments traded in these markets, including investments of the Funds. While the U.S. government has honored its credit obligations continuously for the last 200 years, it remains possible that the U.S. could default on its obligations. While it is impossible to predict the consequences of such an unprecedented event, it is likely that a default by the U.S. would be highly disruptive to the U.S. and global securities markets and could significantly impair the value of the Funds’ investments. Similarly, political events within the U.S. at times have resulted, and may in the future result, in a shutdown of government services, which could negatively affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. The uncertainty surrounding the sovereign debt of a significant number of European Union countries 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, the world’s securities markets likely will be significantly disrupted.

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Substantial government interventions (e.g., currency controls) also 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 market disruption may adversely affect the orderly functioning of the securities markets and 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. To the extent that a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events could have a disproportionate impact on the 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 the shares of many Funds, and asset allocation decisions by the Manager may result in substantial redemptions from (or investments in) 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, by necessitating a sale of portfolio securities, accelerate the realization of taxable gains to shareholders. 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, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement a Fund’s strategies. 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 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 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. Many of the Funds that invest in shares of other GMO Funds are subject indirectly to Large Shareholder Risk because those other GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk” above.

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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 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:

• Emerging Countries Fund

• Emerging Domestic Opportunities Fund

• Emerging Markets Fund

• Taiwan Fund

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.

4. Derivative financial instruments

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

The 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 contracts 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 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.

Certain derivatives transactions used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions through clearing members, who are members of derivatives clearing houses. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing members generally can require termination of existing cleared derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject

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to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

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 “Investment and other risks” above for further information.

For Funds that held derivatives during the period ended August 31, 2013, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Emerging Countries Fund		Emerging Domestic Opportunities Fund		Emerging Markets Fund		Taiwan Fund
Swap contracts
To achieve returns comparable to holding and lending a direct equity position				X		X
As a substitute for direct investment in securities				X		X
Rights and/or warrants
Received as a result of corporate actions		X				X		X

Forward currency contracts

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.

Futures contracts

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 (and if 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, 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 as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the 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

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

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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 in the Statements of Operations.

Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if 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, 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.

Swap contracts

The Funds may enter into various types of swap contracts, 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 contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract 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 contract 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 contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.

Interest rate swap contracts 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 contracts 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 futures 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 contract, 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 contracts 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 contracts 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.

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Variance swap contracts 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 OTC swap contracts 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 in the Statements of Operations. Gains or losses are realized upon termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

The values assigned to swap contracts may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. 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 contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

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 valuations of derivative instruments categorized by risk exposure:

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2013 and the Statements of Operations for the period ended August 31, 2013^:

	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Emerging Countries Fund
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	(1,704	)	$	—	$	—	$	—	$	(1,704	)
Total	$	—	$	(1,704	)	$	—	$	—	$	—	$	(1,704	)
Emerging Domestic Opportunities Fund
Asset:
Unrealized Appreciation on Swap Contracts	$	—	$	12,757,802		$	—	$	—	$	—	$	12,757,802
Total	$	—	$	12,757,802		$	—	$	—	$	—	$	12,757,802
Derivatives not subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	12,757,802		$	—	$	—	$	—	$	12,757,802

54

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Emerging Domestic Opportunities Fund (continued)
Liability:
Unrealized Depreciation on Swap Contracts	$	—	$	(1,997,493	)	$	—	$	—	$	—	$	(1,997,493	)
Total	$	—	$	(1,997,493	)	$	—	$	—	$	—	$	(1,997,493	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	(1,997,493	)	$	—	$	—	$	—	$	(1,997,493	)
Net Realized Gain (Loss) on:
Swap Contracts	$	—	$	27,691,078		$	—	$	—	$	—	$	27,691,078
Total	$	—	$	27,691,078		$	—	$	—	$	—	$	27,691,078
Change in Net Unrealized Appreciation (Depreciation) on:
Swap Contracts	$	—	$	10,760,309		$	—	$	—	$	—	$	10,760,309
Emerging Markets Fund
Asset:
Liability:
Unrealized Depreciation on Swap Contracts	$	—	$	(3,446,028	)	$	—	$	—	$	—	$	(3,446,028	)
Total	$	—	$	(3,446,028	)	$	—	$	—	$	—	$	(3,446,028	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	(3,446,028	)	$	—	$	—	$	—	$	(3,446,028	)
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	(87,166	)	$	—	$	—	$	—	$	(87,166	)
Swap Contracts		—		(11,382,040	)		—		—		—		(11,382,040	)
Total	$	—	$	(11,469,206	)	$	—	$	—	$	—	$	(11,469,206	)
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—	$	38		$	—	$	—	$	—	$	38
Swap Contracts		—		(4,636,141	)		—		—		—		(4,636,141	)
Total	$	—	$	(4,636,103	)	$	—	$	—	$	—	$	(4,636,103	)
Taiwan Fund
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	0	*	$	—	$	—	$	—	$	0	*

* Rounds to $0.

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

^ Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

The Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some over-the-counter derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws

55

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

impose restrictions on or prohibitions against the right of offset obligations. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. For more information about other uncertainties and risks, see the Investment and Other Risks note.

For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2013, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements and net of the related collateral received or pledged by the Funds as of August 31, 2013:

Emerging Domestic Opportunities Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Assets
BNP Paribas	$	6,254,962	$	(6,254,962	)	$	—	$	—	*
Credit Suisse International		913,023		(913,023	)		—		—	*
Goldman Sachs International		1,769,700		(1,769,700	)		—		—	*
JPMorgan Chase Bank, N.A.		3,047,150		—			—		3,047,150	*
Societe Generale		772,967		(772,967	)		—		—	*
Total	$	12,757,802	$	(9,710,652	)	$	—	$	3,047,150
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
BNP Paribas	$	1,997,493	$	—		$	—	$	1,997,493
Total	$	1,997,493	$	—		$	—	$	1,997,493

Emerging Markets Fund

Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Credit Suisse International	$	2,760,280	$	(2,760,280	)	$	—	$	—	*
Morgan Stanley & Co. International PLC		685,748		(685,748	)		—		—	*
Total	$	3,446,028	$	(3,446,028	)	$	—	$	—

* In some instances, the actual collateral received and/or pledged may be more than the amount shown.

56

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

The average derivative activity, based on absolute values (rights and/or warrants) or notional amounts (swap contracts) outstanding at each month-end was as follows for the period ended August 31, 2013:

Fund Name	Swap Contracts ($)		Rights and/or Warrants ($)
Emerging Countries Fund		—		622
Emerging Domestic Opportunities Fund		175,094,118		—
Emerging Markets Fund		38,987,628		30,951
Taiwan Fund		—		3,372

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to each Fund. That fee, if any, is paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:

	Emerging Countries Fund		Emerging Domestic Opportunities Fund		Emerging Markets Fund		Taiwan Fund
Management Fee		0.65%		0.75%		0.75%		0.81%

In addition, each class of shares of certain Funds (except Class M shares which are described below) pays the Manager a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Class M shares of a Fund pay the Manager an administration fee, which is used by the Manager to defray its expenses (or the expenses of a third party) in providing administration and record keeping services to certain marketplaces where Class M shares of each Fund may be purchased. The Manager may pay part or all of the administration fee to third parties for providing administration and record keeping services. In some cases, these third parties also receive compensation from the Fund’s distributor pursuant to the Trust’s Distribution and Service (12b-1) Plan. Both shareholder service fees and administration fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:

Fund Name	Class II		Class III		Class IV		Class V			Class VI		Class M Admin Fee		Class M 12b-1 Fee
Emerging Countries Fund				0.15%									0.20%		0.25%
Emerging Domestic Opportunities Fund		0.22%		0.15%		0.105%		0.085%	*		0.055%
Emerging Markets Fund		0.22%		0.15%		0.105%		0.085%			0.055%
Taiwan Fund				0.15%

* Class is offered but has no shareholders as of August 31, 2013.

For each Fund, other than Emerging Countries Fund and Taiwan Fund, the Manager has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to the Manager. For Emerging Countries Fund, the Manager has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.35% of the Fund’s average daily net assets.

Subject to the exclusions noted below, “Specified Operating Expenses” means only the following expenses to the extent that they are borne by a Fund: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of the Manager, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses; provided, however, that in the case of Emerging Markets Fund, “Specified Operating Expenses” does not include custody expenses, and in the case of Emerging Domestic Opportunities Fund, “Specified Operating Expenses” only includes custody expenses to the extent that they exceed 0.10% of the Fund’s average daily net assets.

For each Fund that charges a management fee, the Manager will waive and/or reduce the Fund’s management fee, but not below zero, to the extent necessary to offset the management fees directly or indirectly paid by the Fund to the Manager as a result of the Fund’s direct or indirect investments in other GMO Funds.

57

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

For each Fund that charges a shareholder service fee, the Manager will waive and/or reduce the shareholder service fee charged by each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly paid by the class of shares of the Fund to the Manager as a result of the Fund’s direct or indirect investments in other GMO Funds.

In addition, for Emerging Markets Fund only, the Manager will waive the shareholder service fees charged to each class of the Fund to the extent necessary to prevent the shareholder service fees paid by each class from exceeding the percentage of the class’s average daily net assets as follows: 0.20% for Class II shares, 0.15% for Class III shares, 0.10% of Class IV shares, 0.05% for Class V shares, and 0.02% for Class VI shares.

These contractual waivers and reimbursements will continue through at least June 30, 2014 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to the Manager under the Fund’s management contract or servicing and supplement support agreement.

The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with the Manager during the period ended August 31, 2013 is shown in the table below and included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agents unaffiliated with the Manager ($)
Emerging Countries Fund		736		184
Emerging Domestic Opportunities Fund		11,269		1,472
Emerging Markets Fund		52,348		7,912
Taiwan Fund		278		5

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2013, these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:

Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Total Indirect Expenses
Emerging Countries Fund		< 0.001%		0.000%		< 0.001%
Emerging Domestic Opportunities Fund		< 0.001%		0.000%		< 0.001%
Emerging Markets Fund*		< 0.001%		0.000%		< 0.001%
Taiwan Fund		< 0.001%		0.000%		< 0.001%

* During the period, the Fund incurred non-recurring indirect legal expenses in connection with the final settlement of pending litigation. Subsequent to the receipt of the settlement proceeds, the underlying fund was liquidated.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2013 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Emerging Countries Fund		—		78,368,758		—		131,515,487
Emerging Domestic Opportunities Fund		—		3,660,838,707		—		2,854,919,598
Emerging Markets Fund		—		3,918,367,635		—		4,899,680,521
Taiwan Fund		—		229,606,585		—		144,970,813

58

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Cost of purchases of securities for in-kind transactions, excluding short-term investments, in accordance with U.S. GAAP for the period ended August 31, 2013 are noted in the table below:

Fund Name	Purchases ($)
Emerging Domestic Opportunities Fund		47,649,904

7. Guarantees

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

8. Principal shareholders and related parties as of August 31, 2013

Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund		Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund		Percentage of the shares of the Fund held by senior management of the Manager and GMO Trust officers		Percentage of the Fund’s shares held by accounts for which the Manager has investment discretion
Emerging Countries Fund		3		51.86%		0.24%		5.22%
Emerging Domestic Opportunities Fund		2		20.81%		0.87%		—
Emerging Markets Fund		—		—		0.45%		39.54%
Taiwan Fund		2		100.00%		—		100.00%

9. Share transactions

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

	Six Months Ended August 31, 2013 (Unaudited)						Year Ended February 28, 2013
	Shares			Amount			Shares			Amount
Emerging Countries Fund
Class III:
Shares sold		423,185		$	4,263,918			3,060,429		$	32,174,437
Shares issued to shareholders in reinvestment of distributions		74,073			662,214			105,058			1,099,953
Shares repurchased		(6,334,475	)		(59,643,231	)		(4,776,303	)		(51,193,409	)
Net increase (decrease)		(5,837,217	)	$	(54,717,099	)		(1,610,816	)	$	(17,919,019	)
Class M:
Shares sold		160,857		$	1,570,665			252,769		$	2,586,870
Shares issued to shareholders in reinvestment of distributions		16,731			147,400			45,271			467,194
Shares repurchased		(137,695	)		(1,342,636	)		(1,791,002	)		(18,738,756	)
Net increase (decrease)		39,893		$	375,429			(1,492,962	)	$	(15,684,692	)

59

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Six Months Ended August 31, 2013 (Unaudited)						Year Ended February 28, 2013
	Shares			Amount			Shares			Amount
Emerging Domestic Opportunities Fund
Class II:
Shares sold		8,980,774		$	225,285,669			12,480,597		$	283,660,535
Shares issued to shareholders in reinvestment of distributions		298,887			6,976,034			147,068			3,460,494
Shares repurchased		(2,329,901	)		(56,579,040	)		(3,538,146	)		(83,663,026	)
Purchase premiums		—			1,724,065			—			2,287,380
Redemption fees		—			—			—			43,987
Net increase (decrease)		6,949,760		$	177,406,728			9,089,519		$	205,789,370
Class III:
Shares sold		12,701,932		$	313,491,040			9,505,885		$	217,960,797
Shares issued to shareholders in reinvestment of distributions		197,862			4,618,107			100,539			2,364,668
Shares repurchased		(1,266,702	)		(31,072,503	)		(5,346,700	)		(130,887,209	)
Purchase premiums		—			2,088,000			—			1,340,406
Redemption fees		—			72,503			—			—
Net increase (decrease)		11,633,092		$	289,197,147			4,259,724		$	90,778,662
Class IV:
Shares sold		12,103,021		$	299,731,352			20,891,685		$	483,512,233
Shares issued to shareholders in reinvestment of distributions		455,930			10,645,954			181,833			4,278,542
Shares repurchased		(560,861	)		(12,748,941	)		—			—
Purchase premiums		—			2,293,297			—			2,631,471
Redemption fees		—			80,645			—			—
Net increase (decrease)		11,998,090		$	300,002,307			21,073,518		$	490,422,246
Class VI:
Shares sold		5,730		$	143,338			7,724,773		$	176,155,770
Shares issued to shareholders in reinvestment of distributions		382,533			8,955,091			313,674			7,393,294
Shares repurchased		(8,555	)		(218,006	)		(1,025,275	)		(24,388,193	)
Purchase premium fees		—			1,156			—			1,378,129
Redemption fees		—			378			—			153,778
Net increase (decrease)		379,708		$	8,881,957			7,013,172		$	160,692,778
Emerging Markets Fund
Class II:
Shares sold		10,465,894		$	112,894,288			36,949,429		$	411,929,298
Shares issued to shareholders in reinvestment of distributions		—			—			2,467,130			28,487,404
Shares repurchased		(43,977,830	)		(484,977,755	)		(42,310,247	)		(479,387,042	)
Purchase premiums fees		—			479,932			—			1,484,712
Redemption fees		—			2,784,751			—			2,364,847
Net increase (decrease)		(33,511,936	)	$	(368,818,784	)		(2,893,688	)	$	(35,120,781	)
Class III:
Shares sold		6,494,731		$	75,216,093			11,320,635		$	127,789,546
Shares issued to shareholders in reinvestment of distributions		—			—			1,491,291			17,264,759
Shares repurchased		(34,943,592	)		(391,886,825	)		(40,472,349	)		(461,746,220	)
Purchase premiums fees		—			51,246			—			354,014
Redemption fees		—			2,687,762			—			511,886
Net increase (decrease)		(28,448,861	)	$	(313,931,724	)		(27,660,423	)	$	(315,826,015	)

60

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Six Months Ended August 31, 2013 (Unaudited)						Year Ended February 28, 2013
	Shares			Amount			Shares			Amount
Emerging Markets Fund (continued)
Class IV:
Shares sold		4,611,196		$	50,253,454			27,760,743		$	311,211,796
Shares issued to shareholders in reinvestment of distributions		—			—			1,763,402			20,260,499
Shares repurchased		(41,521,938	)		(454,639,470	)		(53,607,780	)		(614,147,440	)
Purchase premiums fees		—			126,321			—			776,654
Redemption fees		—			2,690,108			—			2,223,067
Net increase (decrease)		(36,910,742	)	$	(401,569,587	)		(24,083,635	)	$	(279,675,424	)
Class V:
Shares sold		—		$	—			24,895,167		$	281,404,142
Shares issued to shareholders in reinvestment of distributions		—			—			1,233,305			14,140,454
Shares repurchased		(4,379,087	)		(47,707,594	)		(23,125,506	)		(260,177,266	)
Purchase premiums fees		—			—			—			91,320
Redemption fees		—			119,708			—			175,876
Net increase (decrease)		(4,379,087	)	$	(47,587,886	)		3,002,966		$	35,634,526
Class VI:
Shares sold		33,028,060		$	359,966,294			108,893,901		$	1,171,166,643
Shares issued to shareholders in reinvestment of distributions		—			—			10,337,985			118,774,387
Shares repurchased		(27,796,914	)		(311,620,071	)		(55,788,608	)		(620,770,625	)
Purchase premium fees		—			1,206,122			—			6,237,285
Redemption fees		—			2,269,113			—			4,552,813
Net increase (decrease)		5,231,146		$	51,821,458			63,443,278		$	679,960,503
Taiwan Fund
Class III:
Shares sold		4,288,608		$	88,034,683			480,041		$	9,693,623
Shares issued to shareholders in reinvestment of distributions		14,056			292,653			102,164			1,969,604
Shares repurchased		(137,202	)		(2,802,899	)		(1,298,694	)		(25,560,277	)
Purchase premiums		—			132,250			—			14,115
Redemption fees		—			12,613			—			113,681
Net increase (decrease)		4,165,462		$	85,669,300			(716,489	)	$	(13,769,254	)

10. Investments in affiliated companies and other funds of the Trust

An affiliated company is a company in which a Fund has or had ownership of at least 5% of the voting securities. A summary of the Fund’s transactions involving companies that are or were affiliates during the period ended August 31, 2013 is set forth below:

Affiliate	Value, beginning of period			Purchases		Sales Proceeds		Dividend Income		Value, end of period
Emerging Markets Fund
Kiri Industries Ltd*	$	121,874		$	30,303	$	80,012	$	—	$	108,050
Star Block Co Ltd (Foreign Registered)		0	**		—		—		—		0	**
Totals	$	121,874		$	30,303	$	80,012	$	—	$	108,050

* No longer an affiliate as of August 31, 2013.

** Represents the interest in securities that were determined to have a fair value of zero at February 28, 2013 and August 31, 2013.

61

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

A summary of the Funds’ transactions in the shares of other funds of the Trust during the period ended August 31, 2013 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Return of Capital		Value, end of period
Emerging Countries Fund
GMO U.S. Treasury Fund	$	1,204,052	$	27,052,969	$	27,970,900	$	496	$	107	$	—	$	285,029
Emerging Domestic Opportunities Fund
GMO U.S. Treasury Fund	$	49,003,861	$	954,956,152	$	922,242,910	$	40,785	$	13,063	$	—	$	81,720,507
Emerging Markets Fund
GMO Special Purpose Holding Fund	$	4,355	$	—	$	12,175	$	—	$	—	$	342,509	$	—
GMO U.S. Treasury Fund		37,905,924		773,410,362		810,922,063		26,276		11,145		—		405,204
	$	37,910,279	$	773,410,362	$	810,934,238	$	26,276	$	11,145	$	342,509	$	405,204
Taiwan Fund
GMO U.S. Treasury Fund	$	735,075	$	57,844,518	$	58,577,638	$	839	$	41	$	—	$	677

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2013 through August 31, 2013. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2014.

62

GMO Trust Funds

Board Review of Management Agreements

August 31, 2013 (Unaudited)

Emerging Countries Fund

Approval of renewal of management agreement for GMO Emerging Countries Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

63

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

Emerging Domestic Opportunities Fund

Approval of renewal of management agreement for GMO Emerging Domestic Opportunities Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

64

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

Emerging Markets Fund

Approval of renewal of management agreement for GMO Emerging Markets Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

65

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

Taiwan Fund

Approval of renewal of management agreement for GMO Taiwan Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

66

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2013 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2013.

As a shareholder of the Funds, you may incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and /or indirect management fees, direct and/or indirect shareholder services fees, and distribution (12b-1) and/or administration fees for Funds with Class M shares, if applicable, and other Fund expenses. This example is intended to help you understand your ongoing costs (in Dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2013 through August 31, 2013.

Actual Expenses

This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

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

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

	Actual						Hypothetical
	Beginning Account Value March 1, 2013		Ending Account Value August 31, 2013		Expenses Paid* During the Period		Beginning Account Value March 1, 2013		Ending Account Value August 31, 2013		Expenses Paid* During the Period		Annualized Net Expense Ratio
Emerging Countries Fund
Class III		$1,000.00		$874.80		$5.62		$1,000.00		$1,019.21		$6.06		1.19%
Class M		$1,000.00		$874.10		$7.04		$1,000.00		$1,017.69		$7.58		1.49%
Emerging Domestic Opportunities Fund
Class II		$1,000.00		$935.20		$5.12		$1,000.00		$1,019.91		$5.35		1.05%
Class III		$1,000.00		$935.20		$4.78		$1,000.00		$1,020.27		$4.99		0.98%
Class IV		$1,000.00		$935.70		$4.59		$1,000.00		$1,020.47		$4.79		0.94%
Class VI		$1,000.00		$935.80		$4.34		$1,000.00		$1,020.72		$4.53		0.89%
Emerging Markets Fund
Class II		$1,000.00		$885.00		$5.13		$1,000.00		$1,019.76		$5.50		1.08%
Class III		$1,000.00		$884.50		$4.89		$1,000.00		$1,020.01		$5.24		1.03%
Class IV		$1,000.00		$884.40		$4.65		$1,000.00		$1,020.27		$4.99		0.98%
Class V		$1,000.00		$885.10		$4.42		$1,000.00		$1,020.52		$4.74		0.93%
Class VI		$1,000.00		$885.30		$4.28		$1,000.00		$1,020.67		$4.58		0.90%
Taiwan Fund
Class III		$1,000.00		$1,021.70		$6.98		$1,000.00		$1,018.30		$6.97		1.37%

* Expenses are calculated using each Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31,2013, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

67

GMO Trust

Semiannual Report

August 31, 2013

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

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

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

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

TABLE OF CONTENTS

Alpha Only Fund:
Investment Concentration Summary	1
Schedule of Investments	2
Alternative Asset Opportunity Fund:
Investment Concentration Summary	4
Schedule of Investments	5
Benchmark-Free Allocation Fund:
Investment Concentration Summary	7
Schedule of Investments	8
Benchmark-Free Fund:
Investment Concentration Summary	21
Schedule of Investments	22
Global Asset Allocation Fund:
Investment Concentration Summary	23
Schedule of Investments	24
Global Equity Allocation Fund:
Investment Concentration Summary	29
Schedule of Investments	30
International Equity Allocation Fund:
Investment Concentration Summary	31
Schedule of Investments	32
International Opportunities Equity Allocation Fund:
Investment Concentration Summary	33
Schedule of Investments	34
Special Situations Fund:
Investment Concentration Summary	35
Schedule of Investments	36
Strategic Opportunities Allocation Fund:
Investment Concentration Summary	37
Schedule of Investments	38
U.S. Equity Allocation Fund:
Investment Concentration Summary	40
Schedule of Investments	41
World Opportunities Equity Allocation Fund:
Investment Concentration Summary	42
Schedule of Investments	43
Portfolio, Counterparty and Currency Abbreviations	44
Fund Financial Statements:
Statements of Assets and Liabilities	45
Statements of Operations	49
Statements of Changes in Net Assets	52
Financial Highlights	58
Notes to Financial Statements	70
Board Review of Management Agreements	120
Fund Expenses	132

GMO Alpha Only Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		83.3	%
Short-Term Investments		9.5
Investment Funds		1.9
Swap Contracts		1.0
Forward Currency Contracts		0.7
Futures Contracts		0.3
Preferred Stocks		0.3
Rights/Warrants		0.0	^
Other		3.0
		100.0	%

* The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Swap contracts and futures contracts in the table are based on the net unrealized appreciation/depreciation of the respective contracts. The Fund’s investment program involves having both long and short investment exposures. The additional short exposures that the Fund has to swaps contracts and futures contracts based on notional amounts are (31.0%) and (59.4%) of net assets, respectively.

^ Rounds to 0.0%.

1

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 86.0%
		United States — 86.0%
		Affiliated Issuers
	13,749,702	GMO International Growth Equity Fund, Class IV		362,304,651
	37,757,882	GMO International Intrinsic Value Fund, Class IV		845,021,408
	26,112,384	GMO U.S. Core Equity Fund, Class VI		408,919,938
	69,302,474	GMO U.S. Flexible Equities Fund, Class VI		754,010,915
		TOTAL MUTUAL FUNDS (COST $2,196,964,315)		2,370,256,912
		INVESTMENT FUNDS — 1.9%
		United States — 1.9%
	1,394,741	Vanguard Emerging Markets ETF		52,609,630
		TOTAL INVESTMENT FUNDS (COST $58,127,083)		52,609,630

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 7.3%
		Time Deposits — 1.2%
USD	4,954,241	DBS Bank Ltd (Singapore) Time Deposit, 0.06%, due 09/03/13		4,954,241
USD	13,754,704	Sumitomo (Tokyo) Time Deposit, 0.06%, due 09/03/13		13,754,704
USD	13,754,703	US Bank NA (Cincinnati) Time Deposit, 0.06%, due 09/03/13		13,754,703
		Total Time Deposits		32,463,648
		U.S. Government — 6.1%
	63,000,000	U.S. Treasury Bill, 0.09%, due 06/26/14		62,952,057
	70,000,000	U.S. Treasury Bill, 0.10%, due 07/24/14		69,935,460
	36,000,000	U.S. Treasury Bill, 0.12%, due 08/21/14		35,957,772
		Total U.S. Government		168,845,289
		TOTAL SHORT-TERM INVESTMENTS (COST $201,302,412)		201,308,937
		TOTAL INVESTMENTS — 95.2% (Cost $2,456,393,810)		2,624,175,479
		Other Assets and Liabilities (net) — 4.8%		132,086,837
		TOTAL NET ASSETS — 100.0%		$2,756,262,316

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/29/2013	GS		AUD	19,555,026		USD	17,599,055	$	258,566
10/29/2013	MSCI		AUD	19,680,508		USD	17,698,622		246,861
10/15/2013	BBH		CHF	4,004,000		USD	4,317,774		13,078
10/15/2013	BCLY		CHF	9,866,099		USD	10,650,900		43,869
10/15/2013	GS		CHF	4,819,562		USD	5,216,230		34,724
10/15/2013	JPM		CHF	5,004,929		USD	5,402,179		21,385
10/15/2013	MSCI		CHF	14,045,083		USD	15,200,416		100,564
09/24/2013	BOA		DKK	4,335,000		USD	772,410		4,235
09/24/2013	GS		DKK	3,065,000		USD	548,325		5,197
09/24/2013	RBS		DKK	70,623,960		USD	12,686,934		172,145
10/22/2013	BCLY		EUR	41,482,289		USD	54,980,275		145,933
10/22/2013	DB		EUR	13,806,945		USD	18,306,974		55,938
10/22/2013	GS		EUR	6,147,000		USD	8,188,646		63,089
10/22/2013	JPM		EUR	10,074,000		USD	13,436,923		120,368
10/22/2013	MSCI		EUR	27,552,425		USD	36,524,130		103,307
09/17/2013	BCLY		GBP	58,752,547		USD	91,899,574		860,038
09/17/2013	JPM		GBP	8,874,412		USD	13,626,959		(124,315	)
09/17/2013	MSCI		GBP	99,945,495		USD	156,447,423		1,577,685
10/02/2013	BBH		HKD	273,373,726		USD	35,255,079		(2,200	)
10/02/2013	RBS		HKD	8,337,021		USD	1,074,900		(334	)
09/25/2013	BCLY		JPY	8,343,466,938		USD	87,674,911		2,690,095
09/25/2013	BOA		JPY	102,913,000		USD	1,054,426		6,175
09/25/2013	GS		JPY	1,227,777,358		USD	12,382,060		(123,824	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
09/25/2013	JPM		JPY	7,601,646,810		USD	79,994,852	$	2,566,061
09/25/2013	MSCI		JPY	7,645,424,310		USD	80,445,126		2,570,426
09/24/2013	BBH		NOK	3,549,000		USD	598,414		18,925
09/24/2013	GS		NOK	53,814,144		USD	9,347,635		560,739
09/24/2013	RBS		NOK	1,874,936		USD	317,300		11,156
09/11/2013	BCLY		NZD	792,269		USD	631,506		19,530
09/11/2013	DB		NZD	950,238		USD	757,357		23,360
09/24/2013	BBH		SEK	227,781,841		USD	35,515,277		1,160,751
09/24/2013	DB		SEK	6,886,576		USD	1,065,400		26,752
09/24/2013	MSCI		SEK	17,831,000		USD	2,719,602		30,293
10/01/2013	BBH		SGD	1,964,000		USD	1,547,670		7,954
10/01/2013	GS		SGD	754,524		USD	596,700		5,177
10/01/2013	JPM		SGD	22,109,795		USD	17,608,850		275,447
09/11/2013	BBH		USD	363,200		NZD	461,887		(6,423	)
09/24/2013	BBH		USD	6,163,000		NOK	36,921,911		(134,305	)
09/24/2013	BBH		USD	23,921,400		SEK	157,082,312		(229,923	)
10/01/2013	BBH		USD	12,410,300		SGD	15,662,937		(131,037	)
10/02/2013	BBH		USD	22,665,300		HKD	175,798,155		7,561
09/17/2013	BCLY		USD	159,927,700		GBP	105,152,495		3,010,503
09/25/2013	DB		USD	154,224,500		JPY	15,387,600,521		2,510,394
09/24/2013	GS		USD	8,613,000		DKK	48,797,383		34,051
09/11/2013	JPM		USD	515,600		NZD	651,520		(12,343	)
								$	18,597,628

2 See accompanying notes to the financial statements.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Sales
101	Amsterdam IDX	September 2013	$	9,688,482	$	339,379
650	CAC 40	September 2013		33,801,252		1,340,146
113	DAX	September 2013		30,313,805		657,943
777	FTSE 100	September 2013		77,213,073		(146,176	)
67	FTSE/MIB	September 2013		7,377,225		(22,640	)
76	Hang Seng	September 2013		10,538,031		161,039
95	IBEX 35	September 2013		10,419,100		556,146
102	MSCI Singapore	September 2013		5,487,720		84,058
616	OMXS 30	September 2013		11,290,046		388,043
16,307	S&P 500 E-Mini Index	September 2013		1,330,080,455		2,887,980
249	SPI 200	September 2013		28,215,669		(995,584	)
673	TOPIX	September 2013		75,022,256		2,267,563
			$	1,629,447,114	$	7,517,897

Swap Contracts

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund (Pays)/Receives	Net Unrealized Appreciation/ (Depreciation)
	131,675,712	USD	9/30/2013	CSI	MSCI Daily Total Return EAFE	1 month USD LIBOR BBA minus 0.13%	$	1,462,898
	52,670,113	USD	1/29/2014	CITI	MSCI Daily Total Return EAFE	1 month USD LIBOR BBA minus 0.05%		494,875
	45,234,650	USD	2/10/2014	CITI	MSCI Daily Total Return EAFE	1 month USD LIBOR BBA minus 0.02%		1,623,217
	79,201,894	USD	3/13/2014	JPM	MSCI Daily Total Return EAFE	1 month USD LIBOR BBA plus 0.04%		2,973,473
	40,451,525	USD	3/14/2014	BNP	MSCI Daily Total Return EAFE	1 month USD LIBOR BBA plus 0.03%		1,795,834
	78,760,184	USD	3/24/2014	JPM	MSCI Daily Total Return EAFE	1 month USD LIBOR BBA plus 0.04%		1,648,218
	46,420,545	USD	4/3/2014	CITI	MSCI Daily Total Return EAFE	1 month USD LIBOR BBA plus 0.06%		1,519,873
	134,816,079	USD	5/12/2014	BNP	MSCI Daily Total Return EAFE	1 month USD LIBOR BBA plus 0.12%		4,845,374
	217,283,153	USD	5/15/2014	JPM	MSCI Daily Total Return EAFE	1 month USD LIBOR BBA plus 0.11%		9,651,536
							$	26,015,298
					Premiums to (Pay) Receive		$	—

As of August 31, 2013, 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.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.

See accompanying notes to the financial statements. 3

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

August 31, 2013 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Short-Term Investments		50.6	%
Futures Contracts**		49.2
Forward Currency Contracts		0.2
Debt Obligations		0.1
Other		(0.1	)
		100.0	%

(a) GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO Alternative Asset Opportunity Fund. As such, the holdings of GMO Alternative Asset SPC Ltd. have been included with GMO Alternative Asset Opportunity Fund.

* The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Futures concentrations use the net notional contract amounts for purposes of computing asset class exposures. See Schedule of Investments for more information.

** Some or all is comprised of commodity exposure. See Consolidated Schedule of Investments.

4

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 67.8%
		Affiliated Issuers — 67.8%
	791,020	GMO Short-Duration Collateral Fund		2,618,277
	48,674,103	GMO U.S. Treasury Fund		1,216,852,576
		TOTAL MUTUAL FUNDS (COST $1,220,032,070)		1,219,470,853
		SHORT-TERM INVESTMENTS — 30.2%
		Money Market Funds — 4.7%
	11,828,002	State Street Institutional Liquid Reserves Fund, 0.08% (a) (b)		11,828,002
	73,338,904	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (c)		73,338,904
		Total Money Market Funds		85,166,906
		U.S. Government — 25.5%
	5,000,000	U.S. Treasury Bill, 0.02%, due 11/14/13 (a) (d) (e)		4,999,825
	50,000,000	U.S. Treasury Bill, 0.02%, due 11/21/13 (a) (d)		49,997,800
	94,500,000	U.S. Treasury Bill, 0.02%, due 11/29/13 (a) (d)		94,494,330
	59,000,000	U.S. Treasury Bill, 0.02%, due 11/29/13 (a) (d)		58,996,460
	4,000,000	U.S. Treasury Bill, 0.03%, due 12/05/13 (d) (e)		3,999,716
	1,000,000	U.S. Treasury Bill, 0.04%, due 09/05/13 (a) (d) (e)		999,994

Par Value ($)		Description	Value ($)
		U.S. Government — continued
	55,000,000	U.S. Treasury Bill, 0.04%, due 10/10/13 (a) (d) (e)		54,997,556
	8,000,000	U.S. Treasury Bill, 0.04%, due 01/23/14 (a) (d)		7,998,816
	23,000,000	U.S. Treasury Bill, 0.04%, due 02/13/14 (a) (d)		22,995,837
	61,000,000	U.S. Treasury Bill, 0.09%, due 09/19/13 (a) (d)		60,997,100
	45,000,000	U.S. Treasury Bill, 0.09%, due 10/10/13 (a) (d) (e)		44,995,500
	7,000,000	U.S. Treasury Bill, 0.09%, due 10/10/13 (a) (d) (e)		6,999,300
	5,000,000	U.S. Treasury Bill, 0.11%, due 09/05/13 (a) (d) (e)		4,999,924
	40,000,000	U.S. Treasury Bill, 0.12%, due 09/05/13 (d) (e)		39,999,361
		Total U.S. Government		457,471,519
		TOTAL SHORT-TERM INVESTMENTS (COST $542,619,739)		542,638,425
		TOTAL INVESTMENTS — 98.0% (Cost $1,762,651,809)		1,762,109,278
		Other Assets and Liabilities (net) — 2.0%		35,337,031
		TOTAL NET ASSETS — 100.0%		$1,797,446,309

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
09/17/2013	BCLY		AUD	32,700,000		USD	29,671,228	$	591,408
10/15/2013	BCLY		AUD	51,200,000		USD	46,903,245		1,456,107
10/15/2013	CITI		AUD	57,500,000		USD	52,676,325		1,637,059
09/05/2013	JPM		AUD	74,400,000		USD	67,379,759		1,164,364
10/31/2013	JPM		AUD	21,000,000		USD	18,639,222		18,945
11/04/2013	JPM		AUD	74,400,000		USD	66,389,724		438,565
09/17/2013	MSCI		AUD	77,900,000		USD	70,619,077		1,343,298
10/08/2013	MSCI		AUD	37,700,000		USD	33,376,941		(102,916	)
10/22/2013	MSCI		CAD	178,600,000		USD	170,517,497		1,156,961
09/16/2013	BCLY		GBP	15,200,000		USD	23,007,632		(545,626	)
09/16/2013	BCLY		USD	22,936,511		GBP	15,200,000		616,746
10/23/2013	CSI		USD	128,252,034		EUR	95,700,000		(1,748,309	)
09/05/2013	JPM		USD	66,653,844		AUD	74,400,000		(438,449	)
								$	5,588,153

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
263	Light Sweet Crude Oil (a)	September 2013	$	28,311,950	$	(607,256	)
1,476	Corn (a)	December 2013		35,571,600		39,792
53	MSCI Singapore	September 2013		2,848,894		(37,935	)
220	MSCI Taiwan	September 2013		6,168,976		94,116
58	Hang Seng	September 2013		8,042,231		(135,464	)
918	U.S. Treasury Note 10 Yr. (CBT)	December 2013		114,090,187		100,960
333	Australian Government Bond 10 Yr.	September 2013		34,788,819		99,419
115	Canadian Government Bond 10 Yr.	December 2013		14,041,141		60,683

See accompanying notes to the financial statements. 5

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Futures Contracts (continued)

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
564	S&P 500 Index	September 2013	$	230,013,300	$	(1,537,897	)
1,942	Euro STOXX 50 Futures	September 2013		69,827,666		67,866
355	Russell 2000 Mini	September 2013		35,858,550		(56,947	)
3,588	FTSE 100	September 2013		355,907,252		5,966,796
1,776	Soybean (a)	November 2013		120,546,000		9,050,814
			$	1,056,016,566	$	13,104,947

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Sales
310	Silver (a)	December 2013	$	36,445,150	$	(4,733,195	)
1,108	Wheat (a)	December 2013		36,231,600		(467,992	)
159	E-mini MSCI Emerging Markets	September 2013		7,292,535		(138,681	)
618	Nikkei 225	September 2013		83,431,663		1,266,168
625	S&P Toronto 60	September 2013		86,074,505		(2,562,132	)
657	Gold 100 OZ (a)	December 2013		91,723,770		(7,558,249	)
213	Japanese Government Bond 10 Yr. (TSE)	September 2013		313,371,912		(2,415,838	)
			$	654,571,135	$	(16,609,919	)

As of August 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Consolidated Schedule of Investments:

(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) The rate disclosed is the 7 day net yield as of August 31, 2013.

(c) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

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

(e) All or a portion of this security has been pledged to cover margin requirements on futures and cleared swap contracts, collateral on OTC swap contracts and forward currency contracts, and/or written options, if any (Note 4).

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.

6 See accompanying notes to the financial statements.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

August 31, 2013 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		52.6	%
Short-Term Investments		25.1
Debt Obligations		21.1
Futures Contracts		14.4
Preferred Stocks		1.2
Forward Currency Contracts		0.4
Investment Funds		0.1
Loan Participations		0.1
Loan Assignments		0.0	^
Rights/Warrants		0.0	^
Options Purchased		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Swap Contracts		(0.0	)^
Written Options		(0.2	)
Other		(14.8	)
		100.0	%
Country/Region Summary**	% of Investments
United States		42.9	%
Emerging***		20.3
United Kingdom		13.2
France		5.0
Germany		3.7
Japan		3.3
Spain		2.6
Australia		2.2
Italy		2.1
Switzerland		1.4
Hong Kong		0.9
Netherlands		0.7
Belgium		0.3
Singapore		0.3
Sweden		0.3
Finland		0.2
Norway		0.2
Austria		0.1
Denmark		0.1
Greece		0.1
Ireland		0.1
Israel		0.1
New Zealand		0.1
Portugal		0.1
Canada		(0.3	)
		100.0	%

(a) GMO Implementation Fund is a 100% owned subsidiary of Benchmark-Free Allocation Fund. As such, the holdings of GMO Implementation Fund have been included with Benchmark-Free Allocation Fund.

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

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds, except for GMO Alpha Only Fund. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward

currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on the Manager’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security.

*** The “Emerging” exposure is primarily comprised of: Argentina, Brazil, Chile, China, Colombia, Congo, Croatia, Czech Republic, Dominican Republic, Egypt, Hungary, India, Indonesia, Iraq, Ivory Coast, Malaysia, Mexico, Pakistan, Panama, Peru, Philippines, Poland, Russia, Serbia, South Africa, South Korea, Sri Lanka, Taiwan, Thailand, Tunisia, Turkey, Ukraine, Uruguay, and Venezuela.

^ Rounds to 0.0%.

7

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 36.1%
		United States — 36.1%
		Affiliated Issuers — 36.1%
	53,509,007	GMO Alpha Only Fund, Class IV		1,289,567,059
	38,225,002	GMO Alternative Asset Opportunity Fund		1,184,592,815
	18,503,442	GMO Debt Opportunities Fund, Class VI		503,478,667
	33,443,189	GMO Emerging Country Debt Fund, Class IV		320,385,752
		TOTAL MUTUAL FUNDS (COST $3,295,730,163)		3,298,024,293
		INVESTMENT FUNDS (a) — 0.1%
		United States — 0.1%
	235,129	iShares MSCI Emerging Markets ETF		8,944,307
		TOTAL INVESTMENT FUNDS (COST $8,817,625)		8,944,307
		DEBT OBLIGATIONS (a) — 9.9%
		CMBS Collateralized Debt Obligations — 0.0%
	1,599,399	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.06%, due 11/23/52		1,600
		Insured Other — 0.0%
	2,500,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		489,125
		Residential Asset-Backed Securities (Canada) — 0.1%
CAD	150,000	Master Asset Vehicle II, Series 09-2, Class C, Zero Coupon, due 07/15/56		106,807
CAD	352,000	Master Asset Vehicle II, Series 09-2, Class B, Zero Coupon, due 07/15/56		270,692
CAD	1,938,400	Master Asset Vehicle II, Series 09-2, Class A2, 0.78%, due 07/15/56		1,582,668
CAD	2,559,488	Master Asset Vehicle II, Series 09-2, Class A1, 0.78%, due 07/15/56		2,138,374
		Residential Asset-Backed Securities (Canada)		4,098,541
		Total Asset-Backed Securities		4,589,266
		Bank Loans — 0.0%
	380,447	Caesars Entertainment Corp. Term Loan B1, 3.18%, due 01/28/15		378,545
	781,215	Caesars Entertainment Corp. Term Loan B3, 3.18%, due 01/28/15		767,544

Par Value ($) / Shares		Description	Value ($)
		Bank Loans — continued
	960,000	Springleaf Financial Funding Co. Term Loan B, 5.50%, due 05/10/17		960,000
		Total Bank Loans		2,106,089
		U.S. Government — 9.8%
	125,972,739	U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/25 (b)		147,112,476
	27,786,960	U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/27 (b)		32,719,145
	33,097,800	U.S. Treasury Inflation Indexed Note, 1.25%, due 04/15/14 (b)		33,477,895
	258,618,905	U.S. Treasury Inflation Indexed Note, 1.13%, due 01/15/21 (b)		272,681,308
	425,920,368	U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22 (b)		410,946,712
		Total U.S. Government		896,937,536
		TOTAL DEBT OBLIGATIONS (COST $926,027,380)		903,632,891
		COMMON STOCKS (a) — 45.2%
		Australia — 0.7%
	2,381,482	Arrium Ltd		2,361,396
	266,966	Bank of Queensland Ltd		2,269,063
	133,199	Bendigo and Adelaide Bank Ltd		1,194,066
	645,602	BlueScope Steel Ltd *		2,855,367
	57,363	Commonwealth Bank of Australia		3,700,715
	152,011	CSL Ltd		9,179,215
	1,617,424	Goodman Fielder Ltd *		1,060,132
	302,037	Insurance Australia Group Ltd		1,559,626
	386,254	Investa Office Fund (REIT)		1,007,648
	81,766	Macquarie Group Ltd		3,168,852
	1,760,394	Mirvac Group (REIT)		2,565,179
	114,358	National Australia Bank Ltd		3,284,506
	576,170	Pacific Brands Ltd		387,881
	551,110	QBE Insurance Group Ltd		7,424,568
	1,232,871	Stockland (REIT)		4,077,779
	747,803	TABCORP Holdings Ltd		2,137,780
	558,929	Tatts Group Ltd		1,592,490
	431,469	Westpac Banking Corp		11,977,512
	90,260	Woolworths Ltd		2,859,101
		Total Australia		64,662,876
		Austria — 0.1%
	96,485	OMV AG		4,452,889
	56,387	Voestalpine AG		2,409,830
		Total Austria		6,862,719
		Belgium — 0.1%
	109,542	Ageas		4,307,589
	46,231	Anheuser-Busch InBev NV		4,311,552

8 See accompanying notes to the financial statements.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Belgium — continued
	114,054	Belgacom SA		2,730,343
		Total Belgium		11,349,484
		Brazil — 0.8%
	90,900	Banco Bradesco SA		1,203,898
	1,379,000	Banco do Brasil SA		13,322,136
	244,100	Banco Santander Brasil SA		1,395,471
	491,000	Banco Santander Brasil SA ADR		2,833,070
	410,100	BM&FBOVESPA SA		2,009,291
	279,100	BR Malls Participacoes SA		2,117,274
	185,200	BR Properties SA		1,408,822
	73,800	Brasil Brokers Participacoes SA		162,388
	41,900	CETIP SA - Mercados Organizados		410,931
	37,900	Cia de Saneamento Basico do Estado de Sao Paulo		311,180
	46,600	Cia Hering		623,234
	488,280	Cielo SA		11,953,492
	106,000	Companhia Siderurgica Nacional SA		374,073
	157,700	Cyrela Brazil Realty SA Empreendimentos e Participacoes		1,039,018
	76,570	Duratex SA		387,672
	60,300	Equatorial Energia SA		506,723
	29,000	Gol Linhas Aereas Inteligentes SA ADR *		106,140
	76,500	Grendene SA		614,001
	139,400	Grupo BTG Pactual		1,583,327
	28,000	Light SA		211,237
	294,200	MRV Engenharia e Participacoes SA		1,027,132
	22,000	Multiplan Empreendimentos Imobiliarios SA		442,038
	160,000	Multiplus SA		1,747,564
	26,000	Natura Cosmeticos SA		487,864
	1,793,400	PDG Realty SA Empreendimentos e Participacoes *		1,728,796
	176,300	Petroleo Brasileiro SA		1,180,038
	43,000	Petroleo Brasileiro SA (Petrobras) ADR		581,360
	61,900	Porto Seguro SA		667,008
	119,200	Qualicorp SA *		931,738
	122,557	Sul America SA		719,126
	199,300	Tim Participacoes SA		783,518
	68,700	Totvs SA		1,076,879
	57,300	Transmissora Alianca de Energia Eletrica SA		528,343
	241,200	Vale SA		3,479,580
	1,165,600	Vale SA Sponsored ADR		16,796,296
		Total Brazil		74,750,658
		Canada — 0.2%
	668,700	Blackberry Ltd *		6,754,930
	12,800	Canadian Pacific Railway Ltd		1,505,303

Shares		Description	Value ($)
		Canada — continued
	26,000	Canadian Tire Corp Ltd - Class A		2,199,126
	224,700	First Quantum Minerals Ltd		3,731,133
	20,600	Home Capital Group Inc		1,252,272
	81,300	Husky Energy Inc		2,298,599
	35,900	Magna International Inc		2,759,389
	30,500	RONA Inc		311,284
		Total Canada		20,812,036
		Czech Republic — 0.1%
	383,669	CEZ AS		8,861,539
		Denmark — 0.0%
	11,618	Jyske Bank A/S *		535,068
	13,561	Novo Nordisk A/S - Class B		2,267,340
		Total Denmark		2,802,408
		Egypt — 0.1%
	1,292,520	Al Ezz Steel Rebars SAE *		2,056,081
	224,538	Commercial International Bank		1,135,040
	348,596	Egyptian Financial Group - Hermes Holding *		404,014
	379,706	Orascom Telecom Holding SAE *		231,058
	291,399	Orascom Telecom Holding SAE GDR (Registered Shares) *		869,523
	21,823,310	Orascom Telecom Media And Technology Holding SAE		1,717,439
	2,322,305	Palm Hills Developments SAE *		754,205
	96,773	Sidi Kerir Petrochemicals Co		204,894
	604,228	Talaat Moustafa Group *		424,795
	378,459	Telecom Egypt Co		677,841
		Total Egypt		8,474,890
		Finland — 0.1%
	2,426,115	Nokia Oyj *		9,412,869
	59,970	Sampo Oyj - Class A		2,496,266
		Total Finland		11,909,135
		France — 2.8%
	485,266	Air France-KLM *		3,650,219
	462,518	AXA		10,080,611
	327,393	BNP Paribas		20,526,432
	153,746	Carrefour SA		4,813,813
	57,117	CNP Assurances		1,010,307
	34,636	Compagnie Generale des Etablissements Michelin		3,315,205
	95,889	European Aeronautic Defence and Space Co NV		5,521,493
	623,962	GDF Suez		13,538,005
	19,505	L’Oreal SA		3,256,413
	823,853	Orange		8,363,032
	108,247	PagesJaunes Groupe *		241,961

See accompanying notes to the financial statements. 9

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		France — continued
	738,916	Peugeot SA *		10,496,267
	16,228	Publicis Groupe		1,206,960
	153,455	Renault SA		10,976,550
	406,442	Sanofi		38,951,945
	437,141	Societe Generale		19,143,870
	156,099	Technicolor *		743,582
	1,581,322	Total SA		87,567,139
	439,134	Vivendi SA		8,907,690
		Total France		252,311,494
		Germany — 1.0%
	59,541	Allianz SE (Registered)		8,530,235
	56,575	Aurubis AG		3,263,182
	53,644	Bayer AG (Registered)		5,962,280
	44,244	Daimler AG		3,035,929
	247,199	Deutsche Lufthansa AG (Registered) *		4,409,953
	215,333	Deutsche Post AG (Registered)		6,224,335
	26,961	Duerr AG		1,808,129
	1,585,450	E. ON AG		25,088,726
	106,366	Freenet AG		2,510,810
	21,588	Hannover Rueck SE		1,506,935
	108,966	Kloeckner & Co SE *		1,405,141
	14,810	Merck KGaA		2,249,897
	70,822	Metro AG		2,595,133
	44,440	Muenchener Rueckversicherungs AG (Registered)		8,097,856
	362,108	RWE AG		9,945,274
	49,338	Salzgitter AG		1,870,646
	81,118	SAP AG		5,991,274
		Total Germany		94,495,735
		Greece — 0.0%
	296,326	OPAP SA		2,931,035
	139,101	Public Power Corp SA		1,310,086
		Total Greece		4,241,121
		Hong Kong — 0.3%
	524,000	AAC Technologies Holdings Inc		2,364,596
	251,000	Cheung Kong Holdings Ltd		3,577,416
	238,500	CLP Holdings Ltd		1,908,418
	1,676,400	Esprit Holdings Ltd		2,850,644
	1,339,300	Hong Kong & China Gas		3,103,027
	419,552	Link (REIT)		1,922,198
	171	Melco International Development Ltd		388
	953,000	Pacific Basin Shipping Ltd		592,773
	369,600	Sands China Ltd		2,115,804
	359,000	Sun Hung Kai Properties Ltd		4,643,140
	279,000	Wharf Holdings Ltd (The)		2,276,155

Shares		Description	Value ($)
		Hong Kong — continued
	316,500	Yue Yuen Industrial Holdings Ltd		968,317
		Total Hong Kong		26,322,876
		Hungary — 0.0%
	40,060	OTP Bank Plc		744,188
		India — 0.5%
	83,954	Aban Offshore Ltd		269,098
	586,562	Allahabad Bank		586,367
	212,247	Aurobindo Pharma Ltd		583,393
	42,785	Bank of Baroda		298,852
	468,076	Cairn India Ltd		2,284,740
	86,551	Cipla Ltd		547,349
	28,167	Financial Technologies India Ltd		48,054
	58,259	GAIL India Ltd		260,144
	146,249	HCL Technologies Ltd		2,307,959
	23,795	Hero MotoCorp Ltd *		722,843
	310,287	Hexaware Technologies Ltd		605,558
	429,480	Hindalco Industries Ltd		677,474
	312,200	Hindalco Industries Ltd GDR, 144A (c)		481,603
	1,386,554	Housing Development & Infrastructure Ltd *		688,493
	145,031	Idea Cellular Ltd *		350,392
	72,881	Infosys Ltd		3,400,995
	175,500	Infosys Technologies Ltd Sponsored ADR		8,137,935
	79,791	Jai Balaji Industries Ltd *		24,147
	120,396	Jindal Steel & Power Ltd		402,236
	29,859	JSW Steel Ltd		242,455
	145,514	Karnataka Bank Ltd		166,025
	45,687	Lupin Ltd		556,026
	1,003,103	NHPC Ltd		242,323
	156,755	NTPC Ltd		309,509
	208,979	Oil & Natural Gas Corp Ltd		795,935
	159,549	Oriental Bank of Commerce		307,977
	86,098	Punjab National Bank Ltd (c)		560,776
	206,991	Reliance Energy Ltd		1,083,419
	25,584	Reliance Industries Ltd		328,320
	9,527	Reliance Industries Ltd GDR, 144A		239,648
	348,177	Sesa Goa Ltd		991,955
	375,346	Steel Authority of India Ltd		261,902
	462,004	Sterlite Industries India Ltd		644,232
	121,300	Sterlite Industries India Ltd ADR		727,800
	59,155	Sun Pharmaceutical Industries Ltd *		466,921
	187,966	Tata Consultancy Services Ltd		5,768,404
	151,927	Tata Motors Ltd		680,921
	5,100	Tata Motors Ltd Sponsored ADR		113,832
	158,802	Tata Motors Ltd - Class A		350,152
	231,417	Tata Steel Ltd		947,675

10 See accompanying notes to the financial statements.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		India — continued
	225,767	Tech Mahindra Ltd		4,687,271
	195,176	Wipro Ltd		1,408,921
	74,513	Wipro Ltd ADR		672,107
		Total India		45,232,138
		Indonesia — 0.4%
	19,017,500	Astra International Tbk PT		10,509,553
	636,000	Bank Central Asia Tbk PT		525,355
	5,331,670	Bank Mandiri Persero Tbk PT		3,455,833
	3,141,500	Bank Negara Indonesia Persero Tbk PT		1,103,775
	5,935,270	Bank Rakyat Indonesia Persero Tbk PT		3,574,477
	2,807,000	Bank Tabungan Negara Persero Tbk PT		243,518
	2,085,000	Gajah Tunggal Tbk PT		355,746
	10,103,500	Global Mediacom Tbk PT *		1,612,711
	1,178,500	Harum Energy Tbk PT		346,532
	777,500	Indosat Tbk PT		292,913
	17,185,500	Kalbe Farma Tbk PT		2,116,144
	6,290,500	Media Nusantara Citra Tbk PT *		1,691,426
	1,107,000	Mitra Adiperkasa Tbk PT		480,362
	28,808,500	MNC Investama Tbk PT		906,516
	2,236,000	MNC Sky Vision Tbk PT *		379,538
	3,558,000	Ramayana Lestari Sentosa Tbk PT		328,104
	1,259,150	Semen Gresik Persero Tbk PT		1,449,746
	30,312,500	Telekomunikasi Indonesia Persero Tbk PT		6,088,850
	35,300	Telekomunikasi Indonesia Tbk PT Sponsored ADR		1,308,218
	2,538,000	XL Axiata Tbk PT		1,038,914
		Total Indonesia		37,808,231
		Ireland — 0.0%
	10,812	Paddy Power Plc		869,701
	99,109	Smurfit Kappa Group Plc		2,015,736
		Total Ireland		2,885,437
		Israel — 0.0%
	265,349	Bank Hapoalim BM		1,225,886
	482,402	Bank Leumi Le-Israel *		1,578,515
	631,276	Israel Discount Bank Ltd - Class A *		989,051
	90,265	Partner Communications Co Ltd		660,279
		Total Israel		4,453,731
		Italy — 1.2%
	3,425,070	A2A SPA		2,971,029
	238,782	Assicurazioni Generali SPA		4,567,383
	100,765	Azimut Holding SPA		2,162,191
	6,514,560	Enel SPA		21,479,967

Shares		Description	Value ($)
		Italy — continued
	1,130,839	ENI SPA		25,757,994
	59,787	Exor SPA		2,037,163
	1,017,122	Fiat SPA *		7,664,873
	766,382	Finmeccanica SPA *		3,920,683
	4,305,679	Intesa Sanpaolo SPA		8,433,225
	14,951	Italcementi SPA-Di RISP		48,684
	1,753,346	Mediaset SPA *		7,193,648
	295,510	Mediolanum SPA		2,056,628
	1,231,106	Milano Assicurazioni SPA *		778,379
	64,970	Recordati SPA		730,912
	11,192,606	Telecom Italia SPA		7,795,416
	5,419,257	Telecom Italia SPA-Di RISP		2,996,123
	1,812,202	UniCredit SPA		10,235,177
		Total Italy		110,829,475
		Japan — 4.2%
	1,494	Accordia Golf Co Ltd		1,617,025
	361,800	Aeon Co Ltd		4,929,723
	29,200	Alfresa Holdings Corp		1,379,866
	87,000	Astellas Pharma Inc		4,426,375
	93,900	Bridgestone Corp		3,064,775
	224,000	Calsonic Kansei Corp		1,084,342
	694,000	Cosmo Oil Co Ltd *		1,427,354
	983,000	Daikyo Inc		2,838,794
	92,400	Daito Trust Construction Co Ltd		8,433,712
	490,000	Daiwa Securities Group Inc		3,919,933
	251,700	Dena Co Ltd		4,920,118
	609,000	DIC Corp		1,547,975
	218,000	Fuji Heavy Industries Ltd		5,248,232
	51,500	Fuji Oil Co Ltd		903,028
	117,000	Gunze Ltd		290,831
	184,000	Hanwa Co Ltd		791,600
	3,241,000	Haseko Corp *		3,758,464
	19,000	Idemitsu Kosan Co Ltd		1,575,426
	103,700	IT Holdings Corp		1,233,364
	979,200	Itochu Corp		11,023,076
	854	Japan Retail Fund Investment Corp (REIT)		1,566,480
	606,300	Japan Tobacco, Inc.		20,477,693
	339,200	JFE Holdings Inc		7,440,160
	1,754,300	JX Holdings Inc		9,217,639
	103,500	K’s Holdings Corp		3,144,590
	129,900	Kao Corp		3,780,806
	2,774,000	Kawasaki Kisen Kaisha Ltd		6,207,874
	278,200	KDDI Corp		13,225,183
	2,142,000	Kobe Steel Ltd *		3,390,581
	34,086	Kohnan Shoji Co Ltd		364,802
	499,200	Leopalace21 Corp *		3,058,623
	1,030,000	Marubeni Corp		7,439,516
	1,420,000	Mazda Motor Corp *		5,653,096

See accompanying notes to the financial statements. 11

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	127,504	Medipal Holdings Corp		1,419,241
	917,500	Mitsubishi Chemical Holdings Corp		4,296,266
	689,600	Mitsubishi Corp		12,829,178
	194,000	Mitsubishi Gas Chemical Co Inc		1,553,391
	477,000	Mitsubishi Heavy Industries Ltd		2,602,159
	413,400	Mitsubishi UFJ Lease & Finance Co Ltd		1,863,648
	642,100	Mitsui & Co Ltd		8,879,519
	1,137,000	Mitsui Chemicals Inc		3,004,817
	1,129,000	Mitsui Engineering & Shipbuilding Co Ltd		2,028,958
	109,000	Mitsui Fudosan Co Ltd		3,412,302
	712,012	Mitsui Mining & Smelting Co Ltd		1,652,946
	1,379,134	Mitsui OSK Lines Ltd *		5,407,975
	3,004,500	Mizuho Financial Group Inc		6,089,810
	888,000	NEC Corp		1,875,934
	119,100	NET One Systems Co Ltd		888,393
	184,000	Nichirei Corp		882,315
	72,000	Nippon Corp		1,151,479
	538,300	Nippon Light Metal Co Ltd		679,665
	119,932	Nippon Paper Industries Co Ltd		1,626,578
	1,267,000	Nippon Steel Corp		3,578,818
	266,200	Nippon Telegraph & Telephone Corp		13,504,770
	1,507,000	Nippon Yusen Kabushiki Kaisha		4,261,893
	264,041	Nipro Corp		2,265,961
	131,000	Nisshinbo Industries Inc		959,888
	46,000	Nitto Denko Corp		2,432,725
	860,100	Nomura Holdings Inc		5,930,231
	144,286	North Pacific Bank Ltd		561,071
	8,480	NTT Docomo Inc		13,556,371
	14,700	Okinawa Electric Power Co		503,368
	1,062	ORIX JREIT Inc (REIT)		1,118,679
	35,879	Point Inc		1,682,555
	2,123,400	Resona Holdings Inc		10,075,693
	323,000	Ricoh Co Ltd		3,475,741
	164,800	Round One Corp		923,051
	29,000	Ryohin Keikaku Co Ltd		2,540,878
	44,400	Sankyo Co Ltd		2,060,260
	99,500	Sega Sammy Holdings Inc		2,368,158
	77,000	Seino Holdings Co Ltd		683,960
	14,800	Shimamura Co Ltd		1,506,060
	1,369,000	Shinsei Bank Ltd		2,678,068
	316,500	Showa Shell Sekiyu KK		3,128,445
	43,686	SoftBank Corp		2,725,401
	2,376,800	Sojitz Corp		4,221,538
	856,000	Sumitomo Corp		10,783,807
	183,200	Sumitomo Electric Industries Ltd		2,447,388
	546,193	Sumitomo Light Metal Industries Ltd		536,203
	269,000	Sumitomo Metal Mining Co Ltd		3,594,201
	123,000	Sumitomo Mitsui Financial Group Inc		5,406,569

Shares		Description	Value ($)
		Japan — continued
	824,000	Sumitomo Mitsui Trust Holdings Inc		3,558,505
	74,000	Sumitomo Realty & Development Co Ltd		3,234,135
	85,000	Suruga Bank Ltd		1,329,680
	28,752	Suzuken Co Ltd		883,262
	297,500	Takeda Pharmaceutical Co Ltd		13,463,271
	387,000	Tokyo Tatemono Co Ltd		3,268,954
	147,000	TonenGeneral Sekiyu KK		1,332,071
	785,000	Tosoh Corp		2,785,678
	325,600	Toyota Motor Corp		19,585,291
	213,000	Toyota Tsusho Corp		4,867,614
	289,200	UNY Co Ltd		1,838,467
	2,417	Yahoo! Japan Corp		1,190,627
	145,510	Yamada Denki Co Ltd		4,583,015
		Total Japan		382,957,951
		Malaysia — 0.1%
	670,500	AMMB Holdings Berhad		1,515,418
	800,800	CIMB Group Holdings Berhad		1,771,280
	313,596	Hong Leong Bank Berhad		1,344,328
		Total Malaysia		4,631,026
		Mexico — 0.1%
	370,900	America Movil SAB de CV		7,158,370
	1,937,400	America Movil SAB de CV - Class L		1,874,903
	11,800	Fomento Economico Mexicano SAB de CV		111,252
	10,100	Fomento Economico Mexicano SAB de CV Sponsored ADR		953,238
	175,600	Grupo Financiero Banorte SAB de CV - Class O		1,081,252
	104,800	Grupo Financiero Santander Mexico SAB de CV		1,429,472
	200	Grupo Financiero Santander Mexico SAB de CV - Class B		546
	32,300	Grupo Televisa SAB Sponsored ADR		812,345
	17,200	Grupo Televisa SAB - Series CPO		86,277
	252,800	Wal-Mart de Mexico SAB de CV -Class V		605,464
		Total Mexico		14,113,119
		Netherlands — 0.4%
	906,377	Aegon NV		6,451,741
	48,281	CSM NV		1,142,283
	943,623	ING Groep NV *		10,273,803
	267,052	Koninklijke BAM Groep NV		1,090,541
	77,850	Koninklijke Philips Electronics NV		2,407,281
	85,275	SNS REAAL NV * (c)		—
	286,473	Unilever NV		10,778,730
	187,600	VimpelCom Ltd Sponsored ADR		2,012,948
		Total Netherlands		34,157,327

12 See accompanying notes to the financial statements.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		New Zealand — 0.1%
	321,916	Chorus Ltd		721,773
	258,310	Fletcher Building Ltd		1,744,159
	1,514,867	Telecom Corp of New Zealand		2,656,718
		Total New Zealand		5,122,650
		Norway — 0.1%
	401,906	DNB ASA		6,230,305
	155,513	Golden Ocean Group Ltd *		197,716
	132,501	StatoilHydro ASA		2,906,979
	43,807	TGS Nopec Geophysical Co ASA		1,289,262
		Total Norway		10,624,262
		Peru — 0.1%
	465,455	Compania de Minas Buenaventura SA ADR		5,878,697
		Philippines — 0.1%
	1,001,340	BDO Unibank Inc		1,655,713
	59,450	GT Capital Holdings Inc		1,029,685
	593,866	Metropolitan Bank & Trust		1,081,068
	20,415	Philippine Long Distance Telephone Co		1,306,710
	5,700	Philippine Long Distance Telephone Co Sponsored ADR		361,095
	1,524,100	Puregold Price Club Inc		1,317,324
		Total Philippines		6,751,595
		Poland — 0.2%
	1,579,123	Boryszew SA *		234,637
	372,502	KGHM Polska Miedz SA		14,129,341
	168,355	Synthos SA		230,734
		Total Poland		14,594,712
		Portugal — 0.1%
	1,565,071	EDP-Energias de Portugal SA		5,531,192
		Russia — 1.3%
	9,364	Bashneft OAO		535,206
	30,286	Gazprom Neft JSC Sponsored ADR		623,117
	4,995,108	Gazprom OAO Sponsored ADR		39,242,467
	377,963	Lukoil OAO Sponsored ADR		21,901,335
	972	Magnit OJSC		216,712
	31,154	Magnit OJSC GDR		1,727,660
	12,461	MegaFon OAO GDR		420,697
	204,500	Mobile Telesystems Sponsored ADR *		4,327,220
	44,395	Moscow Exchange (The)		81,208
	9,817	NovaTek OAO GDR		1,175,978
	1,350,593	Rosneft OAO GDR (Registered Shares)		9,921,994

Shares		Description	Value ($)
		Russia — continued
	13,116	Rostelecom OJSC Sponsored ADR		242,859
	1,798,320	Sberbank Sponsored ADR		18,956,870
	68,631	Sistema JSFC GDR (Registered Shares)		1,519,589
	690,153	Surgutneftegas OAO Sponsored ADR		5,375,593
	83,587	Tatneft Sponsored ADR		3,165,264
	388,994,452	VTB Bank OJSC		518,919
	2,198,830	VTB Bank OJSC GDR (Registered Shares)		5,830,266
		Total Russia		115,782,954
		Singapore — 0.2%
	825,000	CapitaCommercial Trust (REIT)		873,327
	1,111,085	Ezra Holdings Ltd *		720,766
	10,838,000	Golden Agri-Resources Ltd		4,745,601
	176,000	Ho Bee Investment Ltd		280,716
	3,748,000	Noble Group Ltd		2,369,067
	330,000	Singapore Technologies Engineering Ltd		1,022,202
	2,085,000	Singapore Telecommunications		5,725,030
	696,000	Swiber Holdings Ltd		339,827
	1,552,000	Yangzijiang Shipbuilding Holdings Ltd		1,147,182
		Total Singapore		17,223,718
		South Africa — 0.4%
	1,569,030	African Bank Investments Ltd		2,493,542
	105,867	AngloGold Ashanti Ltd Sponsored ADR *		1,415,442
	97,032	Barclays Africa Group Ltd		1,292,689
	35,993	Bidvest Group Ltd		884,539
	92,830	Exxaro Resources Ltd		1,467,040
	435,107	FirstRand Ltd		1,271,836
	64,949	Foschini Group Ltd (The)		607,390
	29,016	Gold Fields Ltd		150,003
	28,014	Gold Fields Ltd Sponsored ADR		144,272
	471,447	Growthpoint Properties Ltd		1,087,990
	31,498	Imperial Holdings Ltd		637,340
	77,273	Investec Ltd		499,817
	408,125	MTN Group Ltd		7,454,865
	108,616	Naspers Ltd - N Shares		8,947,084
	29,392	Remgro Ltd		534,691
	92,349	Sasol Ltd		4,323,946
	1,647	Sasol Ltd Sponsored ADR		77,096
	108,829	Standard Bank Group Ltd		1,211,124
	243,807	Steinhoff International Holdings Ltd *		696,603
	239,095	Telkom South Africa Ltd *		532,530
	176,394	Vodacom Group Ltd		1,990,464
	71,718	Wilson Bayly Holmes-Ovcon Ltd		987,018
		Total South Africa		38,707,321

See accompanying notes to the financial statements. 13

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		South Korea — 2.5%
	151,200	BS Financial Group Inc		1,930,852
	6,046	CJ Corp		578,024
	1,349	CJ O Shopping Co Ltd		404,298
	23,216	Daelim Industrial Co Ltd		1,818,204
	61,000	Daewoo Securities Co Ltd		509,262
	34,200	Daewoo Shipbuilding & Marine Engineering Co Ltd		906,248
	38,770	DGB Financial Group Inc		540,803
	46,900	Dongbu Insurance Co Ltd		1,985,492
	34,360	Dongkuk Steel Mill Co Ltd		402,647
	41,420	GS Engineering & Construction Corp		1,312,997
	79,188	GS Holdings		4,022,527
	287,801	Hana Financial Group Inc		9,031,421
	8,589	Hankook Tire Co Ltd		443,978
	44,960	Hankook Tire WorldwideCo Ltd		971,935
	19,790	Hanwha Chem Corp		313,223
	58,590	Hanwha Corp		1,713,299
	13,023	Honam Petrochemical Corp		1,995,609
	10,775	Hyosung Corp		686,223
	24,554	Hyundai Engineering & Construction		1,262,669
	16,860	Hyundai Heavy Industries Co Ltd		3,433,053
	23,230	Hyundai Hysco Co Ltd		903,988
	57,870	Hyundai Marine & Fire Insurance Co Ltd		1,540,114
	3,049	Hyundai Mipo Dockyard		368,008
	44,216	Hyundai Mobis		11,068,175
	76,876	Hyundai Motor Co		17,142,914
	60,770	Hyundai Securities Co Ltd		309,998
	45,627	Hyundai Steel Co		2,998,392
	6,488	Hyundai Wia Corp		996,692
	268,000	Industrial Bank of Korea		2,715,954
	265,210	KB Financial Group Inc		8,460,699
	5,700	KB Financial Group Inc ADR		180,177
	275,156	Kia Motors Corp		16,554,100
	17,597	Kolon Industries Inc		846,376
	6,981	Korea Kumho Petrochemical Co Ltd		575,063
	9,172	Korea Zinc Co Ltd		2,625,561
	214,940	KT Corp		6,972,168
	30,900	KT Corp Sponsored ADR		496,563
	9,601	KT&G Corp		627,146
	20,085	LG Chem Ltd		5,166,947
	18,127	LG Corp		1,089,265
	45,100	LG Display Co Ltd ADR *		585,398
	36,357	LG Electronics Inc		2,357,526
	24,950	LG Fashion Corp		578,691
	28,460	LG International Corp		804,592
	278,150	LG Uplus Corp *		3,265,126
	52,810	LIG Insurance Co Ltd		1,167,131
	4,515	Lotte Shopping Co Ltd		1,381,921
	4,489	LS Corp		284,385

Shares		Description	Value ($)
		South Korea — continued
	9,068	Mando Corp		1,010,197
	87,030	Meritz Fire & Marine Insurance Co Ltd		1,000,423
	8,401	Mirae Asset Securities Co Ltd		239,957
	3,654	NCSoft Corp		529,790
	18,977	O Media Holdings Co Ltd *		649,214
	20,550	Poongsan Corp		470,819
	22,295	POSCO		6,439,346
	31,700	POSCO ADR		2,283,034
	4,681	S-Oil Corp		322,157
	10,013	Samsung C&T Corp		514,146
	26,440	Samsung Card Co		860,079
	18,520	Samsung Electro Mechanics Co Ltd		1,354,792
	32,806	Samsung Electronics Co Ltd		40,220,499
	2,634	Samsung Electronics Co Ltd GDR (Registered Shares)		1,604,568
	31,499	Samsung Engineering Co Ltd		2,374,154
	8,644	Samsung Fire & Marine Insurance Co Ltd		1,943,162
	78,080	Samsung Heavy Industries Co Ltd		2,759,229
	7,423	Samsung Life Insurance Co Ltd		707,572
	10,214	Samsung SDI Co Ltd		1,545,295
	7,472	Samsung Securities Co Ltd		300,340
	15,350	Seah Besteel Corp		408,295
	229,510	Shinhan Financial Group Co Ltd		8,341,113
	3,285	Shinsegae Co Ltd		591,585
	19,626	SK Chemicals Co Ltd		819,184
	3,656	SK Gas Co Ltd		236,819
	12,875	SK Holdings Co Ltd		2,160,048
	61,201	SK Innovation Co Ltd		7,660,614
	36,502	SK Telecom Co Ltd		7,269,150
	108,900	SK Telecom Co Ltd ADR		2,388,177
	23,080	SL Corp		330,260
	42,798	Sungwoo Hitech Co Ltd		580,539
	487,890	Woori Finance Holdings Co Ltd		4,847,666
	71,100	Woori Investment & Securities Co Ltd		691,560
		Total South Korea		229,779,617
		Spain — 1.5%
	1,999,759	Banco Bilbao Vizcaya Argentaria SA		19,110,661
	6,235,319	Banco Santander SA		44,060,226
	435,437	Gas Natural SDG SA		8,525,718
	2,406,511	Iberdrola SA		12,753,433
	200,231	Indra Sistemas SA		2,904,042
	649,432	Repsol YPF SA		15,070,566
	2,492,840	Telefonica SA *		33,888,938
		Total Spain		136,313,584
		Sri Lanka — 0.0%
	1,065,600	Anilana Hotels & Properties Ltd * (d)		68,955

14 See accompanying notes to the financial statements.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Sweden — 0.2%
	85,889	Alliance Oil Co Ltd *		615,820
	145,622	Investor AB		4,196,418
	183,261	Nordea Bank AB		2,130,705
	240,564	Skandinaviska Enskilda Banken AB - Class A		2,468,079
	53,895	Svenska Handelsbanken AB - Class A		2,311,855
	176,049	Swedbank AB A Shares		3,981,892
	440,965	TeliaSonera AB		3,157,272
		Total Sweden		18,862,041
		Switzerland — 0.9%
	16,375	Compagnie Financiere Richemont SA - Class A		1,554,466
	167,219	Credit Suisse Group AG (Registered)		4,819,990
	183,016	Nestle SA (Registered)		11,977,335
	457,685	Novartis AG (Registered)		33,342,196
	114,741	Roche Holding AG (Non Voting)		28,600,926
		Total Switzerland		80,294,913
		Taiwan — 1.2%
	1,017,000	Acer Inc *		674,330
	1,142,000	Advanced Semiconductor Engineering Inc		1,002,209
	254,000	Advantech Co Ltd		1,286,910
	623,000	Asustek Computer Inc		4,942,724
	2,476,000	AU Optronics Corp *		966,981
	401,000	Career Technology MFG Co Ltd		426,128
	850,000	Catcher Technology Co Ltd		4,019,628
	460,600	Cheng Shin Rubber Industry Co Ltd		1,181,449
	268,000	Chipbond Technology Corp		596,394
	1,978,470	Chunghwa Telecom Co Ltd		6,239,937
	500	Chunghwa Telecom Co Ltd ADR		15,725
	5,259,000	Compal Electronics Inc		3,524,546
	799,000	Coretronic Corp		692,500
	415,000	Delta Electronics Inc		1,868,337
	1,462,600	E.Sun Financial Holding Co Ltd		922,658
	344,000	Elan Microelectronics Corp		577,851
	1,539,000	Far EasTone Telecommunications Co Ltd		3,883,868
	332,062	Flexium Interconnect Inc		1,300,727
	533,000	Foxconn Technology Co Ltd		1,351,397
	216,000	Gintech Energy Corp *		178,594
	388,000	Highwealth Construction Corp		858,463
	5,470,000	Hon Hai Precision Industry Co Ltd *		14,751,864
	689,000	HTC Corp		3,582,052
	191,000	ILI Technology Corp		441,836
	49,000	Kinsus Interconnect Technology Corp		178,377
	31,000	Largan Precision Co Ltd		1,077,767
	550,537	Lite-On Technology Corp		930,392
	227,000	Makalot Industrial Co Ltd		1,221,039

Shares		Description	Value ($)
		Taiwan — continued
	252,000	MediaTek Inc		3,075,820
	54,000	MStar Semiconductor Inc		491,280
	1,135,000	Neo Solar Power Corp *		841,907
	189,000	Novatek Microelectronics Corp		781,461
	652,000	Pegatron Corp *		1,002,776
	116,000	Phison Electronics Corp		810,022
	171,000	Pou Chen Corp		186,260
	1,182,000	Powertech Technology Inc		2,148,972
	977,000	Qisda Corp *		227,194
	1,324,000	Quanta Computer Inc		2,772,182
	639,020	Radiant Opto-Electronics Corp		2,015,482
	205,330	Realtek Semiconductor Corp		452,889
	488,000	Shin Kong Financial Holding Co Ltd *		163,916
	58,332	Silicon Motion Technology Corp ADR		650,985
	471,000	Siliconware Precision Industries Co		526,953
	193,000	Simplo Technology Co Ltd		917,347
	590,000	Synnex Technology International Corp		925,364
	4,778,927	Taishin Financial Holding Co Ltd		2,050,886
	1,381,000	Taiwan Mobile Co Ltd		4,966,345
	482,044	Taiwan PCB Techvest Co Ltd		568,089
	741,000	Taiwan Semiconductor Manufacturing Co Ltd		2,456,694
	729,600	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		12,082,176
	292,085	TPK Holding Co Ltd		3,081,515
	560,000	Tripod Technology Corp		1,102,817
	1,061,000	Unimicron Technology Corp		856,481
	2,582,000	United Microelectronics Corp		1,054,985
	2,734,522	Wistron Corp		2,441,395
	781,000	WPG Holdings Co Ltd		892,976
	511,000	Yungtay Engineering Co Ltd		1,179,012
		Total Taiwan		109,418,864
		Thailand — 0.4%
	454,000	Advanced Info Service Pcl (Foreign Registered)		3,369,699
	830,100	Bangchak Petroleum Pcl		815,552
	689,760	Bangkok Dusit Medical Services Pcl -Class F		2,752,051
	189,050	Banpu Pcl (Foreign Registered)		1,617,431
	1,643,840	BTS Rail Mass Transit Growth Infrastructure Fund		477,474
	1,227,300	Charoen Pokphand Foods Pcl (Foreign Registered)		882,618
	409,750	Electricity Generating Pcl (Foreign Registered)		1,636,746
	1,407,300	Esso Thailand Pcl (Foreign Registered)		269,710

See accompanying notes to the financial statements. 15

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Thailand — continued
	685,900	Glow Energy Pcl (Foreign Registered)		1,333,234
	753,700	PTT Exploration & Production Pcl (Foreign Registered)		3,887,421
	940,900	PTT Pcl (Foreign Registered)		9,530,086
	293,000	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) (c)		451,776
	627,500	Ratchaburi Electricity Generating Holding Pcl NVDR		967,539
	160,600	Shin Corp Pcl		377,449
	110,700	Shin Corp Pcl (Foreign Registered) (c)		263,688
	98,300	Siam Cement Pcl NVDR		1,195,908
	990,900	Thai Oil Pcl (Foreign Registered)		1,670,584
	3,056,100	Thai Tap Water Supply Pcl (Foreign Registered)		927,987
	168,900	Thanachart Capital Pcl (Foreign Registered)		168,513
		Total Thailand		32,595,466
		Turkey — 0.2%
	748,674	Akbank TAS		2,468,824
	1,261,875	Asya Katilim Bankasi AS *		1,090,553
	372,303	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		405,145
	154,832	Haci Omer Sabanci Holding AS		654,822
	244,066	Ipek Dogal Enerji Kaynaklari Ve Uretim AS *		477,955
	156,887	KOC Holding AS		628,321
	82,035	Pegasus Hava Tasimaciligi AS *		1,116,552
	471,890	Turk Telekomunikasyon AS		1,428,998
	737,887	Turkcell Iletisim Hizmetleri AS *		3,854,957
	11,300	Turkcell Iletisim Hizmetleri AS ADR *		148,708
	1,657,660	Turkiye Garanti Bankasi AS		5,668,805
	13,165	Turkiye Halk Bankasi AS		83,243
	287,709	Turkiye IS Bankasi - Class C		668,578
	338,811	Turkiye Vakiflar Bankasi TAO - Class D		657,448
	1,243,120	Yapi ve Kredi Bankasi AS		2,447,746
		Total Turkey		21,800,655
		United Kingdom — 5.4%
	46,672	Admiral Group Plc		913,324
	150,290	Amlin Plc		913,691
	181,639	Ashtead Group Plc		1,810,403
	977,794	AstraZeneca Plc		48,144,047
	805,969	Aviva Plc		4,824,258
	1,929,676	BAE Systems Plc		13,009,169
	642,176	Balfour Beatty Plc		2,453,117
	6,650,217	Barclays Plc		29,131,983
	435,156	Barratt Developments Plc *		2,048,682

Shares		Description	Value ($)
		United Kingdom — continued
	105,141	BG Group Plc		2,000,635
	411,749	BHP Billiton Plc		11,975,879
	8,798,383	BP Plc		60,839,214
	200,289	British American Tobacco Plc		10,127,537
	969,500	BT Group Plc		4,882,903
	76,937	Bunzl Plc		1,623,696
	60,735	Cape Plc		238,888
	138,071	Catlin Group Ltd		999,811
	353,898	Cobham Plc		1,562,666
	389,129	Darty Plc		486,344
	664,963	Debenhams Plc		1,104,689
	2,967,213	Dixons Retail Plc *		1,897,499
	222,216	Drax Group Plc		2,401,851
	23,149	Eurasia Drilling Co Ltd GDR		892,426
	1,004,114	Firstgroup Plc		1,785,919
	1,525,649	GlaxoSmithKline Plc		38,909,478
	35,713	Globaltrans Investment Plc		475,377
	1,033,742	Home Retail Group Plc		2,280,779
	151,972	Imperial Tobacco Group Plc		5,024,822
	219,913	Inchcape Plc		2,006,231
	59,057	InterContinental Hotels Group Plc		1,653,921
	195,705	Intermediate Capital Group Plc		1,327,735
	30,380	JD Wetherspoon Plc		334,383
	89,034	Lancashire Holdings Ltd		992,451
	1,216,595	Legal & General Group Plc		3,524,305
	14,342,455	Lloyds Banking Group Plc *		16,132,711
	1,825,008	Man Group Plc		2,305,652
	334,848	Marks & Spencer Group Plc		2,447,845
	60,888	Micro Focus International Plc		747,151
	151,085	National Express Group Plc		618,639
	48,253	Next Plc		3,659,767
	350,550	Prudential Plc		5,863,317
	141,152	Punch Taverns Plc *		28,264
	78,469	Reckitt Benckiser Group Plc		5,332,690
	542,876	Rio Tinto Plc		24,510,727
	186,294	Rolls-Royce Holdings Plc		3,213,142
	1,215,018	Royal Bank of Scotland Group Plc *		6,276,824
	1,609,887	Royal Dutch Shell Plc A Shares (London)		52,066,923
	834,296	Royal Dutch Shell Plc B Shares (London)		28,080,722
	186,857	Scottish & Southern Energy Plc		4,527,184
	184,450	Spirit Pub Co Plc		211,811
	364,752	Standard Life Plc		1,874,010
	2,241,423	Tesco Plc		12,737,891
	1,572,110	Thomas Cook Group Plc *		3,437,872
	495,629	TUI Travel Plc		2,646,297
	41,570	Unilever Plc		1,585,053
	14,411,833	Vodafone Group Plc		46,427,947
	510,542	William Hill Plc		3,286,136

16 See accompanying notes to the financial statements.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	192,131	WPP Plc		3,559,329
		Total United Kingdom		494,176,017
		United States — 17.1%
	243,700	3M Co.		27,679,446
	837,500	Abbott Laboratories		27,913,875
	48,800	Allergan, Inc.		4,312,944
	24,200	AmerisourceBergen Corp.		1,377,464
	122,300	Amgen, Inc.		13,323,362
	47,500	Apple, Inc.		23,134,875
	122,700	Baxter International, Inc.		8,535,012
	73,200	Becton, Dickinson and Co.		7,128,216
	48,500	Bed Bath & Beyond, Inc. *		3,576,390
	392,600	Bristol–Myers Squibb Co.		16,367,494
	27,400	Cardinal Health, Inc.		1,377,672
	610,500	Chevron Corp.		73,522,515
	36,400	Church & Dwight Co., Inc.		2,160,340
	2,029,900	Cisco Systems, Inc.		47,316,969
	2,149,800	Coca-Cola Co. (The)		82,079,364
	562,800	Colgate-Palmolive Co.		32,512,956
	20,100	Copa Holdings SA - Class A		2,628,678
	76,600	Costco Wholesale Corp.		8,569,242
	29,900	CTC Media Inc		320,528
	129,400	CVS Caremark Corp.		7,511,670
	18,000	Danaher Corp.		1,179,360
	349,500	Eli Lilly & Co.		17,964,300
	300,700	EMC Corp.		7,752,046
	776,400	Express Scripts Holding Co. *		49,596,432
	221,900	Exxon Mobil Corp.		19,340,804
	149,000	General Mills, Inc.		7,348,680
	125,800	Gilead Sciences, Inc. *		7,581,966
	106,300	Google, Inc. - Class A *		90,025,470
	1,136,800	Hewlett-Packard Co.		25,396,112
	363,000	International Business Machines Corp.		66,164,010
	67,800	Intuit, Inc.		4,307,334
	1,063,800	Johnson & Johnson		91,922,958
	85,900	Kimberly-Clark Corp.		8,029,932
	64,100	Laboratory Corp. of America Holdings *		6,135,652
	268,100	Lorillard, Inc.		11,340,630
	19,900	Mastercard, Inc. - Class A		12,060,992
	391,500	McDonald’s Corp.		36,941,940
	14,300	McKesson Corp.		1,736,163
	506,300	Medtronic, Inc.		26,201,025
	724,200	Merck & Co., Inc.		34,247,418
	2,722,800	Microsoft Corp.		90,941,520
	192,900	Nike, Inc. - Class B		12,117,978
	2,586,800	Oracle Corp.		82,415,448
	728,400	PepsiCo, Inc.		58,075,332
	2,847,500	Pfizer, Inc.		80,327,975

Shares		Description	Value ($)
		United States — continued
	842,400	Philip Morris International, Inc.		70,289,856
	972,200	Procter & Gamble Co. (The)		75,724,658
	255,700	Qualcomm, Inc.		16,947,796
	79,800	Quest Diagnostics, Inc.		4,677,876
	114,400	Southern Copper Corp.		3,146,000
	102,600	Stryker Corp.		6,862,914
	245,700	Sysco Corp.		7,867,314
	361,100	Target Corp.		22,861,241
	77,000	TJX Cos., Inc. (The)		4,059,440
	278,500	UnitedHealth Group, Inc.		19,979,590
	50,700	Visa, Inc. - Class A		8,843,094
	186,100	Walgreen Co.		8,945,827
	804,600	Wal–Mart Stores, Inc.		58,719,708
	27,000	Yum! Brands, Inc.		1,890,540
	135,600	Zimmer Holdings, Inc.		10,724,604
		Total United States		1,562,040,947
		TOTAL COMMON STOCKS (COST $4,072,343,602)		4,131,237,754
		PREFERRED STOCKS (a) — 1.0%
		Brazil — 0.7%
	26,200	AES Tiete SA, 9.84%		220,717
	449,790	Banco Bradesco SA, 0.24%		5,223,781
	428,310	Banco Bradesco SA ADR, 0.29%		4,976,962
	150,900	Banco do Estado do Rio Grande do Sul SA - Class B, 1.13%		903,142
	279,950	Bradespar SA, 2.09%		2,894,598
	34,800	Braskem SA - Class A *		255,974
	48,200	Cia de Bebidas das Americas ADR, 2.70%		1,676,396
	105,000	Cia Energetica de Minas Gerais Sponsored ADR, 6.77%		818,542
	6,600	Companhia de Bebidas das Americas, 3.20%		230,147
	19,700	Companhia Paranaense de Energia -Class B, 1.70%		235,728
	117,000	Eletropaulo Metropolitana Eletricidade de Sao Paulo SA, 0.04%		357,480
	162,800	Gerdau SA, 0.46%		1,170,192
	215,100	Gerdau SA ADR, 0.52%		1,544,418
	73,200	Gol Linhas Aereas Inteligentes SA *		259,550
	666,260	Itau Unibanco Holding SA, 0.62%		8,098,049
	537,360	Itau Unibanco Holding SA ADR, 0.65%		6,539,671
	2,137,870	Itausa-Investimentos Itau SA, 0.73%		7,490,766
	59,500	Klabin SA, 4.04%		306,983
	161,800	Metalurgica Gerdau SA, 0.38%		1,435,615
	220,100	Petroleo Brasileiro SA (Petrobras), 4.67%		1,549,773
	109,795	Suzano Papel e Celulose SA, 1.03%		432,563

See accompanying notes to the financial statements. 17

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Brazil — continued
	64,000	Telefonica Brasil SA, 2.96%		1,246,765
	78,400	Telefonica Brasil SA ADR, 3.44%		1,546,832
	34,200	Tim Participacoes SA ADR		674,424
	470,700	Usinas Siderurgicas de Minas Gerais SA *		2,033,956
	1,518,900	Vale SA, 0.48%		19,798,315
	253,300	Vale SA Sponsored ADR, 2.86%		3,287,834
		Total Brazil		75,209,173
		Germany — 0.1%
	72,501	Porsche Automobil Holding SE, 3.15%		6,100,849
		Russia — 0.1%
	1,062,224	Sberbank, 4.56%		2,229,723
	6,071,773	Surgutneftegas OJSC, 7.01%		4,096,704
		Total Russia		6,326,427
		South Korea — 0.1%
	18,532	Hyundai Motor Co, 1.81%		1,863,022
	17,891	Hyundai Motor Co, 1.86%		1,670,288
	2,749	Samsung Electronics Co Ltd (Non-Voting), 0.91%		2,267,351
		Total South Korea		5,800,661
		TOTAL PREFERRED STOCKS (COST $104,029,379)		93,437,110

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS (a) — 8.2%
		Money Market Funds — 3.9%
	355,868,646	State Street Institutional Treasury Money Market Fund - Institutional Class, 0.00% (e)		355,868,646
		U.S. Government — 4.3%
	50,000,000	U.S. Treasury Bill, 0.02%, due 11/14/13 (f) (g)		49,998,250
	86,000,000	U.S. Treasury Bill, 0.04%, due 02/06/14 (f) (g)		85,985,122
	150,000,000	U.S. Treasury Bill, 0.07%, due 04/03/14 (f) (g)		149,940,300
	107,000,000	U.S. Treasury Bill, 0.08%, due 05/29/14 (f)		106,936,228
		Total U.S. Government		392,859,900
		TOTAL SHORT-TERM INVESTMENTS (COST $748,621,650)		748,728,546
		TOTAL INVESTMENTS — 100.5% (Cost $9,155,569,799)		9,184,004,901
		Other Assets and Liabilities (net) —(0.5%)		(43,737,940	)
		TOTAL NET ASSETS — 100.0%		$9,140,266,961

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Forward Currency Contracts ^(a)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/03/2013	BCLY		BRL	192,933,949		USD	87,427,021	$	7,114,395
10/03/2013	BOA		BRL	96,102,757		USD	42,196,600		2,191,900
09/03/2013	BCLY		CAD	104,787,523		USD	102,594,100		3,109,126
09/03/2013	MSCI		CAD	52,387,487		USD	51,290,787		1,554,257
11/05/2013	BCLY		CAD	77,812,625		USD	74,134,798		372,149
11/05/2013	DB		CAD	79,362,385		USD	75,606,698		374,951
10/15/2013	BCLY		CHF	20,047,627		USD	21,642,322		89,321
10/15/2013	GS		CHF	9,793,210		USD	10,599,228		70,648
10/15/2013	JPM		CHF	10,169,872		USD	10,977,071		43,545
10/15/2013	MSCI		CHF	19,933,805		USD	21,542,691		112,060
10/22/2013	BBH		EUR	93,014,000		USD	124,274,145		1,321,464
10/22/2013	BCLY		EUR	209,935,378		USD	278,246,575		738,701
10/22/2013	DB		EUR	69,874,791		USD	92,648,732		283,143
10/22/2013	MSCI		EUR	139,438,518		USD	184,842,913		522,923
09/17/2013	BCLY		GBP	104,809,462		USD	161,684,187		(722,730	)
09/17/2013	JPM		GBP	96,176,904		USD	147,642,200		(1,388,185	)
09/17/2013	MSCI		GBP	93,182,487		USD	145,861,101		1,470,698
09/27/2013	BOA		IDR	211,216,335,000		USD	20,373,911		1,098,742

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
09/25/2013	BCLY		JPY	9,432,005,567		USD	99,315,423	$	3,242,908
09/25/2013	GS		JPY	8,105,537,841		USD	80,807,300		(1,754,081	)
09/25/2013	JPM		JPY	9,825,005,798		USD	103,392,055		3,316,519
09/25/2013	MSCI		JPY	9,881,587,511		USD	103,974,027		3,322,161
11/01/2013	BCLY		KRW	95,274,609,847		USD	84,952,840		(564,144	)
11/01/2013	JPM		KRW	95,332,127,740		USD	85,023,079		(545,532	)
09/11/2013	BCLY		NZD	38,705,442		USD	30,851,527		954,166
09/11/2013	DB		NZD	38,557,371		USD	30,747,190		964,204
09/11/2013	JPM		NZD	36,139,630		USD	28,132,100		216,657
09/25/2013	BCLY		RUB	3,183,304,588		USD	96,648,033		1,526,409
09/23/2013	BCLY		TWD	1,668,620,855		USD	55,881,475		105,693
09/03/2013	BCLY		USD	74,248,688		CAD	77,812,625		(373,605	)
09/03/2013	DB		USD	75,723,131		CAD	79,362,385		(376,710	)
09/11/2013	JPM		USD	38,066,000		NZD	48,976,178		(235,183	)
10/01/2013	JPM		USD	5,913,197		SGD	7,424,652		(92,475	)
11/22/2013	DB		USD	38,930,379		CNY	240,694,857		227,753
								$	28,291,848

18 See accompanying notes to the financial statements.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Futures Contracts ^(a)

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
115	DAX	September 2013	$	30,779,138	$	(322,094	)
21	FTSE/MIB	September 2013		2,306,929		(62,837	)
518	S&P 500 E-Mini Index	September 2013		42,250,670		74,250
30	SPI 200	September 2013		3,401,770		29,606
46	TOPIX	September 2013		5,131,478		(168,894	)
			$	83,869,985	$	(449,969	)

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Sales
62	S&P Toronto 60	September 2013	$	8,538,591	$	(302,299	)
			$	8,538,591	$	(302,299	)

Written Options ^(a)

Index Options

Contract Number			Expiration Date	Description	Premiums		Market Value
Put	383	EUR	9/20/2013	Euro STOXX 50, Strike 2,750	$	249,681	$	(328,001	)
Put	402	EUR	9/20/2013	Euro STOXX 50, Strike 2,800		282,858		(495,716	)
Put	2,452	EUR	9/20/2013	Euro STOXX 50, Strike 2,825		1,287,641		(3,632,341	)
Put	25	GBP	9/20/2013	FTSE 100, Strike 6,625		57,519		(84,217	)
Put	341	GBP	9/20/2013	FTSE 100, Strike 6,475		513,603		(682,672	)
Put	18	GBP	9/20/2013	FTSE 100, Strike 6,500		29,640		(39,679	)
Put	172	HKD	9/27/2013	Hang Seng, Strike 21,600		532,748		(499,291	)
Put	466	JPY	9/13/2013	Nikkei 225, Strike 13,625		1,919,884		(2,425,861	)
Put	50	JPY	9/13/2013	Nikkei 225, Strike 14,000		249,139		(399,074	)
Put	818	USD	9/21/2013	S&P 500, Strike 1,660		2,155,010		(3,390,610	)
Put	6	USD	9/21/2013	S&P 500, Strike 1,635		12,822		(15,000	)
Put	3	USD	9/21/2013	S&P 500, Strike 1,685		12,231		(17,100	)
Put	48	USD	9/21/2013	S&P 500, Strike 1,690		136,654		(311,520	)
Put	37	USD	9/21/2013	S&P 500, Strike 1,705		99,788		(288,970	)
Put	31	AUD	9/19/2013	S&P ASX 200, Strike 5,000		27,183		(9,177	)
Put	64	AUD	9/19/2013	S&P ASX 200, Strike 5,100		63,089		(38,052	)
Put	204	CAD	9/20/2013	S&P TSX 60, Strike 710		24,114		(5,132	)
Put	6	CAD	9/20/2013	S&P TSX 60, Strike 720		768		(453	)
Put	237	CAD	9/20/2013	S&P TSX 60, Strike 725		36,025		(22,051	)
Put	2,320	CAD	9/20/2013	S&P TSX 60, Strike 730		237,184		(267,616)
Put	287	AUD	9/19/2013	SPI 200, Strike 5,150		255,430		(237,832	)
Put	224	AUD	9/19/2013	SPI 200, Strike 5,125		186,208		(164,721	)
Put	22	AUD	9/19/2013	SPI 200, Strike 5,075		25,494		(10,976	)
					$	8,394,713	$	(13,366,062)

As of August 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

See accompanying notes to the financial statements. 19

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Notes to Consolidated Schedule of Investments:

* Non-income producing security.

(a) All or a portion of this security is owned by GMO Implementation Fund, which is a 100% owned subsidiary of GMO Benchmark-Free Allocation Fund.

(b) Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

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

(d) The security is restricted as to resale.

(e) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

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

(g) All or a portion of this security has been pledged to cover margin requirements on futures and cleared swap contracts, collateral on OTC swap contracts and forward currency contracts, and/or written options, if any (Note 4).

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.

20 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		56.8	%
Debt Obligations		21.5
Short-Term Investments		12.0
Futures Contracts		5.8
Preferred Stocks		1.2
Loan Participations		0.1
Investment Funds		0.1
Forward Currency Contracts		0.1
Loan Assignments		0.0	^
Options Purchased		0.0	^
Rights/Warrants		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Swap Contracts		(0.1	)
Written Options		(0.2	)
Other		2.7
		100.0	%
Country/Region Summary**	% of Investments
United States		48.7	%
Emerging***		18.4
United Kingdom		9.4
Japan		5.2
France		4.5
Germany		2.7
Spain		2.3
Italy		1.9
Australia		1.7
Switzerland		1.4
Hong Kong		0.7
Netherlands		0.7
Canada		0.4
Sweden		0.4
Singapore		0.3
Belgium		0.2
Finland		0.2
New Zealand		0.2
Norway		0.2
Austria		0.1
Greece		0.1
Ireland		0.1
Israel		0.1
Portugal		0.1
Denmark		0.0	^
		100.0	%

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

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds, except for GMO Alpha Only Fund and GMO Special Situations Fund. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of

securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on the Manager’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security.

*** The “Emerging” exposure is primarily comprised of: Argentina, Brazil, Chile, China, Colombia, Congo, Croatia, Czech Republic, Dominican Republic, Egypt, Hungary, India, Indonesia, Iraq, Ivory Coast, Malaysia, Mexico, Pakistan, Panama, Peru, Philippines, Poland, Russia, Serbia, South Africa, South Korea, Sri Lanka, Taiwan, Thailand, Tunisia, Turkey, Ukraine, Uruguay, and Venezuela.

^ Rounds to 0.0%.

21

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	8,705,374	GMO Alpha Only Fund, Class IV		209,799,521
	7,959,958	GMO Alternative Asset Opportunity Fund		246,679,084
	20,619,353	GMO Asset Allocation Bond Fund, Class VI		497,338,803
	38,161,995	GMO Currency Hedged International Equity Fund, Class III		935,732,106
	6,077,309	GMO Debt Opportunities Fund, Class VI		165,363,584
	18,485,509	GMO Emerging Country Debt Fund, Class IV		177,091,175
	48,045,601	GMO Emerging Markets Fund, Class VI		496,791,516
	39,934,999	GMO Quality Fund, Class VI		990,387,986
	23,853,594	GMO Risk Premium Fund, Class VI		242,113,979
	930,632	GMO Special Situations Fund, Class VI		24,159,220
	5,350,790	GMO Strategic Fixed Income Fund, Class VI		85,666,150
		TOTAL MUTUAL FUNDS (COST $3,954,399,955)		4,071,123,124
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	60,321	State Street Eurodollar Time Deposit, 0.01%, due 09/03/2013		60,321
		TOTAL SHORT-TERM INVESTMENTS (COST $60,321)		60,321
		TOTAL INVESTMENTS — 100.0% (Cost $3,954,460,276)		4,071,183,445
		Other Assets and Liabilities (net) — (0.0%)		(89,439	)
		TOTAL NET ASSETS — 100.0%		$4,071,094,006

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.

22 See accompanying notes to the financial statements.

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		61.3	%
Debt Obligations		22.9
Short-Term Investments		12.8
Futures Contracts		7.5
Preferred Stocks		1.0
Loan Participations		0.1
Forward Currency Contracts		0.1
Options Purchased		0.1
Investment Funds		0.1
Loan Assignments		0.0	^
Rights/Warrants		0.0	^
Reverse Repurchase Agreements		(0.1	)
Written Options		(0.1	)
Swap Contracts		(0.2	)
Other		(5.5	)
		100.0	%
Country/Region Summary**	% of Investments
United States		49.3	%
Emerging***		14.8
United Kingdom		10.3
France		4.9
Japan		4.6
Germany		2.9
Spain		2.7
Italy		2.2
Australia		1.8
Switzerland		1.8
Sweden		0.8
Canada		0.7
Hong Kong		0.7
Netherlands		0.5
New Zealand		0.5
Singapore		0.4
Belgium		0.2
Finland		0.2
Norway		0.2
Austria		0.1
Greece		0.1
Ireland		0.1
Israel		0.1
Portugal		0.1
Denmark		0.0	^
Ghana		0.0	^
		100.0	%

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

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds, except for GMO Alpha Only Fund and GMO Special Situations Fund. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both

investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on the Manager’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security.

*** The “Emerging” exposure is primarily comprised of: Argentina, Brazil, Chile, China, Colombia, Congo, Croatia, Czech Republic, Dominican Republic, Egypt, Hungary, India, Indonesia, Iraq, Ivory Coast, Malaysia, Mexico, Pakistan, Panama, Peru, Philippines, Poland, Russia, Serbia, South Africa, South Korea, Sri Lanka, Taiwan, Thailand, Tunisia, Turkey, Ukraine, Uruguay, and Venezuela.

^ Rounds to 0.0%.

23

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 99.6%
		Affiliated Issuers — 99.6%
	19,444,471	GMO Alpha Only Fund, Class IV		468,611,748
	11,345,701	GMO Alternative Asset Opportunity Fund		351,603,286
	20,401,149	GMO Asset Allocation Bond Fund, Class VI		492,075,713
	11,050,815	GMO Currency Hedged International Equity Fund, Class III		270,965,989
	4,592,091	GMO Debt Opportunities Fund, Class VI		124,950,803
	2,613,301	GMO Domestic Bond Fund, Class VI		38,206,460
	17,798,310	GMO Emerging Country Debt Fund, Class IV		170,507,814
	41,778,568	GMO Emerging Markets Fund, Class VI		431,990,393
	2,806,699	GMO International Growth Equity Fund, Class IV		73,956,514
	43,269,893	GMO International Intrinsic Value Fund, Class IV		968,380,195
	11,907,298	GMO Risk Premium Fund, Class VI		120,859,078
	937,014	GMO Special Situations Fund, Class VI		24,324,893
	15,368,407	GMO Strategic Fixed Income Fund, Class VI		246,048,193
	100,331,780	GMO U.S. Flexible Equities Fund, Class VI		1,091,609,770
		TOTAL MUTUAL FUNDS (COST $4,789,654,563)		4,874,090,849
		DEBT OBLIGATIONS — 0.4%
		Asset-Backed Securities — 0.4%
		Airlines — 0.0%
	407,138	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, 1 mo. LIBOR + .48%, 0.66%, due 05/15/24		166,926
		Business Loans — 0.1%
	53,967	Bayview Commercial Asset Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .36%, 0.54%, due 04/25/34		49,110
	41,439	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.55%, due 01/25/35		36,881
	208,623	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.57%, due 01/25/36		167,942
	194,920	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, 1 mo. LIBOR + .24%, 0.42%, due 07/25/37		151,063
	679,747	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.48%, due 12/25/37		652,557
	214,283	Bayview Financial Acquisition Trust, Series 04-B, Class A1, 144A, 1 mo. LIBOR + .50%, 1.18%, due 05/28/39		97,499

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Business Loans — continued
	214,283	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.48%, due 05/28/39		80,892
	253,517	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.18%, due 02/28/40		174,065
	46,020	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.47%, due 05/15/32		43,259
	87,175	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.42%, due 11/15/33		79,329
	148,499	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.43%, due 02/25/30		135,885
	112,555	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.43%, due 09/25/30		99,048
	36,350	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A2, 144A, 1 mo. LIBOR + .85%, 1.03%, due 10/25/37		36,230
		Total Business Loans		1,803,760
		CMBS — 0.0%
	355,027	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.31%, due 12/15/20		346,152
	254,989	GS Mortgage Securities Corp., Series 06-GG6, Class A2, 5.51%, due 04/10/38		258,814
	95,450	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .51%, 1.26%, due 03/06/20		95,154
	249,386	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.83%, due 05/12/39		250,458
		Total CMBS		950,578
		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%, 1.06%, due 11/23/52		500
	478,681	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.51%, due 05/25/46		449,960
		Total CMBS Collateralized Debt Obligations		450,460

24 See accompanying notes to the financial statements.

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Insured Business Loans — 0.0%
	141,237	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.62%, due 10/25/30		102,467
		Insured Other — 0.0%
	26,667	GE Seaco Finance SRL, Series 04-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .30%, 0.48%, due 04/17/19		26,627
	456,395	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.38%, due 09/15/41		432,524
	456,076	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.38%, due 12/15/41		434,608
	95,774	TIB Card Receivables Fund, Series 2005-B, 144A, FGIC, 3 mo. LIBOR + .25%, 0.52%, due 01/05/14		86,196
	100,000	Toll Road Investment Part II, Series 1999B, 144A, MBIA, Zero Coupon, due 02/15/30		31,850
	900,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		176,085
		Total Insured Other		1,187,890
		Insured Residential Asset-Backed Securities (United States) ¿ — 0.0%
	49,563	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, 1 mo. LIBOR + .21%, 0.60%, due 07/25/34		45,846
	60,164	Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, 1 mo. LIBOR + .38%, 0.56%, due 12/25/33		55,952
	16,367	Quest Trust, Series 04-X1, Class A, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.51%, due 03/25/34		15,548
	157,604	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.40%, due 11/25/35		145,784
		Total Insured Residential Asset-Backed Securities (United States)		263,130
		Insured Residential Mortgage-Backed Securities (United States) ¿ — 0.0%
	10,988	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.52%, due 10/25/34		9,422
	27,228	Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.51%, due 01/25/35		21,783
	197,276	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.33%, due 06/15/37		153,185
	126,710	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, 1 mo. LIBOR + .23%, 0.41%, due 10/25/34		106,386

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Insured Residential Mortgage-Backed Securities (United States) ¿ — continued
	4,284	GreenPoint Home Equity Loan Trust, Series 04-1, Class A, AMBAC, 1 mo. LIBOR + .23%, 0.64%, due 07/25/29		4,172
	7,380	GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, 1 mo. LIBOR + .28%, 0.74%, due 08/15/30		6,126
	2,584	Home Equity Loan Trust, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.47%, due 12/25/32		2,248
	9,233	Lehman ABS Corp., Series 04-2, Class A, AMBAC, 1 mo. LIBOR + .22%, 0.62%, due 06/25/34		8,333
		Total Insured Residential Mortgage-Backed Securities (United States)		311,655
		Insured Time Share — 0.0%
	107,222	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.18%, due 09/20/19		107,212
		Residential Asset-Backed Securities (United States) ¿ — 0.2%
	37,311	Accredited Mortgage Loan Trust, Series 04-4, Class A1B, 1 mo. LIBOR + .39%, 0.57%, due 01/25/35		34,839
	67,766	ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + .14%, 0.46%, due 02/25/36		24,226
	96,598	ACE Securities Corp., Series 06-ASP2, Class A2C, 1 mo. LIBOR + .18%, 0.36%, due 03/25/36		90,561
	619,232	ACE Securities Corp., Series 06-ASP5, Class A2C, 1 mo. LIBOR + .18%, 0.36%, due 10/25/36		318,904
	138,544	ACE Securities Corp., Series 06-HE2, Class A2C, 1 mo. LIBOR + .16%, 0.34%, due 05/25/36		87,283
	20,016	ACE Securities Corp., Series 06-HE3, Class A2B, 1 mo. LIBOR + .09%, 0.27%, due 06/25/36		10,458
	312,775	ACE Securities Corp., Series 06-OP1, Class A2C, 1 mo. LIBOR + .15%, 0.33%, due 04/25/36		280,715
	94,438	ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + .16%, 0.50%, due 09/25/35		36,358
	235,679	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.38%, due 06/25/36		84,845
	301,619	ACE Securities Corp., Series 06-SL3, Class A2, 1 mo. LIBOR + .17%, 0.52%, due 06/25/36		105,567

See accompanying notes to the financial statements. 25

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Asset-Backed Securities (United States) ¿ — continued
	125,896	ACE Securities Corp., Series 07-HE1, Class A2A, 1 mo. LIBOR + .09%, 0.27%, due 01/25/37		42,805
	97,882	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.25%, due 11/25/36		35,238
	354,853	Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .20%, 0.58%, due 05/25/37		18,186
	77,694	Argent Securities, Inc., Series 04-W8, Class A5, 1 mo. LIBOR + .52%, 1.22%, due 05/25/34		73,785
	1,258,160	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.33%, due 07/25/36		516,632
	227,448	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.29%, due 09/25/36		90,979
	309,778	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.37%, due 03/25/36		148,693
	237,145	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.33%, due 06/25/36		86,262
	229,839	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.33%, due 10/25/36		185,756
	425,816	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.40%, due 05/25/37		370,460
	97,021	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.29%, due 11/25/36		61,822
	277,918	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.38%, due 11/25/36		109,639
	47,371	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .16%, 0.50%, due 02/25/37		21,033
	1,098,007	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.38%, due 02/25/37		955,595
	219,276	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.34%, due 06/25/36		215,987
	2,247	Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .27%, 0.72%, due 04/25/33		2,164
	359,331	Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, 1 mo. LIBOR + .16%, 0.34%, due 12/25/36		164,394
	780,634	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.32%, due 02/25/37		728,956

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Asset-Backed Securities (United States) ¿ — continued
	17,528	Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.48%, due 04/25/34		13,045
	303,226	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.34%, due 04/25/36		226,283
	116,942	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.38%, due 05/25/36		65,323
	47,231	Fremont Home Loan Trust, Series 06-B, Class 2A2, 1 mo. LIBOR + .10%, 0.28%, due 08/25/36		19,512
	551,058	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.34%, due 08/25/36		217,668
	77,395	Household Home Equity Loan Trust, Series 05-2, Class A2, 1 mo. LIBOR + .31%, 0.49%, due 01/20/35		75,364
	72,193	Household Home Equity Loan Trust, Series 05-3, Class A2, 1 mo. LIBOR + .29%, 0.47%, due 01/20/35		70,614
	209,902	Household Home Equity Loan Trust, Series 06-1, Class A1, 1 mo. LIBOR + .16%, 0.34%, due 01/20/36		204,786
	834,923	JP Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.30%, due 12/25/36		397,340
	439,676	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.33%, due 03/25/36		304,475
	348,818	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.33%, due 06/25/36		185,745
	667,525	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.33%, due 08/25/36		230,296
	436,531	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.34%, due 10/25/36		234,090
	175,673	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .16%, 0.50%, due 03/25/36		37,331
	53,143	Morgan Stanley Capital, Inc., Series 04-SD1, Class A, 1 mo. LIBOR + .40%, 0.98%, due 08/25/34		48,892
	268,092	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.33%, due 11/25/36		106,232
	170,710	People’s Choice Home Loan Securities Trust, Series 05-4, Class 1A2, 1 mo. LIBOR + .26%, 0.44%, due 12/25/35		130,695
	9,319	Saxon Asset Securities Trust, Series 04-1, Class A, 1 mo. LIBOR + .27%, 0.72%, due 03/25/35		6,533

26 See accompanying notes to the financial statements.

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Asset-Backed Securities (United States) ¿ — continued
	4,206	SG Mortgage Securities Trust, Series 05-OPT1, Class A2, 1 mo. LIBOR + .26%, 0.44%, due 10/25/35		4,199
	464,212	Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, 1 mo. LIBOR + .15%, 0.33%, due 06/25/37		259,773
	103,994	Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.38%, due 01/25/36		100,875
	26,965	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.76%, due 11/25/35		26,358
	459,545	Yale Mortgage Loan Trust, Series 07-1, Class A, 144A, 1 mo. LIBOR + .40%, 0.58%, due 06/25/37		219,433
		Total Residential Asset-Backed Securities (United States)		8,087,004
		Residential Mortgage-Backed Securities (Australian) — 0.0%
	114,400	Crusade Global Trust, Series 06-1, Class A1, 144A, 3 mo. LIBOR + .06%, 0.33%, due 07/20/38		112,698
	183,532	Crusade Global Trust, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.33%, due 04/19/38		179,109
	36,772	Interstar Millennium Trust, Series 03-3G, Class A2, 3 mo. LIBOR + .25%, 0.78%, due 09/27/35		34,825
	295,282	Interstar Millennium Trust, Series 04-2G, Class A, 3 mo. LIBOR + .20%, 0.67%, due 03/14/36		282,435
	24,730	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 0.67%, due 12/08/36		23,733
	33,884	Interstar Millennium Trust, Series 06-2GA, Class A2, 144A, 3 mo. LIBOR + .08%, 0.56%, due 05/27/38		32,161
	22,119	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 0.34%, due 05/10/36		22,029
	140,047	Medallion Trust, Series 06-1G, Class A1, 3 mo. LIBOR + .05%, 0.32%, due 06/14/37		137,829
	126,876	National RMBS Trust, Series 06-3, Class A1, 144A, 3 mo. LIBOR + .07%, 0.34%, due 10/20/37		125,864
	152,790	Puma Finance Ltd., Series G5, Class A1, 144A, 3 mo. LIBOR + .07%, 0.40%, due 02/21/38		149,536
	145,282	Superannuation Members Home Loans Global Fund, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.39%, due 06/12/40		145,255

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities (Australian) — continued
	16,138	Superannuation Members Home Loans Global Fund, Series 8, Class A1, 3 mo. LIBOR + .07%, 0.41%, due 01/12/37		16,125
	120,762	Westpac Securitization Trust, Series 07-1G, Class A2A, 144A, 3 mo. LIBOR + .05%, 0.31%, due 05/21/38		119,886
		Total Residential Mortgage-Backed Securities (Australian)		1,381,485
		Residential Mortgage-Backed Securities (European) — 0.1%
	305,776	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, 3 mo. LIBOR + .11%, 0.49%, due 09/20/66		278,707
	550,187	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .20%, 0.47%, due 01/13/39		527,794
	76,884	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .08%, 0.26%, due 12/20/54		75,279
	36,862	Granite Mortgages Plc, Series 04-3, Class 2A1, 3 mo. LIBOR + .28%, 0.55%, due 09/20/44		36,530
	162,778	Kildare Securities Ltd., Series 07-1A, Class A2, 144A, 3 mo. LIBOR + .06%, 0.39%, due 12/10/43		158,709
	73,394	Leek Finance Plc, Series 17A, Class A2B, 144A, 3 mo. LIBOR + .14%, 0.55%, due 12/21/37		75,871
	290,924	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, 3 mo. LIBOR + .22%, 0.48%, due 11/15/38		254,276
	204,597	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .20%, 0.47%, due 09/15/39		178,490
	185,400	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, 3 mo. LIBOR + .42%, 0.68%, due 05/15/34		164,320
		Total Residential Mortgage-Backed Securities (European)		1,749,976
		Residential Mortgage-Backed Securities (United States) — 0.0%
	16,626	Chevy Chase Mortgage Funding Corp., Series 04-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 0.48%, due 08/25/35		13,300
	51,103	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, 1 mo. LIBOR + .25%, 0.43%, due 02/26/34		44,667
		Total Residential Mortgage-Backed Securities (United States)		57,967

See accompanying notes to the financial statements. 27

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — 0.0%
	700,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.52%, due 01/25/24		682,500
	284,596	Nelnet Student Loan Trust, Series 05-2, Class A4, 3 mo. LIBOR + .08%, 0.35%, due 12/23/19		284,223
		Total Student Loans		966,723
		Time Share — 0.0%
	44,852	Sierra Receivables Funding Co., Series 08-1A, Class A2, 144A, 1 mo. LIBOR + 4.00%, 4.18%, due 02/20/20		45,441
		Total Asset-Backed Securities		17,632,674
		U.S. Government Agency — 0.0%
	14,976	Agency for International Development Floater (Support of Peru), Series B, 6 mo. U.S. Treasury Bill +.35%, 0.42%, due 05/01/14 (a)		14,907
		TOTAL DEBT OBLIGATIONS (COST $16,889,550)		17,647,581

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	289,449	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (b)		289,449
		TOTAL SHORT-TERM INVESTMENTS (COST $289,449)		289,449
		TOTAL INVESTMENTS — 100.0% (Cost $4,806,833,562)		4,892,027,879
		Other Assets and Liabilities (net) — (0.0%)		(356,498	)
		TOTAL NET ASSETS — 100.0%		$4,891,671,381

Notes to Schedule of Investments:

¿ These securities are primarily backed by subprime mortgages.

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

(b) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.

28 See accompanying notes to the financial statements.

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		95.6	%
Short-Term Investments		2.4
Preferred Stocks		1.4
Investment Funds		0.1
Forward Currency Contracts		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		(0.0	)^
Swap Contracts		(0.0	)^
Other		0.5
		100.0	%
Country/Region Summary**	% of Investments
United States		40.5	%
Emerging***		13.4
United Kingdom		12.1
Japan		9.6
France		6.1
Germany		3.3
Spain		3.2
Italy		2.6
Switzerland		2.3
Australia		2.0
Hong Kong		0.8
Netherlands		0.7
Singapore		0.6
Sweden		0.6
Canada		0.4
Finland		0.4
Norway		0.3
Austria		0.2
Belgium		0.2
Denmark		0.2
Greece		0.1
Ireland		0.1
Israel		0.1
New Zealand		0.1
Portugal		0.1
		100.0	%

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

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts.

*** The “Emerging” exposure is primarily comprised of: Brazil, China, Czech Republic, Egypt, India, Indonesia, Malaysia, Mexico, Panama, Peru, Philippines, Poland, Russia, South Africa, South Korea, Taiwan, Thailand, and Turkey.

^ Rounds to 0.0%.

29

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	8,511,567	GMO Currency Hedged International Equity Fund, Class III		208,703,617
	33,299,373	GMO Emerging Markets Fund, Class VI		344,315,512
	7,867,033	GMO International Growth Equity Fund, Class IV		207,296,325
	31,886,695	GMO International Intrinsic Value Fund, Class IV		713,624,240
	5,721,535	GMO U.S. Core Equity Fund, Class VI		89,599,239
	93,943,725	GMO U.S. Flexible Equities Fund, Class VI		1,022,107,724
		TOTAL MUTUAL FUNDS (COST $2,499,881,779)		2,585,646,657
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	44,445	State Street Eurodollar Time Deposit, 0.01%, due 09/03/2013		44,445
		TOTAL SHORT-TERM INVESTMENTS (COST $44,445)		44,445
		TOTAL INVESTMENTS — 100.0% (Cost $2,499,926,224)		2,585,691,102
		Other Assets and Liabilities (net) — (0.0%)		(58,163	)
		TOTAL NET ASSETS — 100.0%		$2,585,632,939

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.

30 See accompanying notes to the financial statements.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		95.1	%
Preferred Stocks		2.5
Short-Term Investments		1.6
Investment Funds		0.2
Forward Currency Contracts		0.1
Rights/Warrants		0.0	^
Futures Contracts		(0.0	)^
Swap Contracts		(0.1	)
Other		0.6
		100.0	%
Country/Region Summary**	% of Investments
Emerging***		23.3	%
United Kingdom		19.1
Japan		16.7
France		9.4
Germany		5.7
Spain		5.1
Italy		4.1
Australia		3.6
Switzerland		3.5
Hong Kong		1.4
Netherlands		1.2
Singapore		1.1
Sweden		1.1
Canada		0.9
Finland		0.7
Norway		0.6
Denmark		0.5
Belgium		0.4
Austria		0.3
Ireland		0.3
Israel		0.3
Greece		0.2
New Zealand		0.2
Portugal		0.2
United States		0.1
		100.0	%

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

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts.

*** The “Emerging” exposure is primarily comprised of: Brazil, China, Czech Republic, Egypt, India, Indonesia, Malaysia, Mexico, Panama, Peru, Philippines, Poland, Russia, South Africa, South Korea, Taiwan, Thailand, and Turkey.

^ Rounds to 0.0%.

31

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	37,129,158	GMO Emerging Markets Fund, Class VI		383,915,491
	13,269,729	GMO International Growth Equity Fund, Class IV		349,657,347
	40,327,917	GMO International Intrinsic Value Fund, Class IV		902,538,787
		TOTAL MUTUAL FUNDS (COST $1,520,088,871)		1,636,111,625
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	28,912	State Street Eurodollar Time Deposit, 0.01%, due 09/03/2013		28,912
		TOTAL SHORT-TERM INVESTMENTS (COST $28,912)		28,912
		TOTAL INVESTMENTS — 100.0% (Cost $1,520,117,783)		1,636,140,537
		Other Assets and Liabilities (net) — (0.0%)		(54,146	)
		TOTAL NET ASSETS — 100.0%		$1,636,086,391

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.

32 See accompanying notes to the financial statements.

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		96.7	%
Short-Term Investments		2.1
Preferred Stocks		0.7
Forward Currency Contracts		0.1
Investment Funds		0.0	^
Rights/Warrants		0.0	^
Swap Contracts		(0.0	)^
Futures Contracts		(0.0	)^
Other		0.4
		100.0	%
Country/Region Summary**	% of Investments
United Kingdom		24.2	%
Japan		21.4
France		11.9
Germany		7.3
Spain		6.4
Italy		5.2
Australia		4.7
Switzerland		4.6
Emerging***		1.9
Hong Kong		1.9
Netherlands		1.6
Sweden		1.5
Singapore		1.4
Canada		1.2
Finland		0.9
Denmark		0.7
Norway		0.7
Belgium		0.6
Austria		0.4
Ireland		0.4
Israel		0.4
New Zealand		0.3
Greece		0.2
Portugal		0.2
United States		0.0	^
		100.0	%

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

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts.

*** The “Emerging” exposure is primarily comprised of: Brazil, China, Czech Republic, Egypt, India, Indonesia, Malaysia, Mexico, Panama, Peru, Philippines, Poland, Russia, South Africa, South Korea, Taiwan, Thailand, and Turkey.

^ Rounds to 0.0%.

33

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,865,197	GMO Emerging Markets Fund, Class VI		19,286,134
	11,349,096	GMO International Growth Equity Fund, Class IV		299,048,685
	31,517,713	GMO International Intrinsic Value Fund, Class IV		705,366,413
		TOTAL MUTUAL FUNDS (COST $914,959,927)		1,023,701,232
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	36,747	State Street Eurodollar Time Deposit, 0.01%, due 09/03/2013		36,747
		TOTAL SHORT-TERM INVESTMENTS (COST $36,747)		36,747
		TOTAL INVESTMENTS — 100.0% (Cost $914,996,674)		1,023,737,979
		Other Assets and Liabilities (net) — (0.0%)		(40,925	)
		TOTAL NET ASSETS — 100.0%		$1,023,697,054

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.

34 See accompanying notes to the financial statements.

GMO Special Situations Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Short-Term Investments		60.5	%
Debt Obligations		26.4
Mutual Funds		8.5
Forward Currency Contracts		4.8
Other		(0.2	)
		100.0	%

35

GMO Special Situations Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 26.4%
		Asset-Backed Securities — 17.4%
		Residential Asset-Backed Securities (Canada) ¿ — 17.4%
CAD	10,237,953	Master Asset Vehicle II, Series 09-2, Class A1, 0.78%, due 07/15/56		8,553,498
CAD	7,753,600	Master Asset Vehicle II, Series 09-2, Class A2, 0.78%, due 07/15/56		6,330,671
CAD	1,408,000	Master Asset Vehicle II, Series 09-2, Zero Coupon, Class B, due 07/15/56		1,082,768
CAD	600,000	Master Asset Vehicle II, Series 09-2, Zero Coupon, Class C, due 07/15/56		427,229
		Residential Asset-Backed Securities (Canada)		16,394,166
		Total Asset-Backed Securities		16,394,166
		Convertible Debt — 9.0%
		Bank Loans — 9.0%
USD	1,521,789	Caesars Entertainment Corp. Term Loan B1, 3.18%, due 01/28/15		1,514,180
USD	3,124,861	Caesars Entertainment Corp. Term Loan B3, 3.18%, due 01/28/15		3,070,176
USD	3,840,000	Springleaf Financial Funding Co. Term Loan B, 5.50%, due 05/10/17		3,840,000
		Total Bank Loans		8,424,356
		TOTAL DEBT OBLIGATIONS (COST $24,946,875)		24,818,522

Shares		Description	Value ($)
		MUTUAL FUNDS — 8.5%
		Affiliated Issuers — 8.5%
	320,378	GMO U.S. Treasury Fund		8,009,449
		TOTAL MUTUAL FUNDS (COST $8,012,651)		8,009,449
		SHORT-TERM INVESTMENTS — 60.5%
		Money Market Funds — 60.5%
	56,905,250	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		56,905,250
		TOTAL SHORT-TERM INVESTMENTS (COST $56,905,250)		56,905,250
		TOTAL INVESTMENTS — 95.4% (Cost $89,864,776)		89,733,221
		Other Assets and Liabilities (net) — 4.6%		4,357,162
		TOTAL NET ASSETS — 100.0%		$94,090,383

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
09/03/2013	BCLY		CAD	86,279,202		USD	84,473,196	$	2,559,969
09/03/2013	MSCI		CAD	43,134,434		USD	42,231,442		1,279,733
09/27/2013	DB		IDR	79,088,204,000		USD	7,619,287		401,861
09/17/2013	DB		INR	1,899,821,120		USD	30,866,306		2,217,095
09/23/2013	JPM		MYR	25,169,536		USD	7,856,887		203,567
09/11/2013	BCLY		NZD	33,016,405		USD	26,316,881		813,920
09/11/2013	DB		NZD	32,890,099		USD	26,227,880		822,482
09/25/2013	DB		PHP	326,898,980		USD	7,514,055		185,084
10/01/2013	JPM		SGD	21,326,389		USD	16,784,661		65,359
09/26/2013	BCLY		THB	235,081,540		USD	7,521,406		227,691
09/03/2013	BCLY		USD	98,617,864		CAD	104,413,636		512,143
09/26/2013	BCLY		USD	7,556,462		THB	235,081,540		(262,747	)
09/11/2013	BOA		USD	15,428,920		NZD	20,000,000		19,740
09/23/2013	BOA		USD	7,915,695		MYR	25,169,536		(262,375	)
09/27/2013	BOA		USD	7,628,842		IDR	79,088,204,000		(411,415	)
09/03/2013	DB		USD	23,666,219		CAD	25,000,000		68,709
09/11/2013	DB		USD	35,410,262		NZD	45,906,504		49,437
09/17/2013	DB		USD	32,207,455		INR	1,899,821,120		(3,558,243	)
09/25/2013	DB		USD	7,530,499		PHP	326,898,980		(201,528	)
10/01/2013	JPM		USD	16,984,923		SGD	21,326,389		(265,622	)
								$	4,464,860

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

¿ These securities are primarily backed by subprime mortgages.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.

36 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		75.4	%
Debt Obligations		17.1
Short-Term Investments		4.8
Preferred Stocks		0.3
Loan Participations		0.1
Forward Currency Contracts		0.0	^
Loan Assignments		0.0	^
Rights/Warrants		0.0	^
Options Purchased		0.0	^
Investment Funds		0.0	^
Futures Contracts		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Swap Contracts		(0.1	)
Written Options		(0.1	)
Other		2.5
		100.0	%
Country/Region Summary**	% of Investments
United States		47.1	%
United Kingdom		11.9
Japan		9.7
France		6.4
Emerging***		6.2
Germany		3.4
Spain		3.4
Italy		2.8
Australia		2.1
Switzerland		1.9
Hong Kong		0.8
Netherlands		0.7
Canada		0.6
Sweden		0.6
Singapore		0.5
Finland		0.3
Norway		0.3
Austria		0.2
Belgium		0.2
Greece		0.2
Israel		0.2
New Zealand		0.2
Denmark		0.1
Ireland		0.1
Portugal		0.1
Ghana		0.0	^
		100.0	%

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

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of

securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on the Manager’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security.

*** The “Emerging” exposure is primarily comprised of: Argentina, Brazil, Chile, China, Colombia, Congo, Croatia, Czech Republic, Dominican Republic, Egypt, Hungary, India, Indonesia, Iraq, Ivory Coast, Malaysia, Mexico, Pakistan, Panama, Peru, Philippines, Poland, Russia, Serbia, South Africa, South Korea, Sri Lanka, Taiwan, Thailand, Tunisia, Turkey, Ukraine, Uruguay, and Venezuela.

^ Rounds to 0.00%.

37

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 99.7%
		Affiliated Issuers — 99.7%
	7,821,055	GMO Asset Allocation Bond Fund, Class VI		188,643,850
	7,016,617	GMO Currency Hedged International Equity Fund, Class III		172,047,453
	2,886,088	GMO Debt Opportunities Fund, Class VI		78,530,441
	685,664	GMO Domestic Bond Fund, Class VI		10,024,409
	10,130,105	GMO Emerging Country Debt Fund, Class IV		97,046,403
	3,993,066	GMO Emerging Markets Fund, Class VI		41,288,304
	2,607,412	GMO International Growth Equity Fund, Class IV		68,705,296
	30,341,279	GMO International Intrinsic Value Fund, Class IV		679,037,833
	7,359,027	GMO Risk Premium Fund, Class VI		74,694,124
	1,465,906	GMO Strategic Fixed Income Fund, Class VI		23,469,158
	69,327,326	GMO U.S. Flexible Equities Fund, Class VI		754,281,311
		TOTAL MUTUAL FUNDS (COST $2,030,094,286)		2,187,768,582
		DEBT OBLIGATIONS — 0.3%
		Asset-Backed Securities — 0.3%
		Business Loans — 0.1%
	625,870	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.57%, due 01/25/36		503,825
	571,421	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.48%, due 05/28/39		215,712
	184,081	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.47%, due 05/15/32		173,036
	382,687	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.43%, due 09/25/30		336,764
		Total Business Loans		1,229,337
		CMBS — 0.0%
	193,651	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.31%, due 12/15/20		188,810
	190,899	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .51%, 1.26%, due 03/06/20		190,307
	110,838	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.64%, due 05/12/39		111,315
		Total CMBS		490,432

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Insured Residential Asset-Backed Securities (United States) ¿ — 0.0%
	48,494	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.40%, due 11/25/35		44,857
		Insured Residential Mortgage-Backed Securities (United States) — 0.0%
	295,915	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.33%, due 06/15/37		229,778
		Insured Time Share — 0.0%
	77,980	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.18%, due 09/20/19		77,972
		Residential Asset-Backed Securities (United States) ¿ — 0.2%
	382,979	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.38%, due 06/25/36		137,872
	228,392	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.25%, due 11/25/36		82,221
	136,469	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.29%, due 09/25/36		54,588
	172,099	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.37%, due 03/25/36		82,607
	133,068	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.40%, due 05/25/37		115,769
	1,009,774	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.38%, due 02/25/37		878,806
	6,741	Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .27%, 0.72%, due 04/25/33		6,493
	1,249,015	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.32%, due 02/25/37		1,166,330
	918,415	JP Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.30%, due 12/25/36		437,074
	251,243	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.33%, due 03/25/36		173,986
		Total Residential Asset-Backed Securities (United States)		3,135,746

38 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities (Australian) — 0.0%
	74,189	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 0.67%, due 12/08/36		71,199
	169,067	Westpac Securitization Trust, Series 07-1G, Class A2A, 144A, 3 mo. LIBOR + .05%, 0.31%, due 05/21/38		167,839
		Total Residential Mortgage-Backed Securities (Australian)		239,038
		Residential Mortgage-Backed Securities (European) — 0.0%
	300,102	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .20%, 0.47%, due 01/13/39		287,888
	444,960	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, 3 mo. LIBOR + .42%, 0.68%, due 05/15/34		394,368
		Total Residential Mortgage-Backed Securities (European)		682,256

Par Value ($) / Shares		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — 0.0%
	426,893	Nelnet Student Loan Trust, Series 05-2, Class A4, 3 mo. LIBOR + .08%, 0.35%, due 12/23/19		426,334
		Total Asset-Backed Securities		6,555,750
		TOTAL DEBT OBLIGATIONS (COST $6,190,900)		6,555,750
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	128,391	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		128,391
		TOTAL SHORT-TERM INVESTMENTS (COST $128,391)		128,391
		TOTAL INVESTMENTS — 100.0% (Cost $2,036,413,577)		2,194,452,723
		Other Assets and Liabilities (net) — (0.0%)		(179,222	)
		TOTAL NET ASSETS — 100.0%		$2,194,273,501

Notes to Schedule of Investments:

¿ These securities are primarily backed by subprime mortgages.

(a) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.

See accompanying notes to the financial statements. 39

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		97.0	%
Short-Term Investments		2.9
Other		0.1
		100.0	%

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

40

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,187,022	GMO U.S. Core Equity Fund, Class VI		18,588,770
	1,793,663	GMO U.S. Flexible Equities Fund, Class VI		19,515,057
	92,405	GMO U.S. Small/Mid Cap Fund, Class III		1,021,995
		TOTAL MUTUAL FUNDS (COST $32,204,728)		39,125,822
		SHORT-TERM INVESTMENTS — 0.1%
		Time Deposits — 0.1%
	23,504	State Street Eurodollar Time Deposit, 0.01%, due 09/03/2013		23,504
		TOTAL SHORT-TERM INVESTMENTS (COST $23,504)		23,504
		TOTAL INVESTMENTS — 100.1% (Cost $32,228,232)		39,149,326
		Other Assets and Liabilities (net) — (0.1%)		(21,091	)
		TOTAL NET ASSETS — 100.0%		$39,128,235

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.

See accompanying notes to the financial statements. 41

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		96.6	%
Short-Term Investments		2.7
Preferred Stocks		0.4
Forward Currency Contracts		0.0	^
Investment Funds		0.0	^
Rights/Warrants		0.0	^
Swap contracts		(0.0	)^
Futures Contracts		(0.0	)^
Other		0.3
		100.0	%
Country/Region Summary**	% of Investments
United States		46.8	%
United Kingdom		13.5
Japan		10.8
France		6.8
Spain		3.6
Germany		3.6
Italy		3.0
Switzerland		2.5
Australia		2.2
Emerging***		1.9
Hong Kong		0.8
Netherlands		0.7
Singapore		0.6
Sweden		0.6
Canada		0.5
Finland		0.4
Norway		0.3
Austria		0.2
Belgium		0.2
Denmark		0.2
Ireland		0.2
Israel		0.2
New Zealand		0.2
Greece		0.1
Portugal		0.1
		100.0	%

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

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts.

*** The “Emerging” exposure is primarily comprised of: Brazil, China, Czech Republic, Egypt, India, Indonesia, Malaysia, Mexico, Panama, Peru, Philippines, Poland, Russia, South Africa, South Korea, Taiwan, Thailand, and Turkey.

^ Rounds to 0.0%.

42

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	4,674,910	GMO Currency Hedged International Equity Fund, Class III		114,628,783
	2,668,189	GMO Emerging Markets Fund, Class VI		27,589,074
	4,148,657	GMO International Growth Equity Fund, Class IV		109,317,115
	21,574,307	GMO International Intrinsic Value Fund, Class IV		482,832,986
	4,672,094	GMO U.S. Core Equity Fund, Class VI		73,164,986
	59,437,098	GMO U.S. Flexible Equities Fund, Class VI		646,675,629
		TOTAL MUTUAL FUNDS (COST $1,294,970,601)		1,454,208,573
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	37,146	State Street Eurodollar Time Deposit, 0.01%, due 09/03/2013		37,146
		TOTAL SHORT-TERM INVESTMENTS (COST $37,146)		37,146
		TOTAL INVESTMENTS — 100.0% (Cost $1,295,007,747)		1,454,245,719
		Other Assets and Liabilities (net) — (0.0%)		(45,081	)
		TOTAL NET ASSETS — 100.0%		$1,454,200,638

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 45.

See accompanying notes to the financial statements. 43

GMO Trust Funds

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Portfolio Abbreviations:

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

ADR - American Depositary Receipt

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

BBA - British Banks Association

CDO - Collateralized Debt Obligation

CMBS - Commercial Mortgage Backed Security.

CBT - Chicago Board of Trade

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

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.

GDR - Global Depository Receipt

LIBOR - London Interbank Offered Rate

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

MSCI - Morgan Stanley Capital International

NVDR - Non-Voting Depository Receipt

REIT - Real Estate Investment Trust

RMBS - Residential Mortgage Backed Security

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

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

The rates shown on variable rate notes are the current interest rates at August 31, 2013, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BNP - BNP Paribus

BOA - Bank of America, N.A.

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

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CNY - Chinese Yuan Renminbi

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

IDR - Indonesian Rupiah

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MYR - Malaysian Ringgit

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TWD - Taiwan Dollar

USD - United States Dollar

44 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2013 (Unaudited)

	Alpha Only Fund		Consolidated Alternative Asset Opportunity Fund		Consolidated Benchmark- Free Allocation Fund		Benchmark- Free Fund		Global Asset Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	2,370,256,912	$	1,219,470,853	$	3,298,024,293	$	4,071,123,124	$	4,874,090,849
Investments in unaffiliated issuers, at value (Note 2)(b)		253,918,567		542,638,425		5,885,980,608		60,321		17,937,030
Foreign currency, at value (Note 2)(c)		—		—		18,040,361		—		—
Receivable for investments sold		369,372,259		—		2,071,096		—		320,571
Cash		—		—		51,551		—		—
Receivable for Fund shares sold		7,100,000		—		59,822,554		9,920,156		76,771
Dividends and interest receivable		—		149,616		13,007,829		—		7,474
Foreign taxes receivable		—		—		2,026,493		—		—
Unrealized appreciation on open forward currency contracts (Note 4)		19,362,332		8,423,453		34,344,493		—		—
Receivable for variation margin on open futures contracts (Note 4)		7,240,933		1,648,995		—		—		—
Due from broker (Note 2)		76,462,732		29,488,810		4,422,126		—		—
Receivable for open OTC swap contracts (Note 4)		26,015,298		—		—		—		—
Receivable for expenses reimbursed and/or waived by Manager (Note 5)		1,031,872		182,798		1,954,866		13,950		21,762
Miscellaneous receivable		—		—		38,259		13,637		617
Total assets		3,130,760,905		1,802,002,950		9,319,784,529		4,081,131,188		4,892,455,074
Liabilities:
Payable for investments purchased		368,678,305		—		152,697,748		9,740,704		—
Payable for Fund shares repurchased		3,434,938		320,571		—		193,088		637,986
Accrued capital gain taxes payable (Note 2)		—		—		43,063		—		—
Payable to affiliate for (Note 5):
Management fee		1,166,046		1,049,933		4,879,099		—		—
Supplemental support fee – Class MF				—		465,067		—		—
Shareholder service fee		234,715		224,984		375,553		—		—
Payable for variation margin on open futures contracts (Note 4)		—		—		750,791		—		—
Unrealized depreciation on open forward currency contracts (Note 4)		764,704		2,835,300		6,052,645		—		—
Due to broker (Note 2)		—		—		—		—		—
Written options outstanding, at value (Note 4)(d)		—		—		13,366,062		—		—
Payable to agents unaffiliated with the Manager		496		186		1,116		496		620
Payable to Trustees and related expenses		2,912		8,664		6,696		4,078		4,974
Accrued expenses		216,473		117,003		879,728		98,816		140,113
Total liabilities		374,498,589		4,556,641		179,517,568		10,037,182		783,693
Net assets	$	2,756,262,316	$	1,797,446,309	$	9,140,266,961	$	4,071,094,006	$	4,891,671,381
(a)      Cost of investments – affiliated issuers:	$	2,196,964,315	$	1,220,032,070	$	3,295,730,163	$	3,954,399,955	$	4,789,654,563
(b)      Cost of investments – unaffiliated issuers:	$	259,429,495	$	542,619,739	$	5,859,839,636	$	60,321	$	17,178,999
(c)      Cost of foreign currency:	$	—	$	—	$	17,996,666	$	—	$	—
(d)      Premiums on written options:	$	—	$	—	$	8,394,713	$	—	$	—

See accompanying notes to the financial statements. 45

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2013 (Unaudited) — (Continued)

	Alpha Only Fund			Consolidated Alternative Asset Opportunity Fund		Consolidated Benchmark- Free Allocation Fund		Benchmark- Free Fund		Global Asset Allocation Fund
Net assets consist of:
Paid-in capital	$	3,840,139,461				$	9,027,038,386	$	3,832,703,290	$	4,847,606,500
Accumulated undistributed net investment income		4,975,428					55,331,852		60,372,423		44,146,755
Accumulated net realized gain (loss)		(1,308,757,139	)				6,938,032		61,295,124		(85,276,191	)
Net unrealized appreciation		219,904,566					50,958,691		116,723,169		85,194,317
	$	2,756,262,316				$	9,140,266,961	$	4,071,094,006	$	4,891,671,381
Net assets attributable to:
Class III shares	$	35,210,672		$	1,797,446,309	$	2,151,419,803	$	4,071,094,006	$	4,891,671,381
Class IV shares	$	2,721,051,644		$	—	$	1,324,572,393	$	—	$	—
Class MF shares	$	—		$	—	$	5,664,274,765	$	—	$	—
Shares outstanding:
Class III		1,461,785			58,009,439		82,898,818		190,095,155		440,508,247
Class IV		112,911,396			—		51,053,662		—		—
Class MF		—			—		218,252,137		—		—
Net asset value per share:
Class III	$	24.09		$	30.99	$	25.95	$	21.42	$	11.10
Class IV	$	24.10		$	—	$	25.94	$	—	$	—
Class MF	$	—		$	—	$	25.95	$	—	$	—

46 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2013 (Unaudited) — (Continued)

	Global Equity Allocation Fund		International Equity Allocation Fund			International Opportunities Equity Allocation Fund			Special Situations Fund		Strategic Opportunities Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	2,585,646,657	$	1,636,111,625		$	1,023,701,232		$	8,009,449	$	2,187,768,582
Investments in unaffiliated issuers, at value (Note 2)(b)		44,445		28,912			36,747			81,723,772		6,684,141
Receivable for investments sold		—		—			13,985			—		12,143,655
Receivable for Fund shares sold		—		—			831			—		—
Dividends and interest receivable		—		—			—			24,701		2,356
Unrealized appreciation on open forward currency contracts (Note 4)		—		—			—			9,426,790		—
Due from broker (Note 2)		—		—			—			18		—
Receivable for expenses reimbursed and/or waived by Manager (Note 5)		13,020		8,897			9,269			23,808		15,345
Miscellaneous receivable		—		—			—			—		7,345
Total assets		2,585,704,122		1,636,149,434			1,023,762,064			99,208,538		2,206,621,424
Liabilities:
Payable for investments purchased		—		—			—			490		—
Payable for Fund shares repurchased		—		—			14,460			—		12,241,000
Payable to affiliate for (Note 5):
Management fee		—		—			—			30,736		—
Shareholder service fee		—		—			—			4,814		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		—			—			4,961,930		—
Payable to agents unaffiliated with the Manager		341		186			124			93		279
Payable to Trustees and related expenses		2,471		1,454			1,082			857		2,271
Accrued expenses		68,371		61,403			49,344			119,235		104,373
Total liabilities		71,183		63,043			65,010			5,118,155		12,347,923
Net assets	$	2,585,632,939	$	1,636,086,391		$	1,023,697,054		$	94,090,383	$	2,194,273,501
Net assets consist of:
Paid-in capital	$	2,429,037,110	$	1,609,463,090		$	1,182,869,712				$	1,993,968,366
Accumulated undistributed net investment income		27,563,982		11,901,525			11,527,487					30,062,298
Accumulated net realized gain (loss)		43,266,969		(101,300,978	)		(279,441,450	)				12,203,691
Net unrealized appreciation (depreciation)		85,764,878		116,022,754			108,741,305					158,039,146
	$	2,585,632,939	$	1,636,086,391		$	1,023,697,054				$	2,194,273,501
Net assets attributable to:
Class III shares	$	2,585,632,939	$	1,636,086,391		$	1,023,697,054		$	3,023,644	$	2,194,273,501
Class VI shares	$	—	$	—		$	—		$	91,066,739	$	—
Shares outstanding:
Class III		294,042,366		154,785,870			65,052,597			117,032		99,188,922
Class VI		—		—			—			3,507,984		—
Net asset value per share:
Class III	$	8.79	$	10.57		$	15.74		$	25.84	$	22.12
Class VI	$	—	$	—		$	—		$	25.96	$	—
(a)      Cost of investments – affiliated issuers:	$	2,499,881,779	$	1,520,088,871		$	914,959,927		$	8,012,651	$	2,030,094,286
(b)      Cost of investments – unaffiliated issuers:	$	44,445	$	28,912		$	36,747		$	81,852,125	$	6,319,291

See accompanying notes to the financial statements. 47

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2013 (Unaudited) — (Continued)

	U.S. Equity Allocation Fund		World Opportunities Equity Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	39,125,822	$	1,454,208,573
Investments in unaffiliated issuers, at value (Note 2)(a)		23,504		37,146
Receivable for expenses reimbursed and/or waived by Manager (Note 5)		3,472		10,013
Total assets		39,152,798		1,454,255,732
Liabilities:
Payable to agents unaffiliated with the Manager		5		186
Payable to Trustees and related expenses		64		1,570
Accrued expenses		24,494		53,338
Total liabilities		24,563		55,094
Net assets	$	39,128,235	$	1,454,200,638
Net assets consist of:
Paid-in capital	$	31,097,501	$	1,354,781,665
Accumulated undistributed net investment income		109,338		13,867,766
Accumulated net realized gain		1,000,302		(73,686,765	)
Net unrealized appreciation		6,921,094		159,237,972
	$	39,128,235	$	1,454,200,638
Net assets attributable to:
Class III shares	$	39,128,235	$	1,454,200,638
Shares outstanding:
Class III		1,301,443		64,944,756
Net asset value per share:
Class III	$	30.07	$	22.39
(a)      Cost of investments – affiliated issuers:	$	32,204,728	$	1,294,970,601
(b)      Cost of investments – unaffiliated issuers:	$	23,504	$	37,146

48 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2013 (Unaudited)

	Alpha Only Fund			Consolidated Alternative Asset Opportunity Fund			Consolidated Benchmark- Free Allocation Fund			Benchmark- Free Fund			Global Asset Allocation Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	18,583,199		$	397,946		$	31,615,026		$	65,197,894		$	49,540,316
Dividends from unaffiliated issuers (Net of withholding tax)(a)		1,164,831			3,860			53,045,209			—			—
Interest		56,022			251,067			2,533,757			2			965,231
Total investment income		19,804,052			652,873			87,193,992			65,197,896			50,505,547
Expenses:
Management fee (Note 5)		9,129,171			5,138,814			21,896,285			—			—
Shareholder service fee – Class III (Note 5)		33,918			1,101,175			1,175,446			—			—
Shareholder service fee – Class IV (Note 5)		1,803,223			—			441,448			—			—
Supplemental support fee – Class MF (Note 5)		—			—			2,143,581			—			—
Audit and tax fees		34,132			47,012			90,436			13,892			39,100
Custodian and fund accounting agent fees		157,964			94,944			1,734,016			27,324			31,280
Legal fees		42,044			20,385			84,900			39,284			47,380
Registration fees		3,036			—			6,451			—			3,167
Transfer agent fees		21,252			—			—			—			—
Trustees fees and related expenses (Note 5)		19,716			15,069			50,253			20,569			24,972
Miscellaneous		14,720			12,788			38,229			10,856			18,492
Total expenses		11,259,176			6,430,187			27,661,045			111,925			164,391
Fees and expenses reimbursed by Manager (Note 5)		(263,028	)		(914,522	)		(1,927,687	)		(88,320	)		(135,739	)
Expense reductions (Note 2)		(2	)		—			(1,313	)		(169	)		(788	)
Indirectly incurred fees waived or borne by Manager (Note 5)		(6,652,926	)		—			(7,130,879	)		—			—
Supplemental support fee waived – Class MF (Note 5)		—			—			(994,328	)		—			—
Shareholder service fee waived (Note 5)		(1,173,122	)		—			(566,949	)		—			—
Net expenses		3,170,098			5,515,665			17,039,889			23,436			27,864
Net investment income (loss)		16,633,954			(4,862,792	)		70,154,103			65,174,460			50,477,683
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(63,485,110	)		(20,762	)		52,356,548			—			65,656
Investments in affiliated issuers		212,563,583			—			(18,057,891	)		12,079,463			113,570,091
Realized gain distributions from affiliated issuers (Note 10)		14,317,433			89,024			16,323,960			52,712,399			29,806,531
Futures contracts		(374,742,055	)		41,881,892			(2,642,380	)		—			—
Written options		—			—			(168,887	)		—			—
Swap contracts		—			—			2,399,249			—			—
Foreign currency, forward contracts and foreign currency related transactions		6,284,471			5,472,921			15,727,344			—			—
Net realized gain (loss)		(205,061,678	)		47,423,075			65,937,943			64,791,862			143,442,278
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (Net of foreign capital gains tax) (Note 2)(b)		(7,012,020	)		25,902			(86,200,644	)		—			(70,234	)
Investments in affiliated issuers		(15,357,259	)		(22,125	)		(21,418,855	)		(66,417,985	)		(102,349,835	)
Futures contracts		151,784,084			(15,783,709	)		1,019,570			—			—
Written options		—			—			(6,041,429	)		—			—
Swap contracts		24,293,008			—			(1,052,432	)		—			—
Foreign currency, forward contracts and foreign currency related transactions		10,991,252			1,680,919			17,819,714			—			—
Net unrealized gain (loss)		164,699,065			(14,099,013	)		(95,874,076	)		(66,417,985	)		(102,420,069	)
Net realized and unrealized gain (loss)		(40,362,613	)		33,324,062			(29,936,133	)		(1,626,123	)		41,022,209
Net increase (decrease) in net assets resulting from operations	$	(23,728,659	)	$	28,461,270		$	40,217,970		$	63,548,337		$	91,499,892
(a)    Withholding tax:	$	—		$	—		$	4,234,503		$	—		$	—
(b)    Foreign capital gains tax:	$	—		$	—		$	43,063		$	—		$	—

See accompanying notes to the financial statements. 49

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2013 (Unaudited) — (Continued)

	Global Equity Allocation Fund			International Equity Allocation Fund			International Opportunities Equity Allocation Fund			Special Situations Fund			Strategic Opportunities Allocation Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	28,895,455		$	12,513,100		$	11,867,522		$	198,126		$	31,320,565
Dividends from unaffiliated issuers		—			—			—			2			—
Interest		6			3			1			562,751			428,176
Total investment income		28,895,461			12,513,103			11,867,523			760,879			31,748,741
Expenses:
Management fee (Note 5)		—			—			—			981,218			—
Shareholder service fee – Class III (Note 5)		—			—			—			16,069			—
Shareholder service fee – Class VI (Note 5)		—			—			—			139,965			—
Audit and tax fees		11,316			11,316			11,316			43,101			38,456
Custodian, fund accounting agent and transfer agent fees		29,164			26,220			28,888			87,400			25,116
Legal fees		25,668			13,708			10,028			12,512			21,068
Registration fees		1,472			2,392			368			—			1,288
Trustees fees and related expenses (Note 5)		12,897			7,176			5,253			3,680			11,459
Miscellaneous		10,856			5,336			6,256			4,324			10,396
Total expenses		91,373			66,148			62,109			1,288,269			107,783
Fees and expenses reimbursed by Manager (Note 5)		(76,544	)		(57,868	)		(56,120	)		(142,692	)		(94,668	)
Expense reductions (Note 2)		(179	)		(106	)		(112	)		—			(47	)
Net expenses		14,650			8,174			5,877			1,145,577			13,068
Net investment income (loss)		28,880,811			12,504,929			11,861,646			(384,698	)		31,735,673
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		—			—			—			1,347			40,640
Investments in affiliated issuers		66,640,966			34,379,073			3,592,267			235,828			25,703,693
Realized gain distributions from affiliated issuers (Note 10)		19,228,470			1,122,129			2,800,058			1,936			24,186,401
Swap contracts		—			—			—			13,019,597			—
Foreign currency, forward contracts and foreign currency related transactions		—			—			—			4,393,145			—
Net realized gain (loss)		85,869,436			35,501,202			6,392,325			17,651,853			49,930,734
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		—			—			—			(478,609	)		(144,353	)
Investments in affiliated issuers		(31,618,622	)		(22,750,836	)		39,444,412			20,867			12,030,104
Swap contracts		—			—			—			(6,323,444	)		—
Foreign currency, forward contracts and foreign currency related transactions		—			—			—			1,616,501			—
Net unrealized gain (loss)		(31,618,622	)		(22,750,836	)		39,444,412			(5,164,685	)		11,885,751
Net realized and unrealized gain (loss)		54,250,814			12,750,366			45,836,737			12,487,168			61,816,485
Net increase (decrease) in net assets resulting from operations	$	83,131,625		$	25,255,295		$	57,698,383		$	12,102,470		$	93,552,158

50 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2013 (Unaudited) — (Continued)

	U.S. Equity Allocation Fund			World Opportunities Equity Allocation Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	111,405		$	14,237,276
Interest		1,165			2
Total investment income		112,570			14,237,278
Expenses:
Audit and tax fees		9,936			11,316
Custodian, fund accounting agent and transfer agent fees		6,808			25,852
Legal fees		460			15,548
Registration fees		1,587			1,177
Trustees fees and related expenses (Note 5)		184			8,106
Miscellaneous		3,225			8,004
Total expenses		22,200			70,003
Fees and expenses reimbursed by Manager (Note 5)		(22,011	)		(60,793	)
Expense reductions (Note 2)		—			(24	)
Net expenses		189			9,186
Net investment income (loss)		112,381			14,228,092
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		12,258,314			40,664,006
Realized gain distributions from affiliated issuers (Note 10)		243,613			12,748,122
Net realized gain (loss)		12,501,927			53,412,128
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(8,422,480	)		26,856,475
Net realized and unrealized gain (loss)		4,079,447			80,268,603
Net increase (decrease) in net assets resulting from operations	$	4,191,828		$	94,496,695

See accompanying notes to the financial statements. 51

GMO Trust Funds

Statements of Changes in Net Assets

	Alpha Only Fund						Consolidated Alternative Asset Opportunity Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	16,633,954		$	69,349,200		$	(4,862,792	)	$	(2,724,546	)
Net realized gain (loss)		(205,061,678	)		(74,428,353	)		47,423,075			(3,534,914	)
Change in net unrealized appreciation (depreciation)		164,699,065			12,982,393			(14,099,013	)		16,869,225
Net increase (decrease) in net assets from operations		(23,728,659	)		7,903,240			28,461,270			10,609,765
Distributions to shareholders from:
Net investment income
Class III		(22,413	)		(99,177	)
Class IV		(4,341,555	)		(7,431,374	)
Total distributions from net investment income		(4,363,968	)		(7,530,551	)
Net share transactions (Note 9):
Class III		(16,437,158	)		14,001,426			809,233,440			904,821,692
Class IV		(640,224,872	)		1,302,890,322			—			—
Increase (decrease) in net assets resulting from net share transactions		(656,662,030	)		1,316,891,748			809,233,440			904,821,692
Total increase (decrease) in net assets		(684,754,657	)		1,317,264,437			837,694,710			915,431,457
Net assets:
Beginning of period		3,441,016,973			2,123,752,536			959,751,599			44,320,142
End of period	$	2,756,262,316		$	3,441,016,973		$	1,797,446,309		$	959,751,599
Accumulated undistributed net investment income	$	4,975,428		$	—
Distributions in excess of net investment income	$	—		$	(7,294,558	)

52 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Consolidated Benchmark-Free Allocation Fund						Benchmark-Free Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	70,154,103		$	23,812,645		$	65,174,460		$	91,235,961
Net realized gain (loss)		65,937,943			39,911,304			64,791,862			156,263,140
Change in net unrealized appreciation (depreciation)		(95,874,076	)		153,903,759			(66,417,985	)		84,516,540
Net increase (decrease) in net assets from operations		40,217,970			217,627,708			63,548,337			332,015,641
Distributions to shareholders from:
Net investment income
Class III		(11,666,009	)		(4,975,607	)		(748,183	)		(118,122,072	)
Class IV		(5,338,876	)		(1,783,556	)		—			—
Class MF		(30,928,809	)		(13,753,375	)		—			—
Total distributions from net investment income		(47,933,694	)		(20,512,538	)		(748,183	)		(118,122,072	)
Net realized gains
Class III		(5,672,719	)		—			(46,836,304	)		(106,701,774	)
Class IV		(2,582,201	)		—			—			—
Class MF		(14,932,415	)		—			—			—
Total distributions from net realized gains		(23,187,335	)		—			(46,836,304	)		(106,701,774	)
Net share transactions (Note 9):
Class III		1,188,350,951			809,208,628			113,431,380			318,883,654
Class IV		623,644,074			692,385,968			—			—
Class MF		2,729,384,271			2,806,583,034			—			—
Increase (decrease) in net assets resulting from net share transactions		4,541,379,296			4,308,177,630			113,431,380			318,883,654
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		1,204,660			1,299,189			116,337			185,609
Class IV		680,417			222,986			—			—
Class MF		3,289,116			3,349,867			—			—
Increase in net assets resulting from purchase premiums and redemption fees		5,174,193			4,872,042			116,337			185,609
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		4,546,553,489			4,313,049,672			113,547,717			319,069,263
Total increase (decrease) in net assets		4,515,650,430			4,510,164,842			129,511,567			426,261,058
Net assets:
Beginning of period		4,624,616,531			114,451,689			3,941,582,439			3,515,321,381
End of period	$	9,140,266,961		$	4,624,616,531		$	4,071,094,006		$	3,941,582,439
Accumulated undistributed net investment income	$	55,331,852		$	33,111,443		$	60,372,423		$	—
Distributions in excess of net investment income	$	—		$	—		$	—		$	(4,053,854	)

See accompanying notes to the financial statements. 53

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Global Asset Allocation Fund						Global Equity Allocation Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	50,477,683		$	110,843,376		$	28,880,811		$	54,656,916
Net realized gain (loss)		143,442,278			301,938,422			85,869,436			173,105,374
Change in net unrealized appreciation (depreciation)		(102,420,069	)		(95,628,095	)		(31,618,622	)		(28,108,089	)
Net increase (decrease) in net assets from operations		91,499,892			317,153,703			83,131,625			199,654,201
Distributions to shareholders from:
Net investment income
Class III		(2,223,505	)		(121,313,693	)		(1,312,405	)		(63,353,574	)
Total distributions from net investment income		(2,223,505	)		(121,313,693	)		(1,312,405	)		(63,353,574	)
Net realized gains
Class III		—			—			(36,543,198	)		(107,780,977	)
Total distributions from net realized gains		—			—			(36,543,198	)		(107,780,977	)
Net share transactions (Note 9):
Class III		37,484,232			953,849,723			319,165,455			554,602,409
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		777,934			1,703,193			517,514			676,894
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		38,262,166			955,552,916			319,682,969			555,279,303
Total increase (decrease) in net assets		127,538,553			1,151,392,926			364,958,991			583,798,953
Net assets:
Beginning of period		4,764,132,828			3,612,739,902			2,220,673,948			1,636,874,995
End of period	$	4,891,671,381		$	4,764,132,828		$	2,585,632,939		$	2,220,673,948
Accumulated undistributed net investment income	$	44,146,755		$	(4,107,423	)	$	27,563,982		$	—
Distributions in excess of net investment income	$	—		$	—		$	—		$	(4,424	)

54 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Equity Allocation Fund						International Opportunities Equity Allocation Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	12,504,929		$	42,426,853		$	11,861,646		$	30,443,365
Net realized gain (loss)		35,501,202			28,059,063			6,392,325			(10,541,303	)
Change in net unrealized appreciation (depreciation)		(22,750,836	)		30,405,617			39,444,412			74,594,628
Net increase (decrease) in net assets from operations		25,255,295			100,891,533			57,698,383			94,496,690
Distributions to shareholders from:
Net investment income
Class III		(2,852,917	)		(41,622,218	)		(332,360	)		(30,450,064	)
Net realized gains
Class III		(748,306	)		—			—			—
Net share transactions (Note 9):
Class III		228,849,342			157,905,673			(463,036	)		92,409,525
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		432,836			982,374			—			—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		229,282,178			158,888,047			(463,036	)		92,409,525
Total increase (decrease) in net assets		250,936,250			218,157,362			56,902,987			156,456,151
Net assets:
Beginning of period		1,385,150,141			1,166,992,779			966,794,067			810,337,916
End of period	$	1,636,086,391		$	1,385,150,141		$	1,023,697,054		$	966,794,067
Accumulated undistributed net investment income	$	11,901,525		$	2,249,513		$	11,527,487		$	—
Distributions in excess of net investment income	$	—		$	—		$	—		$	(1,799	)

See accompanying notes to the financial statements. 55

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Special Situations Fund						Strategic Opportunities Allocation Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	(384,698	)	$	(2,029,319	)	$	31,735,673		$	62,082,262
Net realized gain (loss)		17,651,853			(35,835,401	)		49,930,734			238,704,025
Change in net unrealized appreciation (depreciation)		(5,164,685	)		4,954,225			11,885,751			(86,230,336	)
Net increase (decrease) in net assets from operations		12,102,470			(32,910,495	)		93,552,158			214,555,951
Distributions to shareholders from:
Net investment income
Class III								(511,506	)		(68,801,103	)
Net realized gains
Class III								(28,339,423	)		(116,101,861	)
Net share transactions (Note 9):
Class III		(28,877,247	)		(5,615,036	)		(39,457,615	)		116,701,855
Class VI		(628,435,954	)		30,937,898			—			—
Increase (decrease) in net assets resulting from net share transactions		(657,313,201	)		25,322,862			(39,457,615	)		116,701,855
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			102,375			17,686
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(657,313,201	)		25,322,862			(39,355,240	)		116,719,541
Total increase (decrease) in net assets		(645,210,731	)		(7,587,633	)		25,345,989			146,372,528
Net assets:
Beginning of period		739,301,114			746,888,747			2,168,927,512			2,022,554,984
End of period	$	94,090,383		$	739,301,114		$	2,194,273,501		$	2,168,927,512
Accumulated undistributed net investment income							$	30,062,298		$	—
Distributions in excess of net investment income							$	—		$	(1,161,869	)

56 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	U.S. Equity Allocation Fund						World Opportunities Equity Allocation Fund
	Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013			Six Months Ended August 31, 2013 (Unaudited)			Year Ended February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	112,381		$	1,648,380		$	14,228,092		$	39,570,464
Net realized gain (loss)		12,501,927			10,211,878			53,412,128			162,946,038
Change in net unrealized appreciation (depreciation)		(8,422,480	)		(2,597,115	)		26,856,475			(32,075,776	)
Net increase (decrease) in net assets from operations		4,191,828			9,263,143			94,496,695			170,440,726
Distributions to shareholders from:
Net investment income
Class III		(360,174	)		(1,901,866	)		(357,654	)		(46,343,171	)
Net realized gains
Class III		(7,300,246	)		—			—			—
Net share transactions (Note 9):
Class III		(37,887,171	)		7,909,991			(171,710,416	)		172,531,846
Total increase (decrease) in net assets		(41,355,763	)		15,271,268			(77,571,375	)		296,629,401
Net assets:
Beginning of period		80,483,998			65,212,730			1,531,772,013			1,235,142,612
End of period	$	39,128,235		$	80,483,998		$	1,454,200,638		$	1,531,772,013
Accumulated undistributed net investment income	$	109,338		$	357,131		$	13,867,766		$	—
Distributions in excess of net investment income	$	—		$	—		$	—		$	(2,672	)

See accompanying notes to the financial statements. 57

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

ALPHA ONLY FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011(a)				2010(a)				2009(a)								2013				2012				2011(a)				2010(a)				2009(a)
Net asset value, beginning of period		$	24.22			$	24.13			$	23.49			$	24.55			$	28.85			$	55.55			$	24.24			$	24.14			$	23.50			$	24.55			$	28.85			$	55.55
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.09				0.51				0.46				0.30				0.55				1.15				0.11				0.60				0.47				0.31				0.55				1.20
Net realized and unrealized gain (loss)			(0.21	)			(0.35	)			0.52				(1.36	)			(3.35	)			4.65				(0.22	)			(0.42	)			0.52				(1.36	)			(3.35	)			4.60
Total from investment operations			(0.12	)			0.16				0.98				(1.06	)			(2.80	)			5.80				(0.11	)			0.18				0.99				(1.05	)			(2.80	)			5.80
Less distributions to shareholders:
From net investment income			(0.01	)			(0.07	)			(0.34	)			—				(1.50	)			(22.05	)			(0.03	)			(0.08	)			(0.35	)			—				(1.50	)			(22.05	)
From net realized gains			—				—				—				—				—				(10.45	)			—				—				—				—				—				(10.45	)
Total distributions			(0.01	)			(0.07	)			(0.34	)			—				(1.50	)			(32.50	)			(0.03	)			(0.08	)			(0.35	)			—				(1.50	)			(32.50	)
Net asset value, end of period		$	24.09			$	24.22			$	24.13			$	23.49			$	24.55			$	28.85			$	24.10			$	24.24			$	24.14			$	23.50			$	24.55			$	28.85
Total Return(c)			(0.49	)%**			0.67	%			4.13	%			(4.32	)%			(10.30	)%			11.92	%			(0.47	)%**			0.73	%			4.19	%			(4.28	)%			(10.30	)%			12.00	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	35,211			$	51,886			$	37,752			$	59,746			$	71,481			$	121,711			$	2,721,052			$	3,389,131			$	2,086,001			$	1,930,347			$	1,648,282			$	1,854,153
Net expenses to average daily net assets(d)(e)			0.22	%*			0.23	%			0.24	%			0.23	%			0.24	%			0.23	%			0.17	%*			0.18	%			0.19	%			0.18	%			0.18	%			0.18	%
Net investment income (loss) to average daily net assets(b)			0.73	%*			2.10	%			1.89	%			1.26	%			2.16	%			2.37	%			0.91	%*			2.47	%			1.91	%			1.27	%			2.11	%			2.52	%
Portfolio turnover rate			37	%**			104	%			125	%			89	%			114	%			87	%			37	%**			104	%			125	%			89	%			114	%			87	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:(f)			0.44	%*			0.44	%			0.44	%			0.46	%			0.45	%			0.44	%			0.44	%*			0.44	%			0.43	%			0.46	%			0.46	%			0.44	%
Redemption fees consisted of the following per share amounts:†			—				—				—				—				—			$	0.00	(g)			—				—				—				—				—			$	0.00	(g)

^(a)  Per share amounts were adjusted to reflect a 1:5 reverse stock split effective November 15, 2010.

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

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(e) The net expense ratio does not include the effect of expense reductions (Note 2).

^(f) Ratios include reimbursement of direct operating expenses and waiver of expenses indirectly incurred through investment in the underlying funds (Note 5).

^(g) Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

58 See accompanying notes to the financial statements.

GMO Trust Funds

Consolidated Financial Highlights

(For a share outstanding throughout each period)

ALTERNATIVE ASSET OPPORTUNITY FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	30.47			$	30.05			$	32.55			$	27.24			$	21.94			$	33.11
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.10	)			(0.18	)			0.00				0.11				0.46				0.93
Net realized and unrealized gain (loss)			0.62				0.60				(2.50	)			5.20				4.84				(12.10	)
Total from investment operations			0.52				0.42				(2.50	)			5.31				5.30				(11.17	)
Net asset value, end of period		$	30.99			$	30.47			$	30.05			$	32.55			$	27.24			$	21.94
Total Return(b)			1.71	%**			1.40	%			(7.68	)%			19.49	%			24.16	%			(33.74	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,797,446			$	959,752			$	44,320			$	25,546			$	23,100			$	22,389
Net expenses to average daily net assets(c)			0.75	%*			0.75	%(d)			0.69	%(d)			0.60	%			0.60	%			0.60	%(d)
Net investment income to average daily net assets(a)			(0.66	)%*			(0.60	)%			(0.01	)%			0.38	%			1.85	%			3.24	%
Portfolio turnover rate			1	%**			17	%			48	%			60	%			73	%			89	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.12	%*			0.17	%			1.64	%			1.15	%			1.06	%			0.73	%
Redemption fees consisted of the following per share amounts (Note 2):†			—				—				—				—			$	0.03			$	0.00	(e)

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

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d) The net expense ratio does not include the effect of expense reductions (Note 2).

^(e) Redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 59

GMO Trust Funds

Consolidated Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28, 2013(i)
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	25.77			$	24.03			$	22.72			$	21.49			$	17.51			$	25.30			$	25.75			$	24.91
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.28				0.30				0.21				0.36				0.64				3.21				0.25				0.03
Net realized and unrealized gain (loss)			0.15				1.62				1.44	(b)			1.28				4.11				(6.72	)			0.19				0.96
Total from investment operations			0.43				1.92				1.65				1.64				4.75				(3.51	)			0.44				0.99
Less distributions to shareholders:
From net investment income			(0.17	)			(0.18	)			(0.34	)			(0.41	)			(0.75	)			(3.71	)			(0.17	)			(0.15	)
From net realized gains			(0.08	)			—				—				—				(0.02	)			(0.57	)			(0.08	)			—
Total distributions			(0.25	)			(0.18	)			(0.34	)			(0.41	)			(0.77	)			(4.28	)			(0.25	)			(0.15	)
Net asset value, end of period		$	25.95			$	25.77			$	24.03			$	22.72			$	21.49			$	17.51			$	25.94			$	25.75
Total Return(c)			1.66	%**			8.03	%			7.36	%			7.69	%			27.18	%			(15.11	)%			1.70	%**			3.99	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,151,420			$	970,749			$	114,452			$	3,170,573			$	1,733,173			$	1,436,951			$	1,324,572			$	705,982
Net expenses to average daily net assets(d)(f)(g)			0.54	%*			0.54	%			0.01	%			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.49	%*			0.48	%*
Net investment income (loss) to average daily net assets(a)			2.13	%*			1.23	%			0.93	%			1.63	%			3.14	%			14.05	%			1.85	%*			0.60	%*
Portfolio turnover rate			33	%**			42	%			33	%			19	%			24	%			40	%			33	%**			42	%**
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.31	%*			0.41	%			0.05	%			0.01	%			0.01	%			0.01	%			0.32	%*			0.40	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02			$	0.07			$	0.00	(h)		$	0.01			$	0.01			$	0.00	(h)		$	0.02			$	0.01

	Class MF Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28, 2013(j)
Net asset value, beginning of period		$	25.76			$	24.10
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.28				0.33
Net realized and unrealized gain (loss)			0.16				1.52
Total from investment operations			0.44				1.85
Less distributions to shareholders:
From net investment income			(0.17	)			(0.19	)
From net realized gains			(0.08	)			—
Total distributions			(0.25	)			(0.19	)
Net asset value, end of period		$	25.95			$	25.76
Total Return(c)			1.70	%**			7.71	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	5,664,275			$	2,947,886
Net expenses to average daily net assets(d)(f)(g)			0.49	%*			0.49	%
Net investment income (loss) to average daily net assets(a)			2.11	%*			1.34	%
Portfolio turnover rate			33	%**			42	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.32	%*			0.41	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02			$	0.06

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

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

^(c) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(e) Net expenses to average daily net assets were less than 0.01%.

^(f) Effective January 1, 2012, the Fund pays the Manager a management fee of 0.65% of the Fund’s average daily net assets (Note 5).

^(g) The net expense ratio does not include the effect of expense reductions (Note 2).

^(h) Purchase premiums and redemption fees were less than $0.01 per share.

⁽ⁱ⁾ Period from December 11, 2012 (commencement of operations) through February 28, 2013.

^(j) Period from March 1, 2012 (commencement of operations) through February 28, 2013.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

60 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28, 2013				Period from June 15, 2011 (commencement of operations) through February 29, 2012
Net asset value, beginning of period		$	21.33			$	20.76			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.35				0.52				0.41
Net realized and unrealized gain (loss)			(0.01	)			1.34				0.83
Total from investment operations			0.34				1.86				1.24
Less distributions to shareholders:
From net investment income			(0.00	)(b)			(0.68	)			(0.40	)
From net realized gains			(0.25	)			(0.61	)			(0.08	)
Total distributions			(0.25	)			(1.29	)			(0.48	)
Net asset value, end of period		$	21.42			$	21.33			$	20.76
Total Return(c)			1.61	%**			9.25	%			6.35	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	4,071,094			$	3,941,582			$	3,515,321
Net expenses to average daily net assets(d)(e)(f)			0.00	%*			0.00	%			0.00	%*
Net investment income (loss) to average daily net assets(a)			3.17	%*			2.51	%			2.91	%*
Portfolio turnover rate			21	%**			31	%			23	%**
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.00	%(g)*			0.01	%			0.02	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(h)		$	0.00	(h)		$	0.00	(h)

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

^(b) Distributions from net investment income were less than $0.01 per share.

^(c) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(e) Net expenses to average daily net assets were less than 0.01%.

^(f) The net expense ratio does not include the effect of expense reductions (Note 2).

^(g) Fees and expenses reimbursed by the Manager to average daily net assets were less than 0.01%.

^(h) Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 61

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	10.90			$	10.40			$	10.22			$	9.30			$	7.28			$	11.37
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.11				0.29				0.24				0.17				0.27				0.87
Net realized and unrealized gain (loss)			0.10				0.50				0.21				0.94				2.10				(3.43	)
Total from investment operations			0.21				0.79				0.45				1.11				2.37				(2.56	)
Less distributions to shareholders:
From net investment income			(0.01	)			(0.29	)			(0.27	)			(0.19	)			(0.35	)			(1.04	)
From net realized gains			—				—				—				—				—				(0.49	)
Total distributions			(0.01	)			(0.29	)			(0.27	)			(0.19	)			(0.35	)			(1.53	)
Net asset value, end of period		$	11.10			$	10.90			$	10.40			$	10.22			$	9.30			$	7.28
Total Return(b)			1.88	%**			7.65	%			4.51	%			11.98	%			32.60	%			(24.30	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	4,891,671			$	4,764,133			$	3,612,740			$	3,457,703			$	3,104,293			$	2,432,987
Net expenses to average daily net assets(c)(d)(e)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%
Net investment income (loss) to average daily net assets(a)			2.03	%*			2.70	%			2.37	%			1.73	%			3.00	%			8.81	%
Portfolio turnover rate			32	%**			29	%			40	%			32	%			29	%			44	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):(f)†		$	0.00			$	0.00			$	0.00			$	0.00			$	0.00			$	0.00

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

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d) Net expenses to average daily net assets were less than 0.01%.

^(e) The net expense ratio does not include the effect of expense reductions (Note 2).

^(f) Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

62 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	8.60			$	8.49			$	8.60			$	7.40			$	5.29			$	10.25
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.10				0.25				0.19				0.15				0.20				0.34
Net realized and unrealized gain (loss)			0.22				0.57				0.00	(b)			1.17				2.11				(4.01	)
Total from investment operations			0.32				0.82				0.19				1.32				2.31				(3.67	)
Less distributions to shareholders:
From net investment income			(0.00	)(c)			(0.26	)			(0.20	)			(0.12	)			(0.15	)			(0.31	)
From net realized gains			(0.13	)			(0.45	)			(0.10	)			—				(0.05	)			(0.98	)
Total distributions			(0.13	)			(0.71	)			(0.30	)			(0.12	)			(0.20	)			(1.29	)
Net asset value, end of period		$	8.79			$	8.60			$	8.49			$	8.60			$	7.40			$	5.29
Total Return(d)			3.73	%**			10.01	%			2.47	%			17.97	%			43.73	%			(39.44	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,585,633			$	2,220,674			$	1,636,875			$	1,485,712			$	704,866			$	431,278
Net expenses to average daily net assets(e)(f)(g)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%
Net investment income (loss) to average daily net assets(a)			2.26	%*			2.90	%			2.27	%			1.96	%			2.78	%			4.27	%
Portfolio turnover rate			27	%**			24	%			28	%			6	%			34	%			52	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.02	%			0.02	%			0.03	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(h)		$	0.00	(h)		$	0.00	(h)		$	0.01			$	0.01			$	0.01

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

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

^(c) Distributions from net investment income were less than $0.01 per share.

^(d) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(e) The net expense ratio does not include the effect of expense reductions (Note 2).

^(f) Net expenses to average daily net assets were less than 0.01%.

^(g) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(h) Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 63

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	10.43			$	9.98			$	10.80			$	8.96			$	6.17			$	16.45
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.09				0.32				0.23				0.13				0.28				0.40
Net realized and unrealized gain (loss)			0.07				0.45				(0.81	)			1.87				2.81				(7.20	)
Total from investment operations			0.16				0.77				(0.58	)			2.00				3.09				(6.80	)
Less distributions to shareholders:
From net investment income			(0.02	)			(0.32	)			(0.24	)			(0.16	)			(0.20	)			(0.39	)
From net realized gains			(0.00	)(b)			—				—				—				(0.10	)			(3.09	)
Total distributions			(0.02	)			(0.32	)			(0.24	)			(0.16	)			(0.30	)			(3.48	)
Net asset value, end of period		$	10.57			$	10.43			$	9.98			$	10.80			$	8.96			$	6.17
Total Return(c)			1.57	%**			7.79	%			(5.21	)%			22.43	%			50.37	%			(48.63	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,636,086			$	1,385,150			$	1,166,993			$	1,277,551			$	1,017,731			$	519,663
Net expenses to average daily net assets(d)(e)(f)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%
Net investment income (loss) to average daily net assets(a)			1.64	%*			3.26	%			2.33	%			1.39	%			3.21	%			3.46	%
Portfolio turnover rate			11	%**			21	%			29	%			13	%			11	%			33	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.02	%			0.02	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(g)		$	0.01			$	0.01			$	0.00	(g)		$	0.01			$	0.01

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

^(b) Distributions from net realized gains were less than $0.01 per share.

^(c) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(e) Net expenses to average daily net assets were less than 0.01%.

^(f) The net expense ratio does not include the effect of expense reductions (Note 2).

^(g) Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

64 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL OPPORTUNITIES EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	14.86			$	13.87			$	15.23			$	12.69			$	9.20			$	20.63
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.18				0.50				0.36				0.18				0.41				0.65
Net realized and unrealized gain (loss)			0.71				0.97				(1.35	)			2.54				3.49				(9.20	)
Total from investment operations			0.89				1.47				(0.99	)			2.72				3.90				(8.55	)
Less distributions to shareholders:
From net investment income			(0.01	)			(0.48	)			(0.37	)			(0.18	)			(0.41	)			(0.62	)
From net realized gains			—				—				—				—				—				(2.26	)
Total distributions			(0.01	)			(0.48	)			(0.37	)			(0.18	)			(0.41	)			(2.88	)
Net asset value, end of period		$	15.74			$	14.86			$	13.87			$	15.23			$	12.69			$	9.20
Total Return(b)			5.96	%**			10.71	%			(6.32	)%			21.53	%			42.22	%			(46.05	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,023,697			$	966,794			$	810,338			$	796,026			$	661,103			$	409,278
Net expenses to average daily net assets(c)(d)(e)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%
Net investment income (loss) to average daily net assets(a)			2.30	%*			3.59	%			2.53	%			1.34	%			3.39	%			4.12	%
Portfolio turnover rate			6	%**			17	%			26	%			14	%			20	%			33	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.02	%			0.02	%			0.01	%
Redemption fees consisted of the following per share amounts:†			—				—				—				—			$	0.00	(f)		$	0.00	(f)

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

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses to average daily net assets were less than 0.01%.

^(d) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(e) The net expense ratio does not include the effect of expense reductions (Note 2).

^(f) Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 65

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

SPECIAL SITUATIONS FUND

	Class III Shares																								Class VI Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009								2013				2012				2011				2010				2009
Net asset value, beginning of period		$	25.26			$	26.46			$	27.53			$	27.47			$	25.47			$	21.32			$	25.40			$	26.59			$	27.63			$	27.55			$	25.51			$	21.33
Income (loss) from investment operations:
Net investment income (loss)†			(0.03	)			(0.09	)			(0.10	)			0.04				0.33				0.26				(0.02	)			(0.07	)			(0.07	)			0.05				0.36				0.23
Net realized and unrealized gain (loss)			0.61				(1.11	)			(0.97	)			0.02	(a)			1.67				3.89				0.58				(1.12	)			(0.97	)			0.03	(a)			1.68				3.95
Total from investment operations			0.58				(1.20	)			(1.07	)			0.06				2.00				4.15				0.56				(1.19	)			(1.04	)			0.08				2.04				4.18
Net asset value, end of period		$	25.84			$	25.26			$	26.46			$	27.53			$	27.47			$	25.47			$	25.96			$	25.40			$	26.59			$	27.63			$	27.55			$	25.51
Total Return(b)			2.30	%**			(4.54	)%			(3.89	)%			0.22	%			7.85	%			19.47	%			2.20	%**			(4.48	)%			(3.76	)%			0.29	%			8.00	%			19.60	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,024			$	31,414			$	39,010			$	23,299			$	17,332			$	20,366			$	91,067			$	707,887			$	707,879			$	715,684			$	347,957			$	326,148
Net operating expenses to average daily net assets			0.52	%(c)*			0.52	%(c)(d)			0.52	%(c)(d)			0.53	%(c)(d)			0.53	%			0.52	%			0.43	%(c)*			0.43	%(c)(d)			0.43	%(c)(d)			0.43	%(c)(d)			0.44	%			0.43	%
Interest expense to average daily net assets			—				—				—				0.01	%			0.03	%			—				—				—				—				0.01	%			0.03	%			—
Total net expenses to average daily net assets			0.52	%*			0.52	%			0.52	%			0.54	%			0.56	%			0.52	%			0.43	%*			0.43	%			0.43	%			0.44	%			0.47	%			0.43	%
Net investment income (loss) to average daily net assets			(0.24	)%*			(0.36	)%			(0.37	)%			0.15	%			1.24	%			1.20	%			(0.14	)%*			(0.25	)%			(0.26	)%			0.19	%			1.35	%			1.03	%
Portfolio turnover rate			9	%**			35	%			11	%			60	%			15	%			62	%			9	%**			35	%			11	%			60	%			15	%			62	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.05	%*			0.03	%			0.03	%			0.04	%			0.04	%			0.03	%			0.05	%*			0.04	%			0.03	%			0.04	%			0.05	%			0.03	%

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

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d) The net expense ratio does not include the effect of expense reductions (Note 2).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

66 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

STRATEGIC OPPORTUNITIES ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	21.47			$	21.26			$	20.78			$	18.54			$	14.37			$	22.70
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.32				0.65				0.48				0.33				0.54				1.57
Net realized and unrealized gain (loss)			0.63				1.57				0.51				2.26				4.26				(7.23	)
Total from investment operations			0.95				2.22				0.99				2.59				4.80				(5.66	)
Less distributions to shareholders:
From net investment income			(0.01	)			(0.75	)			(0.51	)			(0.35	)			(0.63	)			(1.61	)
From net realized gains			(0.29	)			(1.26	)			—				—				—				(1.06	)
Total distributions			(0.30	)			(2.01	)			(0.51	)			(0.35	)			(0.63	)			(2.67	)
Net asset value, end of period		$	22.12			$	21.47			$	21.26			$	20.78			$	18.54			$	14.37
Total Return(b)			4.40	%**			10.81	%			4.93	%			14.02	%			33.44	%			(26.75	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,194,274			$	2,168,928			$	2,022,555			$	1,752,168			$	1,851,213			$	1,107,258
Net expenses to average daily net assets(c)(d)(e)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%
Net investment income (loss) to average daily net assets(a)			2.80	%*			3.01	%			2.33	%			1.73	%			3.04	%			8.05	%
Portfolio turnover rate			24	%**			34	%			35	%			36	%			14	%			34	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.02	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(f)		$	0.00	(f)			—				—			$	0.00	(f)		$	0.01

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

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d) Net expenses to average daily net assets were less than 0.01%.

^(e) The net expense ratio does not include the effect of expense reductions (Note 2).

^(f) Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 67

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011(a)				2010(a)				2009(a)
Net asset value, beginning of period		$	30.85			$	28.00			$	25.51			$	22.80			$	16.55			$	25.55
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.07				0.64				0.51				0.43				0.40				0.45
Net realized and unrealized gain (loss)			2.09				2.95				2.71				2.73				6.05				(8.50	)
Total from investment operations			2.16				3.59				3.22				3.16				6.45				(8.05	)
Less distributions to shareholders:
From net investment income			(0.14	)			(0.74	)			(0.73	)			(0.45	)			(0.20	)			(0.40	)
From net realized gains			(2.80	)			—				—				—				—				(0.55	)
Total distributions			(2.94	)			(0.74	)			(0.73	)			(0.45	)			(0.20	)			(0.95	)
Net asset value, end of period		$	30.07			$	30.85			$	28.00			$	25.51			$	22.80			$	16.55
Total Return(c)			7.35	%**			13.02	%			12.83	%			14.13	%			38.94	%			(32.42	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	39,128			$	80,484			$	65,213			$	95,923			$	128,565			$	69,415
Net expenses to average daily net assets(d)(e)			0.00	%*			0.00	%			0.00	%(f)			0.00	%(f)			0.00	%(f)			0.00	%(f)
Net investment income (loss) to average daily net assets(b)			0.49	%*			2.19	%			1.99	%			1.86	%			1.99	%			1.94	%
Portfolio turnover rate			3	%**			2	%			12	%			7	%			2	%			39	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.10	%*			0.07	%			0.07	%			0.06	%			0.05	%			0.06	%
Purchase Premiums and redemption fees consisted of the following per share amounts: (Note 2)†			—				—				—				—			$	0.00	(g)		$	0.00	(g)

^(a) Per share amounts were adjusted to reflect a 1:5 reverse stock split effective November 15, 2010.

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

^(c) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d) Net expenses to average daily net assets were less than 0.01%.

^(e) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(f) The net expense ratio does not include the effect of expense reductions (Note 2).

^(g) Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

68 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

WORLD OPPORTUNITIES EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2013 (Unaudited)				Year Ended February 28/29,
					2013				2012				2011				2010				2009
Net asset value, beginning of period		$	21.13			$	19.49			$	19.32			$	16.74			$	12.29			$	21.71
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.20				0.57				0.40				0.28				0.42				0.53
Net realized and unrealized gain (loss)			1.07				1.73				0.18				2.59				4.47				(8.50	)
Total from investment operations			1.27				2.30				0.58				2.87				4.89				(7.97	)
Less distributions to shareholders:
From net investment income			(0.01	)			(0.66	)			(0.41	)			(0.29	)			(0.44	)			(0.54	)
From net realized gains			—				—				—				—				—				(0.91	)
Total distributions			(0.01	)			(0.66	)			(0.41	)			(0.29	)			(0.44	)			(1.45	)
Net asset value, end of period		$	22.39			$	21.13			$	19.49			$	19.32			$	16.74			$	12.29
Total Return(b)			5.99	%**			11.95	%			3.14	%			17.19	%			39.64	%			(38.63	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,454,201			$	1,531,772			$	1,235,143			$	1,215,043			$	1,059,840			$	698,525
Net expenses to average daily net assets(c)(d)(e)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%
Net investment income (loss) to average daily net assets(a)			1.78	%*			2.86	%			2.11	%			1.61	%			2.64	%			2.89	%
Portfolio turnover rate			5	%**			31	%			27	%			20	%			16	%			35	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.02	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†			—				—				—				—				—			$	0.00	(f)

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

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d) Net expenses to average daily net assets were less than 0.01%.

^(e) The net expense ratio does not include the effect of expense reductions (Note 2).

^(f) Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 69

GMO Trust Funds

Notes to Financial Statements

August 31, 2013 (Unaudited)

1. Organization

Each of 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, and World Opportunities Equity Allocation Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”).

The Funds may invest in U.S. Treasury Fund and unaffiliated money market funds.

Many of the Funds invest primarily in other GMO Funds (“underlying funds”) and in the case of Alternative Asset Opportunity Fund in Alternative Asset SPC Ltd. As a result, the Funds are exposed to all of the risks of the underlying funds in which they invest. Several of the underlying funds themselves invest a substantial portion of their assets in other GMO Funds. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect). As of August 31, 2013, shares of Alternative Asset Opportunity Fund, Benchmark-Free Fund, Implementation Fund and Special Situations Fund were not publicly offered for sale.

The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):

Fund Name	Benchmark	Principal Investment Objective
Alpha Only Fund	Citigroup 3-Month Treasury Bill Index	Total return greater than benchmark
Alternative Asset Opportunity Fund	Citigroup 3-Month Treasury Bill Index	Long-term total return
Benchmark-Free Allocation Fund	Not Applicable	Positive total return, not “relative” return
Benchmark-Free Fund	Not Applicable	Positive total return
Global Asset Allocation Fund	GMO Global Asset Allocation Index (65% MSCI ACWI, 35% Barclays U.S. Aggregate Index)	Total return greater than benchmark
Global Equity Allocation Fund	MSCI ACWI	Total return greater than benchmark
International Equity Allocation Fund	MSCI ACWI ex USA	Total return greater than benchmark
International Opportunities Equity Allocation Fund	MSCI EAFE Index	Total return greater than benchmark
Special Situations Fund	Not Applicable	Capital appreciation and capital preservation
Strategic Opportunities Allocation Fund	GMO Strategic Opportunities Allocation Index (75% MSCI World Index, 25% Barclays U.S. Aggregate Index)	Total return greater than benchmark
U.S. Equity Allocation Fund	Russell 3000 Index	Total return greater than benchmark
World Opportunities Equity Allocation Fund	MSCI World Index	Total return greater than benchmark

2. Significant accounting policies

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

70

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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 financial statements have been consolidated for those accounts. The consolidated financial statements include 100% of the assets and liabilities of each wholly owned subsidiary. All interfund accounts and transactions have been eliminated in consolidation.

Portfolio valuation

Shares of the underlying funds and other open-end registered investment companies are valued at their most recent 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 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. Cleared derivatives are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. 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 valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular 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 August 31, 2013, 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 Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that close 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 those derivatives closes prior to the close of the NYSE). In those cases, the value will generally 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 inputs obtained from that independent pricing service as of August 31, 2013. 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 Level 2 (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 Fund 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 present minimal credit risk.

“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 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, fair valued using inputs obtained from an independent pricing service and presented in the table below on a net basis or 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 each Fund’s net assets) as of August 31, 2013 is as follows:

71

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Securities and Derivatives

Fund Name	Fair valued using methods determined in good faith by or at the direction of the Trustees		Fair valued using prices obtained from an independent pricing service		Single source; No alternative pricing source was available
Alpha Only Fund		—		44%		—
Consolidated Alternative Asset Opportunity Fund		< 1%		< 1%		< 1%
Consolidated Benchmark-Free Allocation Fund		< 1%		33%		< 1%
Benchmark-Free Fund		< 1%		36%		< 1%
Global Asset Allocation Fund		< 1%		38%		< 1%
Global Equity Allocation Fund		< 1%		54%		—
International Equity Allocation Fund		< 1%		92%		—
International Opportunities Equity Allocation Fund		< 1%		96%		—
Special Situations Fund		—		—		—
Strategic Opportunities Allocation Fund		< 1%		43%		< 1%
U.S. Equity Allocation Fund		—		2%		—
World Opportunities Equity Allocation Fund		< 1%		51%		—

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 into 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 the 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 (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 August 31, 2013, Special Situations Fund held material Level 3 investments in asset-backed securities and loans. The Fund values these investments using unadjusted prices supplied by a third party pricing source (e.g., broker quotes) as described in the Portfolio Valuation note. Other than as described in this paragraph, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings.

The three levels are defined as follows:

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 60 days or less valued at amortized cost; certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; 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.

72

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; 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 equity securities valued based on the last traded exchange price adjusted for the movement in a securities index; and certain securities that are valued using a price from a comparable security related to the same issuer.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2013:

Description	Level 1		Level 2			Level 3		Total
Alpha Only Fund
Asset Valuation Inputs
Mutual Funds
United States	$	2,370,256,912	$	—		$	—	$	2,370,256,912
TOTAL MUTUAL FUNDS		2,370,256,912		—			—		2,370,256,912
Investment Funds
United States		52,609,630		—			—		52,609,630
TOTAL INVESTMENT FUNDS		52,609,630		—			—		52,609,630
Short-Term Investments		201,308,937		—			—		201,308,937
Total Investments		2,624,175,479		—			—		2,624,175,479
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—		19,362,332			—		19,362,332
Futures Contracts
Equity Risk		2,887,980		5,794,317			—		8,682,297
Swap Contracts
Equity Risk		—		26,015,298			—		26,015,298
Total	$	2,627,063,459	$	51,171,947		$	—	$	2,678,235,406
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(764,704	)	$	—	$	(764,704	)
Futures Contracts
Equity Risk		—		(1,164,400	)		—		(1,164,400	)
Total	$	—	$	(1,929,104	)	$	—	$	(1,929,104	)
Consolidated Alternative Asset Opportunity Fund
Asset Valuation Inputs
Mutual Funds	$	1,219,470,853	$	—		$	—	$	1,219,470,853
Short-Term Investments		328,649,690		213,988,735			—		542,638,425
Total Investments		1,548,120,543		213,988,735			—		1,762,109,278

73

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Consolidated Alternative Asset Opportunity Fund (continued)
Asset Valuation Inputs (continued)
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	8,423,453		$	—	$	8,423,453
Futures Contracts								—
Physical Commodity Contract Risk		9,090,606			—			—		9,090,606
Equity Risk		—			7,394,946			—		7,394,946
Interest Rate Risk		261,062			—			—		261,062
Total	$	1,557,472,211		$	229,807,134		$	—	$	1,787,279,345
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(2,835,300	)	$	—	$	(2,835,300	)
Futures Contracts
Physical Commodity Contract Risk		(13,366,692	)		—			—		(13,366,692	)
Equity Risk		(4,156,976	)		(312,080	)		—		(4,469,056	)
Interest Rate Risk		(2,415,838	)		—			—		(2,415,838	)
Total	$	(19,939,506	)	$	(3,147,380	)	$	—	$	(23,086,886	)
Consolidated Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds
United States	$	3,298,024,293		$	—		$	—	$	3,298,024,293
Investment Funds
United States		8,944,307			—			—		8,944,307
Debt Obligations
Canada		—			—			4,098,541		4,098,541
United States		—			896,937,536			2,596,814		899,534,350
TOTAL DEBT OBLIGATIONS		—			896,937,536			6,695,355		903,632,891
Common Stocks
Australia		—			64,662,876			—		64,662,876
Austria		—			6,862,719			—		6,862,719
Belgium		—			11,349,484			—		11,349,484
Brazil		74,750,658			—			—		74,750,658
Canada		20,812,036			—			—		20,812,036
Czech Republic		—			8,861,539			—		8,861,539
Denmark		—			2,802,408			—		2,802,408
Egypt		—			8,474,890			—		8,474,890
Finland		—			11,909,135			—		11,909,135
France		—			252,311,494			—		252,311,494
Germany		—			94,495,735			—		94,495,735
Greece		—			4,241,121			—		4,241,121
Hong Kong		—			26,322,876			—		26,322,876
Hungary		—			744,188			—		744,188
India		9,651,674			34,538,085			1,042,379		45,232,138
Indonesia		1,308,218			36,500,013			—		37,808,231
Ireland		—			2,885,437			—		2,885,437
Israel		—			4,453,731			—		4,453,731
Italy		—			110,829,475			—		110,829,475
Japan		—			382,957,951			—		382,957,951

74

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Description	Level 1			Level 2			Level 3			Total
Consolidated Benchmark-Free Allocation Fund (continued)
Asset Valuation Inputs (continued)
Malaysia	$	—		$	4,631,026		$	—		$	4,631,026
Mexico		14,113,119			—			—			14,113,119
Netherlands		2,012,948			32,144,379			0	**		34,157,327
New Zealand		—			5,122,650			—			5,122,650
Norway		—			10,624,262			—			10,624,262
Peru		5,878,697			—			—			5,878,697
Philippines		361,095			6,390,500			—			6,751,595
Poland		—			14,594,712			—			14,594,712
Portugal		—			5,531,192			—			5,531,192
Russia		4,327,220			111,455,734			—			115,782,954
Singapore		—			17,223,718			—			17,223,718
South Africa		1,636,810			37,070,511			—			38,707,321
South Korea		5,933,349			223,846,268			—			229,779,617
Spain		—			136,313,584			—			136,313,584
Sri Lanka		—			68,955			—			68,955
Sweden		—			18,862,041			—			18,862,041
Switzerland		—			80,294,913			—			80,294,913
Taiwan		12,748,886			96,669,978			—			109,418,864
Thailand		—			31,880,002			715,464			32,595,466
Turkey		148,708			21,651,947			—			21,800,655
United Kingdom		—			494,176,017			—			494,176,017
United States		1,562,040,947			—			—			1,562,040,947
TOTAL COMMON STOCKS		1,715,724,365			2,413,755,546			1,757,843			4,131,237,754
Preferred Stocks
Brazil		75,209,173			—			—			75,209,173
Germany		—			6,100,849			—			6,100,849
Russia		—			6,326,427			—			6,326,427
South Korea		—			5,800,661			—			5,800,661
TOTAL PREFERRED STOCKS		75,209,173			18,227,937			—			93,437,110
Short-Term Investments		748,728,546			—			—			748,728,546
Total Investments		5,846,630,684			3,328,921,019			8,453,198			9,184,004,901
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—			34,344,493			—			34,344,493
Futures Contracts
Equity Risk		74,250			29,606			—			103,856
Total	$	5,846,704,934		$	3,363,295,118		$	8,453,198		$	9,218,453,250
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(6,052,645	)	$	—		$	(6,052,645	)
Futures Contracts
Equity Risk		(302,299	)		(553,825	)		—			(856,124	)
Written Options
Equity Risk		(4,318,452	)		(9,047,610	)		—			(13,366,062	)
Total	$	(4,620,751	)	$	(15,654,080	)	$	—		$	(20,274,831	)

75

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Benchmark-Free Fund
Asset Valuation Inputs
Mutual Funds	$	4,071,123,124	$	—	$	—	$	4,071,123,124
Short-Term Investments		60,321		—		—		60,321
Total Investments		4,071,183,445		—		—		4,071,183,445
Total	$	4,071,183,445	$	—	$	—	$	4,071,183,445
Global Asset Allocation Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	278,735	$	17,353,939	$	17,632,674
U.S. Government Agency		—		—		14,907		14,907
Total Debt Obligations		—		278,735		17,368,846		17,647,581
Mutual Funds		4,874,090,849		—		—		4,874,090,849
Short-Term Investments		289,449		—		—		289,449
Total Investments		4,874,380,298		278,735		17,368,846		4,892,027,879
Total	$	4,874,380,298	$	278,735	$	17,368,846	$	4,892,027,879
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,585,646,657	$	—	$	—	$	2,585,646,657
Short-Term Investments		44,445		—		—		44,445
Total Investments		2,585,691,102		—		—		2,585,691,102
Total	$	2,585,691,102	$	—	$	—	$	2,585,691,102
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,636,111,625	$	—	$	—	$	1,636,111,625
Short-Term Investments		28,912		—		—		28,912
Total Investments		1,636,140,537		—		—		1,636,140,537
Total	$	1,636,140,537	$	—	$	—	$	1,636,140,537
International Opportunities Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,023,701,232	$	—	$	—	$	1,023,701,232
Short-Term Investments		36,747		—		—		36,747
Total Investments		1,023,737,979		—		—		1,023,737,979
Total	$	1,023,737,979	$	—	$	—	$	1,023,737,979
Special Situations Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	—	$	16,394,166	$	16,394,166
Bank Loans		—		—		8,424,356		8,424,356
TOTAL DEBT OBLIGATIONS		—		—		24,818,522		24,818,522
Mutual Funds		8,009,449		—		—		8,009,449
Short-Term Investments		56,905,250		—		—		56,905,250
Total Investments		64,914,699		—		24,818,522		89,733,221

76

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Description	Level 1		Level 2			Level 3		Total
Special Situations Fund (continued)
Asset Valuation Inputs (continued)
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—	$	9,426,790		$	—	$	9,426,790
Total	$	64,914,699	$	9,426,790		$	24,818,522	$	99,160,011
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(4,961,930	)	$	—	$	(4,961,930	)
Total	$	—	$	(4,961,930	)	$	—	$	(4,961,930	)
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,187,768,582	$	—		$	—	$	2,187,768,582
Debt Obligations
Asset-Backed Securities		—		—			6,555,750		6,555,750
TOTAL DEBT OBLIGATIONS		—		—			6,555,750		6,555,750
Short-Term Investments		128,391		—			—		128,391
Total Investments		2,187,896,973		—			6,555,750		2,194,452,723
Total	$	2,187,896,973	$	—		$	6,555,750	$	2,194,452,723
U.S. Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	39,125,822	$	—		$	—	$	39,125,822
Short-Term Investments		23,504		—			—		23,504
Total Investments		39,149,326		—			—		39,149,326
Total	$	39,149,326	$	—		$	—	$	39,149,326
World Opportunities Equity Allocation Fund
Asset Valuation Input
Mutual Funds	$	1,454,208,573	$	—		$	—	$	1,454,208,573
Short-Term Investments		37,146		—			—		37,146
Total Investments		1,454,245,719		—			—		1,454,245,719
Total	$	1,454,245,719	$	—		$	—	$	1,454,245,719

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.

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

** Represents the interest in securities that were determined to have a fair value of zero at August 31, 2013.

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ Notes to Financial Statements.

For all Funds for the period ended August 31, 2013, there were no material transfers between Level 1 and Level 2.

77

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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

	Balances as of February 28, 2013		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 August 31, 2013			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2013
Consolidated Benchmark-Free Allocation Fund
Common Stock
India	$	1,107,369	$	1,085,232	$	(590,397	)	$	—	$	(124,571	)	$	(435,254	)	$	—	$	—		1,042,379		$	(455,813	)
Netherlands		93,629		—		—			—		—			(93,629	)		—		—		0	**		(93,629	)
Thailand		1,300,860		1,216,673		(1,831,817	)		—		312,026			(282,278	)		—		—		715,464			(178,187	)
Debt Obligations
Asset-Backed Securities
Canada		4,156,599		—		(106	)		8,155		9			(66,116	)		—		—		4,098,541			(66,116	)
United States		397,099		—		—			17,718		—			75,908			—		—		490,725			75,908
Bank Loans
United States		4,983,209		—		(2,838,875	)		5,489		6,215			(49,949	)		—		—		2,106,089			(51,238	)
Total	$	12,038,765	$	2,301,905	$	(5,261,195	)	$	31,362	$	193,679		$	(851,318	)	$	—	$	—	$	8,453,198		$	(769,075	)
Global Asset Allocation Fund
Debt Obligations
Asset-Backed Securities	$	21,136,349	$	—	$	(4,676,409	)	$	867,052	$	65,655		$	(38,708	)	$	—	$	—	$	17,353,939		$	121,322
U.S. Government Agency
Agency		22,304		—		(7,488	)		157		—			(66	)		—		—		14,907			(66	)
Total	$	21,158,653	$	—	$	(4,683,897	)#	$	867,209	$	65,655		$	(38,774	)	$	—	$	—	$	17,368,846		$	121,256
Special Situations Fund
Debt Obligations
Asset-Backed Securities	$	17,233,071	$	—	$	(612,363	)	$	51,940	$	—		$	(278,482	)	$	—	$	—	$	16,394,166		$	(264,462	)
Bank Loans		19,932,835		—		(11,355,501	)		45,470		1,346			(199,794	)		—		—		8,424,356			(204,951	)
Total	$	37,165,906	$	—	$	(11,967,864	)##	$	97,410	$	1,346		$	(478,276	)	$	—	$	—	$	24,818,522		$	(469,413	)
Strategic Opportunities Allocation Fund
Debt Obligations
Asset-Backed Securities	$	8,853,321	$	—	$	(2,590,380	)	$	182,097	$	254,850		$	(144,138	)	$	—	$	—	$	6,555,750		$	(7,083	)
Total	$	8,853,321	$	—	$	(2,590,380	)###	$	182,097	$	254,850		$	(144,138	)	$	—	$	—	$	6,555,750		$	(7,083	)

* The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period.

** Represents the interest in securities that were determined to have a value of zero at August 31, 2013.

# Includes $2,880,692 of proceeds received from paydowns.

## Includes $612,363 of proceeds received from paydowns.

### Includes $1,361,970 of proceeds received from paydowns.

78

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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 August 31, 2013 were as follows:

Fund Name	Level 3 securities		Level 3 derivatives
Alpha Only Fund		—		—
Consolidated Alternative Asset Opportunity Fund		< 1%		—
Consolidated Benchmark-Free Allocation Fund		6%		(1)%
Benchmark-Free Fund		6%		(1)%
Global Asset Allocation Fund		6%		(1)%
Global Equity Allocation Fund		< 1%		—
International Equity Allocation Fund		< 1%		—
International Opportunities Equity Allocation Fund		< 1%		—
Special Situations Fund		26%		—
Strategic Opportunities Allocation Fund		5%		(1)%
U.S. Equity Allocation Fund		—		—
World Opportunities Equity Allocation Fund		< 1%		—

Cash

Cash and Foreign Currency, if any, on the Statements of Assets and Liabilities consists of cash balances held with the custodian.

Due to/from broker

Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. Dollars at the close of regular trading on the NYSE, generally at 4:00 pm 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 on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Loan agreements and participations

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 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.

Repurchase agreements

The Funds may enter into repurchase agreements. Under a repurchase agreement a Fund acquires a security for a relatively short period 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.

79

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Reverse repurchase agreements

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 may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Inflation-indexed bonds

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 normally changes when real interest rates change. 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 change in the same proportion as changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. 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 in the principal amount of an inflation-indexed bond constitutes taxable ordinary income to investors, 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.

Taxes and distributions

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

Alternative Asset Opportunity Fund and Special Situations Fund (each a “Partnership Fund”) have each elected to be treated as a partnership for U.S. federal income tax purposes and each shareholder is responsible for their tax liabilities, if any, related to their allocable share of Partnership Fund taxable income, gains, losses, deductions, credits and items of tax preference. The Partnership Funds’ activities do not generally constitute those of a U.S. trade or business. Accordingly, the Partnership Funds are generally not subject to U.S. federal, state and/or other income-based U.S. taxes (other than certain withholding taxes). Dividends and other income may be subject to withholding or similar taxes imposed by the country in which such dividends or other income originate.

Implementation Fund is disregarded as an entity separate from its sole shareholder, Benchmark-Free Allocation Fund (“BFAF”) for U.S. federal income tax purposes. BFAF will be treated as owning Implementation Fund’s assets directly for U.S. federal income tax purposes. As such, any income, gain, loss, deduction or other tax items arising in respect of Implementation Fund’s assets will be treated as if they are realized or incurred, as applicable, directly by BFAF. Alternative Asset SPC, Ltd is a wholly owned subsidiary of Alternative Asset Opportunity Fund and has elected to be treated as a (non-U.S.) corporation for U.S. federal income tax purposes.

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

Each RIC Fund’s policy is to declare and pay distributions of its net investment income, if any, semi-annually. Each RIC Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. Typically all distributions are reinvested in additional shares of each RIC Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by each RIC Fund on the ex-dividend date.

Because each Partnership Fund has elected to be treated as a partnership for U.S. federal income tax purposes, it is not required to make distributions to its shareholders. It is the policy of each Partnership Fund to declare and pay non-redeeming distributions in the sole discretion of the Trustees (or their delegates). Distributions made by each Partnership Fund, if any, other than distributions made in partial or complete

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redemption of shareholders’ interests in the Partnership Fund, are reported in each Partnership Fund’s Statements of Changes in Net Assets as Partnership Fund distributions to shareholders.

Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2013, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.

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

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

As of February 28, 2013, the RIC Funds listed below elected to defer to March 1, 2013 late-year ordinary losses and post-October capital losses as follows:

Fund Name	Late-Year Ordinary Losses ($)		Post- October Capital Losses ($)
Alpha Only Fund		(2,528,939)		(140,730,688)
Benchmark-Free Fund		(4,053,854)		(2,394,335)
Global Asset Allocation Fund		(4,115,924)		—
Global Equity Allocation Fund		(4,424)		—
International Equity Allocation Fund		(2,478)		—
International Opportunities Equity Allocation Fund		(1,799)		—
Strategic Opportunities Allocation Fund		(1,159,543)		—
U.S. Equity Allocation Fund		(121)		—
World Opportunities Equity Allocation Fund		(2,672)		—

As of February 28, 2013, the RIC Funds listed below had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused.

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Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses and losses realized subsequent to February 28, 2013, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The RIC Funds’ capital loss carryforwards are as follows:

	Short-Term ($)								Total Short- Term ($)		Long- Term ($)
Fund Name	Expiration Date 2/28/2017		Expiration Date 2/28/2018		Expiration Date 2/28/2019		No Expiration Date				No Expiration Date
Alpha Only Fund		—		(652,138,061)		(309,022,361)		(3,613,992)		(964,774,414)		—
Benchmark-Free Allocation Fund		—		(37,205,535)		(7,441,107)		—		(44,646,642)		—
Global Asset Allocation Fund		—		—		(28,892,170)		—		(28,892,170)		—
International Opportunities Equity Allocation Fund		—		(39,084,586)		(22,515,333)		(1,072,169)		(62,672,088)		(56,909,375)
U.S. Equity Allocation Fund		(1,592,763)		(176,824)		(1,290,769)		—		(3,060,356)		—
World Opportunities Equity Allocation Fund		—		(15,834,733)		(33,655,279)		—		(49,490,012)		—

As of August 31, 2013, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:

Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Alpha Only Fund		2,527,688,702		102,004,230		(5,517,453)		96,486,777
Consolidated Alternative Asset Opportunity Fund		1,753,313,209		16,587,666		(7,791,597)		8,796,069
Consolidated Benchmark-Free Allocation Fund		9,190,263,617		177,985,533		(184,244,249)		(6,258,716)
Benchmark-Free Fund		3,955,540,355		226,689,823		(111,046,733)		115,643,090
Global Asset Allocation Fund		4,890,922,769		88,772,765		(87,667,655)		1,105,110
Global Equity Allocation Fund		2,525,083,108		114,688,673		(54,080,679)		60,607,994
International Equity Allocation Fund		1,641,569,137		24,608,261		(30,036,861)		(5,428,600)
International Opportunities Equity Allocation Fund		1,081,074,467		—		(57,336,488)		(57,336,488)
Special Situations Fund		89,864,776		142,166		(273,721)		(131,555)
Strategic Opportunities Allocation Fund		2,065,902,318		140,283,165		(11,732,760)		128,550,405
U.S. Equity Allocation Fund		33,290,431		5,858,895		—		5,858,895
World Opportunities Equity Allocation Fund		1,356,200,625		98,186,148		(141,054)		98,045,094

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and a Fund

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may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual Fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees and supplemental support fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent for all Funds except Alpha Only Fund. For Alpha Only Fund, Brown Brothers Harriman & Co. (“BBH”) serves as the custodian and fund accounting agent and State Street serves as the transfer agent. State Street’s transfer agent fees may be reduced by an earnings allowance calculated on the average daily cash balances each Fund maintains in a State Street transfer agent account. Earnings allowances are reported as a reduction of expenses in the Statement of Operations. Prior to December 31, 2012, State Street’s custodian fees may have been reduced by an earnings allowance calculated on the average daily cash balance each Fund maintained in a State Street custodial account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2013, any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties, and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.

Each of the Funds may charge purchase premiums and redemption fees. Purchase premiums and redemption fees for the Funds are typically reassessed annually based on the weighted average of (i) the estimated transaction costs for directly held assets and (ii) the purchase premiums and/or redemption fees, if any, imposed by the underlying funds in which the Funds invest, provided that, if that weighted average is less than 0.05%, the Funds usually will not charge a purchase premium or redemption fee.

Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions). If the Manager determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. The Manager also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

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

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

The Manager may consider known cash flows out of or into underlying funds when placing orders for the cash purchase or redemption of underlying fund shares by accounts over which the Manager has investment discretion, including the Funds and other pooled investment vehicles. Consequently, those accounts will tend to benefit more from waivers of the underlying funds’ purchase premiums and redemption fees than other underlying fund shareholders.

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As of August 31, 2013, the premium on cash purchases and the fee on cash redemptions were as follows:

	Alpha Only	Alternative Asset Opportunity Fund	Benchmark-Free Allocation Fund(1)	Benchmark-Free Fund(2)	Global Asset Allocation Fund(3)	Global Equity Allocation Fund(4)	International Equity Allocation Fund(5)	International Opportunities Equity Allocation Fund	Special Situations Fund	Strategic Opportunities Allocation Fund(6)	U.S. Equity Allocation Fund	World Opportunities Equity Allocation Fund
Purchase Premium	—	—	0.11%	0.14%	0.11%	0.11%	0.20%	—	—	0.06%	—	—
Redemption Fee	—	—	0.11%	0.14%	0.11%	0.11%	0.20%	—	—	0.06%	—	—

⁽¹⁾  Prior to June 30, 2013, the premium on cash purchases and the fee on cash redemptions were each 0.12% of the amount invested or redeemed.

⁽²⁾  Prior to June 30, 2013, the premium on cash purchases and the fee on cash redemptions were each 0.13% of the amount invested or redeemed.

⁽³⁾  Prior to June 30, 2013, the premium on cash purchases and the fee on cash redemptions were each 0.10% of the amount invested or redeemed.

⁽⁴⁾  Prior to June 30, 2013, the premium on cash purchases and the fee on cash redemptions were each 0.12% of the amount invested or redeemed.

⁽⁵⁾  Prior to June 30, 2013, the premium on cash purchases and the fee on cash redemptions were each 0.21% of the amount invested or redeemed.

⁽⁶⁾  Prior to June 30, 2013, the premium on cash purchases and the fee on cash redemptions were each 0.07% of the amount invested or redeemed.

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3. Investment and other risks

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:

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 – Equities

X

X

X

X

X

X

X

X

X

X

X

X

Market Risk – Fixed Income Investments

X

X

X

X

X

X

X

X

X

X

X

Market Risk – Asset-Backed Securities

X

X

X

X

X

X

X

X

X

X

X

Credit Risk

X

X

X

X

X

X

X

X

X

X

X

Liquidity Risk

X

X

X

X

X

X

X

X

X

X

X

X

Smaller Company Risk

X

X

X

X

X

X

X

X

X

X

Derivatives Risk

X

X

X

X

X

X

X

X

X

X

X

X

Non-U.S. Investment Risk

X

X

X

X

X

X

X

X

X

X

X

X

Currency Risk

X

X

X

X

X

X

X

X

X

X

X

X

Focused Investment Risk

X

X

X

X

X

X

X

X

X

X

X

Real Estate Risk

X

X

X

X

X

X

X

X

Leveraging Risk

X

X

X

X

X

X

X

X

X

X

X

X

Counterparty Risk

X

X

X

X

X

X

X

X

X

X

X

X

Short Sales Risk

X

X

X

X

X

X

X

X

X

X

X

Natural Resources Risk

X

X

X

X

X

X

X

X

X

Commodities Risk

X

X

X

X

X

X

X

X

X

Market Disruption and Geopolitical Risk

X

X

X

X

X

X

X

X

X

X

X

X

Large Shareholder Risk

X

X

X

X

X

X

X

X

X

X

X

X

Management and Operational Risk

X

X

X

X

X

X

X

X

X

X

X

X

Options Risk

X

X

X

X

X

X

X

X

X

Fund of Funds Risk

X

X

X

X

X

X

X

X

X

X

X

X

Non-Diversified Funds

X

X

X

X

X

X

X

X

X

X

X

X

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.

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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:

Equities — Funds that invest in equities run the risk that the market prices of those investments will decline. The market prices of equities may decline for reasons that directly relate to the issuing company, such as poor management performance or reduced demand for its goods or services. They 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. Equities generally have significant price volatility, and the market prices of equities can decline in a rapid or unpredictable manner.

Some of the Funds invest a substantial portion of their assets in equities and, 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 equities 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 or will decline for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments.

The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

Because of Risk Premium Fund’s emphasis on selling put options on stock indices, its shares are expected to decline in value when those indices decline in value. Also, Risk Premium Fund’s investment strategy of writing put options on stock indices can be expected to cause the Fund to underperform the equity markets on which its puts were written when those markets rise rapidly because the Fund does not have exposure to the upside of the equity markets.

Fixed Income Investments — 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 interest rates and widening credit spreads, or decreased liquidity stemming from 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. Some fixed income securities 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 fixed income security. When interest rates rise, these securities also may be repaid more slowly than anticipated, which could cause the market price of the Fund’s investment to decrease. 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, exposing a Fund to the risk that the price of which it sells them will be less than the value placed on them when they were held by the Fund. See “Credit Risk” and “Liquidity Risk” below for more information about these risks.

A risk run by each Fund with a significant investment in fixed income securities is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases 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.

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The market 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 market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities. The market 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 — 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” 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 reduction in the payment stream the Manager expected a Fund to receive at the time the Fund 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.

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 an entity that generated the assets underlying an asset-backed security is likely to result in a decline in the market price of that security, 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. When interest rates rise, these obligations also may be repaid more slowly than anticipated, which could cause the market price of the Fund’s investment to decrease.

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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.

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 or the obligor of an obligation underlying an asset-backed security 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, guarantor’s, or obligor’s failure to meet its payment obligations or the downgrading of its credit rating. This 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.

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. In addition, payment of principal of fixed income securities guaranteed by the U.S. government can be delayed because the guarantee generally only requires payment upon maturity of the securities. 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 fixed income securities issued or guaranteed by emerging countries.

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.

Securities issued by the U.S. Treasury historically have presented minimal credit risk. However, recent events have led to a downgrade in the long-term U.S. credit rating by at least one major rating agency and have introduced greater uncertainty about the ability of the U.S. to repay its obligations. A further credit rating downgrade or a U.S. credit default could decrease the value and increase the volatility of a Fund’s investments.

As described under “Market Risk — Asset-Backed Securities” 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” 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 market 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 market price of its securities could decline much more than would be predicted by a change in their yield relative 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.

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• 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. In addition to these risks, a Fund is 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, 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, exposing a Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by 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 market prices 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 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. Derivatives include futures, non-U.S. currency contracts, swap contracts, 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, 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 consent of 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., 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, a Fund often will not receive the collateral the day the collateral is called for.

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 in which it has invested.

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.

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.

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Swap contracts 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.

A Fund’s use of derivatives may be subject to one or more special tax rules and could generate additional taxable income for shareholders.

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 (and many of the rules are not yet final), its ultimate impact remains unclear.

Under recently adopted rules and regulations, transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds will hold cleared derivatives through accounts at clearing members. In cleared derivatives transactions, the Funds will make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In many ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements. For example, the Funds may be required to provide more margin for cleared derivatives transactions than for bilateral derivatives transactions. Also, in contrast to a bilateral derivatives transaction, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives transaction at any time or an increase in margin requirements above the margin that the clearing member required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions or to terminate those transactions at any time. Any increase in margin requirements or termination of existing cleared derivatives transactions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member, because (as described under “Counterparty Risk” below) margin for cleared derivatives transactions in excess of a clearing house’s margin requirements typically is held by the clearing member. Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of the transaction, including loss of an increase in the value of the transaction and/or loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent.

These and other new rules and regulations could, among other things, further 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, increasing margin or capital requirements, or otherwise limiting liquidity or increasing transaction costs. These regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that the new clearing mechanisms will achieve that result, and in the meantime, as noted above, central clearing exposes the Funds to new kinds of risks and costs.

• 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. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).

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. investments, (ii) transactions in those investments and (iii) the repatriation of proceeds generated from the sale of those investments. A Fund may seek to collect a refund on taxes paid to a non-U.S. country. In those cases, all or a portion of those taxes could ultimately be recovered by a Fund. However, the recovery process could take several years and the Fund will incur expenses in its efforts to

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collect the refund, which will reduce the benefit of any recovery. A Fund’s efforts to collect a refund may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to pursue a refund is in its sole discretion, and it may decide not to pursue a refund, even if eligible.

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).

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).

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• 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), or in securities from issuers with high positive correlations to one another (such as U.S. Treasury Fund’s investments in securities issued by the U.S. Treasury and other fixed income securities that are backed by the full faith and credit of the U.S. government), 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 price 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 Japan) 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 country are vulnerable to events affecting other companies 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 Real Estate Investment Trusts (“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 1940 Act.

• 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 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.

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.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or 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. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties maintain a specific rating by a nationally recognized rating organization 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

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which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers 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 a 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 longer time that events may occur that 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 contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts 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 derivatives will be affected by new rules and regulations affecting the derivatives market. As described under “Derivatives Risk” above, some derivatives transactions are required to be centrally 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 derivatives transaction. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. A clearing member is obligated by contract and by applicable regulation to segregate all funds received from customers with respect to cleared derivatives transactions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing member from its customers with respect to cleared derivatives are generally held by the clearing member on a commingled basis in an omnibus account, and the clearing member may invest those funds in certain instruments permitted under the applicable regulations. Therefore, a Fund might not be fully protected in the event of the bankruptcy of a Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing member’s customers for a relevant account class. Also, the clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives, which amounts are generally held in an omnibus account at the clearing house for all customers of the clearing member. Regulations promulgated by the Commodities Futures Trading Commission require that the clearing member notify the clearing house of the initial margin provided by the clearing member to the clearing house that is attributable to each customer. However, if the clearing member does not accurately report the Funds’ initial margin, the Funds are subject to the risk that a clearing house will use a Fund’s assets held in an omnibus account at the clearing house to satisfy payment obligations of a defaulting customer of the clearing member to the clearing house. In addition, clearing members generally provide the clearing house the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than individually for each customer. The Funds are therefore subject to the risk that a clearing house will not make variation margin payments owed to a Fund if another customer of the clearing member has suffered a loss and is in default, and the risk that a Fund will be required to provide additional variation margin to the clearing house before the clearing house will move the Fund’s cleared derivatives transactions to another clearing member. In addition, if a clearing member does not comply with the applicable regulations or its agreement with the Funds, or in the event of fraud or misappropriation of customer assets by a clearing member, a Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the margin held by the clearing member.

• 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.

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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. 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, Implementation 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 market 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.

The Funds (except Alternative Asset Opportunity Fund, Implementation 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.

• 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 net asset value of its shares is affected by factors particular to those markets and may decline and fluctuate in a rapid and unpredictable manner. 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. Securities markets may be susceptible to market manipulation (e.g., the potential manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or adversely affect the value of investments traded in these markets, including investments of the Funds. While the U.S. government has honored its credit obligations continuously for the last 200 years, it remains possible that the U.S. could default on its obligations. While it is impossible to predict the consequences of such an unprecedented event, it is likely that a default by the U.S. would be highly disruptive to the U.S. and global securities markets and could significantly impair the value of the Funds’ investments. Similarly, political events within the U.S. at times have resulted, and may in the future result, in a shutdown of government services, which could negatively affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. The uncertainty surrounding the sovereign debt of a significant number of European Union countries 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, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also 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

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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 market disruption may adversely affect the orderly functioning of the securities markets and 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. To the extent that a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events could have a disproportionate impact on the 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 the shares of many Funds, and asset allocation decisions by the Manager may result in substantial redemptions from (or investments in) 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, by necessitating a sale of portfolio securities, accelerate the realization of taxable gains to shareholders. They also potentially limit the RIC Funds’ 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, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement a Fund’s strategies. 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 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.

• OPTIONS RISK. The market price of options written by a Fund will be affected by many factors, including changes in the market price or 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 relevant stock market and underlying securities; and the time remaining before an option’s expiration. The market price of an option also may be adversely affected if the market for the option 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 because 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 write 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 (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-

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traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.

• 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 of their underlying Funds 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. Many of the Funds that invest in shares of other GMO Funds are subject indirectly to Large Shareholder Risk because those other 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 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.”

In addition, each of the Funds may invest a portion of its assets in shares of one or more other GMO Funds that are not diversified investment companies under the 1940 Act. 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:

• Alpha Only Fund

• Alternative Asset Opportunity Fund

• Implementation Fund

• Special Situations Fund

• U.S. Equity Allocation Fund

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.

4. Derivative financial instruments

At August 31, 2013, 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.

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 a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

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Use of Derivatives by Alpha Only Fund

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

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

The Fund may 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 the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

Use of Derivatives by Alternative Asset Opportunity Fund

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 contracts and options) to gain exposure to a given currency.

The Fund may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero). For example, the Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer. The Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives, such as futures, related options, and swap contracts, 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 contracts 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 the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

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Use of Derivatives by Implementation Fund

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

The Fund may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero) or the investment exposures of BFAF. 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 or BFAF’s portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its or BFAF’s 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 or BFAF 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 those stocks) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting investment exposures, the Fund also may use currency derivatives, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its or BFAF’s portfolio. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

The Fund may 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 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 Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

Use of Derivatives by Special Situations Fund

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

The Fund may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero) or the investment exposures of another fund or account that invests in the Fund. 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 or the portfolio of another fund or account that invests in the Fund. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures or the investment exposures of another fund or account that invests in the Fund 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 or another fund or account that invests in 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 those stocks) 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 exposure to the credit of an issuer through the debt instrument but adjust the 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 investment exposures, the Fund also may use currency derivatives, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio or the portfolio of another fund or account that invests in the Fund.

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 the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

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Certain derivatives transactions used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions through clearing members, who are members of derivatives clearing houses. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing members generally can require termination of existing cleared derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

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 “Investment and other risks” above for further information.

For Funds that held derivatives during the period ended August 31, 2013, 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
Maintain the diversity and liquidity of the portfolio		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 contracts
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

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* Certain derivatives are held by Alternative Asset Opportunity Fund’s wholly owned subsidiary.

** Derivatives are held by Benchmark-Free Allocation Fund’s wholly owned subsidiary.

Forward currency contracts

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.

Futures contracts

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 (and if 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, 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 as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the 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

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 in the Statements of Operations.

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For the period ended August 31, 2013, investment activity in options contracts written by the Funds were as follows:

	Puts								Calls
	Principal Amount of Contracts		Number of Contracts			Premiums			Principal Amount of Contracts		Number of Contracts		Premiums
Consolidated Benchmark-Free Allocation Fund
Outstanding, beginning of period		—		4,383		$	3,763,138			—		—	$	—
Options written		—		41,135			42,574,258			—		—		—
Options bought back		—		(13,389	)		(15,327,882	)		—		—		—
Options expired		—		(23,484	)		(22,474,299	)		—		—		—
Options exercised		—		(29	)		(140,502	)		—		—		—
Outstanding, end of period		—		8,616		$	8,394,713			—		—	$	—

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 (and if 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, 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.

Swap contracts

The Funds may enter into various types of swap contracts, 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 contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract 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 contract 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 contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.

Interest rate swap contracts 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 contracts 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 futures 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 contract, 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 contracts 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 contracts 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 contracts 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

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the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

Forward starting dividend swap contracts involve an exchange by the parties of their respective commitments to pay or rights 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 contracts involve an exchange by the parties of their respective commitments to pay or rights 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.

Generally, the Funds price their OTC swap contracts 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 in the Statements of Operations. Gains or losses are realized upon termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

The values assigned to swap contracts may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. 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 contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

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.

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2013 and the Statements of Operations for the period ended August 31, 2013^:

	Credit Contracts		Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Alpha Only Fund
Asset:
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	—		$	19,362,332		$	—		$	—	$	19,362,332
Unrealized Appreciation on Futures Contracts*		—		—			8,682,297			—						—		8,682,297
Unrealized Appreciation on Swap Contracts		—		—			26,015,298			—						—		26,015,298
Total	$	—	$	—		$	34,697,595		$	19,362,332		$	—		$	—	$	54,059,927
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—		$	34,697,595		$	19,362,332		$	—		$	—	$	54,059,927
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	—		$	(764,704	)	$	—		$	—	$	(764,704	)
Unrealized Depreciation on Futures Contracts*		—		—			(1,164,400	)		—						—		(1,164,400	)
Unrealized Depreciation on Swap Contracts				—			—			—						—		—
Total	$	—	$	—		$	(1,164,400	)	$	(764,704	)	$	—		$	—	$	(1,929,104	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—		$	(1,164,400	)	$	(764,704	)	$	—		$	—	$	(1,929,104	)
Net Realized Gain (Loss) on:
Forward Currency Contracts	$	—	$	—		$	—		$	5,489,777		$	—		$	—	$	5,489,777
Futures Contracts		—		—			(374,742,055	)		—			—			—		(374,742,055	)
Swap Contracts				—			—			—						—		—
Total	$	—	$	—		$	(374,742,055	)	$	5,489,777		$	—		$	—	$	(369,252,278	)
Change in Net Unrealized Appreciation (Depreciation) on:
Forward Currency Contracts	$	—	$	—		$	—		$	11,000,298		$	—		$	—	$	11,000,298
Futures Contracts		—		—			151,784,084			—			—			—		151,784,084
Swap Contracts		—		—			24,293,008			—			—			—		24,293,008
Total	$	—	$	—		$	176,077,092		$	11,000,298		$	—		$	—	$	187,077,390
Consolidated Alternative Asset Opportunity Fund
Asset:
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	—		$	8,423,453		$	—		$	—	$	8,423,453
Unrealized Appreciation on Futures Contracts*		—		9,090,606			7,394,946			—			261,062			—		16,746,614
Total	$	—	$	9,090,606		$	7,394,946		$	8,423,453		$	261,062		$	—	$	25,170,067
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	9,090,606		$	7,394,946		$	8,423,453		$	261,062		$	—	$	25,170,067
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	—		$	(2,835,300	)	$	—		$	—	$	(2,835,300	)
Unrealized Depreciation on Futures Contracts*		—		(13,366,692	)		(4,469,056	)		—			(2,415,838	)		—		(20,251,586	)
Total	$	—	$	(13,366,692	)	$	(4,469,056	)	$	(2,835,300	)	$	(2,415,838	)	$	—	$	(23,086,886	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	(13,366,692	)	$	(4,469,056	)	$	(2,835,300	)	$	(2,415,838	)	$	—	$	(23,086,886	)

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August 31, 2013 (Unaudited)

	Credit Contracts		Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Consolidated Alternative Asset Opportunity Fund (continued)
Net Realized Gain (Loss) on:
Forward Currency Contracts	$	—	$	—		$	—		$	3,782,850		$	—		$	—	$	3,782,850
Futures Contracts		—		24,804,007			13,947,835			—			3,130,050			—		41,881,892
Total	$	—	$	24,804,007		$	13,947,835		$	3,782,850		$	3,130,050		$	—	$	45,664,742
Change in Net Unrealized Appreciation (Depreciation) on:
Forward Currency Contracts	$	—	$	—		$	—		$	1,686,484		$	—		$	—	$	1,686,484
Futures Contracts		—		(8,476,229	)		(5,327,592	)		—			(1,979,888	)		—		(15,783,709	)
Total	$	—	$	(8,476,229	)	$	(5,327,592	)	$	1,686,484		$	(1,979,888	)	$	—	$	(14,097,225	)
Consolidated Benchmark-Free Allocation Fund
Asset:
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	—		$	34,344,493		$	—		$	—	$	34,344,493
Unrealized Appreciation on Futures Contracts*		—		—			103,856			—			—			—		103,856
Total	$	—	$	—		$	103,856		$	34,344,493		$	—		$	—	$	34,448,349
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—		$	103,856		$	34,344,493		$	—		$	—	$	34,448,349
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	—		$	(6,052,645	)	$	—		$	—	$	(6,052,645	)
Unrealized Depreciation on Futures Contracts*		—		—			(856,124	)		—			—			—		(856,124	)
Written Options, at value		—		—			(13,366,062	)		—			—			—		(13,366,062	)
Total	$	—	$	—		$	(14,222,186	)	$	(6,052,645	)	$	—		$	—	$	(20,274,831	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—		$	(14,222,186	)	$	(6,052,645	)	$	—		$	—	$	(20,274,831	)
Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	—		$	56,459		$	—		$	—		$	—	$	56,459
Forward Currency Contracts		—		—			—			17,067,601			—			—		17,067,601
Futures Contracts		—		—			(2,642,380	)		—			—			—		(2,642,380	)
Swap Contracts		—		—			2,399,249			—			—			—		2,399,249
Written Options		—		—			(168,887	)		—			—			—		(168,887	)
Total	$	—	$	—		$	(355,559	)	$	17,067,601		$	—		$	—	$	16,712,042
Change in Appreciation (Depreciation) on:
Forward Currency Contracts	$	—	$	—		$	—		$	17,751,783		$	—		$	—	$	17,751,783
Futures Contracts		—		—			1,019,570			—			—			—		1,019,570
Swap Contracts		—		—			(1,052,432	)		—			—			—		(1,052,432	)
Written Options		—		—			(6,041,429	)		—			—			—		(6,041,429	)
Total	$	—	$	—		$	(6,074,291	)	$	17,751,783		$	—		$	—	$	11,677,492
Special Situations Fund
Asset:
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	—		$	9,426,790		$	—		$	—	$	9,426,790
Total	$	—	$	—		$	—		$	9,426,790		$	—		$	—	$	9,426,790
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—		$	—		$	9,426,790		$	—		$	—	$	9,426,790

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August 31, 2013 (Unaudited)

	Credit Contracts		Commodity Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Special Situations Fund (continued)
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—		$	(4,961,930	)	$	—		$	—	$	(4,961,930	)
Total	$	—	$	—	$	—		$	(4,961,930	)	$	—		$	—	$	(4,961,930	)
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	—		$	(4,961,930	)	$	—		$	—	$	(4,961,930	)
Net Realized Gain (Loss) on:
Forward Currency Contracts	$	—	$	—	$	—		$	4,399,278		$	—		$	—	$	4,399,278
Swap Contracts		—		—		14,410,549			—			(1,390,952	)		—		13,019,597
Total	$	—	$	—	$	14,410,549		$	4,399,278		$	(1,390,952	)	$	—	$	17,418,875
Change in Net Unrealized Appreciation (Depreciation) on:
Forward Currency Contracts	$	—	$	—	$	—		$	1,613,910		$	—		$	—	$	1,613,910
Swap Contracts		—		—		(8,572,908	)		—			2,249,464			—		(6,323,444	)
Total	$	—	$	—	$	(8,572,908	)	$	1,613,910		$	2,249,464		$	—	$	(4,709,534	)

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

^ Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

* The table includes cumulative appreciation/depreciation of futures and cleared swap contracts as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts is reported within the Statements of Assets and Liabilities.

The Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some over-the-counter derivative transactions, repurchase agreements and reverse repurchase agreements between the parties. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset obligations. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. For more information about other uncertainties and risks, see the Investment and Other Risks note.

For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements held by the Funds at August 31, 2013, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements and net of the related collateral received or pledged by the Funds as of August 31, 2013:

105

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Alpha Only Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	10,410	$	—		$	—		$	10,410
Barclays Bank PLC		6,769,968		—			—			6,769,968
BNP Paribas		6,641,208		(4,750,000	)		—			1,891,208
Brown Brothers Harriman & Co.		1,208,269		—			(503,888	)		704,381
Citibank N.A.		3,637,965		(2,335,277	)		—			1,302,688
Credit Suisse International		1,462,898		(416,750	)		—			1,046,148
Deutsche Bank AG		2,616,444		—			—			2,616,444
Goldman Sachs International		961,543		—			(123,824	)		837,719
JPMorgan Chase Bank, N.A.		17,256,488		(10,176,000	)		(136,658	)		6,943,830
Morgan Stanley & Co. International PLC		4,629,136		—			—			4,629,136
Royal Bank of Scotland PLC		183,301		—			(334	)		182,967
Total	$	45,377,630	$	(17,678,027	)	$	(764,704	)	$	26,934,899
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Brown Brothers Harriman & Co.	$	503,888	$	—		$	503,888		$	—
Goldman Sachs International		123,824		—			123,824			—
JPMorgan Chase Bank, N.A.		136,658		—			136,658			—
Royal Bank of Scotland PLC		334		—			334			—
Total	$	764,704	$	—		$	764,704		$	—

Consolidated Alternative Asset Opportunity Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Barclays Bank PLC	$	2,664,261	$	(1,650,815	)	$	(545,626	)	$	467,820
Citibank N.A.		1,637,059		—			—			1,637,059
JPMorgan Chase Bank, N.A.		1,621,874		(611,605	)		(438,449	)		571,820
Morgan Stanley & Co. International PLC		2,500,259		—			(102,916	)		2,397,343
Total	$	8,423,453	$	(2,262,420	)	$	(1,086,991	)	$	5,074,042
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	545,626	$	—		$	545,626		$	—
Credit Suisse International		1,748,309		(563,960	)		—			1,184,349
JPMorgan Chase Bank, N.A.		438,449		—			438,449			—
Morgan Stanley & Co. International PLC		102,916		—			102,916			—
Total	$	2,835,300	$	(563,960	)	$	1,086,991		$	1,184,349

106

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Consolidated Benchmark-Free Allocation Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	3,290,642	$	—	$	—		$	3,290,642
Barclays Bank PLC		17,252,868		—		(1,660,479	)		15,592,389
Brown Brothers Harriman & Co.		1,321,464		—		—			1,321,464
Deutsche Bank AG		1,850,051		—		(376,710	)		1,473,341
Goldman Sachs International		70,648		—		70,648			—
JPMorgan Chase Bank, N.A.		3,576,721		—		(2,261,375	)		1,315,346
Morgan Stanley & Co. International PLC		6,982,099		—		—			6,982,099
Total	$	34,344,493	$	—	$	(4,227,916	)	$	29,975,281
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	1,660,479	$	—	$	1,660,479		$	—
Deutsche Bank AG		376,710		—		376,710			—
Goldman Sachs International		1,754,081		—		(70,648	)		1,683,433
JPMorgan Chase Bank, N.A.		2,261,375		—		2,261,375			—
Total	$	6,052,645	$	—	$	4,227,916		$	1,683,433

Special Situations Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	19,740	$	—	$	19,740		$	—
Barclays Bank PLC		4,113,723		—		(262,747	)		3,850,976
Deutsche Bank AG		3,744,668		—		3,744,668			—
JPMorgan Chase Bank, N.A.		268,926		—		(265,622	)		3,304
Morgan Stanley & Co. International PLC		1,279,733		—		—			1,279,733
Total	$	9,426,790	$	—	$	3,236,039		$	5,134,013
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	673,790	$	—	$	(19,740	)	$	654,050
Barclays Bank PLC		262,747		—		262,747			—
Deutsche Bank AG		3,759,771		—		(3,744,668	)		15,103
JPMorgan Chase Bank, N.A.		265,622		—		265,622			—
Total	$	4,961,930	$	—	$	(3,236,039	)	$	669,153

107

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

The following tables present the Funds’ exchange-traded or cleared derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements and net of the related collateral received or pledged by the Funds as of August 31, 2013:

Alpha Only Fund

Counterparty	Gross Derivative Assets in the Statement of Assets and Liabilities		Collateral Received		Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Assets
Goldman Sachs & Co.	$	7,240,933	$	—	$	—	$	7,240,933	*
Total	$	7,240,933	$	—	$	—	$	7,240,933

Consolidated Alternative Asset Opportunity Fund

Counterparty	Gross Derivative Assets in the Statement of Assets and Liabilities		Collateral Received		Derivative Assets/(Liabilities) Available for Offset		Net Amount of  Derivative Assets
Credit Suisse Securities (USA) LLC	$	847,110	$	—	$	—	$	847,110	*
UBS Securities LLC		801,885		—		—		801,885	*
Total	$	1,648,995	$	—	$	—	$	1,648,995

Consolidated Benchmark-Free Allocation Fund

Counterparty	Gross Derivative Liabilities in the Statement of Assets and Liabilities		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Goldman Sachs & Co.	$	750,791	$	(750,791	)	$	—	$	—	*
Morgan Stanley & Co. LLC		13,366,062		(13,366,062	)		—		—	*
Total	$	14,116,853	$	(14,116,853	)	$	—	$	—

^* In some instances, the actual collateral received and/or pledged may be more than the amount shown.

The average derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants) or notional amounts (swap contracts) or principal amounts (options) outstanding at each month-end was as follows for the period ended August 31, 2013:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)		Options ($)		Rights and/or Warrants ($)
Alpha Only Fund		1,135,837,319		2,272,711,843		868,080,842		—		—
Consolidated Alternative Asset Opportunity Fund		542,974,072		1,209,227,639		—		—		—
Consolidated Benchmark-Free Allocation Fund		2,428,285,473		103,316,135		5,581,576		137,254		353,721
Special Situations Fund		782,380,984		—		131,860,175		—		—

108

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to each Fund. That fee, if any, is paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:

	Alpha Only	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
Management Fee	0.50%	0.70% (Currently, 0.10% waived)	0.65%	—	—	—	—	—	0.37%	—	—	—

The Manager decides how to allocate the assets of the Fund among underlying funds. For certain Funds above, the Manager does not charge the Fund a management fee or shareholder service fee, but it receives management and shareholder service fees from the underlying funds in which the Fund invests. Because those fees vary from fund to fund, the levels of indirect net expenses set forth below are affected by the Manager’s asset allocation decisions.

In addition, each class of shares of certain Funds pays the Manager a shareholder service and/or supplemental support fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholder service and/or supplemental support fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:

Fund Name	Class III		Class IV		Class VI		Class MF
Alpha Only Fund		0.15%		0.10%
Alternative Asset Opportunity Fund		0.15%
Benchmark-Free Allocation Fund		0.15%		0.10%				0.10%
Benchmark-Free Fund		0.00%
Global Asset Allocation Fund		0.00%
Global Equity Allocation Fund		0.00%
International Equity Allocation Fund		0.00%
International Opportunities Equity Allocation Fund		0.00%
Special Situations Fund		0.15%				0.055%
Strategic Opportunities Allocation Fund		0.00%
U.S. Equity Allocation Fund		0.00%
World Opportunities Equity Allocation Fund		0.00%

For each Fund, the Manager has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to the Manager.

109

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

“Specified Operating Expenses” means only the following expenses to the extent that they are borne by a Fund: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of the Manager, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

For each Fund that charges a management fee other than Benchmark-Free Allocation Fund, the Manager will waive and/or reduce the Fund’s management fee, but not below zero, to the extent necessary to offset the management fees directly or indirectly paid by the Fund to the Manager as a result of the Fund’s direct or indirect investments in other GMO Funds.

In addition to the contractual waivers and reimbursements described above, the Manager has contractually agreed to waive Alternative Asset Opportunity Fund’s management fee to 0.60% of the Fund’s average daily net assets.

For each Fund that charges a shareholder service fee other than Benchmark-Free Allocation Fund, the Manager will waive and/or reduce the shareholder service fee charged by each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly paid by the class of shares of the Fund to the Manager as a result of the Fund’s direct or indirect investments in other GMO Funds.

These contractual waivers and reimbursements will continue through at least June 30, 2014 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to the Manager under the Fund’s management contract or servicing and supplement support agreement.

For Benchmark-Free Allocation Fund only, pursuant to the terms of the Fund’s management contract and servicing and supplemental support agreement, the fees payable to the Manager under those agreements are reduced by amounts equal to the management fees and shareholder service fees, respectively, that the Manager receives as a result of the Fund’s investment in underlying GMO Funds.

The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with the Manager during the period ended August 31, 2013 is shown in the table below and included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agents unaffiliated with the Manager ($)
Alpha Only Fund		19,716		2,760
Consolidated Alternative Asset Opportunity Fund		15,069		920
Consolidated Benchmark-Free Allocation Fund		50,253		5,888
Benchmark-Free Fund		20,569		3,036
Global Asset Allocation Fund		24,972		3,680
Global Equity Allocation Fund		12,897		1,932
International Equity Allocation Fund		7,176		1,104
International Opportunities Equity Allocation Fund		5,253		736
Special Situations Fund		3,680		552
Strategic Opportunities Allocation Fund		11,459		1,656
U.S. Equity Allocation Fund		184		5
World Opportunities Equity Allocation Fund		8,106		1,104

110

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2013, these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:

Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Indirect Interest Expense		Total Indirect Expenses
Alpha Only Fund		0.365%		0.064%		0.000%		0.429%
Consolidated Alternative Asset Opportunity Fund		0.001%		0.000%		0.000%		0.001%
Consolidated Benchmark-Free Allocation Fund		0.216%		0.046%		< 0.001%		0.262%
Benchmark-Free Fund		0.481%		0.089%		< 0.001%		0.570%
Global Asset Allocation Fund*		0.456%		0.079%		0.001%		0.536%
Global Equity Allocation Fund*		0.467%		0.071%		0.000%		0.538%
International Equity Allocation Fund		0.584%		0.081%		0.000%		0.665%
International Opportunities Equity Allocation Fund		0.509%		0.089%		0.000%		0.598%
Special Situations Fund		0.001%		0.000%		0.000%		0.001%
Strategic Opportunities Allocation Fund		0.419%		0.075%		0.001%		0.495%
U.S. Equity Allocation Fund		0.325%		0.057%		0.000%		0.382%
World Opportunities Equity Allocation Fund		0.427%		0.076%		0.000%		0.503%

* During the period, the Fund incurred non-recurring indirect legal expenses in connection with the final settlement of pending litigation. Subsequent to the receipt of the settlement proceeds, the underlying fund was liquidated.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2013 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Alpha Only Fund		—		1,194,092,506		—		2,206,166,236
Consolidated Alternative Asset Opportunity Fund		—		600,474,371		7,874,280		—
Consolidated Benchmark-Free Allocation Fund		917,399,602		5,280,153,194		—		2,059,479,366
Benchmark-Free Fund		—		1,030,356,868		—		846,418,074
Global Asset Allocation Fund		—		1,704,502,081		—		1,580,575,311
Global Equity Allocation Fund		—		991,677,305		—		661,734,204
International Equity Allocation Fund		—		402,405,006		—		163,095,970
International Opportunities Equity Allocation Fund		—		74,452,278		—		60,579,047
Special Situations Fund		—		44,200,062		—		691,101,864
Strategic Opportunities Allocation Fund		—		543,967,879		—		554,497,000
U.S. Equity Allocation Fund		—		1,318,603		—		46,511,996
World Opportunities Equity Allocation Fund		—		73,556,630		—		218,658,281

111

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

7. Guarantees

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

8. Principal shareholders and related parties as of August 31, 2013

Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund			Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund		Percentage of the shares of the Fund held by senior management of the Manager and GMO Trust officers		Percentage of the Fund’s shares held by accounts for which the Manager has investment discretion
Alpha Only Fund		3	*		88.31%		0.06%		99.79%
Alternative Asset Opportunity Fund		3	**		99.17%		—		100.00%
Benchmark-Free Allocation Fund		1			61.97%		0.77%		1.73%
Benchmark-Free Fund		—			—		—		100.00%
Global Asset Allocation Fund		1	***		13.59%		0.14%		13.59%
Global Equity Allocation Fund		—			—		—		0.14%
International Equity Allocation Fund		2	****		35.92%		1.44%		17.87%
International Opportunities Equity Allocation Fund		3			38.10%		—		—
Special Situations Fund		3	*		86.91%		—		100.00%
Strategic Opportunities Allocation Fund		1			27.49%		0.02%		99.96%
U.S. Equity Allocation Fund		4			82.48%		0.02%		—
World Opportunities Equity Allocation Fund		3			38.26%		—		—

* Two of the shareholders are other funds of the Trust.

** Three of the shareholders are other funds of the Trust.

*** This shareholder is another fund managed by GMO.

**** One of the shareholders is another fund managed by GMO.

112

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

9. Share transactions

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

	Six Months Ended August 31, 2013 (Unaudited)						Year Ended February 28, 2013
	Shares			Amount			Shares			Amount
Alpha Only Fund
Class III:
Shares sold		44,485		$	1,077,938			1,183,182		$	28,765,077
Shares issued to shareholders in reinvestment of distributions		323			7,809			1,935			47,550
Shares repurchased		(725,530	)		(17,522,905	)		(607,109	)		(14,811,201	)
Net increase (decrease)		(680,722	)	$	(16,437,158	)		578,008		$	14,001,426
Class IV:
Shares sold		40,711,923		$	987,503,855			84,662,488		$	2,065,839,670
Shares issued to shareholders in reinvestment of distributions		179,603			4,340,992			302,200			7,431,105
Shares repurchased		(67,796,332	)		(1,632,069,719	)		(31,550,019	)		(770,380,453	)
Net increase (decrease)		(26,904,806	)	$	(640,224,872	)		53,414,669		$	1,302,890,322
Alternative Asset Opportunity Fund
Class III:
Shares sold		28,842,914		$	881,549,427			30,023,131		$	904,821,692
Shares repurchased		(2,331,633	)		(72,315,987	)		—			—
Net increase (decrease)		26,511,281		$	809,233,440			30,023,131		$	904,821,692
Benchmark-Free Allocation Fund
Class III:
Shares sold		45,059,635		$	1,184,354,685			42,604,188		$	1,057,446,020
Shares issued to shareholders in reinvestment of distributions		611,749			15,936,068			186,580			4,641,672
Shares repurchased		(447,172	)		(11,939,802	)		(9,878,308	)		(252,879,064	)
Purchase premiums		—			1,204,660			—			1,298,448
Redemption fees		—			—			—			741
Net increase (decrease)		45,224,212		$	1,189,555,611			32,912,460		$	810,507,817
Class IV*:
Shares sold		23,397,196		$	617,273,301			27,340,869		$	690,612,412
Shares issued to shareholders in reinvestment of distributions		302,458			7,876,007			71,428			1,783,556
Shares repurchased		(57,901	)		(1,505,234	)		(388	)		(10,000	)
Purchase premiums		—			680,417			—			222,986
Net increase (decrease)		23,641,753		$	624,324,491			27,411,909		$	692,608,954
Class MF**:
Shares sold		102,062,806		$	2,683,523,048			113,938,649		$	2,794,339,449
Shares issued to shareholders in reinvestment of distributions		1,760,508			45,861,223			553,925			13,753,375
Shares repurchased		—			—			(63,751	)		(1,509,790	)
Purchase premiums		—			3,289,116			—			3,348,672
Redemption fees		—			—			—			1,195
Net increase (decrease)		103,823,314		$	2,732,673,387			114,428,823		$	2,809,932,901

113

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Six Months Ended August 31, 2013 (Unaudited)						Year Ended February 28, 2013
	Shares			Amount			Shares			Amount
Benchmark-Free Fund
Class III:
Shares sold		5,523,903		$	119,750,288			8,342,306		$	172,037,177
Shares issued to shareholders in reinvestment of distributions		2,171,133			46,614,227			10,629,226			218,779,932
Shares repurchased		(2,417,325	)		(52,933,135	)		(3,465,062	)		(71,933,455	)
Purchase premiums		—			103,010			—			139,242
Redemption fees		—			13,327			—			46,367
Net increase (decrease)		5,277,711		$	113,547,717			15,506,470		$	319,069,263
Global Asset Allocation Fund
Class III:
Shares sold		42,216,182		$	469,671,899			125,182,359		$	1,328,700,300
Shares issued to shareholders in reinvestment of distributions		181,408			2,008,186			10,190,943			108,125,903
Shares repurchased		(38,827,876	)		(434,195,853	)		(45,844,718	)		(482,976,480	)
Purchase premiums		—			405,900			—			1,275,100
Redemption fees		—			372,034			—			428,093
Net increase (decrease)		3,569,714		$	38,262,166			89,528,584		$	955,552,916
Global Equity Allocation Fund
Class III:
Shares sold		52,483,216		$	467,917,770			66,734,770		$	570,867,176
Shares issued to shareholders in reinvestment of distributions		4,132,052			36,072,806			18,696,692			154,244,521
Shares repurchased		(20,698,699	)		(184,825,121	)		(20,100,329	)		(170,509,288	)
Purchase premiums		—			361,550			—			489,107
Redemption fees		—			155,964			—			187,787
Net increase (decrease)		35,916,569		$	319,682,969			65,331,133		$	555,279,303
International Equity Allocation Fund
Class III:
Shares sold		34,580,682		$	364,549,741			32,118,209		$	312,628,321
Shares issued to shareholders in reinvestment of distributions		346,609			3,563,142			4,032,122			41,081,828
Shares repurchased		(13,007,102	)		(139,263,541	)		(20,247,711	)		(195,804,476	)
Purchase premiums		—			146,237			—			614,603
Redemption fees		—			286,599			—			367,771
Net increase (decrease)		21,920,189		$	229,282,178			15,902,620		$	158,888,047
International Opportunities Equity Allocation Fund
Class III:
Shares sold		1,727,016		$	26,667,547			9,059,323		$	126,443,969
Shares issued to shareholders in reinvestment of distributions		19,098			293,342			1,841,320			26,735,963
Shares repurchased		(1,761,749	)		(27,423,925	)		(4,252,988	)		(60,770,407	)
Net increase (decrease)		(15,635	)	$	(463,036	)		6,647,655		$	92,409,525

114

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Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

	Six Months Ended August 31, 2013 (Unaudited)						Year Ended February 28, 2013
	Shares			Amount			Shares			Amount
Special Situations Fund
Class III:
Shares sold		19,904		$	504,786			1,090,189		$	28,393,064
Shares repurchased		(1,146,720	)		(29,382,033	)		(1,320,555	)		(34,008,100	)
Net increase (decrease)		(1,126,816	)	$	(28,877,247	)		(230,366	)	$	(5,615,036	)
Class VI:
Shares sold		1,035,176		$	26,547,047			8,504,266		$	223,395,607
Shares repurchased		(25,399,453	)		(654,983,001	)		(7,256,801	)		(192,457,709	)
Net increase (decrease)		(24,364,277	)	$	(628,435,954	)		1,247,465		$	30,937,898
Strategic Opportunities Allocation Fund
Class III:
Shares sold		2,812,049		$	63,108,245			4,226,212		$	90,910,743
Shares issued to shareholders in reinvestment of distributions		1,296,794			28,633,203			8,815,218			182,034,234
Shares repurchased		(5,941,368	)		(131,199,063	)		(7,158,276	)		(156,243,122	)
Purchase premiums		—			27,897			—			9,941
Redemption fees		—			74,478			—			7,745
Net increase (decrease)		(1,832,525	)	$	(39,355,240	)		5,883,154		$	116,719,541
U.S. Equity Allocation Fund
Class III:
Shares sold		412		$	12,859			273,231		$	7,807,789
Shares issued to shareholders in reinvestment of distributions		264,426			7,660,420			66,247			1,901,866
Shares repurchased		(1,571,965	)		(45,560,450	)		(60,337	)		(1,799,664	)
Net increase (decrease)		(1,307,127	)	$	(37,887,171	)		279,141		$	7,909,991
World Opportunities Equity Allocation Fund
Class III:
Shares sold		411,805		$	9,388,579			15,977,360		$	313,330,034
Shares issued to shareholders in reinvestment of distributions		16,016			357,654			2,296,490			46,343,171
Shares repurchased		(7,992,358	)		(181,456,649	)		(9,148,660	)		(187,141,359	)
Net increase (decrease)		(7,564,537	)	$	(171,710,416	)		9,125,190		$	172,531,846

* The period under the heading “Year Ended February 28, 2013” represents the period from December 11, 2012 (commencement of operations) through February 28, 2013.

** The period under the heading “Year Ended February 28, 2013” represents the period from March 1, 2012 (commencement of operations) through February 28, 2013.

115

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

10. Investments in affiliated issuers

A summary of the Funds’ transactions in the shares of other funds of the Trust during the period ended August 31, 2013 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Return of Capital*		Value, end of period
Alpha Only Fund
GMO International Growth Equity Fund, Class IV	$	472,693,875	$	111,825,724	$	245,541,450	$	4,422,824	$	—	$	—	$	362,304,651
GMO International Intrinsic Value Fund, Class IV		1,100,163,857		246,214,304		570,616,600		9,370,205		—		—		845,021,408
GMO U.S. Core Equity Fund, Class VI		523,090,853		108,460,403		272,671,150		2,099,603		—		—		408,919,938
GMO U.S. Flexible Equities Fund, Class VI		965,757,640		225,915,902		492,210,800		2,636,312		14,312,890		—		754,010,915
GMO U.S. Treasury Fund		116,540,642		475,057,802		591,630,416		54,255		4,543		—		—
Totals	$	3,178,246,867	$	1,167,474,135	$	2,172,670,416	$	18,583,199	$	14,317,433	$	—	$	2,370,256,912
Consolidated Alternative Asset Opportunity Fund
GMO Short-Duration Collateral Fund	$	3,084,979	$	—	$	—	$	12,599	$	—	$	565,320	$	2,618,277
GMO U.S. Treasury Fund		616,498,947		600,474,371		—		385,347		89,024		—		1,216,852,576
Totals	$	619,583,926	$	600,474,371	$	—	$	397,946	$	89,024	$	565,320	$	1,219,470,853
Consolidated Benchmark-Free Allocation Fund
GMO Alpha Only Fund, Class IV	$	1,129,748,983	$	768,898,053	$	597,138,071	$	1,798,053	$	—	$	—	$	1,289,567,059
GMO Alternative Asset Opportunity Fund		489,287,387		680,068,020		—		—		—		—		1,184,592,815
GMO Debt Opportunities Fund, Class VI		267,402,815		235,971,180		—		1,138,143		1,933,037		—		503,478,667
GMO Emerging Country Debt Fund, Class IV		127,099,623		210,667,476		—		2,317,477		—		—		320,385,752
GMO Flexible Equities Fund, Class VI		141,469,403		40,752,276		156,726,110		26,361,353		14,390,923		—		—
Totals	$	2,155,008,211	$	1,936,357,005	$	753,864,181	$	31,615,026	$	16,323,960	$	—	$	3,298,024,293
Benchmark-Free Fund
GMO Alpha Only Fund, Class IV	$	457,131,993	$	14,004,968	$	258,286,365	$	490,199	$	—	$	—	$	209,799,521
GMO Alternative Asset Opportunity Fund		188,187,832		120,491,864		68,843,043		—		—		—		246,679,084
GMO Asset Allocation Bond Fund, Class VI		—		508,133,161		—		—		—		—		497,338,803
GMO Currency Hedged International Equity Fund, Class III		927,521,659		142,944,501		148,097,094		33,725,683		19,533,311		—		935,732,106
GMO Debt Opportunities Fund, Class VI		162,220,146		2,297,718		—		455,999		774,475		—		165,363,584
GMO Emerging Country Debt Fund, Class IV		102,994,675		83,425,974		—		1,226,822		—		—		177,091,175
GMO Emerging Markets Fund, Class VI		490,803,797		63,487,288		—		—		—		—		496,791,516
GMO Flexible Equities Fund, Class VI		128,814,066		37,441,517		142,809,211		24,077,440		13,364,077		—		—
GMO Quality Fund, Class VI		918,524,954		45,618,745		12,228,208		2,725,804		13,530,827		—		990,387,986
GMO Risk Premium Fund, Class VI		243,009,116		8,042,737		—		—		5,509,709		—		242,113,979
GMO Special Situations Fund, Class VI		175,541,690		1,068,495		155,325,193		—		—		—		24,159,220
GMO Strategic Fixed Income Fund, Class VI		146,772,924		3,399,900		60,828,960		2,495,947		—		—		85,666,150
Totals	$	3,941,522,852	$	1,030,356,868	$	846,418,074	$	65,197,894	$	52,712,399	$	—	$	4,071,123,124
Global Asset Allocation Fund
GMO Alpha Only Fund, Class IV	$	729,162,436	$	59,601,087	$	315,208,231	$	805,234	$	—	$	—	$	468,611,748
GMO Alternative Asset Opportunity Fund		269,060,669		76,458,157		320,571		—		—		—		351,603,286
GMO Asset Allocation Bond Fund, Class VI		—		502,636,784		—				—				492,075,713

116

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Return of Capital*		Value, end of period
Global Asset Allocation Fund (continued)
GMO Currency Hedged International Equity Fund, Class III	$	248,043,903	$	60,279,608	$	41,109,592	$	9,743,426	$	5,643,218	$	—	$	270,965,989
GMO Debt Opportunities Fund, Class VI		119,450,615		6,037,233		1,149,341		344,560		585,203		—		124,950,803
GMO Domestic Bond Fund, Class VI		45,628,493		—		393,235		106,537		—		8,216,704		38,206,460
GMO Emerging Country Debt Fund, Class IV		121,041,373		61,107,784		1,174,961		1,480,235		—		—		170,507,814
GMO Emerging Markets Fund, Class VI		455,385,222		45,801,641		14,831,535		—		—		—		431,990,393
GMO Flexible Equities Fund, Class VI		100,158,243		20,730,509		110,295,463		14,009,502		6,721,007		—		—
GMO International Core Equity Fund, Class VI		622,763,298		8,011,823		664,351,334		8,011,825		—		—		—
GMO International Growth Equity Fund, Class IV		28,498,947		93,050,868		45,649,979		692,907		—		—		73,956,514
GMO International Intrinsic Value Fund, Class IV		358,974,608		626,861,968		36,604,156		6,672,631		—		—		968,380,195
GMO Risk Premium Fund, Class VI		117,555,180		7,806,663		—		—		2,750,351		—		120,859,078
GMO Special Purpose Holding Fund		3,289		—		9,196		—		—		258,692		—
GMO Special Situations Fund, Class VI		165,745,642		7,013,559		151,232,708		—		—		—		24,324,893
GMO Strategic Fixed Income Fund, Class VI		296,449,409		17,756,487		60,563,098		5,075,116		—		—		246,048,193
GMO U.S. Flexible Equities Fund, Class VI		1,064,789,143		111,347,910		132,973,164		2,598,343		14,106,752		—		1,091,609,770
Totals	$	4,742,710,470	$	1,704,502,081	$	1,575,866,564	$	49,540,316	$	29,806,531	$	8,475,396	$	4,874,090,849
Global Equity Allocation Fund
GMO Currency Hedged International Equity Fund, Class III	$	155,882,479	$	63,743,659	$	11,779,992	$	7,285,304	$	4,219,518	$	—	$	208,703,617
GMO Emerging Markets Fund, Class VI		325,125,624		70,742,207		9,343,938		—		—		—		344,315,512
GMO Flexible Equities Fund, Class VI		35,579,121		8,117,238		39,543,454		5,740,617		2,376,621		—		—
GMO International Core Equity Fund, Class VI		469,254,168		6,685,414		503,036,148		6,672,155		—		—		—
GMO International Growth Equity Fund, Class IV		30,002,710		193,037,921		11,953,663		1,610,375		—		—		207,296,325
GMO International Intrinsic Value Fund, Class IV		278,726,153		447,251,609		26,096,442		4,960,280		—		—		713,624,240
GMO Special Purpose Holding Fund		154				429				—		12,079		—
GMO SPV I, LLC		30				120				—		3,953		—
GMO U.S. Core Equity Fund, Class VI		77,632,724		10,477,867		5,146,925		299,957		—		—		89,599,239
GMO U.S. Flexible Equities Fund, Class VI		848,494,082		191,621,390		54,833,093		2,326,767		12,632,331		—		1,022,107,724
Totals	$	2,220,697,245	$	991,677,305	$	661,734,204	$	28,895,455	$	19,228,470	$	16,032	$	2,585,646,657
International Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	357,138,077	$	93,318,085	$	22,887,934	$	—	$	—	$	—	$	383,915,491
GMO Flexible Equities Fund, Class VI		45,162,963		4,760,850		49,780,452		3,638,721		1,122,129		—		—
GMO International Growth Equity Fund, Class IV		285,931,562		77,284,719		25,959,380		2,692,376		—		—		349,657,347
GMO International Intrinsic Value Fund, Class IV		696,941,748		227,041,352		64,468,204		6,182,003		—		—		902,538,787
Totals	$	1,385,174,350	$	402,405,006	$	163,095,970	$	12,513,100	$	1,122,129	$	—	$	1,636,111,625

117

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Return of Capital*		Value, end of period
International Opportunities Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	19,089,766	$	2,646,025	$	—	$	—	$	—	$	—	$	19,286,134
GMO Flexible Equities Fund, Class VI		43,798,347		7,601,111		48,890,511		4,801,053		2,800,058		—		—
GMO International Growth Equity Fund, Class IV		278,348,071		15,969,075		5,810,791		2,300,366		—		—		299,048,685
GMO International Intrinsic Value Fund, Class IV		625,555,137		48,236,067		5,877,745		4,766,103		—		—		705,366,413
Totals	$	966,791,321	$	74,452,278	$	60,579,047	$	11,867,522	$	2,800,058	$	—	$	1,023,701,232
Special Situations Fund
GMO U.S. Treasury Fund	$	642,686,692	$	44,200,062	$	679,134,000	$	198,126	$	1,936	$	—	$	8,009,449
Totals	$	642,686,692	$	44,200,062	$	679,134,000	$	198,126	$	1,936	$	—	$	8,009,449
Strategic Opportunities Allocation Fund
GMO Alpha Only Fund, Class IV	$	62,597,522	$	42,122,448	$	103,922,161	$	104,151	$	—	$	—	$	—
GMO Asset Allocation Bond Fund, Class VI		—		193,353,433		—		—		—		—		188,643,850
GMO Currency Hedged International Equity Fund, Class III		142,477,873		32,062,513		3,596,416		6,089,610		3,526,993		—		172,047,453
GMO Debt Opportunities Fund, Class VI		78,618,929		584,347		1,079,642		216,552		367,795		—		78,530,441
GMO Domestic Bond Fund, Class VI		11,861,988		—		—		27,854		—		2,148,238		10,024,409
GMO Emerging Country Debt Fund, Class IV		62,062,358		40,360,198		—		734,775		—		—		97,046,403
GMO Emerging Markets Fund, Class VI		45,375,997		1,177,590		—		—		—		—		41,288,304
GMO Flexible Equities Fund, Class VI		84,933,948		24,424,761		94,747,650		15,384,398		9,040,363		—		—
GMO International Growth Equity Fund, Class IV		174,154,916		617,303		115,938,959		617,303		—		—		68,705,296
GMO International Intrinsic Value Fund, Class IV		508,373,819		156,250,500		14,673,204		4,464,189		—		—		679,037,833
GMO Risk Premium Fund, Class VI		75,746,033		1,699,789		—		—		1,699,790		—		74,694,124
GMO Special Situations Fund, Class VI		63,120,913		18,464,993		82,654,044		—		—		—		—
GMO Strategic Fixed Income Fund, Class VI		114,412,850		1,922,436		90,066,016		1,922,436		—		—		23,469,158
GMO U.S. Flexible Equities Fund, Class VI		736,384,617		30,927,568		45,228,528		1,759,297		9,551,460		—		754,281,311
Totals	$	2,160,121,763	$	543,967,879	$	551,906,620	$	31,320,565	$	24,186,401	$	2,148,238	$	2,187,768,582
U.S. Equity Allocation Fund
GMO U.S. Core Equity Fund, Class VI	$	38,283,951	$	491,391	$	22,373,251	$	62,915	$	—	$	—	$	18,588,770
GMO U.S. Flexible Equities Fund, Class VI		40,220,813		801,018		23,002,429		44,871		243,613		—		19,515,057
GMO U.S. Small/Mid Cap Fund, Class III		1,979,369		26,194		1,136,316		3,619		—		—		1,021,995
Totals	$	80,484,133	$	1,318,603	$	46,511,996	$	111,405	$	243,613	$	—	$	39,125,822

118

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Return of Capital*		Value, end of period
World Opportunities Equity Allocation Fund
GMO Currency Hedged International Equity Fund, Class III	$	105,584,819	$	30,035,781	$	21,690,488	$	4,370,438	$	2,531,279	$	—	$	114,628,783
GMO Emerging Markets Fund, Class VI		30,728,573		383,189		—		—		—		—		27,589,074
GMO Flexible Equities Fund, Class VI		30,425,117		5,115,792		34,133,287		3,480,608		1,635,184		—		—
GMO International Growth Equity Fund, Class IV		153,982,276		970,518		52,144,785		970,519		—		—		109,317,115
GMO International Intrinsic Value Fund, Class IV		474,047,552		19,985,623		40,089,966		3,571,642		—		—		482,832,986
GMO U.S. Core Equity Fund, Class VI		74,987,226		263,400		8,410,205		263,400		—		—		73,164,986
GMO U.S. Flexible Equities Fund, Class VI		662,034,180		16,802,327		62,189,550		1,580,669		8,581,659		—		646,675,629
Totals	$	1,531,789,743	$	73,556,630	$	218,658,281	$	14,237,276	$	12,748,122	$	—	$	1,454,208,573

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2013 through August 31, 2013. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2014.

119

GMO Trust Funds

Board Review of Management Agreements

August 31, 2013 (Unaudited)

Alpha Only Fund

Approval of renewal of management agreement for GMO Alpha Only Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund invests (“underlying GMO funds”) do not charge any advisory fees and that with respect to all other underlying GMO funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

120

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

Alternative Asset Opportunity Fund

Approval of renewal of management agreement for GMO Alternative Asset Opportunity Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund invests (“underlying GMO funds”) do not charge any advisory fees and that with respect to all other underlying GMO funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

121

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

Benchmark-Free Allocation Fund

Approval of renewal of management agreement for GMO Benchmark-Free Allocation Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees took account of the service and supplemental support fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing and supplemental support function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund invests (“underlying GMO funds”) do not charge any advisory fees and that with respect to all other underlying GMO funds, pursuant to the Fund’s management agreement, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

122

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

Benchmark-Free Fund

Approval of renewal of management agreement for GMO Benchmark-Free Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees noted that they had approved renewal of the Manager’s management agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining, after considering, among other things: possible economies of scale to the Manager in connection with its management of those funds; the expenses of the Manager for the services it provided to those funds, the Manager’s overall profitability, and its profitability by division and with respect to those funds; and a comparison of the management fees of those funds to the management fees of funds determined by a third-party data service to have similar objectives.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

123

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

Global Asset Allocation Fund

Approval of renewal of management agreement for GMO Global Asset Allocation Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees noted that they had approved renewal of the Manager’s management agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining, after considering, among other things: possible economies of scale to the Manager in connection with its management of those funds; the expenses of the Manager for the services it provided to those funds, the Manager’s overall profitability, and its profitability by division and with respect to those funds; and a comparison of the management fees of those funds to the management fees of funds determined by a third-party data service to have similar objectives.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

124

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

Global Equity Allocation Fund

Approval of renewal of management agreement for GMO Global Equity Allocation Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees also compared the management fees paid by the Fund with the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund, on the one hand, and to the Manager’s separately managed accounts, on the other. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees noted that they had approved renewal of the Manager’s management agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining, after considering, among other things: possible economies of scale to the Manager in connection with its management of those funds; the expenses of the Manager for the services it provided to those funds, the Manager’s overall profitability, and its profitability by division and with respect to those funds; and a comparison of the management fees of those funds to the management fees of funds determined by a third-party data service to have similar objectives.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

125

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

International Equity Allocation Fund

Approval of renewal of management agreement for GMO International Equity Allocation Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees noted that they had approved renewal of the Manager’s management agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining, after considering, among other things: possible economies of scale to the Manager in connection with its management of those funds; the expenses of the Manager for the services it provided to those funds, the Manager’s overall profitability, and its profitability by division and with respect to those funds; and a comparison of the management fees of those funds to the management fees of funds determined by a third-party data service to have similar objectives.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

126

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

International Opportunities Equity Allocation Fund

Approval of renewal of management agreement for GMO International Opportunities Equity Allocation Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees noted that they had approved renewal of the Manager’s management agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining, after considering, among other things: possible economies of scale to the Manager in connection with its management of those funds; the expenses of the Manager for the services it provided to those funds, the Manager’s overall profitability, and its profitability by division and with respect to those funds; and a comparison of the management fees of those funds to the management fees of funds determined by a third-party data service to have similar objectives.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

127

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

Special Situations Fund

Approval of renewal of management agreement for GMO Special Situations Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. In addition, the Trustees took into account their discussion with representatives of the Manager regarding ways to evaluate the performance of the Fund, given that the Fund is not a standalone investment and the investment strategies the Manager pursues for the Fund are intended to complement the strategies being pursued by the Manager in other GMO funds or accounts. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees compared the management fees of the Fund to the management fees of funds determined by a third-party data service to have similar objectives. The Trustees took account of the service fees charged with respect to the different share classes of the Fund and considered the extensive shareholder servicing function performed by the Manager. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees also reviewed information provided by the Manager with respect to the expenses of the Manager for the services it provided to the Fund, the Manager’s overall profitability, and its profitability by division and with respect to the Fund. The Trustees reviewed the methodology employed by the Manager in preparing that information, including the allocation of expenses among the GMO funds, and considered the effect of other approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at recent asset levels and whether fee levels reflected these economies of scale.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

128

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

Strategic Opportunities Allocation Fund

Approval of renewal of management agreement for GMO Strategic Opportunities Allocation Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees noted that they had approved renewal of the Manager’s management agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining, after considering, among other things: possible economies of scale to the Manager in connection with its management of those funds; the expenses of the Manager for the services it provided to those funds, the Manager’s overall profitability, and its profitability by division and with respect to those funds; and a comparison of the management fees of those funds to the management fees of funds determined by a third-party data service to have similar objectives.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

129

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

U.S. Equity Allocation Fund

Approval of renewal of management agreement for GMO U.S. Equity Allocation Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees noted that they had approved renewal of the Manager’s management agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining, after considering, among other things: possible economies of scale to the Manager in connection with its management of those funds; the expenses of the Manager for the services it provided to those funds, the Manager’s overall profitability, and its profitability by division and with respect to those funds; and a comparison of the management fees of those funds to the management fees of funds determined by a third-party data service to have similar objectives.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

130

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2013 (Unaudited)

World Opportunities Equity Allocation Fund

Approval of renewal of management agreement for GMO World Opportunities Equity Allocation Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, comparisons against the performance of a composite of accounts with similar objectives managed by the Manager, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees also gave substantial consideration to the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees noted that they had approved renewal of the Manager’s management agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining, after considering, among other things: possible economies of scale to the Manager in connection with its management of those funds; the expenses of the Manager for the services it provided to those funds, the Manager’s overall profitability, and its profitability by division and with respect to those funds; and a comparison of the management fees of those funds to the management fees of funds determined by a third-party data service to have similar objectives.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

131

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2013 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2013.

As a shareholder of the Funds, you may incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and /or indirect management fees, direct and/or indirect shareholder services fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2013 through August 31, 2013.

Actual Expenses

This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

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

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

	Actual						Hypothetical
	Beginning Account Value March 1, 2013		Ending Account Value August 31, 2013		Expenses Paid During the Period*		Beginning Account Value March 1, 2013		Ending Account Value August 31, 2013		Expenses Paid During the Period*		Annualized Net Expense Ratio
Alpha Only Fund
Class III		$1,000.00		$995.10		$3.27		$1,000.00		$1,021.93		$3.31		0.65%
Class IV		$1,000.00		$995.30		$3.02		$1,000.00		$1,022.18		$3.06		0.60%
Alternative Asset opportunity Fund
Core Class		$1,000.00		$1,017.10		$3.81		$1,000.00		$1,021.42		$3.82		0.75%
Benchmark-Free Allocation Fund
Class III		$1,000.00		$1,016.60		$4.07		$1,000.00		$1,021.17		$4.08		0.80%
Class IV		$1,000.00		$1,017.00		$3.81		$1,000.00		$1,021.43		$3.82		0.75%
Class MF		$1,000.00		$1,017.00		$3.81		$1,000.00		$1,021.43		$3.82		0.75%
Benchmark-Free Fund
Class III		$1,000.00		$1,016.10		$2.90		$1,000.00		$1,022.33		$2.91		0.57%
Global Asset Allocation Fund
Class III		$1,000.00		$1,018.80		$2.75		$1,000.00		$1,022.48		$2.75		0.54%
Global Equity Allocation Fund
Class III		$1,000.00		$1,037.30		$2.77		$1,000.00		$1,022.48		$2.75		0.54%
International Equity Allocation Fund
Class III		$1,000.00		$1,015.70		$3.40		$1,000.00		$1,021.83		$3.41		0.67%
International Opportunities Equity Allocation Fund
Class III		$1,000.00		$1,059.60		$3.11		$1,000.00		$1,022.18		$3.06		0.60%
Special Situations Fund
Class III		$1,000.00		$1,023.00		$2.65		$1,000.00		$1,022.58		$2.65		0.52%
Class VI		$1,000.00		$1,022.00		$2.19		$1,000.00		$1,023.04		$2.19		0.43%
Strategic Opportunities Allocation Fund
Class III		$1,000.00		$1,044.00		$2.58		$1,000.00		$1,022.68		$2.55		0.50%

132

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses — (Continued)

August 31, 2013 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value March 1, 2013		Ending Account Value August 31, 2013		Expenses Paid During the Period*		Beginning Account Value March 1, 2013		Ending Account Value August 31, 2013		Expenses Paid During the Period*		Annualized Net Expense Ratio
U.S. Equity Allocation Fund
Class III		$1,000.00		$1,073.50		$1.99		$1,000.00		$1,023.29		$1.94		0.38%
World Opportunities Equity Allocation Fund
Class III		$1,000.00		$1,059.90		$2.60		$1,000.00		$1,022.68		$2.55		0.50%

* Expenses are calculated using each Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2013, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

133

GMO Implementation Fund

Semiannual Report

August 31, 2013

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

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

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

GMO Implementation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2013 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		70.7	%
Debt Obligations		15.5
Short-Term Investments		12.8
Futures Contracts		0.0	^
Preferred Stocks		1.6
Investment Funds		0.1
Written Options		(0.2	)
Forward Currency Contracts		0.5
Other		(1.0	)
		100.0	%

Country Summary*	% of Investments*
United States		48.0	%
United Kingdom		9.6
Japan		7.4
France		4.9
South Korea		4.6
Brazil		2.9
Spain		2.7
Russia		2.4
Italy		2.2
Taiwan		2.1
Germany		1.9
Switzerland		1.6
Australia		1.3
India		0.9
South Africa		0.8
Indonesia		0.7
Netherlands		0.7
Thailand		0.6
Canada		0.5
Hong Kong		0.5
Sweden		0.4
Turkey		0.4
Mexico		0.3
Poland		0.3
Singapore		0.3
Belgium		0.2
Czech Republic		0.2
Egypt		0.2
Finland		0.2
Norway		0.2
Austria		0.1
Denmark		0.1
Greece		0.1
Ireland		0.1
Israel		0.1
Malaysia		0.1
New Zealand		0.1
Peru		0.1
Philippines		0.1
Portugal		0.1
Hungary		0.0	^
Sri Lanka		0.0	^
		100.0	%

Industry Group Summary	% of Investments**
U.S. Government & Agencies		17.6	%
Energy		10.2
Pharmaceuticals, Biotechnology & Life Sciences		9.7
Software & Services		8.1
Banks		7.9
Food, Beverage & Tobacco		6.0
Telecommunication Services		5.2
Materials		4.2
Technology Hardware & Equipment		4.0
Health Care Equipment & Services		3.5
Capital Goods		3.2
Automobiles & Components		2.8
Utilities		2.6
Household & Personal Products		2.6
Food & Staples Retailing		2.4
Insurance		1.7
Semiconductors & Semiconductor Equipment		1.5
Retailing		1.3
Consumer Services		1.2
Diversified Financials		1.1
Real Estate		1.1
Transportation		0.8
Consumer Durables & Apparel		0.7
Media		0.6
Commercial & Professional Services		0.0	^
		100.0	%

^ Rounds to 0.0%.

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

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks and ETFs, if any. This table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

1

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 70.7%
		Australia — 1.1%
	2,381,482	Arrium Ltd		2,361,396
	266,966	Bank of Queensland Ltd		2,269,063
	133,199	Bendigo and Adelaide Bank Ltd		1,194,066
	645,602	BlueScope Steel Ltd *		2,855,367
	57,363	Commonwealth Bank of Australia		3,700,715
	152,011	CSL Ltd		9,179,215
	1,617,424	Goodman Fielder Ltd *		1,060,132
	302,037	Insurance Australia Group Ltd		1,559,626
	386,254	Investa Office Fund (REIT)		1,007,648
	81,766	Macquarie Group Ltd		3,168,852
	1,760,394	Mirvac Group (REIT)		2,565,179
	114,358	National Australia Bank Ltd		3,284,506
	576,170	Pacific Brands Ltd		387,881
	551,110	QBE Insurance Group Ltd		7,424,568
	1,232,871	Stockland (REIT)		4,077,779
	747,803	TABCORP Holdings Ltd		2,137,780
	558,929	Tatts Group Ltd		1,592,490
	431,469	Westpac Banking Corp		11,977,512
	90,260	Woolworths Ltd		2,859,101
		Total Australia		64,662,876
		Austria — 0.1%
	96,485	OMV AG		4,452,889
	56,387	Voestalpine AG		2,409,830
		Total Austria		6,862,719
		Belgium — 0.2%
	109,542	Ageas		4,307,589
	46,231	Anheuser-Busch InBev NV		4,311,552
	114,054	Belgacom SA		2,730,343
		Total Belgium		11,349,484
		Brazil — 1.3%
	90,900	Banco Bradesco SA		1,203,898
	1,379,000	Banco do Brasil SA		13,322,136
	244,100	Banco Santander Brasil SA		1,395,471
	491,000	Banco Santander Brasil SA ADR		2,833,070
	410,100	BM&FBOVESPA SA		2,009,291
	279,100	BR Malls Participacoes SA		2,117,274
	185,200	BR Properties SA		1,408,822
	73,800	Brasil Brokers Participacoes SA		162,388
	41,900	CETIP SA		410,931
	37,900	Cia de Saneamento Basico do Estado de Sao Paulo		311,180
	46,600	Cia Hering		623,234
	488,280	Cielo SA		11,953,492
	106,000	Companhia Siderurgica Nacional SA		374,073
	157,700	Cyrela Brazil Realty SA		1,039,018

Shares		Description	Value ($)
		Brazil — continued
	76,570	Duratex SA		387,672
	60,300	Equatorial Energia SA		506,723
	29,000	Gol Linhas Aereas Inteligentes SA ADR *		106,140
	76,500	Grendene SA		614,001
	139,400	Grupo BTG Pactual		1,583,327
	28,000	Light SA		211,237
	294,200	MRV Engenharia e Participacoes SA		1,027,132
	22,000	Multiplan Empreendimentos Imobiliarios SA		442,038
	160,000	Multiplus SA		1,747,564
	26,000	Natura Cosmeticos SA		487,864
	1,793,400	PDG Realty SA Empreendimentos e Participacoes *		1,728,796
	176,300	Petroleo Brasileiro SA (Petrobras)		1,180,038
	43,000	Petroleo Brasileiro SA (Petrobras) ADR		581,360
	61,900	Porto Seguro SA		667,008
	119,200	Qualicorp SA *		931,738
	122,557	Sul America SA		719,126
	199,300	Tim Participacoes SA		783,518
	68,700	Totvs SA		1,076,879
	57,300	Transmissora Alianca de Energia Eletrica SA		528,343
	241,200	Vale SA		3,479,580
	1,165,600	Vale SA Sponsored ADR		16,796,296
		Total Brazil		74,750,658
		Canada — 0.4%
	668,700	Blackberry Ltd *		6,754,930
	12,800	Canadian Pacific Railway Ltd		1,505,303
	26,000	Canadian Tire Corp Ltd - Class A		2,199,126
	224,700	First Quantum Minerals Ltd		3,731,133
	20,600	Home Capital Group Inc		1,252,272
	81,300	Husky Energy Inc		2,298,599
	35,900	Magna International Inc		2,759,389
	30,500	RONA Inc		311,284
		Total Canada		20,812,036
		Czech Republic — 0.2%
	383,669	CEZ AS		8,861,539
		Total Czech Republic		8,861,539
		Denmark — 0.0%
	11,618	Jyske Bank A/S *		535,068
	13,561	Novo-Nordisk A/S - Class B		2,267,340
		Total Denmark		2,802,408
		Egypt — 0.1%
	1,292,520	Al Ezz Steel Rebars SAE *		2,056,081
	224,538	Commercial International Bank		1,135,040
	348,596	EFG-Hermes Holding SAE *		404,014

2 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Egypt — continued
	379,706	Orascom Telecom Holding SAE *		231,058
	291,399	Orascom Telecom Holding SAE GDR (Registered Shares) *		869,523
	21,823,310	Orascom Telecom Media And Technology Holding SAE		1,717,439
	2,322,305	Palm Hills Developments SAE *		754,205
	96,773	Sidi Kerir Petrochemicals Co		204,894
	604,228	Talaat Moustafa Group *		424,795
	378,459	Telecom Egypt Co		677,841
		Total Egypt		8,474,890
		Finland — 0.2%
	2,426,115	Nokia Oyj *		9,412,869
	59,970	Sampo Oyj - Class A		2,496,266
		Total Finland		11,909,135
		France — 4.3%
	485,266	Air France–KLM *		3,650,219
	462,518	AXA		10,080,611
	327,393	BNP Paribas		20,526,432
	153,746	Carrefour SA		4,813,813
	57,117	CNP Assurances		1,010,307
	34,636	Compagnie Generale des Etablissements Michelin - Class B		3,315,205
	95,889	European Aeronautic Defense and Space Co NV		5,521,493
	623,962	GDF Suez		13,538,005
	19,505	L’Oreal SA		3,256,413
	823,853	Orange		8,363,032
	108,247	PagesJaunes Groupe *		241,961
	738,916	Peugeot SA *		10,496,267
	16,228	Publicis Groupe SA		1,206,960
	153,455	Renault SA		10,976,550
	406,442	Sanofi		38,951,945
	437,141	Societe Generale		19,143,870
	156,099	Technicolor *		743,582
	1,581,322	Total SA		87,567,139
	439,134	Vivendi SA		8,907,690
		Total France		252,311,494
		Germany — 1.6%
	59,541	Allianz SE (Registered)		8,530,235
	56,575	Aurubis AG		3,263,182
	53,644	Bayer AG (Registered)		5,962,280
	44,244	Daimler AG (Registered)		3,035,929
	247,199	Deutsche Lufthansa AG (Registered) *		4,409,953
	215,333	Deutsche Post AG (Registered)		6,224,335
	26,961	Duerr AG		1,808,129
	1,585,450	E.ON AG		25,088,726

Shares		Description	Value ($)
		Germany — continued
	106,366	Freenet AG		2,510,810
	21,588	Hannover Rueck SE		1,506,935
	108,966	Kloeckner & Co SE *		1,405,141
	14,810	Merck KGaA		2,249,897
	70,822	Metro AG		2,595,133
	44,440	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		8,097,856
	362,108	RWE AG		9,945,274
	49,338	Salzgitter AG		1,870,646
	81,118	SAP AG		5,991,274
		Total Germany		94,495,735
		Greece — 0.1%
	296,326	OPAP SA		2,931,035
	139,101	Public Power Corp SA		1,310,086
		Total Greece		4,241,121
		Hong Kong — 0.4%
	524,000	AAC Technologies Holdings Inc		2,364,596
	251,000	Cheung Kong Holdings Ltd		3,577,416
	238,500	CLP Holdings Ltd		1,908,418
	1,676,400	Esprit Holdings Ltd		2,850,644
	1,339,300	Hong Kong & China Gas		3,103,027
	419,552	Link (REIT)		1,922,198
	171	Melco International Development Ltd		388
	953,000	Pacific Basin Shipping Ltd		592,773
	369,600	Sands China Ltd		2,115,804
	359,000	Sun Hung Kai Properties Ltd		4,643,140
	279,000	Wharf Holdings Ltd (The)		2,276,155
	316,500	Yue Yuen Industrial Holdings		968,317
		Total Hong Kong		26,322,876
		Hungary — 0.0%
	40,060	OTP Bank Plc		744,188
		Total Hungary		744,188
		India — 0.8%
	83,954	Aban Offshore Ltd		269,098
	586,562	Allahabad Bank		586,367
	212,247	Aurobindo Pharma Ltd		583,393
	42,785	Bank of Baroda		298,852
	468,076	Cairn India Ltd		2,284,740
	86,551	Cipla Ltd		547,349
	28,167	Financial Technologies India Ltd		48,054
	58,259	GAIL India Ltd		260,144
	146,249	HCL Technologies Ltd		2,307,959
	23,795	Hero MotoCorp Ltd *		722,843
	310,287	Hexaware Technologies Ltd		605,558
	429,480	Hindalco Industries Ltd		677,474

See accompanying notes to the financial statements. 3

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		India — continued
	312,200	Hindalco Industries Ltd GDR, 144A (a)		481,603
	1,386,554	Housing Development & Infrastructure Ltd *		688,493
	145,031	Idea Cellular Ltd *		350,392
	72,881	Infosys Technologies Ltd		3,400,995
	175,500	Infosys Technologies Ltd Sponsored ADR		8,137,935
	79,791	Jai Balaji Industries Ltd *		24,147
	120,396	Jindal Steel & Power Ltd		402,236
	29,859	JSW Steel Ltd		242,455
	145,514	Karnataka Bank Ltd		166,025
	45,687	Lupin Ltd		556,026
	1,003,103	NHPC Ltd		242,323
	156,755	NTPC Ltd		309,509
	208,979	Oil & Natural Gas Corp Ltd		795,935
	159,549	Oriental Bank of Commerce		307,977
	86,098	Punjab National Bank Ltd (a)		560,776
	206,991	Reliance Energy Ltd		1,083,419
	25,584	Reliance Industries Ltd		328,320
	9,527	Reliance Industries Ltd GDR, 144A		239,648
	348,177	Sesa Goa Ltd		991,955
	375,346	Steel Authority of India Ltd		261,902
	462,004	Sterlite Industries India Ltd		644,232
	121,300	Sterlite Industries India Ltd ADR		727,800
	59,155	Sun Pharmaceutical Industries Ltd *		466,921
	187,966	Tata Consultancy Services Ltd		5,768,404
	151,927	Tata Motors Ltd		680,921
	5,100	Tata Motors Ltd Sponsored ADR		113,832
	158,802	Tata Motors Ltd - Class A		350,152
	231,417	Tata Steel Ltd		947,675
	225,767	Tech Mahindra Ltd		4,687,271
	195,176	Wipro Ltd		1,408,921
	74,513	Wipro Ltd ADR		672,107
		Total India		45,232,138
		Indonesia — 0.6%
	19,017,500	Astra International Tbk PT		10,509,553
	636,000	Bank Central Asia Tbk PT		525,355
	5,331,670	Bank Mandiri Persero Tbk PT		3,455,833
	3,141,500	Bank Negara Indonesia Persero Tbk PT		1,103,775
	5,935,270	Bank Rakyat Indonesia Persero Tbk PT		3,574,477
	2,807,000	Bank Tabungan Negara Persero Tbk PT		243,518
	2,085,000	Gajah Tunggal Tbk PT		355,746
	10,103,500	Global Mediacom Tbk PT *		1,612,711
	1,178,500	Harum Energy Tbk PT		346,532
	777,500	Indosat Tbk PT		292,913
	17,185,500	Kalbe Farma Tbk PT		2,116,144
	6,290,500	Media Nusantara Citra Tbk PT *		1,691,426
	1,107,000	Mitra Adiperkasa Tbk PT		480,362

Shares		Description	Value ($)
		Indonesia — continued
	28,808,500	MNC Investama Tbk PT		906,516
	2,236,000	MNC Sky Vision Tbk PT *		379,538
	3,558,000	Ramayana Lestari Sentosa Tbk PT		328,104
	1,259,150	Semen Gresik Persero Tbk PT		1,449,746
	30,312,500	Telekomunikasi Indonesia Persero Tbk PT		6,088,850
	35,300	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		1,308,218
	2,538,000	XL Axiata Tbk PT		1,038,914
		Total Indonesia		37,808,231
		Ireland — 0.0%
	10,812	Paddy Power Plc		869,701
	99,109	Smurfit Kappa Group Plc		2,015,736
		Total Ireland		2,885,437
		Israel — 0.1%
	265,349	Bank Hapoalim BM		1,225,886
	482,402	Bank Leumi Le-Israel *		1,578,515
	631,276	Israel Discount Bank Ltd - Class A *		989,051
	90,265	Partner Communications Co Ltd		660,279
		Total Israel		4,453,731
		Italy — 1.9%
	3,425,070	A2A SPA		2,971,029
	238,782	Assicurazioni Generali SPA		4,567,383
	100,765	Azimut Holding SPA		2,162,191
	6,514,560	Enel SPA		21,479,967
	1,130,839	ENI SPA		25,757,994
	59,787	Exor SPA		2,037,163
	1,017,122	Fiat SPA *		7,664,873
	766,382	Finmeccanica SPA *		3,920,683
	4,305,679	Intesa Sanpaolo SPA		8,433,225
	14,951	Italcementi SPA-Di RISP		48,684
	1,753,346	Mediaset SPA *		7,193,648
	295,510	Mediolanum SPA		2,056,628
	1,231,106	Milano Assicurazioni SPA *		778,379
	64,970	Recordati SPA		730,912
	11,192,606	Telecom Italia SPA		7,795,416
	5,419,257	Telecom Italia SPA-Di RISP		2,996,123
	1,812,202	UniCredit SPA		10,235,177
		Total Italy		110,829,475
		Japan — 6.6%
	1,494	Accordia Golf Co Ltd		1,617,025
	361,800	Aeon Co Ltd		4,929,723
	29,200	Alfresa Holdings Corp		1,379,866
	87,000	Astellas Pharma Inc		4,426,375
	93,900	Bridgestone Corp		3,064,775
	224,000	Calsonic Kansei Corp		1,084,342

4 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	694,000	Cosmo Oil Co Ltd *		1,427,354
	983,000	Daikyo Inc		2,838,794
	92,400	Daito Trust Construction Co Ltd		8,433,712
	490,000	Daiwa Securities Group Inc		3,919,933
	251,700	Dena Co Ltd		4,920,118
	609,000	DIC Corp		1,547,975
	218,000	Fuji Heavy Industries Ltd		5,248,232
	51,500	Fuji Oil Co Ltd		903,028
	117,000	Gunze Ltd		290,831
	184,000	Hanwa Co Ltd		791,600
	3,241,000	Haseko Corp *		3,758,464
	19,000	Idemitsu Kosan Co Ltd		1,575,426
	103,700	IT Holdings Corp		1,233,364
	979,200	Itochu Corp		11,023,076
	854	Japan Retail Fund Investment Corp (REIT)		1,566,480
	606,300	Japan Tobacco Inc		20,477,693
	339,200	JFE Holdings Inc		7,440,160
	1,754,300	JX Holdings Inc		9,217,639
	103,500	K’s Holdings Corp		3,144,590
	129,900	Kao Corp		3,780,806
	2,774,000	Kawasaki Kisen Kaisha Ltd		6,207,874
	278,200	KDDI Corp		13,225,183
	2,142,000	Kobe Steel Ltd *		3,390,581
	34,086	Kohnan Shoji Co Ltd		364,802
	499,200	Leopalace21 Corp *		3,058,623
	1,030,000	Marubeni Corp		7,439,516
	1,420,000	Mazda Motor Corp *		5,653,096
	127,504	Medipal Holdings Corp		1,419,241
	917,500	Mitsubishi Chemical Holdings Corp		4,296,266
	689,600	Mitsubishi Corp		12,829,178
	194,000	Mitsubishi Gas Chemical Co Inc		1,553,391
	477,000	Mitsubishi Heavy Industries Ltd		2,602,159
	413,400	Mitsubishi UFJ Lease & Finance Co Ltd		1,863,648
	642,100	Mitsui & Co Ltd		8,879,519
	1,137,000	Mitsui Chemicals Inc		3,004,817
	1,129,000	Mitsui Engineer & Shipbuilding Co Ltd		2,028,958
	109,000	Mitsui Fudosan Co Ltd		3,412,302
	712,012	Mitsui Mining & Smelting Co Ltd		1,652,946
	1,379,134	Mitsui OSK Lines Ltd *		5,407,975
	3,004,500	Mizuho Financial Group Inc		6,089,810
	888,000	NEC Corp		1,875,934
	119,100	Net One Systems Co Ltd		888,393
	184,000	Nichirei Corp		882,315
	72,000	Nippon Corp		1,151,479
	538,300	Nippon Light Metal Co Ltd		679,665
	119,932	Nippon Paper Industries Co Ltd		1,626,578
	1,267,000	Nippon Steel Corp		3,578,818
	266,200	Nippon Telegraph & Telephone Corp		13,504,770
	1,507,000	Nippon Yusen Kabushiki Kaisha		4,261,893

Shares		Description	Value ($)
		Japan — continued
	264,041	Nipro Corp		2,265,961
	131,000	Nisshinbo Holdings Inc		959,888
	46,000	Nitto Denko Corp		2,432,725
	860,100	Nomura Holdings Inc		5,930,231
	144,286	North Pacific Bank Ltd		561,071
	8,480	NTT Docomo Inc		13,556,371
	14,700	Okinawa Electric Power Co		503,368
	1,062	ORIX JREIT Inc (REIT)		1,118,679
	35,879	Point Inc		1,682,555
	2,123,400	Resona Holdings Inc		10,075,693
	323,000	Ricoh Co Ltd		3,475,741
	164,800	Round One Corp		923,051
	29,000	Ryohin Keikaku Co Ltd		2,540,878
	44,400	Sankyo Co Ltd		2,060,260
	99,500	Sega Sammy Holdings Inc		2,368,158
	77,000	Seino Holdings Co Ltd		683,960
	14,800	Shimamura Co Ltd		1,506,060
	1,369,000	Shinsei Bank Ltd		2,678,068
	316,500	Showa Shell Sekiyu KK		3,128,445
	43,686	SoftBank Corp		2,725,401
	2,376,800	Sojitz Corp		4,221,538
	856,000	Sumitomo Corp		10,783,807
	183,200	Sumitomo Electric Industries Ltd		2,447,388
	546,193	Sumitomo Light Metal Industries Ltd		536,203
	269,000	Sumitomo Metal Mining Co Ltd		3,594,201
	123,000	Sumitomo Mitsui Financial Group Inc		5,406,569
	824,000	Sumitomo Mitsui Trust Holdings Inc		3,558,505
	74,000	Sumitomo Realty & Development Co Ltd		3,234,135
	85,000	Suruga Bank Ltd		1,329,680
	28,752	Suzuken Co Ltd		883,262
	297,500	Takeda Pharmaceutical Co Ltd		13,463,271
	387,000	Tokyo Tatemono Co Ltd		3,268,954
	147,000	TonenGeneral Sekiyu KK		1,332,071
	785,000	Tosoh Corp		2,785,678
	325,600	Toyota Motor Corp		19,585,291
	213,000	Toyota Tsusho Corp		4,867,614
	289,200	UNY Co Ltd		1,838,467
	2,417	Yahoo! Japan Corp		1,190,627
	145,510	Yamada Denki Co Ltd		4,583,015
		Total Japan		382,957,951
		Malaysia — 0.1%
	670,500	AMMB Holdings Berhad		1,515,418
	800,800	CIMB Group Holdings Berhad		1,771,280
	313,596	Hong Leong Bank Berhad		1,344,328
		Total Malaysia		4,631,026
		Mexico — 0.2%
	370,900	America Movil SAB de CV		7,158,370
	1,937,400	America Movil SAB de CV - Class L		1,874,903

See accompanying notes to the financial statements. 5

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Mexico — continued
	11,800	Fomento Economico Mexicano SAB de CV		111,252
	10,100	Fomento Economico Mexicano SAB de CV Sponsored ADR		953,238
	175,600	Grupo Financiero Banorte SAB de CV - Class O		1,081,252
	104,800	Grupo Financiero Santander Mexico SAB de CV ADR		1,429,472
	200	Grupo Financiero Santander Mexico SAB de CV - Class B		546
	32,300	Grupo Televisa SAB Sponsored ADR		812,345
	17,200	Grupo Televisa SAB-Series CPO		86,277
	252,800	Wal-Mart de Mexico SAB de CV - Class V		605,464
		Total Mexico		14,113,119
		Netherlands — 0.6%
	906,377	Aegon NV		6,451,741
	48,281	CSM NV		1,142,283
	943,623	ING Groep NV *		10,273,803
	267,052	Koninklijke BAM Groep NV		1,090,541
	77,850	Koninklijke Philips Electronics NV		2,407,281
	85,275	SNS REAAL NV * (a)		—
	286,473	Unilever NV		10,778,730
	187,600	VimpelCom Ltd Sponsored ADR		2,012,948
		Total Netherlands		34,157,327
		New Zealand — 0.1%
	321,916	Chorus Ltd		721,773
	258,310	Fletcher Building Ltd		1,744,159
	1,514,867	Telecom Corp of New Zealand		2,656,718
		Total New Zealand		5,122,650
		Norway — 0.2%
	401,906	DNB ASA		6,230,305
	155,513	Golden Ocean Group Ltd *		197,716
	132,501	Statoil ASA		2,906,979
	43,807	TGS Nopec Geophysical Co ASA		1,289,262
		Total Norway		10,624,262
		Peru — 0.1%
	465,455	Cia de Minas Buenaventura SA ADR		5,878,697
		Total Peru		5,878,697
		Philippines — 0.1%
	1,001,340	BDO Unibank Inc		1,655,713
	59,450	GT Capital Holdings Inc		1,029,685
	593,866	Metropolitan Bank & Trust		1,081,068
	20,415	Philippine Long Distance Telephone Co		1,306,710
	5,700	Philippine Long Distance Telephone Co Sponsored ADR		361,095

Shares		Description	Value ($)
		Philippines — continued
	1,524,100	Puregold Price Club Inc		1,317,324
		Total Philippines		6,751,595
		Poland — 0.2%
	1,579,123	Boryszew SA *		234,637
	372,502	KGHM Polska Miedz SA		14,129,341
	168,355	Synthos SA		230,734
		Total Poland		14,594,712
		Portugal — 0.1%
	1,565,071	EDP-Energias de Portugal SA		5,531,192
		Total Portugal		5,531,192
		Russia — 2.0%
	9,364	Bashneft OAO - Class S		535,206
	30,286	Gazprom Neft JSC Sponsored ADR		623,117
	4,995,108	Gazprom OAO Sponsored ADR		39,242,467
	377,963	Lukoil OAO Sponsored ADR		21,901,335
	972	Magnit OJSC		216,712
	31,154	Magnit OJSC GDR		1,727,660
	12,461	MegaFon OAO GDR		420,697
	204,500	Mobile Telesystems Sponsored ADR *		4,327,220
	44,395	Moscow Exchange (The)		81,208
	9,817	NovaTek OAO GDR		1,175,978
	1,350,593	Rosneft OJSC GDR (Registered)		9,921,994
	13,116	Rostelecom OJSC		242,859
	1,798,320	Sberbank Sponsored ADR		18,956,870
	68,631	Sistema JSFC Sponsored GDR (Registered Shares)		1,519,589
	690,153	Surgutneftegas Sponsored ADR		5,375,593
	83,587	Tatneft Sponsored ADR		3,165,264
	388,994,452	VTB Bank OJSC		518,919
	2,198,830	VTB Bank OJSC GDR (Registered Shares)		5,830,266
		Total Russia		115,782,954
		Singapore — 0.3%
	825,000	CapitaCommercial Trust (REIT)		873,327
	1,111,085	Ezra Holdings Ltd *		720,766
	10,838,000	Golden Agri-Resources Ltd		4,745,601
	176,000	Ho Bee Investment Ltd		280,716
	3,748,000	Noble Group Ltd		2,369,067
	330,000	Singapore Technologies Engineering Ltd		1,022,202
	2,085,000	Singapore Telecommunications		5,725,030
	696,000	Swiber Holdings Ltd		339,827
	1,552,000	Yangzijiang Shipbuilding Holdings Ltd		1,147,182
		Total Singapore		17,223,718

6 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		South Africa — 0.7%
	1,569,030	African Bank Investments Ltd		2,493,542
	105,867	AngloGold Ashanti Ltd Sponsored ADR *		1,415,442
	97,032	Barclays Africa Group Ltd		1,292,689
	35,993	Bidvest Group Ltd		884,539
	92,830	Exxaro Resources Ltd		1,467,040
	435,107	FirstRand Ltd		1,271,836
	64,949	Foschini Ltd		607,390
	29,016	Gold Fields Ltd		150,003
	28,014	Gold Fields Ltd Sponsored ADR		144,272
	471,447	Growthpoint Properties Ltd		1,087,990
	31,498	Imperial Holdings Ltd		637,340
	77,273	Investec Ltd		499,817
	408,125	MTN Group Ltd		7,454,865
	108,616	Naspers Ltd - N Shares		8,947,084
	29,392	Remgro Ltd		534,691
	92,349	Sasol Ltd		4,323,946
	1,647	Sasol Ltd Sponsored ADR		77,096
	108,829	Standard Bank Group Ltd		1,211,124
	243,807	Steinhoff International Holdings Ltd *		696,603
	239,095	Telkom South Africa Ltd *		532,530
	176,394	Vodacom Group Ltd		1,990,464
	71,718	Wilson Bayly Holmes-Ovcon Ltd		987,018
		Total South Africa		38,707,321
		South Korea — 3.9%
	151,200	BS Financial Group Inc		1,930,852
	6,046	CJ Corp		578,024
	1,349	CJ O Shopping Co Ltd		404,298
	23,216	Daelim Industrial Co Ltd		1,818,204
	61,000	Daewoo Securities Co Ltd		509,262
	34,200	Daewoo Shipbuilding & Marine Engineering Co Ltd		906,248
	38,770	DGB Financial Group Inc		540,803
	46,900	Dongbu Insurance Co Ltd		1,985,492
	34,360	Dongkuk Steel Mill Co Ltd		402,647
	41,420	GS Engineering & Construction Corp		1,312,997
	79,188	GS Holdings		4,022,527
	287,801	Hana Financial Group Inc		9,031,421
	8,589	Hankook Tire Co Ltd		443,978
	44,960	Hankook Tire WorldwideCo Ltd		971,935
	19,790	Hanwha Chem Corp		313,223
	58,590	Hanwha Corp		1,713,299
	13,023	Honam Petrochemical Corp		1,995,609
	10,775	Hyosung Corp		686,223
	24,554	Hyundai Engineering & Construction		1,262,669
	16,860	Hyundai Heavy Industries Co Ltd		3,433,053
	23,230	Hyundai Hysco		903,988
	3,049	Hyundai Mipo Dockyard		368,008
	44,216	Hyundai Mobis		11,068,175

Shares		Description	Value ($)
		South Korea — continued
	76,876	Hyundai Motor Co		17,142,914
	60,770	Hyundai Securities Co Ltd		309,998
	45,627	Hyundai Steel Co		2,998,392
	6,488	Hyundai Wia Corp		996,692
	268,000	Industrial Bank of Korea		2,715,954
	265,210	KB Financial Group Inc		8,460,699
	5,700	KB Financial Group Inc ADR		180,177
	275,156	Kia Motors Corp		16,554,100
	17,597	Kolon Industries Inc		846,376
	6,981	Korea Kumho Petrochemical Co Ltd		575,063
	9,172	Korea Zinc Co Ltd		2,625,561
	214,940	KT Corp		6,972,168
	30,900	KT Corp Sponsored ADR		496,563
	9,601	KT&G Corp		627,146
	20,085	LG Chem Ltd		5,166,947
	18,127	LG Corp		1,089,265
	45,100	LG Display Co Ltd *		585,398
	36,357	LG Electronics Inc		2,357,526
	24,950	LG Fashion Corp		578,691
	28,460	LG International Corp		804,592
	278,150	LG Uplus Corp *		3,265,126
	52,810	LIG Insurance Co Ltd		1,167,131
	4,515	Lotte Shopping Co Ltd		1,381,921
	4,489	LS Corp		284,385
	9,068	Mando Corp		1,010,197
	87,030	Meritz Fire & Marine Insurance Co Ltd		1,000,423
	8,401	Mirae Asset Securities Co Ltd		239,957
	3,654	NCSoft Corp		529,790
	18,977	O Media Holdings Co Ltd *		649,214
	20,550	Poongsan Corp		470,819
	22,295	POSCO		6,439,346
	31,700	POSCO ADR		2,283,034
	4,681	S-Oil Corp		322,157
	10,013	Samsung C&T Corp		514,146
	26,440	Samsung Card Co		860,079
	18,520	Samsung Electro Mechanics Co Ltd		1,354,792
	32,806	Samsung Electronics Co Ltd		40,220,499
	2,634	Samsung Electronics Co Ltd GDR (Registered Shares)		1,604,568
	31,499	Samsung Engineering Co Ltd		2,374,154
	8,644	Samsung Fire & Marine Insurance Co Ltd		1,943,162
	78,080	Samsung Heavy Industries Co Ltd		2,759,229
	7,423	Samsung Life Insurance Co Ltd		707,572
	10,214	Samsung SDI Co Ltd		1,545,295
	7,472	Samsung Securities Co Ltd		300,340
	15,350	Seah Besteel Corp		408,295
	229,510	Shinhan Financial Group Co Ltd		8,341,113
	3,285	Shinsegae Co Ltd		591,585

See accompanying notes to the financial statements. 7

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	19,626	SK Chemicals Co Ltd		819,184
	23,080	SL Corp		330,260
	3,656	SK Gas Co Ltd		236,819
	12,875	SK Holdings Co Ltd		2,160,048
	61,201	SK Innovation Co Ltd		7,660,614
	36,502	SK Telecom Co Ltd		7,269,150
	108,900	SK Telecom Co Ltd ADR		2,388,177
	42,798	Sungwoo Hitech Co Ltd		580,539
	487,890	Woori Finance Holdings Co Ltd		4,847,666
	71,100	Woori Investment & Securities Co Ltd		691,560
		Total South Korea		229,779,617
		Spain — 2.3%
	1,999,759	Banco Bilbao Vizcaya Argentaria SA		19,110,661
	6,235,319	Banco Santander SA		44,060,226
	435,437	Gas Natural SDG SA		8,525,718
	2,406,511	Iberdrola SA		12,753,433
	200,231	Indra Sistemas SA		2,904,042
	649,432	Repsol YPF SA		15,070,566
	2,492,840	Telefonica SA *		33,888,938
		Total Spain		136,313,584
		Sri Lanka — 0.0%
	1,065,600	Anilana Hotels & Properties Ltd *		68,955
		Total Sri Lanka		68,955
		Sweden — 0.3%
	85,889	Alliance Oil Company Ltd *		615,820
	145,622	Investor AB		4,196,418
	183,261	Nordea Bank AB		2,130,705
	240,564	Skandinaviska Enskilda Banken AB - Class A		2,468,079
	53,895	Svenska Handelsbanken AB -A Shares		2,311,855
	176,049	Swedbank AB - Class A		3,981,892
	440,965	TeliaSonera AB		3,157,272
		Total Sweden		18,862,041
		Switzerland — 1.4%
	16,375	Compagnie Financiere Richemont SA - Class A		1,554,466
	167,219	Credit Suisse Group AG (Registered)		4,819,990
	183,016	Nestle SA (Registered)		11,977,335
	457,685	Novartis AG (Registered)		33,342,196
	114,741	Roche Holding AG (Non Voting)		28,600,926
		Total Switzerland		80,294,913
		Taiwan — 1.9%
	1,017,000	Acer Inc *		674,330
	1,142,000	Advanced Semiconductor Engineering Inc		1,002,209

Shares		Description	Value ($)
		Taiwan — continued
	254,000	Advantech Co Ltd		1,286,910
	623,000	Asustek Computer Inc		4,942,724
	2,476,000	AU Optronics Corp *		966,981
	401,000	Career Technology MFG Co Ltd		426,128
	850,000	Catcher Technology Co Ltd		4,019,628
	460,600	Cheng Shin Rubber Industry Co Ltd		1,181,449
	268,000	Chipbond Technology Corp		596,394
	1,978,470	Chunghwa Telecom Co Ltd		6,239,937
	500	Chunghwa Telecom Co Ltd ADR		15,725
	5,259,000	Compal Electronics Inc		3,524,546
	799,000	Coretronic Corp		692,500
	415,000	Delta Electronics Inc		1,868,337
	1,462,600	E.Sun Financial Holdings Co Ltd		922,658
	344,000	Elan Microelectronics Corp		577,851
	1,539,000	Far EasTone Telecommunications Co Ltd		3,883,868
	332,062	Flexium Interconnect Inc		1,300,727
	533,000	Foxconn Technology Co Ltd		1,351,397
	216,000	Gintech Energy Corp *		178,594
	388,000	Highwealth Construction Corp		858,463
	5,470,000	Hon Hai Precision Industry Co Ltd *		14,751,864
	689,000	HTC Corp		3,582,052
	191,000	ILI Technology Corp		441,836
	49,000	Kinsus Interconnect Technology Corp		178,377
	31,000	Largan Precision Co Ltd		1,077,767
	550,537	Lite-On Technology Corp		930,392
	227,000	Makalot Industrial Co Ltd		1,221,039
	252,000	MediaTek Inc		3,075,820
	54,000	Mstar Semiconductor Inc		491,280
	1,135,000	Neo Solar Power Corp *		841,907
	189,000	Novatek Microelectronics Corp Ltd		781,461
	652,000	Pegatron Corp *		1,002,776
	116,000	Phison Electronics Corp		810,022
	171,000	Pou Chen Corp		186,260
	1,182,000	Powertech Technology Inc		2,148,972
	977,000	Qisda Corp *		227,194
	1,324,000	Quanta Computer Inc		2,772,182
	639,020	Radiant Opto-Electronics Corp		2,015,482
	205,330	Realtek Semiconductor Corp		452,889
	488,000	Shin Kong Financial Holding Co Ltd *		163,916
	58,332	Silicon Motion Technology Corp ADR		650,985
	471,000	Siliconware Precision Industries Co		526,953
	193,000	Simplo Technology Co Ltd		917,347
	590,000	Synnex Technology International Corp		925,364
	4,778,927	Taishin Financial Holding Co Ltd		2,050,886
	1,381,000	Taiwan Mobile Co Ltd		4,966,345
	482,044	Taiwan PCB Techvest Co Ltd		568,089

8 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	729,600	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		12,082,176
	741,000	Taiwan Semiconductor Manufacturing Co Ltd		2,456,694
	292,085	TPK Holding Co Ltd		3,081,515
	560,000	Tripod Technology Corp		1,102,817
	1,061,000	Unimicron Technology Corp		856,481
	2,582,000	United Microelectronics Corp		1,054,985
	2,734,522	Wistron Corp		2,441,395
	781,000	WPG Holdings Co Ltd		892,976
	511,000	Yungtay Engineering Co Ltd		1,179,012
		Total Taiwan		109,418,864
		Thailand — 0.6%
	454,000	Advanced Info Service Pcl (Foreign Registered)		3,369,699
	830,100	Bangchak Petroleum Pcl (Foreign Registered)		815,552
	689,760	Bangkok Dusit Medical Service Pcl (Foreign Registered)		2,752,051
	189,050	Banpu Pcl (Foreign Registered)		1,617,431
	1,643,840	BTS Rail Mass Transit Growth Infrastructure Fund		477,474
	1,227,300	Charoen Pokphand Foods Pcl (Foreign Registered)		882,618
	409,750	Electricity Generating Pcl (Foreign Registered)		1,636,746
	1,407,300	Esso Thailand Pcl (Foreign Registered)		269,710
	685,900	Glow Energy Pcl (Foreign Registered)		1,333,234
	753,700	PTT Exploration & Production Pcl (Foreign Registered)		3,887,421
	940,900	PTT Pcl (Foreign Registered)		9,530,086
	293,000	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) (a)		451,776
	627,500	Ratchaburi Electricity Generating Holding Pcl NVDR		967,539
	160,600	Shin Corp Pcl		377,449
	110,700	Shin Corp Pcl (Foreign Registered) (a)		263,688
	98,300	Siam Cement Pcl NVDR		1,195,908
	990,900	Thai Oil Pcl (Foreign Registered)		1,670,584
	3,056,100	Thai Tap Water Supply Pcl (Foreign Registered)		927,987
	168,900	Thanachart Capital Pcl		168,513
		Total Thailand		32,595,466
		Turkey — 0.4%
	748,674	Akbank TAS		2,468,824
	1,261,875	Asya Katilim Bankasi AS *		1,090,553
	372,303	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		405,145

Shares		Description	Value ($)
		Turkey — continued
	154,832	Haci Omer Sabanci Holding AS		654,822
	244,066	Ipek Dogal Enerji Kaynaklari Ve Uretim AS *		477,955
	156,887	KOC Holding AS		628,321
	82,035	Pegasus Hava Tasimaciligi AS *		1,116,552
	471,890	Turk Telekomunikasyon AS		1,428,998
	737,887	Turkcell Iletisim Hizmet AS *		3,854,957
	11,300	Turkcell Iletisim Hizmetleri AS ADR *		148,708
	1,657,660	Turkiye Garanti Bankasi AS		5,668,805
	13,165	Turkiye Halk Bankasi AS		83,243
	287,709	Turkiye IS Bankasi - Class C		668,578
	338,811	Turkiye Vakiflar Bankasi TAO - Class D		657,448
	1,243,120	Yapi ve Kredi Bankasi AS		2,447,746
		Total Turkey		21,800,655
		United Kingdom — 8.5%
	46,672	Admiral Group Plc		913,324
	150,290	Amlin Plc		913,691
	181,639	Ashtead Group Plc		1,810,403
	977,794	AstraZeneca Plc		48,144,047
	805,969	Aviva Plc		4,824,258
	1,929,676	BAE Systems Plc		13,009,169
	642,176	Balfour Beatty Plc		2,453,117
	6,650,217	Barclays Plc		29,131,983
	435,156	Barratt Developments Plc *		2,048,682
	105,141	BG Group Plc		2,000,635
	411,749	BHP Billiton Plc		11,975,879
	8,798,383	BP Plc		60,839,214
	200,289	British American Tobacco Plc		10,127,537
	969,500	BT Group Plc		4,882,903
	76,937	Bunzl Plc		1,623,696
	60,735	Cape Plc		238,888
	138,071	Catlin Group Ltd		999,811
	353,898	Cobham Plc		1,562,666
	389,129	Darty Plc		486,344
	664,963	Debenhams Plc		1,104,689
	2,967,213	Dixons Retail Plc *		1,897,499
	222,216	Drax Group Plc		2,401,851
	23,149	Eurasia Drilling Co Ltd GDR		892,426
	1,004,114	FirstGroup Plc		1,785,919
	1,525,649	GlaxoSmithKline Plc		38,909,478
	35,713	Globaltrans Investment Plc Sponsored GDR		475,377
	1,033,742	Home Retail Group Plc		2,280,779
	151,972	Imperial Tobacco Group Plc		5,024,822
	219,913	Inchcape Plc		2,006,231
	59,057	InterContinental Hotels Group Plc		1,653,921
	195,705	Intermediate Capital Group Plc		1,327,735

See accompanying notes to the financial statements. 9

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	30,380	JD Wetherspoon Plc		334,383
	89,034	Lancashire Holdings Ltd		992,451
	1,216,595	Legal & General Group Plc		3,524,305
	14,342,455	Lloyds Banking Group Plc *		16,132,711
	1,825,008	Man Group Plc		2,305,652
	334,848	Marks & Spencer Group Plc		2,447,845
	60,888	Micro Focus International Plc		747,151
	151,085	National Express Group Plc		618,639
	48,253	Next Plc		3,659,767
	350,550	Prudential Plc		5,863,317
	141,152	Punch Taverns Plc *		28,264
	78,469	Reckitt Benckiser Group Plc		5,332,690
	542,876	Rio Tinto Plc		24,510,727
	186,294	Rolls-Royce Holdings Plc		3,213,142
	1,215,018	Royal Bank of Scotland Group Plc *		6,276,824
	1,609,887	Royal Dutch Shell Plc A Shares (London)		52,066,923
	834,296	Royal Dutch Shell Plc B Shares (London)		28,080,722
	186,857	Scottish & Southern Energy Plc		4,527,184
	184,450	Spirit Pub Co Plc		211,811
	364,752	Standard Life Assurance Plc		1,874,010
	2,241,423	Tesco Plc		12,737,891
	1,572,110	Thomas Cook Group Plc *		3,437,872
	495,629	TUI Travel Plc		2,646,297
	41,570	Unilever Plc		1,585,053
	14,411,833	Vodafone Group Plc		46,427,947
	510,542	William Hill Plc		3,286,136
	192,131	WPP Plc		3,559,329
		Total United Kingdom		494,176,017
		United States — 26.7%
	243,700	3M Co.		27,679,446
	837,500	Abbott Laboratories		27,913,875
	48,800	Allergan, Inc.		4,312,944
	24,200	AmerisourceBergen Corp.		1,377,464
	122,300	Amgen, Inc.		13,323,362
	47,500	Apple, Inc.		23,134,875
	122,700	Baxter International, Inc.		8,535,012
	73,200	Becton, Dickinson and Co.		7,128,216
	48,500	Bed Bath & Beyond, Inc. *		3,576,390
	392,600	Bristol-Myers Squibb Co.		16,367,494
	27,400	Cardinal Health, Inc.		1,377,672
	610,500	Chevron Corp.		73,522,515
	36,400	Church & Dwight Co., Inc.		2,160,340
	2,029,900	Cisco Systems, Inc.		47,316,969
	2,149,800	Coca-Cola Co. (The)		82,079,364
	562,800	Colgate-Palmolive Co.		32,512,956
	20,100	Copa Holdings SA - Class A		2,628,678

Shares		Description	Value ($)
		United States — continued
	76,600	Costco Wholesale Corp.		8,569,242
	29,900	CTC Media, Inc.		320,528
	129,400	CVS Caremark Corp.		7,511,670
	18,000	Danaher Corp.		1,179,360
	349,500	Eli Lilly & Co.		17,964,300
	300,700	EMC Corp.		7,752,046
	776,400	Express Scripts Holding Co. *		49,596,432
	221,900	Exxon Mobil Corp.		19,340,804
	149,000	General Mills, Inc.		7,348,680
	125,800	Gilead Sciences, Inc. *		7,581,966
	106,300	Google, Inc. - Class A *		90,025,470
	1,136,800	Hewlett-Packard Co.		25,396,112
	363,000	International Business Machines Corp.		66,164,010
	67,800	Intuit, Inc.		4,307,334
	1,063,800	Johnson & Johnson		91,922,958
	85,900	Kimberly-Clark Corp.		8,029,932
	64,100	Laboratory Corp. of America Holdings *		6,135,652
	268,100	Lorillard, Inc.		11,340,630
	19,900	Mastercard, Inc. - Class A		12,060,992
	391,500	McDonald’s Corp.		36,941,940
	14,300	McKesson Corp.		1,736,163
	506,300	Medtronic, Inc.		26,201,025
	724,200	Merck & Co., Inc.		34,247,418
	2,722,800	Microsoft Corp.		90,941,520
	192,900	Nike, Inc. - Class B		12,117,978
	2,586,800	Oracle Corp.		82,415,448
	728,400	PepsiCo, Inc.		58,075,332
	2,847,500	Pfizer, Inc.		80,327,975
	842,400	Philip Morris International, Inc.		70,289,856
	972,200	Procter & Gamble Co. (The)		75,724,658
	255,700	Qualcomm, Inc.		16,947,796
	79,800	Quest Diagnostics, Inc.		4,677,876
	114,400	Southern Copper Corp.		3,146,000
	102,600	Stryker Corp.		6,862,914
	245,700	Sysco Corp.		7,867,314
	361,100	Target Corp.		22,861,241
	77,000	TJX Cos, Inc. (The)		4,059,440
	278,500	UnitedHealth Group, Inc.		19,979,590
	50,700	Visa, Inc. - Class A		8,843,094
	804,600	Wal-Mart Stores, Inc.		58,719,708
	186,100	Walgreen Co.		8,945,827
	27,000	Yum! Brands, Inc.		1,890,540
	135,600	Zimmer Holdings, Inc.		10,724,604
		Total United States		1,562,040,947
		TOTAL COMMON STOCKS (COST $4,072,343,602)		4,131,237,754
		PREFERRED STOCKS — 1.6%

10 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Shares		Description	Value ($)
		Brazil — 1.3%
	26,200	AES Tiete SA, 12.86%		220,717
	449,790	Banco Bradesco SA, 0.24%		5,223,781
	428,310	Banco Bradesco SA ADR, 0.29%		4,976,962
	150,900	Banco do Estado do Rio Grande do Sul SA - Class B, 1.13%		903,142
	279,950	Bradespar SA, 2.09%		2,894,598
	34,800	Braskem SA - Class A *		255,974
	48,200	Cia de Bebidas das Americas ADR, 2.70%		1,676,396
	105,000	Cia Energetica de Minas Gerais Sponsored ADR, 6.77%		818,542
	6,600	Companhia de Bebidas das Americas, 3.20%		230,147
	19,700	Companhia Paranaense de Energia Class B, 1.70%		235,728
	117,000	Eletropaulo Metropolitana SA, 0.04%		357,480
	215,100	Gerdau SA ADR, 0.52%		1,544,418
	162,800	Gerdau SA, 0.46%		1,170,192
	73,200	Gol Linhas Aereas Inteligentes SA *		259,550
	666,260	Itau Unibanco Holding SA, 0.62%		8,098,049
	537,360	Itau Unibanco Holding SA ADR, 0.65%		6,539,671
	2,137,870	Itausa-Investimentos Itau SA, 0.73%		7,490,766
	59,500	Klabin SA, 4.04%		306,983
	161,800	Metalurgica Gerdau SA, 0.38%		1,435,615
	220,100	Petroleo Brasileiro SA (Petrobras), 4.67% *		1,549,773
	109,795	Suzano Papel e Celulose SA, 1.03%		432,563
	64,000	Telefonica Brasil SA, 2.96%		1,246,765
	78,400	Telefonica Brasil SA ADR, 3.43%		1,546,832
	34,200	Tim Participacoes SA ADR		674,424
	470,700	Usinas Siderrurgicas de Minas Gerais SA *		2,033,956
	1,518,900	Vale SA, 0.48%		19,798,315
	253,300	Vale SA Sponsored ADR, 2.86%		3,287,834
		Total Brazil		75,209,173
		Germany — 0.1%
	72,501	Porsche Automobil Holding SE, 3.15%		6,100,849
		Total Germany		6,100,849
		Russia — 0.1%
	1,062,224	Sberbank, 4.56%		2,229,723
	6,071,773	Surgutneftegaz OJSC, 7.01%		4,096,704
		Total Russia		6,326,427
		South Korea — 0.1%
	18,532	Hyundai Motor Co, 1.81%		1,863,022
	17,891	Hyundai Motor Co, 1.86%		1,670,288

Shares/ Par Value ($)		Description	Value ($)
	2,749	Samsung Electronics Co Ltd (Non-Voting), 0.91%		2,267,351
		Total South Korea		5,800,661
		TOTAL PREFERRED STOCKS (COST $104,029,379)		93,437,110
		INVESTMENT FUNDS — 0.1%
		United States — 0.1%
	235,129	iShares MSCI Emerging Markets ETF		8,944,307
		TOTAL INVESTMENT FUNDS (COST $8,817,625)		8,944,307
		DEBT OBLIGATIONS — 15.5%
		Canada — 0.1%
		Asset-Backed Securities — 0.1%
CAD	2,559,488	Master Asset Vehicle II, Series 09-2, Class A1, 0.78%, due 07/15/56		2,138,374
CAD	352,000	Master Asset Vehicle II, Series 09-2, Zero Coupon, Class B, due 07/15/56		270,692
CAD	150,000	Master Asset Vehicle II, Series 09-2, Zero Coupon, Class C, due 07/15/56		106,807
CAD	1,938,400	Master Asset Vehicle II, Series 09-2, Class A2, 0.78%, due 07/15/56		1,582,668
		Total Asset-Backed Securities		4,098,541
		United States — 15.4%
		Bank Loans — 0.0%
	380,447	Caesars Entertainment Corp. Term Loan B1, 3.18%, due 01/28/15		378,545
	781,215	Caesars Entertainment Corp. Term Loan B3, 3.18%, due 01/28/15		767,544
	960,000	Springleaf Financial Funding Co. Term Loan B, 5.50%, due 05/10/17		960,000
		Total Bank Loans		2,106,089
		CMBS Collateralized Debt Obligations —0.0%
	1,599,399	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.06%, due 11/23/52		1,600
		Insured Other — 0.0%
	2,500,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		489,125
		U.S. Government — 15.4%
	27,786,960	U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/27 (b)		32,719,145

See accompanying notes to the financial statements. 11

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2013 (Unaudited)

Par Value $/ Shares		Description	Value ($)
		U.S. Government — continued
	125,972,739	U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/25 (b)		147,112,476
	33,097,800	U.S. Treasury Inflation Indexed Note, 1.25%, due 04/15/14 (b)		33,477,895
	425,920,368	U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22 (b)		410,946,712
	258,618,905	U.S. Treasury Inflation Indexed Note, 1.13%, due 01/15/21 (b)		272,681,308
		Total U.S. Government		896,937,536
		TOTAL DEBT OBLIGATIONS (COST $926,027,380)		903,632,891
		SHORT-TERM INVESTMENTS — 12.8%
		Money Market Funds — 6.1%
	355,837,554	State Street Institutional Treasury Money Market Fund - Institutional Class, 0.00% (c)		355,837,554
		U.S. Government — 6.7%
	86,000,000	U.S. Treasury Bill, 0.04%, due 02/06/14 (d) (e)		85,985,122
	50,000,000	U.S. Treasury Bill, 0.02%, due 11/14/13 (d) (e)		49,998,250
	150,000,000	U.S. Treasury Bill, 0.07%, due 04/03/14 (d) (e)		149,940,300
	107,000,000	U.S. Treasury Bill, 0.08%, due 05/29/14 (e)		106,936,228
		Total U.S. Government		392,859,900
		TOTAL SHORT-TERM INVESTMENTS (COST $748,590,558)		748,697,454
		TOTAL INVESTMENTS — 100.7% (Cost $5,859,808,544)		5,885,949,516
		Other Assets and Liabilities (net) — (0.7%)		(39,489,172	)
		TOTAL NET ASSETS — 100.0%		$5,846,460,344

12 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

A summary of outstanding financial instruments at August 31, 2013 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/03/2013	BCLY		BRL	192,933,949		USD	87,427,021	$	7,114,395
10/03/2013	BOA		BRL	96,102,757		USD	42,196,600		2,191,900
09/03/2013	BCLY		CAD	104,787,523		USD	102,594,100		3,109,126
09/03/2013	MSCI		CAD	52,387,487		USD	51,290,787		1,554,257
11/05/2013	BCLY		CAD	77,812,625		USD	74,134,798		372,149
11/05/2013	DB		CAD	79,362,385		USD	75,606,698		374,951
10/15/2013	BCLY		CHF	20,047,627		USD	21,642,322		89,321
10/15/2013	GS		CHF	9,793,210		USD	10,599,228		70,648
10/15/2013	JPM		CHF	10,169,872		USD	10,977,071		43,545
10/15/2013	MSCI		CHF	19,933,805		USD	21,542,691		112,060
10/22/2013	BBH		EUR	93,014,000		USD	124,274,145		1,321,464
10/22/2013	BCLY		EUR	209,935,378		USD	278,246,575		738,701
10/22/2013	DB		EUR	69,874,791		USD	92,648,732		283,143
10/22/2013	MSCI		EUR	139,438,518		USD	184,842,913		522,923
09/17/2013	BCLY		GBP	104,809,462		USD	161,684,187		(722,730	)
09/17/2013	JPM		GBP	96,176,904		USD	147,642,200		(1,388,185	)
09/17/2013	MSCI		GBP	93,182,487		USD	145,861,101		1,470,698
09/27/2013	BOA		IDR	211,216,335,000		USD	20,373,911		1,098,742
09/25/2013	BCLY		JPY	9,432,005,567		USD	99,315,423		3,242,908
09/25/2013	GS		JPY	8,105,537,841		USD	80,807,300		(1,754,081	)
09/25/2013	JPM		JPY	9,825,005,798		USD	103,392,055		3,316,519
09/25/2013	MSCI		JPY	9,881,587,511		USD	103,974,027		3,322,161
11/01/2013	BCLY		KRW	95,274,609,847		USD	84,952,840		(564,144	)
11/01/2013	JPM		KRW	95,332,127,740		USD	85,023,079		(545,532	)
09/11/2013	BCLY		NZD	38,705,442		USD	30,851,527		954,166
09/11/2013	DB		NZD	38,557,371		USD	30,747,190		964,204
09/11/2013	JPM		NZD	36,139,630		USD	28,132,100		216,657
09/25/2013	BCLY		RUB	3,183,304,588		USD	96,648,033		1,526,409
09/23/2013	BCLY		TWD	1,668,620,855		USD	55,881,475		105,693

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
09/03/2013	BCLY		USD	74,248,688		CAD	77,812,625	$	(373,605	)
09/03/2013	DB		USD	75,723,131		CAD	79,362,385		(376,710	)
09/11/2013	JPM		USD	38,066,000		NZD	48,976,178		(235,183	)
10/01/2013	JPM		USD	5,913,197		SGD	7,424,652		(92,475	)
11/22/2013	DB		USD	38,930,379		CNY	240,694,857		227,753
								$	28,291,848

Futures Contracts

Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
115	DAX	September 2013	$	30,779,138	$	(322,094	)
21	FTSE/MIB	September 2013		2,306,929		(62,837	)
518	S&P 500 E-Mini Index	September 2013		42,250,670		74,250
30	SPI 200	September 2013		3,401,770		29,606
46	TOPIX	September 2013		5,131,478		(168,894	)
			$	83,869,985	$	(449,969	)
Sales
62	S&P Toronto 60	September 2013	$	8,538,591	$	(302,299	)
			$	8,538,591	$	(302,299	)

Written Options

Index Options

Contract Number			Expiration Date	Description	Premiums		Market Value
Put	383	EUR	9/20/2013	Euro STOXX 50, Strike 2,750	$	249,681	$	(328,001	)
Put	402	EUR	9/20/2013	Euro STOXX 50, Strike 2,800		282,858		(495,716	)
Put	2,452	EUR	9/20/2013	Euro STOXX 50, Strike 2,825		1,287,641		(3,632,341	)
Put	25	GBP	9/20/2013	FTSE 100, Strike 6,625		57,519		(84,217	)
Put	341	GBP	9/20/2013	FTSE 100, Strike 6,475		513,603		(682,672	)
Put	18	GBP	9/20/2013	FTSE 100, Strike 6,500		29,640		(39,679	)
Put	172	HKD	9/27/2013	Hang Seng, Strike 21,600		532,748		(499,291	)
Put	466	JPY	9/13/2013	Nikkei 225, Strike 13,625		1,919,884		(2,425,861	)
Put	50	JPY	9/13/2013	Nikkei 225, Strike 14,000		249,139		(399,074	)
Put	818	USD	9/21/2013	S&P 500, Strike 1,660		2,155,010		(3,390,610	)
Put	6	USD	9/21/2013	S&P 500, Strike 1,635		12,822		(15,000	)

See accompanying notes to the financial statements. 13

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2013 (Unaudited)

Index Options (continued)

Contracts Number			Expiration Date	Description	Premiums		Market Value
Put	3	USD	9/21/2013	S&P 500, Strike 1,685	$	12,231	$	(17,100	)
Put	48	USD	9/21/2013	S&P 500, Strike 1,690		136,654		(311,520	)
Put	37	USD	9/21/2013	S&P 500, Strike 1,705		99,788		(288,970	)
Put	31	AUD	09/19/2013	S&P ASX 200, Strike 5,000		27,183		(9,177	)
Put	64	AUD	09/19/2013	S&P ASX 200, Strike 5,100		63,089		(38,052	)
Put	204	CAD	09/20/2013	S&P TSX 60, Strike 710		24,114		(5,132	)
Put	6	CAD	09/20/2013	S&P TSX 60, Strike 720		768		(453	)
Put	237	CAD	09/20/2013	S&P TSX 60, Strike 725		36,025		(22,051	)
Put	2,320	CAD	09/20/2013	S&P TSX 60, Strike 730		237,184		(267,616	)
Put	287	AUD	09/19/2013	SPI 200, Strike 5,150		255,430		(237,832	)
Put	224	AUD	09/19/2013	SPI 200, Strike 5,125		186,208		(164,721	)
Put	22	AUD	09/19/2013	SPI 200, Strike 5,075		25,494		(10,976	)
					$	8,394,713	$	(13,366,062	)

As of August 31, 2013, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

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

ADR - American Depositary Receipt

CDO - Collateralized Debt Obligation

CMBS - Commercial Mortgage Backed Security

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

LIBOR - London Interbank Offered Rate

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

NVDR - Non-Voting Depository Receipt

REIT - Real Estate Investment Trust

* Non-income producing security.

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

(b) Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

(c) The rate disclosed is the 7 day net yield as of August 31, 2013. Note: Yield rounds to 0.00%.

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

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

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co.           International PLC

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CNY - Chinese Yuan Renminbi

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

IDR - Indonesian Rupiah

JPY - Japanese Yen

KRW - South Korean Won

NZD - New Zealand Dollar

RUB - Russian Ruble

SGD - Singapore Dollar

TWD - Taiwan Dollar

USD - United States Dollar

14 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Statement of Assets and Liabilities — August 31, 2013 (Unaudited)

Assets:
Investments, at value (Note 2)(a)	$	5,885,949,516
Foreign currency, at value (Note 2)(b)		18,040,361
Receivable for investments sold		2,071,096
Cash		51,551
Receivable for Fund shares sold		25,080,406
Dividends and interest receivable		13,007,829
Foreign taxes receivable		2,026,493
Unrealized appreciation on open forward currency contracts (Note 4)		34,344,493
Due from broker (Note 2)		4,422,126
Receivable for expenses reimbursed and/or waived by Manager (Note 5)		329,468
Total assets		5,985,323,339
Liabilities:
Payable for investments purchased		117,917,342
Accrued capital gain taxes payable (Note 2)		43,063
Payable for variation margin on open futures contracts (Note 4)		750,791
Unrealized depreciation on open forward currency contracts (Note 4)		6,052,645
Written options outstanding, at value (Note 4)(c)		13,366,062
Payable to agents unaffiliated with the Manager		372
Payable to Trustees and related expenses		2,294
Accrued expenses		730,426
Total liabilities		138,862,995
Net assets	$	5,846,460,344
Net assets attributable to:
Core shares	$	5,846,460,344
Shares outstanding:
Core shares		501,663,495
Net asset value per share:
Core shares	$	11.65
(a)      Cost of investments – unaffiliated issuers:	$	5,859,808,544
(b)      Cost of foreign currency:	$	17,996,666
(c)      Premiums on written options:	$	8,394,713

See accompanying notes to the financial statements. 15

GMO Implementation Fund

(A Series of GMO Trust)

Statement of Operations — Six Months Ended August 31, 2013 (Unaudited)

Investment Income:
Dividends (Net of withholding tax)(a)	$	53,045,209
Interest		2,533,757
Total investment income		55,578,966
Expenses:
Audit and tax fees		53,084
Custodian, fund accounting agent and transfer agent fees		1,694,272
Legal fees		30,620
Trustees fees and related expenses (Note 5)		17,287
Miscellaneous		17,623
Total expenses		1,812,886
Fees and expenses reimbursed by Manager (Note 5)		(1,773,116	)
Expense reductions (Note 2)		(2	)
Net expenses		39,768
Net investment income (loss)		55,539,198
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		52,356,548
Futures contracts		(2,642,380	)
Written options		(168,887	)
Swap contracts		2,399,249
Foreign currency, forward contracts and foreign currency related transactions		15,727,344
Net realized gain (loss)		67,671,874
Change in net unrealized appreciation (depreciation) on:
Investments (Net of foreign capital gains tax) (Note 2)(b)		(86,200,644	)
Futures contracts		1,019,570
Written options		(6,041,429	)
Swap contracts		(1,052,432	)
Foreign currency, forward contracts and foreign currency related transactions		17,819,714
Net unrealized gain (loss)		(74,455,221	)
Net realized and unrealized gain (loss)		(6,783,347	)
Net increase (decrease) in net assets resulting from operations	$	48,755,851
(a)    Withholding tax:	$	4,234,503
(b)    Foreign capital gains tax:	$	43,063

16 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Statements of Changes in Net Assets

	Six Months Ended August 31, 2013 (Unaudited)			Period from March 1, 2012 (commencement of operations) through February 28, 2013
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	55,539,198		$	22,484,583
Net realized gain (loss)		67,671,874			40,725,273
Change in net unrealized appreciation (depreciation)		(74,455,221	)		123,119,782
Net increase (decrease) in net assets from operations		48,755,851			186,329,638
Net share transactions (Note 9):
Core Class		3,326,376,915			2,284,997,940
Total increase (decrease) in net assets		3,375,132,766			2,471,327,578
Net assets:
Beginning of period		2,471,327,578			—
End of period	$	5,846,460,344		$	2,471,327,578

See accompanying notes to the financial statements. 17

GMO Implementation Fund

(A Series of GMO Trust)

Financial Highlights

(For a share outstanding throughout each period)

	Core Shares
	Six Months Ended August 31, 2013 (Unaudited)				Period from March 1, 2012 (commencement of operations) through February 28, 2013
Net asset value, beginning of period		$	11.30			$	10.00
Income (loss) from investment operations:
Net investment income (loss)†			0.17				0.24
Net realized and unrealized gain (loss)			0.18				1.06
Total from investment operations			0.35				1.30
Net asset value, end of period		$	11.65			$	11.30
Total Return(a)			3.10	%**			13.00	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	5,846,460			$	2,471,328
Net operating expenses to average daily net assets			0.00	%(b)(c)*			0.00	%(b)
Net investment income (loss) to average daily net assets			2.91	%*			2.21	%
Portfolio turnover rate			40	%**			66	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets			0.09	%*			0.23	%

^(a)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(b)  Ratio is less than 0.01%.

^(c)  The net expense ratio does not include the effect of expense reductions (Note 2).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

18 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Notes to Financial Statements

August 31, 2013 (Unaudited)

1. Organization

Implementation Fund (the “Fund”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”).

The Fund may invest in U.S. Treasury Fund and unaffiliated money market funds.

The following table provides information about the Fund’s principal investment objectives and benchmarks (if any):

Benchmark	Principal Investment Objective
Not Applicable	Positive total return, not “relative” return

The Fund currently limits subscriptions.

2. Significant accounting policies

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

Portfolio valuation

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. Cleared derivatives are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. 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 most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular 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 Fund classifies such securities as Level 3 (levels defined below). For the period ended August 31, 2013, 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 Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that close 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 those derivatives closes prior to the close of the NYSE). In those cases, the value will generally 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 was valued using fair value inputs obtained from that independent pricing service as of August 31, 2013. 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 Level 2 (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

19

GMO Implementation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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. 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.

“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 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, fair valued using inputs obtained from an independent pricing service and presented in the table below on a net basis, or 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 August 31, 2013 is as follows:

Securities and Derivatives

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
<1%		42%		<1%

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.

Changes in valuation techniques may result in transfers into 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 the 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 (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 August 31, 2013, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

The three levels are defined as follows:

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 60 days or less valued at amortized cost; certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; 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.

20

GMO Implementation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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 valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; 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 equity securities valued based on the last traded exchange price adjusted for the movement in a securities index; certain securities that are valued using a price from a comparable security related to the same issuer; 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 August 31, 2013:

Description	Level 1		Level 2		Level 3			Total
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	64,662,876	$	—		$	64,662,876
Austria		—		6,862,719		—			6,862,719
Belgium		—		11,349,484		—			11,349,484
Brazil		74,750,658		—		—			74,750,658
Canada		20,812,036		—		—			20,812,036
Czech Republic		—		8,861,539		—			8,861,539
Denmark		—		2,802,408		—			2,802,408
Egypt		—		8,474,890		—			8,474,890
Finland		—		11,909,135		—			11,909,135
France		—		252,311,494		—			252,311,494
Germany		—		94,495,735		—			94,495,735
Greece		—		4,241,121		—			4,241,121
Hong Kong		—		26,322,876		—			26,322,876
Hungary		—		744,188		—			744,188
India		9,651,674		34,538,085		1,042,379			45,232,138
Indonesia		1,308,218		36,500,013		—			37,808,231
Ireland		—		2,885,437		—			2,885,437
Israel		—		4,453,731		—			4,453,731
Italy		—		110,829,475		—			110,829,475
Japan		—		382,957,951		—			382,957,951
Malaysia		—		4,631,026		—			4,631,026
Mexico		14,113,119		—		—			14,113,119
Netherlands		2,012,948		32,144,379		0	*		34,157,327
New Zealand		—		5,122,650		—			5,122,650
Norway		—		10,624,262		—			10,624,262
Peru		5,878,697		—		—			5,878,697
Philippines		361,095		6,390,500		—			6,751,595
Poland		—		14,594,712		—			14,594,712
Portugal		—		5,531,192		—			5,531,192
Russia		4,327,220		111,455,734		—			115,782,954
Singapore		—		17,223,718		—			17,223,718
South Africa		1,636,810		37,070,511		—			38,707,321
South Korea		5,933,349		223,846,268		—			229,779,617
Spain		—		136,313,584		—			136,313,584
Sri Lanka		—		68,955		—			68,955
Sweden		—		18,862,041		—			18,862,041
Switzerland		—		80,294,913		—			80,294,913
Taiwan		12,748,886		96,669,978		—			109,418,864
Thailand		—		31,880,002		715,464			32,595,466
Turkey		148,708		21,651,947		—			21,800,655
United Kingdom		—		494,176,017		—			494,176,017

21

GMO Implementation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Asset Valuation Inputs (continued)
United States	$	1,562,040,947		$	—		$	—	$	1,562,040,947
TOTAL COMMON STOCKS		1,715,724,365			2,413,755,546			1,757,843		4,131,237,754
Preferred Stocks
Brazil		75,209,173			—			—		75,209,173
Germany		—			6,100,849			—		6,100,849
Russia		—			6,326,427			—		6,326,427
South Korea		—			5,800,661			—		5,800,661
TOTAL PREFERRED STOCKS		75,209,173			18,227,937			—		93,437,110
Investment Funds
United States		8,944,307			—			—		8,944,307
TOTAL INVESTMENT FUNDS		8,944,307			—			—		8,944,307
Debt Obligations
Canada		—			—			4,098,541		4,098,541
United States		—			896,937,536			2,596,814		899,534,350
TOTAL DEBT OBLIGATIONS		—			896,937,536			6,695,355		903,632,891
Short-Term Investments		748,697,454			—			—		748,697,454
Total Investments		2,548,575,299			3,328,921,019			8,453,198		5,885,949,516
Derivatives**
Forward Currency Contracts
Foreign currency risk		—			34,344,493			—		34,344,493
Futures Contracts
Equity risk		74,250			29,606			—		103,856
Total	$	2,548,649,549		$	3,363,295,118		$	8,453,198	$	5,920,397,865
Liability Valuation Inputs
Derivatives**
Forward Currency Contracts
Foreign currency risk	$	—		$	(6,052,645	)	$	—	$	(6,052,645	)
Futures Contracts
Equity risk		(302,299	)		(553,825	)		—		(856,124	)
Written Options
Equity risk		(4,318,452	)		(9,047,610	)		—		(13,366,062	)
Total	$	(4,620,751	)	$	(15,654,080	)	$	—	$	(20,274,831	)

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.

* Represents the interest in securities that were determined to have a fair value of zero at August 31, 2013.

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

The underlying funds, if any, held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ Notes to Financial Statements.

For the period ended August 31, 2013, there were no material transfers between Level 1 and Level 2.

22

GMO Implementation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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

	Balances as of February 28, 2013		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 August 31, 2013			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2013
Common Stock
India	$	1,107,369	$	1,085,232	$	(590,397	)	$	—	$	(124,571	)	$	(435,254	)	$	—	$	—	$	1,042,379		$	(455,813	)
Netherlands		93,629		—		—			—		—			(93,629	)		—		—		0	**		(93,629	)
Thailand		1,300,860		1,216,673		(1,831,817	)		—		312,026			(282,278	)		—		—		715,464			(178,187	)
Debt Obligations
Asset-Backed Securities
Canada		4,156,599		—		(106	)		8,155		9			(66,116	)		—		—		4,098,541			(66,116	)
United States		397,099		—		—			17,718		—			75,908			—		—		490,725			75,908
Bank Loans
United States		4,983,209		—		(2,838,875	)		5,489		6,215			(49,949	)		—		—		2,106,089			(51,238	)
Total	$	12,038,765	$	2,301,905	$	(5,261,195	)	$	31,362	$	193,679		$	(851,318	)	$	—	$	—	$	8,453,198		$	(769,075	)

* The Fund accounts for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period.

** Represents the interest in securities that were determined to have a fair value of zero at August 31, 2013.

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 August 31, 2013 were as follows:

Level 3 securities		Level 3 derivatives
	<1%		—

Cash

Cash and Foreign Currency, if any, on the Statement of Assets and Liabilities consists of cash balances held with the custodian.

Due to/from broker

Due to/from broker in the Statement of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. Dollars at the close of regular trading on the NYSE, generally at 4:00 pm 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 on the Statement of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Loan agreements and participations

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

23

GMO Implementation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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.

Repurchase agreements

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

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at an agreed upon price and date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

Inflation-indexed bonds

The Fund may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that reflects inflation in the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The value of inflation-indexed bonds normally changes when real interest rates change. 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 change in the same proportion as changes in nominal interest rates and short term increases in inflation may lead to a decline in their value. Coupon payments received by the Fund from inflation-indexed bonds are included in the Fund’s gross income for the period in which they accrue. In addition, any increase in the principal amount of an inflation-indexed bond constitutes taxable ordinary income to investors, 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.

Taxes and distributions

For U.S. federal income tax purposes, the Fund is disregarded as an entity separate from its sole shareholder, GMO Benchmark-Free Allocation Fund (“BFAF”), another series of the Trust. BFAF intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. BFAF is treated as owning Implementation Fund’s assets directly for U.S. federal income tax purposes. As such, any income, gain, loss, deduction or other tax items arising in respect of the Fund’s assets will be treated as if they are realized or incurred, as applicable, directly by BFAF. The Fund may make distributions to BFAF in the sole discretion of the Trustees (or their delegates).

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2013, if any, are reflected as part of Net realized gain (loss) in the Statement of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.

As of August 31, 2013, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:

Aggregate Cost ($)	Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
5,877,290,197		167,996,493		(159,337,174)		8,659,319

24

GMO Implementation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

The Fund is subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Fund’s understanding of the prevailing tax rules of the non-U.S. markets in which it invests. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund is taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and/or the tax positions it has adopted.

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds.

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s transfer agent fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains in a State Street transfer agent account. Earnings allowances are reported as a reduction of expenses in the Statement of Operations. Prior to December 31, 2012, State Street’s custodian fees may have been reduced by an earnings allowance calculated on the average daily cash balance the Fund maintained in a State Street custodial account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2013, any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

3. Investment and other risks

Investing in mutual funds involves many risks. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section 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:

Equities — The Fund runs the risk that the market prices of its equity investments will decline. The market prices of equities may decline for reasons that directly relate to the issuing company, such as poor management performance or reduced demand for its goods or services. They 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. Equities generally have significant price volatility, and the market prices of equities can decline in a rapid or unpredictable manner.

The Fund invests a substantial portion of its assets in equities and, as a result, declines in stock market prices generally are likely to reduce the net asset values of the Fund’s shares.

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(A Series of GMO Trust)

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August 31, 2013 (Unaudited)

If the Fund purchases equities 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 or will decline for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments.

The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

Fixed Income Investments — 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 interest rates and widening credit spreads, or decreased liquidity stemming from 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. Some fixed income securities 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 fixed income security. When interest rates rise, these securities also may be repaid more slowly than anticipated, which could cause the market price of the Fund’s investment to decrease. 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 value, exposing the Fund to the risk that the price of which it sells them will be less than the value placed on them when they were held by the Fund. See “Credit Risk” and “Liquidity Risk” below for more information about these risks.

A risk of the Fund’s investments in fixed income securities is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases 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 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.

The market 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 market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities. The market 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. In addition, some jurisdictions may limit the Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).

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. investments, (ii) transactions in those investments and (iii) the repatriation of proceeds generated from the sale of those investments. The Fund may seek to collect a refund on taxes paid to a non-U.S. country. In those cases, all or a portion of those taxes could

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GMO Implementation Fund

(A Series of GMO Trust)

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August 31, 2013 (Unaudited)

ultimately be recovered by the Fund. However, the recovery process could take several years and the Fund will incur expenses in its efforts to collect the refund, which will reduce the benefit of any recovery. The Fund’s efforts to collect a refund may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. The Fund’s decision to pursue a refund is in its sole discretion, and it may decide not to pursue a refund, even if eligible.

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 Fund’s 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. 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.

• 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, errors or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund’s strategies. 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 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

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GMO Implementation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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. In addition to these risks, the Fund is 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, exposing the Fund to the risk that the price at which it sells them will be less than the value placed on them when they were held by 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 market prices 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 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. Derivatives include futures, non-U.S. currency contracts, swap contracts, 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 consent of 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, the Fund often will not receive the collateral the day the collateral is called for.

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 in which it has invested.

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.

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.

Swap contracts 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

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GMO Implementation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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 Fund’s use of derivatives may be subject to one or more special tax rules and could generate additional taxable income for shareholders.

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 (and many of the rules are not yet final), its ultimate impact remains unclear.

Under recently adopted rules and regulations, transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Fund is not a member of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Fund will hold cleared derivatives through accounts at clearing members. In cleared derivatives transactions, the Fund will make payments (including margin payments) to and receive payments from a clearing house through its accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In many ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements. For example, the Fund may be required to provide more margin for cleared derivatives transactions than for bilateral derivatives transactions. Also, in contrast to a bilateral derivatives transaction, following a period of notice to the Fund, a clearing member generally can require termination of an existing cleared derivatives transaction at any time or an increase in margin requirements above the margin that the clearing member required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions or to terminate those transactions at any time. Any increase in margin requirements or termination of existing cleared derivatives transactions by the clearing member or the clearing house could interfere with the ability of the Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose the Fund to greater credit risk to its clearing member, because (as described under “Counterparty Risk” below) margin for cleared derivatives transactions in excess of a clearing house’s margin requirements typically is held by the clearing member. Also, the Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Fund and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Fund is still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of the transaction, including loss of an increase in the value of the transaction and/or loss of hedging protection. In addition, the documentation governing the relationship between the Fund and clearing members is drafted by the clearing members and generally is less favorable to the Fund than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Fund in favor of the clearing member for losses the clearing member incurs as the Fund’s clearing member and typically does not provide the Fund any remedies if the clearing member defaults or becomes insolvent.

These and other new rules and regulations could, among other things, further 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, increasing margin or capital requirements, or otherwise limiting liquidity or increasing transaction costs. These regulations are new and evolving, so their potential impact on the Fund and the financial system are not yet known. While the new regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that the new clearing mechanisms will achieve that result, and in the meantime, as noted above, central clearing exposes the Fund to new kinds of risks and costs.

• 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.

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(A Series of GMO Trust)

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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.

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).

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security 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, guarantor’s or obligor’s failure to meet its payment obligations or the downgrading of its credit rating. This 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.

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. In addition, payment of principal of fixed income securities guaranteed by the U.S. government can be delayed because the guarantee generally only requires payment upon maturity of the securities. 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 fixed income securities issued or guaranteed by emerging countries.

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.

Securities issued by the U.S. Treasury historically have presented minimal credit risk. However, recent events have led to a downgrade in the long-term U.S. credit rating by at least one major rating agency and have introduced greater uncertainty about the ability of the U.S. to repay its obligations. A further credit rating downgrade or a U.S. credit default could decrease the value and increase the volatility of the Fund’s investments.

As described under “Market Risk — Asset-Backed Securities” below, 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” below.

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” above for more information regarding risks associated with the use of credit default swaps.

The extent to which the market 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 market price of its securities could decline much more than would be predicted by a change in their yield relative 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,

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(A Series of GMO Trust)

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August 31, 2013 (Unaudited)

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.

Market Risk — Asset-Backed Securities — 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” 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 reduction in the payment stream the Manager expected the Fund to receive at the time the Fund 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” above 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 an entity that generated the assets underlying an asset-backed security is likely to result in a decline in the market price of that security, 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. When interest rates rise, these obligations also may be repaid more slowly than anticipated, which could cause the market price of the Fund’s investment to decrease.

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.

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.

• COUNTERPARTY RISK. To the extent the Fund enters into contracts with counterparties, such as repurchase or reverse repurchase agreements or 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. The Fund is not subject to any limits on its exposure to any one counterparty nor to a requirement that counterparties maintain a specific rating by a

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nationally recognized rating organization 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 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 a 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 longer time that events may occur that 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 contracts, it is subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts 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.

Counterparty risk with respect to derivatives will be affected by new rules and regulations affecting the derivatives market. As described under “Derivatives Risk” above, some derivatives transactions are required to be centrally 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 derivatives transaction. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. A clearing member is obligated by contract and by applicable regulation to segregate all funds received from customers with respect to cleared derivatives transactions from the clearing member’s proprietary assets. However, all funds and other property received by a clearing member from its customers with respect to cleared derivatives are generally held by the clearing member on a commingled basis in an omnibus account, and the clearing member may invest those funds in certain instruments permitted under the applicable regulations. Therefore, the Fund might not be fully protected in the event of the bankruptcy of the Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing member’s customers for a relevant account class. Also, the clearing member is required to transfer to the clearing house the amount of margin required by the clearing house for cleared derivatives, which amounts are generally held in an omnibus account at the clearing house for all customers of the clearing member. Regulations promulgated by the Commodities Futures Trading Commission require that the clearing member notify the clearing house of the initial margin provided by the clearing member to the clearing house that is attributable to each customer. However, if the clearing member does not accurately report the Fund’s initial margin, the Fund is subject to the risk that a clearing house will use the Fund’s assets held in an omnibus account at the clearing house to satisfy payment obligations of a defaulting customer of the clearing member to the clearing house. In addition, clearing members generally provide the clearing house the net amount of variation margin required for cleared swaps for all of its customers in the aggregate, rather than individually for each customer. The Fund is therefore subject to the risk that a clearing house will not make variation margin payments owed to the Fund if another customer of the clearing member has suffered a loss and is in default, and the risk that the Fund will be required to provide additional variation margin to the clearing house before the clearing house will move the Fund’s cleared derivatives transactions to another clearing member. In addition, if a clearing member does not comply with the applicable regulations or its agreement with the Fund, or in the event of fraud or misappropriation of customer assets by a clearing member, the Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the margin held by the clearing member.

• 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 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

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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. The market price of options written by the Fund will be affected by many factors, including changes in the market price or 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 relevant stock market and underlying securities; and the time remaining before an option’s expiration. The market price of an option also may be adversely affected if the market for the option 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 because 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 write 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 (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While the Fund has greater flexibility to tailor an OTC option, 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 writing put and call options are highly specialized activities and entail greater than ordinary market risks.

• 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 Real Estate Investment Trusts (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 1940 Act.

• 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. Securities markets may be susceptible to market manipulation (e.g., the potential manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or adversely affect the value of investments traded in these markets, including investments of the Fund. While the U.S. government has honored its credit obligations continuously for the last 200 years, it remains possible that the U.S. could default on its obligations. While it is impossible to predict the consequences of such an unprecedented event, it is likely that a default by the U.S. would be highly disruptive to the U.S. and global securities markets and could significantly impair the value of the Fund’s investments. Similarly, political events within the U.S. at times have resulted, and may in the future result, in a shutdown of government services, which could negatively affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. The uncertainty surrounding the sovereign debt of a significant number of European Union countries, 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, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could negatively impact the Fund. 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

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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 “Investment 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 market disruption may adversely affect the orderly functioning of the securities markets and 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. To the extent that the Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events could have a disproportionate impact on the Fund.

• 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 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 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. The Fund is subject to increased leveraging risk and other investment risks described in this “Investments and other risks” section to the extent it 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), or in securities from issuers with high positive correlations to one another (such as U.S. Treasury Fund’s investments in securities issued by the U.S. Treasury and other fixed income securities that are backed by the full faith and credit of the U.S. government), 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 price 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” above.

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 country are vulnerable to events affecting other companies 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 are 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 in) 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, by necessitating a sale of portfolio securities, accelerate the realization of taxable gains to shareholders. 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 ETFs (for purposes of this risk disclosure, “underlying Funds”), and is exposed to the risk that the underlying Funds will not perform as expected.

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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.

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. The Fund is a “non-diversified investment company” under the 1940 Act. 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 risks, 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.

4. Derivative financial instruments

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

The Fund may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero) or the investment exposures of GMO Benchmark-Free Allocation Fund (“BFAF”). 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 or BFAF’s portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its or BFAF’s 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 or BFAF 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 those stocks) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting investment exposures, the Fund also may use currency derivatives, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its or BFAF’s portfolio. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

The Fund may 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 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 Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

Certain derivatives transactions used by the Fund, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Fund holds cleared derivatives transactions through clearing members, who are members of derivatives clearing houses. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing members generally can require termination of existing cleared derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of the Fund to pursue its investment strategy. Also, the Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that the Manager expects to be cleared), and no

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clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

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 “Investment and other risks” above for further information.

The Fund held derivatives during the period ended August 31, 2013. 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
Options (Written)
Used written put option contracts as substitute for direct equity investments	X
Swap contracts
Adjust exposure to certain securities markets	X
Adjust exposure to certain companies and industries	X
To hedge some or all of the broad market exposure of the assets in which the Fund invests	X
Rights and/or warrants
Received as a result of corporate actions	X

Forward currency contracts

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

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

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if 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, 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 as recorded on the Statement of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing

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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.

Options

The Fund may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. 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 in the Statement of Operations.

For the period ended August 31, 2013, investment activity in options contracts written by the Fund was as follows:

	Puts								Calls
	Principal Amount of Contracts		Number of Contracts			Premiums			Principal Amount of Contracts		Number of Contracts		Premiums
Outstanding, beginning of period		—		4,383		$	3,763,138			—		—	$	—
Options written		—		41,135			42,574,258			—		—		—
Options bought back		—		(13,389	)		(15,327,882	)		—		—		—
Options expired		—		(23,484	)		(22,474,299	)		—		—		—
Options exercised		—		(29	)		(140,502	)		—		—		—
Outstanding, end of period		—		8,616		$	8,394,713			—		—	$	—

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 (and if 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, 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 Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap contracts

The Fund may enter into various types of swap contracts, 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 contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, the Fund and/or the swap counterparty may post or receive cash or securities as collateral.

37

GMO Implementation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

Initial upfront payments received or made upon entering into a swap contract 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 contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statement of Operations.

Interest rate swap contracts 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 contracts 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 futures 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 contract, 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 contracts 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 contracts 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 contracts 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 Fund prices its OTC swap contracts 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 in the Statement of Operations. Gains or losses are realized upon termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

The values assigned to swap contracts may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the values assigned to the swap contract. 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 contracts outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in 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

38

GMO Implementation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

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.

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 Fund (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 valuations of derivative instruments categorized by risk exposure:

The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of August 31, 2013 and Statement of Operations for the period ended August 31, 2013^:

	Credit Contracts		Commodity Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Asset:
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—	$	—		$	34,344,493		$	—	$	—	$	34,344,493
Unrealized Appreciation on Futures Contracts*		—		—		103,856			—			—		—		103,856
Total	$	—	$	—	$	103,856		$	34,344,493		$	—	$	—	$	34,448,349
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	103,856		$	34,344,493		$	—	$	—	$	34,448,349
Liability:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—		$	(6,052,645	)	$	—	$	—	$	(6,052,645	)
Unrealized Depreciation on Futures Contracts*		—		—		(856,124	)		—			—		—		(856,124	)
Written Options, at value		—		—		(13,366,062	)		—			—		—		(13,366,062	)
Total	$	—	$	—	$	(14,222,186	)	$	(6,052,645	)	$	—	$	—	$	(20,274,831	)
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	(14,222,186	)	$	(6,052,645	)	$	—	$	—	$	(20,274,831	)
Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	—	$	56,459		$	—		$	—	$	—	$	56,459
Forward Currency Contracts		—		—		—			17,067,601			—		—		17,067,601
Futures Contracts		—		—		(2,642,380	)		—			—		—		(2,642,380	)
Swap Contracts		—		—		2,399,249			—			—		—		2,399,249
Written Options		—		—		(168,887	)		—			—		—		(168,887	)
Total	$	—	$	—	$	(355,559	)	$	17,067,601		$	—	$	—	$	16,712,042
Change in Appreciation (Depreciation) on:
Forward Currency Contracts	$	—	$	—	$	—		$	17,751,783		$	—	$	—	$	17,751,783
Futures Contracts		—		—		1,019,570			—			—		—		1,019,570
Swap Contracts		—		—		(1,052,432	)		—			—		—		(1,052,432	)
Written Options		—		—		(6,041,429	)		—			—		—		(6,041,429	)
Total	$	—	$	—	$	(6,074,291	)	$	17,751,783		$	—	$	—	$	11,677,492

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

^ Because the Fund recognizes changes in value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

* The table includes cumulative appreciation/depreciation of futures and cleared swap contracts as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts is reported within the Statement of Assets and Liabilities.

The Fund is party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some over-the-counter derivative transactions, repurchase agreements and reverse repurchase agreements between the parties. The Master Agreements may include collateral posting terms and

39

GMO Implementation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset obligations. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on the Fund’s operations. For more information about other uncertainties and risks, see the Investment and Other Risks note.

For financial reporting purposes, on the Statement of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Fund is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Fund is noted in the Schedule of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Fund. For financial reporting purposes, the Fund’s Statement of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they that are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Fund at August 31, 2013, if any.

The tables above present the Fund’s derivative assets and liabilities by type of financial instrument. The following tables present the Fund’s OTC derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements and net of the related collateral received or pledged by the Fund as of August 31, 2013:

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	3,290,642	$	—	$	—		$	3,290,642
Barclays Bank PLC		17,252,868		—		(1,660,479	)		15,592,389
Brown Brothers Harriman & Co.		1,321,464		—		—			1,321,464
Deutsche Bank AG		1,850,051		—		(376,710	)		1,473,341
Goldman Sachs International		70,648		—		70,648			—
JPMorgan Chase Bank, N.A.		3,576,721		—		(2,261,375	)		1,315,346
Morgan Stanley & Co. International PLC		6,982,099		—		—			6,982,099
Total	$	34,344,493	$	—	$	(4,227,916	)	$	29,975,281
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank PLC	$	1,660,479	$	—	$	1,660,479		$	—
Deutsche Bank AG		376,710		—		376,710			—
Goldman Sachs International		1,754,081		—		(70,648	)		1,683,433
JPMorgan Chase Bank, N.A.		2,261,375		—		2,261,375			—
Total	$	6,052,645	$	—	$	4,227,916		$	1,683,433

40

GMO Implementation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

The following tables present the Fund’s exchange-traded or cleared derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements and net of the related collateral received by the Fund as of August 31, 2013:

Counterparty	Gross Derivative Liabilities in the Statement of Assets and Liabilities		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Goldman Sachs & Co.	$	750,791	$	(750,791	)	$	—	$	—	*
Morgan Stanley & Co. LLC		13,366,062		(13,366,062	)		—		—	*
Total	$	14,116,853	$	(14,116,853	)	$	—	$	—

* In some instances, the actual collateral received and/or pledged may be more than the amount shown.

The average derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants), notional amounts (swap contracts) or principal amounts (options) outstanding at each month-end, was as follows for the period ended August 31, 2013:

Forward Currency Contracts ($)	Futures Contracts ($)		Swap Contracts ($)		Options ($)		Rights and/or warrants ($)
2,428,285,473		103,316,135		5,581,576		137,254		353,721

5. Fees and other transactions with affiliates

GMO does not charge the Fund any management or shareholder service fees for its services.

The Manager has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to the Fund concurrently with the payment of management fees to the Manager. “Specified Operating Expenses” means only the following expenses to the extent that they are borne by the Fund: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of the Manager, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

This contractual reimbursement will continue through at least June 30, 2014 for the Fund unless the Fund’s Board of Trustees authorizes its modification or termination, or reduces the fee rates paid to the Manager under the Fund’s management contract or servicing agreement.

The Fund’s portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2013 is shown in the table below and is included in the Statement of Operations.

Independent Trustees and their legal counsel ($)		Agents unaffiliated with the Manager ($)
	17,287		2,024

41

GMO Implementation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)

August 31, 2013 (Unaudited)

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2013 are noted in the table below:

Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
	917,399,602		3,343,796,186		—		1,305,615,186

7. Guarantees

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

8. Principal shareholders and related parties

Number of shareholders that held more than 10% of the outstanding shares of the Fund		Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund		Percentage of the shares of the Fund held by senior management of the Manager and GMO Trust officers		Percentage of the Fund’s shares held by accounts for which the Manager has investment discretion
	1*		100%		—		100%

* The Shareholder is another fund of the Trust.

9. Share transactions

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

	Six Months Ended August 31, 2013 (Unaudited)						Period from March 1, 2012 (commencement of operations) through February 28, 2013
Core Class:	Shares			Amount			Shares			Amount
Shares sold		288,220,684		$	3,388,463,880			235,543,110		$	2,460,130,863
Shares repurchased		(5,258,745	)		(62,086,965	)		(16,841,554	)		(175,132,923	)
Net increase (decrease)		282,961,939		$	3,326,376,915			218,701,556		$	2,284,997,940

42

GMO Implementation Fund

(A Series of GMO Trust)

Board Review of Management Agreement

August 31, 2013 (Unaudited)

Approval of renewal of management agreement for GMO Implementation Fund. In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2013, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered information relating specifically to the Fund as well as information relating to the series of the Trust generally (collectively, the “GMO funds”).

The Trustees met independently and with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) throughout the year and considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on May 22, 2013, the Trustees met with representatives of the Manager to discuss, among other things, the investment performance of the Fund and the other GMO funds and various methods for evaluating their investment performance. At a separate meeting also held on May 22, 2013 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed the extensive materials provided by the Manager to the Trustees for their consideration in connection with their decision whether to renew the management agreements of the Fund and the other GMO funds. At their separate meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager. Prior to and at a meeting of the Trustees on June 6, 2013, the Manager provided that information. In addition, prior to and at the meeting of the Trustees on June 6, 2013, representatives of the Manager met with the Trustees to answer questions.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered whether the Fund had performed as expected given market conditions in recent years. In addition, the Trustees took into account their discussion with representatives of the Manager regarding ways to evaluate the performance of the Fund, given that the Fund is not a standalone investment and the investment strategies the Manager pursues for the Fund are intended to complement the strategies being pursued by the Manager in GMO Benchmark-Free Allocation Fund. The Trustees’ review of Fund performance was based on information provided to the Trustees, which included data for various periods, information as to performance in relation to risk and other data provided by the Manager, and comparisons against the performance of products managed by other managers that were prepared by third-party data services.

The Trustees compared the total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) of the Fund to the total expense ratios of funds determined by a third-party data service to have similar objectives. The Trustees recognized that the Manager had undertaken to reimburse specified operating expenses of the Fund.

The Trustees gave substantial consideration to the fact that the Fund does not pay a fee to the Manager under the Fund’s management agreement or any shareholder servicing and supplemental support agreement. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees also considered the types of investors to which shares of the Fund were marketed.

The Trustees considered the experience, sophistication and depth of the Manager and its personnel (including management and investment management personnel, as well as members of the legal, compliance and risk and controls departments), the resources the Manager employed in advising the Fund, the Manager’s reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall review of the Fund’s management agreement, that the fees to be paid by the Fund to the Manager were within the range of fees that would be established through arm’s-length bargaining.

Following their review, on June 6, 2013, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be relevant, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2013.

43

GMO Implementation Fund

(A Series of GMO Trust)

Fund Expenses

August 31, 2013 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2013.

As a shareholder of the Fund, you may incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in Dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2013 through August 31, 2013.

Actual Expenses

This section of the table for the class below provides information about actual account values and actual expenses. you may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

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

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

Actual

Hypothetical

Beginning Account Value March 1, 2013

Ending Account Value August 31, 2013

Expenses Paid During the Period*

Beginning Account Value March 1, 2013

Ending Account Value August 31, 2013

Expenses Paid During the Period*

Annualized Net Expense Ratio

Core

$1,000.00

$1,031.00

$0.00

$1,000.00

$1,025.20

$0.00

0.00%**

* Expenses are calculated using the annualized expense ratio (including indirect expenses incurred) for the six months ended August 31, 2013, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

** Ratio rounds to 0.00%.

44

Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this Registrant.

Item 6. Schedule of Investments.

The complete schedule of investments for each series of the Registrant is included as part of the semiannual reports to shareholders filed under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this Registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this Registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this Registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

Item 11. Controls and Procedures.

(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded as of a date within 90 days of the filing of this report, based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Not applicable to this filing.

(a)(2) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto as EX-99.CERT.

(a)(3) Not applicable to this Registrant.

(b) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)	GMO Trust
By (Signature and Title):	/s/ J.B. Kittredge
	J.B. Kittredge, Chief Executive Officer
	Date: November 5, 2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):	/s/ J.B. Kittredge
	J.B. Kittredge, Principal Executive Officer
	Date: November 5, 2013
By (Signature and Title):	/s/ Sheppard N. Burnett
	Sheppard N. Burnett, Principal Financial Officer
	Date: November 5, 2013