UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-04347

GMO Trust

(Exact name of registrant as specified in charter)

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

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

(Name and address of agent for service)

617-346-7646

Registrant’s telephone number, including area code:

Date of fiscal year end: 02/28/15

Date of reporting period: 11/30/14

Item 1. Schedule of Investments.

The Schedules of Investments for each series of the registrant for the period ended November 30, 2014 are filed herewith.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value ($) / Shares / Principal Amount		Description	Value ($)
		DEBT OBLIGATIONS — 35.6%
		Bank Loans — 1.2%
	36,800,000	Burger King Corp., 2014 Term Loan B, 4.50%, due 12/31/14		36,892,000
	28,100,000	Level 3 Financing, Inc., Incremental Term Loan B5, 4.50%, due 01/28/15		28,206,780
		Total Bank Loans		65,098,780
		U.S. Government — 34.4%
	1,824,376,843	U.S. Treasury Inflation Indexed Bond, 1.88%, due 07/15/15 (a)		1,849,177,422
		TOTAL DEBT OBLIGATIONS (COST $1,926,817,676)		1,914,276,202
		MUTUAL FUNDS — 1.8%
		United States — 1.8%
		Affiliated Issuers — 1.8%
	3,846,827	GMO U.S. Treasury Fund		96,170,673
		TOTAL MUTUAL FUNDS (COST $96,170,672)		96,170,673
		OPTIONS PURCHASED — 3.1%
		Currency Options — 3.1%
EUR	120,800,000	EUR Call/USD Put, Expires 02/24/15, Strike 1.25, (OTC) (CP-BCLY)		2,062,573
EUR	145,800,000	EUR Put/USD Call, Expires 11/25/15, Strike 1.25, (OTC) (CP-BCLY)		5,793,793
EUR	289,100,000	EUR Call/USD Put, Expires 02/06/15, Strike 1.25, (OTC) (CP-DB)		4,219,957
EUR	439,800,000	EUR Call/USD Put, Expires 11/12/15, Strike 1.25, (OTC) (CP-JPM)		17,084,925
EUR	145,800,000	EUR Put/USD Call, Expires 11/25/15, Strike 1.25, (OTC) (CP-BCLY)		6,010,589
EUR	237,840,507	EUR Put/USD Call, Expires 02/03/15, Strike 1.22, (OTC) (CP-DB)		1,843,144
EUR	120,800,000	EUR Put/USD Call, Expires 02/24/15, Strike 1.25, (OTC) (CP-BCLY)		2,753,705
EUR	69,813,000	EUR Put/USD Call, Expires 11/28/17, Strike 1.24, (OTC) (CP-DB)		3,829,328
EUR	71,820,000	EUR Put/USD Call, Expires 02/25/15, Strike 1.21, (OTC) (CP-GS)		654,692

Principal Amount / Par Value ($)		Description	Value ($)
		Currency Options — continued
EUR	439,800,000	EUR Put/USD Call, Expires 11/12/15, Strike 1.25, (OTC) (CP-JPM)		17,852,706
EUR	232,470,247	EUR Put/USD Call, Expires 11/03/17, Strike 1.24, (OTC) (CP-GS)		12,705,571
EUR	289,100,000	EUR Put/USD Call, Expires 02/06/15, Strike 1.25, (OTC) (CP-DB)		6,154,569
USD	258,100,000	JPY Call/USD Put, Expires 01/16/15, Strike 105.90, (OTC) (CP-DB)		2,581
GBP	233,100,000	USD Call/GBP Put, Expires 11/16/15, Strike 1.56, (OTC) (CP-GS)		11,268,813
USD	364,100,000	USD Call/JPY Put, Expires 02/16/15, Strike 117.00, (OTC) (CP-GS)		9,482,620
USD	363,000,000	USD Call/JPY Put, Expires 02/19/15, Strike 113.34, (OTC) (CP-GS)		17,779,014
USD	258,100,000	USD Call/JPY Put, Expires 01/16/15, Strike 105.90, (OTC) (CP-DB)		27,711,165
USD	108,000,000	USD Call/JPY Put, Expires 02/19/15, Strike 106.13, (OTC) (CP-MSCI)		11,391,732
USD	364,100,000	USD Put/JPY Call, Expires 02/16/15, Strike 117.00, (OTC) (CP-GS)		4,560,717
USD	363,000,000	USD Put/JPY Call, Expires 02/19/15, Strike 113.34, (OTC) (CP-GS)		1,691,217
USD	108,000,000	USD Put/JPY Call, Expires 02/19/15, Strike 98.95, (OTC) (CP-MSCI)		108
		TOTAL OPTIONS PURCHASED (COST $138,212,067)		164,853,519
		SHORT-TERM INVESTMENTS — 56.4%
		U.S. Government — 56.4%
	64,300,000	U.S. Treasury Bill, 0.06%, due 04/30/15 (b)		64,285,275
	50,000,000	U.S. Treasury Bill, 0.05%, due 04/02/15 (b)		49,992,350
	40,000,000	U.S. Treasury Bill, 0.03%, due 03/19/15 (b)		39,996,400
	450,600,000	U.S. Treasury Bill, 0.05%, due 04/09/15 (b)		450,523,398
	287,000,000	U.S. Treasury Bill, 0.01%, due 01/08/15 (b)		286,996,269
	878,000,000	U.S. Treasury Bill, 0.02%, due 12/04/14 (b)		877,998,244
	66,700,000	U.S. Treasury Bill, 0.02%, due 12/11/14 (b)		66,699,600

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value ($)		Description	Value ($)
		U.S. Government — continued
	11,400,000	U.S. Treasury Bill, 0.02%, due 01/15/15 (b)		11,399,783
	300,000,000	U.S. Treasury Bill, 0.02%, due 03/05/15 (b)		299,984,400
	412,719,300	U.S. Treasury Bill, 0.04%, due 12/26/14 (b)		412,706,918
	50,000,000	U.S. Treasury Bill, 0.02%, due 01/29/15 (b)		49,998,750
	35,000,000	U.S. Treasury Bill, 0.00%, due 02/12/15 (b) (c)		34,999,650
	150,000,000	U.S. Treasury Bill, 0.01%, due 02/26/15 (b)		149,994,600
	112,500,000	U.S. Treasury Bill, 0.03%, due 03/12/15 (b)		112,491,338
	15,275,000	U.S. Treasury Bill, 0.05%, due 04/16/15 (b)		15,272,113
	102,725,000	U.S. Treasury Bill, 0.06%, due 04/23/15 (b)		102,700,552
		Total U.S. Government		3,026,039,640
		TOTAL SHORT-TERM INVESTMENTS (COST $3,026,061,551)		3,026,039,640
		TOTAL INVESTMENTS — 96.9% (Cost $5,187,261,966)		5,201,340,034
		Other Assets and Liabilities (net) — 3.1%		165,812,743
		TOTAL NET ASSETS — 100.0%		$5,367,152,777

A summary of outstanding financial instruments at November 30, 2014 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
12/22/2014	BCLY		EUR	201,634,168		USD	254,948,385	$	4,029,064
12/22/2014	BOA		EUR	194,960,727		USD	246,706,812		4,092,112
12/22/2014	DB		EUR	792,545,890		USD	991,925,171		5,658,417
12/22/2014	GS		EUR	189,285,890		USD	239,546,972		3,994,201
01/23/2015	DB		GBP	58,200,000		USD	91,852,171		857,459
12/19/2014	BCLY		JPY	18,175,746,328		USD	168,119,601		14,911,024
12/19/2014	BOA		JPY	18,266,625,061		USD	168,947,698		14,973,078
12/19/2014	DB		JPY	23,044,846,329		USD	210,889,775		16,638,158
12/19/2014	GS		JPY	33,890,953,661		USD	301,738,483		16,061,918
12/19/2014	MSCI		JPY	17,993,988,865		USD	166,438,867		14,762,376
02/06/2015	BCLY		KRW	406,166,800,000		USD	368,269,235		2,696,658
01/09/2015	DB		SEK	37,500,000		USD	5,077,311		46,854
01/09/2015	GS		SEK	1,146,647,200		USD	155,885,637		2,068,056
12/19/2014	BOA		USD	50,177,923		JPY	5,710,900,000		(2,039,110	)
12/19/2014	DB		USD	1,028,469,826		JPY	118,041,900,000		(33,460,807	)
12/19/2014	GS		USD	98,271,013		JPY	11,603,600,000		(460,942	)
12/22/2014	DB		USD	62,324,000		EUR	50,000,000		(102,571	)
12/22/2014	GS		USD	153,050,555		EUR	122,610,000		(471,167	)
12/22/2014	JPM		USD	13,001,451		EUR	10,400,000		(59,394	)
02/06/2015	BCLY		USD	271,061,374		INR	16,846,400,000		(3,306,049	)
02/06/2015	BCLY		USD	3,642,316		KRW	3,938,800,000		(97,178	)
								$	60,792,157

Written Options

Principal Amount			Expiration Date	Description	Premiums		Market Value
Call	EUR	225,429,018	02/03/2015	EUR Call/USD Put, Strike 1.28 (OTC) (CP-DB)	$	1,479,680	$	(1,058,051	)
Call	EUR	71,820,000	02/25/2015	EUR Call/USD Put, Strike 1.28 (OTC) (CP-GS)		529,655		(436,462	)
Call	EUR	47,798,000	11/28/2017	EUR Call/USD Put, Strike 1.29 (OTC) (CP-DB)		3,549,480		(3,469,416	)
Call	EUR	159,551,431	11/03/2017	EUR Call/USD Put, Strike 1.29 (OTC) (CP-GS)		11,482,860		(11,290,785	)
					$	17,041,675	$	(16,254,714	)

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Swap Contracts

Forward Starting Cross-Currency Basis Swaps

Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	9,525,700,000	JPY	11/28/2016	11/28/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	52,608
	9,525,700,000	JPY	11/29/2016	11/29/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		52,908
	9,525,700,000	JPY	11/30/2016	11/30/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		53,165
	9,525,700,000	JPY	12/1/2016	12/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		53,537
	9,525,700,000	JPY	12/2/2016	12/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		53,182
	9,525,700,000	JPY	12/5/2016	12/5/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		37,545
	9,525,700,000	JPY	12/6/2016	12/6/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		37,649
	9,525,700,000	JPY	12/7/2016	12/7/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		37,753
	9,525,700,000	JPY	12/8/2016	12/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		37,741
	9,525,700,000	JPY	12/9/2016	12/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		41,365
								$	457,453
						Premiums to (Pay) Receive		$	—

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	1,041,600,000	SEK	6/1/2016	BCI (d)	(Pay)	0.28%	3 Month SEK STIBOR	$	(3,904	)
	595,000,000	SEK	8/5/2016	BCI (d)	Receive	0.63%	3 Month SEK STIBOR		454,873
	1,348,000,000	SEK	8/6/2016	BCI (d)	Receive	0.62%	3 Month SEK STIBOR		1,027,574
	1,587,000,000	SEK	8/7/2016	BCI (d)	Receive	0.63%	3 Month SEK STIBOR		1,224,440
	640,000,000	SEK	8/11/2016	BCI (d)	Receive	0.62%	3 Month SEK STIBOR		483,564
	1,000,000,000	SEK	8/13/2016	BCI (d)	Receive	0.63%	3 Month SEK STIBOR		786,121
	350,000,000	SEK	8/13/2016	BCI (d)	Receive	0.63%	3 Month SEK STIBOR		279,118
	1,129,000,000	SEK	8/15/2016	BCI (d)	Receive	0.63%	3 Month SEK STIBOR		872,598
	1,919,000,000	SEK	8/18/2016	BCI (d)	Receive	0.62%	3 Month SEK STIBOR		1,478,061
	1,129,000,000	SEK	8/19/2016	BCI (d)	Receive	0.62%	3 Month SEK STIBOR		868,588
	1,573,000,000	SEK	8/20/2016	BCI (d)	Receive	0.63%	3 Month SEK STIBOR		1,222,092
	1,400,000,000	SEK	8/21/2016	BCI (d)	Receive	0.61%	3 Month SEK STIBOR		1,040,789
	749,700,000	SEK	12/1/2016	BCI (d)	(Pay)	0.31%	3 Month SEK STIBOR		1,915
	4,447,400,000	USD	9/28/2020	CSS (d)	Receive	3.20%	3 Month USD LIBOR		37,708,687
	718,400,000	USD	12/17/2021	CSS (d)	Receive	3.07%	3 Month USD LIBOR		4,156,289
	1,326,400,000	USD	12/17/2021	CSS (d)	Receive	3.11%	3 Month USD LIBOR		8,825,489
	661,600,000	GBP	7/16/2024	BCI (d)	(Pay)	3.45%	6 Month GBP LIBOR		(44,648,112	)
	47,453,000,000	JPY	10/3/2024	BCI (d)	(Pay)	0.66%	6 Month JPY LIBOR		(3,073,762	)
	173,855,000,000	JPY	10/6/2024	CSS (d)	(Pay)	0.66%	6 Month JPY LIBOR		(11,495,245	)
	44,725,000,000	JPY	10/7/2024	CSS (d)	(Pay)	0.65%	6 Month JPY LIBOR		(2,791,066	)
	671,100,000	MXN	10/9/2024	BCI (d)	Receive	6.10%	TIIE		981,039
	47,568,000,000	JPY	10/9/2024	CSS (d)	(Pay)	0.65%	6 Month JPY LIBOR		(2,919,507	)
	1,678,900,000	MXN	10/11/2024	BCI (d)	Receive	6.18%	TIIE		3,284,211
	1,332,000,000	MXN	10/16/2024	BCI (d)	Receive	6.03%	TIIE		1,400,078

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Interest Rate Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	666,100,000	MXN	10/17/2024	BCI (d)	Receive	6.05%	TIIE	$	777,141
	665,100,000	MXN	10/18/2024	BCI (d)	Receive	6.08%	TIIE		892,237
	1,080,100,000	MXN	10/18/2024	BCI (d)	Receive	6.12%	TIIE		1,704,365
	330,200,000	MXN	10/24/2024	BCI (d)	Receive	6.17%	TIIE		614,731
	1,321,200,000	MXN	10/25/2024	BCI (d)	Receive	6.19%	TIIE		2,612,833
	1,116,700,000	MXN	10/28/2024	BCI (d)	Receive	6.13%	TIIE		1,808,208
	214,000,000	MXN	10/30/2024	BCI (d)	Receive	6.19%	TIIE		442,112
	537,100,000	AUD	11/11/2024	BCI (d)	Receive	4.33%	6 Month AUD BBSW		5,747,429
	117,200,000	AUD	11/6/2024	BCI (d)	Receive	4.35%	6 Month AUD BBSW		1,311,399
	322,400,000	AUD	11/7/2024	BCI (d)	Receive	4.31%	6 Month AUD BBSW		3,216,164
	1,920,000,000	JPY	11/7/2024	CSS (d)	Receive	0.60%	6 Month JPY LIBOR		28,814
	276,000,000	AUD	11/13/2024	CSS (d)	Receive	4.31%	6 Month AUD BBSW		2,698,036
	4,670,000,000	JPY	11/13/2024	CSS (d)	(Pay)	0.65%	6 Month JPY LIBOR		(274,703	)
	7,048,300,000	JPY	11/25/2024	CSS (d)	(Pay)	0.62%	6 Month JPY LIBOR		(202,520	)
	115,700,000	GBP	11/26/2024	BCI (d)	(Pay)	2.63%	6 Month GBP LIBOR		(788,531	)
	2,437,900,000	JPY	11/27/2024	CSS (d)	(Pay)	0.61%	6 Month JPY LIBOR		(50,182	)
	41,500,000	USD	7/24/2049	CSS (d)	(Pay)	3.66%	3 Month USD LIBOR		(3,251,527	)
	52,000,000	USD	7/24/2049	CSS (d)	(Pay)	3.67%	3 Month USD LIBOR		(4,146,299	)
	52,000,000	USD	7/29/2049	CSS (d)	(Pay)	3.65%	3 Month USD LIBOR		(3,963,292	)
	50,000,000	USD	7/29/2049	CSS (d)	(Pay)	3.66%	3 Month USD LIBOR		(3,903,278	)
	52,000,000	USD	7/29/2049	CSS (d)	(Pay)	3.72%	3 Month USD LIBOR		(4,636,111	)
	53,000,000	USD	7/30/2049	CSS (d)	(Pay)	3.62%	3 Month USD LIBOR		(3,803,657	)
	58,000,000	USD	8/5/2049	CSS (d)	(Pay)	3.73%	3 Month USD LIBOR		(5,307,484	)
	98,100,000	USD	9/12/2049	CSS (d)	(Pay)	3.66%	3 Month USD LIBOR		(7,618,295	)
								$	(14,928,480	)
						Premiums to (Pay) Receive		$	565,971

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

As of November 30, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

BBSW - Bank Bill Swap Reference Rate

CP - Counterparty

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

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

OTC - Over-the-Counter

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

TIIE - Tasa de Interes Interbacaria de Equilibrio - 28 - Day Interbank Equilibrium Interest Rate - Mexico

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

The rates on variable rate notes are subject to change based on the terms of the security. The rates shown are the interest rates at November 30, 2014.

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

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

(c) Rate rounds to 0.00%.

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

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Counterparty Abbreviations:

BCI - Barclays Capital Inc.

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CSS - Credit Suisse Securities (USA) LLC

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

EUR - Euro

GBP - British Pound

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

SEK - Swedish Krona

USD - United States Dollar

GMO Benchmark-Free Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares / Principal Amount		Description	Value ($)
		MUTUAL FUNDS — 14.6%
		United States — 14.6%
		Affiliated Issuers — 14.6%
	15,975	GMO Debt Opportunities Fund, Class VI		399,534
	78,734	GMO Emerging Country Debt Fund, Class IV		803,086
		TOTAL MUTUAL FUNDS (COST $1,200,000)		1,202,620
		OPTIONS PURCHASED — 1.7%
		Currency Options — 1.7%
EUR	262,000	EUR Put/USD Call, Expires 02/03/15, Strike 1.22, (OTC) (CP-GS)		2,030
EUR	319,000	EUR Put/USD Call, Expires 02/06/15, Strike 1.25, (OTC) (CP-GS)		6,791
EUR	319,000	EUR Call/USD Put, Expires 02/06/15, Strike 1.25, (OTC) (CP-GS)		4,656
EUR	100,000	EUR Put/USD Call, Expires 02/24/15, Strike 1.25, (OTC) (CP-BCLY)		2,280
EUR	100,000	EUR Call/USD Put, Expires 02/24/15, Strike 1.25, (OTC) (CP-BCLY)		1,707
EUR	80,000	EUR Put/USD Call, Expires 02/25/15, Strike 1.21, (OTC) (CP-GS)		729
EUR	256,000	EUR Put/USD Call, Expires 11/03/17, Strike 1.24, (OTC) (CP-GS)		13,992
EUR	485,000	EUR Call/USD Put, Expires 11/12/15, Strike 1.25, (OTC) (CP-GS)		18,841
EUR	200,000	EUR Call/USD Put, Expires 11/25/15, Strike 1.25, (OTC) (CP-BCLY)		7,948
EUR	200,000	EUR Put/USD Call, Expires 11/25/15, Strike 1.25, (OTC) (CP-BCLY)		8,245
EUR	77,000	EUR Put/USD Call, Expires 11/28/17, Strike 1.24, (OTC) (CP-JPM)		4,224
EUR	485,000	USD Call/EUR Put, Expires 11/12/15, Strike 1.25, (OTC) (CP-GS)		19,687
GBP	257,000	USD Call/GBP Put, Expires 11/16/15, Strike 1.56, (OTC) (CP-GS)		12,424
USD	401,000	USD Put/JPY Call, Expires 02/16/15, Strike 117.00, (OTC) (CP-GS)		5,023
USD	401,000	USD Call/JPY Put, Expires 02/16/15, Strike 117.00, (OTC) (CP-GS)		10,444
USD	400,000	USD Call/JPY Put, Expires 02/19/15, Strike 113.34, (OTC) (CP-GS)		19,591
USD	400,000	USD Put/JPY Call, Expires 02/19/15, Strike 113.34, (OTC) (CP-GS)		1,864
		TOTAL OPTIONS PURCHASED (COST $139,554)		140,476

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 82.6%
		Money Market Funds — 13.2%
	1,082,358	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (a)		1,082,358
		U.S. Government — 69.4%
	5,700,000	U.S. Treasury Bill, 0.02%, due 12/18/14 (b)		5,699,937
		TOTAL SHORT-TERM INVESTMENTS (COST $6,782,266)		6,782,295
		TOTAL INVESTMENTS — 98.9% (Cost $8,121,820)		8,125,391
		Other Assets and Liabilities (net) — 1.1%		92,649
		TOTAL NET ASSETS — 100.0%		$8,218,040

A summary of outstanding financial instruments at November 30, 2014 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
12/22/2014	BCLY		EUR	27,500		USD	34,335	$	114
12/22/2014	BOA		EUR	1,344,000		USD	1,682,886		10,374
12/22/2014	GS		EUR	350,000		USD	435,548		(2	)
01/23/2015	BOA		GBP	92,000		USD	145,219		1,378
12/19/2014	BOA		JPY	65,300,000		USD	559,924		9,492
02/06/2015	BCLY		KRW	112,800,000		USD	101,134		(392	)
02/06/2015	BOA		KRW	329,700,000		USD	299,509		2,761
01/09/2015	BOA		SEK	1,180,000		USD	159,742		1,450
12/19/2014	GS		USD	355,303		JPY	41,744,160		(3,429	)
12/22/2014	GS		USD	388,498		EUR	310,000		(2,725	)
12/22/2014	JPM		USD	67,822		EUR	54,410		(113	)
02/06/2015	BCLY		USD	296,427		INR	18,500,000		(2,389	)
								$	16,519

GMO Benchmark-Free Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Written Options

Principal Amount			Expiration Date		Description	Premiums		Market Value
Put	EUR	248,000		02/03/2015	EUR Call/USD Put, Strike 1.28 (OTC) (CP-GS)	$	1,654	$	(1,164	)
Call	EUR	80,000		02/25/2015	EUR Call/USD Put, Strike 1.28 (OTC) (CP-GS)		590		(486	)
Call	EUR	176,000		11/03/2017	EUR Call/USD Put, Strike 1.29 (OTC) (CP-GS)		12,743		(12,455	)
Call	EUR	52,000		11/28/2017	EUR Call/USD Put, Strike 1.29 (OTC) (CP-JPM)		3,856		(3,774	)
						$	18,843	$	(17,879	)

Swap Contracts

Forward Starting Cross-Currency Basis Swaps

Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	10,500,000	JPY	11/28/2016	11/28/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	58
	10,500,000	JPY	11/29/2016	11/29/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		58
	10,500,000	JPY	11/30/2016	11/30/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		59
	10,500,000	JPY	12/1/2016	12/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		59
	10,500,000	JPY	12/2/2016	12/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		59
	10,500,000	JPY	12/5/2016	12/5/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		41
	10,500,000	JPY	12/6/2016	12/6/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		41
	10,500,000	JPY	12/7/2016	12/7/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		42
	10,500,000	JPY	12/8/2016	12/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		42
	10,500,000	JPY	12/9/2016	12/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		45
								$	504
							Premiums to (Pay) Receive	$	—

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	1,400,000	AUD	11/19/2024	JPMF (c)	Receive	4.28%	6 Month AUD BBSW	$	12,289
	500,000	GBP	11/18/2024	JPMF (c)	(Pay)	2.77%	6 Month GBP LIBOR		(8,391	)
	382,000	GBP	11/26/2024	BCI (c)	(Pay)	2.63%	6 Month GBP LIBOR		(2,603	)
	352,400,000	JPY	11/20/2024	JPMF (c)	(Pay)	0.64%	6 Month JPY LIBOR		(16,581	)
	3,400,000	JPY	11/25/2024	BCI (c)	(Pay)	0.62%	6 Month JPY LIBOR		(98	)
	2,700,000	JPY	12/27/2024	CSS (c)	(Pay)	0.61%	6 Month JPY LIBOR		(55	)
	10,500,000	MXN	11/6/2024	JPMF (c)	Receive	6.03%	TIIE		10,317
	4,350,000	USD	11/20/2020	JPMF (c)	Receive	2.94%	3 Month USD LIBOR		13,715
	2,250,000	USD	12/17/2021	JPMF (c)	Receive	3.03%	3 Month USD LIBOR		10,486
	430,000	USD	11/20/2048	JPMF (c)	(Pay)	3.36%	3 Month USD LIBOR		(11,599	)
								$	7,480
							Premiums to (Pay) Receive	$	—

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

As of November 30, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO Benchmark-Free Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Notes to Schedule of Investments:

CP - Counterparty

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

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

OTC - Over-the-Counter

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

The rates on variable rate notes are subject to change based on the terms of the security. The rates shown are the interest rates at November 30, 2014.

(a) The rate disclosed is the 7 day net yield as of November 30, 2014. Note: Yield rounds to 0.00%.

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

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

Counterparty Abbreviations:

BCLY - Barclays Bank plc

BCI - Barclays Capital Inc.

BOA - Bank of America, N.A.

CSS - Credit Suisse Securities (USA) LLC

GS - Goldman Sachs International

JPMF - J.P. Morgan Futures Incorporated

Currency Abbreviations:

AUD - Australian Dollar

EUR - Euro

GBP - British Pound

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

SEK - Swedish Krona

USD - United States Dollar

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 29.8%
		Albania — 4.1%
		Foreign Government Obligations
	14,281,227	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a)		9,854,047
		United States — 25.7%
		Asset-Backed Securities — 0.4%
	85,107	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.55%, due 01/25/36		75,107
	426,993	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.31%, due 04/25/36 ¿		337,324
	444,954	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.39%, due 11/15/33		410,470
	452,174	Morgan Stanley Capital, Inc., Series 07-HE4, Class A2C, 1 mo. LIBOR + .23%, 0.38%, due 02/25/37 ¿		232,191
	19,644	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.45%, due 12/25/32		18,313
		Total Asset-Backed Securities		1,073,405
		Corporate Debt — 1.7%
	1,000,000	Bank of America Corp., 3.30%, due 01/11/23		987,500
	1,000,000	Citigroup, Inc., 3.38%, due 03/01/23		1,005,050
	1,000,000	Goldman Sachs Group, Inc. (The), 3.63%, due 01/22/23		1,013,482
	1,000,000	JPMorgan Chase & Co., 3.20%, due 01/25/23		1,000,000
		Total Corporate Debt		4,006,032
		U.S. Government — 23.6%
	10,000,000	U.S. Treasury Bond, 3.13%, due 02/15/43		10,438,280
	45,400,012	U.S. Treasury Inflation Indexed Bond, 1.88%, due 07/15/15 (b) (c)		46,017,180
		Total U.S. Government		56,455,460
		Total United States		61,534,897
		TOTAL DEBT OBLIGATIONS (COST $68,433,470)		71,388,944
		MUTUAL FUNDS — 42.0%
		United States
		Affiliated Issuers
	347,371	GMO Debt Opportunities Fund, Class VI		8,687,740
	1,115,104	GMO Emerging Country Debt Fund, Class IV		11,374,066

Shares / Principal Amount / Par Value ($)		Description	Value ($)
		United States — continued
		Affiliated Issuers — continued
	1,161,085	GMO U.S. Treasury Fund		29,027,135
	1,944,931	GMO World Opportunity Overlay Fund		51,268,369
		TOTAL MUTUAL FUNDS (COST $91,238,694)		100,357,310
		OPTIONS PURCHASED — 1.4%
		Currency Options
EUR	4,690,972	USD Call/EUR Put, Expires 02/03/15, Strike 1.22, (OTC) (CP-DB)		36,353
EUR	5,700,000	USD Call/EUR Put, Expires 02/06/15, Strike 1.25, (OTC) (CP-DB)		121,346
EUR	4,583,467	USD Call/EUR Put, Expires 11/03/17, Strike 1.24, (OTC) (CP-GS)		250,507
EUR	8,500,000	USD Call/EUR Put, Expires 11/12/15, Strike 1.25, (OTC) (CP-JPM)		345,039
GBP	4,600,000	USD Call/GBP Put, Expires 11/16/15, Strike 1.56, (OTC) (CP-GS)		222,379
USD	7,100,000	USD Call/JPY Put, Expires 02/16/15, Strike 117.00, (OTC) (CP-GS)		184,912
USD	7,100,000	USD Call/JPY Put, Expires 02/19/15, Strike 113.34, (OTC) (CP-GS)		347,744
USD	3,400,000	USD Call/JPY Put, Expires 01/16/15, Strike 105.90, (OTC) (CP-DB)		365,044
USD	7,500,000	USD Call/JPY Put, Expires 01/05/15, Strike 104.85, (OTC) (CP-DB)		872,730
EUR	5,700,000	USD Put/EUR Call, Expires 02/06/15, Strike 1.25, (OTC) (CP-DB)		83,202
EUR	8,500,000	USD Put/EUR Call, Expires 11/12/15, Strike 1.25, (OTC) (CP-JPM)		330,200
USD	3,400,000	USD Put/JPY Call, Expires 01/16/15, Strike 105.90, (OTC) (CP-DB)		34
USD	7,500,000	USD Put/JPY Call, Expires 01/05/15, Strike 98.50, (OTC) (CP-DB)		—
USD	7,100,000	USD Put/JPY Call, Expires 02/16/15, Strike 117.00, (OTC) (CP-GS)		88,934
USD	7,100,000	USD Put/JPY Call, Expires 02/19/15, Strike 113.34, (OTC) (CP-GS)		33,079
		TOTAL OPTIONS PURCHASED (COST $2,282,967)		3,281,503
		SHORT-TERM INVESTMENTS — 24.7%
		U.S. Government
	2,000,000	U.S. Treasury Bill, 0.06%, due 04/23/15 (d)		1,999,524
	10,000,000	U.S. Treasury Bill, 0.00%, due 02/12/15 (d)		9,999,900

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value ($)		Description	Value ($)
		U.S. Government — continued
	27,000,000	U.S. Treasury Bill, 0.03%, due 03/19/15 (d)		26,997,570
	20,000,000	U.S. Treasury Bill, 0.05%, due 04/16/15 (d)		19,996,220
		TOTAL SHORT-TERM INVESTMENTS (COST $58,993,535)		58,993,214
		TOTAL INVESTMENTS — 97.9% (Cost $220,948,666)		234,020,971
		Other Assets and Liabilities (net) — 2.1%		5,090,806
		TOTAL NET ASSETS — 100.0%		$239,111,777

A summary of outstanding financial instruments at November 30, 2014 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
12/22/2014	BCLY		EUR	2,825,000		USD	3,576,224	$	60,713
12/22/2014	BOA		EUR	2,796,750		USD	3,541,885		61,530
12/22/2014	CITI		EUR	3,600,000		USD	4,486,032		6,089
12/22/2014	DB		EUR	1,800,000		USD	2,238,773		(1,198	)
12/22/2014	DB		EUR	5,379,125		USD	6,772,412		78,475
12/22/2014	GS		EUR	2,839,125		USD	3,592,998		59,910
01/23/2015	DB		GBP	1,120,000		USD	1,767,602		16,501
12/19/2014	BCLY		JPY	321,980,000		USD	2,978,208		264,146
12/19/2014	BOA		JPY	323,589,900		USD	2,992,877		265,245
12/19/2014	DB		JPY	321,980,000		USD	2,979,090		265,028
12/19/2014	GS		JPY	393,596,100		USD	3,593,669		275,935
12/19/2014	MSCI		JPY	318,760,200		USD	2,948,434		261,513
02/06/2015	BCLY		KRW	7,866,000,000		USD	7,132,819		52,984
01/09/2015	GS		SEK	21,050,000		USD	2,861,728		37,965
12/19/2014	DB		USD	20,311,718		JPY	2,332,100,000		(653,778	)
12/19/2014	GS		USD	2,009,716		JPY	237,300,000		(9,447	)
12/22/2014	GS		USD	2,121,767		EUR	1,700,000		(6,238	)
02/06/2015	BCLY		USD	5,264,650		INR	327,200,000		(64,160	)
								$	971,213

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
7	UK Gilt Long Bond	March 2015	$	1,286,828	$	8,323

+ Buys - Fund is long the underlying asset to the contract.
Sales - Fund is short the underlying asset to the contract.

Written Options

Principal Amount			Expiration Date		Description	Premiums		Market Value
Call	EUR	4,446,178		02/03/2015	USD Put/EUR Call, Strike 1.28 (OTC) (CP-DB)	$	29,184	$	(20,868	)
Call	EUR	3,170,920		11/03/2017	USD Put/EUR Call, Strike 1.29 (OTC) (CP-GS)		228,210		(224,393	)
						$	257,394	$	(245,261	)

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Swap Contracts

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	2,300,000	AUD	11/6/2024	BCI (e)	Receive	4.35%	6 Month AUD BBSW	$	25,736
	6,300,000	AUD	11/7/2024	BCI (e)	Receive	4.31%	6 Month AUD BBSW		62,847
	10,500,000	AUD	11/11/2024	BCI (e)	Receive	4.33%	6 Month AUD BBSW		112,359
	5,200,000	AUD	11/13/2024	BCI (e)	Receive	4.31%	6 Month AUD BBSW		50,832
	1,266,000,000	JPY	10/3/2024	BCI (e)	(Pay)	0.66%	6 Month JPY LIBOR		(81,911	)
	1,204,000,000	JPY	10/7/2024	CSS (e)	(Pay)	0.65%	6 Month JPY LIBOR		(75,136	)
	1,277,000,000	JPY	10/9/2024	CSS (e)	(Pay)	0.65%	6 Month JPY LIBOR		(78,377	)
	2,219,100,000	JPY	10/15/2024	CSS (e)	(Pay)	0.63%	6 Month JPY LIBOR		(96,690	)
	170,000,000	JPY	11/7/2024	CSS (e)	(Pay)	0.60%	6 Month JPY LIBOR		(3,315	)
	225,100,000	JPY	11/25/2024	BCI (e)	(Pay)	0.62%	6 Month JPY LIBOR		(6,468	)
	12,900,000	MXN	10/9/2024	BCI (e)	Receive	6.10%	TIIE		18,858
	31,900,000	MXN	10/11/2024	BCI (e)	Receive	6.18%	TIIE		62,402
	25,400,000	MXN	10/16/2024	BCI (e)	Receive	6.03%	TIIE		26,698
	12,700,000	MXN	10/17/2024	BCI (e)	Receive	6.05%	TIIE		14,817
	12,600,000	MXN	10/18/2024	BCI (e)	Receive	6.08%	TIIE		16,903
	26,400,000	MXN	10/18/2024	BCI (e)	Receive	6.12%	TIIE		41,658
	6,200,000	MXN	10/24/2024	BCI (e)	Receive	6.17%	TIIE		11,542
	24,800,000	MXN	10/25/2024	BCI (e)	Receive	6.19%	TIIE		49,045
	20,900,000	MXN	10/28/2024	BCI (e)	Receive	6.13%	TIIE		33,842
	4,000,000	MXN	10/30/2024	BCI (e)	Receive	6.19%	TIIE		8,264
	23,800,000	SEK	6/1/2016	BCI (e)	(Pay)	0.28%	3 Month SEK STIBOR		(89	)
	38,000,000	SEK	8/5/2016	BCI (e)	Receive	0.63%	3 Month SEK STIBOR		29,051
	85,000,000	SEK	8/6/2016	BCI (e)	Receive	0.62%	3 Month SEK STIBOR		64,795
	101,000,000	SEK	8/7/2016	BCI (e)	Receive	0.63%	3 Month SEK STIBOR		77,926
	43,000,000	SEK	8/11/2016	BCI (e)	Receive	0.62%	3 Month SEK STIBOR		32,489
	23,000,000	SEK	8/13/2016	BCI (e)	Receive	0.63%	3 Month SEK STIBOR		18,342
	17,200,000	SEK	12/1/2016	BCI (e)	(Pay)	0.31%	3 Month SEK STIBOR		44
	26,100,000	USD	12/17/2021	CSS (e)	Receive	3.11%	3 Month USD LIBOR		173,662
	13,300,000	USD	12/17/2021	CSS (e)	Receive	3.07%	3 Month USD LIBOR		76,947
	3,800,000	USD	1/29/2023	CSS (e)	(Pay)	2.30%	3 Month USD LIBOR		(45,762	)
	14,280,000	USD	8/15/2025	BCI (e)	(Pay)	0.00%	3 Month USD LIBOR		(224,747	)
	10,200,000	USD	2/15/2043	CSS (e)	(Pay)	3.04%	3 Month USD LIBOR		(335,508	)
								$	61,056
							Premiums to (Pay) Receive	$	—

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

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund (Pays)/Receives	Net Unrealized Appreciation/ (Depreciation)
	5,500,000	USD	4/30/2015	DB	1 Month USD LIBOR BBA	Barclays Aggregate Total Return Index	$	37,288
	24,000,000	USD	4/30/2015	DB	1 Month USD LIBOR BBA	Barclays Aggregate Total Return Index		162,710
	24,000,000	USD	4/30/2015	DB	1 Month USD LIBOR BBA	Barclays Aggregate Total Return Index		162,710
	120,000,000	USD	5/29/2015	DB	1 Month USD LIBOR BBA	Barclays Aggregate Total Return Index		—
	62,500,000	USD	7/31/2015	DB	1 Month USD LIBOR BBA	Barclays Aggregate Total Return Index		423,725
							$	786,433
					Premiums to (Pay) Receive		$	—

As of November 30, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, 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.

BBA - British Banks Association

BBSW - Bank Bill Swap Reference Rate

CP - Counterparty

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

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

OTC - Over-the-Counter

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

TIIE - Tasa de Interes Interbacaria de Equilibrio - 28 - Day Interbank
Equilibrium Interest Rate - Mexico

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

¿ 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 price of a specific instrument or financial statistic.

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

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

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

Counterparty Abbreviations:

BCI - Barclays Capital Inc.

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CITI - Citibank N.A.

CSS - Credit Suisse Securities (USA) LLC

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

EUR - Euro

GBP - British Pound

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

SEK - Swedish Krona

USD - United States Dollar

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 57.1%
		Belgium — 3.6%
		Foreign Government Obligations
EUR	970,000	Belgium Government Bond, Reg S, 4.25%, due 09/28/21		1,514,905
EUR	580,000	Belgium Government Bond, Reg S, 5.00%, due 03/28/35		1,120,502
		Total Belgium		2,635,407
		France — 11.0%
		Foreign Government Obligations
EUR	3,000,000	Government of France, 3.25%, due 10/25/21		4,433,191
EUR	1,920,000	Government of France, 4.50%, due 04/25/41		3,655,732
		Total France		8,088,923
		Germany — 4.0%
		Foreign Government Obligations
EUR	1,500,000	Republic of Deutschland, 4.75%, due 07/04/34		2,925,286
		Italy — 18.0%
		Foreign Government Obligations
EUR	5,010,000	Buoni Poliennali Del Tesoro, 3.75%, due 05/01/21		7,136,491
EUR	2,490,000	Buoni Poliennali Del Tesoro, 4.75%, due 05/01/17		3,407,176
EUR	1,880,000	Republic of Italy, 4.00%, due 02/01/37		2,625,494
		Total Italy		13,169,161
		Netherlands — 3.1%
		Foreign Government Obligations
EUR	260,000	Netherlands Government Bond, Reg S, 4.00%, due 07/15/19		380,868
EUR	990,000	Netherlands Government Bond, 5.50%, due 01/15/28		1,889,631
		Total Netherlands		2,270,499
		Spain — 9.8%
		Foreign Government Obligations
EUR	2,530,000	Government of Spain, 2.10%, due 04/30/17		3,266,320
EUR	1,150,000	Government of Spain, 4.20%, due 01/31/37		1,705,013
EUR	1,380,000	Government of Spain, 5.50%, due 04/30/21		2,169,804
		Total Spain		7,141,137
		United Kingdom — 2.0%
		Foreign Government Obligations
GBP	700,000	United Kingdom Gilt, 4.75%, due 12/07/30		1,448,968

Par Value / Shares / Principal Amount		Description	Value ($)
		United States — 5.6%
		U.S. Government
USD	4,062,750	U.S. Treasury Inflation Indexed Bond, 1.88%, due 07/15/15 (a) (b)		4,117,979
		TOTAL DEBT OBLIGATIONS (COST $40,962,901)		41,797,360
		MUTUAL FUNDS — 36.5%
		United States — 36.5%
		Affiliated Issuers — 36.5%
	293,832	GMO Debt Opportunities Fund, Class VI		7,348,726
	330,847	GMO Emerging Country Debt Fund, Class IV		3,374,643
	7,158	GMO U.S. Treasury Fund		178,959
	599,715	GMO World Opportunity Overlay Fund		15,808,499
		TOTAL MUTUAL FUNDS (COST $22,819,775)		26,710,827
		OPTIONS PURCHASED — 1.4%
		Currency Options
EUR	1,700,000	EUR Call/USD Put, Expires 02/06/15, Strike 1.25, (OTC) (CP-DB)		24,815
EUR	2,600,000	EUR Call/USD Put, Expires 11/12/15, Strike 1.25, (OTC) (CP-JPM)		101,002
EUR	1,399,062	EUR Put/USD Call, Expires 02/03/15, Strike 1.22, (OTC) (CP-DB)		10,842
EUR	1,366,999	EUR Put/USD Call, Expires 11/03/17, Strike 1.24, (OTC) (CP-GS)		74,713
EUR	2,600,000	EUR Put/USD Call, Expires 11/12/15, Strike 1.25, (OTC) (CP-JPM)		105,541
EUR	1,700,000	EUR Put/USD Call, Expires 02/06/15, Strike 1.25, (OTC) (CP-DB)		36,191
GBP	1,400,000	USD Call/GBP Put, Expires 11/16/15, Strike 1.56, (OTC) (CP-GS)		67,680
USD	2,200,000	USD Call/JPY Put, Expires 01/05/15, Strike 104.85, (OTC) (CP-DB)		256,001
USD	1,200,000	USD Call/JPY Put, Expires 01/16/15, Strike 105.90, (OTC) (CP-DB)		128,839
USD	2,200,000	USD Call/JPY Put, Expires 02/16/15, Strike 117.00, (OTC) (CP-GS)		57,297
USD	2,100,000	USD Call/JPY Put, Expires 02/19/15, Strike 113.34, (OTC) (CP-GS)		102,854
USD	1,200,000	USD Put/JPY Call, Expires 01/16/15, Strike 105.90, (OTC) (CP-DB)		12
USD	2,200,000	USD Put/JPY Call, Expires 01/05/15, Strike 98.50, (OTC) (CP-DB)		—
USD	2,200,000	USD Put/JPY Call, Expires 02/16/15, Strike 117.00, (OTC) (CP-GS)		27,557
USD	2,100,000	USD Put/JPY Call, Expires 02/19/15, Strike 113.34, (OTC) (CP-GS)		9,784
		TOTAL OPTIONS PURCHASED (COST $696,515)		1,003,128

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.3%
		Money Market Funds — 0.8%
	563,399	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (c)		563,399
		U.S. Government — 0.5%
	400,000	U.S. Treasury Bill, 0.01%, due 01/08/15 (b) (d)		399,995
		TOTAL SHORT-TERM INVESTMENTS (COST $963,379)		963,394
		TOTAL INVESTMENTS — 96.3% (Cost $65,442,570)		70,474,709
		Other Assets and Liabilities (net) — 3.7%		2,735,204
		TOTAL NET ASSETS — 100.0%		$73,209,913

A summary of outstanding financial instruments at November 30, 2014 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
12/22/2014	BCLY		EUR	4,675,000		USD	5,918,176	$	100,472
12/22/2014	BOA		EUR	4,628,250		USD	5,861,350		101,823
12/22/2014	CITI		EUR	1,100,000		USD	1,370,732		1,861
12/22/2014	DB		EUR	5,798,375		USD	7,323,034		107,371
12/22/2014	GS		EUR	18,998,375		USD	23,813,713		171,592
01/23/2015	DB		GBP	380,000		USD	599,722		5,599
01/23/2015	GS		GBP	900,000		USD	1,412,167		5,032
12/19/2014	BCLY		JPY	102,740,000		USD	950,311		84,286
12/19/2014	BOA		JPY	103,253,700		USD	954,992		84,637
12/19/2014	DB		JPY	102,740,000		USD	950,592		84,567
12/19/2014	GS		JPY	126,589,100		USD	1,155,244		88,188
12/19/2014	MSCI		JPY	101,712,600		USD	940,810		83,446
02/06/2015	BCLY		KRW	2,396,600,000		USD	2,173,023		15,951
01/09/2015	GS		SEK	6,800,000		USD	924,454		12,264
12/19/2014	DB		USD	6,461,191		JPY	741,000,000		(215,091	)
12/19/2014	GS		USD	610,622		JPY	72,100,000		(2,870	)
12/22/2014	GS		USD	624,049		EUR	500,000		(1,835	)
02/06/2015	BCLY		USD	1,600,961		INR	99,500,000		(19,516	)
								$	707,777

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
13	Australian Government Bond 3 Yr.	December 2014	$	1,221,349	$	15,229
9	Australian Government Bond 10 Yr.	December 2014		959,715		44,520
19	Canadian Government Bond 10 Yr.	March 2015		2,287,674		23,380
62	Euro BOBL	December 2014		9,894,048		33,107
4	Euro Bund	December 2014		760,765		2,583
83	UK Gilt Long Bond	March 2015		15,258,107		98,992
			$	30,381,658	$	217,811
Sales
89	Euro Schatz	December 2014	$	12,280,254	$	2,121
29	U.S. Treasury Note 5 Yr. (CBT)	March 2015		3,465,273		(10,359	)
			$	15,745,527	$	(8,238	)

+ Buys - Fund is long the underlying asset to the contract.

Sales - Fund is short the underlying asset to the contract.

Written Options

Principal Amount			Expiration Date	Description	Premiums		Market Value
Call	EUR	1,326,053	02/03/2015	EUR Call/USD Put, Strike 1.28 (OTC) (CP-DB)	$	8,704	$	(6,224	)
Call	EUR	928,074	11/03/2017	EUR Call/USD Put, Strike 1.29 (OTC) (CP-GS)		66,793		(65,676	)
					$	75,497	$	(71,900	)

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Swap Contracts

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	700,000	AUD	11/6/2024	BCI (e)	Receive	4.35%	6 Month AUD BBSW	$	7,833
	1,900,000	AUD	11/7/2024	BCI (e)	Receive	4.31%	6 Month AUD BBSW		18,954
	3,200,000	AUD	11/11/2024	BCI (e)	Receive	4.33%	6 Month AUD BBSW		34,243
	2,100,000	AUD	11/13/2024	BCI (e)	Receive	4.31%	6 Month AUD BBSW		20,528
	3,890,000	EUR	11/28/2016	CSS (e)	Receive	0.10%	3 Month EURIBOR		(85	)
	1,850,000	EUR	10/23/2024	CSS (e)	Receive	1.06%	6 Month EURIBOR		34,877
	422,000,000	JPY	10/3/2024	BCI (e)	(Pay)	0.66%	6 Month JPY LIBOR		(29,336	)
	400,000,000	JPY	10/7/2024	CSS (e)	(Pay)	0.65%	6 Month JPY LIBOR		(24,962	)
	427,000,000	JPY	10/9/2024	CSS (e)	(Pay)	0.65%	6 Month JPY LIBOR		(26,207	)
	667,400,000	JPY	10/15/2024	CSS (e)	(Pay)	0.63%	6 Month JPY LIBOR		(29,080	)
	50,000,000	JPY	11/7/2024	CSS (e)	Receive	0.60%	6 Month JPY LIBOR		750
	77,200,000	JPY	11/25/2024	CSS (e)	(Pay)	0.62%	6 Month JPY LIBOR		(2,218	)
	4,200,000	MXN	10/9/2024	BCI (e)	Receive	6.10%	TIIE		6,140
	10,000,000	MXN	10/11/2024	BCI (e)	Receive	6.18%	TIIE		19,562
	8,000,000	MXN	10/16/2024	BCI (e)	Receive	6.03%	TIIE		8,409
	4,000,000	MXN	10/17/2024	BCI (e)	Receive	6.05%	TIIE		4,667
	4,000,000	MXN	10/18/2024	BCI (e)	Receive	6.08%	TIIE		5,366
	5,700,000	MXN	10/18/2024	BCI (e)	Receive	6.12%	TIIE		8,994
	2,000,000	MXN	10/24/2024	BCI (e)	Receive	6.17%	TIIE		3,723
	8,000,000	MXN	10/25/2024	BCI (e)	Receive	6.19%	TIIE		15,821
	7,200,000	MXN	10/28/2024	BCI (e)	Receive	6.13%	TIIE		11,659
	1,200,000	MXN	10/30/2024	BCI (e)	Receive	6.19%	TIIE		2,479
	7,400,000	SEK	6/1/2016	BCI (e)	(Pay)	0.28%	3 Month SEK STIBOR		(28	)
	12,000,000	SEK	8/5/2016	BCI (e)	Receive	0.63%	3 Month SEK STIBOR		9,174
	27,000,000	SEK	8/6/2016	BCI (e)	Receive	0.62%	3 Month SEK STIBOR		20,582
	31,000,000	SEK	8/7/2016	BCI (e)	Receive	0.63%	3 Month SEK STIBOR		23,918
	13,000,000	SEK	8/11/2016	BCI (e)	Receive	0.62%	3 Month SEK STIBOR		9,822
	7,000,000	SEK	8/13/2016	BCI (e)	Receive	0.63%	3 Month SEK STIBOR		5,582
	5,300,000	SEK	12/1/2016	BCI (e)	(Pay)	0.31%	3 Month SEK STIBOR		14
	7,900,000	USD	10/17/2018	CSS (e)	Receive	2.16%	3 Month USD LIBOR		13,904
	7,900,000	USD	12/17/2021	CSS (e)	Receive	3.11%	3 Month USD LIBOR		52,564
	3,200,000	USD	12/17/2021	CSS (e)	Receive	3.07%	3 Month USD LIBOR		18,513
								$	246,162
						Premiums to (Pay) Receive		$	—

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

As of November 30, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Notes to Schedule of Investments:

BBSW - Bank Bill Swap Reference Rate

BOBL - Bundesobligationen

CP - Counterparty

EURIBOR - Euro Interbank Offered Rate

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

OTC - Over-the-Counter

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

TIIE - Tasa de Interes Interbacaria de Equilibrio - 28 - Day Interbank Equilibrium Interest Rate - Mexico

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

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

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

(c) The rate disclosed is the 7 day net yield as of November 30, 2014. Note: Yield rounds to 0.00%.

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

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

Counterparty Abbreviations:

BCI - Barclays Capital Inc.

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CITI - Citibank N.A.

CSS - Credit Suisse Securities (USA) LLC

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

EUR - Euro

GBP - British Pound

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

SEK - Swedish Krona

USD - United States Dollar

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 80.1%
		Asset-Backed Securities — 78.7%
		Auto Other — 2.7%
	5,000,000	Ally Master Owner Trust, Series 12-1, Class D, 144A, 3.12%, due 02/15/17		5,018,450
	5,500,000	Ally Master Owner Trust, Series 12-3, Class D, 144A, 1 mo. LIBOR + 2.35%, 2.50%, due 06/15/17		5,527,500
	3,600,000	Chesapeake Funding LLC, Series 12-2A, Class C, 144A, 1 mo. LIBOR + 1.55%, 1.71%, due 05/07/24		3,646,125
	2,500,000	Chesapeake Funding LLC, Series 12-2A, Class D, 144A, 1 mo. LIBOR + 1.85%, 2.01%, due 05/07/24		2,531,934
	5,490,000	Ford Credit Floorplan Master Owner Trust, Series 12-5, Class D, 2.73%, due 09/15/19		5,465,123
	4,824,000	Ford Credit Floorplan Master Owner Trust, Series 13-1, Class D, 1.82%, due 01/15/18		4,837,218
	2,500,000	Navistar Financial Corp. Owner Trust, Series 12-A, Class C, 144A, 2.55%, due 01/18/19		2,501,290
	5,000,000	Navistar Financial Corp. Owner Trust, Series 12-A, Class D, 144A, 3.29%, due 01/18/19		5,004,325
	7,000,000	Navistar Financial Dealer Note Master Trust, Series 13-1, Class D, 144A, 1 mo. LIBOR + 2.25%, 2.41%, due 01/25/18		7,004,200
	7,000,000	Navistar Financial Dealer Note Master Trust, Series 13-2, Class D, 144A, 1 mo. LIBOR + 2.25%, 2.41%, due 09/25/18		7,012,530
		Total Auto Other		48,548,695
		Auto Rental — 1.2%
	5,000,000	Avis Budget Rental Car Funding AESOP LLC, Series 13-2A, Class C, 144A, 3.52%, due 02/20/20		5,056,300
	4,500,000	Avis Budget Rental Car Funding AESOP LLC, Series 14-1A, Class C, 144A, 3.75%, due 07/20/20		4,601,835
	7,000,000	Hertz Fleet Lease Funding LP, Series 13-3, Class D, 144A, 1 mo. LIBOR + 2.00%, 2.16%, due 12/10/27		7,073,010
	5,000,000	Hertz Fleet Lease Funding LP, Series 14-1, Class E, 144A, 1 mo. LIBOR + 1.95%, 2.11%, due 04/10/28		5,002,150
		Total Auto Rental		21,733,295
		Auto Retail Prime — 1.3%
	10,044,680	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.35%, due 03/25/36		5,173,010
	4,500,000	California Republic Auto Receivables Trust, Series 12-1, Class C, 144A, 3.00%, due 01/15/20		4,565,781
	13,120,000	California Republic Auto Receivables Trust, Series 13-1, Class C, 144A, 3.25%, due 03/16/20		13,274,003
		Total Auto Retail Prime		23,012,794

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Auto Retail Subprime — 12.5%
	12,430,000	AmeriCredit Automobile Receivables Trust, Series 12-2, Class E, 144A, 4.85%, due 08/08/19		12,836,685
	3,500,000	AmeriCredit Automobile Receivables Trust, Series 13-1, Class E, 144A, 2.64%, due 07/08/20		3,515,185
	9,000,000	AmeriCredit Automobile Receivables Trust, Series 13-3, Class E, 144A, 3.74%, due 12/08/20		9,189,900
	13,720,000	AmeriCredit Automobile Receivables Trust, Series 14-2, Class E, 3.37%, due 11/08/21		13,668,239
	2,320,000	CarFinance Capital Auto Trust, Series 14-1A, Class C, 144A, 3.45%, due 04/15/20		2,355,519
	1,330,000	CarFinance Capital Auto Trust, Series 14-1A, Class D, 144A, 4.90%, due 04/15/20		1,356,237
	2,240,000	CFC LLC, Series 14-2A, Class E, 144A, 5.36%, due 11/15/21		2,230,660
	4,000,000	CPS Auto Receivables Trust, Series 14-A, Class C, 144A, 3.29%, due 02/18/20		3,913,080
	1,500,000	CPS Auto Receivables Trust, Series 14-A, Class D, 144A, 5.11%, due 02/18/20		1,503,240
	269,148	CPS Auto Trust, Series 10-PG5, Class A, 144A, 9.25%, due 01/15/18		273,185
	291,229	CPS Auto Trust, Series 11-C, Class D, 144A, 10.00%, due 03/15/19		293,734
	366,339	CPS Auto Trust, Series 12-A, Class C, 144A, 6.51%, due 06/17/19		371,563
	1,305,870	CPS Auto Trust, Series 12-D, Class D, 144A, 4.82%, due 03/16/20		1,318,276
	387,987	CPS Auto Trust, Series 12-D, Class E, 144A, 7.26%, due 03/16/20		393,220
	1,846,619	CPS Auto Trust, Series 13-A, Class D, 144A, 4.41%, due 06/15/20		1,858,308
	928,560	CPS Auto Trust, Series 13-A, Class E, 144A, 6.41%, due 06/15/20		941,764
	8,868,859	CPS Auto Trust, Series 13-B, Class D, 144A, 4.66%, due 09/15/20		8,945,397
	2,820,000	CPS Auto Trust, Series 13-B, Class E, 144A, 6.41%, due 09/15/20		2,869,406
	10,221,584	DT Auto Owner Trust, Series 11-3A, Class D, 144A, 5.83%, due 03/15/18		10,235,608
	15,000,000	DT Auto Owner Trust, Series 12-2A, Class D, 144A, 4.35%, due 03/15/19		15,180,469
	18,050,000	DT Auto Owner Trust, Series 13-1A, Class D, 144A, 3.74%, due 05/15/20		18,190,606
	8,000,000	DT Auto Owner Trust, Series 13-2A, Class D, 144A, 4.18%, due 06/15/20		8,137,500
	14,000,000	DT Auto Owner Trust, Series 14-1A, Class D, 144A, 3.98%, due 01/15/21		13,978,125
	7,000,000	Exeter Automobile Receivables Trust, Series 13-1A, Class D, 144A, 5.05%, due 10/15/19		7,052,710
	25,000,000	Exeter Automobile Receivables Trust, Series 13-2A, Class D, 144A, 6.81%, due 08/17/20		26,313,298
	6,000,000	Exeter Automobile Receivables Trust, Series 14-1A, Class C, 144A, 3.57%, due 07/15/19		6,120,000

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Auto Retail Subprime — continued
	12,000,000	Exeter Automobile Receivables Trust, Series 14-1A, Class D, 144A, 5.53%, due 02/16/21		12,347,881
	5,000,000	Exeter Automobile Receivables Trust, Series 14-2A, Class C, 144A, 3.26%, due 12/16/19		4,888,800
	6,000,000	Exeter Automobile Receivables Trust, Series 14-2A, Class D, 144A, 4.93%, due 12/15/20		5,968,860
	3,000,000	First Investors Auto Owner Trust, Series 12-2A, Class D, 144A, 3.79%, due 09/16/19		3,072,180
	5,500,000	First Investors Auto Owner Trust, Series 13-2A, Class D, 144A, 3.58%, due 06/15/20		5,600,364
	3,000,000	Flagship Credit Auto Trust, Series 12-1, Class C, 144A, 4.93%, due 05/15/18		3,047,400
	3,000,000	Flagship Credit Auto Trust, Series 14-1, Class C, 144A, 3.34%, due 04/15/20		2,971,080
	1,500,000	Flagship Credit Auto Trust, Series 14-1, Class D, 144A, 4.83%, due 06/15/20		1,495,980
	1,400,000	Flagship Credit Auto Trust, Series 14-1, Class E, 144A, 5.71%, due 08/16/21		1,392,048
	6,000,000	Santander Drive Auto Receivables Trust, Series 13-1, Class C, 1.76%, due 01/15/19		5,986,020
	1,000,000	SNAAC Auto Receivables Trust, Series 14-1A, Class E, 144A, 4.58%, due 04/15/21		1,014,000
	5,000,000	United Auto Credit Securitization Trust, Series 13-1, Class E, 144A, 4.40%, due 04/15/19		5,046,094
		Total Auto Retail Subprime		225,872,621
		Business Equipment Loans — 1.6%
	1,000,000	Ascentium Equipment Receivables, Series 14-1A, Class C, 144A, 2.46%, due 11/13/18		997,900
	2,580,000	Ascentium Equipment Receivables, Series 14-1A, Class D, 144A, 3.10%, due 06/10/21		2,583,612
	5,000,000	CIT Equipment Collateral, Series 12-VT1, Class D, 144A, 4.12%, due 10/21/19		5,046,150
	5,800,000	GE Dealer Floorplan Master Note Trust, Series 12-4, Class B, 1 mo. LIBOR + .70%, 0.86%, due 10/20/17		5,792,280
	3,000,000	Great America Leasing Receivables, Series 12-1, Class C, 144A, 3.00%, due 11/15/18		3,059,400
	2,841,000	LEAF Receivables Funding 9 LLC, Series 13-1, Class D, 144A, 5.11%, due 09/15/21		2,916,008
	5,700,000	LEAF Receivables Funding 9 LLC, Series 13-1, Class E1, 144A, 6.00%, due 09/15/21		5,835,620
	2,282,000	LEAF Receivables Funding 9 LLC, Series 13-1, Class E2, 144A, 6.00%, due 09/15/21		2,205,190
		Total Business Equipment Loans		28,436,160
		Collateralized Debt Obligations — 0.6%
	5,897,785	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.03%, due 11/23/52 *		5,898
	11,233,358	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.49%, due 05/25/46		11,045,550
		Total Collateralized Debt Obligations		11,051,448

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — 0.8%
	14,000,000	Octagon Investment Partners XXI Ltd., Series 14-1A, Class A1A, 144A, 3 mo. LIBOR + 1.47%, 1.70%, due 11/14/26		13,947,500
		Commercial Mortgage-Backed Securities — 11.2%
	1,459,164	Bayview Commercial Asset Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .36%, 0.52%, due 04/25/34		1,357,022
	1,424,796	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.53%, due 01/25/35		1,310,812
	6,014,224	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.55%, due 01/25/36		5,307,552
	10,178,403	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, 1 mo. LIBOR + .28%, 0.44%, due 07/25/36		9,137,152
	1,677,684	Bayview Commercial Asset Trust, Series 06-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 0.46%, due 10/25/36		1,411,435
	11,665,063	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, 1 mo. LIBOR + .27%, 0.43%, due 07/25/37		9,905,971
	9,023,371	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, 1 mo. LIBOR + .24%, 0.40%, due 07/25/37		7,918,008
	12,218,444	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.46%, due 12/25/37		12,401,721
	1,081,388	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, AMBAC, 1 mo. LIBOR + .44%, 0.60%, due 10/25/30		956,509
	17,000,000	Commercial Mortgage Pass-Through Certificates, Series 13-300P, Class D, 144A, 4.54%, due 08/10/30		17,153,499
	749,579	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.44%, due 05/15/32		713,974
	3,251,586	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.39%, due 11/15/33		2,999,588
	7,912,765	GE Business Loan Trust, Series 06-2A, Class A, 144A, 1 mo. LIBOR + .18%, 0.33%, due 11/15/34		7,447,495
	13,020,575	GE Business Loan Trust, Series 07-1A, Class A, 144A, 1 mo. LIBOR + .17%, 0.32%, due 04/16/35		12,382,567
	13,308,794	GE Business Loan Trust, Series 07-1A, Class D, 144A, 1 mo. LIBOR + 1.00%, 1.15%, due 04/16/35		10,913,211
	5,000,000	GP Portfolio Trust, Series 14-GPP, Class D, 144A, 1 mo. LIBOR + 2.75%, 2.90%, due 02/15/27		5,004,500
	23,592,033	Hilton USA Trust, Series 13-HLF, Class EFL, 144A, 1 mo. LIBOR + 3.75%, 3.91%, due 11/05/30		23,615,625
	5,850,000	Hilton USA Trust, Series 13-HLT, Class EFX, 144A, 5.61%, due 11/05/30		6,012,630

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	15,750,000	JP Morgan Chase Commercial Mortgage Securities Corp., Series 14-FBLU, Class D, 144A, 1 mo. LIBOR + 2.60%, 2.76%, due 12/15/28		15,740,550
	3,770,759	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.41%, due 02/25/30		3,555,976
	2,523,604	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.41%, due 09/25/30		2,359,570
	9,823,854	Monty Parent Issuer LLC, Series 2013-LTR1, Class A, 144A, 3.47%, due 11/20/28		9,836,133
	16,176,200	Monty Parent Issuer LLC, Series 2013-LTR1, Class B, 144A, 4.25%, due 11/20/28		16,176,200
	19,000,000	SCG Trust, Series 13-SRP1, Class D, 144A, 1 mo. LIBOR + 3.34%, 3.50%, due 11/15/26		18,790,240
		Total Commercial Mortgage-Backed Securities		202,407,940
		Consumer Loans — 3.5%
	15,500,000	OneMain Financial Issuance Trust 2014-1, Series 14-1A, Class A, 144A, 2.43%, due 06/18/24		15,573,005
	10,000,000	OneMain Financial Issuance Trust 2014-1, Series 14-1A, Class B, 144A, 3.24%, due 06/18/24		10,093,600
	30,000,000	Springleaf Funding Trust, Series 14-AA, Class A, 144A, 2.41%, due 12/15/22		29,871,000
	4,500,000	Springleaf Funding Trust, Series 14-AA, Class B, 144A, 3.45%, due 12/15/22		4,519,800
	4,000,000	Springleaf Funding Trust, Series 14-AA, Class C, 144A, 4.45%, due 12/15/22		4,008,688
		Total Consumer Loans		64,066,093
		Insured Other — 0.4%
	3,288,000	Toll Road Investment Part II, Series 1999B, 144A, NPG, Zero Coupon, due 02/15/30		1,160,664
	30,500,000	Toll Road Investment Part II, Series C, 144A, NPG, Zero Coupon, due 02/15/37		6,679,500
		Total Insured Other		7,840,164
		Insured Residential Mortgage-Backed Securities — 0.6%
	1,447,671	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, 1 mo. LIBOR + .42%, 0.57%, due 07/25/34		1,440,433
	334,034	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, AMBAC, 1 mo. LIBOR + .34%, 0.50%, due 10/25/34		296,388
	699,283	Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.49%, due 01/25/35		615,789
	6,151,959	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.30%, due 06/15/37		5,201,481
	2,878,767	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, 1 mo. LIBOR + .23%, 0.39%, due 10/25/34		2,525,830

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Insured Residential Mortgage-Backed Securities — continued
	55,541	GreenPoint Home Equity Loan Trust, Series 04-1, Class A, AMBAC, 1 mo. LIBOR + .23%, 0.62%, due 07/25/29		54,880
	141,390	GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, 1 mo. LIBOR + .28%, 0.71%, due 08/15/30		117,354
	140,408	Lehman ABS Corp., Series 04-2, Class A, AMBAC, 1 mo. LIBOR + .22%, 0.60%, due 06/25/34		135,143
	52,382	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.45%, due 12/25/32		48,834
		Total Insured Residential Mortgage-Backed Securities		10,436,132
		Miscellaneous — 5.3%
	12,898,318	Aircraft Finance Trust, Series 99-1A, Class A1, 1 mo. LIBOR + .48%, 0.63%, due 05/15/24		5,030,344
	1,059,363	BXG Receivables Note Trust, Series 10-A, Class B, 144A, 7.50%, due 03/02/26		1,114,662
	2,701,825	BXG Receivables Note Trust, Series 12-A, Class B, 144A, 3.99%, due 12/02/27		2,704,014
	5,317,740	BXG Receivables Note Trust, Series 13-A, Class B, 144A, 4.00%, due 12/04/28		5,388,307
	40,598,801	CKE Restaurant Holdings, Inc., Series 13-1A, Class A2, 144A, 4.47%, due 03/20/43		41,617,830
	4,182,959	Continental Airlines, Inc., Series 99-1A, 6.55%, due 08/02/20		4,595,817
	8,950,602	Fairway Outdoor Funding LLC, Series 12-1A, Class A2, 144A, 4.21%, due 10/15/42		9,035,991
	8,000,000	Guanay Finance Ltd., 144A, 6.00%, due 12/15/20		8,500,000
	6,396,526	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.35%, due 09/15/41		6,184,891
	6,681,295	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.35%, due 12/15/41		6,491,296
	6,000,000	Trafigura Securitisation Finance Plc, Series 12-1A, Class A, 144A, 1 mo. LIBOR + 2.40%, 2.55%, due 10/15/15		6,038,437
		Total Miscellaneous		96,701,589
		Residential Mortgage-Backed Securities - Non-Performing Loans — 2.1%
	12,310,974	Stanwich Mortgage Loan Trust, Series 13-NPL2, Class A, 144A, 3.23%, due 04/16/59		12,324,516
	3,366,200	Vericrest Opportunity Loan Transferee, Series 13-NPL5, Class A1, 144A, 3.63%, due 04/25/55		3,366,200
	8,654,529	Vericrest Opportunity Loan Transferee, Series 13-NPL6, Class A1, 144A, 3.63%, due 03/25/54		8,654,529
	4,284,393	Vericrest Opportunity Loan Transferee, Series 13-NPL7, Class A1, 144A, 3.63%, due 11/25/53		4,284,393

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities - Non-Performing Loans — continued
	4,670,736	Vericrest Opportunity Loan Transferee, Series 14-NPL1, Class A1, 144A, 3.63%, due 10/27/53		4,673,072
	5,258,064	Vericrest Opportunity Loan Transferee, Series 14-NPL2, Class A1, 144A, 3.63%, due 11/25/53		5,264,637
		Total Residential Mortgage-Backed Securities - Non-Performing Loans		38,567,347
		Residential Mortgage-Backed Securities - Other — 5.1%
	1,841,162	ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + 0.28%, 0.44%, due 02/25/36		756,718
	2,872,474	ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + 0.32%, 0.48%, due 09/25/35		1,786,678
	6,000,000	American Homes 4 Rent, Series 2014-SFR1, Class D, 144A, 1 mo. LIBOR + 2.10%, 2.35%, due 06/17/31		5,770,800
	11,062,000	American Homes 4 Rent, Series 2014-SFR1, Class E, 144A, 1 mo. LIBOR + 2.50%, 2.75%, due 06/17/31		10,061,995
	1,000,000	American Homes 4 Rent, Series 2014-SFR1, Class F, 144A, 1 mo. LIBOR + 3.25%, 3.50%, due 06/17/31		926,300
	2,892,778	Banc of America Funding Corp., Series 12-R4, Class A, 144A, 1 mo. LIBOR + .26%, 0.42%, due 03/04/39		2,834,923
	5,390,424	Bayview Financial Acquisition Trust, Series 04-B, Class A1, 144A, 1 mo. LIBOR + .50%, 1.16%, due 05/28/39		3,126,446
	5,669,634	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.46%, due 05/28/39		2,381,246
	8,525,538	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.16%, due 02/28/40		6,727,502
	1,492,147	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .16%, 0.47%, due 02/25/37		2,034,095
	367,595	Chevy Chase Mortgage Funding Corp., Series 04-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 0.46%, due 08/25/35		327,160
	11,500,000	Colony American Homes 2014-1, Series 14-1A, Class D, 144A, 1 mo. LIBOR + 2.15%, 2.40%, due 05/17/31		11,068,750
	1,000,000	Invitation Homes Trust, Series 13-SFR1, Class D, 144A, 1 mo. LIBOR + 2.15%, 2.40%, due 12/17/30		976,225
	21,000,000	Invitation Homes Trust, Series 14-SFR1, Class F, 144A, 1 mo. LIBOR + 3.75%, 3.91%, due 06/17/31		19,711,125
	9,400,000	LSTAR Securities Investment Trust 2014-2, Series 14-2, Class A, 144A, 1 mo. LIBOR + 2.00%, 2.15%, due 12/01/21		9,249,017

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities - Other — continued
	5,416,325	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + 0.32%, 0.48%, due 03/25/36		1,462,408
	1,521,635	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, 1 mo. LIBOR + .25%, 0.40%, due 02/26/34		1,368,758
	15,608,514	Washington Mutual Mortgage Pass-Through, Series 06-AR10, Class A2A, 1 mo. LIBOR + .17%, 0.33%, due 12/25/36		12,258,146
		Total Residential Mortgage-Backed Securities - Other		92,828,292
		Residential Mortgage-Backed Securities - Overseas — 0.9%
	10,687,361	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, 3 mo. LIBOR + .22%, 0.45%, due 11/15/38		10,059,479
	6,382,742	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .20%, 0.43%, due 09/15/39		6,018,287
		Total Residential Mortgage-Backed Securities - Overseas		16,077,766
		Residential Mortgage-Backed Securities - Subprime — 16.2%
	1,082,025	Accredited Mortgage Loan Trust, Series 04-4, Class A1B, 1 mo. LIBOR + 0.78%, 0.93%, due 01/25/35		1,038,744
	1,061,493	ACE Securities Corp., Series 06-ASP2, Class A2C, 1 mo. LIBOR + .18%, 0.34%, due 03/25/36		1,048,808
	18,762,409	ACE Securities Corp., Series 06-ASP5, Class A2C, 1 mo. LIBOR + .18%, 0.33%, due 10/25/36		9,634,497
	594,748	ACE Securities Corp., Series 06-HE3, Class A2B, 1 mo. LIBOR + .09%, 0.25%, due 06/25/36		349,266
	7,797,492	ACE Securities Corp., Series 06-OP1, Class A2C, 1 mo. LIBOR + .15%, 0.31%, due 04/25/36		7,142,503
	1,030,783	Argent Securities, Inc., Series 04-W8, Class A5, 1 mo. LIBOR + 1.04%, 1.20%, due 05/25/34		1,014,838
	58,691,207	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.31%, due 07/25/36		25,137,444
	7,694,847	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.27%, due 09/25/36		3,097,176
	7,660,825	Asset-Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.31%, due 10/25/36		6,550,772
	2,428,090	Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.26%, due 11/25/36		2,480,051
	3,774,669	Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.35%, due 11/25/36		2,041,719

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities - Subprime — continued
	3,890,635	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.32%, due 06/25/36		3,873,555
	1,392,481	Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, 1 mo. LIBOR + .38%, 0.54%, due 12/25/33		1,336,782
	348,463	Citigroup Mortgage Loan Trust, Inc., Series 06-WFH4, Class A3, 1 mo. LIBOR + .15%, 0.31%, due 11/25/36		347,128
	9,432,464	Citigroup Mortgage Loan Trust, Inc., Series 07-AMC4, Class A2B, 1 mo. LIBOR + .14%, 0.30%, due 05/25/37		9,085,821
	26,548,865	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.30%, due 02/25/37		25,654,169
	459,006	Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.46%, due 04/25/34		371,866
	8,486,478	First Franklin Mortgage Loan Asset-Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.32%, due 04/25/36		6,704,318
	6,435,735	Fremont Home Loan Trust, Series 06-1, Class 2A3, 1 mo. LIBOR + .18%, 0.34%, due 04/25/36		5,830,776
	2,241,680	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.35%, due 05/25/36		287,215
	11,891,989	GE-WMC Mortgage Securities, Series 06-1, Class A2B, 1 mo. LIBOR + .15%, 0.31%, due 08/25/36		5,763,452
	4,402,516	Household Home Equity Loan Trust, Series 06-1, Class A1, 1 mo. LIBOR + .16%, 0.32%, due 01/20/36		4,386,007
	1,380,098	JP Morgan Mortgage Acquisition Corp., Series 07-CH3, Class A3, 1 mo. LIBOR + .15%, 0.31%, due 03/25/37		1,355,946
	248,322	Master Asset-Backed Securities Trust, Series 05-FRE1, Class A4, 1 mo. LIBOR + .25%, 0.41%, due 10/25/35		247,701
	21,245,172	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.31%, due 08/25/36		9,241,650
	12,837,341	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.32%, due 10/25/36		8,023,338
	4,305,394	Merrill Lynch Mortgage Investors, Series 07-HE2, Class A2A, 1 mo. LIBOR + .12%, 0.28%, due 02/25/37		2,226,750
	1,211,529	Morgan Stanley Capital, Inc., Series 04-SD1, Class A, 1 mo. LIBOR + 0.80%, 0.96%, due 08/25/34		1,165,491
	1,093,543	Morgan Stanley Capital, Inc., Series 06-NC3, Class A2C, 1 mo. LIBOR + 0.17%, 0.33%, due 03/25/36		1,086,435
	29,391,324	Morgan Stanley Capital, Inc., Series 07-HE4, Class A2C, 1 mo. LIBOR + .23%, 0.39%, due 02/25/37		15,092,445

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities - Subprime — continued
	1,349,217	Morgan Stanley Home Equity Loan Trust, Series 07-1, Class A2, 1 mo. LIBOR + .10%, 0.26%, due 12/25/36		812,566
	7,599,719	Morgan Stanley Home Equity Loans, Series 06-3, Class A3, 1 mo. LIBOR + .16%, 0.32%, due 04/25/36		5,722,588
	1,195,042	Morgan Stanley Home Equity Loans, Series 07-2, Class A1, 1 mo. LIBOR + .10%, 0.26%, due 04/25/37		741,045
	17,005,000	Nomura Home Equity Loan, Inc., Series 06-HE1, Class M1, 1 mo. LIBOR + .41%, 0.57%, due 02/25/36		14,624,300
	900,000	Nomura Home Equity Loan, Inc., Series 06-HE3, Class 2A3, 1 mo. LIBOR + .15%, 0.31%, due 07/25/36		813,516
	14,138,862	Opteum Mortgage Acceptance Corp., Series 06-2, Class A1C, 1 mo. LIBOR + .27%, 0.43%, due 07/25/36		10,038,592
	384,831	Quest Trust, Series 04-X1, Class A, 144A, AMBAC, 1 mo. LIBOR + 0.66%, 0.82%, due 03/25/34		374,248
	1,364,085	RAAC Series Trust, Series 06-SP1, Class A2, 1 mo. LIBOR + .19%, 0.35%, due 09/25/45		1,355,628
	837,898	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.38%, due 11/25/35		829,519
	44,473,755	Residential Asset Mortgage Products, Inc., Series 06-RS3, Class A4, 1 mo. LIBOR + .30%, 0.46%, due 05/25/36		33,488,739
	7,080,922	Residential Asset Mortgage Products, Inc., Series 07-RZ1, Class A2, 1 mo. LIBOR + 0.32%, 0.32%, due 02/25/37		6,474,087
	10,000,000	Residential Asset Securities Corp., Series 07-KS3, Class AI3, 1 mo. LIBOR + .25%, 0.41%, due 04/25/37		9,000,000
	262,783	Saxon Asset Securities Trust, Series 04-1, Class A, 1 mo. LIBOR + 0.54%, 0.69%, due 03/25/35		211,417
	11,069,146	Saxon Asset Securities Trust, Series 06-2, Class A3C, 1 mo. LIBOR + .15%, 0.31%, due 09/25/36		10,429,349
	6,175,846	Securitized Asset-Backed Receivables LLC, Series 06-NC2, Class A3, 1 mo. LIBOR + .24%, 0.40%, due 03/25/36		5,558,261
	18,291,534	Securitized Asset-Backed Receivables LLC, Series 06-WM1, Class A2C, 1 mo. LIBOR + .29%, 0.45%, due 12/25/35		15,900,831
	696,287	Securitized Asset-Backed Receivables LLC Trust, Series 06-HE1, Class A2C, 1 mo. LIBOR + .16%, 0.32%, due 07/25/36		349,884
	20,055,193	SG Mortgage Securities Trust, Series 06-FRE2, Class A2C, 1 mo. LIBOR + .16%, 0.32%, due 07/25/36		8,222,629
	6,949,086	Soundview Home Equity Loan Trust, Series 07-OPT1, Class 2A1, 1 mo. LIBOR + .08%, 0.24%, due 06/25/37		4,126,020

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities - Subprime — continued
	3,036,043	Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.36%, due 01/25/36		2,982,912
		Total Residential Mortgage-Backed Securities - Subprime		293,672,794
		Student Loans — 8.5%
	8,210,000	National Collegiate Student Loan Trust, Series 06-2, Class A3, 1 mo. LIBOR + .21%, 0.37%, due 11/25/27		7,512,150
	15,000,000	National Collegiate Student Loan Trust, Series 05-2, Class A4, 1 mo. LIBOR + .27%, 0.43%, due 09/25/29		13,875,000
	1,329,341	National Collegiate Student Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .19%, 0.35%, due 05/25/26		1,324,356
	5,000,000	National Collegiate Student Loan Trust, Series 05-3, Class A4, 1 mo. LIBOR + .28%, 0.44%, due 04/25/29		4,700,000
	6,387,101	National Collegiate Student Loan Trust, Series 06-3, Class A3, 1 mo. LIBOR + .15%, 0.31%, due 10/25/27		6,243,391
	2,450,000	National Collegiate Student Loan Trust, Series 06-3, Class A4, 1 mo. LIBOR + .27%, 0.43%, due 03/26/29		2,180,500
	12,336,867	National Collegiate Student Loan Trust, Series 07-1, Class A2, 1 mo. LIBOR + .13%, 0.29%, due 11/27/28		12,213,498
	31,458,000	SLC Student Loan Trust, Series 06-A, Class C, 3 mo. LIBOR + .45%, 0.68%, due 07/15/36		27,053,880
	3,881,356	SLM Private Credit Student Loan Trust, Series 04-B, Class B, 3 mo. LIBOR + .47%, 0.70%, due 09/15/33		3,696,060
	6,000,000	SLM Student Loan Trust, Series 11-B, Class A3, 144A, 1 mo. LIBOR + 2.25%, 2.40%, due 06/16/42		6,307,800
	8,000,000	SLM Student Loan Trust, Series 04-A, Class A3, 3 mo. LIBOR + .40%, 0.63%, due 06/15/33		7,640,000
	3,584,360	SLM Student Loan Trust, Series 04-A, Class B, 3 mo. LIBOR + .58%, 0.81%, due 06/15/33		3,430,519
	8,500,000	SLM Student Loan Trust, Series 04-B, Class A3, 3 mo. LIBOR + .33%, 0.56%, due 03/15/24		8,019,750
	9,000,000	SLM Student Loan Trust, Series 04-B, Class A4, 3 mo. LIBOR + .43%, 0.66%, due 09/15/33		7,920,000
	14,000,000	SLM Student Loan Trust, Series 05-A, Class A3, 3 mo. LIBOR + .20%, 0.43%, due 06/15/23		13,440,000
	11,537,782	SLM Student Loan Trust, Series 06-C, Class A4, 3 mo. LIBOR + .17%, 0.40%, due 03/15/23		11,220,493
	5,927,957	SLM Student Loan Trust, Series 10-A, Class 2A, 144A, 1 mo. LIBOR + 3.25%, 3.40%, due 05/16/44		6,240,099

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — continued
	3,000,000	SLM Student Loan Trust, Series 12-B, Class A2, 144A, 3.48%, due 10/15/30		3,126,480
	7,000,000	SLM Student Loan Trust, Series 14-A, Class B, 144A, 3.50%, due 11/15/44		6,804,994
		Total Student Loans		152,948,970
		Time Share — 4.2%
	7,291,774	Diamond Resorts Owner Trust, Series 13-2, Class A, 144A, 2.27%, due 05/20/26		7,319,891
	2,643,268	Diamond Resorts Owner Trust, Series 13-2, Class B, 144A, 2.62%, due 05/20/26		2,650,585
	4,118,503	Marriott Vacation Club Owner Trust, Series 12-1A, Class B, 144A, 3.50%, due 05/20/30		4,220,880
	1,123,225	Orange Lake Timeshare Trust, Series 12-AA, Class B, 144A, 4.87%, due 03/10/27		1,161,644
	109,206	Sierra Receivables Funding Co. LLC, Series 11-1A, Class B, 144A, 4.23%, due 04/20/26		111,131
	2,528,805	Sierra Receivables Funding Co. LLC, Series 12-1A, Class B, 144A, 3.58%, due 11/20/28		2,571,602
	5,367,162	Sierra Receivables Funding Co. LLC, Series 12-2A, Class B, 144A, 3.42%, due 03/20/29		5,466,702
	1,335,051	Sierra Receivables Funding Co. LLC, Series 12-3A, Class B, 144A, 2.66%, due 08/20/29		1,340,683
	2,987,729	Sierra Receivables Funding Co. LLC, Series 13-1A, Class B, 144A, 2.39%, due 11/20/29		2,990,494
	9,604,362	Sierra Receivables Funding Co. LLC, Series 13-2A, Class C, 144A, 4.75%, due 11/20/25		9,802,711
	6,584,852	Silverleaf Finance LLC, Series 12-D, Class B, 144A, 4.45%, due 03/17/25		6,680,860
	7,903,240	Silverleaf Finance LLC, Series 13-A, Class B, 144A, 3.67%, due 03/16/26		7,943,736
	465,200	Silverleaf Finance Vii LLC, Series 10-A, Class B, 144A, 8.00%, due 07/15/22		469,852
	202,259	Silverleaf Finance Vii LLC, Series 10-A, Class C, 144A, 10.00%, due 07/15/22		203,586
	7,362,543	Welk Resorts LLC, Series 13-AA, Class A, 144A, 3.10%, due 03/15/29		7,314,686
	852,236	Westgate Resorts LLC, Series 12-1, Class B, 144A, 5.50%, due 09/20/25		855,109
	661,185	Westgate Resorts LLC, Series 12-2A, Class B, 144A, 4.50%, due 01/20/25		667,671
	991,778	Westgate Resorts LLC, Series 12-2A, Class C, 144A, 9.00%, due 01/20/25		1,015,715
	2,067,978	Westgate Resorts LLC, Series 12-3A, Class A, 144A, 2.50%, due 03/20/25		2,076,787
	3,888,977	Westgate Resorts LLC, Series 13-1A, Class A, 144A, 2.25%, due 08/20/25		3,899,461
	3,888,977	Westgate Resorts LLC, Series 13-1A, Class B, 144A, 3.75%, due 08/20/25		3,917,275
	3,630,279	Westgate Resorts LLC, Series 14-AA, Class A, 144A, 6.25%, due 10/20/26		3,623,004
		Total Time Share		76,304,065
		Total Asset-Backed Securities		1,424,453,665

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value ($) / Shares		Description	Value ($)
		U.S. Government Agency — 1.4%
	774,304	Agency for International Development Floater (Support of Jamaica), 3 mo. LIBOR + .30%, 0.53%, due 10/01/18 (a)		759,202
	10,368,750	Agency for International Development Floater (Support of Morocco), 6 mo. LIBOR - .02%, 0.31%, due 02/01/25 (a)		9,764,591
	9,000,000	Agency for International Development Floater (Support of Morocco), 6 mo. LIBOR + .15%, 0.48%, due 10/29/26 (a)		8,466,876
	6,345,000	Agency for International Development Floater (Support of Tunisia), 6 mo. LIBOR, 0.31%, due 07/01/23 (a)		6,036,763
	200,000	U.S. Department of Transportation, 144A, 6.00%, due 12/07/21		213,500
		Total U.S. Government Agency		25,240,932
		TOTAL DEBT OBLIGATIONS (COST $1,531,670,829)		1,449,694,597
		MUTUAL FUNDS — 2.5%
		Affiliated Issuers — 2.5%
	1,793,273	GMO U.S. Treasury Fund		44,831,828
		TOTAL MUTUAL FUNDS (COST $44,831,828)		44,831,828
		SHORT-TERM INVESTMENTS — 17.1%
		Money Market Funds — 0.5%
	8,882,228	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (b)		8,882,228
		U.S. Government — 16.6%
	45,000,000	U.S. Treasury Bill, 0.04%, due 12/26/14 (c)		44,998,650
	15,000,000	U.S. Treasury Bill, 0.06%, due 04/23/15 (c)		14,996,430
	45,000,000	U.S. Treasury Bill, 0.05%, due 04/02/15 (c)		44,993,115
	20,000,000	U.S. Treasury Bill, 0.05%, due 04/09/15 (c)		19,996,600
	22,000,000	U.S. Treasury Bill, 0.05%, due 04/16/15 (c)		21,995,842

Par Value ($)		Description	Value ($)
		U.S. Government — continued
	44,000,000	U.S. Treasury Bill, 0.02%, due 01/02/15 (c) (d)		43,999,296
	25,000,000	U.S. Treasury Bill, 0.02%, due 12/04/14 (c)		24,999,950
	70,000,000	U.S. Treasury Bill, 0.02%, due 12/18/14 (c)		69,999,230
	15,000,000	U.S. Treasury Bill, 0.07%, due 05/07/15 (c)		14,995,755
		Total U.S. Government		300,974,868
		TOTAL SHORT-TERM INVESTMENTS (COST $309,862,402)		309,857,096
		TOTAL INVESTMENTS — 99.7% (Cost $1,886,365,059)		1,804,383,521
		Other Assets and Liabilities (net) — 0.3%		5,380,330
		TOTAL NET ASSETS — 100.0%		$1,809,763,851

A summary of outstanding financial instruments at November 30, 2014 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Sales
976	U.S. Treasury Note 5 Yr. (CBT)	March 2015	$	116,624,376	$	(348,614	)
126	U.S. Treasury Note 10 Yr. (CBT)	March 2015		16,007,906		(69,079	)
			$	132,632,282	$	(417,693	)

+ Buys - Fund is long the underlying asset to the contract.
Sales - Fund is short the underlying asset to the contract.

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)
	20,000,000	USD	6/20/2016	GS	Receive	5.00%	8.02%	MBIA Corp		20,000,000	USD	$	(668,850	)
	20,000,000	USD	3/20/2017	GS	(Pay)	5.00%	8.68%	MBIA Corp		N/A			1,258,072
												$	589,222
								Premiums to (Pay) Receive				$	(300,000	)

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

^ Receive - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(Pay) - Fund pays premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽¹⁾  As of November 30, 2014, implied credit spreads in absolute terms and utilized in determining the market value of credit default swap contracts on the reference security 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)
	50,000,000	USD	2/5/2019	CSS (e)	(Pay)	1.57%	3 Month USD LIBOR	$	(247,603	)
	4,000,000	USD	3/18/2020	CSS (e)	(Pay)	1.85%	3 Month USD LIBOR		(9,467	)
								$	(257,070	)
						Premiums to (Pay) Receive		$	7,000

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

As of November 30, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

CDO - Collateralized Debt Obligation

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

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

LIBOR - London Interbank Offered Rate

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

NPG – National Public Finance Guarantee Corporation.

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 on variable rate notes are subject to change based on the terms of the security. The rates shown are the interest rates at November 30, 2014.

* Non-income producing security.

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

(b) The rate disclosed is the 7 day net yield as of November 30, 2014. 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/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any.

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

Counterparty Abbreviations:

CSS - Credit Suisse Securities (USA) LLC

GS - Goldman Sachs International

Currency Abbreviations:

USD - United States Dollar

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 87.3%
		Albania — 1.1%
		Foreign Government Obligations
EUR	3,760,000	Albania Government International Bond, 7.50%, due 11/04/15		4,883,487
USD	49,249,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a)		33,982,396
		Total Albania		38,865,883
		Argentina — 7.2%
		Foreign Government Obligations — 6.0%
USD	9,000,000	Province of Buenos Aires, Reg S, Step Up, 4.00%, due 05/15/35		5,130,000
USD	57,483,558	Republic of Argentina Discount Bond, 8.28%, due 12/31/33 (b)		51,304,075
USD	10,786,557	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		9,103,854
EUR	2,160,205	Republic of Argentina Discount Bond, 7.82%, due 12/31/33 (b)		2,365,389
DEM	3,830,000	Republic of Argentina Discount Bond, Series DM, 6 mo. DEM LIBOR + .81%, due 03/31/23 (b)		2,509,746
EUR	298,220,524	Republic of Argentina GDP Linked, due 12/15/35 (c)		29,686,053
USD	5,440,000	Republic of Argentina Par Bond, Step Up, 2.50%, due 12/31/38		2,877,760
EUR	162,500,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38 (b)		102,615,829
EUR	8,930,000	Republic of Argentina Par Bond, 2.26%, due 12/31/38 (b)		5,528,019
				211,120,725
		Judgments — 1.2%
USD	32,000,000	Republic of Argentina Discount Bond, Series L-GL, 6 mo. LIBOR + .81%, due 03/31/23 (b) (d) (e)		28,928,000
USD	15,000,000	Republic of Argentina Global Par Bond, Series L-GP, Step Up, 6.00%, due 03/31/23 (b) (d) (e)		13,560,000
				42,488,000
		Total Argentina		253,608,725
		Armenia — 0.5%
		Foreign Government Obligations
USD	17,000,000	Republic of Armenia, Reg S, 6.00%, due 09/30/20		17,446,250
		Azerbaijan — 0.7%
		Foreign Government Obligations
USD	23,000,000	Republic of Azerbaijan International Bond, Reg S, 4.75%, due 03/18/24		23,517,500
		Bahrain — 1.0%
		Foreign Government Obligations
USD	18,000,000	Bahrain Government International Bond, Reg S, 6.13%, due 08/01/23		20,430,000

Par Value		Description	Value ($)
		Bahrain — continued
		Foreign Government Obligations — continued
USD	13,000,000	Bahrain Government International Bond, 144A, 6.00%, due 09/19/44		13,276,250
		Total Bahrain		33,706,250
		Barbados — 0.1%
		Foreign Government Obligations
USD	2,800,000	Government of Barbados, Reg S, 7.00%, due 08/04/22		2,611,000
		Belarus — 0.1%
		Foreign Government Obligations
USD	5,000,000	Republic of Belarus, Reg S, 8.95%, due 01/26/18		5,350,000
		Belize — 0.5%
		Foreign Government Obligations
USD	21,413,400	Republic of Belize, Reg S, Step Up, 5.00%, due 02/20/38		16,220,650
		Bosnia & Herzegovina — 0.1%
		Foreign Government Obligations
DEM	8,274,920	Bosnia & Herzegovina, Series A, 6 mo. DEM LIBOR + .81%, 1.10%, due 12/11/17		4,790,701
		Brazil — 3.3%
		Foreign Government Agency — 1.7%
USD	31,000,000	Banco Nacional de Desenvolvimento Economico e Social, Reg S, 5.75%, due 09/26/23		32,627,500
USD	27,000,000	Petrobras Global Finance BV, 7.25%, due 03/17/44		28,306,800
				60,934,300
		Foreign Government Obligations — 1.6%
USD	20,000,000	Republic of Brazil, 7.13%, due 01/20/37		25,475,000
USD	21,000,000	Republic of Brazil, 8.25%, due 01/20/34		29,295,000
				54,770,000
		Total Brazil		115,704,300
		Chile — 0.6%
		Corporate Debt
USD	17,000,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97		21,250,000
		Colombia — 1.9%
		Foreign Government Agency — 0.9%
USD	17,000,000	Ecopetrol SA, 7.38%, due 09/18/43		20,116,780
USD	12,000,000	Ecopetrol SA, 5.88%, due 05/28/45		11,910,000
				32,026,780

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value		Description	Value ($)
		Colombia — continued
		Foreign Government Obligations — 1.0%
USD	18,000,000	Colombia Government International Bond, 5.63%, due 02/26/44		20,430,000
USD	8,000,000	Republic of Colombia, 8.70%, due 02/15/16		8,740,000
USD	3,800,000	Republic of Colombia, 11.85%, due 03/09/28 (d)		5,886,999
				35,056,999
		Total Colombia		67,083,779
		Congo Republic (Brazzaville) — 2.6%
		Foreign Government Obligations
USD	97,469,164	ndeiRepublic of Congo, Reg S, Series INTL, Step Up, 3.50%, due 06/30/29		90,646,323
		Costa Rica — 0.4%
		Foreign Government Agency — 0.3%
USD	12,800,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		10,992,000
		Foreign Government Obligations — 0.1%
USD	3,000,000	Costa Rica Government International Bond, Reg S, 5.63%, due 04/30/43		2,595,000
		Total Costa Rica		13,587,000
		Croatia — 1.5%
		Foreign Government Obligations
USD	6,000,000	Croatia Government International Bond, Reg S, 6.38%, due 03/24/21		6,622,500
USD	24,000,000	Croatia Government International Bond, Reg S, 5.50%, due 04/04/23		25,230,000
USD	18,000,000	Croatia Government International Bond, Reg S, 6.00%, due 01/26/24		19,530,000
		Total Croatia		51,382,500
		Dominican Republic — 2.7%
		Asset-Backed Securities — 0.7%
USD	25,327,597	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 01/15/26 (d)		25,038,654
		Foreign Government Agency — 0.2%
USD	5,800,000	Banco de Reservas de la Republica Dominicana, Reg S, 7.00%, due 02/01/23		5,865,714
		Foreign Government Obligations — 1.8%
USD	8,000,000	Dominican Republic, Reg S, 8.63%, due 04/20/27		9,740,000
USD	38,607,000	Dominican Republic Discount Bond, 6 mo. LIBOR + .81%, 1.14%, due 08/30/24		33,925,901
USD	19,000,000	Dominican Republic International Bond, Reg S, 7.45%, due 04/30/44		21,375,000
				65,040,901
		Total Dominican Republic		95,945,269

Par Value		Description	Value ($)
		Ecuador — 0.5%
		Foreign Government Obligations
USD	6,000,000	Ecuador Government International Bond, 144A, 7.95%, due 06/20/24		6,165,000
USD	15,876,000	Republic of Ecuador, Step Up, Reg S, 10.00%, due 08/15/30 (b)		10,716,300
		Total Ecuador		16,881,300
		El Salvador — 0.3%
		Foreign Government Obligations
USD	10,000,000	El Salvador Government International Bond, Reg S, 7.63%, due 02/01/41		10,900,000
		Gabon — 0.4%
		Foreign Government Obligations
USD	13,000,000	Gabonese Republic, Reg S, 6.38%, due 12/12/24		13,357,500
		Ghana — 0.1%
		Foreign Government Obligations
USD	5,000,000	Republic of Ghana, Reg S, 7.88%, due 08/07/23		4,950,000
		Greece — 0.4%
		Foreign Government Obligations
EUR	20,882,000	Hellenic Republic Government Bond, Step Up, 2.00%, due 02/24/36		13,710,434
		Grenada — 0.1%
		Foreign Government Obligations
USD	9,000,000	Grenada Government International Bond, Step Up, Reg S, 6.00%, due 09/15/25 (b)		2,947,500
		Guatemala — 0.3%
		Foreign Government Obligations
USD	8,500,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		11,156,250
		Honduras — 0.8%
		Foreign Government Obligations
USD	12,000,000	Honduras Government International Bond, Reg S, 7.50%, due 03/15/24		12,780,000
USD	14,000,000	Republic of Honduras, Reg S, 8.75%, due 12/16/20		15,890,000
		Total Honduras		28,670,000
		Hungary — 2.0%
		Foreign Government Obligations
USD	51,500,000	Hungary Government International Bond, 7.63%, due 03/29/41		69,065,105

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value		Description	Value ($)
		Iceland — 0.3%
		Foreign Government Obligations
USD	11,000,000	Iceland Government International Bond, Reg S, 5.88%, due 05/11/22		12,405,800
		Indonesia — 3.9%
		Foreign Government Agency — 1.6%
USD	28,200,000	Majapahit Holding BV, Reg S, 7.88%, due 06/29/37		34,298,250
USD	8,000,000	Majapahit Holding BV, Reg S, 7.75%, due 01/20/20		9,360,000
USD	10,400,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		11,180,000
				54,838,250
		Foreign Government Obligations — 2.3%
USD	12,500,000	Indonesia Government International Bond, Reg S, 4.63%, due 04/15/43		11,816,250
USD	33,800,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/17/42		34,560,500
USD	12,216,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		14,506,500
USD	16,784,000	Indonesia Government International Bond, Reg S, 6.75%, due 01/15/44		20,959,859
				81,843,109
		Total Indonesia		136,681,359
		Iraq — 0.4%
		Foreign Government Obligations
USD	15,000,000	Republic of Iraq, Reg S, 5.80%, due 01/15/28		13,050,000
		Israel — 1.0%
		Foreign Government Agency
USD	7,243,000	Israel Electric Corp. Ltd., Reg S, 7.88%, due 12/15/26		8,926,997
USD	4,637,000	Israel Electric Corp. Ltd., Reg S, 8.10%, due 12/15/96		5,065,923
JPY	2,500,000,000	Israel Electric Corp. Ltd, 4.10%, due 01/14/32		19,908,149
		Total Israel		33,901,069
		Ivory Coast — 0.7%
		Foreign Government Obligations
USD	25,265,000	Ivory Coast Government International Bond, Reg S, Step Up, 5.75%, due 12/31/32		24,443,887
		Jamaica — 0.3%
		Foreign Government Agency — 0.1%
USD	5,000,000	National Road Operating & Construction Co. Ltd., Reg S, 9.38%, due 11/10/24		5,350,000

Par Value		Description	Value ($)
		Jamaica — continued
		Foreign Government Obligations — 0.2%
USD	6,100,000	Jamaica Government International Bond, 7.63%, due 07/09/25		6,527,000
		Total Jamaica		11,877,000
		Kazakhstan — 0.4%
		Foreign Government Agency — 0.3%
USD	9,000,000	KazMunayGas National Co. JSC, 144A, 6.00%, due 11/07/44		8,505,000
		Foreign Government Obligations — 0.1%
USD	5,000,000	Kazakhstan Government International Bond, 144A, 4.88%, due 10/14/44		4,762,500
		Total Kazakhstan		13,267,500
		Kenya — 0.5%
		Foreign Government Obligations
USD	17,000,000	Kenya Government International Bond, 144A, 6.88%, due 06/24/24		18,190,000
		Latvia — 0.1%
		Foreign Government Obligations
USD	4,000,000	Republic of Latvia, Reg S, 5.25%, due 06/16/21		4,512,900
		Lithuania — 0.4%
		Foreign Government Obligations
USD	11,500,000	Republic of Lithuania, Reg S, 6.63%, due 02/01/22		13,986,300
		Macedonia — 0.4%
		Foreign Government Obligations
EUR	11,000,000	FYR Macedonia Bond, 144A, 3.98%, due 07/24/21		13,943,932
		Mexico — 8.4%
		Foreign Government Agency — 2.6%
USD	51,000,000	Pemex Project Funding Master Trust, 6.63%, due 06/15/35		59,670,000
USD	26,500,000	Petroleos Mexicanos, 6.38%, due 01/23/45		30,077,500
USD	1,360,000	Petroleos Mexicanos, 9.50%, due 09/15/27		1,753,040
				91,500,540
		Foreign Government Obligations — 5.8%
USD	191,190,000	United Mexican States, 5.75%, due 10/12/2110		205,051,275
		Total Mexico		296,551,815

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value		Description	Value ($)
		Mongolia — 0.3%
		Foreign Government Obligations
USD	12,000,000	Mongolia Government International Bond, Reg S, 5.13%, due 12/05/22		10,740,000
		Montenegro — 0.1%
		Foreign Government Obligations
EUR	2,000,000	Montenegro Government International Bond, 7.25%, due 04/08/16		2,579,433
		Morocco — 1.0%
		Foreign Government Agency
USD	32,000,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44, 6.88%, due 04/25/44		35,040,000
		Nigeria — 0.4%
		Foreign Government Obligations
USD	6,100,000	Nigeria Government International Bond, Reg S, 6.75%, due 01/28/21		6,496,500
USD	8,400,000	Nigeria Government International Bond, Reg S, 6.38%, due 07/12/23		8,715,000
		Total Nigeria		15,211,500
		Pakistan — 0.5%
		Foreign Government Obligations
USD	18,500,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		17,320,625
		Panama — 0.5%
		Foreign Government Obligations
USD	1,535,000	Panama Government International Bond, 8.13%, due 04/28/34		2,110,625
USD	16,408,000	Panama Government International Bond, 4.30%, due 04/29/53		14,890,260
		Total Panama		17,000,885
		Paraguay — 0.3%
		Foreign Government Obligations
USD	11,000,000	Republic of Paraguay, 144A, 6.10%, due 08/11/44		11,715,000
		Peru — 1.4%
		Foreign Government Agency — 0.3%
USD	12,452,000	Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25		8,903,180
		Foreign Government Obligations — 1.1%
USD	5,000,000	Peru Par Bond, Series 30 Yr., Step Up, 4.00%, due 03/07/27 (d)		5,000,000
USD	29,000,000	Republic of Peru, 5.63%, due 11/18/50		33,930,000
				38,930,000
		Total Peru		47,833,180

Par Value		Description	Value ($)
		Philippines — 3.7%
		Foreign Government Agency — 2.7%
USD	25,651,000	Central Bank of Philippines, Series A, 8.60%, due 06/15/27		35,590,762
USD	40,550,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		61,636,000
				97,226,762
		Foreign Government Obligations — 1.0%
USD	26,720,000	Republic of Philippines, 6.38%, due 01/15/32		34,435,400
		Total Philippines		131,662,162
		Qatar — 0.2%
		Foreign Government Obligations
USD	5,000,000	Qatar Government International Bond, Reg S, 5.75%, due 01/20/42		5,992,250
		Romania — 0.5%
		Foreign Government Obligations
USD	16,000,000	Romanian Government International Bond, Reg S, 6.13%, due 01/22/44		19,200,000
		Russia — 5.9%
		Foreign Government Agency — 3.9%
USD	27,000,000	Gazprom Neft OAO Via GPN Capital SA, Reg S, 4.38%, due 09/19/22		22,173,750
USD	38,800,000	Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34		42,777,000
USD	23,000,000	Sberbank of Russia Via SB Capital SA, 144A, 5.13%, due 10/29/22		18,802,500
USD	3,000,000	Sberbank of Russia Via SB Capital SA, Reg S, 5.72%, due 06/16/21		2,826,540
USD	51,600,000	VTB Capital SA, Reg S, 6.25%, due 06/30/35		51,729,000
				138,308,790
		Foreign Government Obligations — 2.0%
USD	70,000,000	Russian Foreign Bond, Reg S, 5.88%, due 09/16/43		68,075,000
		Total Russia		206,383,790
		Senegal — 0.3%
		Foreign Government Obligations
USD	8,750,000	Republic of Senegal, Reg S, 8.75%, due 05/13/21		10,084,375
		Serbia — 0.9%
		Foreign Government Obligations
USD	5,137,740	Republic of Serbia, Reg S, Step Up, 6.75%, due 11/01/24		5,214,806
USD	24,000,000	Republic of Serbia, 7.25%, due 09/28/21		27,450,000
		Total Serbia		32,664,806

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value		Description	Value ($)
		Slovenia — 0.5%
		Foreign Government Obligations
USD	15,000,000	Slovenia Government International Bond, Reg S, 5.85%, due 05/10/23		17,232,000
		South Africa — 1.4%
		Foreign Government Agency — 0.1%
ZAR	163,000,000	Eskom Holdings Ltd., Zero Coupon, due 12/31/32		2,287,539
ZAR	20,000,000	Transnet Ltd., 13.50%, due 04/18/28		2,255,960
				4,543,499
		Foreign Government Obligations — 1.3%
USD	15,000,000	South Africa Government International Bond, 5.88%, due 09/16/25		17,137,500
USD	26,000,000	South Africa Government International Bond, 5.38%, due 07/24/44		27,495,000
				44,632,500
		Total South Africa		49,175,999
		South Korea — 0.7%
		Foreign Government Agency
USD	8,000,000	Export-Import Bank of Korea, 5.13%, due 06/29/20		9,060,899
USD	5,000,000	Korea Gas Corp., Reg S, 6.25%, due 01/20/42		6,942,000
USD	8,000,000	Korea Hydro & Nuclear Power Co. Ltd., Reg S, 4.75%, due 07/13/21		8,918,704
		Total South Korea		24,921,603
		Sri Lanka — 0.8%
		Foreign Government Obligations
USD	8,500,000	Sri Lanka Government International Bond, Reg S, 6.25%, due 07/27/21		9,095,000
USD	19,150,000	Sri Lanka Government International Bond, Reg S, 5.88%, due 07/25/22		20,011,750
		Total Sri Lanka		29,106,750
		Thailand — 0.3%
		Foreign Government Agency
USD	7,000,000	PTT PCL, Reg S, 4.50%, due 10/25/42		6,489,008
USD	4,000,000	PTTEP Canada International Finance Ltd., Reg S, 5.69%, due 04/05/21		4,557,149
		Total Thailand		11,046,157
		Trinidad And Tobago — 0.2%
		Foreign Government Agency
USD	6,000,000	Petroleum Company of Trinidad and Tobago Ltd., Reg S, 9.75%, due 08/14/19		7,305,000

Par Value		Description	Value ($)
		Tunisia — 1.8%
		Foreign Government Agency
JPY	7,000,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30		50,557,850
JPY	2,000,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31		14,209,151
		Total Tunisia		64,767,001
		Turkey — 5.0%
		Foreign Government Agency — 0.2%
USD	1,000,000	Export Credit Bank of Turkey, Reg S, 5.38%, due 11/04/16		1,052,500
USD	5,000,000	Turkiye Halk Bankasi AS, Reg S, 4.88%, due 07/19/17		5,219,000
				6,271,500
		Foreign Government Obligations — 4.8%
USD	64,000,000	Republic of Turkey, 6.75%, due 05/30/40		79,920,000
EUR	18,000,000	Republic of Turkey, 4.35%, due 11/12/21		24,833,108
USD	53,000,000	Turkey Government International Bond, 6.63%, due 02/17/45		65,720,000
				170,473,108
		Total Turkey		176,744,608
		Ukraine — 0.9%
		Foreign Government Obligations
USD	4,000,000	City of Kyiv / Kyiv Finance PLC, Reg S, 9.38%, due 07/11/16		2,900,000
USD	36,381,000	Ukraine Government International Bond, Reg S, 7.95%, due 02/23/21		27,922,417
		Total Ukraine		30,822,417
		United States — 3.4%
		Asset-Backed Securities — 1.3%
USD	2,399,687	Aircraft Finance Trust, Series 99-1A, Class A1, 1 mo. LIBOR + .48%, 0.63%, due 05/15/24		935,878
USD	107,259	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, AMBAC, 1 mo. LIBOR + .34%, 0.50%, due 10/25/34		95,171
USD	514,947	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, AMBAC, 1 mo. LIBOR + .44%, 0.60%, due 10/25/30		455,480
USD	11,886,841	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, 1 mo. LIBOR + .24%, 0.39%, due 12/15/35 ¿		10,947,780
USD	6,580,293	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, 1 mo. LIBOR + .24%, 0.39%, due 12/15/35 ¿		4,721,360
USD	4,515,252	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XL, 1 mo. LIBOR + .20%, 0.35%, due 05/15/36 ¿		3,589,625

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
USD	10,175,941	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.32%, due 10/25/36 ¿		6,359,963
USD	2,178,707	Morgan Stanley Capital, Inc., Series 06-NC3, Class A2C, 1 mo. LIBOR + .17%, 0.33%, due 03/25/36 ¿		2,164,546
USD	12,659,666	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.31%, due 11/25/36 ¿		6,880,529
USD	12,828,462	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, 1 mo. LIBOR + .22%, 0.38%, due 11/25/36 ¿		7,183,939
USD	6,856,378	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, 1 mo. LIBOR + .36%, 0.52%, due 04/25/37 ¿		3,428,189
				46,762,460
		U.S. Government — 2.1%
USD	73,615,500	U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22 (f) (g)		72,821,852
		Total United States		119,584,312
		Uruguay — 1.5%
		Foreign Government Obligations
USD	15,000,000	Uruguay Government International Bond, 4.13%, due 11/20/45		13,275,000
USD	17,500,000	Uruguay Government International Bond, 4.50%, due 08/14/24		18,541,250
USD	21,000,000	Uruguay Government International Bond, 5.10%, due 06/18/50		21,084,000
		Total Uruguay		52,900,250
		Venezuela — 7.7%
		Foreign Government Agency — 4.6%
USD	89,108,000	Electricidad de Caracas Finance BV, 8.50%, due 04/10/18		49,854,759
USD	154,500,000	Petroleos de Venezuela SA, Reg S, 9.00%, due 11/17/21		84,202,500
USD	62,500,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24		28,437,500
				162,494,759
		Foreign Government Obligations — 3.1%
USD	45,500,000	Republic of Venezuela, Reg S, 11.95%, due 08/05/31		27,527,500
USD	5,000,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19		2,775,000
USD	141,750,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23		76,545,000
				106,847,500
		Total Venezuela		269,342,259

Par Value		Description	Value ($)
		Vietnam — 0.4%
		Foreign Government Agency — 0.3%
USD	18,804,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		10,342,200
		Foreign Government Obligations — 0.1%
USD	5,000,000	Socialist Republic of Vietnam, Series 30 Yr., 6 mo. LIBOR + .81%, 1.19%, due 03/13/28		4,500,000
		Total Vietnam		14,842,200
		Zambia — 0.7%
		Foreign Government Obligations
USD	12,000,000	Zambia Government International Bond, Reg S, 5.38%, due 09/20/22		11,427,600
USD	11,000,000	Zambia Government International Bond, Reg S, 8.50%, due 04/14/24		12,347,500
		Total Zambia		23,775,100
		TOTAL DEBT OBLIGATIONS (COST $2,934,500,950)		3,071,159,443
		LOAN ASSIGNMENTS — 0.3%
		Dominican Republic — 0.0%
USD	800,030	Dominican Republic, 6 mo. LIBOR + 1.75%, 2.09%, due 08/15/15		772,494
		Indonesia — 0.3%
USD	1,825,200	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.19%, due 12/14/19		1,711,125
USD	1,825,200	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.19%, due 12/14/19		1,711,125
USD	2,433,600	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.19%, due 12/14/19		2,281,500
USD	1,326,228	Republic of Indonesia Loan Agreement, dated September 14, 1994, 6 mo. LIBOR + .88%, 1.25%, due 12/16/19		1,220,129
EUR	1,276,457	Republic of Indonesia, Indonesia Paris Club Debt, 4.00%, due 06/01/21		1,270,636
		Total Indonesia		8,194,515
		TOTAL LOAN ASSIGNMENTS (COST $8,232,236)		8,967,009
		LOAN PARTICIPATIONS — 2.1%
		Angola — 0.9%
USD	15,000,000	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.60%, due 12/13/23		15,000,000

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares / Par Value		Description	Value ($)
		Angola — continued
USD	18,000,000	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 1.00%, due 12/20/23		18,000,000
		Total Angola		33,000,000
		Egypt — 0.0%
CHF	1,682,646	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (d)		1,386,242
		Indonesia — 0.2%
USD	7,333,489	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR +.88%, 1.21%, due 09/29/19		6,728,476
		Iraq — 0.6%
JPY	3,912,367,488	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), Zero Coupon, due 01/01/28		19,502,494
JPY	511,201,212	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), Zero Coupon, due 01/01/28		2,519,864
		Total Iraq		22,022,358
		Russia — 0.1%
EUR	57,042,402	Russian Foreign Trade Obligations (Participation with GML International Ltd.), Zero Coupon, due 01/01/50 (d)		1,582,448
		Vietnam — 0.3%
JPY	1,189,449,361	Socialist Republic of Vietnam Loan Agreement (Participation with Deutsche Bank), 6 mo. JPY LIBOR + .60%, 0.78%, due 09/01/17		9,058,438
		TOTAL LOAN PARTICIPATIONS (COST $94,555,575)		73,777,962
		MUTUAL FUNDS — 3.1%
		United States
		Affiliated Issuers
	568,012	GMO Debt Opportunities Fund, Class VI		14,205,973
	2,240,326	GMO U.S. Treasury Fund		56,008,143
	1,515,449	GMO World Opportunity Overlay Fund		39,947,227
		TOTAL MUTUAL FUNDS (COST $103,857,113)		110,161,343

Shares / Par Value ($)		Description	Value ($)
		RIGHTS/WARRANTS — 0.3%
		Nigeria — 0.1%
	25,000	Central Bank of Nigeria Oil Warrants, Expires 11/15/20 *		3,650,000
		Uruguay — 0.0%
	4,000,000	Banco Central Del Uruguay Value Recovery Rights, VRRB, Expires 01/02/21 * (d)		—
		Venezuela — 0.2%
	283,235	Republic of Venezuela Oil Warrants, Expires 04/15/20		4,673,377
		TOTAL RIGHTS/WARRANTS (COST $0)		8,323,377
		SHORT-TERM INVESTMENTS — 6.2%
		Money Market Funds — 0.4%
	14,764,088	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (h)		14,764,088
		U.S. Government — 5.8%
	47,535,000	U.S. Treasury Bill, 0.05%, due 04/02/15 (i)		47,527,727
	69,500,000	U.S. Treasury Bill, 0.01%, due 01/08/15 (i)		69,499,097
	13,000,000	U.S. Treasury Bill, 0.03%, due 03/19/15 (i)		12,998,830
	75,000,000	U.S. Treasury Bill, 0.05%, due 04/09/15 (i)		74,987,250
				205,012,904
		TOTAL SHORT-TERM INVESTMENTS (COST $219,779,465)		219,776,992
		TOTAL INVESTMENTS — 99.3% (Cost $3,360,925,339)		3,492,166,126
		Other Assets and Liabilities (net) — 0.7%		24,883,487
		TOTAL NET ASSETS — 100.0%		$3,517,049,613

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

A summary of outstanding financial instruments at November 30, 2014 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
12/22/2014	BCLY		EUR	33,750,000		USD	42,724,800	$	725,336
12/22/2014	BOA		EUR	33,412,500		USD	42,314,559		735,089
12/22/2014	DB		EUR	33,918,750		USD	42,955,655		746,193
12/22/2014	GS		EUR	33,918,750		USD	42,925,196		715,734
12/19/2014	BCLY		JPY	3,034,400,000		USD	28,067,190		2,489,362
12/19/2014	BOA		JPY	3,049,572,000		USD	28,205,438		2,499,722
12/19/2014	DB		JPY	3,034,400,000		USD	28,075,500		2,497,672
12/19/2014	GS		JPY	3,049,572,000		USD	28,212,901		2,507,185
12/19/2014	MSCI		JPY	3,004,056,000		USD	27,786,595		2,464,545
12/19/2014	GS		USD	78,985,587		JPY	9,300,000,000		(593,221	)
12/22/2014	BOA		USD	7,493,766		EUR	6,000,000		(27,195	)
								$	14,760,422

Reverse Repurchase Agreements

Average balance outstanding	$	(34,924,003	)
Average interest rate		0.17	%
Maximum balance outstanding	$	(114,382,479	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had 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	43,000,000	04/15/2024	Banco do Brasil Credit Linked Put Option Swap, Fund receives premium of 0.30% (OTC) (CP-DB) (d)	$	254,222	$	142,239
Put Sold	USD	100,000,000	04/15/2024	Banco do Brasil Credit Linked Put Option Swap, Fund receives premium of 0.44% (OTC) (CP-DB) (d)		824,936		(1,150,713	)
Put Sold	USD	62,000,000	03/21/2017	Lebanese Republic Credit Linked Put Option Swap, Fund receives premium of 0.50% (OTC) CP-DB) (d)		549,389		457,104
Put Sold	USD	45,000,000	01/20/2021	Republic of Philippines Credit Linked Put Option Swap, Fund receives premium of 0.25% (OTC) (CP-DB) (d)		45,000		77,731
Put Sold	USD	70,000,000	04/03/2018	Turkiye Cumhuriyeti Ziraat Bankasi A.S. Credit Linked Put Option Swap, Fund receives premium of 0.40% (OTC) (CP-DB) (d)		496,222		59,744
Put Sold	USD	70,000,000	07/14/2017	Turkiye Is Bankasi A.S. Credit Linked Put Option Swap, Fund receives premium of 0.40% (OTC) (CP-DB) (d)		504,778		72,240
					$	2,674,547	$	(341,655	)

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (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)
	830,000,000	EUR	3/16/2015	DB	(Pay)	5.00%	21.16%	Bolivarian Republic of Venezuela		N/A		$	38,453,765
	1,040,000,000	USD	3/16/2015	DB	Receive	5.00%	21.82%	Bolivarian Republic of Venezuela		1,040,000,000	USD		(40,500,799	)
	28,200,000	USD	6/20/2015	BCLY	(Pay)	5.00%	N/A	CDX 13 Emerging Sovereign		N/A			(459,817	)
	37,600,000	USD	6/20/2015	BCLY	(Pay)	5.00%	N/A	CDX 13 Emerging Sovereign		N/A			(613,089	)
	10,340,000	USD	6/20/2015	DB	(Pay)	5.00%	N/A	CDX 13 Emerging Sovereign		N/A			(168,599	)
	15,000,000	USD	9/20/2015	BCLY	(Pay)	1.00%	0.30%	Republic of Colombia		N/A			(114,242	)
	56,950,000,000	COP	11/20/2015	CITI	Receive	1.81%	0.21%	Republic of Colombia		56,950,000,000	COP		404,149
	15,000,000	USD	2/20/2016	CITI	(Pay)	2.16%	0.34%	Republic of Colombia		N/A			(429,438	)
	56,700,000,000	COP	2/20/2016	CITI	Receive	1.46%	0.24%	Republic of Colombia		56,700,000,000	COP		477,038
	114,800,000,000	COP	4/20/2016	CITI	Receive	1.33%	0.26%	Republic of Colombia		114,800,000,000	COP		823,422
	25,000,000	USD	4/20/2016	CITI	(Pay)	1.90%	0.36%	Republic of Colombia		N/A			(591,175	)
	7,333,333	EUR	6/17/2016	DB	Receive	5.60%	6.46%	Republic of Angola		7,333,333	EUR		393,614
	20,000,000	USD	8/20/2016	CITI	(Pay)	2.15%	0.40%	Republic of Colombia		N/A			(726,361	)
	97,680,000,000	COP	8/20/2016	CITI	Receive	1.51%	0.29%	Republic of Colombia		97,680,000,000	COP		1,073,809
	19,500,000	USD	3/20/2017	DB	Receive	5.00%	27.44%	Bolivarian Republic of Venezuela		19,500,000	USD		(6,489,591	)
	32,000,000	PEN	5/20/2017	DB	Receive	0.79%	0.44%	Republic of Peru		32,000,000	PEN		91,318
	2,500,000	USD	5/20/2017	DB	(Pay)	1.05%	0.56%	Republic of Peru		N/A			(30,883	)
	4,500,000	USD	7/20/2017	JPM	Receive	3.33%	6.44%	Republic of Jamaica		4,500,000	USD		(282,316	)
	25,000,000	USD	12/20/2017	JPM	Receive	5.00%	21.70%	Government of Ukraine		25,000,000	USD		(7,189,378	)
	5,400,000	EUR	3/20/2018	DB	Receive	1.00%	4.54%	Republic of Macedonia		5,400,000	EUR		(708,159	)
	44,000,000	USD	6/20/2019	JPM	(Pay)	1.00%	2.33%	Republic of Croatia		N/A			2,417,343
	50,000,000	USD	6/20/2019	JPM	(Pay)	1.00%	1.40%	Republic of Brazil		N/A			791,324
	6,000,000	USD	3/20/2020	BCLY	Receive	1.00%	2.50%	Republic of Croatia		6,000,000	USD		(429,188	)
	6,000,000	USD	6/20/2020	DB	Receive	1.00%	3.06%	Commonwealth of Bahamas		6,000,000	USD		(590,717	)
	42,000,000	EUR	12/20/2020	DB	(Pay)	1.00%	2.99%	Commonwealth of Bahamas		N/A			5,524,438
	57,000,000	USD	12/20/2020	DB	Receive	1.00%	3.28%	Commonwealth of Bahamas		57,000,000	USD		(6,637,002	)
	30,000,000	USD	3/20/2023	JPM	Receive	1.00%	2.06%	Republic of Turkey		30,000,000	USD		(2,237,190	)
	6,000,000	USD	6/20/2023	DB	Receive	1.00%	3.28%	Commonwealth of Bahamas		6,000,000	USD		(911,698	)
	200,000,000	USD	6/20/2023	DB	(Pay)	1.00%	2.86%	Republic of Croatia		N/A			26,129,275
	160,000,000	EUR	6/20/2023	DB	Receive	1.00%	2.86%	Republic of Croatia		160,000,000	EUR		(27,283,923	)
	3,000,000	USD	6/20/2023	DB	Receive	1.00%	3.28%	Commonwealth of Bahamas		3,000,000	USD		(455,849	)
	40,000,000	USD	6/20/2023	JPM	Receive	1.00%	2.86%	Republic of Croatia		40,000,000	USD		(5,225,855	)
	25,000,000	USD	9/20/2023	JPM	Receive	1.00%	2.13%	Republic of South Africa		25,000,000	USD		(2,088,328	)
	24,000,000	USD	3/20/2024	JPM	Receive	1.00%	1.29%	Republic of Malaysia		24,000,000	USD		(509,190	)
	22,750,000	USD	6/20/2024	JPM	Receive	1.00%	2.14%	Republic of Brazil		22,750,000	USD		(2,036,604	)
	27,250,000	USD	6/20/2024	JPM	Receive	1.00%	2.14%	Republic of Brazil		27,250,000	USD		(2,439,448	)
	60,000,000	USD	6/20/2024	JPM	Receive	1.00%	1.25%	Peoples Republic of China		60,000,000	USD		(1,148,017	)
	91,000,000	USD	6/20/2025	DB	Receive	1.00%	4.81%	Commonwealth of Bahamas		91,000,000	USD		(11,069,196	)
	68,000,000	EUR	6/20/2025	DB	(Pay)	1.00%	4.49%	Commonwealth of Bahamas		N/A			9,423,468
	40,000,000	USD	3/20/2030	JPM	Receive	1.00%	2.22%	Republic of Brazil		40,000,000	USD		(5,249,867	)
	20,000,000	USD	9/20/2031	GS	(Pay)	1.00%	1.42%	United Mexican States		N/A			1,005,482
												$	(39,607,474	)
								Premiums to (Pay) Receive				$	38,995,087

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

^ Receive - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(Pay) - Fund pays premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽¹⁾  As of November 30, 2014, implied credit spreads in absolute terms and utilized in determining the market value of credit default swap contracts on the reference security 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.

Cross-Currency Basis Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	9,300,000,000	JPY	11/26/2024	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	530,561
							$	530,561
						Premiums to (Pay) Receive	$	—

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	9,000,000,000	JPY	11/26/2024	CSS (j)	(Pay)	0.62%	6 Month JPY LIBOR	$	(266,660	)
	100,000,000	USD	11/24/2044	CSS (j)	(Pay)	3.02%	3 Month USD LIBOR		(2,776,979	)
								$	(3,043,639	)
							Premiums to (Pay) Receive	$	—

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

As of November 30, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

CP - Counterparty

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

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

GDP - Gross Domestic Product

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

LIBOR - London Interbank Offered Rate

OTC - Over-the-Counter

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

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

VRRB - Variable Rate Reduction Bond

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

The rates on variable rate notes are subject to change based on the terms of the security. The rates shown are the interest rates at November 30, 2014.

* 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.

(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/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any.

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

(h) The rate disclosed is the 7 day net yield as of November 30, 2013. Note: Yield rounds to 0.00%.

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

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

Counterparty Abbreviations:

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CITI - Citibank N.A.

CSS - Credit Suisse Securities (USA) LLC

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

CHF - Swiss Franc

COP - Colombian Peso

DEM - Deutsche Mark

EUR - Euro

JPY - Japanese Yen

PEN - Peruvian Sol

USD - United States Dollar

ZAR - South African Rand

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 56.5%
		Belgium — 1.5%
		Foreign Government Obligations
EUR	150,000	Belgium Government Bond, Reg S, 5.00%, due 03/28/35		289,785
EUR	250,000	Belgium Government Bond, Reg S, 4.25%, due 09/28/21		390,439
		Total Belgium		680,224
		Canada — 3.6%
		Foreign Government Obligations
CAD	2,000,000	Government of Canada, 1.50%, due 06/01/23		1,714,678
		France — 4.3%
		Foreign Government Obligations
EUR	760,000	Government of France, 3.25%, due 10/25/21		1,123,075
EUR	480,000	Government of France, 4.50%, due 04/25/41		913,933
		Total France		2,037,008
		Italy — 7.1%
		Foreign Government Obligations
EUR	630,000	Buoni Poliennali Del Tesoro, 4.75%, due 05/01/17		862,057
EUR	1,270,000	Buoni Poliennali Del Tesoro, 3.75%, due 05/01/21		1,809,050
EUR	480,000	Republic of Italy, 4.00%, due 02/01/37		670,339
		Total Italy		3,341,446
		Netherlands — 1.2%
		Foreign Government Obligations
EUR	250,000	Netherlands Government Bond, 5.50%, due 01/15/28		477,180
EUR	70,000	Netherlands Government Bond, Reg S, 4.00%, due 07/15/19		102,541
		Total Netherlands		579,721
		Spain — 3.8%
		Foreign Government Obligations
EUR	350,000	Government of Spain, 5.50%, due 04/30/21		550,312
EUR	640,000	Government of Spain, 2.10%, due 04/30/17		826,263
EUR	290,000	Government of Spain, 4.20%, due 01/31/37		429,960
		Total Spain		1,806,535
		United States — 35.0%
		U.S. Government
USD	7,660,487	U.S. Treasury Inflation Indexed Bond, 1.88%, due 07/15/15 (a)		7,764,624
USD	10,000,000	U.S. Treasury Principal Strip Bond, due 11/15/21		8,719,590
		Total United States		16,484,214
		TOTAL DEBT OBLIGATIONS (COST $25,935,900)		26,643,826

Shares / Principal Amount		Description	Value ($)
		MUTUAL FUNDS — 37.4%
		United States
		Affiliated Issuers
	204,940	GMO Debt Opportunities Fund, Class VI		5,125,560
	207,038	GMO Emerging Country Debt Fund, Class IV		2,111,786
	396,115	GMO World Opportunity Overlay Fund		10,441,598
		TOTAL MUTUAL FUNDS (COST $15,270,818)		17,678,944
		OPTIONS PURCHASED — 1.4%
		Currency Options
EUR	1,100,000	EUR Call/USD Put, Expires 02/06/15, Strike 1.25, (OTC) (CP-DB)		16,056
EUR	1,700,000	EUR Call/USD Put, Expires 11/12/15, Strike 1.25, (OTC) (CP-JPM)		66,040
EUR	905,275	EUR Put/USD Call, Expires 02/03/15, Strike 1.22, (OTC) (CP-DB)		7,015
EUR	1,100,000	EUR Put/USD Call, Expires 02/06/15, Strike 1.25, (OTC) (CP-DB)		23,418
EUR	892,570	EUR Put/USD Call, Expires 11/03/17, Strike 1.24, (OTC) (CP-GS)		48,783
EUR	1,700,000	EUR Put/USD Call, Expires 11/12/15, Strike 1.25, (OTC) (CP-JPM)		69,008
GBP	900,000	USD Call/GBP Put, Expires 11/16/15, Strike 1.56, (OTC) (CP-GS)		43,509
USD	600,000	USD Call/JPY Put, Expires 01/16/15, Strike 105.90, (OTC) (CP-DB)		64,420
USD	1,600,000	USD Call/JPY Put, Expires 01/05/15, Strike 104.85, (OTC) (CP-DB)		186,182
USD	1,400,000	USD Call/JPY Put, Expires 02/16/15, Strike 117.00, (OTC) (CP-GS)		36,462
USD	1,400,000	USD Call/JPY Put, Expires 02/19/15, Strike 113.34, (OTC) (CP-GS)		68,569
USD	600,000	USD Put/JPY Call, Expires 01/16/15, Strike 105.90, (OTC) (CP-DB)		6
USD	1,400,000	USD Put/JPY Call, Expires 02/16/15, Strike 117.00, (OTC) (CP-GS)		17,536
USD	1,400,000	USD Put/JPY Call, Expires 02/19/15, Strike 113.34, (OTC) (CP-GS)		6,523
USD	1,600,000	USD Put/JYP Call, Expires 01/05/15, Strike 98.50, (OTC) (CP-DB)		—
		TOTAL OPTIONS PURCHASED (COST $449,142)		653,527
		SHORT-TERM INVESTMENTS — 5.8%
		Money Market Funds — 2.3%
	1,083,975	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (b)		1,083,975

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value ($)		Description	Value ($)
		U.S. Government — 3.5%
	650,000	U.S. Treasury Bill, 0.01%, due 01/08/15 (c) (d)		649,992
	1,000,000	U.S. Treasury Bill, 0.09%, due 06/25/15 (d)		999,514
		Total U.S. Government		1,649,506
		TOTAL SHORT-TERM INVESTMENTS (COST $2,733,478)		2,733,481
		TOTAL INVESTMENTS — 101.1% (Cost $44,389,338)		47,709,778
		Other Assets and Liabilities (net) — (1.1%)		(531,376	)
		TOTAL NET ASSETS — 100.0%		$47,178,402

A summary of outstanding financial instruments at November 30, 2014 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
12/15/2014	GS		CAD	1,200,000		USD	1,062,165	$	13,459
12/22/2014	CITI		EUR	2,100,000		USD	2,616,852		3,552
12/22/2014	DB		EUR	590,000		USD	736,758		2,545
12/22/2014	GS		EUR	3,300,000		USD	4,123,334		16,719
01/23/2015	DB		GBP	220,000		USD	347,208		3,241
12/19/2014	GS		JPY	11,667,700		USD	100,000		1,650
02/06/2015	BCLY		KRW	1,557,300,000		USD	1,411,935		10,279
01/09/2015	GS		SEK	3,000,000		USD	407,847		5,411
12/19/2014	BCLY		USD	1,617,027		JPY	174,820,000		(143,419	)
12/19/2014	BOA		USD	1,624,992		JPY	175,694,100		(144,016	)
12/19/2014	DB		USD	6,091,043		JPY	689,320,000		(280,568	)
12/19/2014	GS		USD	2,043,795		JPY	225,094,100		(146,412	)
12/19/2014	MSCI		USD	1,600,861		JPY	173,071,800		(141,989	)
12/22/2014	BCLY		USD	524,952		AUD	600,000		(14,884	)
12/22/2014	BCLY		USD	1,930,528		EUR	1,525,000		(32,775	)
12/22/2014	BOA		USD	1,911,991		EUR	1,509,750		(33,215	)
12/22/2014	DB		USD	1,940,959		EUR	1,532,625		(33,717	)
12/22/2014	GS		USD	2,338,974		EUR	1,852,625		(33,515	)
01/23/2015	GS		USD	3,530,417		GBP	2,250,000		(12,580	)
02/06/2015	BCLY		USD	1,044,229		INR	64,900,000		(12,714	)
								$	(972,948	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
4	Australian Government Bond 3 Yr.	December 2014	$	375,800	$	4,768
3	Australian Government Bond 10 Yr.	December 2014		319,905		14,840
16	Euro BOBL	December 2014		2,553,303		8,544
11	Euro Bund	December 2014		2,092,103		7,106
28	U.S. Long Bond (CBT)	March 2015		3,993,500		30,586
30	U.S. Treasury Note 5 Yr. (CBT)	March 2015		3,584,765		10,740
24	UK Gilt Long Bond	March 2015		4,411,983		28,500
			$	17,331,359	$	105,084
Sales
9	Canadian Government Bond 10 Yr.	March 2015	$	1,083,635	$	(11,112	)
23	Euro Schatz	December 2014		3,173,549		548
37	U.S.Treasury Note 10 Yr. (CBT)	March 2015		4,700,734		(20,285	)
			$	8,957,918	$	(30,849	)

+ Buys - Fund is long the underlying asset to the contract.
Sales - Fund is short the underlying asset to the contract.

Written Options

Principal Amount		Expiration Date		Description	Premiums		Market Value
Call  EUR	858,034		02/03/2015	EUR Call/USD Put, Strike 1.28 (OTC) (CP-DB)	$	5,632	$	(4,027	)
Call  EUR	610,982		11/03/2017	EUR Call/USD Put, Strike 1.29 (OTC) (CP-GS)		43,972		(43,237	)
					$	49,604	$	(47,264	)

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Swap Contracts

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	500,000	AUD	11/6/2024	BCI (e)	Receive	4.35%	6 Month AUD BBSW	$	5,595
	1,300,000	AUD	11/7/2024	BCI (e)	Receive	4.31%	6 Month AUD BBSW		12,968
	2,000,000	AUD	11/11/2024	BCI (e)	Receive	4.33%	6 Month AUD BBSW		21,402
	1,000,000	AUD	11/13/2024	BCI (e)	Receive	4.31%	6 Month AUD BBSW		9,775
	990,000	EUR	11/28/2016	CSS (e)	Receive	0.10%	3 Month EURIBOR		(22	)
	119,400,000	JPY	10/15/2024	CSS (e)	(Pay)	0.63%	6 Month JPY LIBOR		(5,202	)
	50,100,000	JPY	11/25/2024	CSS (e)	(Pay)	0.62%	6 Month JPY LIBOR		(1,440	)
	2,600,000	MXN	10/9/2024	BCI (e)	Receive	6.10%	TIIE		3,801
	6,300,000	MXN	10/11/2024	BCI (e)	Receive	6.18%	TIIE		12,324
	5,000,000	MXN	10/16/2024	BCI (e)	Receive	6.03%	TIIE		5,256
	2,500,000	MXN	10/17/2024	BCI (e)	Receive	6.05%	TIIE		2,917
	2,500,000	MXN	10/18/2024	BCI (e)	Receive	6.08%	TIIE		3,354
	5,400,000	MXN	10/18/2024	BCI (e)	Receive	6.12%	TIIE		8,521
	1,200,000	MXN	10/24/2024	BCI (e)	Receive	6.17%	TIIE		2,234
	4,900,000	MXN	10/25/2024	BCI (e)	Receive	6.19%	TIIE		9,690
	4,700,000	MXN	10/28/2024	BCI (e)	Receive	6.13%	TIIE		7,610
	600,000	MXN	10/30/2024	BCI (e)	Receive	6.19%	TIIE		1,240
	4,900,000	SEK	6/1/2016	BCI (e)	(Pay)	0.28%	3 Month SEK STIBOR		(18	)
	8,000,000	SEK	8/5/2016	BCI (e)	Receive	0.63%	3 Month SEK STIBOR		6,116
	18,000,000	SEK	8/6/2016	BCI (e)	Receive	0.62%	3 Month SEK STIBOR		13,721
	21,000,000	SEK	8/7/2016	BCI (e)	Receive	0.63%	3 Month SEK STIBOR		16,202
	8,000,000	SEK	8/11/2016	BCI (e)	Receive	0.62%	3 Month SEK STIBOR		6,045
	5,000,000	SEK	8/13/2016	BCI (e)	Receive	0.63%	3 Month SEK STIBOR		3,987
	3,600,000	SEK	12/1/2016	BCI (e)	(Pay)	0.31%	3 Month SEK STIBOR		9
	6,600,000	USD	8/18/2016	CSS (e)	Receive	0.47%	Fed Funds Rate		5,522
	2,500,000	USD	10/17/2018	CSS (e)	Receive	2.16%	3 Month USD LIBOR		4,400
	3,000,000	USD	12/17/2021	CSS (e)	Receive	3.07%	3 Month USD LIBOR		17,356
	5,300,000	USD	12/17/2021	CSS (e)	Receive	3.11%	3 Month USD LIBOR		35,265
								$	208,628
							Premiums to (Pay) Receive	$	—

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

As of November 30, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Notes to Schedule of Investments:

BBSW - Bank Bill Swap Reference Rate

BOBL - Bundesobligationen

CP - Counterparty

EURIBOR - Euro Interbank Offered Rate

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

LIBOR - London Interbank Offered Rate

OTC - Over-the-Counter

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.

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

TIIE - Tasa de Interes Interbacaria de Equilibrio - 28-Day Interbank Equilibrium Interest Rate - Mexico

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

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

(b) The rate disclosed is the 7 day net yield as of November 30, 2014. Note: Yield rounds to 0.00%.

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

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

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

Counterparty Abbreviations:

BCI - Barclays Capital Inc.

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CITI - Citibank N.A.

CSS - Credit Suisse Securities (USA) LLC

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

CAD - Canadian Dollar

EUR - Euro

GBP - British Pound

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

SEK - Swedish Krona

USD - United States Dollar

GMO International Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 53.6%
		Belgium — 2.3%
		Foreign Government Obligations
EUR	380,000	Belgium Government Bond, Reg S, 4.25%, due 09/28/21		593,468
EUR	230,000	Belgium Government Bond, Reg S, 5.00%, due 03/28/35		444,337
		Total Belgium		1,037,805
		Canada — 2.2%
		Foreign Government Obligations
CAD	1,000,000	Government of Canada, 3.50%, due 06/01/20		970,006
		France — 7.1%
		Foreign Government Obligations
EUR	1,170,000	Government of France, 3.25%, due 10/25/21		1,728,944
EUR	750,000	Government of France, 4.50%, due 04/25/41		1,428,020
		Total France		3,156,964
		Italy — 11.6%
		Foreign Government Obligations
EUR	970,000	Buoni Poliennali Del Tesoro, 4.75%, due 05/01/17		1,327,293
EUR	1,960,000	Buoni Poliennali Del Tesoro, 3.75%, due 05/01/21		2,791,921
EUR	740,000	Buoni Poliennali Del Tesoro, Reg S, 4.00%, due 02/01/37		1,033,439
		Total Italy		5,152,653
		Japan — 19.0%
		Foreign Government Obligations
JPY	848,400,000	Japan Government Twenty Year Bond, 2.20%, due 06/20/26		8,471,489
		Netherlands — 2.0%
		Foreign Government Obligations
EUR	390,000	Netherlands Government Bond, 5.50%, due 01/15/28		744,400
EUR	100,000	Netherlands Government Bond, Reg S, 4.00%, due 07/15/19		146,488
		Total Netherlands		890,888
		Spain — 6.3%
		Foreign Government Obligations
EUR	990,000	Government of Spain, 2.10%, due 04/30/17		1,278,125
EUR	540,000	Government of Spain, 5.50%, due 04/30/21		849,054
EUR	450,000	Government of Spain, 4.20%, due 01/31/37		667,179
		Total Spain		2,794,358

Par Value / Shares / Principal Amount		Description	Value ($)
		United States — 3.1%
		U.S. Government
USD	1,339,973	U.S. Treasury Inflation Indexed Bond, 1.88%, due 07/15/15(a)		1,358,189
		TOTAL DEBT OBLIGATIONS (COST $26,610,322)		23,832,352
		MUTUAL FUNDS — 41.3%
		United States
		Affiliated Issuers
	250,139	GMO Debt Opportunities Fund, Class VI		6,255,985
	186,359	GMO Emerging Country Debt Fund, Class IV		1,900,863
	3,732	GMO U.S. Treasury Fund		93,291
	385,270	GMO World Opportunity Overlay Fund		10,155,714
		TOTAL MUTUAL FUNDS (COST $14,772,474)		18,405,853
		OPTIONS PURCHASED — 1.4%
		Currency Options
EUR	1,100,000	EUR Call/USD Put, Expires 02/06/15, Strike 1.25, (OTC) (CP-DB)		16,057
EUR	1,600,000	EUR Call/USD Put, Expires 11/12/15, Strike 1.25, (OTC) (CP-JPM)		62,155
USD	1,300,000	JPY Call/USD Put, Expires 02/16/15, Strike 117.00, (OTC) (CP-GS)		16,284
USD	1,400,000	JPY Call/USD Put, Expires 02/19/15, Strike 113.34, (OTC) (CP-GS)		6,523
USD	700,000	JPY Call/USD Put, Expires 01/16/15, Strike 105.90, (OTC) (CP-DB)		7
USD	1,400,000	JYP Call/USD Put, Expires 01/05/15, Strike 98.50, (OTC) (CP-DB)		—
EUR	905,275	USD Call/EUR Put, Expires 02/03/15, Strike 1.22, (OTC) (CP-DB)		7,015
EUR	1,100,000	USD Call/EUR Put, Expires 02/06/15, Strike 1.25, (OTC) (CP-DB)		23,418
EUR	860,405	USD Call/EUR Put, Expires 11/03/17, Strike 1.24, (OTC) (CP-GS)		47,025
EUR	1,600,000	USD Call/EUR Put, Expires 11/12/15, Strike 1.25, (OTC) (CP-JPM)		64,948
GBP	900,000	USD Call/GBP Put, Expires 11/16/15, Strike 1.56, (OTC) (CP-GS)		43,509
USD	1,300,000	USD Call/JPY Put, Expires 02/16/15, Strike 117.00, (OTC) (CP-GS)		33,857
USD	1,400,000	USD Call/JPY Put, Expires 02/19/15, Strike 113.34, (OTC) (CP-GS)		68,569
USD	1,400,000	USD Call/JPY Put, Expires 01/05/15, Strike 104.85, (OTC) (CP-DB)		162,910
USD	700,000	USD Call/JPY Put, Expires 01/16/15, Strike 105.90, (OTC) (CP-DB)		75,156
		TOTAL OPTIONS PURCHASED (COST $435,765)		627,433

GMO International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 4.9%
		Money Market Funds — 2.8%
	1,231,088	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (b)		1,231,088
		U.S. Government — 2.1%
	150,000	U.S. Treasury Bill, 0.09%, due 06/25/15 (c)(d)		149,927
	800,000	U.S. Treasury Bill, 0.01%, due 01/08/15 (c)(d)		799,990
		Total U.S. Government		949,917
		TOTAL SHORT-TERM INVESTMENTS (COST $2,180,970)		2,181,005
		TOTAL INVESTMENTS — 101.2% (Cost $43,999,532)		45,046,643
		Other Assets and Liabilities (net) — (1.2%)		(524,772	)
		TOTAL NET ASSETS — 100.0%		$44,521,871

A summary of outstanding financial instruments at November 30, 2014 is as follows:

Forward Currency Contracts

Settlement Date	Counter-party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
12/22/2014	CITI		EUR	900,000		USD	1,121,508	$	1,522
12/22/2014	DB		EUR	800,000		USD	1,000,075		4,532
12/22/2014	GS		EUR	5,300,000		USD	6,622,324		26,852
01/23/2015	DB		GBP	220,000		USD	347,208		3,241
12/19/2014	GS		JPY	11,667,700		USD	100,000		1,650
02/06/2015	BCLY		KRW	1,478,100,000		USD	1,340,467		10,096
01/09/2015	GS		SEK	2,300,000		USD	312,683		4,148
12/19/2014	BCLY		USD	1,002,849		JPY	108,420,000		(88,946	)
12/19/2014	BOA		USD	1,007,789		JPY	108,962,100		(89,316	)
12/19/2014	DB		USD	5,492,667		JPY	623,220,000		(239,367	)
12/19/2014	GS		USD	1,412,031		JPY	156,662,100		(91,481	)
12/19/2014	MSCI		USD	992,823		JPY	107,335,800		(88,059	)
12/22/2014	BCLY		USD	874,919		AUD	1,000,000		(24,807	)
12/22/2014	BCLY		USD	3,006,560		EUR	2,375,000		(51,042	)
12/22/2014	BOA		USD	2,977,691		EUR	2,351,250		(51,728	)
12/22/2014	DB		USD	3,022,805		EUR	2,386,875		(52,510	)
12/22/2014	GS		USD	3,407,572		EUR	2,696,875		(51,504	)
01/23/2015	GS		USD	5,491,760		GBP	3,500,000		(19,569	)
02/06/2015	BCLY		USD	1,002,388		INR	62,300,000		(12,197	)
								$	(808,485	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
4	Australian Government Bond 10 Yr.	December 2014	$	426,540	$	19,786
6	Australian Government Bond 3 Yr.	December 2014		563,700		7,029
2	Canadian Government Bond 10 Yr.	March 2015		240,808		2,461
24	Euro BOBL	December 2014		3,829,954		12,816
17	Euro Bund	December 2014		3,233,250		82,902
36	UK Gilt Long Bond	March 2015		6,617,974		43,065
			$	14,912,226	$	168,059
Sales
35	Euro Schatz	December 2014	$	4,829,313	$	834
18	U.S. Treasury Note 5 Yr. (CBT)	March 2015		2,150,860		(6,429	)
			$	6,980,173	$	(5,595	)

+ Buys - Fund is long the underlying asset to the contract.
Sales - Fund is short the underlying asset to the contract.

GMO International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Written Options

Principal Amount		Expiration Date		Description	Premiums		Market Value
Call EUR	858,034		02/03/2015	EUR Call/USD Put, Strike 1.28 (OTC) (CP-DB)	$	5,632	$	(4,027	)
Call EUR	587,780		11/03/2017	EUR Call/USD Put, Strike 1.29 (OTC) (CP-GS)		42,302		(41,595	)
					$	47,934	$	(45,622	)

Swap Contracts

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	400,000	AUD	11/6/2024	BCI (e)	Receive	4.35%	6 Month AUD BBSW	$	4,476
	1,200,000	AUD	11/7/2024	BCI (e)	Receive	4.31%	6 Month AUD BBSW		11,971
	2,100,000	AUD	11/11/2024	BCI (e)	Receive	4.33%	6 Month AUD BBSW		22,472
	1,000,000	AUD	11/13/2024	BCI (e)	Receive	4.31%	6 Month AUD BBSW		9,775
	1,510,000	EUR	11/28/2016	CSS (e)	Receive	0.10%	3 Month EURIBOR		(33	)
	70,000,000	JPY	10/3/2024	BCI (e)	(Pay)	0.66%	6 Month JPY LIBOR		(4,534	)
	68,000,000	JPY	10/7/2024	CSS (e)	(Pay)	0.64%	6 Month JPY LIBOR		(4,244	)
	68,000,000	JPY	10/9/2024	CSS (e)	(Pay)	0.65%	6 Month JPY LIBOR		(4,174	)
	353,000,000	JPY	10/15/2024	CSS (e)	(Pay)	0.63%	6 Month JPY LIBOR		(15,381	)
	2,500,000	MXN	10/9/2024	BCI (e)	Receive	6.10%	TIIE		3,655
	6,300,000	MXN	10/11/2024	BCI (e)	Receive	6.18%	TIIE		12,324
	5,000,000	MXN	10/16/2024	BCI (e)	Receive	6.03%	TIIE		5,256
	2,500,000	MXN	10/17/2024	BCI (e)	Receive	6.05%	TIIE		2,917
	2,400,000	MXN	10/18/2024	BCI (e)	Receive	6.08%	TIIE		3,220
	5,200,000	MXN	10/18/2024	BCI (e)	Receive	6.12%	TIIE		8,205
	1,200,000	MXN	10/24/2024	BCI (e)	Receive	6.17%	TIIE		2,234
	4,700,000	MXN	10/25/2024	BCI (e)	Receive	6.19%	TIIE		9,295
	4,200,000	MXN	10/28/2024	BCI (e)	Receive	6.13%	TIIE		6,801
	500,000	MXN	10/30/2024	BCI (e)	Receive	6.19%	TIIE		1,033
	3,300,000	SEK	6/1/2016	BCI (e)	(Pay)	0.28%	3 Month SEK STIBOR		(12	)
	5,000,000	SEK	8/5/2016	BCI (e)	Receive	0.63%	3 Month SEK STIBOR		3,822
	12,000,000	SEK	8/6/2016	BCI (e)	Receive	0.62%	3 Month SEK STIBOR		9,147
	14,000,000	SEK	8/7/2016	BCI (e)	Receive	0.63%	3 Month SEK STIBOR		10,802
	6,000,000	SEK	8/11/2016	BCI (e)	Receive	0.62%	3 Month SEK STIBOR		4,622
	3,000,000	SEK	8/13/2016	BCI (e)	Receive	0.63%	3 Month SEK STIBOR		2,392
	2,400,000	SEK	12/1/2016	BCI (e)	(Pay)	0.31%	3 Month SEK STIBOR		6
	4,800,000	USD	10/17/2018	CSS (e)	Receive	2.16%	3 Month USD LIBOR		8,448
	2,400,000	USD	12/17/2021	CSS (e)	Receive	3.07%	3 Month USD LIBOR		13,885
	5,100,000	USD	12/17/2021	CSS (e)	Receive	3.11%	3 Month USD LIBOR		33,934
								$	162,314
							Premiums to (Pay) Receive	$	—

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

As of November 30, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Notes to Schedule of Investments:

BBSW - Bank Bill Swap Reference Rate

BOBL - Bundesobligationen

CP - Counterparty

EURIBOR - Euro Interbank Offered Rate

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

OTC - Over-the-Counter

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.

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

TIIE - Tasa de Interes Interbacaria de Equilibrio - 28 - Day Interbank Equilibrium Interest Rate - Mexico

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

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

(b) The rate disclosed is the 7 day net yield as of November 30, 2014. 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/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any.

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

Counterparty Abbreviations:

BCI - Barclays Capital Inc.

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CITI - Citibank N.A.

CSS – Credit Suisse Securities (USA) LLC

DB - Deutsche Bank AG

GS - Goldman Sachs International

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

EUR - Euro

GBP - British Pound

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

SEK - Swedish Krona

USD - United States Dollar

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value ($) / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 88.2%
		U.S. Government — 88.2%
	180,400,000	U.S. Treasury Bill, 0.05%, due 04/09/15 (a)		180,369,331
	176,000,000	U.S. Treasury Bill, 0.05%, due 04/02/15 (a)		175,973,071
	6,000,000	U.S. Treasury Bill, 0.02%, due 03/05/15 (a)		5,999,688
	208,000,000	U.S. Treasury Bill, 0.05%, due 04/16/15 (a)		207,960,687
	179,000,000	U.S. Treasury Bill, 0.06%, due 04/30/15 (a)		178,959,009
	89,000,000	U.S. Treasury Bill, 0.00%, due 12/18/14 (a)		88,999,020
	152,500,000	U.S. Treasury Bill, 0.01%, due 12/26/14 (a)		152,495,424
	32,200,000	U.S. Treasury Bill, 0.01%, due 01/02/15 (a)		32,199,485
	69,700,000	U.S. Treasury Bill, 0.01%, due 02/26/15 (a)		69,697,491
	357,500,000	U.S. Treasury Bill, 0.04%, due 01/08/15 (a)		357,495,351
	128,000,000	U.S. Treasury Bill, 0.04%, due 03/26/15 (a)		127,984,639
	190,000,000	U.S. Treasury Bill, 0.06%, due 04/23/15 (a)		189,954,779
	153,000,000	U.S. Treasury Bill, 0.07%, due 05/07/15 (a)		152,956,700
	94,000,000	U.S. Treasury Bill, 0.07%, due 05/21/15 (a)		93,968,706
		Total U.S. Government		2,015,013,381
		Money Market Funds — 0.0%
	369,923	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (b)		369,923
		TOTAL SHORT-TERM INVESTMENTS (COST $2,015,428,479)		2,015,383,304
		TOTAL INVESTMENTS — 88.2% (Cost $2,015,428,479)		2,015,383,304
		Other Assets and Liabilities (net) — 11.8%		270,133,401
		TOTAL NET ASSETS — 100.0%		$2,285,516,705

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 November 30, 2014. Note: Yield rounds to 0.00%.

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 35.5%
		Asset-Backed Securities — 11.6%
		Collateralized Debt Obligations — 0.0%
	6,777,455	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.03%, due 11/23/52		6,777
		Commercial Mortgage-Backed Securities — 3.7%
	745,532	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.53%, due 01/25/35		685,890
	1,134,759	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.55%, due 01/25/36		1,001,425
	3,524,551	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.46%, due 12/25/37		3,577,420
	718,772	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.39%, due 11/15/33		663,067
	796,216	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.41%, due 02/25/30		750,864
	589,455	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.41%, due 09/25/30		551,140
		Total Commercial Mortgage-Backed Securities		7,229,806
		Insured Other — 1.0%
	9,200,000	Toll Road Investment Part II, Series C, 144A, NPG, Zero Coupon, due 02/15/37		2,014,800
		Miscellaneous — 1.4%
	1,611,125	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.35%, due 09/15/41		1,557,820
	1,299,141	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.35%, due 12/15/41		1,262,197
		Total Miscellaneous		2,820,017
		Residential Mortgage-Backed Securities -Other — 1.1%
	2,689,263	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.16%, due 02/28/40		2,122,098
		Residential Mortgage-Backed Securities - Overseas — 1.1%
	2,256,525	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .20%, 0.43%, due 09/15/39		2,127,677

Par Value ($) / Principal Amount / Shares		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities - Subprime — 3.3%
	4,360,357	Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.35%, due 11/25/36		2,396,800
	7,920,265	Securitized Asset-Backed Receivables LLC Trust, Series 06-HE1, Class A2C, 1 mo. LIBOR + .16%, 0.32%, due 07/25/36		3,979,934
		Total Residential Mortgage-Backed Securities - Subprime		6,376,734
		Total Asset-Backed Securities		22,697,909
		U.S. Government — 23.5%
	55,000,000	U.S. Treasury Strip Coupon, due 02/15/23		45,963,940
		U.S. Government Agency — 0.4%
	800,000	U.S. Department of Transportation, 144A, 6.00%, due 12/07/21		854,000
		TOTAL DEBT OBLIGATIONS (COST $82,169,899)		69,515,849
		OPTIONS PURCHASED — 0.0%
		Currency Options — 0.0%
EUR	3,000,000	EUR Call/CHF Put, Expires 06/16/15, Strike 1.56, (OTC) (CP - JPM)		—
		TOTAL OPTIONS PURCHASED (COST $1,356,350)		—
		SHORT-TERM INVESTMENTS — 62.6%
		Money Market Funds — 1.2%
	2,356,970	State Street Institutional Liquid Reserves Fund-Premier Class, 0.08% (a)		2,356,970
		U.S. Government — 61.4%
	3,200,000	U.S. Treasury Bill, 0.05%, due 04/23/15 (b)		3,199,238
	6,110,000	U.S. Treasury Bill, 0.04%, due 04/09/15 (b)		6,108,961
	10,500,000	U.S. Treasury Bill, 0.08%, due 06/25/15 (b)		10,494,897
	2,555,000	U.S. Treasury Bill, 0.05%, due 04/16/15 (b)		2,554,517
	96,000,000	U.S. Treasury Bill, 0.01%, due 01/08/15 (b)		95,998,752
	1,970,000	U.S. Treasury Bill, 0.01%, due 01/15/15 (b)		1,969,963
		Total U.S. Government		120,326,328
		TOTAL SHORT-TERM INVESTMENTS (COST $122,683,778)		122,683,298
		TOTAL INVESTMENTS — 98.1% (Cost $206,210,027)		192,199,147
		Other Assets and Liabilities (net) — 1.9%		3,802,240
		TOTAL NET ASSETS — 100.0%		$196,001,387

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

A summary of outstanding financial instruments at November 30, 2014 is as follows:

Reverse Repurchase Agreements

Average balance outstanding	$	(48,368,280	)
Average interest rate		0.62	%
Maximum balance outstanding	$	(49,679,720	)

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

Swap Contracts

Forward Starting Cross-Currency Basis Swaps

Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	772,900,000	JPY	11/28/2016	11/28/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	4,269
	772,900,000	JPY	11/29/2016	11/29/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		4,293
	772,900,000	JPY	11/30/2016	11/30/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		4,314
	772,900,000	JPY	12/1/2016	12/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		4,344
	772,900,000	JPY	12/2/2016	12/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		4,315
	772,900,000	JPY	12/5/2016	12/5/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		3,046
	772,900,000	JPY	12/6/2016	12/6/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		3,055
	772,900,000	JPY	12/7/2016	12/7/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		3,063
	772,900,000	JPY	12/8/2016	12/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		3,062
	772,900,000	JPY	12/9/2016	12/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		3,356
								$	37,117
						Premiums to (Pay) Receive		$	—

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	352,700,000	USD	9/28/2020	CSS (c)	Receive	3.20%	3 Month USD LIBOR	$	2,990,479
	55,000,000	USD	2/15/2023	CSS (c)	(Pay)	0.00%	3 Month USD LIBOR		(2,534,622	)
	1,310,000	GBP	11/26/2024	BCI (c)	(Pay)	2.63%	6 Month GBP LIBOR		(8,928	)
	62,000,000	GBP	12/17/2024	BCI (c)	(Pay)	3.50%	6 Month GBP LIBOR		(4,162,470	)
	13,000,000	USD	5/2/2049	CSS (c)	(Pay)	3.98%	3 Month USD LIBOR		(1,806,198	)
	13,000,000	USD	5/2/2049	CSS (c)	(Pay)	3.97%	3 Month USD LIBOR		(1,794,101	)
	8,600,000	USD	9/12/2049	CSS (c)	(Pay)	3.66%	3 Month USD LIBOR		(667,863	)
								$	(7,983,703	)
							Premiums to (Pay) Receive	$	4,838

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

As of November 30, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

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.

CDO - Collateralized Debt Obligation

CP - Counterparty

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

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

LIBOR - London Interbank Offered Rate

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

OTC - Over-the-Counter

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

(a) The rate disclosed is the 7 day net yield as of November 30, 2014.

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

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

Counterparty Abbreviations:

BCI - Barclays Capital Inc

CSS - Credit Suisse Securities (USA) LLC

GS - Goldman Sachs International

Currency Abbreviations:

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

USD - United States Dollar

As of November 30, 2014, 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		5,186,833,398		47,962,672		(33,456,036)		14,506,636
Benchmark-Free Bond Fund		8,121,819		16,022		(12,450)		3,572
Core Plus Bond Fund		244,682,278		3,277,864		(13,939,171)		(10,661,307)
Currency Hedged International Bond Fund		73,318,274		—		(2,843,565)		(2,843,565)
Debt Opportunities Fund		1,892,374,483		43,994,131		(131,985,093)		(87,990,962)
Emerging Country Debt Fund		3,377,972,949		311,673,963		(197,480,786)		114,193,177
Global Bond Fund		52,805,173		—		(5,095,395)		(5,095,395)
International Bond Fund		53,976,947		—		(8,930,304)		(8,930,304)
U.S. Treasury Fund		2,015,428,479		11,766		(56,941)		(45,175)
World Opportunity Overlay Fund		195,481,621		1,913,816		(5,196,290)		(3,282,474)

Investments in affiliated issuers

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

A summary of the Funds’ transactions in the shares of other funds of the Trust during the period ended November 30, 2014 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Value, end of period
Asset Allocation Bond Fund
GMO U.S. Treasury Fund	$	56,730,951	$	140,139,721	$	100,700,000	$	35,395	$	4,326		96,170,673
Benchmark-Free Bond Fund
GMO Debt Opportunities Fund, Class VI	$	—	$	400,000	$	—	$	—	$	—	$	399,534
GMO Emerging Country Debt Fund, Class IV		—		800,000		—		—		—		803,086
Totals	$	—	$	1,200,000	$	—	$	—	$	—	$	1,202,620
Core Plus Bond Fund
GMO Debt Opportunities Fund, Class VI	$	25,663,007	$	—	$	17,374,000	$	—	$	—		8,687,740
GMO Emerging Country Debt Fund, Class IV		10,512,729		399,936		—		399,936		—		11,374,066
GMO U.S. Treasury Fund		20,009,568		60,003,172		50,985,604		8,855		1,817		29,027,135
GMO World Opportunity Overlay Fund		54,497,445		—		2,288,000		—		—		51,268,369
Totals	$	110,682,749	$	60,403,108	$	70,647,604	$	408,791	$	1,817		100,357,310
Currency Hedged International Bond Fund
GMO Debt Opportunities Fund, Class VI	$	9,283,354	$	—	$	2,181,000	$	—	$	—	$	7,348,726
GMO Emerging Country Debt Fund, Class IV		3,119,087		118,660		—		118,660		—		3,374,643
GMO U.S. Treasury Fund		8,627,795		20,781,164		29,230,000		4,307		857		178,959
GMO World Opportunity Overlay Fund		16,096,362		—		—		—		—		15,808,499
Totals	$	37,126,598	$	20,899,824	$	31,411,000	$	122,967	$	857	$	26,710,827
Debt Opportunities Fund
GMO U.S. Treasury Fund	$	53,031,828	$	140,800,000	$	149,000,000	$	13,852	$	1	$	44,831,828
Emerging Country Debt Fund
GMO Debt Opportunities Fund, Class VI	$	13,757,244	$	—	$	—	$	—	$	—		14,205,973
GMO U.S. Treasury Fund		56,008,142		—		—		19,826		2,240		56,008,143
GMO World Opportunity Overlay Fund		40,674,643		—		—		—		—		39,947,227
Totals	$	110,440,029	$	—	$	—	$	19,826	$	2,240		110,161,343

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Value, end of period
Global Bond Fund
GMO Debt Opportunities Fund, Class VI	$	27,241,360	$	—	$	22,558,000	$	—	$	—	$	5,125,560
GMO Emerging Country Debt Fund, Class IV		5,774,234		79,642		4,158,300		79,642		—		2,111,786
GMO U.S. Treasury Fund		21,069,540		35,405,525		56,475,065		6,039		444		—
GMO World Opportunity Overlay Fund		31,889,522		—		21,309,250		—		—		10,441,598
Totals	$	85,974,656	$	35,485,167	$	104,500,615	$	85,681	$	444	$	17,678,944
International Bond Fund
GMO Debt Opportunities Fund, Class VI	$	13,772,624	$	—	$	7,783,500	$	—	$	—	$	6,255,985
GMO Emerging Country Debt Fund, Class IV		2,480,075		66,838		780,000		66,838		—		1,900,863
GMO U.S. Treasury Fund		2,367,613		15,740,678		18,015,000		1,428		250		93,291
GMO World Opportunity Overlay Fund		13,814,756		—		3,500,000		—		—		10,155,714
Totals	$	32,435,068	$	15,807,516	$	30,078,500	$	68,266	$	250	$	18,405,853

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2014 through November 30, 2014. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2015.

Basis of presentation

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

Portfolio valuation

Typically, the Funds and the underlying funds value each fixed income security based on the most recent quoted price supplied by a single pricing source chosen by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”). Although GMO 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. GMO 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 confirm the security price used by the Funds and the underlying funds. Therefore, the existence of those alternative sources does 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.

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 GMO 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 price quoted (which may be based on a model) 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 fixed income securities) 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 of GMO Trust (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 November 30, 2014, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quote for a security is not available by the time that a 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, 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 table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of November 30, 2014 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		—		< 1%
Benchmark-Free Bond Fund		< 1%		< 1%
Core Plus Bond Fund		< 1%		1%
Currency Hedged International Bond Fund		< 1%		1%
Debt Opportunities Fund		1%		4%
Emerging Country Debt Fund		2%		4%
Global Bond Fund		< 1%		1%
International Bond Fund		< 1%		1%
U.S. Treasury Fund		—		—
World Opportunity Overlay Fund		—		2%

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 table below). At November 30, 2014, certain Funds directly held material Level 3 investments in asset-backed securities (Debt Opportunities 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” section above. Other than as described in this paragraph, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at November 30, 2014.

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, 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 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) and derivatives 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.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of November 30, 2014:

Description	Level 1		Level 2			Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
Bank Loans	$	—	$	—		$	65,098,780	$	65,098,780
U.S. Government		—		1,849,177,422			—		1,849,177,422
TOTAL DEBT OBLIGATIONS		—		1,849,177,422			65,098,780		1,914,276,202
Mutual Funds		96,170,673		—			—		96,170,673
Options Purchased		—		164,853,519			—		164,853,519
Short-Term Investments		3,026,039,640		—			—		3,026,039,640
Total Investments		3,122,210,313		2,014,030,941			65,098,780		5,201,340,034
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—		100,789,375			—		100,789,375
Swap Contracts
Interest Rate Risk		—		88,406,448			—		88,406,448
Total	$	3,122,210,313	$	2,203,226,764		$	65,098,780	$	5,390,535,857
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(39,997,218	)	$	—	$	(39,997,218	)
Written Options
Foreign Currency Risk		—		(16,254,714	)		—		(16,254,714	)
Swap Contracts
Interest Rate Risk		—		(102,877,475	)		—		(102,877,475	)
Total	$	—	$	(159,129,407	)	$	—	$	(159,129,407	)
Benchmark-Free Bond Fund
Asset Valuation Inputs
Mutual Funds	$	1,202,620	$	—		$	—	$	1,202,620
Options Purchased		—		140,476			—		140,476
Short-Term Investments		6,782,295		—			—		6,782,295
Total Investments		7,984,915		140,476			—		8,125,391
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—		25,569			—		25,569
Swap Contracts
Interest Rate Risk		—		47,311			—		47,311
Total	$	7,984,915	$	213,356		$	—	$	8,198,271
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(9,050	)	$	—	$	(9,050	)
Written Options
Foreign Currency Risk		—		(17,879	)		—		(17,879	)
Swap Contracts
Interest Rate Risk		—		(39,327	)		—		(39,327	)
Total	$	—	$	(66,256	)	$	—	$	(66,256	)

Description	Level 1			Level 2			Level 3		Total
Core Plus Bond Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	—		$	1,073,405	$	1,073,405
Corporate Debt		—			4,006,032			—		4,006,032
Foreign Government Obligations		—			9,854,047			—		9,854,047
U.S. Government		10,438,280			46,017,180			—		56,455,460
TOTAL DEBT OBLIGATIONS		10,438,280			59,877,259			1,073,405		71,388,944
Mutual Funds		100,357,310			—			—		100,357,310
Options Purchased		—			3,281,503			—		3,281,503
Short-Term Investments		58,993,214			—			—		58,993,214
Total Investments		169,788,804			63,158,762			1,073,405		234,020,971
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—			1,706,034			—		1,706,034
Futures Contracts
Interest Rate Risk		8,323			—			—		8,323
Swap Contracts
Interest Rate Risk		—			1,795,492			—		1,795,492
Total	$	169,797,127		$	66,660,288		$	1,073,405	$	237,530,820
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(734,821	)	$	—	$	(734,821	)
Written Options
Foreign Currency Risk		—			(245,261	)		—		(245,261	)
Swap Contracts
Interest Rate Risk		—			(948,003	)		—		(948,003	)
Total	$	—		$	(1,928,085	)	$	—	$	(1,928,085	)
Currency Hedged International Bond Fund
Asset Valuation Inputs
Debt Obligations
Foreign Government Obligations	$	—		$	37,679,381		$	—	$	37,679,381
U.S. Government		—			4,117,979			—		4,117,979
TOTAL DEBT OBLIGATIONS		—			41,797,360			—		41,797,360
Mutual Funds		26,710,827			—			—		26,710,827
Options Purchased		—			1,003,128			—		1,003,128
Short-Term Investments		963,394			—			—		963,394
Total Investments		27,674,221			42,800,488			—		70,474,709
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—			947,089			—		947,089
Futures Contracts
Interest Rate Risk		219,932			—			—		219,932
Swap Contracts
Interest Rate Risk		—			358,078			—		358,078
Total	$	27,894,153		$	44,105,655		$	—	$	71,999,808
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(239,312	)	$	—	$	(239,312	)
Futures Contracts
Interest Rate Risk		(10,359	)		—			—		(10,359	)
Written Options
Foreign Currency Risk		—			(71,900	)		—		(71,900	)
Swap Contracts
Interest Rate Risk		—			(111,916	)		—		(111,916	)
Total	$	(10,359	)	$	(423,128	)	$	—	$	(433,487	)

Description	Level 1			Level 2			Level 3			Total
Debt Opportunities Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	53,111,012		$	1,371,342,653		$	1,424,453,665
U.S. Government Agency		—			—			25,240,932			25,240,932
TOTAL DEBT OBLIGATIONS		—			53,111,012			1,396,583,585			1,449,694,597
Mutual Funds		44,831,828			—			—			44,831,828
Short-Term Investments		309,857,096			—			—			309,857,096
Total Investments		354,688,924			53,111,012			1,396,583,585			1,804,383,521
Derivatives*
Swap Contracts
Credit Risk		—			1,258,072			—			1,258,072
Total	$	354,688,924		$	54,369,084		$	1,396,583,585		$	1,805,641,593
Liability Valuation Inputs
Derivatives*
Futures Contracts
Interest Rate Risk	$	(417,693	)	$	—		$	—		$	(417,693	)
Swap Contracts
Credit Risk		—			(668,850	)		—			(668,850	)
Interest Rate Risk		—			(257,070	)		—			(257,070	)
Total	$	(417,693	)	$	(925,920	)	$	—		$	(1,343,613	)
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	—		$	71,801,114		$	71,801,114
Corporate Debt		—			8,505,000			21,250,000			29,755,000
Foreign Government Agency		—			791,971,554			74,607,550			866,579,104
Foreign Government Obligations		—			1,850,075,804			137,638,569			1,987,714,373
Judgments		—			—			42,488,000			42,488,000
U.S. Government		—			72,821,852			—			72,821,852
TOTAL DEBT OBLIGATIONS		—			2,723,374,210			347,785,233			3,071,159,443
Loan Assignments		—			—			8,967,009			8,967,009
Loan Participations		—			—			73,777,962			73,777,962
Mutual Funds		110,161,343			—			—			110,161,343
Rights/Warrants		—			—			8,323,377			8,323,377
Short-Term Investments		219,776,992			—			—			219,776,992
Total Investments		329,938,335			2,723,374,210			438,853,581			3,492,166,126
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—			15,380,838			—			15,380,838
Options
Credit Risk		—			—			809,058			809,058
Swap Contracts
Credit Risk		—			87,008,445			—			87,008,445
Interest Rate Risk		—			530,561			—			530,561
Total	$	329,938,335		$	2,826,294,054		$	439,662,639		$	3,595,895,028
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(620,416	)	$	—		$	(620,416	)
Options
Credit Risk		—			—			(1,150,713	)		(1,150,713	)
Swap Contracts
Credit Risk		—			(126,615,919	)		—			(126,615,919	)
Interest Rate Risk		—			(3,043,639	)		—			(3,043,639	)
Total	$	—		$	(130,279,974	)	$	(1,150,713	)	$	(131,430,687	)

Description	Level 1			Level 2			Level 3		Total
Global Bond Fund
Asset Valuation Inputs
Debt Obligations
Foreign Government Obligations	$	—		$	10,159,612		$	—	$	10,159,612
U.S. Government		—			16,484,214			—		16,484,214
TOTAL DEBT OBLIGATIONS		—			26,643,826			—		26,643,826
Mutual Funds		17,678,944			—			—		17,678,944
Options Purchased		—			653,527			—		653,527
Short-Term Investments		2,733,481			—			—		2,733,481
Total Investments		20,412,425			27,297,353			—		47,709,778
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—			56,856			—		56,856
Futures Contracts
Interest Rate Risk		105,632			—			—		105,632
Swap Contracts
Interest Rate Risk		—			215,310			—		215,310
Total	$	20,518,057		$	27,569,519		$	—	$	48,087,576
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(1,029,804	)	$	—	$	(1,029,804	)
Futures Contracts
Interest Rate Risk		(31,397	)		—			—		(31,397	)
Written Options
Foreign Currency Risk		—			(47,264	)		—		(47,264	)
Swap Contracts
Interest Rate Risk		—			(6,682	)		—		(6,682	)
Total	$	(31,397	)	$	(1,083,750	)	$	—	$	(1,115,147	)
International Bond Fund
Asset Valuation Inputs
Debt Obligations
Foreign Government Obligations	$	—		$	22,474,163		$	—	$	22,474,163
U.S. Government		—			1,358,189			—		1,358,189
TOTAL DEBT OBLIGATIONS		—			23,832,352			—		23,832,352
Mutual Funds		18,405,853			—			—		18,405,853
Options Purchased		—			627,433			—		627,433
Short-Term Investments		2,181,005			—			—		2,181,005
Total Investments		20,586,858			24,459,785			—		45,046,643
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—			52,041			—		52,041
Futures Contracts
Interest Rate Risk		168,893			—			—		168,893
Swap Contracts
Interest Rate Risk		—			190,692			—		190,692
Total	$	20,755,751		$	24,702,518		$	—	$	45,458,269

Description	Level 1			Level 2			Level 3		Total
International Bond Fund (continued)
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(860,526	)	$	—	$	(860,526	)
Futures Contracts
Interest Rate Risk		(6,429	)		—			—		(6,429	)
Written Options
Foreign Currency Risk		—			(45,622	)		—		(45,622	)
Swap Contracts
Interest Rate Risk		—			(28,378	)		—		(28,378	)
Total	$	(6,429	)	$	(934,526	)	$	—	$	(940,955	)
U.S. Treasury Fund
Short-Term Investments	$	2,015,383,304		$	—		$	—	$	2,015,383,304
Total Investments		2,015,383,304			—			—		2,015,383,304
Total	$	2,015,383,304		$	—		$	—	$	2,015,383,304
World Opportunity Overlay Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	—		$	22,697,909	$	22,697,909
U.S. Government		—			45,963,940			—		45,963,940
U.S. Government Agency		—			—			854,000		854,000
TOTAL DEBT OBLIGATIONS		—			45,963,940			23,551,909		69,515,849
Options Purchased		—			0	**		—		0	**
Short-Term Investments		122,683,298			—			—		122,683,298
Total Investments		122,683,298			45,963,940			23,551,909		192,199,147
Derivatives*
Swap Contracts
Interest Rate Risk		—			3,027,596			—		3,027,596
Total	$	122,683,298		$	48,991,536		$	23,551,909	$	195,226,743
Liability Valuation Inputs
Derivatives*
Swap Contracts
Interest Rate Risk	$	—		$	(10,974,182	)	$	—	$	(10,974,182	)

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 investments that were determined to have a value of zero at November 30, 2014.

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 November 30, 2014, 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, 2014			Purchases		Sales			Accrued Discounts/ Premiums			Total Realized Gain/(Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3*			Transfer out of Level 3*			Balances as of November 30, 2014			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November  30, 2014
Asset Allocation Bond Fund
Debt Obligations
Bank Loans	$	—		$	64,321,250	$	—		$	4,659		$	—		$	772,871		$	—		$	—		$	65,098,780		$	772,871
Total	$	—		$	64,321,250	$	—		$	4,659		$	—		$	772,871		$	—		$	—		$	65,098,780		$	772,871
Core Plus Bond Fund
Debt Obligations
Asset-Backed Securities	$	3,005,500		$	—	$	(2,044,053	)	$	51,553		$	(732,171	)	$	792,576		$	—		$	—		$	1,073,405		$	47,088
Total	$	3,005,500		$	—	$	(2,044,053	)#	$	51,553		$	(732,171	)	$	792,576		$	—		$	—		$	1,073,405		$	47,088
Debt Opportunities Fund
Debt Obligations
Asset-Backed Securities	$	1,825,883,825		$	264,804,283	$	(769,296,290	)	$	7,769,383		$	(77,376,205	)	$	114,527,313		$	5,030,344	**	$	—		$	1,371,342,653		$	30,128,251
U.S. Government Agency		26,905,298			—		(1,857,577	)		9,318			—			183,893			—			—			25,240,932			183,773
Total	$	1,852,789,123		$	264,804,283	$	(771,153,867	)##	$	7,778,701		$	(77,376,205	)	$	114,711,206		$	5,030,344		$	—		$	1,396,583,585		$	30,312,024
Emerging Country Debt Fund
Debt Obligations
Asset-Backed Securities	$	75,460,374		$	—	$	(13,465,437	)	$	397,439		$	(6,367,771	)	$	14,840,631		$	935,878	**	$	—		$	71,801,114		$	6,435,015
Corporate Debt		19,550,000			—		—			(436	)		—			1,700,436			—			—			21,250,000			1,700,436
Foreign Government Agency		73,204,565			2,170,000		—			805,739			—			(1,572,754	)		—			—			74,607,550			(1,572,754	)
Foreign Government Obligations		128,865,871			2,272,924		(1,637,363	)		(1,380,986	)		—			9,518,123			—			—			137,638,569			9,518,123
Judgments		26,800,000			—		—			645,940			—			15,042,060			—			—			42,488,000			15,042,060
Total Debt Obligations		323,880,810			4,442,924		(15,102,800	)		467,696			(6,367,771	)		39,528,496			935,878			—			347,785,233			31,122,880
Loan Assignments		9,720,318			—		(737,889	)		364,911			—			(380,331	)		—			—			8,967,009			(380,331	)
Loan Participations		65,821,067			18,000,000		(5,010,297	)		1,950,964			—			(6,983,772	)		—			—			73,777,962			(6,983,772	)
Rights/Warrants		11,368,449			—		—			—			—			(3,045,072	)		—			—			8,323,377			(3,045,072	)
Total Investments		410,790,644			22,442,924		(20,850,986	)###		2,783,571			(6,367,771	)		29,119,321			935,878			—			438,853,581			20,713,705
Derivatives
Swap Contracts		0	***		—		(18,467,887	)		—			18,467,887			8,536,625			—			(8,536,625	)**		—			—
Options		(1,796,608	)		—		—			—			—			1,454,953			—			—			(341,655	)		1,454,953
Total	$	408,994,036		$	22,442,924	$	(39,318,873	)	$	2,783,571		$	12,100,116		$	39,110,899		$	935,878		$	(8,536,625	)	$	438,511,926		$	22,168,658
World Opportunity Overlay Fund
Debt Obligations
Asset-Backed
Securities	$	119,676,759		$	738	$	(103,371,108	)	$	(553,669	)	$	(36,790,927	)	$	43,736,116		$	—		$	—		$	22,697,909		$	1,602,754
U.S. Government Agency		843,840			—		—			(2,630	)		—			12,790			—			—			854,000			12,791
Total	$	120,520,599		$	738	$	(103,371,108	)####	$	(556,299	)	$	(36,790,927	)	$	43,748,906		$	—		$	—		$	23,551,909		$	1,615,545

* 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 were due to a change in observable and/or unobservable inputs.

*** Represents the interest in derivatives that were determined to have a value of zero at February 28, 2014 or November 30, 2014.

# Includes $193,201 of proceeds received from principal paydowns.

## Includes $221,238,349 of proceeds received from principal paydowns.

### Includes $15,657,615 of proceeds received from principal paydowns.

#### Includes $8,947,017 of proceeds received from principal paydowns.

The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Funds’ exposure, (based on each Fund’s net assets) as of November 30, 2014 were as follows:

Fund Name	Level 3 securities and derivatives
Asset Allocation Bond Fund		1%
Benchmark-Free Bond Fund		5%
Core Plus Bond Fund		6%
Currency Hedged International Bond Fund		11%
Debt Opportunities Fund		77%
Emerging Country Debt Fund		13%
Global Bond Fund		12%
International Bond Fund		14%
U.S. Treasury Fund		—
World Opportunity Overlay Fund		12%

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 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 assignments and participations

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

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. 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 (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 accrues inflation into the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The market price 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 generally 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 is generally included in the Fund’s gross income, 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.

Short sales

Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Short sales outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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 then 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 using a broker quote and adjusted by a discount for liquidity considerations, represented 1.2% of the net assets of ECDF as of November 30, 2014. In October 2014, ECDF filed supplemental claims requesting additional relief with respect to its existing judgment.

In December 2014, ECDF entered into litigation against the Government of Ecuador (“Ecuador”) relating to Ecuador’s failure to make payments on certain sovereign debt held by the Fund. The matter is currently pending before the court.

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 Allocation Bond Fund	Benchmark-Free Bond Fund	Core Plus Bond Fund	Currency Hedged International Bond Fund	Debt Opportunities Fund	Emerging Country Debt Fund	Global Bond Fund	International Bond Fund	U.S. Treasury Fund	World Opportunity Overlay Fund
Market Risk – Fixed Income Investments	X	X	X	X	X	X	X	X	X	X
Market Risk – Asset-Backed Securities	X	X	X	X	X	X	X	X		X
Credit Risk	X	X	X	X	X	X	X	X	X	X
Illiquidity Risk	X	X	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	X
Leveraging Risk	X	X	X	X	X	X	X	X		X
Counterparty Risk	X	X	X	X	X	X	X	X		X
Commodities Risk		X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X	X	X	X	X
Management and Operational Risk	X	X	X	X	X	X	X	X	X	X
Fund of Funds Risk	X	X	X	X	X	X	X	X
Non-Diversified Funds	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 GMO 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 as well as the risk that investments made through underlying Funds will not perform as expected. 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 its underlying Funds.

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

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

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, and the market price of the Fund’s investment may 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 “Illiquidity 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.

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”)) 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. 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. 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.

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 GMO waives or reduces its management fees.

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

Fixed income markets may, in response to governmental intervention, economic or market developments, or other factors, experience periods of high volatility and/or reduced liquidity. During those periods, a Fund could also experience high levels of shareholder redemptions, and may have to sell securities when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent periods, central banks and governmental financial regulators, including the U.S. Federal Reserve, have maintained historically low interest rates by purchasing bonds. Steps to curtail or “taper” such activities and other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) could have a material adverse effect on the Funds.

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 of severe credit downgrades, illiquidity, and defaults, to a greater extent than many other types of fixed income investments. 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., the amount of underlying assets or other support available 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 GMO 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 expose a Fund to significantly greater declines in value due to defaults because 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, and the market price of the Fund’s investment may 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.

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. The risks associated with asset-backed securities are particularly pronounced for Debt Opportunities Fund, which primarily holds asset-backed securities, and for the Funds that have invested substantial portions of their assets in Debt Opportunities Fund.

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

In many 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 the investment’s rating will be downgraded.

U.S. government securities 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 repayment by the United States of 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 under “Market Risk — Asset-Backed Securities” above.

The obligations of issuers also may be 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 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. Investments in distressed or defaulted instruments generally are considered speculative and may involve substantial risks not normally associated with investments in healthier companies, including adverse business, financial or economic conditions that can lead to defaulted payments and insolvency proceedings. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and a Fund may incur additional expenses to seek recovery. If GMO’s evaluation of the eventual recovery value of a distressed or defaulted instrument should prove incorrect, a Fund may lose a substantial portion or all of its investment or it may be required to accept cash or instruments with a value less than the Fund’s original investment. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the sovereign issuer.

• ILLIQUIDITY RISK. Illiquidity 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 closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity 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). To the extent a Fund’s investments include asset-backed securities, distressed or defaulted instruments, emerging country debt securities, securities of companies with smaller market capitalizations, or emerging market securities, it is subject to increased liquidity risk. 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. 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 changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other over-the-counter (“OTC”) contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, 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 still 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 GMO 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., foreign 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 will typically not receive the collateral for one or more days after the collateral is requested by the Fund.

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, illiquidity 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, GMO 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 illiquidity risk (see “Illiquidity 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.

There is little case or other law interpreting the terms of most derivatives or characterizing their tax treatment. A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders.

Cleared Derivatives. The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. Because these requirements are new and evolving (and some 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 hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds 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 some 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 positions than for bilateral derivatives positions. Also, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives position 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 positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions 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 positions 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 GMO 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 position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and 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. While futures contracts entail similar risks, the risks likely are more pronounced for cleared derivatives due to their more limited liquidity and market history.

Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility. If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), it is possible the Fund could not execute all components of the package on the swap execution facility. In that case, the Fund would need to trade certain components of the package on the swap execution facility and other components of the package in another manner, which could subject the Fund to the risk that certain of the components of the package would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.

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 rules and regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new rules and 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 they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Options. Some Funds are permitted to write options. The market price of written options 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 the option’s expiration, the writer of an American-style option has no control over 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 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, GMO, and other funds advised by GMO 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-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.

Special tax rules apply to a Fund’s transactions in options, which could increase the amount of taxes payable by shareholders. In particular, a 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 at ordinary income tax rates.

Short Investment Exposure. Some Funds may make short sales as part of their investment programs in an attempt to increase their returns or for hedging purposes. Many Funds may make short sales “against the box,” meaning the Fund may make short sales where the Fund owns, or has the right to acquire at no added cost, securities or currencies identical to those sold short. Short sales expose a 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.

In addition, some Funds are permitted to engage in short sales of securities or currencies, including securities or currencies that they do not own. To do so, a 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. 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. A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency. Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A 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 or takes “short” derivative positions.

• 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. Non-U.S. securities markets often include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets 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. The reporting, accounting, custody and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities 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 and/or its shareholders 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 or other disposition of those investments. A Fund may seek to collect a refund of taxes paid, but its efforts 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, particularly in light of the costs involved, it may decide not to pursue a refund, even if eligible. The outcome of a Fund’s pursuit of a refund is not predictable, and potential refunds generally are not reflected in the net asset value of a Fund.

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, including the imposition of economic sanctions.

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 United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign 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 GMO’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 GMO’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 foreign 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. 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 GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.

Derivative transactions in foreign 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 that are subject to the same or similar risk factors or whose security prices have strong positive correlations (e.g., different industries within broad sectors, such as technology or financial services), or in securities from issuers that are subject to the same or similar risk factors, 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, 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 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 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 may not 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 still have contractual remedies (whether or not the obligation is collateralized), 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 has been and may continue to 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 positions 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 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 the funds held in the omnibus account for the 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 Commodity 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.

• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the net asset value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. The value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives Risk” above for a discussion of certain specific risks of a Fund’s derivatives investments, including commodity-related derivatives.

• 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. Terrorism in the United States and around the world 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 reduce 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, a default by the U.S. government or a downgrade of its credit rating 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 United States 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 United States 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 affect 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 a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.

• LARGE SHAREHOLDER RISK. If 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 by forcing the Fund to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may purchase or sell Fund shares. GMO Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by GMO 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) 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, have adverse tax consequences for shareholders. Additionally, in the case of Funds that are regulated investment companies for U.S. federal income tax purposes, they also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization. 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 GMO’s ability to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

For some Funds GMO uses quantitative analyses and models as part of its investment process. Any imperfections, errors, or limitations in those analyses and models could affect a Fund’s performance. 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 GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’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 GMO 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. GMO is not contractually liable to the Funds for losses associated with operational risk absent its 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.

With the increased use of technologies such as the Internet and the dependence on computer systems to perform necessary business functions, investment companies (such as the Funds) and their service providers (including GMO) may be prone to operational and information security risks resulting from cyber-attacks and/or other technological malfunctions. In general, cyber-attacks are deliberate, but unintentional events may have similar effects. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other affiliated or third-party service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, there are inherent limitations in such plans and systems including the possibility that certain risks have not been identified. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.

• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Funds that invest in shares of underlying Funds including other GMO Funds, closed-end funds, money market funds, ETFs and other investment companies 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.

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. In addition, ETFs often use derivatives to track the performance of the relevant index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed above.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”). This means they are allowed to invest in the securities of relatively few issuers and/or foreign 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 within the meaning of 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. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and that are taken in attempting to respond to adverse market, economic, political or other conditions.

The Funds (other than U.S. Treasury Fund) may take temporary defensive positions if deemed prudent by GMO. 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.

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 indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives to gain long investment exposure to 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 or may use a bond futures contract to short the bond market of a particular country. A 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 GMO 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, GMO 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 exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, the Funds will typically have (or may have, in the case of Debt Opportunities 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 Debt Opportunities Fund and U.S. Treasury Fund) leveraged) and therefore are subject to heightened risk of loss. The Funds’ (other than Debt Opportunities 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 that may be 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, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to

bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges 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 GMO 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 November 30, 2014, 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	Benchmark- Free Bond Fund	Core Plus Bond Fund	Currency Hedged International Bond Fund	Debt Oppor-tunities Fund	Emerging Country Debt Fund	Global Bond Fund	International Bond Fund	World Opportunity Overlay Fund
Forward currency contracts
Adjust currency exchange rate risk	X	X		X		X	X	X
Adjust exposure to foreign currencies	X	X	X	X		X	X	X
Futures contracts
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	X
Adjust exposure to foreign currencies	X	X	X	X			X	X	X
Adjust interest rate exposure	X								X
Options (Written)
Adjust currency exchange rate risk			X	X			X	X
Adjust exposure to foreign currencies	X	X	X	X			X	X
Options (Credit linked)
Achieve exposure to a reference entity’s credit						X
Swap contracts
Achieve exposure to a reference entity’s credit			X		X	X		X
Adjust exposure to certain markets			X
Adjust interest rate exposure	X	X	X	X	X	X	X	X	X
Provide a measure of protection against default loss			X	X	X	X	X	X
Adjust exposure to foreign currencies	X	X				X		X	X
Rights and/or warrants
Achieve exposure to a reference commodity						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 price 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. 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, if any, 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.

For the period ended November 30, 2014, investment activity in options contracts written by the Funds was as follows:

	Puts								Calls
	Principal Amount of Contracts			Number of Contracts		Premiums			Principal Amount of Contracts		Number of Contracts		Premiums
Asset Allocation Bond Fund
Outstanding, beginning of period		—			—	$	—			—		—	$	—
Options written		184,430,000			—		3,012,758			504,598,449		—		17,041,675
Options bought back		(184,430,000	)		—		(3,012,758	)		—		—		—
Options expired		—			—		—			—		—		—
Options exercised		—			—		—			—		—		—
Outstanding, end of period		—			—	$	—			504,598,449		—	$	17,041,675

	Puts								Calls
	Principal Amount of Contracts			Number of Contracts		Premiums			Principal Amount of Contracts		Number of Contracts		Premiums
Benchmark-Free Bond Fund
Outstanding, beginning of period		—			—	$	—			—		—	$	—
Options written		248,000			—		1,654			308,000		—		17,189
Options bought back		—			—		—			—		—		—
Options expired		—			—		—			—		—		—
Options exercised		—			—		—			—		—		—
Outstanding, end of period		248,000			—	$	1,654			308,000		—	$	17,189
Core Plus Bond Fund
Outstanding, beginning of period		3,500,000			—	$	50,606			—		—	$	—
Options written		8,720,000			—		74,141			7,617,098		—		257,394
Options bought back		(3,520,000	)		—		(57,501	)		—		—		—
Options expired		(8,700,000	)		—		(67,246	)		—		—		—
Options exercised		—			—		—			—		—		—
Outstanding, end of period		—			—	$	—			7,617,098		—	$	257,394
Currency Hedged International Bond Fund
Outstanding, beginning of period		1,000,000			—	$	14,459			—		—	$	—
Options written		2,730,000			—		23,576			2,254,127		—		75,497
Options bought back		(1,130,000	)		—		(18,456	)		—		—		—
Options expired		(2,600,000	)		—		(19,579	)		—		—		—
Options exercised		—			—		—			—		—		—
Outstanding, end of period		—			—	$	—			2,254,127		—	$	75,497
Global Bond Fund
Outstanding, beginning of period		2,000,000			—	$	28,918			—		—	$	—
Options written		3,810,000			—		21,521			1,469,016		—		49,604
Options bought back		(710,000	)		—		(11,601	)		—		—		—
Options expired		(5,100,000	)		—		(38,838	)		—		—		—
Options exercised		—			—		—			—		—		—
Outstanding, end of period		—			—	$	—			1,469,016		—	$	49,604
International Bond Fund
Outstanding, beginning of period		1,000,000			—	$	14,459			—		—	$	—
Options written		1,980,000			—		15,268			1,445,814		—		47,934
Options bought back		(680,000	)		—		(11,108	)		—		—		—
Options expired		(2,300,000	)		—		(18,619	)		—		—		—
Options exercised		—			—		—			—		—		—
Outstanding, end of period		—			—	$	—			1,445,814		—	$	47,934

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.

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. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss.

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights 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). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

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. 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.

The values assigned to swap contracts may differ significantly from the values 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. 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 as of November 30, 2014:

	Credit Contracts		Commodity Contracts		Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Asset Allocation Bond Fund
Assets:
Investments, at value (purchased options)	$	—	$	—	$	—	$	164,853,519		$	—		$	—	$	164,853,519
Unrealized Appreciation on Forward Currency Contracts		—		—		—		100,789,375			—			—		100,789,375
Unrealized Appreciation on Swap Contracts		—		—		—		—			88,406,448			—		88,406,448
Total	$	—	$	—	$	—	$	265,642,894		$	88,406,448		$	—	$	354,049,342
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—	$	(39,997,218	)	$	—		$	—	$	(39,997,218	)
Written Options, at value		—		—		—		(16,254,714	)		—			—		(16,254,714	)
Unrealized Depreciation on Swap Contracts		—		—		—		—			(102,877,475	)		—		(102,877,475	)
Total	$	—	$	—	$	—	$	(56,251,932	)	$	(102,877,475	)	$	—	$	(159,129,407	)
Benchmark-free Bond Fund
Assets:
Investments, at value (purchased options)	$	—	$	—	$	—	$	140,476		$	—		$	—	$	140,476
Unrealized Appreciation on Forward Currency Contracts		—		—		—		25,569			—			—		25,569
Unrealized Appreciation on Swap Contracts		—		—		—		—			47,311			—		47,311
Total	$	—	$	—	$	—	$	166,045		$	47,311		$	—	$	213,356
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—	$	(9,050	)	$	—		$	—	$	(9,050	)
Written Options, at value		—		—		—		(17,879	)		—			—		(17,879	)
Unrealized Depreciation on Swap Contracts		—		—		—		—			(39,327	)		—		(39,327	)
Total	$	—	$	—	$	—	$	(26,929	)	$	(39,327	)	$	—	$	(66,256	)
Core Plus Bond Fund
Assets:
Investments, at value (purchased options)	$	—	$	—	$	—	$	3,281,503		$	—		$	—	$	3,281,503
Unrealized Appreciation on Forward Currency Contracts		—		—		—		1,706,034			—			—		1,706,034
Unrealized Appreciation on Futures Contracts		—		—		—		—			8,323			—		8,323
Unrealized Appreciation on Swap Contracts		—		—		—		—			1,795,492			—		1,795,492
Total	$	—	$	—	$	—	$	4,987,537		$	1,803,815		$	—	$	6,791,352
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—	$	(734,821	)	$	—		$	—	$	(734,821	)
Written Options, at value		—		—		—		(245,261	)		—			—		(245,261	)
Unrealized Depreciation on Swap Contracts		—		—		—		—			(948,003	)		—		(948,003	)
Total	$	—	$	—	$	—	$	(980,082	)	$	(948,003	)	$	—	$	(1,928,085	)

	Credit Contracts			Commodity Contracts		Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Currency Hedged International Bond Fund
Assets:
Investments, at value (purchased options)	$	—		$	—	$	—	$	1,003,128		$	—		$	—	$	1,003,128
Unrealized Appreciation on Forward Currency Contracts		—			—		—		947,089			—			—		947,089
Unrealized Appreciation on Futures Contracts		—			—		—		—			219,932			—		219,932
Unrealized Appreciation on Swap Contracts		—			—		—		—			358,078			—		358,078
Total	$	—		$	—	$	—	$	1,950,217		$	578,010		$	—	$	2,528,227
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	—	$	(239,312	)	$	—		$	—	$	(239,312	)
Unrealized Depreciation on Futures Contracts		—			—		—		—			(10,359	)		—		(10,359	)
Written Options, at value		—			—		—		(71,900	)		—			—		(71,900	)
Unrealized Depreciation on Swap Contracts		—			—		—		—			(111,916	)		—		(111,916	)
Total	$	—		$	—	$	—	$	(311,212	)	$	(122,275	)	$	—	$	(433,487	)
Debt Opportunities Fund
Assets:
Unrealized Appreciation on Swap Contracts	$	1,258,072		$	—	$	—	$	—		$	—		$	—	$	1,258,072
Total	$	1,258,072		$	—	$	—	$	—		$	—		$	—	$	1,258,072
Liabilities:
Unrealized Depreciation on Futures Contracts	$	—		$	—	$	—	$	—		$	(417,693	)	$	—	$	(417,693	)
Unrealized Depreciation on Swap Contracts		(668,850	)		—		—		—			(257,070	)		—		(925,920	)
Total	$	(668,850	)	$	—	$	—	$	—		$	(674,763	)	$	—	$	(1,343,613	)
Emerging Country Debt Fund
Assets:
Investments, at value (rights and/or warrants)	$	—		$	—	$	—	$	—		$	—		$	8,323,377	$	8,323,377
Unrealized Appreciation on Forward Currency Contracts		—			—		—		15,380,838			—			—		15,380,838
Unrealized Appreciation on Swap Contracts		87,008,445			—		—		—			530,561			—		87,539,006
Options		809,058			—		—		—			—			—		809,058
Total	$	87,817,503		$	—	$	—	$	15,380,838		$	530,561		$	8,323,377	$	112,052,279
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	—	$	(620,416	)	$	—		$	—	$	(620,416	)
Unrealized Depreciation on Swap Contracts		(126,615,919	)		—		—		—			(3,043,639	)		—		(129,659,558	)
Options		(1,150,713	)		—		—		—			—			—		(1,150,713	)
Total	$	(127,766,632	)	$	—	$	—	$	(620,416	)	$	(3,043,639	)	$	—	$	(131,430,687	)

	Credit Contracts		Commodity Contracts		Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Global Bond Fund
Assets:
Investments, at value (purchased options)	$	—	$	—	$	—	$	653,527		$	—		$	—	$	653,527
Unrealized Appreciation on Forward Currency Contracts		—		—		—		56,856			—			—		56,856
Unrealized Appreciation on Futures Contracts		—		—		—		—			105,632			—		105,632
Unrealized Appreciation on Swap Contracts		—		—		—		—			215,310			—		215,310
Total	$	—	$	—	$	—	$	710,383		$	320,942		$	—	$	1,031,325
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—	$	(1,029,804	)	$	—		$	—	$	(1,029,804	)
Unrealized Depreciation on Futures Contracts		—		—		—		—			(31,397	)		—		(31,397	)
Written Options, at value		—		—		—		(47,264	)		—			—		(47,264	)
Unrealized Depreciation on Swap Contracts		—		—		—		—			(6,682	)		—		(6,682	)
Total	$	—	$	—	$	—	$	(1,077,068	)	$	(38,079	)	$	—	$	(1,115,147	)
International Bond Fund
Assets:
Investments (purchased options)	$	—	$	—	$	—	$	627,433		$	—		$	—	$	627,433
Unrealized Appreciation on Forward Currency Contracts		—		—		—		52,041			—			—		52,041
Unrealized Appreciation on Futures Contracts		—		—		—		—			168,893			—		168,893
Unrealized Appreciation on Swap Contracts		—		—		—		—			190,692			—		190,692
Total	$	—	$	—	$	—	$	679,474		$	359,585		$	—	$	1,039,059
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—	$	(860,526	)	$	—		$	—	$	(860,526	)
Unrealized Depreciation on Futures Contracts		—		—		—		—			(6,429	)		—		(6,429	)
Written Options, at value		—		—		—		(45,622	)		—			—		(45,622	)
Unrealized Depreciation on Swap Contracts		—		—		—		—			(28,378	)		—		(28,378	)
Total	$	—	$	—	$	—	$	(906,148	)	$	(34,807	)	$	—	$	(940,955	)
World Opportunity Overlay Fund
Assets:
Investments, at value (purchased options)	$	—	$	—	$	—	$	0	*	$	—		$	—	$	—
Unrealized Appreciation on Swap Contracts		—		—		—		—			3,027,596			—		3,027,596
Total	$	—	$	—	$	—	$	—		$	3,027,596		$	—	$	3,027,596
Liabilities:
Unrealized Depreciation on Swap Contracts	$	—	$	—	$	—	$	—		$	(10,974,182	)	$	—	$	(10,974,182	)
Total	$	—	$	—	$	—	$	—		$	(10,974,182	)	$	—	$	(10,974,182	)

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.

* Represents the interest in investments that were determined to have a value of zero at November 30, 2014.

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 November 30, 2014.

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)		Options ($)		Rights and/or Warrants ($)
Asset Allocation Bond Fund		1,358,290,218		2,143,627,624		7,275,062,346		1,395,953,055		—
Benchmark-Free Bond Fund		4,492,516		—		14,261,165		6,283,094		—
Core Plus Bond Fund		104,252,975		107,389,348		274,435,531		37,476,774		—
Currency Hedged International Bond Fund		53,581,256		62,265,096		24,409,056		11,143,971		—
Debt Opportunities Fund		—		143,779,178		55,333,333		—		—
Emerging Country Debt Fund		433,272,514		—		3,729,556,143		380,000,000*		10,303,923
Global Bond Fund		88,462,070		52,761,442		22,092,591		13,694,856		—
International Bond Fund		52,212,428		30,636,464		15,143,686		8,266,411		—
World Opportunity Overlay Fund		—		243,766,598		1,840,249,975		137,550,864		—

* Based on number of contracts.

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

GMO Foreign Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.5%
		Australia — 2.9%
	834,059	Asciano Group		4,167,278
	1,339,063	Incitec Pivot Ltd		3,244,575
	539,293	Toll Holdings Ltd		2,583,572
		Total Australia		9,995,425
		Belgium — 1.3%
	38,688	Anheuser-Busch InBev NV		4,550,406
		Brazil — 0.3%
	159,000	Tupy SA		1,115,855
		Finland — 3.5%
	147,456	Fortum Oyj		3,701,557
	1,018,854	Nokia Oyj		8,465,556
		Total Finland		12,167,113
		France — 14.7%
	72,514	Accor SA		3,420,840
	1,063,427	Alcatel-Lucent *		3,803,336
	52,224	Arkema SA		3,555,228
	25,093	AtoS		1,783,308
	70,676	BNP Paribas		4,538,991
	32,159	Cie Generale des Etablissements Michelin – Class B		2,958,755
	95,724	Compagnie de Saint-Gobain		4,399,283
	823,844	Peugeot SA *		10,545,878
	23,432	Societe BIC SA		3,123,245
	26,859	Sodexo		2,711,009
	45,824	Teleperformance		3,201,857
	116,484	Total SA		6,504,510
		Total France		50,546,240
		Germany — 8.9%
	636,382	Deutsche Telekom AG (Registered)		10,821,305
	581,184	E.ON AG		10,297,347
	64,722	Rheinmetall AG		2,741,217
	188,868	RWE AG		6,842,531
		Total Germany		30,702,400
		Hong Kong — 2.7%
	147,000	Cheung Kong Holdings Ltd		2,697,959
	2,450,000	China Unicom Hong Kong Ltd		3,707,753
	287,500	Power Assets Holdings Ltd		2,742,828
		Total Hong Kong		9,148,540
		Italy — 8.8%
	211,854	Assicurazioni Generali SPA		4,586,132
	4,507,470	Banca Popolare di Milano Scarl *		3,295,853
	335,567	ENI SPA		6,685,260
	1,339,751	Mediaset SPA *		5,443,887

Shares		Description	Value ($)
		Italy — continued
	420,048	Mediobanca SPA		3,759,046
	5,880,016	Telecom Italia SPA *		6,627,421
		Total Italy		30,397,599
		Japan — 20.4%
	94,617	Aisin Seiki Co Ltd		3,384,496
	1,441,000	Aozora Bank Ltd		4,685,438
	78,100	Bridgestone Corp		2,686,654
	18,900	Daito Trust Construction Co Ltd		2,140,452
	569,000	Hitachi Ltd		4,396,265
	103,700	Japan Tobacco, Inc.		3,325,431
	95,700	KDDI Corp.		6,130,871
	2,636,900	Mitsubishi UFJ Financial Group Inc		15,192,541
	648,000	Nippon Electric Glass Co Ltd		2,965,429
	834,600	Resona Holdings Inc		4,510,523
	197,700	Sony Corp		4,333,167
	377,121	Sumitomo Mitsui Financial Group Inc		14,164,425
	72,800	Tokio Marine Holdings Inc		2,380,596
		Total Japan		70,296,288
		Mexico — 1.1%
	1,032,874	Mexico Real Estate Management SA de CV		1,817,428
	930,100	PLA Administradora Industrial S de RL de CV		2,000,646
		Total Mexico		3,818,074
		Norway — 0.9%
	166,490	Statoil ASA		3,143,106
		Portugal — 0.8%
	239,393	Galp Energia SGPS SA		2,920,186
		South Korea — 3.5%
	24,999	Hyundai Motor Co		4,016,234
	6,799	Samsung Electronics Co Ltd		7,877,165
		Total South Korea		11,893,399
		Spain — 7.5%
	889,873	Banco Bilbao Vizcaya Argentaria SA		9,563,371
	1,299,185	CaixaBank SA		7,177,296
	526,595	Iberdrola SA		3,896,713
	228,692	Repsol YPF SA		5,137,555
		Total Spain		25,774,935
		Sweden — 0.5%
	71,294	Svenska Cellulosa AB – Class B		1,681,051
		Switzerland — 3.1%
	13,577	Sulzer AG		1,518,583
	230,442	UBS Group AG *		4,139,962
	15,810	Zurich Insurance Group AG		4,957,393
		Total Switzerland		10,615,938

GMO Foreign Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — 15.6%
	51,850	Berkeley Group Holdings Plc (Unit Shares)		2,077,873
	959,996	BP Plc		6,293,635
	136,669	British American Tobacco Plc		8,091,198
	113,551	Domino Printing Sciences Plc		1,181,238
	77,406	Euromoney Institutional Investor Plc		1,235,443
	439,892	Howden Joinery Group Plc		2,685,266
	95,387	Imperial Tobacco Group Plc		4,408,957
	193,035	Inchcape Plc		2,165,696
	67,405	Rio Tinto Plc		3,137,178
	203,911	Royal Dutch Shell Plc A Shares (London)		6,793,826
	102,697	Schroders Plc (Non Voting)		3,391,893
	64,098	Smiths Group Plc		1,157,929
	1,361,792	Taylor Wimpey Plc		2,852,422
	130,990	Travis Perkins Plc		3,695,813
	298,888	Tyman Plc		1,386,232
	829,015	Vodafone Group Plc		3,038,342
		Total United Kingdom		53,592,941
		TOTAL COMMON STOCKS (COST $337,450,303)		332,359,496
		PREFERRED STOCKS — 0.9%
		South Korea — 0.9%
	9,776	Hyundai Motor Co		1,167,067
	2,245	Samsung Electronics Co Ltd		2,131,115
		Total South Korea		3,298,182
		TOTAL PREFERRED STOCKS (COST $3,644,677)		3,298,182
		RIGHTS/WARRANTS — 0.2%
		France — 0.2%
	52,224	Arkema SA Rights, Expires 12/03/14 *		153,748
	193,174	Peugeot SA Warrants, Expires 04/29/17 *		341,320
		Total France		495,068
		Spain — 0.0%
	1,299,185	CaixaBank SA Rights, Expires 12/10/14 *		87,295
		TOTAL RIGHTS/WARRANTS (COST $592,195)		582,363
		MUTUAL FUNDS — 2.0%
		United States — 2.0%
		Affiliated Issuers
	276,211	GMO U.S. Treasury Fund		6,905,264
		TOTAL MUTUAL FUNDS (COST $6,905,264)		6,905,264

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Time Deposits — 0.2%
AUD	27	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.76%, due 12/01/14		23
EUR	53,559	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.11)%, due 12/01/14		66,643
JPY	11,550,280	DnB Nor Bank (Oslo) Time Deposit, 0.01%, due 12/01/14		97,331
NOK	224,762	DnB Nor Bank (Oslo) Time Deposit, 0.55%, due 12/01/14		31,950
USD	458,259	JPMorgan Chase (New York) Time Deposit, 0.06%, due 12/01/14		458,259
		Total Time Deposits		654,206
		TOTAL SHORT-TERM INVESTMENTS (COST $654,206)		654,206
		TOTAL INVESTMENTS — 99.8% (Cost $349,246,645)		343,799,511
		Other Assets and Liabilities (net) — 0.2%		640,401
		TOTAL NET ASSETS — 100.0%		$344,439,912

Notes to Schedule of Investments:

* Non-income producing security.

Currency Abbreviations:

AUD - Australian Dollar

EUR - Euro

JPY - Japanese Yen

NOK - Norwegian Krone

USD - United States Dollar

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.9%
		Australia — 7.8%
	2,823,992	Asciano Group		14,109,743
	2,015,688	BlueScope Steel Ltd *		8,475,592
	2,356,460	Challenger Ltd		12,719,089
	5,249,404	Federation Centres Ltd		12,357,991
	6,169,235	Incitec Pivot Ltd		14,948,175
	2,822,152	Toll Holdings Ltd		13,519,986
	2,817,747	Tox Free Solutions Ltd		5,468,058
		Total Australia		81,598,634
		Brazil — 0.7%
	2,130,100	Even Construtora e Incorporadora SA		4,816,882
	421,800	Tupy SA		2,960,173
		Total Brazil		7,777,055
		Canada — 4.4%
	708,000	Canyon Services Group Inc		5,997,482
	6,044,000	Capstone Mining Corp *		10,091,826
	2,163,362	Gran Tierra Energy Inc *		7,772,898
	172,300	Karnalyte Resources Inc * (a)		135,563
	1,216,700	NuVista Energy Ltd *		8,828,228
	922,800	Precision Drilling Corp		5,985,817
	1,263,800	Western Energy Services Corp		6,783,575
		Total Canada		45,595,389
		Chile — 0.2%
	310,700	Geopark Ltd *		2,205,970
		Finland — 0.5%
	196,005	Tieto Oyj		5,025,534
		France — 16.3%
	222,237	Accor SA		10,484,006
	1,178,905	Altran Technologies SA		10,665,949
	128,655	Arkema SA		8,758,384
	156,665	AtoS		11,133,860
	84,665	Cie Generale des Etablissements Michelin – Class B		7,789,515
	363,383	Faurecia		13,345,376
	294,398	Nexity SA		11,480,608
	1,224,516	Peugeot SA *		15,674,808
	437,569	Rexel SA		8,111,969
	155,993	SA des Ciments Vicat		11,786,589
	88,618	Societe BIC SA		11,811,868
	120,660	Sodexo		12,178,799
	162,095	Sopra Group SA		12,536,146
	1,869,396	Technicolor *		11,170,605
	186,543	Teleperformance		13,034,306
		Total France		169,962,788

Shares		Description	Value ($)
		Germany — 5.4%
	303,425	Aixtron AG *		3,596,629
	357,025	Deutsche Wohnen AG		8,568,185
	1,165,996	Deutz AG		5,541,904
	798,939	Grand City Properties SA *		11,446,910
	201,799	Rheinmetall AG		8,546,938
	521,874	SAF-Holland SA		7,251,873
	1,021,040	TAG Immobilien AG		11,533,128
		Total Germany		56,485,567
		Hong Kong — 0.9%
	5,079,910	HKT Trust		6,353,274
	960,000	Hopewell Holdings Ltd		3,511,108
		Total Hong Kong		9,864,382
		Ireland — 0.5%
	62,751	Kerry Group Plc – Class A		4,664,327
		Italy — 11.1%
	1,765,030	Amplifon SPA		10,997,944
	456,178	Atlantia SPA		11,499,212
	496,023	Autogrill SPA *		3,743,344
	13,528,204	Banca Popolare di Milano Scarl *		9,891,795
	611,939	Banco Popolare Scarl *		8,437,050
	1,000,000	Cerved Information Solutions SPA *		5,278,256
	1,609,488	Credito Emiliano SPA		12,695,717
	4,106,317	Mediaset SPA *		16,685,434
	1,581,561	Mediobanca SPA		14,153,526
	2,401,551	Piaggio & C SPA *		7,036,546
	3,603,545	UnipolSai SPA		10,313,384
	496,023	World Duty Free SPA *		4,816,329
		Total Italy		115,548,537
		Japan — 18.5%
	1,759,100	Akebono Brake Industry Co Ltd		6,386,029
	355,900	Aoyama Trading Co Ltd		7,723,837
	1,545,000	Calsonic Kansei Corp		8,483,434
	469,700	Capcom		6,982,752
	288,200	Century Tokyo Leasing Corp		7,136,744
	753,000	Daicel Chemical Industries Ltd		8,663,608
	103,800	Enplas Corp		3,467,615
	243,400	Fuji Seal International Inc		6,922,305
	496,400	Fuji Oil Co Ltd		7,046,609
	1,243,000	GS Yuasa Corp		5,940,097
	370,300	Izumi Co Ltd		11,607,283
	1,286	Kenedix Office Investment Corp (REIT)		7,090,225
	155,700	Kintetsu World Express Inc		5,442,658
	1,316,900	Mitsubishi UFJ Lease & Finance Co Ltd		6,214,191
	279,100	Nabtesco Corp		6,710,576
	789,500	NHK Spring Co Ltd		6,842,743
	549,000	Nippon Shokubai Co Ltd		6,850,085
	1,502,000	Nippon Soda Co Ltd		7,822,914
	2,971,000	Nishi-Nippon City Bank Ltd (The)		8,519,165

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	6,452	Nomura Real Estate Master Fund Inc		8,367,076
	1,276,000	Sanden Corp		7,486,533
	982,000	Sanwa Holdings Corp		6,935,274
	756,000	Sumitomo Rubber Industries		11,524,883
	2,634,800	Takara Leben Co Ltd		11,564,291
	711,000	Tsubakimoto Chain Co		5,885,470
	175,600	United Arrows Ltd		4,846,682
		Total Japan		192,463,079
		Mexico — 2.3%
	70,900	Controladora Vuela Cia de Aviacion SAB de CV *		570,036
	1,953,500	Corp Inmobiliaria Vesta SAB de CV		3,956,456
	1,720,430	Hoteles City Express SAB de CV *		3,045,775
	4,605,206	Mexico Real Estate Management SA de CV		8,103,244
	3,995,300	PLA Administradora Industrial S de RL de CV		8,593,894
		Total Mexico		24,269,405
		Netherlands — 1.0%
	355,280	Aalberts Industries NV		9,975,732
		New Zealand — 0.3%
	1,098,103	Sky City Entertainment Group Ltd		3,383,143
		Norway — 0.5%
	659,449	SpareBank 1 SR Bank ASA		5,060,379
		Portugal — 0.8%
	676,742	Galp Energia SGPS SA		8,255,098
		Singapore — 0.2%
	1,100,000	ComfortDelgro Corp Ltd		2,193,654
		South Korea — 1.6%
	743,337	DGB Financial Group Inc		7,813,193
	427,712	Kortek Corp		4,292,673
	47,891	Youngone Holding Co Ltd		4,216,740
		Total South Korea		16,322,606
		Spain — 0.6%
	1,635,781	Mapfre SA		6,005,725
		Sweden — 1.9%
	787,936	Meda AB		11,301,431
	348,160	Svenska Cellulosa AB – Class B		8,209,311
		Total Sweden		19,510,742
		Switzerland — 5.0%
	151,728	Aryzta AG		12,099,359
	23,521	Kaba Holding AG – Class B (Registered)		12,131,882

Shares		Description	Value ($)
		Switzerland — continued
	493,063	Logitech International *		7,329,167
	89,771	Sulzer AG		10,040,859
	45,704	Swiss Life Holding AG (Registered)		10,468,195
		Total Switzerland		52,069,462
		Taiwan — 0.2%
	1,844,000	Lite-On Technology Corp		2,231,033
		Turkey — 0.5%
	4,411,742	Emlak Konut Gayrimenkul Yatirim (REIT)		5,606,729
		United Kingdom — 14.7%
	612,409	Babcock International Group Plc		10,863,367
	268,462	Berkeley Group Holdings Plc (Unit Shares)		10,758,535
	539,408	Diploma Plc		6,020,503
	608,338	Domino Printing Sciences Plc		6,328,365
	922,798	Essentra Plc		10,877,815
	611,236	Euromoney Institutional Investor Plc		9,755,665
	670,128	Great Portland Estates Plc (REIT)		7,516,950
	1,739,133	Howden Joinery Group Plc		10,616,322
	1,126,239	Inchcape Plc		12,635,489
	1,756,413	ITE Group Plc		4,229,750
	1,126,534	Jupiter Fund Management Plc		6,380,612
	287,083	Keller Group Plc		3,798,809
	125,798	Schroders Plc (Non Voting)		4,154,877
	1,848,029	Senior Plc		7,989,025
	3,613,974	Taylor Wimpey Plc		7,569,862
	1,850,763	Topps Tiles Plc		3,426,454
	270,790	Travis Perkins Plc		7,640,195
	2,627,730	Tyman Plc		12,187,320
	1,968,196	Wilmington Group Plc		6,672,248
	177,060	XP Power Ltd		3,954,641
		Total United Kingdom		153,376,804
		TOTAL COMMON STOCKS (COST $945,601,158)		999,451,774
		RIGHTS/WARRANTS — 0.1%
		France — 0.0%
	128,655	Arkema SA Rights, Expires 12/03/14 *		378,762
		South Korea — 0.0%
	155,262	DGB Financial Group Inc Rights, Expires 01/20/15 *		217,208
		Sweden — 0.1%
	787,936	Meda AB Rights, Expires 12/04/14 *		488,279
		TOTAL RIGHTS/WARRANTS (COST $1,166,839)		1,084,249

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares / Par Value		Description	Value ($)
		MUTUAL FUNDS — 3.4%
		United States — 3.4%
		Affiliated Issuers
	1,431,895	GMO U.S. Treasury Fund		35,797,363
		TOTAL MUTUAL FUNDS (COST $35,797,363)		35,797,363
		SHORT-TERM INVESTMENTS — 0.4%
		Time Deposits — 0.4%
AUD	233	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.76%, due 12/01/14		198
EUR	339,304	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.11)%, due 12/01/14		422,196
GBP	30,863	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.09%, due 12/01/14		48,269
NZD	28	Brown Brothers Harriman (Grand Cayman) Time Deposit, 2.85%, due 12/01/14		22
JPY	7,932,120	DnB Nor Bank (Oslo) Time Deposit, 0.01%, due 12/01/14		66,842

Par Value		Description	Value ($)
		Time Deposits — continued
USD	3,724,950	JPMorgan Chase (New York) Time Deposit, 0.06%, due 12/01/14		3,724,950
		Total Time Deposits		4,262,477
		TOTAL SHORT-TERM INVESTMENTS (COST $4,262,477)		4,262,477
		TOTAL INVESTMENTS — 99.8% (Cost $986,827,837)		1,040,595,863
		Other Assets and Liabilities (net) — 0.2%		1,694,683
		TOTAL NET ASSETS — 100.0%		$1,042,290,546

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) The security is restricted as to resale.

Additional information on each restricted securitiy is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of November 30, 2014
Karnalyte Resources Inc	12/07/10	$	1,471,626	0.01%	$	135,563

Currency Abbreviations:

AUD - Australian Dollar

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NZD - New Zealand Dollar

USD - United States Dollar

GMO Global Focused Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.1%
		Australia — 7.9%
	37,172	BlueScope Steel Ltd *		156,301
	27,447	Challenger Ltd		148,146
	75,703	Incitec Pivot Ltd		183,430
	36,607	Toll Holdings Ltd		175,372
	106,464	Tox Free Solutions Ltd		206,602
		Total Australia		869,851
		Brazil — 1.7%
	26,500	Tupy SA		185,976
		Canada — 2.5%
	29,200	Gran Tierra Energy Inc *		104,915
	5,300	Suncor Energy Inc		167,307
		Total Canada		272,222
		Finland — 1.7%
	23,238	Nokia Oyj		193,082
		France — 5.5%
	14,844	Peugeot SA *		190,015
	1,602	Societe BIC SA		213,530
	3,612	Total SA		201,696
		Total France		605,241
		Germany — 1.7%
	10,848	E.ON AG		192,204
		Hong Kong — 2.4%
	171,146	China Unicom Hong Kong Ltd		259,007
		Italy — 1.7%
	8,890	Assicurazioni Generali SPA		192,447
		Japan — 7.7%
	29,000	Hitachi Ltd		224,063
	36,300	Mitsubishi UFJ Financial Group Inc		209,143
	39,500	Resona Holdings Inc		213,474
	5,231	Sumitomo Mitsui Financial Group Inc		196,473
		Total Japan		843,153
		Mexico — 2.2%
	65,975	Mexico Real Estate Management SA de CV		116,089
	56,400	PLA Administradora Industrial S de RL de CV		121,316
		Total Mexico		237,405
		Norway — 1.2%
	6,895	Statoil ASA		130,168
		South Korea — 1.6%
	153	Samsung Electronics Co Ltd		177,262

Shares		Description	Value ($)
		Spain — 1.6%
	31,224	CaixaBank SA		172,496
		Switzerland — 1.8%
	10,780	UBS Group AG *		193,666
		United Kingdom — 8.0%
	3,338	British American Tobacco Plc		197,619
	110,071	Taylor Wimpey Plc		230,556
	131,184	Topps Tiles Plc		242,871
	43,772	Tyman Plc		203,013
		Total United Kingdom		874,059
		United States — 45.9%
	5,300	American Airlines Group, Inc.		257,209
	3,030	Apache Corp.		194,193
	2,260	Apple, Inc.		268,782
	4,060	Arch Capital Group Ltd. *		232,719
	30,010	Capital Product Partners LP		234,678
	4,364	Comcast Corp. – Class A		248,923
	7,300	General Motors Co.		244,039
	6,060	Iconix Brand Group, Inc. *		244,885
	5,420	ITT Corp.		224,388
	8,553	KapStone Paper and Packaging Corp. *		255,478
	2,833	LyondellBasell Industries NV – Class A		223,410
	3,561	Medtronic, Inc.		263,051
	4,000	Merck & Co., Inc.		241,600
	3,931	Methanex Corp.		203,076
	6,645	Morgan Stanley		233,771
	3,164	National Oilwell Varco, Inc.		212,115
	12,664	NVIDIA Corp.		265,564
	8,318	Trimas Corp. *		258,939
	9,917	Tronox Ltd – Class A		223,628
	4,100	United Continental Holdings, Inc. *		251,043
	1,920	WellPoint, Inc.		245,587
		Total United States		5,027,078
		TOTAL COMMON STOCKS (COST $10,445,655)		10,425,317
		PREFERRED STOCKS — 1.8%
		South Korea — 1.8%
	205	Samsung Electronics Co Ltd		194,601
		TOTAL PREFERRED STOCKS (COST $201,481)		194,601
		RIGHTS/WARRANTS — 0.0%
		Spain — 0.0%
	31,224	CaixaBank SA Rights, Expires 12/09/14 *		2,098
		TOTAL RIGHTS/WARRANTS (COST $0)		2,098

GMO Global Focused Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares / Par Value		Description	Value ($)
		MUTUAL FUNDS — 3.3%
		United States — 3.3%
		Affiliated Issuers
	14,522	GMO U.S. Treasury Fund		363,059
		TOTAL MUTUAL FUNDS (COST $363,059)		363,059
		SHORT-TERM INVESTMENTS — 0.5%
		Time Deposits — 0.5%
JPY	156,600	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/01/14		1,320
NOK	9,309	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.55%, due 12/01/14		1,323
USD	50,497	Skandinaviska Enskilda Banken, AB (Stockholm) Time Deposit, 0.06%, due 12/01/14		50,497
		Total Time Deposits		53,140
		TOTAL SHORT-TERM INVESTMENTS (COST $53,140)		53,140
		TOTAL INVESTMENTS — 100.7% (Cost $11,063,335)		11,038,215
		Other Assets and Liabilities (net) — (0.7%)		(81,696	)
		TOTAL NET ASSETS — 100.0%		$10,956,519

Notes to Schedule of Investments:

* Non-income producing security.

Currency Abbreviations:

JPY - Japanese Yen

NOK - Norwegian Krone

USD - United States Dollar

As of November 30, 2014, 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	350,959,665	18,439,674	(25,599,828)	(7,160,154)
Foreign Small Companies Fund	995,304,924	125,127,532	(79,836,593)	45,290,939
Global Focused Equity Fund	11,066,724	808,440	(836,949)	(28,509)

Investments in affiliated issuers

The Funds may make investments in other GMO Trust funds (“underlying funds”). The Schedule of Investments of the underlying funds should be read in conjunction with the Funds’ Schedule of Investments.

A summary of the Funds’ transactions in the shares of other funds of the Trust during the period ended November 30, 2014 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	$	7,770,349	$	68,664,640	$	69,529,725	$	2,432	$	149	$	6,905,264
Foreign Small Companies Fund
GMO U.S. Treasury Fund	$	19,920,782	$	194,926,480	$	179,049,900	$	9,353	$	1,207	$	35,797,363
Global Focused Equity Fund
GMO U.S. Treasury Fund	$	210,013	$	1,255,022	$	1,101,975	$	89	$	10	$	363,059

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2014 through November 30, 2014. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2015.

Basis of presentation

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

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 Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) 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 price quoted (which may be based on a model) 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 fixed income securities) 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 of GMO Trust (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 November 30, 2014, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities 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 price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended 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 November 30, 2014. 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.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third party pricing source in accordance with the market practice for that security. If an updated quote for a security is not available by the time that a 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, 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 table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of November 30, 2014 is as follows:

Securities

Fund Name	Fair valued using inputs obtained   from an independent   pricing service
Foreign Fund	96%
Foreign Small Companies Fund	89%
Global Focused Equity Fund	46%

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 table below). At November 30, 2014, 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, 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 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; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain 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 equity securities valued based on the last traded exchange price adjusted for the movement in a securities relevant 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 November 30, 2014:

Description	Level 1		Level 2		Level 3		Total
Foreign Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	9,995,425	$	—	$	9,995,425
Belgium		—		4,550,406		—		4,550,406
Brazil		—		1,115,855		—		1,115,855
Finland		—		12,167,113		—		12,167,113
France		—		50,546,240		—		50,546,240
Germany		—		30,702,400		—		30,702,400
Hong Kong		—		9,148,540		—		9,148,540
Italy		—		30,397,599		—		30,397,599
Japan		—		70,296,288		—		70,296,288
Mexico		3,818,074		—		—		3,818,074
Norway		—		3,143,106		—		3,143,106
Portugal		—		2,920,186		—		2,920,186
South Korea		—		11,893,399		—		11,893,399
Spain		—		25,774,935		—		25,774,935
Sweden		—		1,681,051		—		1,681,051
Switzerland		—		10,615,938		—		10,615,938
United Kingdom		—		53,592,941		—		53,592,941
TOTAL COMMON STOCKS		3,818,074		328,541,422		—		332,359,496
Preferred Stocks
South Korea		—		3,298,182		—		3,298,182
TOTAL PREFERRED STOCKS		—		3,298,182		—		3,298,182
Rights/Warrants
France		495,068		—		—		495,068
Spain		87,295		—		—		87,295
TOTAL RIGHTS/WARRANTS		582,363		—		—		582,363
Mutual Funds
United States		6,905,264		—		—		6,905,264
TOTAL MUTUAL FUNDS		6,905,264		—		—		6,905,264
Total Short-Term Investments		654,206		—		—		654,206
Total Investments		11,959,907		331,839,604		—		343,799,511
Total	$	11,959,907	$	331,839,604	$	—	$	343,799,511
Foreign Small Companies Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	81,598,634	$	—	$	81,598,634
Brazil		—		7,777,055		—		7,777,055
Canada		45,595,389		—		—		45,595,389
Chile		2,205,970		—		—		2,205,970
Finland		—		5,025,534		—		5,025,534
France		—		169,962,788		—		169,962,788
Germany		—		56,485,567		—		56,485,567
Hong Kong		—		9,864,382		—		9,864,382
Ireland		—		4,664,327		—		4,664,327
Italy		—		115,548,537		—		115,548,537
Japan		—		192,463,079		—		192,463,079
Mexico		24,269,405		—		—		24,269,405
Netherlands		—		9,975,732		—		9,975,732
New Zealand		—		3,383,143		—		3,383,143
Norway		—		5,060,379		—		5,060,379
Portugal		—		8,255,098		—		8,255,098
Singapore		—		2,193,654		—		2,193,654
South Korea		—		16,322,606		—		16,322,606

Description	Level 1		Level 2		Level 3		Total
Foreign Small Companies Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Spain	$	—	$	6,005,725	$	—	$	6,005,725
Sweden		—		19,510,742		—		19,510,742
Switzerland		—		52,069,462		—		52,069,462
Taiwan		—		2,231,033		—		2,231,033
Turkey		—		5,606,729		—		5,606,729
United Kingdom		—		153,376,804		—		153,376,804
TOTAL COMMON STOCKS		72,070,764		927,381,010		—		999,451,774
Rights/Warrants
France		378,762		—		—		378,762
South Korea		—		—		217,208		217,208
Sweden		488,279		—		—		488,279
TOTAL RIGHTS/WARRANTS		867,041		—		217,208		1,084,249
Mutual Funds
United States		35,797,363		—		—		35,797,363
TOTAL MUTUAL FUNDS		35,797,363		—		—		35,797,363
Total Short-Term Investments		4,262,477		—		—		4,262,477
Total Investments		112,997,645		927,381,010		217,208		1,040,595,863
Total	$	112,997,645	$	927,381,010	$	217,208	$	1,040,595,863
Global Focused Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	869,851	$	—	$	869,851
Brazil		—		185,976		—		185,976
Canada		272,222		—		—		272,222
Finland		—		193,082		—		193,082
France		—		605,241		—		605,241
Germany		—		192,204		—		192,204
Hong Kong		—		259,007		—		259,007
Italy		—		192,447		—		192,447
Japan		—		843,153		—		843,153
Mexico		237,405		—		—		237,405
Norway		—		130,168		—		130,168
South Korea		—		177,262		—		177,262
Spain		—		172,496		—		172,496
Switzerland		—		193,666		—		193,666
United Kingdom		—		874,059		—		874,059
United States		5,027,078		—		—		5,027,078
TOTAL COMMON STOCKS		5,536,705		4,888,612		—		10,425,317
Preferred Stocks
South Korea		—		194,601		—		194,601
TOTAL PREFERRED STOCKS		—		194,601		—		194,601
Rights/Warrants
Spain		2,098		—		—		2,098
TOTAL RIGHTS/WARRANTS		2,098		—		—		2,098
Mutual Funds
United States		363,059		—		—		363,059
TOTAL MUTUAL FUNDS		363,059		—		—		363,059
Total Short-Term Investments		53,140		—		—		53,140
Total Investments		5,955,002		5,083,213		—		11,038,215
Total	$	5,955,002	$	5,083,213	$	—	$	11,038,215

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’ portfolio valuation notes.

For all Funds for the period ended November 30, 2014, 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, 2014		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3*		Transfer out of Level 3*		Balances as of November 30, 2014		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2014
Foreign Fund
Common Stocks
Russia	$	506,711	$	—	$	(803,460	)	$	—	$	(12,099	)	$	308,848		$	—	$	—	$	—	$	—
Preferred Stocks
United Kingdom		—		48,645		(48,645	)		—		—			—			—		—		—		—
Total	$	506,711	$	48,645	$	(852,105	)	$	—	$	(12,099	)	$	308,848		$	—	$	—	$	—	$	—
Foreign Small Companies Fund
Common Stock
Russia	$	1,174,571	$	—	$	(1,892,633	)	$	—	$	—		$	718,062		$	—	$	—	$	—	$	—
Rights/Warrants
South Korea		—		378,280		—			—		—			(161,072	)		—		—		217,208		(161,072	)
Total	$	1,174,571	$	378,280	$	(1,892,633	)	$	—	$	—		$	556,990		$	—	$	—	$	217,208	$	(161,072	)

* 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.

The net aggregate direct and indirect exposure to investments in securities using Level 3 inputs (based on each Funds’ net assets) as of

November 30, 2014 were as follows:

Fund Name	Level 3 Securities
Foreign Small Companies Fund	< 1%

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 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.

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
Illiquidity 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 GMO 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, as well as the risk that investments made through underlying funds will not perform as expected. 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 its underlying funds.

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

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

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 performance by the company’s management 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.

If a Fund purchases equities for less than their value as determined by GMO, the Fund runs the risk that the market prices of these equities will not appreciate or will decline for a variety of reasons, one of which may be GMO’s overestimation 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.

• ILLIQUIDITY RISK. Illiquidity 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 closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity 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). To the extent a Fund’s investments include asset-backed securities, distressed or defaulted instruments, emerging country debt securities, securities of companies with smaller market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. 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, may have inexperienced managers 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. Market risk and illiquidity 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 changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other over-the-counter (“OTC”) contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, 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 still 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 GMO 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., foreign 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 will typically not receive the collateral for one or more days after the collateral is requested by the Fund.

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, illiquidity 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, GMO 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 illiquidity risk (see “Illiquidity 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.

There is little case or other law interpreting the terms of most derivatives or characterizing their tax treatment. A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders.

Cleared Derivatives. The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. Because these requirements are new and evolving (and some 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 hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds 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 some 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 positions than for bilateral derivatives positions. Also, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives position 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 positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions 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 positions 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 GMO 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 position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and 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. While futures contracts entail similar risks, the risks likely are more pronounced for cleared derivatives due to their more limited liquidity and market history.

Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility. If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), it is possible the Fund could not execute all components of the package on the swap execution facility. In that case, the Fund would need to trade certain components of the package on the swap execution facility and other components of the package in another manner, which could subject the Fund to the risk that certain of the components of the package would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.

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 rules and regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new rules and 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 they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Short Investment Exposure. Some Funds may make short sales as part of their investment programs in an attempt to increase their returns or for hedging purposes. Many Funds may make short sales “against the box,” meaning the Fund may make short sales where the Fund owns, or has the right to acquire at no added cost, securities or currencies identical to those sold short. Short sales expose a 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.

In addition, some Funds are permitted to engage in short sales of securities or currencies, including securities or currencies that they do not own. To do so, a 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. 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. A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency. Short sales of securities or currencies a

Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A 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 or takes “short” derivative positions.

• 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. Non-U.S. securities markets often include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets 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. The reporting, accounting, custody and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities 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 and/or its shareholders 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 or other disposition of those investments. A Fund may seek to collect a refund of taxes paid, but its efforts 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, particularly in light of the costs involved, it may decide not to pursue a refund, even if eligible. The outcome of a Fund’s pursuit of a refund is not predictable, and potential refunds generally are not reflected in the net asset value of a Fund.

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, including the imposition of economic sanctions.

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 United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign 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 GMO’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 GMO’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 foreign 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. 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 GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.

Derivative transactions in foreign 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 that are subject to the same or similar risk factors or whose security prices have strong positive correlations (e.g., different industries within broad sectors, such as technology or financial services), or in securities from issuers that are subject to the same or similar risk factors, 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, 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 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 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 may not 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 still have contractual remedies (whether or not the obligation is collateralized), 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 has been and may continue to 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 positions 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 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 the funds held in the omnibus account for the 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 Commodity 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. Terrorism in the United States and around the world 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 reduce 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, a default by the U.S. government or a downgrade of its credit rating 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 United States 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 United States 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 affect 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 a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.

• LARGE SHAREHOLDER RISK. If 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 by forcing the Fund to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may purchase or sell Fund shares. GMO Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by GMO 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) 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, have adverse tax consequences for shareholders. They also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization. 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 GMO’s ability to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

For some Funds GMO uses quantitative analyses and models as part of its investment process. Any imperfections, errors, or limitations in those analyses and models could affect a Fund’s performance. 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 GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’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 GMO 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. GMO is not contractually liable to the Funds for losses associated with operational risk absent its 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.

With the increased use of technologies such as the Internet and the dependence on computer systems to perform necessary business functions, investment companies (such as the Funds) and their service providers (including GMO) may be prone to operational and information security risks resulting from cyber-attacks and/or other technological malfunctions. In general, cyber-attacks are deliberate, but unintentional events may have similar effects. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other affiliated or third-party service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, there are inherent limitations in such plans and systems including the possibility that certain risks have not been identified. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”). This means they are allowed to invest in the securities of relatively few issuers and/or foreign 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 within the meaning of the 1940 Act:

• Foreign Fund

• Global Focused Equity Fund

Temporary Defensive Positions.

Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and that are taken in attempting to respond to adverse market, economic, political, or other conditions.

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 if deemed prudent by GMO. 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.

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 indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives to gain long investment exposure to 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 GMO 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 GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their investment exposures, the Funds also may use

currency derivatives in an attempt to adjust their currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which their equities are traded.

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 currencies in which its equities are traded.

Certain derivatives transactions that may be 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, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges 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 GMO 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 November 30, 2014, 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
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 price 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. 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, if any, is disclosed in the Schedule of Investments and is

subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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

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

Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of 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. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss.

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights 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). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

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. 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.

The values assigned to swap contracts may differ significantly from the values 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 as of November 30, 2014:

	Credit Contracts		Equity Contracts		Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Foreign Fund
Assets:
Investments, at value (rights and/or warrants)	$	—	$	582,363	$	—	$	—	$	—	$	582,363
Total	$	—	$	582,363	$	—	$	—	$	—	$	582,363
Foreign Small Companies Fund
Assets:
Investments, at value (rights and/or warrants)	$	—	$	1,084,249	$	—	$	—	$	—	$	1,084,249
Total	$	—	$	1,084,249	$	—	$	—	$	—	$	1,084,249
Global Focused Equity Fund
Assets:
Investments, at value (rights and/or warrants)	$	—	$	2,098	$	—	$	—	$	—	$	2,098
Total	$	—	$	2,098	$	—	$	—	$	—	$	2,098

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.

The average derivative activity, based on absolute values (rights and/or warrants) outstanding at each month-end, was as follows for the period ended November 30, 2014.

Fund Name	Rights and/or Warrants ($)
Foreign Fund	363,676
Foreign Small Companies Fund	695,863
Global Focused Equity Fund	233

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

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.0%
		Australia — 0.1%
	7,100	Woodside Petroleum Ltd		215,868
		Austria — 0.2%
	19,400	OMV AG		561,598
	10,470	Voestalpine AG		435,102
		Total Austria		996,700
		Belgium — 0.3%
	13,496	Belgacom SA		533,179
	10,221	Delhaize Group		747,359
	1,931	Solvay SA		265,403
		Total Belgium		1,545,941
		Brazil — 0.4%
	3,700	Aes Tiete SA		23,081
	57,500	Banco do Brasil SA		664,708
	2,800	Banco Santander Brasil SA		16,157
	100	BR Malls Participacoes SA		719
	22,500	Brasil Brokers Participacoes SA		26,230
	3,700	CETIP SA		47,865
	3,300	Cia de Saneamento de Minas Gerais-COPASA *		31,394
	100	Cielo SA		1,714
	2,800	Companhia de Saneamento Basico do Estado de Sao Paulo		20,971
	2,400	Companhia de Saneamento Basico do Estado de Sao Paulo ADR		17,760
	30,500	Companhia Siderurgica Nacional SA Sponsored ADR		71,065
	3,300	Cosan SA Industria e Comercio		41,043
	5,500	CPFL Energia SA		42,266
	2,300	CPFL Energia SA ADR		35,351
	8,250	Duratex SA		26,987
	17,600	EDP-Energias Do Brasil SA		69,306
	5,400	Equatorial Energia SA		58,740
	3,500	Grendene SA		23,539
	15,700	Klabin SA		85,391
	10,800	Light SA		86,700
	2,500	Localiza Rent a Car SA		34,115
	5,600	LPS Brasil Consultoria de Imoveis SA		20,305
	2,300	Multiplus SA		31,117
	6,025	Raia Drogasil SA		57,317
	27,100	Tim Participacoes SA		131,651
	5,200	Tractebel Energia SA		70,290
	9,500	Transmissora Alianca de Energia Eletrica SA		72,227
	1,000	Ultrapar Participacoes SA		21,463
		Total Brazil		1,829,472
		Canada — 0.5%
	13,500	Canadian Natural Resources Ltd		447,994
	14,100	Catamaran Corp *		718,254

Shares		Description	Value ($)
		Canada — continued
	13,000	Cenovus Energy Inc		291,730
	17,900	Suncor Energy Inc		565,057
		Total Canada		2,023,035
		China — 1.3%
	627,000	Agricultural Bank of China Ltd – Class H		295,978
	1,465,000	Bank of China Ltd – Class H		752,355
	2,500	Beijing Enterprises Holdings Ltd		19,920
	34,000	Brilliance China Automotive Holdings Ltd		57,951
	47,800	Changsha Zoomlion Heavy Industry Science and Technology Development Co Ltd – Class H		28,410
	134,000	China Communications Construction Co Ltd – Class H		133,981
	246,000	China Communications Services Corp Ltd – Class H		119,707
	1,067,000	China Construction Bank – Class H		805,729
	36,000	China Everbright Ltd		83,112
	8,000	China Gas Holdings Ltd		14,893
	134,000	China Mobile Ltd		1,653,325
	3,300	China Mobile Ltd Sponsored ADR		203,676
	6,000	China Overseas Land & Investment Ltd		17,948
	42,000	China Railway Construction Corp Ltd – Class H		48,174
	32,000	China Railway Group Ltd – Class H		23,046
	8,000	China Resources Land Ltd		20,160
	43,000	China Shenhua Energy Co Ltd – Class H		121,884
	429,060	China Telecom Corp Ltd – Class H		258,702
	130,000	CNOOC Ltd		187,856
	70,000	Dongfeng Motor Group Co Ltd – Class H		106,613
	55,000	Geely Automobile Holdings Ltd		23,841
	20,000	Huaneng Power International Inc – Class H		23,503
	1,106,000	Industrial and Commercial Bank of China Ltd – Class H		746,150
	38,000	Jiangxi Copper Co Ltd		68,168
	133,000	Lonking Holdings Ltd		26,196
	9,000	New China Life Insurance Co Ltd		40,679
	34,000	PICC Property & Casualty Co Ltd – Class H		68,237
	7,000	Shenzhou International Group Holdings Ltd		23,221
	2,000	Tong Ren Tang Technologies Co Ltd		2,753
	52,000	Yanzhou Coal Mining Co Ltd – Class H		43,692
		Total China		6,019,860
		Czech Republic — 0.1%
	18,878	CEZ AS		525,540
	130	Komercni Banka AS		28,917
		Total Czech Republic		554,457
		Denmark — 0.4%
	81	AP Moeller – Maersk A/S – Class A		165,680
	536	AP Moeller – Maersk A/S – Class B		1,118,674
	3,739	Carlsberg A/S		332,894

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Denmark — continued
	30,819	TDC A/S		249,404
		Total Denmark		1,866,652
		Egypt — 0.0%
	60,624	Global Telecom Holding *		36,079
	126,031	Orascom Telecom Media And Technology Holding SAE *		23,122
	12,416	Sidi Kerir Petrochemicals Co		30,514
	34,159	Telecom Egypt Co		68,962
		Total Egypt		158,677
		Finland — 0.6%
	24,025	Fortum Oyj		603,095
	211,590	Nokia Oyj		1,758,080
	28,051	UPM – Kymmene Oyj		465,576
		Total Finland		2,826,751
		France — 9.7%
	58,504	ArcelorMittal		716,882
	31,834	AXA		769,415
	18,762	BNP Paribas		1,204,943
	20,436	Bouygues SA		768,850
	20,812	Carrefour SA		659,079
	4,860	Casino Guichard Perrachon SA		468,396
	1,758	Christian Dior SA		337,018
	14,449	Cie Generale des Etablissements Michelin – Class B		1,329,365
	25,387	CNP Assurances		470,528
	31,736	Compagnie de Saint-Gobain		1,458,523
	47,516	Credit Agricole SA		668,523
	4,083	Danone SA		287,981
	15,962	Electricite de France		478,112
	145,347	GDF Suez		3,584,614
	10,089	Lafarge SA		717,953
	1,587	LVMH Moet Hennessy Louis Vuitton SA		285,420
	222,886	Orange		3,930,475
	2,804	Pernod-Ricard SA		332,469
	38,820	Peugeot SA *		496,928
	2,150	Publicis Groupe SA		158,121
	17,041	Renault SA		1,368,408
	13,690	Rexel SA		253,795
	53,019	Sanofi		5,124,062
	21,555	Schneider Electric SE		1,759,831
	12,800	Societe Generale		635,707
	10,341	Suez Environnement Co		183,558
	158,579	Total SA		8,855,111
	6,303	Vallourec SA		208,648
	25,748	Veolia Environnement SA		470,399
	36,325	Vinci SA		1,964,143
	135,860	Vivendi SA		3,457,360
		Total France		43,404,617

Shares		Description	Value ($)
		Germany — 6.8%
	7,120	Allianz SE (Registered)		1,226,737
	67,923	BASF SE		6,159,811
	25,375	Bayerische Motoren Werke AG		2,900,725
	1,135	Bilfinger SE		67,221
	66,220	Daimler AG (Registered)		5,586,073
	19,648	Deutsche Lufthansa AG (Registered)		350,185
	149,729	Deutsche Telekom AG (Registered)		2,546,054
	235,314	E.ON AG		4,169,265
	6,112	Fresenius SE & Co KGaA		331,350
	6,438	Fresenius Medical Care AG & Co		475,498
	5,873	Hannover Rueck SE		524,290
	3,231	HeidelbergCement AG		244,735
	14,892	K+S AG (Registered)		446,802
	11,711	Metro AG *		397,777
	5,530	Muenchener Rueckversicherungs AG (Registered)		1,138,738
	8,939	ProSiebenSat.1 Media AG (Registered)		380,486
	58,243	RWE AG		2,110,096
	6,019	Siemens AG (Registered)		711,916
	9,349	Suedzucker AG		145,355
	2,935	Volkswagen AG		664,532
		Total Germany		30,577,646
		Hong Kong — 0.0%
	1,000	Cheung Kong Holdings Ltd		18,354
	4,000	Sun Hung Kai Properties Ltd		58,385
		Total Hong Kong		76,739
		Hungary — 0.0%
	43,906	Magyar Telekom Telecommunications Plc *		60,430
	614	OTP Bank Plc		9,881
		Total Hungary		70,311
		India — 0.1%
	868	Bharti Airtel Ltd		5,329
	185	Grasim Industries Ltd Sponsored GDR		10,559
	2,100	HDFC Bank Ltd ADR		111,909
	900	ICICI Bank Ltd Sponsored ADR		53,001
	4,100	Sesa Sterlite Ltd ADR		60,434
	800	Tata Motors Ltd Sponsored ADR		36,528
	240	Ultratech Cement Ltd		9,586
		Total India		287,346
		Indonesia — 0.2%
	296,900	Astra International Tbk PT		173,137
	55,800	Bank Mandiri Persero Tbk PT		48,203
	26,800	Bank Rakyat Indonesia Persero Tbk PT		25,377
	181,800	Gajah Tunggal Tbk PT		19,447
	146,300	Global Mediacom Tbk PT		19,248
	172,800	Harum Energy Tbk PT		23,785
	12,900	Indo Tambangraya Megah Tbk PT		20,085

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Indonesia — continued
	77,500	Kalbe Farma Tbk PT		11,120
	81,900	Media Nusantara Citra Tbk PT		16,147
	16,500	Perusahaan Gas Negara Persero Tbk PT		8,047
	23,100	Tambang Batubara Bukit Asam Persero Tbk PT		24,852
	381,400	Telekomunikasi Indonesia Persero Tbk PT		88,421
	4,200	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		193,620
	21,400	XL Axiata Tbk PT		8,946
		Total Indonesia		680,435
		Ireland — 0.2%
	40,412	CRH Plc		952,506
		Israel — 0.4%
	20,900	Check Point Software Technologies Ltd *		1,615,779
		Italy — 2.3%
	688,256	Enel SPA		3,322,376
	133,010	ENI SPA		2,649,862
	67,187	Fiat Chrysler Automobiles NV *		839,368
	69,852	Finmeccanica SPA *		677,306
	110,082	Mediaset SPA *		447,303
	47,838	Snam Rete Gas SPA		253,680
	1,321,034	Telecom Italia SPA *		1,488,950
	772,743	Telecom Italia SPA-Di RISP		685,046
		Total Italy		10,363,891
		Japan — 7.6%
	30,100	Aeon Co Ltd		300,273
	26,000	Asahi Kasei Corp		226,144
	3,100	Asatsu-DK, Inc.		79,953
	500	Bridgestone Corp		17,200
	19,500	Canon Inc		622,911
	5,400	Central Japan Railway Co		784,631
	86,000	Cosmo Oil Co Ltd		117,909
	15,000	FujiFilm Holdings Corp		496,098
	28,800	Hakuhodo DY Holdings Inc		280,092
	47,300	Honda Motor Co Ltd		1,430,801
	38,500	Inpex Corp		407,933
	1,500	Isuzu Motors Ltd		19,618
	115,400	Itochu Corp		1,327,191
	149,300	Japan Tobacco, Inc.		4,787,722
	30,700	JFE Holdings Inc		654,258
	9,720	JX Holdings Inc		36,181
	49,000	Kawasaki Kisen Kaisha Ltd		128,575
	7,300	KDDI Corp.		467,663
	600	Komatsu Ltd		14,202
	37,900	Kyocera Corp		1,853,209
	127,400	Marubeni Corp		803,174
	74,300	Mitsubishi Chemical Holdings Corp		383,215
	79,700	Mitsubishi Corp		1,506,756

Shares		Description	Value ($)
		Japan — continued
	173,100	Mitsubishi UFJ Financial Group Inc		997,318
	94,000	Mitsui & Co Ltd		1,296,885
	64,000	Mitsui OSK Lines Ltd		202,954
	112,545	Nippon Steel & Sumitomo Metal Corp		290,036
	36,800	Nippon Telegraph & Telephone Corp		1,968,593
	149,000	Nippon Yusen Kabushiki Kaisha		420,782
	595,900	Nissan Motor Co Ltd		5,561,832
	94,700	NTT Docomo, Inc.		1,478,384
	600	Otsuka Holdings Co Ltd		18,948
	3,600	Resona Holdings Inc		19,456
	31,800	Ricoh Co Ltd		344,945
	20,000	Sekisui House Ltd		267,765
	5,500	Showa Shell Sekiyu KK		45,888
	264,500	Sojitz Corp		379,161
	87,400	Sumitomo Corp		932,733
	28,000	Sumitomo Metal Mining Co Ltd		428,764
	15,400	Sumitomo Mitsui Financial Group Inc		578,414
	20,400	Takeda Pharmaceutical Co Ltd		855,057
	17,000	TonenGeneral Sekiyu KK		142,378
	24,500	Toyota Tsusho Corp		580,076
	92,100	Yamada Denki Co Ltd		303,174
		Total Japan		33,859,252
		Malaysia — 0.0%
	17,696	CIMB Group Holdings Berhad		30,471
	3,227	Hong Leong Bank Berhad		13,636
	30,900	Media Prima Bhd		17,630
		Total Malaysia		61,737
		Mexico — 0.0%
	6,200	Alsea SA *		19,147
	800	America Movil SAB de CV ADR		18,968
	3,136	Cemex SAB de CV Sponsored ADR *		39,231
	1,600	Embotelladoras Arca SAB de CV		10,247
	10,800	Fibra Uno Administracion SA de CV (REIT)		36,161
	5,800	Grupo Financiero Banorte SAB de CV – Class O		32,858
	1,700	Infraestructura Energetica Nova SAB de CV		9,971
		Total Mexico		166,583
		Netherlands — 0.7%
	58,736	Aegon NV		461,170
	4,443	Heineken NV		349,564
	75,318	Koninklijke Ahold NV		1,330,383
	2,431	Koninklijke DSM NV		159,927
	300,709	Koninklijke KPN NV		1,000,610
		Total Netherlands		3,301,654
		Norway — 0.7%
	95,996	Statoil ASA		1,812,274
	30,597	Telenor ASA		644,360

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Norway — continued
	15,162	Yara International ASA		641,506
		Total Norway		3,098,140
		Peru — 0.0%
	2,400	Southern Copper Corp		71,880
		Philippines — 0.1%
	8,900	Aboitiz Power Corp		8,356
	14,730	BDO Unibank Inc		35,807
	56,200	First Gen Corp		33,435
	1,380	GT Capital Holdings Inc		33,168
	167,000	Lopez Holding Corp		25,603
	13,700	Manila Water Co Inc		8,721
	15	Philippine Long Distance Telephone Co		1,001
	200	Philippine Long Distance Telephone Co Sponsored ADR		13,360
	34,200	Puregold Price Club Inc		29,059
	13,210	Robinsons Retail Holdings Inc		21,319
	1,540	Semirara Mining & Power Corp		4,782
		Total Philippines		214,611
		Poland — 0.2%
	3,170	Asseco Poland SA		50,747
	647	Bank Pekao SA		35,628
	1,462	Jastrzebska Spolka Weglowa SA *		9,095
	17,847	KGHM Polska Miedz SA		650,667
	19,451	PGE SA		111,869
	15,298	Synthos SA		18,929
		Total Poland		876,935
		Portugal — 0.2%
	196,124	EDP-Energias de Portugal SA		805,080
		Qatar — 0.0%
	4,603	Qatar Gas Transport Co Nakilat		30,283
	511	Qatar National Bank		32,062
		Total Qatar		62,345
		Russia — 2.8%
	204,604	Gazprom OAO Sponsored ADR		1,195,756
	233,910	Lukoil OAO Sponsored ADR		10,888,030
	27,391	Rosneft OJSC GDR (Registered)		129,715
	2,743	Sberbank Sponsored ADR		16,826
	48,782	Surgutneftegas Sponsored ADR		286,653
	4,770	Tatneft Sponsored ADR		145,922
		Total Russia		12,662,902
		Singapore — 0.0%
	37,381	Yangzijiang Shipbuilding Holdings Ltd		35,157
		South Africa — 0.1%
	44,814	African Bank Investments Ltd (a)		4

Shares		Description	Value ($)
		South Africa — continued
	20,375	Capital Property Fund (REIT)		23,790
	2,666	Coronation Fund Managers Ltd		26,630
	3,161	Discovery Ltd		31,782
	6,456	Investec Ltd		60,009
	4,272	Kumba Iron Ore Ltd		99,318
	6,801	Life Healthcare Group Holdings Ltd		25,619
	830	MTN Group Ltd		16,335
	273	Naspers Ltd-N Shares		35,315
	21,350	Telkom South Africa Ltd *		132,529
	1,179	Vodacom Group Ltd		14,119
	2,870	Wilson Bayly Holmes-Ovcon Ltd		31,203
		Total South Africa		496,653
		South Korea — 1.7%
	1,665	DGB Financial Group Inc		17,501
	569	Dongbu Insurance Co Ltd		28,531
	490	GS Holdings		18,346
	3,474	Hana Financial Group Inc		105,583
	3,280	Hankook Tire WorldwideCo Ltd		62,962
	2,869	Hanwha Corp		76,834
	595	Hyundai Marine & Fire Insurance Co Ltd		14,290
	763	Hyundai Mobis		169,489
	533	Hyundai Motor Co		85,630
	10,043	Industrial Bank of Korea		135,970
	5,459	Kia Motors Corp		273,081
	459	Kolon Industries Inc		19,368
	59	Korea Zinc Co Ltd		22,710
	6,110	KT Corp		180,089
	1,479	Kwangju Bank *		13,135
	980	LIG Insurance Co Ltd		23,089
	677	Samsung Engineering Co Ltd *		29,848
	4,920	Samsung Electronics Co Ltd		5,700,199
	2,675	SK Innovation Co Ltd		206,294
	1,406	SK Telecom Co Ltd		358,073
	11,759	Woori Bank *		113,562
	13,840	Yuanta Securities Korea *		51,033
		Total South Korea		7,705,617
		Spain — 3.1%
	18,831	ACS Actividades de Construccion y Servicios SA		665,538
	11,849	Enagas		396,420
	21,989	Ferrovial SA		450,701
	508	Ferrovial SA (b)		10,412
	41,651	Gas Natural SDG SA		1,180,677
	449,102	Iberdrola SA		3,323,278
	128,100	Mapfre SA		470,316
	2,819	Red Electrica Corp SA		258,244
	53,154	Repsol YPF SA		1,194,102
	366,168	Telefonica SA		5,873,759
		Total Spain		13,823,447

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Sweden — 1.0%
	131,524	Ericsson LM – Class B		1,652,947
	32,895	Sandvik AB		344,494
	11,468	Skanska AB – Class B		246,738
	6,360	SKF AB – B Shares		130,944
	208,460	TeliaSonera AB		1,487,613
	36,020	Volvo AB – Class B		393,890
		Total Sweden		4,256,626
		Switzerland — 0.9%
	38,934	ABB Ltd (Registered)		874,279
	11,407	Holcim Ltd (Registered)		842,594
	8,616	Nestle SA (Registered)		646,658
	922	Swisscom AG (Registered)		559,882
	3,970	Zurich Insurance Group AG		1,244,836
		Total Switzerland		4,168,249
		Taiwan — 0.6%
	15,807	Acer Inc Sponsored GDR *		48,562
	5,497	Advantech Co Ltd		37,611
	1,000	Asustek Computer GDR (Registered) (a)		54,397
	7,000	Asustek Computer Inc		76,248
	576	Catcher Technology GDR (Registered)		24,323
	64,000	China Petrochemical Development Corp *		18,363
	12,600	Chong Hong Construction Co Ltd		27,120
	2,900	Chunghwa Telecom Co Ltd ADR		87,261
	70,659	Compal Electronics GDR (Registered) (a)		222,385
	5,000	Delta Electronics Inc		30,178
	130,122	E.Sun Financial Holding Co Ltd		82,352
	1,170	Far Eastone Telecom GDR (Registered) (a)		37,889
	29,400	Foxconn Technology Co Ltd		82,083
	3,000	Giant Manufacturing Co Ltd		26,350
	27,000	Highwealth Construction Corp		51,202
	68,112	Hon Hai Precision Industry Co Ltd GDR		427,696
	11,231	HTC Corp GDR (Registered) *		194,249
	8,599	Lite-On Technology Corp GDR (a)		103,767
	8,704	Makalot Industrial Co Ltd		44,039
	1,000	MediaTek Inc		15,002
	33,000	Mega Financial Holding Co Ltd		26,810
	4,000	Novatek Microelectronics Corp Ltd		22,572
	44,000	Pegatron Corp		102,012
	5,000	Phison Electronics Corp		33,429
	48,568	Powertech Technology Inc GDR *		162,102
	36,000	Radiant Opto-Electronics Corp		117,838
	14,000	Realtek Semiconductor Corp		46,576
	11,000	Simplo Technology Co Ltd		56,355
	13,000	Synnex Technology International Corp		18,885
	60,463	Taishin Financial Holding Co Ltd		28,002
	9,000	Taiwan Mobile Co Ltd		28,609
	5,000	TPK Holding Co Ltd		32,087
	10,000	Tripod Technology Corp		19,783
	29,000	Unimicron Technology Corp		21,310
	21,882	Wistron Corp GDR (Registered) (a)		198,799

Shares		Description	Value ($)
		Taiwan — continued
	20,000	WPG Holdings Co Ltd		23,225
	13,000	Yungtay Engineering Co Ltd		29,839
		Total Taiwan		2,659,310
		Thailand — 0.3%
	5,400	Advanced Info Service Pcl NVDR		39,139
	68,900	Bangchak Petroleum Pcl NVDR		74,455
	6,600	Bangkok Dusit Medical Services Pcl (Foreign Registered)		3,717
	147,400	Bangkok Dusit Medical Services Pcl NVDR		83,049
	240	Bangkok Life Assurance Pcl NVDR		398
	243,300	Banpu Pcl NVDR		201,916
	19,700	Electricity Generating Pcl NVDR		102,328
	22,000	Glow Energy Pcl NVDR		65,481
	800	Kasikornbank Pcl NVDR		6,019
	6,700	PTT Exploration & Production Pcl NVDR		27,644
	29,800	PTT Pcl NVDR		347,323
	30,400	Ratchaburi Electricity Generating Holding Pcl NVDR		57,180
	749,800	Sansiri Pcl NVDR		44,089
	59,800	Thai Oil Pcl NVDR		78,741
	9,500	Tisco Financial Group Pcl (Foreign Registered)		13,370
	154,400	TTW Pcl NVDR		55,957
		Total Thailand		1,200,806
		Turkey — 0.2%
	22,536	Akbank TAS		91,300
	99,088	Asya Katilim Bankasi AS *		31,696
	11,101	Aygaz AS		49,503
	7,220	Dogus Otomotiv Servis ve Ticaret AS		38,133
	59,480	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		62,792
	24,461	Emlak Konut Gayrimenkul Yatirim (REIT)		31,087
	14,348	Gubre Fabrikalari TAS		33,470
	6,143	Haci Omer Sabanci Holding AS		29,383
	23,658	Ipek Dogal Enerji Kaynaklari Ve Uretim AS *		17,254
	6,074	Koza Altin Isletmeleri AS		35,324
	54,301	Koza Anadolu Metal Madencilik Isletmeleri AS *		42,405
	37,570	Tekfen Holding AS *		102,147
	1,413	Tupras-Turkiye Petrol Rafineriler AS		31,868
	37,878	Turk Telekomunikasyon AS		121,185
	1,314	Turk Traktor ve Ziraat Makineleri AS		41,211
	20,516	Turkcell Iletisim Hizmetleri AS *		130,135
	9,001	Turkiye Garanti Bankasi AS		39,598
	7,406	Turkiye IS Bankasi – Class C		20,554
	12,959	Turkiye Vakiflar Bankasi TAO – Class D		29,740
	1,684	Turkiye Halk Bankasi AS		11,977
	37,503	Yapi ve Kredi Bankasi AS		89,903
		Total Turkey		1,080,665

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — 6.3%
	70,433	AstraZeneca Plc		5,233,059
	101,775	Aviva Plc		810,484
	102,838	BAE Systems Plc		771,664
	18,995	BG Group Plc		267,122
	766,011	BP Plc		5,021,889
	3,548	Carnival Plc		156,355
	172,130	Centrica Plc		765,623
	26,970	GlaxoSmithKline Plc		626,485
	1,841	HSBC Holdings Plc		18,343
	6,364	Imperial Tobacco Group Plc		294,155
	60,430	J Sainsbury Plc		220,247
	32,068	Kingfisher Plc		156,654
	88,549	Marks & Spencer Group Plc		674,705
	21,485	National Grid Plc		312,367
	23,838	Pearson Plc		458,116
	145,295	Royal Dutch Shell Plc A Shares (London)		4,840,882
	90,522	Royal Dutch Shell Plc B Shares (London)		3,143,773
	8,994	Scottish & Southern Energy Plc		230,468
	367,465	Tesco Plc		1,071,966
	646,730	Vodafone Group Plc		2,370,267
	117,796	WM Morrison Supermarkets Plc		328,287
	14,306	WPP Plc		299,512
		Total United Kingdom		28,072,423
		United States — 45.9%
	18,500	3M Co.		2,961,665
	48,900	Abbott Laboratories		2,176,539
	18,500	Accenture Plc – Class A		1,597,105
	1,600	Akamai Technologies, Inc. *		103,376
	4,300	Allergan, Inc.		919,727
	69,597	Amazon.com, Inc. *		23,568,328
	4,500	Ametek, Inc.		229,320
	11,000	Amgen, Inc.		1,818,410
	4,600	Amphenol Corp. – Class A		246,698
	7,700	Analog Devices, Inc.		420,728
	62,100	Apple, Inc.		7,385,553
	17,500	Baxter International, Inc.		1,277,500
	9,300	Becton, Dickinson and Co.		1,305,069
	32,000	Bed Bath & Beyond, Inc. *		2,347,840
	4,800	Biogen Idec, Inc. *		1,476,912
	1,300	Brown-Forman Corp. – Class B		126,165
	5,700	CA, Inc.		177,555
	3,900	Cerner Corp. *		251,160
	30,700	Chevron Corp.		3,342,309
	3,100	Church & Dwight Co., Inc.		237,801
	9,500	CH Robinson Worldwide, Inc.		700,530
	147,900	Cisco Systems, Inc.		4,087,956
	4,400	Citrix Systems, Inc. *		291,764
	13,300	Coach, Inc.		493,696
	107,000	Coca-Cola Co. (The)		4,796,810
	21,000	Cognizant Technology Solutions Corp. – Class A *		1,133,790

Shares		Description	Value ($)
		United States — continued
	28,700	Colgate-Palmolive Co.		1,997,233
	9,400	ConocoPhillips		621,058
	7,900	Costco Wholesale Corp.		1,122,748
	32,361	Covidien Plc		3,268,461
	3,700	CR Bard, Inc.		619,195
	3,400	CVS Health Corp.		310,624
	17,300	Danaher Corp.		1,445,588
	3,900	Dover Corp.		300,261
	32,200	eBay, Inc. *		1,767,136
	1,400	Edwards Lifesciences Corp. *		181,552
	14,400	Eli Lilly & Co.		980,928
	65,400	EMC Corp.		1,984,890
	23,800	Emerson Electric Co.		1,517,250
	1,300	Equifax, Inc.		103,415
	2,500	Estee Lauder Cos., Inc. (The) – Class A		185,350
	7,400	Expeditors International of Washington, Inc.		346,468
	193,200	Express Scripts Holding Co. *		16,064,580
	18,200	Exxon Mobil Corp.		1,647,828
	1,400	F5 Networks, Inc. *		180,866
	8,100	Fastenal Co.		366,120
	4,100	General Mills, Inc.		216,275
	8,100	Genuine Parts Co.		832,518
	10,200	Google, Inc. – Class A *		5,600,616
	4,300	Google, Inc. – Class C *		2,329,869
	2,200	Henry Schein, Inc. *		301,840
	2,300	Herbalife Ltd.		99,475
	1,800	Hershey Co. (The)		180,504
	7,800	Honeywell International, Inc.		772,746
	12,100	Hormel Foods Corp.		642,268
	800	Hubbell, Inc. – Class B		85,440
	8,700	Humana, Inc.		1,200,339
	8,400	Illinois Tool Works, Inc.		797,412
	18,476	International Business Machines Corp.		2,996,253
	9,400	Intuit, Inc.		882,378
	800	Intuitive Surgical, Inc. *		414,216
	57,800	Johnson & Johnson		6,256,850
	74,600	JPMorgan Chase & Co.		4,487,936
	2,700	Kimberly-Clark Corp.		314,793
	3,500	Linear Technology Corp.		161,105
	9,600	Marathon Oil Corp.		277,632
	16,500	Mastercard, Inc. – Class A		1,440,285
	7,600	Mattel, Inc.		239,780
	24,000	McDonald’s Corp.		2,323,440
	163,700	Microsoft Corp.		7,826,497
	16,800	Monsanto Co.		2,014,488
	4,500	Monster Beverage Corp. *		504,675
	3,400	NetApp, Inc.		144,670
	18,300	Nike, Inc. – Class B		1,817,007
	216,200	Oracle Corp.		9,169,042
	1,600	Pall Corp.		153,776
	13,300	Paychex, Inc.		630,553
	21,800	PepsiCo, Inc.		2,182,180

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	236,831	Philip Morris International, Inc.		20,587,719
	1,000	Polaris Industries, Inc.		156,710
	3,100	Precision Castparts Corp.		737,490
	59,900	Procter & Gamble Co. (The)		5,416,757
	49,138	Qualcomm, Inc.		3,582,160
	1,300	Ralph Lauren Corp.		240,370
	12,100	Reynolds American, Inc.		797,511
	3,300	Rockwell Automation, Inc.		380,853
	1,100	Roper Industries, Inc.		173,602
	4,300	Ross Stores, Inc.		393,364
	5,400	Sigma-Aldrich Corp.		737,640
	13,500	Stryker Corp.		1,254,285
	7,600	St Jude Medical, Inc.		516,496
	20,800	Sysco Corp.		837,408
	36,300	Teradata Corp. *		1,638,582
	300	Tiffany & Co.		32,376
	9,200	TJX Cos., Inc. (The)		608,672
	4,200	Total System Services, Inc.		138,558
	25,415	UnitedHealth Group, Inc.		2,506,681
	2,800	United Technologies Corp.		308,224
	6,400	Varian Medical Systems, Inc. *		566,464
	14,500	VF Corp.		1,089,965
	1,100	Wabtec Corp.		97,339
	33,600	Wal-Mart Stores, Inc.		2,941,344
	1,200	Waters Corp. *		139,080
	7,800	WellPoint, Inc.		997,698
	35,000	Wells Fargo & Co.		1,906,800
	2,500	WW Grainger, Inc.		614,200
	5,300	Xilinx, Inc.		240,832
	3,200	Zimmer Holdings, Inc.		359,328
		Total United States		205,781,223
		TOTAL COMMON STOCKS (COST $394,668,952)		430,527,978
		PREFERRED STOCKS — 2.4%
		Brazil — 0.3%
	13,300	AES Tiete SA		99,354
	1,300	Banco Bradesco SA		20,051
	14,300	Banco do Estado do Rio Grande do Sul SA – Class B		83,463
	5,500	Bradespar SA		32,337
	5,355	Companhia de Transmissao de Energia Eletrica Paulista		81,405
	4,600	Companhia Energetica de Minas Gerais Sponsored ADR		25,392
	5,600	Companhia Energetica de Sao Paulo – Class B		56,483
	5,200	Companhia Paranaense de Energia Sponsored ADR		72,176
	3,700	Companhia Paranaense de Energia – Class B		50,923
	30,600	Companhia Energetica de Minas Gerais		167,982
	19,600	Eletropaulo Metropolitana SA		70,839

Shares		Description	Value ($)
		Brazil — continued
	17,000	Gerdau SA		72,246
	3,900	Gol Linhas Aereas Inteligentes SA *		22,854
	3,000	Gol Linhas Aereas Inteligentes SA ADR		17,250
	1,690	Itau Unibanco Holding SA		25,434
	46,084	Itausa-Investimentos Itau SA		188,300
	19,200	Metalurgica Gerdau SA		97,241
	90,100	Oi SA *		48,478
	8,400	Telefonica Brasil SA		171,973
	12,500	Telefonica Brasil SA ADR		257,000
		Total Brazil		1,661,181
		Germany — 1.1%
	17,475	Porsche Automobil Holding SE		1,522,630
	14,846	Volkswagen AG		3,421,953
		Total Germany		4,944,583
		Russia — 0.4%
	12,637	Sberbank *		13,346
	1,981,503	Surgutneftegaz OJSC *		1,374,055
	172	Transneft *		414,420
		Total Russia		1,801,821
		South Korea — 0.6%
	1,055	Hyundai Motor Co		125,947
	530	Hyundai Motor Co		61,272
	2,550	Samsung Electronics Co Ltd		2,420,643
	6	Samsung Electronics Co Ltd GDR (Registered)		2,802
		Total South Korea		2,610,664
		TOTAL PREFERRED STOCKS (COST $11,330,996)		11,018,249
		RIGHTS/WARRANTS — 0.0%
		South Korea — 0.0%
	347	DGB Financial Group Inc Rights, Expires 1/20/15 *		485
		Spain — 0.0%
	366,135	Telefonica SA Rights, Expires 12/03/14 *		167,654
		TOTAL RIGHTS/WARRANTS (COST $154,100)		168,139
		MUTUAL FUNDS — 1.3%
		United States — 1.3%
		Affiliated Issuers
	233,545	GMO U.S. Treasury Fund		5,838,617
		TOTAL MUTUAL FUNDS (COST $5,838,617)		5,838,617

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.1%
		Time Deposits — 0.1%
DKK	4,316	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.00%, due 12/01/14 (c)		722
EUR	12	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.11)%, due 12/01/14		15
HKD	44,952	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/01/14		5,797
NOK	130,510	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.55%, due 12/01/14		18,552
JPY	11,132,800	DnB Nor Bank (Oslo) Time Deposit, 0.01%, due 12/01/14		93,813
USD	185,585	JPMorgan Chase (New York) Time Deposit, 0.06%, due 12/01/14		185,585
		Total Time Deposits		304,484
		TOTAL SHORT-TERM INVESTMENTS (COST $304,484)		304,484
		TOTAL INVESTMENTS — 99.8% (Cost $412,297,149)		447,857,467
		Other Assets and Liabilities (net) — 0.2%		810,303
		TOTAL NET ASSETS — 100.0%		$448,667,770

Notes to Schedule of Investments:

ADR - American Depositary Receipt

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

GDR - Global Depository Receipt

NVDR - Non-Voting Depository Receipt

OJSC - Open Joint-Stock Company

REIT - Real Estate Investment Trust

* Non-income producing security.

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

(b) Security is restricted as to resale.

(c) Rate rounds to 0.00%.

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 November 30, 2014
Ferrovial SA	11/28/14	$	6,653	0.00%	$	10,412

Currency Abbreviations:

DKK - Danish Krone

EUR - Euro

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

USD - United States Dollar

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.2%
		Australia — 0.8%
	5,048,252	Arrium Ltd		1,029,785
	1,768,623	Bank of Queensland Ltd		18,508,103
	3,976,984	BlueScope Steel Ltd *		16,722,477
	3,300,786	Goodman Fielder Ltd		1,814,281
	334,877	Investa Office Fund (REIT)		1,005,321
	11,457,490	Mirvac Group (REIT)		17,093,094
	1,892,120	Pacific Brands Ltd		834,370
	6,048,373	Stockland (REIT)		21,176,773
	6,484,411	TABCORP Holdings Ltd		22,525,154
	710,872	Tatts Group Ltd		2,060,364
		Total Australia		102,769,722
		Austria — 0.4%
	1,167,625	Immofinanz AG (Entitlement Shares) *		—
	807,397	OMV AG		23,372,801
	657,719	Voestalpine AG		27,332,862
		Total Austria		50,705,663
		Belgium — 0.9%
	653,096	Ageas		23,372,301
	1,043,816	Belgacom SA		41,237,489
	766,334	Delhaize Group		56,034,278
	8,247	Solvay SA		1,133,495
	96,788	Umicore SA		3,935,179
		Total Belgium		125,712,742
		Canada — 1.0%
	156,900	Canadian Tire Corp Ltd		17,599,300
	1,319,448	Catamaran Corp *		67,212,681
	9,100	First Quantum Minerals Ltd		147,968
	365,300	Home Capital Group Inc		16,653,899
	40,300	RONA Inc		483,008
	1,038,100	Suncor Energy Inc		32,770,164
		Total Canada		134,867,020
		Denmark — 0.7%
	33,667	AP Moeller – Maersk A/S		70,265,662
	281,721	Carlsberg A/S		25,082,415
	27,734	Jyske Bank A/S *		1,437,264
	369,293	TDC A/S		2,988,525
		Total Denmark		99,773,866
		Finland — 1.2%
	1,927,277	Fortum Oyj		48,380,024
	220,302	Metso Oyj		6,834,704
	83,905	Neste Oil Oyj		1,991,327
	8,021,382	Nokia Oyj		66,648,863
	651,650	Stora Enso Oyj – R Shares		5,773,431
	2,247,828	UPM – Kymmene Oyj		37,308,297
		Total Finland		166,936,646

Shares		Description	Value ($)
		France — 19.2%
	289,298	Alstom SA *		10,151,360
	3,989,604	ArcelorMittal		48,886,858
	885	AXA		21,390
	350,157	BNP Paribas		22,487,964
	1,272,559	Bouygues SA		47,876,650
	1,818,524	Carrefour SA		57,589,373
	46,844	Casino Guichard Perrachon SA		4,514,717
	14,800	Christian Dior SA		2,837,239
	2,416,061	Cie de Saint-Gobain		111,037,304
	1,137,353	Cie Generale des Etablissements Michelin – Class B (Registered)		104,640,978
	272,095	CNP Assurances		5,043,067
	1,508,581	Credit Agricole SA		21,224,870
	266,260	Danone SA		18,779,797
	1,066,102	Electricite de France		31,933,116
	10,178,752	GDF Suez		251,033,052
	18,066	Lafarge SA		1,285,613
	15,668	Lagardere SCA		444,394
	110,127	LVMH Moet Hennessy Louis Vuitton SA		19,806,228
	15,493,083	Orange		273,212,205
	2,363,350	Peugeot SA *		30,252,817
	1,302,807	Renault SA		104,616,597
	238,420	Rexel SA		4,420,002
	3,512,814	Sanofi		339,498,599
	1,490,515	Schneider Electric SE		121,691,249
	49,768	SCOR SE		1,554,066
	637,908	Societe Generale		31,681,443
	323,069	Suez Environnement Co		5,734,641
	20,459	Technicolor *		122,253
	9,864,035	Total SA		550,811,424
	460,890	Vallourec SA		15,256,839
	2,169,696	Veolia Environnement SA		39,638,882
	2,205,133	Vinci SA		119,234,567
	9,343,290	Vivendi SA		237,767,664
		Total France		2,635,087,218
		Germany — 14.7%
	393,362	Allianz SE (Registered)		67,774,125
	530,403	Aurubis AG		29,210,369
	4,223,475	BASF SE		383,019,143
	1,817,446	Bayerische Motoren Werke AG		207,760,071
	109,047	Bilfinger SE		6,458,373
	4,556,193	Daimler AG (Registered)		384,343,471
	1,927,194	Deutsche Lufthansa AG (Registered)		34,348,249
	508	Deutsche Bank AG (Registered)		16,588
	10,656,093	Deutsche Telekom AG (Registered)		181,200,649
	215,044	Duerr AG		18,489,645
	15,279,164	E.ON AG		270,714,356
	207,800	Freenet AG		6,135,660
	500,671	Fresenius Medical Care AG & Co		36,978,536
	156,249	Hannover Rueck SE		13,948,554

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	210,192	HeidelbergCement AG		15,921,149
	948,588	K+S AG (Registered)		28,460,316
	414,701	Kloeckner & Co SE *		4,903,659
	82,845	Leoni AG		4,965,433
	792,730	Metro AG *		26,925,951
	191,928	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		39,521,839
	253,079	ProSiebenSat.1 Media AG (Registered)		10,772,245
	3,800	Rheinmetall AG		160,944
	94,499	Rhoen-Klinikum AG		2,752,136
	3,820,453	RWE AG		138,411,838
	234,545	Salzgitter AG		7,753,443
	500,089	Siemens AG (Registered)		59,149,540
	10,161	Software AG		269,763
	17,461	Suedzucker AG		271,478
	180,341	Volkswagen AG		40,832,171
		Total Germany		2,021,469,694
		Hong Kong — 1.1%
	847,000	Cheung Kong Holdings Ltd		15,545,384
	16,083,390	Esprit Holdings Ltd		20,913,102
	671,000	Hongkong Land Holdings Ltd		4,640,883
	161,500	Kerry Properties Ltd		578,977
	3,516,191	Link (REIT)		22,272,434
	3,106,931	Sun Hung Kai Properties Ltd		45,349,726
	433,000	Swire Pacific Ltd		5,941,269
	2,284,000	Wharf Holdings Ltd (The)		16,438,426
	77,000	Wheelock & Co Ltd		387,908
	4,467,200	Yue Yuen Industrial Holdings		16,014,124
		Total Hong Kong		148,082,233
		Ireland — 0.7%
	3,181,893	CRH Plc		74,996,825
	677,928	Smurfit Kappa Group Plc		15,712,580
		Total Ireland		90,709,405
		Israel — 1.3%
	414,438	Bank Hapoalim BM		2,068,918
	6,732,401	Bank Leumi Le-Israel *		23,770,204
	1,786,000	Check Point Software Technologies Ltd *		138,075,660
	10,165,328	Israel Discount Bank Ltd – Class A *		16,596,650
	573,554	Partner Communications Co Ltd *		3,504,696
		Total Israel		184,016,128
		Italy — 5.1%
	17,597,212	A2A SPA		18,368,337
	14,570	Buzzi Unicem SPA		217,959
	42,757,120	Enel SPA		206,398,802
	9,157,688	ENI SPA		182,442,019
	541,527	Exor SPA		24,129,443
	3,980,545	Fiat Chrysler Automobiles NV *		49,729,007

Shares		Description	Value ($)
		Italy — continued
	2,140,455	Finmeccanica SPA *		20,754,493
	394,976	Italcementi SPA		2,429,716
	4,665,453	Mediaset SPA *		18,957,403
	2,009,220	Mediolanum SPA		13,948,327
	69,546	Recordati SPA		1,215,913
	46,055	Saipem SPA *		659,503
	1,404,201	Snam Rete Gas SPA		7,446,328
	98,794,208	Telecom Italia SPA *		111,351,873
	48,190,632	Telecom Italia SPA-Di RISP		42,721,609
	110,513	Terna SPA		534,394
		Total Italy		701,305,126
		Japan — 19.8%
	21,100	Adastria Holdings Co Ltd		409,072
	1,982,500	Aeon Co Ltd		19,777,103
	456,400	Aisin Seiki Co Ltd		16,325,649
	438,300	Alfresa Holdings Corp		5,045,937
	113,900	Aoyama Trading Co Ltd		2,471,888
	2,836,000	Asahi Glass Co Ltd		13,703,735
	2,546,000	Asahi Kasei Corp		22,144,707
	101,600	Asatsu-DK, Inc.		2,620,408
	103,300	Brother Industries Ltd		1,928,850
	1,599,000	Calsonic Kansei Corp		8,779,942
	2,812,000	Canon Inc		89,826,918
	267,000	Central Japan Railway Co		38,795,644
	1,357,800	Chubu Electric Power Co Inc *		15,869,707
	5,474,000	Cosmo Oil Co Ltd		7,505,017
	435,800	Daihatsu Motor Co Ltd		5,970,278
	46,600	Daiichi Sankyo Co Ltd		687,877
	490,000	Daikyo Inc		846,536
	179,500	Daito Trust Construction Co Ltd		20,328,626
	1,288,000	Denki Kagaku Kogyo K K		4,400,271
	177,600	Electric Power Development Co Ltd		6,145,140
	698,200	FujiFilm Holdings Corp		23,091,701
	390,600	Fuji Oil Co Ltd		5,544,733
	634,000	Gunze Ltd		1,650,848
	983,000	Hakuhodo DY Holdings Inc		9,560,096
	1,333,000	Hanwa Co Ltd		4,706,476
	48,700	Haseko Corp		404,954
	288,000	Hitachi Chemical Co Ltd		5,335,188
	5,111,700	Honda Motor Co Ltd		154,626,325
	267,300	Idemitsu Kosan Co Ltd		4,564,371
	3,705,400	Inpex Corp		39,261,181
	9,600	Isuzu Motors Ltd		125,557
	820,100	IT Holdings Corp		12,711,148
	6,967,200	Itochu Corp		80,128,287
	6,607,200	Japan Tobacco, Inc.		211,878,362
	1,264,600	JFE Holdings Inc		26,950,332
	217,800	JSR Corp		3,896,635
	7,706,490	JX Holdings Inc		28,686,131
	752,300	K’s Holdings Corp		18,268,280

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	540,000	Kaneka Corp		2,862,303
	11,771,000	Kawasaki Kisen Kaisha Ltd		30,886,759
	515,300	KDDI Corp.		33,011,891
	13,671,000	Kobe Steel Ltd		21,773,645
	138,200	Kohnan Shoji Co Ltd		1,496,111
	170,600	Kuraray Co Ltd		2,079,715
	3,196,540	Kyocera Corp		156,302,270
	61,900	Leopalace21 Corp *		350,075
	7,654,500	Marubeni Corp		48,256,620
	1,066,600	Medipal Holdings Corp		11,876,267
	6,551,500	Mitsubishi Chemical Holdings Corp		33,790,528
	6,043,300	Mitsubishi Corp		114,250,712
	10,868,200	Mitsubishi UFJ Financial Group Inc		62,617,304
	121,500	Mitsubishi UFJ Lease & Finance Co Ltd		573,335
	7,558,000	Mitsui Chemicals Inc		21,171,265
	9,001,000	Mitsui Engineering & Shipbuilding Co Ltd		17,202,198
	8,264,200	Mitsui & Co Ltd		114,018,288
	216,000	Mitsui Mining & Smelting Co Ltd		554,967
	5,715,000	Mitsui OSK Lines Ltd		18,123,139
	945,300	Net One Systems Co Ltd		5,432,946
	72,000	Nichirei Corp		312,610
	1,188,600	Nippon Light Metal Co Ltd		1,791,434
	4,300	Nippon Paper Industries Co Ltd		62,817
	1,085,000	Nippon Electric Glass Co Ltd		4,965,263
	172,000	Nippon Steel & Sumitomo Metal Corp		443,256
	2,431,000	Nippon Telegraph & Telephone Corp		130,044,815
	7,316,000	Nippon Yusen Kabushiki Kaisha		20,660,657
	447,313	Nipro Corp		3,826,891
	37,880,142	Nissan Motor Co Ltd		353,554,268
	510,000	Nisshinbo Holdings Inc		5,169,966
	92,200	Nisshin Seifun Group Inc		914,097
	182,400	NOK Corp		4,552,221
	546,400	North Pacific Bank Ltd		2,173,037
	5,393,200	NTT Docomo, Inc.		84,194,492
	130,400	Okinawa Electric Power Co		4,104,180
	348	ORIX JREIT Inc (REIT)		482,689
	3,918,000	Osaka Gas Co Ltd		14,973,645
	567,000	Rengo Co Ltd		2,278,217
	4,469,200	Resona Holdings Inc		24,153,404
	1,864,400	Ricoh Co Ltd		20,223,730
	156,800	Round One Corp		900,739
	200	Ryohin Keikaku Co Ltd		23,436
	10,000	Seino Holdings Co Ltd		94,159
	906,200	Sekisui House Ltd		12,132,416
	104,500	Shimamura Co Ltd		8,743,746
	3,583,000	Showa Denko KK		4,954,792
	2,073,100	Showa Shell Sekiyu KK		17,296,322
	19,046,300	Sojitz Corp		27,302,870
	29,000	Sumitomo Chemical Co Ltd		109,781
	1,654,000	Sumitomo Heavy Industries Ltd		9,104,054
	28,100	Sumitomo Mitsui Construction Co Ltd *		30,566

Shares		Description	Value ($)
		Japan — continued
	464,700	Sumitomo Rubber Industries		7,084,144
	5,444,300	Sumitomo Corp		58,101,606
	176,600	Sumitomo Forestry Co Ltd		1,816,751
	1,532,000	Sumitomo Metal Mining Co Ltd		23,459,502
	1,037,000	Sumitomo Mitsui Financial Group Inc		38,949,061
	233,000	Suzuken Co Ltd		5,969,364
	1,522,200	Takeda Pharmaceutical Co Ltd		63,802,374
	700	TDK Corp		42,213
	759,000	Tokuyama Corp		1,663,035
	4,924,700	Tokyo Electric Power Co Inc (The) *		17,989,934
	429,000	TonenGeneral Sekiyu KK		3,592,944
	5,718,000	Tosoh Corp		26,315,739
	1,376,100	Toyota Tsusho Corp		32,581,340
	3,370,000	Ube Industries Ltd		4,823,488
	2,117,900	UNY Co Ltd		10,676,556
	327,200	West Japan Railway Co		15,615,073
	7,976,900	Yamada Denki Co Ltd		26,258,267
	441,000	Yokohama Rubber Co Ltd (The)		4,058,368
		Total Japan		2,713,978,577
		Malta — 0.0%
	15,984,486	BGP Holdings Plc *		—
		Netherlands — 2.3%
	2,401,051	Aegon NV		18,852,009
	76,962	Boskalis Westminster		4,321,640
	202,133	Corbion NV		3,557,662
	9,038	Delta Lloyd NV		207,849
	2,126	Fugro NV		48,716
	529,254	Heineken NV		41,640,414
	4,659,870	ING Groep NV *		68,171,203
	5,110,432	Koninklijke Ahold NV		90,268,346
	619,357	Koninklijke BAM Groep NV		1,757,140
	183,163	Koninklijke DSM NV		12,049,626
	19,861,044	Koninklijke KPN NV		66,087,690
	3,878	Nutreco NV		221,971
	154,070	Wolters Kluwer NV		4,516,652
		Total Netherlands		311,700,918
		New Zealand — 0.2%
	1,387,846	Chorus Ltd *		2,247,508
	530,265	Fletcher Building Ltd		3,401,908
	10,282,965	Spark New Zealand Ltd		24,645,459
		Total New Zealand		30,294,875
		Norway — 1.5%
	11,180	Akastor ASA		33,557
	36,364	Aker Solutions ASA *		217,623
	54,648	DNB ASA		904,723
	52,479	Fred Olsen Energy ASA		544,741
	450,496	Golden Ocean Group Ltd		372,511

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Norway — continued
	300,360	Orkla ASA		2,227,431
	5,999	Petroleum Geo-Services ASA		29,241
	5,601,802	Statoil ASA		105,754,435
	277,881	Storebrand ASA *		1,290,055
	34,595	Subsea 7 SA		343,887
	2,240,638	Telenor ASA		47,186,888
	105,853	TGS Nopec Geophysical Co ASA		2,348,695
	1,059,602	Yara International ASA		44,831,892
		Total Norway		206,085,679
		Portugal — 0.4%
	11,814,059	EDP-Energias de Portugal SA		48,496,188
		Singapore — 0.5%
	7,759,000	Ezra Holdings Ltd		3,955,703
	68,798,000	Golden Agri-Resources Ltd		24,272,661
	25,218,000	Noble Group Ltd		23,690,602
	240,400	Singapore Technologies Engineering Ltd		621,448
	4,154,000	Swiber Holdings Ltd		1,004,622
	19,654,000	Yangzijiang Shipbuilding Holdings Ltd		18,484,969
		Total Singapore		72,030,005
		Spain — 6.1%
	124,088	Acciona SA *		9,182,490
	668,859	ACS Actividades de Construccion y Servicios SA		23,639,272
	825,373	Enagas		27,613,699
	2,334	Endesa SA		45,114
	316,360	Ferrovial SA		6,484,322
	7,167	Ferrovial SA (a)		146,900
	1,927,907	Gas Natural SDG SA		54,650,193
	30,090,180	Iberdrola SA		222,662,169
	1,204,478	Indra Sistemas SA		12,406,199
	257,754	Mapfre SA		946,337
	26,532	Obrascon Huarte Lain SA		721,750
	50,169	Red Electrica Corp SA		4,595,897
	3,382,882	Repsol YPF SA		75,996,281
	24,505,659	Telefonica SA		393,099,157
		Total Spain		832,189,780
		Sweden — 2.2%
	287,976	ASecuritas AB – Class B		3,482,961
	8,150,127	Ericsson LM – B Shares		102,427,930
	38,227	Husqvarna AB – Class B		281,393
	70,411	Industrivarden AB – Class C		1,243,757
	12,014	Investor AB		450,888
	1,518,444	Sandvik AB		15,901,947
	931,320	Skanska AB – Class B		20,037,666
	150,176	SSAB Svenskt Stal AB Series A *		1,063,244
	1,334,654	Tele2 AB – B Shares		17,281,967
	14,601,630	TeliaSonera AB		104,200,182
	3,770,791	Volvo AB – Class B		41,234,787
		Total Sweden		307,606,722

Shares		Description	Value ($)
		Switzerland — 1.9%
	3,479,821	ABB Ltd (Registered)		78,140,839
	794,985	Holcim Ltd (Registered)		58,722,647
	547,161	Nestle SA (Registered)		41,066,185
	3,147	Novartis AG (Registered)		304,480
	1,262	Swiss Life Holding AG (Registered)		289,053
	49,010	Swisscom AG (Registered)		29,761,209
	4,409	Transocean Ltd		92,472
	161,632	Zurich Insurance Group AG		50,681,425
		Total Switzerland		259,058,310
		United Kingdom — 14.2%
	737,642	Amlin Plc		5,128,214
	4,418,377	AstraZeneca Plc		328,278,296
	2,165,022	Aviva Plc		17,241,122
	5,319,620	BAE Systems Plc		39,916,772
	6,950,997	Balfour Beatty Plc		19,876,975
	13,559	BG Group Plc		190,677
	48,852,286	BP Plc		320,270,543
	532,171	Bunzl Plc		14,843,272
	1,049,224	Cairn Energy Plc *		2,651,053
	547,911	Cape Plc		2,163,134
	1,196,566	Carillion Plc		6,496,885
	704,354	Catlin Group Ltd		6,069,422
	14,514,727	Centrica Plc		64,560,532
	3,024,416	Cobham Plc		14,245,046
	5,337,877	Debenhams Plc		6,007,537
	54,826	Direct Line Insurance Group Plc		252,248
	3,481,065	Dixons Carphone Plc		22,989,272
	1,857,548	Drax Group Plc		17,688,930
	10,289,307	FirstGroup Plc *		18,139,117
	666,681	Friends Life Group Ltd		3,845,621
	1,744,049	GlaxoSmithKline Plc		40,512,445
	11,087	Glencore Plc		55,446
	257,152	Halfords Group Plc		1,918,695
	5,550,210	Home Retail Group Plc		17,364,607
	248,528	Imperial Tobacco Group Plc		11,487,407
	1,660,755	Inchcape Plc		18,632,325
	541,163	Intermediate Capital Group Plc		3,883,611
	93,485	JD Wetherspoon Plc		1,196,473
	4,593,015	J Sainsbury Plc		16,739,968
	3,924,026	Kingfisher Plc		19,169,133
	119,246	Ladbrokes Plc		207,133
	33,339	Lancashire Holdings Ltd		281,356
	19,830,907	Man Group Plc		44,315,992
	4,874,403	Marks & Spencer Group Plc		37,140,832
	111,970	Micro Focus International Plc		1,998,131
	155,252	Mitie Group Plc		679,096
	144,872	National Express Group Plc		599,715
	1,535	Next Plc		162,494
	1,802,859	Pearson Plc		34,647,129
	33,229	Premier Oil Plc		97,046

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares / Par Value		Description	Value ($)
		United Kingdom — continued
	8,346,448	Royal Dutch Shell Plc A Shares (London)		278,083,667
	5,362,511	Royal Dutch Shell Plc B Shares (London)		186,236,701
	2,111,910	RSA Insurance Group Plc *		15,441,236
	1,600,584	Scottish & Southern Energy Plc		41,014,380
	85,410	Serco Group Plc		234,029
	400,123	Spirit Pub Co Plc		657,904
	312,865	Standard Life Assurance Plc		2,071,707
	23,843,510	Tesco Plc		69,556,121
	9,558,900	Thomas Cook Group Plc *		18,169,866
	3,672,062	TUI Travel Plc		25,517,074
	27,624,175	Vodafone Group Plc		101,242,667
	11,800,796	WM Morrison Supermarkets Plc		32,887,796
	609,376	WPP Plc		12,757,951
		Total United Kingdom		1,945,814,801
		TOTAL COMMON STOCKS (COST $13,128,203,711)		13,188,691,318
		PREFERRED STOCKS — 2.1%
		Germany — 2.1%
	1,043,289	Porsche Automobil Holding SE		90,903,765
	845,778	Volkswagen AG		194,948,954
		Total Germany		285,852,719
		TOTAL PREFERRED STOCKS (COST $301,976,893)		285,852,719
		RIGHTS/WARRANTS — 0.1%
		Spain — 0.1%
	24,505,635	Telefonica SA Rights, Expires 12/03/14 *		11,221,189
		TOTAL RIGHTS/WARRANTS (COST $10,004,884)		11,221,189
		MUTUAL FUNDS — 1.3%
		United States — 1.3%
		Affiliated Issuers
	7,044,280	GMO U.S. Treasury Fund		176,107,000
		TOTAL MUTUAL FUNDS (COST $176,107,000)		176,107,000
		SHORT-TERM INVESTMENTS — 0.1%
		Time Deposits — 0.1%
AUD	583,717	Australia and New Zealand Banking Group Ltd. (ANZ) Time Deposit, 1.76%, due 12/01/14		496,918
EUR	262,760	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.11)%, due 12/01/14		326,952

Par Value		Description	Value ($)
		Time Deposits — continued
GBP	4,521	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.09%, due 12/01/14		7,071
HKD	7,456,634	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/01/14		961,538
NZD	413	Brown Brothers Harriman (Grand Cayman) Time Deposit, 2.85%, due 12/01/14		324
JPY	687,728,720	DnB Nor Bank (Oslo) Time Deposit, 0.01%, due 12/01/14		5,795,304
NOK	7,562,698	DnB Nor Bank (Oslo) Time Deposit, 0.55%, due 12/01/14		1,075,049
USD	11,479,338	JPMorgan Chase (New York) Time Deposit, 0.06%, due 12/01/14		11,479,338
		Total Time Deposits		20,142,494
		TOTAL SHORT-TERM INVESTMENTS (COST $20,142,494)		20,142,494
		TOTAL INVESTMENTS — 99.8% (Cost $13,636,434,982)		13,682,014,720
		Other Assets and Liabilities (net) — 0.2%		31,074,574
		TOTAL NET ASSETS — 100.0%		$13,713,089,294

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Security is restricted as to resale.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

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 November 30, 2014
Ferrovial SA	11/28/14	$	142,365	0.00%	$	146,900

Currency Abbreviations:

AUD - Australian Dollar

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

USD - United States Dollar

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.3%
		Australia — 0.5%
	720,386	Arrium Ltd		146,950
	508,396	BlueScope Steel Ltd *		2,137,711
	680	Flight Centre Travel Group Ltd		23,381
	797,221	Goodman Fielder Ltd		438,193
	6,858	GPT Group (REIT)		24,153
	85,610	Investa Office Fund (REIT)		257,006
	143,050	JB Hi–Fi Ltd		1,883,931
	25,181	Mirvac Group (REIT)		37,567
	13,210	Myer Holdings Ltd		18,179
	328,192	Pacific Brands Ltd		144,723
	633,781	Stockland (REIT)		2,219,016
	585,226	TABCORP Holdings Ltd		2,032,923
		Total Australia		9,363,733
		Austria — 0.4%
	107,387	OMV AG		3,108,675
	90,365	Voestalpine AG		3,755,303
		Total Austria		6,863,978
		Belgium — 0.9%
	99,558	Ageas		3,562,875
	142,216	Belgacom SA		5,618,453
	104,325	Delhaize Group		7,628,235
	3,683	Solvay SA		506,204
		Total Belgium		17,315,767
		Canada — 0.9%
	240,537	Catamaran Corp *		12,252,955
	140,500	Suncor Energy Inc		4,435,226
		Total Canada		16,688,181
		Denmark — 0.7%
	4,662	AP Moeller – Maersk A/S – Class B		9,729,959
	32,124	Carlsberg A/S – Class B		2,860,090
		Total Denmark		12,590,049
		Finland — 1.3%
	312,701	Fortum Oyj		7,849,666
	10,817	Neste Oil Oyj		256,721
	1,234,680	Nokia Oyj		10,258,833
	1,372	Stora Enso Oyj – R Shares		12,156
	361,425	UPM–Kymmene Oyj		5,998,747
		Total Finland		24,376,123
		France — 19.5%
	42,197	Alstom SA *		1,480,677
	578,718	ArcelorMittal		7,091,357
	158,181	AXA		3,823,170
	108,061	BNP Paribas		6,939,949

Shares		Description	Value ($)
		France — continued
	173,774	Bouygues SA		6,537,785
	231,095	Carrefour SA		7,318,362
	26,181	Casino Guichard-Perrachon SA		2,523,265
	140,475	Cie Generale des Etablissements Michelin – Class B		12,924,256
	20,890	CNP Assurances		387,180
	295,779	Compagnie de Saint-Gobain		13,593,408
	5,170	Credit Agricole SA		72,739
	97,213	Danone SA		6,856,608
	154,270	Electricite de France		4,620,873
	1,353,488	GDF Suez		33,380,342
	31,498	Lafarge SA		2,241,460
	14,938	LVMH Moet Hennessy Louis Vuitton SA		2,686,584
	1,969,884	Orange		34,737,847
	271,240	Peugeot SA *		3,472,094
	150,203	Renault SA		12,061,439
	26,199	Rexel SA		485,696
	519,075	Sanofi		50,166,401
	230,855	Schneider Electric SE		18,847,870
	110,159	Societe Generale		5,471,002
	31,073	Suez Environnement SA		551,562
	1,264,703	Total SA		70,621,491
	17,424	Vallourec SA		576,787
	203,647	Veolia Environnement SA		3,720,493
	278,701	Vinci SA		15,069,745
	1,255,404	Vivendi SA		31,947,470
		Total France		360,207,912
		Germany — 15.1%
	56,803	Allianz SE (Registered)		9,786,847
	57,947	Aurubis AG		3,191,259
	621,176	BASF SE		56,333,304
	242,433	Bayerische Motoren Werke AG		27,713,559
	599,383	Daimler AG (Registered)		50,561,717
	251,520	Deutsche Lufthansa AG (Registered)		4,482,824
	100,161	Deutsche Bank AG (Registered)		3,270,602
	1,564,665	Deutsche Telekom AG (Registered)		26,606,216
	45,396	Duerr AG		3,903,182
	2,006,251	E.ON AG		35,546,510
	39,433	Fresenius SE & Co KGaA		2,137,784
	71,654	Fresenius Medical Care AG & Co		5,292,218
	1,478	Hannover Rueck SE		131,943
	20,513	HeidelbergCement AG		1,553,772
	84,987	K+S AG (Registered)		2,549,850
	108,376	Metro AG *		3,681,111
	33,238	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		6,844,373
	66,499	ProSiebenSat.1 Media AG (Registered)		2,830,514
	510,013	RWE AG		18,477,347
	67,592	Siemens AG (Registered)		7,994,648
	25,482	Volkswagen AG		5,769,544
		Total Germany		278,659,124

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — 1.0%
	134,000	Cheung Kong Holdings Ltd		2,459,364
	1,784,500	Esprit Holdings Ltd		2,320,371
	7,000	Henderson Land Development Co Ltd		46,800
	118,000	Hongkong Land Holdings Ltd		816,131
	26,000	Link (REIT)		164,690
	68,000	Sino Land		111,849
	317,392	Sun Hung Kai Properties Ltd		4,632,752
	272,000	Swire Pacific Ltd		3,732,160
	324,000	Wharf Holdings Ltd (The)		2,331,896
	12,000	Wheelock & Co Ltd		60,453
	3,690,000	Xinyi Glass Holdings Ltd		1,981,863
	161,500	Yue Yuen Industrial Holdings		578,949
		Total Hong Kong		19,237,278
		Ireland — 0.6%
	470,549	CRH Plc		11,090,782
		Israel — 1.5%
	44,695	Africa Israel Investments Ltd *		65,234
	1,273,925	Bezeq Israeli Telecommunication Corp Ltd		2,253,016
	272,300	Check Point Software Technologies Ltd *		21,051,513
	135,379	Partner Communications Co Ltd *		827,232
	60,363	Teva Pharmaceutical Industries Ltd		3,435,325
		Total Israel		27,632,320
		Italy — 4.9%
	54,153	A2A SPA		56,526
	6,143,295	Enel SPA		29,655,148
	1,334,672	ENI SPA		26,589,709
	565,172	Fiat Chrysler Automobiles NV *		7,060,702
	222,358	Finmeccanica SPA *		2,156,050
	519,597	Mediaset SPA *		2,111,308
	5,352	Mediolanum SPA		37,154
	10,217	Recordati SPA		178,630
	1,206	Saipem SPA *		17,270
	186,313	Snam Rete Gas SPA		987,998
	13,218,435	Telecom Italia SPA *		14,898,621
	6,438,982	Telecom Italia SPA-Di RISP		5,708,240
	146,161	Terna SPA		706,772
		Total Italy		90,164,128
		Japan — 19.1%
	3,420	Adastria Holdings Co Ltd		66,305
	245,000	Aeon Co Ltd		2,444,081
	73,200	Aisin Seiki Co Ltd		2,618,399
	3,600	Alfresa Holdings Corp		41,445
	437,000	Asahi Glass Co Ltd		2,111,612
	391,000	Asahi Kasei Corp		3,400,856
	700	Bridgestone Corp		24,080
	2,500	Brother Industries Ltd		46,681
	422,300	Canon Inc		13,490,010

Shares		Description	Value ($)
		Japan — continued
	42,900	Central Japan Railway Co		6,233,457
	189,500	Chubu Electric Power Co Inc *		2,214,840
	3,000	Daido Steel Co Ltd		10,918
	61,500	Daihatsu Motor Co Ltd		842,524
	7,500	Daiichi Sankyo Co Ltd		110,710
	66,000	Daikyo Inc		114,023
	29,101	Daito Trust Construction Co Ltd		3,295,729
	3,000	Dai Nippon Printing Co Ltd		26,341
	10,000	Denki Kagaku Kogyo K K		34,164
	300	East Japan Railway Co		22,457
	500	Electric Power Development Co Ltd		17,301
	106,300	FujiFilm Holdings Corp		3,515,680
	49,000	Gunze Ltd		127,589
	190,500	Hakuhodo DY Holdings Inc		1,852,694
	499,974	Haseko Corp		4,157,421
	18	Hitachi Chemical Co Ltd		333
	690,300	Honda Motor Co Ltd		20,881,224
	2,100	Idemitsu Kosan Co Ltd		35,859
	449,100	Inpex Corp		4,758,514
	3,200	Isuzu Motors Ltd		41,852
	966,500	Itochu Corp		11,115,511
	7	Japan Petroleum Exploration Co		215
	913,500	Japan Tobacco, Inc.		29,293,935
	186,000	JFE Holdings Inc		3,963,911
	31	JSR Corp		555
	1,241,430	JX Holdings Inc		4,621,017
	115,320	K’s Holdings Corp		2,800,343
	1,080	Kakaku.com Inc		16,488
	3,000	Kaneka Corp		15,902
	3,200	Kansai Electric Power Co Inc (The) *		32,109
	1,259,000	Kawasaki Kisen Kaisha Ltd		3,303,579
	63,308	KDDI Corp.		4,055,728
	619,000	Kobe Steel Ltd		985,874
	7,884	Kohnan Shoji Co Ltd		85,350
	80,900	Komatsu Ltd		1,914,955
	22	Kuraray Co Ltd		268
	15	Kurita Water Industries Ltd		311
	454,114	Kyocera Corp		22,204,962
	499,500	Leopalace21 Corp *		2,824,920
	1,051,600	Marubeni Corp		6,629,651
	12,194	Medipal Holdings Corp		135,776
	1,900	Mitsubishi Tanabe Pharma Corp		29,030
	763,700	Mitsubishi Chemical Holdings Corp		3,938,919
	911,700	Mitsubishi Corp		17,236,009
	1,724,400	Mitsubishi UFJ Financial Group Inc		9,935,158
	137	Mitsui Chemicals Inc		384
	1,143,900	Mitsui & Co Ltd		15,781,990
	31,000	Mitsui Mining & Smelting Co Ltd		79,648
	5,866	Mitsui OSK Lines Ltd		18,602
	50	NHK Spring Co Ltd		433
	169,500	Nippon Light Metal Co Ltd		255,467

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	4,000	Nippon Paper Industries Co Ltd		58,434
	55	Nippon Electric Glass Co Ltd		252
	813,000	Nippon Steel & Sumitomo Metal Corp		2,095,158
	325,600	Nippon Telegraph & Telephone Corp		17,417,767
	860,000	Nippon Yusen Kabushiki Kaisha		2,428,672
	53,808	Nipro Corp		460,343
	6,000	Nishi-Nippon City Bank Ltd (The)		17,205
	5,448,600	Nissan Motor Co Ltd		50,854,503
	50,700	Nitori Holdings Co Ltd		2,814,208
	19	NOK Corp		474
	68,897	North Pacific Bank Ltd		274,004
	720,400	NTT Docomo, Inc.		11,246,331
	613,000	Osaka Gas Co Ltd		2,342,737
	1,200	Otsuka Holdings Co Ltd		37,896
	429,700	Resona Holdings Inc		2,322,276
	303,400	Ricoh Co Ltd		3,291,075
	22,200	Round One Corp		127,528
	19,000	Ryohin Keikaku Co Ltd		2,226,433
	153,600	Sekisui House Ltd		2,056,433
	260	Showa Denko KK		360
	5,700	Showa Shell Sekiyu KK		47,556
	1,576,100	Sojitz Corp		2,259,339
	7,000	Sumitomo Chemical Co Ltd		26,499
	41	Sumitomo Heavy Industries Ltd		226
	14	Sumitomo Rubber Industries		213
	730,100	Sumitomo Corp		7,791,632
	206,000	Sumitomo Metal Mining Co Ltd		3,154,476
	155,400	Sumitomo Mitsui Financial Group Inc		5,836,725
	1,800	Suzuken Co Ltd		46,115
	251,500	Takeda Pharmaceutical Co Ltd		10,541,517
	300	TDK Corp		18,091
	559,400	Tokyo Electric Power Co Inc (The) *		2,043,489
	65,000	TonenGeneral Sekiyu KK		544,385
	13,000	Tosoh Corp		59,829
	199,500	Toyota Tsusho Corp		4,723,477
	171	Ube Industries Ltd		245
	49,500	West Japan Railway Co		2,362,305
	14,900	Yamada Denki Co Ltd		49,048
	62	Yokohama Rubber Co Ltd (The)		571
		Total Japan		353,391,926
		Malta — 0.0%
	15,998,662	BGP Holdings Plc *		—
		Netherlands — 2.5%
	253,496	Aegon NV		1,990,340
	10,835	Boskalis Westminster		608,417
	6,448	Corbion NV		113,489
	1,721	Delta Lloyd NV		39,578
	838	Fugro NV		19,202
	86,902	Heineken NV		6,837,237
	395,269	ING Groep NV *		5,782,557

Shares		Description	Value ($)
		Netherlands — continued
	724,553	Koninklijke Ahold NV		12,798,175
	39,974	Koninklijke DSM NV		2,629,744
	2,824,109	Koninklijke KPN NV		9,397,232
	648,633	PostNL NV *		2,514,744
	934,497	SNS REAAL NV * (a)		—
	27,017	Wereldhave NV (REIT)		2,121,494
	21,525	Wolters Kluwer NV		631,018
		Total Netherlands		45,483,227
		New Zealand — 0.3%
	276,543	Chorus Ltd *		447,840
	371,414	Fletcher Building Ltd		2,382,801
	914,347	Spark New Zealand Ltd		2,191,440
		Total New Zealand		5,022,081
		Norway — 1.6%
	7,614	DNB ASA		126,053
	1,893	Petroleum Geo-Services ASA		9,227
	835,096	Statoil ASA		15,765,482
	7,143	Storebrand ASA *		33,161
	7,574	Subsea 7 SA		75,288
	329,092	Telenor ASA		6,930,538
	3,582	TGS Nopec Geophysical Co ASA		79,478
	173,665	Yara International ASA		7,347,788
		Total Norway		30,367,015
		Portugal — 0.4%
	1,655,575	EDP-Energias de Portugal SA		6,796,062
		Singapore — 0.2%
	24,520	Ezion Holdings Ltd		24,922
	836,000	Ezra Holdings Ltd		426,210
	8,917,000	Golden Agri-Resources Ltd		3,146,012
	111,000	Noble Group Ltd		104,277
	272,000	Yangzijiang Shipbuilding Holdings Ltd		255,821
		Total Singapore		3,957,242
		Spain — 6.0%
	105,206	ACS Actividades de Construccion y Servicios SA		3,718,262
	5,284	Banco Santander SA		47,586
	2,724	Distribuidora Internacional de Alimentacion SA		18,923
	87,763	Enagas		2,936,201
	41,215	Ferrovial SA		844,770
	947	Ferrovial SA (b)		19,410
	272,148	Gas Natural SDG SA		7,714,553
	4,103,860	Iberdrola SA		30,367,860
	9,159	Mapfre SA		33,627
	8,574	Red Electrica Corp SA		785,450
	476,756	Repsol YPF SA		10,710,300
	3,347,075	Telefonica SA		53,690,960
		Total Spain		110,887,902

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Sweden — 2.2%
	1,365,398	Ericsson LM – Class B		17,159,842
	3,417	Industrivarden AB – Class C		60,359
	1,874	Investor AB		70,332
	636	NCC AB – Class B		19,722
	220,772	Sandvik AB		2,312,041
	29,820	Skanska AB – Class B		641,587
	1,933,478	TeliaSonera AB		13,797,690
	614,542	Volvo AB – Class B		6,720,210
		Total Sweden		40,781,783
		Switzerland — 2.2%
	639,574	ABB Ltd (Registered)		14,361,902
	115,622	Holcim Ltd (Registered)		8,540,576
	74,003	Nestle SA (Registered)		5,554,162
	5,962	Swisscom AG (Registered)		3,620,411
	1,027	Transocean Ltd		21,540
	26,037	Zurich Insurance Group AG		8,164,177
		Total Switzerland		40,262,768
		United Kingdom — 14.5%
	1,083	Admiral Group Plc		20,979
	592,021	AstraZeneca Plc		43,986,207
	269,182	Aviva Plc		2,143,627
	1,015,524	BAE Systems Plc		7,620,176
	244,914	BG Group Plc		3,444,169
	6,762,035	BP Plc		44,331,203
	100,371	Bunzl Plc		2,799,540
	1,471,233	Centrica Plc		6,543,946
	13,487	Direct Line Insurance Group Plc		62,052
	714,852	Dixons Carphone Plc		4,720,948
	225,913	Drax Group Plc		2,151,309
	530	easyJet Plc		13,676
	353,659	Friends Life Group Ltd		2,040,014
	235,913	GlaxoSmithKline Plc		5,480,014
	654,663	Home Retail Group Plc		2,048,205
	839,871	HSBC Holdings Plc		8,368,024
	33,829	Imperial Tobacco Group Plc		1,563,637
	4,538	ITV Plc		15,142
	481,279	J Sainsbury Plc		1,754,097
	426,223	Kingfisher Plc		2,082,128
	9,784	Lancashire Holdings Ltd		82,570
	3,731	Legal & General Group Plc		14,373
	512,511	Marks & Spencer Group Plc		3,905,111
	153,710	National Grid Plc		2,234,766
	20,809	Next Plc		2,202,827
	3,915	Old Mutual Plc		12,244
	183,825	Pearson Plc		3,532,727
	2,745	Playtech Ltd		27,526
	1,275,666	Royal Dutch Shell Plc A Shares (London)		42,502,137
	785,164	Royal Dutch Shell Plc B Shares (London)		27,268,262
	18,748	RSA Insurance Group Plc *		137,076

	Shares / Par Value		Description	Value ($)
			United Kingdom — continued
		2,920	Sage Group Plc (The)		18,571
		133,339	Scottish & Southern Energy Plc		3,416,763
		640	Spectris Plc		18,857
		477,289	Standard Life Assurance Plc		3,160,477
		168,683	Standard Chartered Plc		2,469,400
		3,247,418	Tesco Plc		9,473,345
		40,365	Thomas Cook Group Plc *		76,727
		5,575	Trinity Mirror Plc *		12,687
		5,194,550	Vodafone Group Plc		19,038,038
		109,345	WH Smith Plc		2,153,364
		2,840	William Hill Plc		14,861
		1,192,814	WM Morrison Supermarkets Plc		3,324,269
		82,889	WPP Plc		1,735,372
			Total United Kingdom		268,021,443
			TOTAL COMMON STOCKS (COST $1,776,396,362)		1,779,160,824
			PREFERRED STOCKS — 2.2%
			Germany — 2.2%
		151,711	Porsche Automobil Holding SE		13,218,869
		122,132	Volkswagen AG		28,151,011
			Total Germany		41,369,880
			TOTAL PREFERRED STOCKS (COST $43,958,350)		41,369,880
			RIGHTS/WARRANTS — 0.1%
			Spain — 0.1%
		3,347,050	Telefonica SA Rights, Expires 12/03/14 *		1,532,622
			TOTAL RIGHTS/WARRANTS (COST $1,385,153)		1,532,622
			MUTUAL FUNDS — 0.9%
			United States — 0.9%
			Affiliated Issuers — 0.9%
		693,760	GMO U.S. Treasury Fund		17,344,000
			TOTAL MUTUAL FUNDS (COST $17,344,000)		17,344,000
			SHORT-TERM INVESTMENTS — 0.3%
			Time Deposits — 0.3%
EUR		9,388	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.11)%, due 12/01/14		11,681
HKD		761,741	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/01/14		98,227

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

	Par Value		Description	Value ($)
			Time Deposits — continued
JPY		98,803,600	DnB Nor Bank (Oslo) Time Deposit, 0.01%, due 12/01/14		832,591
NOK		1,128,861	DnB Nor Bank (Oslo) Time Deposit, 0.55%, due 12/01/14		160,469
USD		3,969,813	JPMorgan Chase (New York) Time Deposit, 0.06%, due 12/01/14		3,969,813
			Total Time Deposits		5,072,781
			TOTAL SHORT-TERM INVESTMENTS (COST $5,072,781)		5,072,781
			TOTAL INVESTMENTS — 99.8% (Cost $1,844,156,646)		1,844,480,107
			Other Assets and Liabilities (net) — 0.2%		3,099,959
			TOTAL NET ASSETS — 100.0%		$1,847,580,066

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

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

(b) Security is restricted as to resale.

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 November 30, 2014
Ferrovial SA	11/28/14	$	18,811	0.00%	$	19,410

Currency Abbreviations:

EUR - Euro

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

USD - United States Dollar

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.3%
		Australia — 0.8%
	915,203	Arrium Ltd		186,691
	112,589	Downer Edi Ltd		411,470
	57,521	Echo Entertainment Group Ltd		179,411
	79,165	Metcash Ltd		175,807
	244,282	Myer Holdings Ltd		336,165
	151,099	TABCORP Holdings Ltd		524,879
	66,615	Tatts Group Ltd		193,074
	40,774	Toll Holdings Ltd		195,335
	17,925	WorleyParsons Ltd		169,279
		Total Australia		2,372,111
		Austria — 0.3%
	5,928	Flughafen Wien AG		573,855
	1,761,602	Immofinanz AG (Entitlement Shares) *		—
	11,001	RHI AG		257,759
		Total Austria		831,614
		Belgium — 0.9%
	14,373	Delhaize Group		1,050,953
	9,375	GIMV NV		437,503
	1,741	Tessenderlo Chemie NV *		17
	24,181	Umicore SA		983,144
		Total Belgium		2,471,617
		Brazil — 0.5%
	22,700	Cia de Saneamento de Minas Gerais-COPASA *		215,951
	73,000	Cyrela Brazil Realty SA Empreendimentos e Participacoes		354,348
	43,200	EDP-Energias Do Brasil SA		170,115
	41,000	Even Construtora e Incorporadora SA		92,715
	27,800	Light SA		223,172
	112,300	MRV Engenharia e Participacoes SA		374,355
		Total Brazil		1,430,656
		Canada — 1.8%
	13,500	Baytex Energy Corp		285,484
	67,300	Blackberry Ltd *		697,181
	22,300	Bonavista Energy Corp		187,539
	16,300	DH Corp		512,839
	16,100	Dorel Industries Inc – Class B		533,430
	8,200	Empire Co Ltd		596,201
	14,900	Enerplus Corp		193,300
	14,600	Genworth MI Canada Inc		526,999
	16,100	Pacific Rubiales Energy Corp		155,525
	49,900	Penn West Petroleum Ltd		177,544
	57,400	RONA Inc		687,957
	50,725	Transcontinental Inc		680,679
		Total Canada		5,234,678

Shares		Description	Value ($)
		China — 1.2%
	387,500	Agile Property Holdings Ltd		227,621
	119,500	BYD Electronic International Co Ltd		133,427
	338,000	China BlueChemical Ltd – Class H		123,554
	448,000	China Communications Services Corp Ltd – Class H		218,002
	626,000	China Shanshui Cement Group Ltd		238,097
	192,000	Digital China Holdings Ltd		178,565
	1,692,000	GOME Electrical Appliances Holdings Ltd		250,237
	682,000	Huabao International Holdings Ltd		602,400
	139,000	Kingboard Chemical Holdings Ltd		259,303
	66,000	Shanghai Industrial Holdings Ltd		203,975
	197,500	Shenzhen International Holdings Ltd		296,587
	1,320,173	Shenzhen Investment Ltd		389,089
	330,000	Skyworth Digital Holdings Ltd		183,895
		Total China		3,304,752
		Denmark — 0.8%
	9,731	D/S Norden A/S		233,336
	22,901	FLSmidth & Co A/S		969,507
	36,484	H Lundbeck A/S		816,361
	7,120	Jyske Bank A/S (Registered) *		368,981
		Total Denmark		2,388,185
		Finland — 1.8%
	14,343	Cargotec Oyj Class B		466,361
	32,974	Kesko Oyj – Class B		1,282,553
	21,331	Metso Oyj		661,778
	43,014	Neste Oil Oyj		1,020,856
	20,622	Nokian Renkaat Oyj		581,930
	29,367	Tieto Oyj		752,965
	40,071	YIT Oyj		273,694
		Total Finland		5,040,137
		France — 8.0%
	28,224	Alstom SA *		990,370
	12,234	Casino Guichard Perrachon SA		1,179,085
	69,046	CGG SA *		673,685
	16,981	Eiffage SA		826,811
	6,432	Groupe Steria SCA		122,840
	23,940	Havas SA		201,015
	10,682	Imerys SA		808,545
	11,132	IPSOS		314,734
	38,341	Lagardere SCA		1,087,472
	26,003	M6-Metropole Television		493,359
	18,536	Neopost SA		1,315,960
	78,460	Peugeot SA *		1,004,352
	20,327	Rallye SA		792,161
	132,076	Rexel SA		2,448,520
	36,095	SCOR SE		1,127,110
	6,157	Seb SA		503,265
	60,778	Societe Television Francaise 1		968,930

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		France — continued
	650,254	Solocal Group *		471,529
	72,161	Suez Environnement Co		1,280,895
	27,027	Teleperformance		1,888,456
	76,485	UbiSoft Entertainment SA *		1,337,321
	51,782	Vallourec SA		1,714,139
	61,786	Veolia Environnement SA		1,128,789
		Total France		22,679,343
		Germany — 6.8%
	4,587	Aareal Bank AG		200,203
	10,095	Aurubis AG		555,952
	24,331	Axel Springer AG		1,430,936
	14,496	Bechtle AG		1,121,083
	21,739	Bilfinger SE		1,287,505
	20,742	Celesio AG		691,396
	7,794	DMG Mori Seiki AG		206,491
	48,086	Freenet AG		1,419,824
	10,962	Hannover Rueck SE		978,592
	92,691	K+S AG (Registered)		2,780,991
	52,781	Kloeckner & Co SE *		624,112
	15,685	Leoni AG		940,103
	4,430	MTU Aero Engines Holding AG		394,968
	21,618	ProSiebenSat.1 Media AG (Registered)		920,165
	25,375	Rheinmetall AG		1,074,726
	26,782	Rhoen-Klinikum AG		779,984
	23,025	Salzgitter AG		761,146
	6,700	SMA Solar Technology AG *		175,939
	39,039	Software AG		1,036,443
	16,045	Stada Arzneimittel AG		578,052
	56,371	Suedzucker AG		876,439
	9,677	Wincor Nixdorf AG		479,142
		Total Germany		19,314,192
		Greece — 0.2%
	111,009	Alapis Holding Industrial and Commercial SA *		5,663
	65,347	Intralot SA *		96,123
	51,022	Motor Oil (Hellas) Corinth Refineries SA		425,490
		Total Greece		527,276
		Hong Kong — 1.5%
	254,000	Global Brands Group Holding Ltd *		56,818
	190,753	Great Eagle Holdings Ltd		642,034
	122,500	Kerry Properties Ltd		439,162
	259,000	Kowloon Development Co Ltd		309,635
	101,000	Luk Fook Holdings International Ltd		331,170
	355,200	Man Wah Holdings Ltd		653,901
	696,000	PCCW Ltd		463,368
	548,000	Texwinca Holdings Ltd		503,875
	796,000	Xinyi Glass Holdings Ltd		427,524

Shares		Description	Value ($)
		Hong Kong — continued
	88,500	Yue Yuen Industrial Holdings		317,257
		Total Hong Kong		4,144,744
		Hungary — 0.1%
	116,336	Magyar Telekom Telecommunications Plc *		160,118
		India — 0.7%
	67,496	Bank of India		311,877
	48,772	Canara Bank Ltd		323,381
	549,804	Housing Development & Infrastructure Ltd *		740,743
	37,349	Indiabulls Housing Finance Ltd		271,056
	30,231	Reliance Infrastructure Ltd		295,515
		Total India		1,942,572
		Indonesia — 0.1%
	2,047,800	Adaro Energy Tbk PT		180,918
	42,939,000	Bakrie & Brothers Tbk PT *		105,553
		Total Indonesia		286,471
		Ireland — 0.1%
	9,208	Smurfit Kappa Group Plc		213,417
		Israel — 0.6%
	58,276	Africa Israel Investments Ltd *		85,057
	342,195	Bezeq Israeli Telecommunication Corp Ltd		605,193
	592,757	Israel Discount Bank Ltd – Class A *		967,778
		Total Israel		1,658,028
		Italy — 5.5%
	808,107	A2A SPA		843,519
	31,460	Ansaldo STS SPA		330,762
	48,876	Astaldi SPA		326,483
	50,643	Autostrada Torino-Milano SPA		652,362
	81,755	Banca Popolare dell’ Emilia Romagna SC *		579,371
	285,229	Banca Popolare di Milano Scarl *		208,559
	64,905	Banco Popolare Scarl *		894,871
	34,093	Buzzi Unicem SPA		510,012
	46,995	Cementir SPA		291,642
	55,825	Danieli & Co SPA – RSP		965,056
	240,051	Finmeccanica SPA *		2,327,607
	27,435	Gtech SPA		629,290
	165,235	Hera SPA		420,548
	459,033	Iren SPA		547,700
	115,119	Italcementi SPA-Di RISP		708,161
	6,198	Italmobiliare SPA		150,147
	427,763	Mediaset SPA *		1,738,154
	41,559	Prysmian SPA		747,366
	68,045	Recordati SPA		1,189,670
	64,038	Societa Iniziative Autostradali e Servizi SPA		645,610
	142,319	Unipol Gruppo Finanziario SPA		730,599
		Total Italy		15,437,489

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Japan — 27.1%
	80,100	Accordia Golf Co Ltd		708,395
	8,550	Adastria Holdings Co Ltd		165,762
	34,800	Alfresa Holdings Corp		400,636
	20,400	Alpen Co Ltd		290,168
	20,500	Aoyama Trading Co Ltd		444,896
	48,600	Asatsu-DK Inc		1,253,463
	10,300	Benesse Corp		313,003
	68,500	BIC Camera Inc		599,876
	56,200	Brother Industries Ltd		1,049,384
	53,000	Calsonic Kansei Corp		291,017
	27,000	Canon Marketing Japan Inc		489,294
	34,400	Century Tokyo Leasing Corp		851,853
	31,700	Chiba Kogyo Bank Ltd (The)		233,135
	13,600	Cocokara fine Inc		324,616
	45,000	Daicel Chemical Industries Ltd		517,745
	468,600	Daiei Inc *		536,328
	28,400	Daiichikosho Co Ltd		750,714
	296,000	Daikyo Inc		511,377
	93,700	DCM Holdings Co Ltd		596,210
	30,900	Dena Co Ltd		381,244
	161,000	Denki Kagaku Kogyo K K		550,034
	276,000	DIC Corp		628,374
	96,600	Edion Corp		627,777
	12,100	Electric Power Development Co Ltd		418,672
	10,500	FamilyMart Co Ltd		387,182
	11,200	Fuji Media Holdings Inc		144,638
	15,000	Fuji Soft Inc		316,098
	119,000	Fukuoka Financial Group Inc		649,557
	152,000	Furukawa Electric Co Ltd (The)		256,816
	105,100	Futaba Industrial Co Ltd		542,038
	29,600	Fuyo General Lease Co Ltd		1,058,632
	217,000	Godo Steel Ltd		317,976
	52,100	Gulliver International Co Ltd		404,664
	195,000	Gunze Ltd		507,753
	197,100	Hakuhodo DY Holdings Inc		1,916,882
	219,000	Hanwa Co Ltd		773,232
	11,800	Heiwa Corp		226,094
	36,400	Hitachi Chemical Co Ltd		674,308
	22,600	Hitachi Construction Machinery Co Ltd		488,232
	12,600	Ibiden Co Ltd		187,174
	366,000	Ishihara Sangyo Kaisha Ltd *		310,957
	56,500	IT Holdings Corp		875,722
	46,900	Itochu Enex Co Ltd		301,933
	31,000	Iwatani Corp		225,219
	24,100	Izumi Co Ltd		755,429
	100,000	JACCS Co Ltd		492,584
	10,000	Japan Petroleum Exploration Co		307,754
	52,000	Japan Steel Works Ltd (The)		185,098
	33,700	JSR Corp		602,923
	15,600	J Front Retailing Co Ltd		199,803
	18,700	K’s Holdings Corp		454,097

Shares		Description	Value ($)
		Japan — continued
	13,300	Kaga Electronics Co Ltd		166,338
	59,500	Kamei Corp		403,493
	100,000	Kaneka Corp		530,056
	598,000	Kanematsu Corp		890,970
	371,000	Kawasaki Kisen Kaisha Ltd		973,493
	141	Kenedix Office Investment Corp (REIT)		777,389
	25,700	Kewpie Corp		419,961
	544,000	Kobe Steel Ltd		866,423
	68,500	Kohnan Shoji Co Ltd		741,560
	12,100	Komeri Co Ltd		261,666
	39,700	Konaka Co Ltd		213,381
	44,800	Konica Minolta Holdings Inc		522,324
	159,000	Krosaki Harima Corp		331,993
	180,000	Kurabo Industries Ltd		280,105
	71,100	Kuraray Co Ltd		866,751
	19,600	Kurita Water Industries Ltd		406,571
	159	Leopalace21 Corp *		899
	31,200	Maruha Nichiro Corp		438,496
	38,800	Medipal Holdings Corp		432,026
	10,700	Miraca Holdings Inc		406,343
	52,900	Misawa Homes Co Ltd		477,156
	215,000	Mitsubishi Steel Manufacturing Co Ltd		449,123
	31,200	Mitsubishi UFJ Lease & Finance Co Ltd		147,227
	283,000	Mitsui Chemicals Inc		792,732
	462,000	Mitsui Engineering & Shipbuilding Co Ltd		882,948
	180,000	Mitsui Mining & Smelting Co Ltd		462,472
	339,000	Mitsui OSK Lines Ltd		1,075,021
	171,000	Morinaga Milk Industry Co Ltd		569,759
	21,800	Namura Shipbuilding Co Ltd		254,473
	53,700	NHK Spring Co Ltd		465,428
	102,000	Nichias Corp		572,293
	357,400	Nippon Coke & Engineering Co Ltd		339,740
	538,100	Nippon Light Metal Co Ltd		811,014
	25,600	Nippon Paper Industries Co Ltd		373,980
	17,000	Nippon Shokubai Co Ltd		212,116
	82,000	Nippon Soda Co Ltd		427,083
	66,000	Nippon Steel & Sumikin Texeng		289,341
	32,000	Nippon Synthetic Chemical Industry Co Ltd		203,086
	163,000	Nippon Electric Glass Co Ltd		745,934
	53,000	Nippon Express Co Ltd		255,039
	116,000	Nippon Flour Mills Co Ltd		519,912
	367,000	Nippon Yusen Kabushiki Kaisha		1,036,422
	58,900	Nipro Corp		503,906
	54,500	Nissan Shatai Co Ltd		687,771
	44,800	Nissan Chemical Industries Ltd		828,850
	40,800	Nisshin Steel Co Ltd		383,078
	51,600	Nisshin Seifun Group Inc		511,577
	18,300	NOK Corp		456,720
	129	Nomura Real Estate Master Fund Inc		167,290
	274,000	NS United Kaiun Kaisha Ltd		769,077
	58,000	NTN Corp		270,186

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	112,000	OJI Paper Co Ltd		392,577
	13,400	Okinawa Electric Power Co		421,749
	213,300	Orient Corp *		382,905
	1,000	Osaka Steel Co Ltd		17,438
	9,300	Pigeon Corp		572,872
	83,000	Press Kogyo Co Ltd		298,161
	8,900	Round One Corp		51,126
	186,000	Ryobi Ltd		490,353
	5,500	Sankyo Co Ltd		176,913
	51,000	Sankyu Inc		199,204
	82,000	Seino Holdings Co Ltd		772,100
	6,400	Shimamura Co Ltd		535,502
	90,000	ShinMaywa Industries Ltd		832,850
	34,000	Showa Corp		335,999
	518,000	Showa Denko KK		716,322
	50,200	Showa Shell Sekiyu KK		418,829
	52,300	Sodick Co Ltd		502,694
	718,700	Sojitz Corp		1,030,256
	117,000	Sumitomo Chemical Co Ltd		442,911
	220,000	Sumitomo Heavy Industries Ltd		1,210,938
	42,500	Sumitomo Rubber Industries		647,894
	11,000	Suzuken Co Ltd		281,815
	270,400	Takara Leben Co Ltd		1,186,801
	54,000	Takashimaya Co Ltd		452,279
	10,800	Takata Corp		116,900
	11,200	TDK Corp		675,403
	98,000	Teijin Ltd		265,499
	24,100	Toho Holdings Co Ltd		310,664
	201,000	Tokuyama Corp		440,408
	63,000	Toppan Printing Co Ltd		406,014
	170,000	Topy Industries Ltd		310,883
	74,000	Toshiba TEC Corp		524,342
	273,000	Tosoh Corp		1,256,418
	59,600	Toyo Tire & Rubber Co Ltd		1,222,163
	21,700	Toyoda Gosei Co Ltd		424,559
	5,800	Toyo Suisan Kaisha Ltd		196,475
	20,900	TS Tech Co Ltd		493,880
	25,600	Tsumura & Co		575,574
	3,600	Tsuruha Holdings Inc		203,013
	48,200	T–Gaia Corp		468,174
	476,000	Ube Industries Ltd		681,300
	102,300	UNY Co Ltd		515,705
	19,400	Xebio Co Ltd		313,234
	492,200	Yamada Denki Co Ltd		1,620,218
	49,000	Yokohama Rubber Co Ltd (The)		450,930
	18,000	Zenkoku Hosho Co Ltd		539,565
		Total Japan		76,749,569
		Netherlands — 3.7%
	23,021	Aalberts Industries NV		646,395
	9,260	Arcadis NV		289,356

Shares		Description	Value ($)
		Netherlands — continued
	21,678	ASM International NV		909,195
	17,780	Boskalis Westminster		998,399
	9,132	Corio NV (REIT)		462,446
	90,438	Delta Lloyd NV		2,079,824
	19,704	Fugro NV		451,507
	16,274	Koninklijke Ten Cate NV		384,403
	157,884	Koninklijke BAM Groep NV		447,923
	20,957	Nutreco NV		1,199,546
	216,510	PostNL NV *		839,407
	195,126	SNS REAAL NV * (a)		—
	61,475	TomTom NV *		431,444
	2,496	Wereldhave NV (REIT)		195,997
	39,270	Wolters Kluwer NV		1,151,223
		Total Netherlands		10,487,065
		New Zealand — 0.2%
	143,978	Fisher & Paykel Healthcare Corp Ltd		618,157
		Norway — 1.1%
	70,212	Akastor ASA		210,744
	18,023	Fred Olsen Energy ASA		187,082
	102,904	Petroleum Geo-Services ASA		501,589
	142,707	Storebrand ASA *		662,514
	36,582	Subsea 7 SA		363,638
	57,555	TGS Nopec Geophysical Co ASA		1,277,046
		Total Norway		3,202,613
		Philippines — 0.1%
	1,255,300	Lopez Holding Corp		192,454
		Poland — 0.1%
	17,131	Asseco Poland SA		274,241
	12,220	Grupa Lotos SA *		98,353
		Total Poland		372,594
		Portugal — 0.4%
	73,679	Portucel Empresa Produtora de Pasta e Papel SA		255,718
	610,456	Sonae		832,988
		Total Portugal		1,088,706
		Russia — 0.5%
	43,693	Severstal OAO GDR (Registered Shares)		400,447
	36,832	Tatneft Sponsored ADR		1,126,748
		Total Russia		1,527,195
		Singapore — 0.6%
	287,000	Ho Bee Land Ltd		437,157
	40,800	Hong Leong Asia Ltd		42,704
	690,000	Swiber Holdings Ltd		166,873
	667,000	Vard Holdings Ltd *		319,572

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Singapore — continued
	400,676	Wing Tai Holdings Ltd		528,669
	181,000	Yangzijiang Shipbuilding Holdings Ltd		170,234
		Total Singapore		1,665,209
		South Africa — 0.6%
	91,917	Aveng Ltd *		139,764
	20,302	Barloworld Ltd		190,758
	102,191	Gold Fields Ltd		425,593
	28,527	Lewis Group Ltd		201,444
	121,584	Telkom South Africa Ltd *		754,725
		Total South Africa		1,712,284
		South Korea — 1.4%
	10,743	BS Financial Group Inc		152,224
	6,997	Daelim Industrial Co Ltd		424,915
	40	Dongwon Industries Co Ltd		11,291
	5,582	GS Engineering & Construction Corp *		134,680
	11,000	Hanwha Chem Corp		125,018
	12,840	Hanwha Corp		343,864
	1,588	Hyundai Department Store Co Ltd		183,898
	5,280	LF Corp		152,264
	8,702	LG International Corp		223,929
	6,598	LIG Insurance Co Ltd		155,452
	4,284	LS Corp		233,682
	318	Namyang Dairy Products Co Ltd		187,365
	2,759	SeAH Steel Corp		215,237
	1,215	Shinsegae Co Ltd		216,122
	4,432	SK Gas Co Ltd		433,926
	47,208	SK Networks Co Ltd *		400,581
	281	Taekwang Industrial Co Ltd		301,515
		Total South Korea		3,895,963
		Spain — 2.2%
	14,471	Acciona SA *		1,070,852
	13,414	Acerinox SA		204,260
	27,207	ACS Actividades de Construccion y Servicios SA		961,568
	4,928	Bolsas y Mercados Espanoles		202,950
	11,457	Corp Financiera Alba SA		582,866
	32,652	Ebro Puleva SA		592,570
	32,192	Enagas		1,077,016
	73,077	Indra Sistemas SA		752,698
	28,991	Mediaset Espana Comunicacion SA *		356,456
	20,096	Obrascon Huarte Lain SA		546,672
		Total Spain		6,347,908
		Sweden — 4.3%
	115,569	ASecuritas AB – Class B		1,397,764
	6,304	Axfood AB		372,902
	16,885	BillerudKorsnas AB		249,024
	23,241	Getinge AB – Class B		538,310

Shares		Description	Value ($)
		Sweden — continued
	25,610	Holmen AB – Class B		863,546
	152,038	Husqvarna AB – Class B		1,119,168
	20,864	Intrum Justitia AB		625,424
	12,382	JM AB		394,153
	64,535	Meda AB		925,631
	18,127	Modern Times Group AB – Class B		576,074
	26,433	NCC AB – Class B		819,681
	89,002	Peab AB		607,977
	31,068	SAAB AB – Class B		867,624
	104,603	SSAB Svenskt Stal AB Series A *		740,587
	154,044	Tele2 AB – B Shares		1,994,662
		Total Sweden		12,092,527
		Switzerland — 1.5%
	7,507	Baloise Holding Ltd		979,544
	682	Fischer (George) AG (Registered)		417,844
	1,157	Helvetia Patria Holding (Registered)		568,971
	10,109	Sulzer AG		1,130,688
	4,937	Swiss Life Holding AG (Registered)		1,130,787
		Total Switzerland		4,227,834
		Taiwan — 1.2%
	542,000	Acer Inc *		343,243
	182,000	AmTRAN Technology Co Ltd		98,087
	110,250	Coretronic Corp		154,933
	252,530	Kenda Rubber Industrial Co Ltd		511,985
	190,000	Micro-Star International Co Ltd		206,170
	204,000	Powertech Technology Inc		340,786
	430,000	ProMOS Technologies Inc * (a) (b)		—
	44,000	Simplo Technology Co Ltd		225,421
	102,000	Synnex Technology International Corp		148,171
	77,000	Tripod Technology Corp		152,330
	425,000	Unimicron Technology Corp		312,300
	853,000	Wistron Corp		777,968
	129,000	WPG Holdings Co Ltd		149,802
		Total Taiwan		3,421,196
		Thailand — 0.1%
	218,500	Banpu Pcl (Foreign Registered)		181,326
	5,100	Electricity Generating Pcl (Foreign Registered)		26,491
		Total Thailand		207,817
		Turkey — 0.4%
	1,057,230	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS – Class D *		1,013,363
	91,548	Turkiye Sise ve Cam Fabrikalari AS		145,389
		Total Turkey		1,158,752
		United Kingdom — 20.1%
	201,191	3i Group Plc		1,394,996
	26,628	Admiral Group Plc		515,820

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	168,025	Afren Plc *		135,934
	46,276	Amec Foster Wheeler Plc		674,795
	129,268	Amlin Plc		898,693
	72,792	Ashmore Group Plc		350,071
	40,534	Atkins WS Plc		884,056
	391,756	Balfour Beatty Plc		1,120,260
	151,646	Beazley Plc		642,978
	6,981	Bellway Plc		205,236
	5,343	Berkeley Group Holdings Plc (Unit Shares)		214,119
	44,203	Britvic Plc		457,790
	151,641	Cairn Energy Plc *		383,148
	75,554	Cape Plc		298,285
	178,274	Carillion Plc		967,958
	100,021	Catlin Group Ltd		861,881
	320,435	Centamin Plc		228,245
	17,707	Close Brothers Group Plc		419,186
	226,179	Cobham Plc		1,065,307
	5,456	Croda International Plc		209,252
	103,147	Dairy Crest Group Plc		813,337
	11,190	DCC Plc		621,988
	474,705	Debenhams Plc		534,259
	4,058	Derwent London Plc (REIT)		192,618
	227,458	Direct Line Insurance Group Plc		1,046,506
	85,472	Drax Group Plc		813,927
	43,873	DS Smith Plc		197,153
	426,400	Enterprise Inns Plc *		722,314
	684,558	FirstGroup Plc *		1,206,814
	233,717	Friends Life Group Ltd		1,348,151
	22,366	Go–Ahead Group Plc		909,339
	149,842	Greencore Group Plc		688,490
	46,858	Greene King Plc		563,801
	188,035	Halfords Group Plc		1,402,990
	97,124	Hays Plc		201,261
	232,775	Henderson Group Plc		810,163
	693,571	Home Retail Group Plc		2,169,934
	114,149	ICAP Plc		742,834
	161,370	Inchcape Plc		1,810,441
	24,695	Informa Plc		185,808
	202,373	Intermediate Capital Group Plc		1,452,313
	76,500	Interserve Plc		694,167
	71,083	John Wood Group Plc		655,839
	39,259	Johnston Press Plc *		99,962
	58,441	Jupiter Fund Management Plc		331,006
	107,683	KAZ Minerals Plc *		397,021
	19,001	Keller Group Plc		251,430
	217,241	Ladbrokes Plc		377,352
	47,364	Lancashire Holdings Ltd		399,717
	65,574	LG Group Holdings Plc		694,043
	1,081,862	Man Group Plc		2,417,630
	419,358	Marston’s Plc		948,644
	69,250	Meggitt Plc		544,048
	85,165	Micro Focus International Plc		1,519,790

Shares		Description	Value ($)
		United Kingdom — continued
	105,217	Mitie Group Plc		460,236
	275,203	National Express Group Plc		1,139,235
	130,504	Pace Plc		732,440
	46,329	Paragon Group of Cos Plc (The)		303,248
	33,228	Persimmon Plc		794,423
	28,142	Petrofac Ltd		362,266
	62,240	Phoenix Group Holdings		779,689
	56,941	Playtech Ltd		570,979
	578,137	Premier Foods Plc *		333,990
	106,410	Premier Oil Plc		310,771
	20,801	Provident Financial Plc		743,208
	109,493	Rexam Plc		773,761
	4,711	Rotork Plc		161,922
	170,997	RSA Insurance Group Plc *		1,250,245
	104,600	Segro Plc (REIT)		641,010
	184,013	Serco Group Plc		504,207
	165,800	SIG Plc		422,405
	6,199	Spectris Plc		182,646
	456,078	Spirit Pub Co Plc		749,909
	79,566	Stagecoach Group Plc		503,434
	40,732	TalkTalk Telecom Group Plc		198,768
	19,929	Tate & Lyle Plc		188,219
	259,832	Thomas Cook Group Plc *		493,897
	260,544	Trinity Mirror Plc *		592,934
	32,637	TUI AG		557,048
	166,842	Tullett Prebon Plc		657,324
	113,383	Vesuvius Plc		737,668
	70,854	WH Smith Plc		1,395,349
	151,386	William Hill Plc		792,145
		Total United Kingdom		57,026,476
		TOTAL COMMON STOCKS (COST $281,499,530)		275,431,719
		PREFERRED STOCKS — 1.5%
		Brazil — 0.8%
	21,500	AES Tiete SA		160,610
	43,300	Banco do Estado do Rio Grande do Sul SA – Class B		252,725
	40,800	Bradespar SA		239,883
	25,000	Companhia Energetica de Sao Paulo – Class B		252,159
	21,800	Companhia Paranaense de Energia – Class B		300,033
	127,300	Eletropaulo Metropolitana SA		460,093
	81,300	Metalurgica Gerdau SA		411,754
	41,000	Usinas Siderrurgicas de Minas Gerais SA *		83,124
		Total Brazil		2,160,381
		Germany — 0.5%
	3,928	Biotest AG		417,468
	2,368	Draegerwerk AG & Co		245,340

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

	Shares / Par Value		Description	Value ($)
			Germany — continued
		14,813	Jungheinrich AG		888,832
			Total Germany		1,551,640
			Italy — 0.2%
		91,441	Unipol Gruppo Finanziario SPA		432,210
			TOTAL PREFERRED STOCKS (COST $4,526,651)		4,144,231
			RIGHTS/WARRANTS — 0.0%
			Malaysia — 0.0%
		11,833	Coastal Contracts Warrants, Expires 07/18/16 *		3,149
			Sweden — 0.0%
		64,535	Meda AB Rights, Expires 12/04/14 *		39,992
			TOTAL RIGHTS/WARRANTS (COST $35,283)		43,141
			MUTUAL FUNDS — 0.7%
			United States — 0.7%
			Affiliated Issuers
		81,848	GMO U.S. Treasury Fund		2,046,207
			TOTAL MUTUAL FUNDS (COST $2,046,207)		2,046,207
			SHORT-TERM INVESTMENTS — 0.3%
			Time Deposits — 0.3%
CAD		10,176	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.21%, due 12/01/14		8,896
EUR		7,954	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.11)%, due 12/01/14		9,898
GBP		10,625	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.09%, due 12/01/14		16,618
HKD		13,200	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/01/14		1,702
SEK		282,783	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/01/14		37,931
JPY		7,375,480	DnB Nor Bank (Oslo) Time Deposit, 0.01%, due 12/01/14		62,151

	Par Value		Description	Value ($)
			Time Deposits — continued
USD		745,799	JPMorgan Chase (New York) Time Deposit, 0.06%, due 12/01/14		745,799
			Total Time Deposits		882,995
			TOTAL SHORT-TERM INVESTMENTS (COST $882,995)		882,995
			TOTAL INVESTMENTS — 99.8% (Cost $288,990,666)		282,548,293
			Other Assets and Liabilities (net) — 0.2%		643,959
			TOTAL NET ASSETS — 100.0%		$283,192,252

Notes to Schedule of Investments:

ADR - American Depositary Receipt

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

GDR - Global Depository Receipt

REIT - Real Estate Investment Trust

* Non-income producing security.

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

(b) Bankrupt issuer.

Currency Abbreviations:

CAD - Canadian Dollar

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

SEK - Swedish Krona

USD - United States Dollar

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.4%
		Capital Goods — 6.8%
	1,536,489	3M Co.		245,976,524
	1,386,916	Danaher Corp.		115,890,701
	324,800	Dover Corp.		25,006,352
	1,750,831	Emerson Electric Co.		111,615,476
	221,300	Honeywell International, Inc.		21,924,191
	996,620	Illinois Tool Works, Inc.		94,609,137
	279,800	Precision Castparts Corp.		66,564,420
	326,571	Rockwell Automation, Inc.		37,689,559
	200	United Technologies Corp.		22,016
	148,700	WW Grainger, Inc.		36,532,616
		Total Capital Goods		755,830,992
		Consumer Durables & Apparel — 2.7%
	243,800	Coach, Inc.		9,049,856
	297,754	LVMH Moet Hennessy Louis Vuitton SA		53,550,685
	857,100	Mattel, Inc.		27,041,505
	1,438,241	Nike, Inc. – Class B		142,802,949
	48,100	Ralph Lauren Corp.		8,893,690
	814,700	VF Corp.		61,240,999
		Total Consumer Durables & Apparel		302,579,684
		Consumer Services — 1.7%
	2,064,338	Compass Group Plc		35,157,353
	1,600,500	McDonald’s Corp.		154,944,405
		Total Consumer Services		190,101,758
		Energy — 1.5%
	1,512,970	Chevron Corp.		164,717,044
		Food & Staples Retailing — 3.3%
	665,900	Costco Wholesale Corp.		94,637,708
	1,065,709	Sysco Corp.		42,905,444
	2,585,100	Wal-Mart Stores, Inc.		226,299,654
		Total Food & Staples Retailing		363,842,806
		Food, Beverage & Tobacco — 14.2%
	1,949,419	British American Tobacco Plc		115,411,168
	9,234,100	Coca-Cola Co. (The)		413,964,703
	438,200	General Mills, Inc.		23,115,050
	3,529,044	Nestle SA (Registered)		264,865,947
	1,005,111	PepsiCo, Inc.		100,611,611
	6,411,830	Philip Morris International, Inc.		557,380,382
	438,700	Reynolds American, Inc.		28,914,717
	922,444	Unilever NV		37,575,665
	1,184,494	Unilever Plc		49,994,730
		Total Food, Beverage & Tobacco		1,591,833,973
		Health Care Equipment & Services — 14.0%
	2,666,405	Abbott Laboratories		118,681,687
	186,800	Anthem, Inc.		23,893,588

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	762,800	Baxter International, Inc.		55,684,400
	487,700	Becton, Dickinson and Co.		68,438,941
	2,415,147	Covidien Plc		243,929,847
	41,600	CR Bard, Inc.		6,961,760
	7,028,672	Express Scripts Holding Co. *		584,434,077
	862	Halyard Health, Inc. *		33,799
	427,400	Humana, Inc.		58,968,378
	60,700	Intuitive Surgical, Inc. *		31,428,639
	100	McKesson Corp.		21,076
	826,000	Stryker Corp.		76,743,660
	636,300	St Jude Medical, Inc.		43,242,948
	2,081,805	UnitedHealth Group, Inc.		205,328,427
	379,667	Zimmer Holdings, Inc.		42,632,807
		Total Health Care Equipment & Services		1,560,424,034
		Household & Personal Products — 6.1%
	337,953	Church & Dwight Co., Inc.		25,924,375
	2,148,400	Colgate-Palmolive Co.		149,507,156
	283,600	Estee Lauder Cos., Inc. (The) – Class A		21,026,104
	187,300	Kimberly-Clark Corp.		21,837,307
	4,462,700	Procter & Gamble Co. (The)		403,561,961
	788,663	Reckitt Benckiser Group Plc		64,686,645
		Total Household & Personal Products		686,543,548
		Materials — 1.1%
	1,037,500	Monsanto Co.		124,406,625
		Pharmaceuticals, Biotechnology & Life Sciences — 9.0%
	296,600	Allergan, Inc.		63,439,774
	308,013	Amgen, Inc.		50,917,629
	3,323,122	AstraZeneca Plc		246,902,664
	234,100	Biogen Idec, Inc. *		72,030,229
	359,100	Bristol-Myers Squibb Co.		21,204,855
	647,500	Eli Lilly & Co.		44,107,700
	4,213,100	Johnson & Johnson		456,068,075
	564,987	Novartis AG (Registered)		54,663,923
		Total Pharmaceuticals, Biotechnology & Life Sciences		1,009,334,849
		Retailing — 1.2%
	794,600	Bed Bath & Beyond, Inc. *		58,299,802
	346,000	Genuine Parts Co.		35,561,880
	88,200	Ross Stores, Inc.		8,068,536
	534,178	TJX Cos, Inc. (The)		35,341,216
		Total Retailing		137,271,434
		Semiconductors & Semiconductor Equipment — 0.7%
	759,165	Analog Devices, Inc.		41,480,776
	180,100	Linear Technology Corp.		8,290,003
	631,600	Xilinx, Inc.		28,699,904
		Total Semiconductors & Semiconductor Equipment		78,470,683

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Software & Services — 21.5%
	1,470,500	Accenture Plc – Class A		126,948,265
	486,300	Citrix Systems, Inc. *		32,246,553
	1,459,900	Cognizant Technology Solutions Corp. – Class A *		78,820,001
	1,417,023	eBay, Inc. *		77,766,222
	702,817	Google, Inc. – Class A *		385,902,759
	168,400	Google, Inc. – Class C *		91,244,172
	1,524,270	International Business Machines Corp.		247,190,866
	572,000	Intuit, Inc.		53,693,640
	893,900	Mastercard, Inc. – Class A		78,028,531
	11,317,700	Microsoft Corp.		541,099,237
	13,512,900	Oracle Corp.		573,082,089
	674,800	Paychex, Inc.		31,992,268
	1,889,900	Teradata Corp. *		85,310,086
		Total Software & Services		2,403,324,689
		Technology Hardware & Equipment — 13.5%
	517,800	Amphenol Corp. – Class A		27,769,614
	4,948,126	Apple, Inc.		588,480,625
	11,261,137	Cisco Systems, Inc.		311,257,827
	3,979,400	EMC Corp.		120,774,790
	57,400	F5 Networks, Inc. *		7,415,506
	3,957,489	Qualcomm, Inc.		288,500,948
	145,759	Samsung Electronics Co., Ltd.		168,872,946
		Total Technology Hardware & Equipment		1,513,072,256
		Telecommunication Services — 1.1%
	823,100	KDDI Corp.		52,730,581
	4,550,299	NTT Docomo, Inc.		71,035,705
		Total Telecommunication Services		123,766,286
		TOTAL COMMON STOCKS (COST $9,037,106,878)		11,005,520,661
		PREFERRED STOCKS — 0.2%
		Technology Hardware & Equipment — 0.2%
	26,481	Samsung Electronics Co., Ltd.		25,137,656
		TOTAL PREFERRED STOCKS (COST $23,658,066)		25,137,656
		MUTUAL FUNDS — 1.5%
		Affiliated Issuers — 1.5%
	6,602,440	GMO U.S. Treasury Fund		165,061,000
		TOTAL MUTUAL FUNDS (COST $165,061,000)		165,061,000

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	20,214,820	State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (a)		20,214,820
		TOTAL SHORT-TERM INVESTMENTS (COST $20,214,820)		20,214,820
		TOTAL INVESTMENTS — 100.3% (Cost $9,246,040,764)		11,215,934,137
		Other Assets and Liabilities (net) — (0.3%)		(31,629,850	)
		TOTAL NET ASSETS — 100.0%		$11,184,304,287

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of November 30, 2014. Note: Yield rounds to 0.00%.

Country Summary*	% of Investments
United States		88.8	%
United Kingdom		4.6
Switzerland		2.9
South Korea		1.8
Japan		1.1
France		0.5
Netherlands		0.3
		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.

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 92.6%
		Australia — 0.3%
	10,914	Origin Energy Ltd		113,623
	7,801	Woodside Petroleum Ltd		237,181
		Total Australia		350,804
		Austria — 1.1%
	38,562	OMV AG		1,116,306
	12,862	Verbund AG		255,117
		Total Austria		1,371,423
		Brazil — 1.4%
	9,000	Cosan SA Industria e Comercio		111,936
	6,100	QGEP Participacoes SA		19,027
	1,800	Sao Martinho SA		28,072
	20,600	Tractebel Energia SA		278,458
	137,700	Vale SA		1,250,915
		Total Brazil		1,688,408
		Canada — 0.3%
	14,400	Pacific Rubiales Energy Corp		139,103
	14,200	Total Energy Services Inc		220,715
		Total Canada		359,818
		Chile — 0.3%
	211,130	Empresa Nacional de Electricidad SA		322,223
	2,183	Sociedad Quimica y Minera de Chile SA		54,963
		Total Chile		377,186
		China — 6.0%
	2,298,000	Asian Citrus Holdings Ltd *		325,677
	119,000	China Longyuan Power Group Corp – Class H		127,666
	204,000	China Oilfield Services Ltd – Class H		357,833
	4,095,000	CNOOC Ltd		5,917,478
	74,000	First Tractor Co Ltd – Class H		57,469
	262,000	Honghua Group Ltd		41,507
	660,000	Minmetals Resources Ltd		228,326
	2,516,000	Sinofert Holdings Ltd *		436,874
		Total China		7,492,830
		Colombia — 0.5%
	601,664	Ecopetrol SA		621,475
		Czech Republic — 0.9%
	39,128	CEZ AS		1,089,275
		Denmark — 0.2%
	6,780	FLSmidth & Co A/S		287,029
		France — 6.3%
	19,246	CGG SA *		187,784
	35,604	Electricite de France		1,066,452

Shares		Description	Value ($)
		France — continued
	5,134	Technip SA		333,945
	111,639	Total SA		6,233,964
		Total France		7,822,145
		Germany — 0.6%
	24,569	K+S AG (Registered)		737,139
		Hungary — 0.4%
	9,772	MOL Hungarian Oil and Gas Plc		471,868
		India — 0.3%
	31,660	Cairn India Ltd		132,571
	48,901	Oil & Natural Gas Corp Ltd		298,456
		Total India		431,027
		Indonesia — 0.1%
	34,600	Astra Agro Lestari Tbk PT		68,059
	289,600	Medco Energi Internasional Tbk PT		88,811
		Total Indonesia		156,870
		Italy — 5.2%
	275,771	ENI SPA		5,493,987
	47,169	Saipem SPA *		675,455
	16,648	Tenaris SA		274,580
		Total Italy		6,444,022
		Japan — 15.9%
	2,400	Asahi Holdings Inc		34,965
	177,000	Inpex Corp		1,875,433
	275,600	Itochu Corp		3,169,617
	1,200	Japan Petroleum Exploration Co		36,930
	2,700	Kurita Water Industries Ltd		56,007
	306,500	Marubeni Corp		1,932,282
	261,400	Mitsubishi Corp		4,941,859
	317,000	Mitsui & Co Ltd		4,373,539
	42,000	Nittetsu Mining Co Ltd		153,206
	18,000	Shinko Plantech Co Ltd		123,271
	217,000	Sumitomo Corp		2,315,825
	52,000	Sumitomo Metal Mining Co Ltd		796,276
		Total Japan		19,809,210
		Malaysia — 1.1%
	37,900	Bumi Armada Bhd *		12,860
	146,900	IOI Corp Berhad		209,308
	341,200	KNM Group Berhad *		56,463
	18,300	Kuala Lumpur Kepong Bhd		121,680
	42,300	SapuraKencana Petroleum Bhd		35,003
	340,300	Sime Darby Bhd		973,596
		Total Malaysia		1,408,910

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Netherlands — 0.2%
	9,002	Fugro NV		206,276
		Norway — 8.0%
	19,427	Akastor ASA		58,311
	105,914	Austevoll Seafood ASA		633,541
	115,398	BW Offshore Ltd		120,167
	9,347	Fred Olsen Energy ASA		97,023
	32,460	Petroleum Geo-Services ASA		158,221
	24,596	ProSafe SE		80,656
	34,114	Salmar ASA		584,160
	268,859	Statoil ASA		5,075,694
	46,418	Subsea 7 SA		461,411
	24,028	TGS Nopec Geophysical Co ASA		533,140
	52,640	Yara International ASA		2,227,205
		Total Norway		10,029,529
		Philippines — 0.1%
	567,100	Energy Development Corp		101,295
		Poland — 0.6%
	16,393	KGHM Polska Miedz SA		597,657
	78,637	Polskie Gornictwo Naftowe i Gazownictwo SA		113,729
		Total Poland		711,386
		Russia — 10.9%
	985,647	Gazprom OAO Sponsored ADR		5,760,362
	138,641	Lukoil OAO Sponsored ADR		6,453,454
	113,012	Rosneft OJSC GDR (Registered)		535,190
	22,769	Tatneft Sponsored ADR		696,539
	7,687	Uralkali OJSC Sponsored GDR (Registered Shares)		102,405
		Total Russia		13,547,950
		Singapore — 0.1%
	252,000	Indofood Agri Resources Ltd		145,918
	145,000	Swiber Holdings Ltd		35,068
		Total Singapore		180,986
		South Africa — 3.5%
	6,489	African Rainbow Minerals Ltd		78,199
	5,240	Anglo American Platinum Ltd *		175,797
	1,246	Assore Ltd		20,270
	15,485	Northam Platinum Ltd *		48,352
	91,901	Sasol Ltd		3,825,876
	14,278	Tongaat Hulett Ltd		223,441
		Total South Africa		4,371,935
		South Korea — 0.1%
	371	Korea Zinc Co Ltd		142,800

Shares		Description	Value ($)
		Spain — 5.7%
	8,951	Endesa SA		173,014
	505,974	Iberdrola SA		3,744,121
	139,238	Repsol YPF SA		3,127,975
		Total Spain		7,045,110
		Sweden — 0.6%
	68,694	Sandvik AB		719,400
		Taiwan — 0.2%
	372,000	Sinon Corp		189,181
		Thailand — 1.5%
	22,264	PTT Exploration & Production Pcl (Foreign Registered)		91,861
	155,394	PTT Pcl (Foreign Registered)		1,811,139
		Total Thailand		1,903,000
		Turkey — 0.2%
	132,017	Gubre Fabrikalari TAS		307,962
		United Kingdom — 10.7%
	7,973	Amec Foster Wheeler Plc		116,262
	37,202	BG Group Plc		523,163
	936,161	BP Plc		6,137,375
	39,860	Cairn Energy Plc *		100,714
	73,908	Enquest Plc *		57,221
	76,220	Glencore Plc		381,174
	7,794	Petrofac Ltd		100,331
	37,752	Premier Oil Plc		110,255
	113,758	Royal Dutch Shell Plc A Shares (London)		3,790,144
	58,507	Royal Dutch Shell Plc B Shares (London)		2,031,912
		Total United Kingdom		13,348,551
		United States — 9.3%
	51,800	Chevron Corp.		5,639,466
	13,200	ConocoPhillips		872,124
	10,100	Exxon Mobil Corp.		914,454
	9,800	Marathon Oil Corp.		283,416
	28,300	Monsanto Co.		3,393,453
	2,600	Murphy Oil Corp.		125,892
	5,700	Oceaneering International, Inc.		357,447
		Total United States		11,586,252
		TOTAL COMMON STOCKS (COST $132,766,390)		115,311,052
		PREFERRED STOCKS — 1.7%
		Brazil — 1.7%
	20,700	AES Tiete SA		154,634
	38,800	Companhia Energetica de Sao Paulo – Class B		391,351

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

	Shares / Par Value		Description	Value ($)
			Brazil — continued
		204,687	Vale SA		1,596,093
			Total Brazil		2,142,078
			TOTAL PREFERRED STOCKS (COST $3,137,975)		2,142,078
			MUTUAL FUNDS — 4.9%
			United States — 4.9%
			Affiliated Issuers
		247,280	GMO U.S. Treasury Fund		6,182,000
			TOTAL MUTUAL FUNDS (COST $6,182,000)		6,182,000
			SHORT-TERM INVESTMENTS — 0.2%
			Time Deposits — 0.2%
JPY		197,100	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/01/14		1,661
NOK		439,696	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.55%, due 12/01/14		62,503
USD		156,510	Skandinaviska Enskilda Banken, AB (Stockholm) Time Deposit, 0.06%, due 12/01/14		156,510
			Total Time Deposits		220,674
			TOTAL SHORT-TERM INVESTMENTS (COST $220,674)		220,674
			TOTAL INVESTMENTS — 99.4% (Cost $142,307,039)		123,855,804
			Other Assets and Liabilities (net) — 0.6%		705,857
			TOTAL NET ASSETS — 100.0%		$124,561,661

Notes to Schedule of Investments:

ADR - American Depositary Receipt

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

GDR - Global Depository Receipt

OJSC - Open Joint-Stock Company

* Non-income producing security.

Currency Abbreviations:

JPY - Japanese Yen

NOK - Norwegian Krone

USD - United States Dollar

GMO Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 101.3%
		U.S. Government — 96.6%
	32,000,000	U.S. Treasury Bill, 0.02%, due 12/11/14 (a)		31,999,808
	29,290,000	U.S. Treasury Bill, 0.04%, due 12/26/14 (a)		29,289,122
	88,570,000	U.S. Treasury Bill, 0.05%, due 04/09/15 (a) (b)		88,554,943
	282,000,000	U.S. Treasury Bill, 0.05%, due 04/16/15 (a) (b)		281,946,702
		Total U.S. Government		431,790,575

Shares		Description	Value ($)
		Money Market Funds — 4.7%
	20,768,853	State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (c)		20,768,853
		TOTAL SHORT-TERM INVESTMENTS (COST $452,570,902)		452,559,428
		TOTAL INVESTMENTS — 101.3% (Cost $452,570,902)		452,559,428
		Other Assets and Liabilities (net) — (1.3%)		(5,739,066	)
		TOTAL NET ASSETS — 100.0%		$446,820,362

A summary of outstanding financial instruments at November 30, 2014 is as follows:

Written Options

Index Options

Number of Contracts		Expiration Date	Descriptions	Premiums		Market Value
Put	5,572	12/19/2014	Euro STOXX 50, Strike 3,225	$	4,250,852	$	(3,001,003	)
Put	5,684	12/19/2014	Euro STOXX 50, Strike 3,200		4,554,754		(2,418,831	)
				$	8,805,606	$	(5,419,834	)

As of November 30, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

(c) The rate disclosed is the 7 day net yield as of November 30, 2014. Note: Yield rounds to 0.00%.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 93.4%
		Australia — 0.5%
	127,122	BlueScope Steel Ltd *		534,524
	17,103	CSL Ltd		1,200,120
	8,509	Macquarie Group Ltd		422,299
		Total Australia		2,156,943
		Austria — 0.3%
	88,088	Immofinanz AG (Entitlement Shares) *		—
	23,089	OMV AG		668,388
	20,331	Voestalpine AG		844,897
		Total Austria		1,513,285
		Belgium — 1.1%
	26,968	Ageas		965,102
	31,419	Belgacom SA		1,241,254
	25,687	Delhaize Group		1,878,231
	16,400	KBC Groep NV *		938,037
		Total Belgium		5,022,624
		Brazil — 0.1%
	140,600	Electrobras (Centro)		330,004
		Canada — 0.9%
	46,400	Catamaran Corp *		2,363,616
	6,500	Magna International Inc – Class A		694,947
	33,300	Suncor Energy Inc		1,051,196
		Total Canada		4,109,759
		China — 1.0%
	186,500	China Mobile Ltd		2,301,083
	810,000	China Petroleum & Chemical Corp – Class H		655,711
	654,000	CNOOC Ltd		945,062
	362,000	PetroChina Co Ltd – Class H		387,151
		Total China		4,289,007
		Czech Republic — 0.2%
	28,615	CEZ AS		796,606
		Denmark — 0.6%
	981	AP Moller – Maersk A/S – Class B		2,047,424
	6,665	Coloplast A/S – Class B		579,048
		Total Denmark		2,626,472
		Finland — 1.5%
	68,254	Fortum Oyj		1,713,366
	470,124	Nokia Oyj		3,906,213
	47,303	UPM–Kymmene Oyj		785,111
		Total Finland		6,404,690
		France — 17.7%
	110,511	Air France – KLM *		1,166,176

Shares		Description	Value ($)
		France — continued
	23,647	Alstom SA *		829,764
	127,804	ArcelorMittal		1,566,054
	39,673	Bouygues SA		1,492,591
	43,660	Carrefour SA		1,382,633
	28,685	Cie Generale des Etablissements Michelin – Class B (Registered)		2,639,133
	61,084	Compagnie de Saint-Gobain		2,807,298
	67,003	Credit Agricole SA		942,694
	33,538	Electricite de France		1,004,569
	296,412	GDF Suez		7,310,249
	16,002	GDF Suez VVPR Strip *		20
	20,452	Lafarge SA		1,455,405
	3,790	LVMH Moet Hennessy Louis Vuitton SA		681,628
	456,803	Orange		8,055,476
	93,594	Peugeot SA *		1,198,080
	39,902	Renault SA		3,204,167
	91,045	Sanofi		8,799,114
	36,006	Schneider Electric SA		2,939,665
	47,400	Societe Generale		2,354,102
	296,628	Total SA		16,563,819
	65,635	Veolia Environnement SA		1,199,107
	66,716	Vinci SA		3,607,426
	252,453	Vivendi SA		6,424,414
		Total France		77,623,584
		Germany — 14.0%
	17,742	Allianz SE (Registered)		3,056,850
	123,270	BASF SE		11,179,129
	57,364	Bayerische Motoren Werke AG		6,557,526
	16,170	Celesio AG		538,997
	119,641	Daimler AG (Registered)		10,092,469
	39,507	Deutsche Lufthansa AG (Registered)		704,131
	29,285	Deutsche Post AG (Registered)		971,634
	339,235	Deutsche Telekom AG (Registered)		5,768,493
	13,366	Duerr AG		1,149,219
	477,980	E.ON AG		8,468,791
	18,703	Freenet AG		552,239
	6,046	Hannover Rueck SE		539,734
	27,558	K+S AG (Registered)		826,818
	5,987	Leoni AG		358,839
	4,974	Merck KGaA		494,859
	20,478	Metro AG *		695,558
	7,822	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		1,610,707
	125,820	RWE AG		4,558,354
	6,328	Salzgitter AG		209,187
	16,682	Siemens AG (Registered)		1,973,114
	5,757	Volkswagen AG		1,303,480
		Total Germany		61,610,128
		Hong Kong — 0.4%
	139,000	Galaxy Entertainment Group Ltd		951,717

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	136,800	Sands China Ltd		817,405
		Total Hong Kong		1,769,122
		Ireland — 0.2%
	29,838	CRH Plc		703,278
	16,028	Smurfit Kappa Group Plc		371,487
		Total Ireland		1,074,765
		Israel — 1.1%
	45,900	Check Point Software Technologies Ltd *		3,548,529
	20,781	Teva Pharmaceutical Industries Ltd		1,182,670
		Total Israel		4,731,199
		Italy — 5.9%
	747,890	A2A SPA		780,663
	31,917	Azimut Holding SPA		734,683
	3,603	Danieli & Co SPA – RSP		62,286
	1,430,332	Enel SPA		6,904,553
	318,759	ENI SPA		6,350,406
	22,211	Exor SPA		989,681
	135,201	Fiat Chrysler Automobiles NV *		1,689,068
	192,080	Finmeccanica SPA *		1,862,465
	278,930	Mediaset SPA *		1,133,392
	105,112	Mediolanum SPA		729,705
	2,593,300	Telecom Italia SPA *		2,922,933
	1,340,255	Telecom Italia SPA-Di RISP		1,188,153
	119,443	Unipol Gruppo Finanziario SPA		613,164
		Total Italy		25,961,152
		Japan — 14.3%
	5,200	Asatsu-DK, Inc.		134,115
	42,500	Canon Inc		1,357,626
	5,200	Central Japan Railway Co		755,571
	19,100	Daito Trust Construction Co Ltd		2,163,102
	15,600	FujiFilm Holdings Corp		515,942
	66,000	Fuji Heavy Industries Ltd		2,411,734
	28,800	Hakuhodo DY Holdings Inc		280,092
	54,000	Hanwa Co Ltd		190,660
	124,400	Haseko Corp		1,034,420
	82,900	Honda Motor Co Ltd		2,507,683
	78,700	Inpex Corp		833,879
	209,000	Itochu Corp		2,403,665
	185,500	Japan Tobacco, Inc.		5,948,577
	32,900	JFE Holdings Inc		701,143
	188,100	JX Holdings Inc		700,171
	14,760	K’s Holdings Corp		358,421
	58,500	Kansai Electric Power Co Inc (The) *		586,996
	16,900	Kao Corp		625,913
	33,000	KDDI Corp.		2,114,093
	80,900	Kyocera Corp		3,955,794
	83,800	Leopalace21 Corp *		473,930

Shares		Description	Value ($)
		Japan — continued
	231,000	Marubeni Corp		1,456,304
	44,000	Mazda Motor Corp		1,141,376
	29,300	Medipal Holdings Corp		326,247
	89,500	Mitsubishi Chemical Holdings Corp		461,612
	136,600	Mitsubishi Corp		2,582,471
	110,000	Mitsubishi UFJ Financial Group Inc		633,767
	157,900	Mitsui & Co Ltd		2,178,491
	120,000	Mitsui OSK Lines Ltd		380,538
	13,500	Nagase & Co		162,961
	54,600	Nippon Telegraph & Telephone Corp		2,920,793
	72,000	Nippon Yusen Kabushiki Kaisha		203,331
	1,069,800	Nissan Motor Co Ltd		9,984,977
	9,200	Nitori Holdings Co Ltd		510,665
	118,300	NTT Docomo Inc		1,846,809
	92,200	Resona Holdings Inc		498,287
	16,400	Ricoh Co Ltd		177,896
	3,900	Ryohin Keikaku Co Ltd		457,005
	2,200	Shimamura Co Ltd		184,079
	309,200	Sojitz Corp		443,238
	138,100	Sumitomo Corp		1,473,804
	27,000	Sumitomo Metal Mining Co Ltd		413,451
	129,000	Sumitomo Mitsui Trust Holdings Inc		536,856
	6,200	Suzuken Co Ltd		158,841
	26,200	Takeda Pharmaceutical Co Ltd		1,098,162
	189,000	Tosoh Corp		869,828
	52,200	Toyota Tsusho Corp		1,235,917
	30,660	USS Co Ltd		441,566
	43,300	Yamada Denki Co Ltd		142,534
		Total Japan		62,975,333
		Malta — 0.0%
	1,718,063	BGP Holdings Plc *		—
		Netherlands — 1.6%
	153,722	Aegon NV		1,206,958
	24,487	Delta Lloyd NV		563,133
	54,456	ING Groep NV *		796,660
	139,861	Koninklijke Ahold NV		2,470,441
	588,916	Koninklijke KPN NV		1,959,620
		Total Netherlands		6,996,812
		New Zealand — 0.2%
	301,434	Spark New Zealand Ltd		722,455
		Norway — 1.3%
	172,152	Statoil ASA		3,249,997
	43,454	Telenor ASA		915,123
	35,677	Yara International ASA		1,509,498
		Total Norway		5,674,618
		Portugal — 0.3%
	349,352	EDP-Energias de Portugal SA		1,434,074

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Russia — 4.3%
	454,018	Gazprom OAO Sponsored ADR		2,653,392
	315,413	Lukoil OAO Sponsored ADR		14,681,826
	105,267	Surgutneftegas Sponsored ADR		618,571
	33,408	Tatneft Sponsored ADR		1,022,003
		Total Russia		18,975,792
		Singapore — 0.3%
	2,459,000	Golden Agri-Resources Ltd		867,561
	145,670	Singapore Telecommunications Ltd		435,846
		Total Singapore		1,303,407
		South Africa — 0.1%
	50,368	Telkom South Africa Ltd *		312,656
		South Korea — 1.1%
	3,742	Samsung Electronics Co Ltd		4,335,395
	4,223	SK Holdings Co Ltd		647,980
		Total South Korea		4,983,375
		Spain — 6.2%
	29,885	ACS Actividades de Construccion y Servicios SA		1,056,216
	22,039	Enagas		737,337
	35,361	Ferrovial SA		724,783
	862	Ferrovial SA (a)		17,668
	85,201	Gas Natural SDG SA		2,415,185
	13,135	Grifols SA		585,274
	933,856	Iberdrola SA		6,910,374
	118,135	Repsol YPF SA		2,653,897
	767,768	Telefonica SA		12,315,888
		Total Spain		27,416,622
		Sweden — 1.5%
	162,273	Ericsson LM – Class B		2,039,390
	15,638	Investor AB		586,898
	23,475	Swedbank AB – Class A		615,397
	356,473	TeliaSonera AB		2,543,863
	63,488	Volvo AB – Class B		694,261
		Total Sweden		6,479,809
		Switzerland — 2.0%
	44,442	ABB Ltd (Registered)		997,964
	23,664	Holcim Ltd (Registered)		1,747,973
	17,739	Nestle SA (Registered)		1,331,369
	6,672	Novartis AG (Registered)		645,533
	3,166	Swiss Life Holding AG (Registered)		725,151
	1,284	Swisscom AG (Registered)		779,706
	16,265	Transocean Ltd		341,135
	6,659	Zurich Insurance Group AG		2,088,000
		Total Switzerland		8,656,831

Shares		Description	Value ($)
		Taiwan — 0.3%
	839,000	Compal Electronics Inc		535,820
	87,720	Hon Hai Precision Industry Co Ltd		274,933
	421,270	Wistron Corp		384,214
		Total Taiwan		1,194,967
		United Kingdom — 14.4%
	14,027	Associated British Foods Plc		701,572
	174,037	AstraZeneca Plc		12,930,669
	243,550	BAE Systems Plc		1,827,523
	55,298	Balfour Beatty Plc		158,129
	116,005	Barclays Plc		443,246
	1,508,054	BP Plc		9,886,646
	25,821	Bunzl Plc		720,197
	212,435	Centrica Plc		944,897
	153,565	Cobham Plc		723,294
	50,056	Drax Group Plc		476,670
	24,214	easyJet Plc		624,804
	57,154	GlaxoSmithKline Plc		1,327,628
	32,951	Halfords Group Plc		245,858
	110,495	Home Retail Group Plc		345,699
	31,010	Imperial Tobacco Group Plc		1,433,337
	40,924	Inchcape Plc		459,134
	282,467	Legal & General Group Plc		1,088,183
	59,277	Marks & Spencer Group Plc		451,665
	22,920	Next Plc		2,426,296
	15,742	Pearson Plc		302,528
	32,333	Prudential Plc		781,397
	285,598	Royal Dutch Shell Plc A Shares (London)		9,515,442
	173,221	Royal Dutch Shell Plc B Shares (London)		6,015,858
	597,827	Tesco Plc		1,743,977
	437,692	Thomas Cook Group Plc *		831,979
	134,373	TUI Travel Plc		933,755
	1,097,049	Vodafone Group Plc		4,020,687
	106,984	William Hill Plc		559,807
	123,941	WM Morrison Supermarkets Plc		345,413
	53,284	WPP Plc		1,115,559
		Total United Kingdom		63,381,849
		TOTAL COMMON STOCKS (COST $358,438,453)		410,527,940
		PREFERRED STOCKS — 3.9%
		Brazil — 0.3%
	131,600	Centrais Eletricas Brasileiras SA – Class B		396,106
	34,400	Companhia Energetica de Minas Gerais		188,842
	31,900	Telefonica Brasil SA		653,087
		Total Brazil		1,238,035
		Germany — 1.9%
	32,412	Porsche Automobil Holding SE		2,824,119
	24,095	Volkswagen AG		5,553,816
		Total Germany		8,377,935

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares / Par Value		Description	Value ($)
		Russia — 0.4%
	1,885,269	Surgutneftegaz OJSC *		1,307,323
	61,000	Surgutneftegaz Sponsored ADR		417,850
		Total Russia		1,725,173
		South Korea — 1.3%
	6,110	Samsung Electronics Co Ltd		5,800,050
		TOTAL PREFERRED STOCKS (COST $17,581,671)		17,141,193
		RIGHTS/WARRANTS — 0.1%
		Spain — 0.1%
	767,760	Telefonica SA Rights, Expires 12/03/14 *		351,559
		TOTAL RIGHTS/WARRANTS (COST $319,654)		351,559
		MUTUAL FUNDS — 2.0%
		United States — 2.0%
		Affiliated Issuers
	345,200	GMO U.S. Treasury Fund		8,630,000
		TOTAL MUTUAL FUNDS (COST $8,630,000)		8,630,000
		SHORT-TERM INVESTMENTS — 0.6%
		Time Deposits — 0.2%
EUR	13,405	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.11)%, due 12/01/14		16,679
JPY	17,158,950	DnB Nor Bank (Oslo) Time Deposit, 0.01%, due 12/01/14		144,594

Par Value		Description	Value ($)
		Time Deposits — continued
NOK	232,406	DnB Nor Bank (Oslo) Time Deposit, 0.55%, due 12/01/14		33,037
USD	850,297	JPMorgan Chase (New York) Time Deposit, 0.06%, due 12/01/14		850,297
		Total Time Deposits		1,044,607
		U.S. Government — 0.4%
	1,710,000	U.S. Treasury Bill, 0.04%, due 12/26/14 (b)		1,709,949
		TOTAL SHORT-TERM INVESTMENTS (COST $2,754,595)		2,754,556
		TOTAL INVESTMENTS — 100.0% (Cost $387,724,373)		439,405,248
		Other Assets and Liabilities (net) — 0.0%		176,401
		TOTAL NET ASSETS — 100.0%		$439,581,649

Notes to Schedule of Investments:

ADR - American Depositary Receipt

OJSC - Open Joint-Stock Company

* Non-income producing security.

(a) Security is restricted as to resale.

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

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 November 30, 2014
Ferrovial SA	11/28/14	$	11,527	0.00%	$	17,668

Currency Abbreviations:

EUR - Euro

JPY - Japanese Yen

NOK - Norwegian Krone

USD - United States Dollar

GMO U.S. Equity Allocation Fund (formerly GMO U.S. Core Equity Fund)

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.9%
		Automobiles & Components — 0.1%
	119,576	Gentex Corp.		4,252,122
		Banks — 2.4%
	2,361,200	JPMorgan Chase & Co.		142,049,792
	570,025	Wells Fargo & Co.		31,054,962
		Total Banks		173,104,754
		Capital Goods — 6.5%
	710,300	3M Co.		113,711,927
	204,326	Ametek, Inc.		10,412,453
	27,000	Applied Industrial Technologies, Inc.		1,266,030
	35,900	Clarcor, Inc.		2,365,451
	12,400	Cummins, Inc.		1,805,688
	649,100	Danaher Corp.		54,238,796
	109,865	Donaldson Co., Inc.		4,284,735
	138,855	Dover Corp.		10,690,446
	806,700	Emerson Electric Co.		51,427,125
	199,613	Fastenal Co.		9,022,508
	60,000	Flowserve Corp.		3,532,200
	24,200	Fluor Corp.		1,500,158
	23,500	General Dynamics Corp.		3,415,960
	311,600	Honeywell International, Inc.		30,870,212
	50,067	Hubbell, Inc. – Class B		5,347,156
	427,600	Illinois Tool Works, Inc.		40,592,068
	24,700	Lincoln Electric Holdings, Inc.		1,779,388
	12,600	Middleby Corp. *		1,205,064
	32,100	MSC Industrial Direct Co., Inc. – Class A		2,493,207
	89,900	Pall Corp.		8,640,289
	16,100	Parker Hannifin Corp.		2,077,383
	132,300	Precision Castparts Corp.		31,474,170
	128,905	Rockwell Automation, Inc.		14,876,926
	32,100	Rockwell Collins, Inc.		2,745,513
	62,400	Roper Industries, Inc.		9,847,968
	25,100	Snap-on, Inc.		3,396,783
	31,400	Toro Co. (The)		2,062,352
	209,100	United Technologies Corp.		23,017,728
	11,200	Valmont Industries, Inc.		1,514,464
	66,800	Wabtec Corp.		5,911,132
	62,500	WW Grainger, Inc.		15,355,000
		Total Capital Goods		470,880,280
		Commercial & Professional Services — 0.1%
	86,900	Equifax, Inc.		6,912,895
	14,900	Rollins, Inc.		484,697
	16,200	Stericycle, Inc. *		2,088,504
		Total Commercial & Professional Services		9,486,096
		Consumer Durables & Apparel — 2.0%
	223,665	Coach, Inc.		8,302,445
	40,800	Fossil Group, Inc. *		4,558,176
	63,400	Garmin Ltd.		3,632,820

Shares		Description	Value ($)
		Consumer Durables & Apparel — continued
	88,700	Hasbro, Inc.		5,251,040
	50,500	Lululemon Athletica, Inc. *		2,433,595
	309,957	Mattel, Inc.		9,779,143
	659,880	Nike, Inc. – Class B		65,519,485
	45,016	Polaris Industries, Inc.		7,054,458
	47,201	Ralph Lauren Corp.		8,727,465
	30,600	Steven Madden Ltd. *		1,043,460
	43,700	Tupperware Brands Corp.		2,938,825
	42,800	Under Armour, Inc. – Class A *		3,102,572
	332,100	VF Corp.		24,963,957
		Total Consumer Durables & Apparel		147,307,441
		Consumer Services — 1.3%
	8,900	Buffalo Wild Wings, Inc. *		1,514,869
	10,400	Chipotle Mexican Grill, Inc. *		6,901,648
	37,800	Grand Canyon Education, Inc. *		1,726,326
	836,800	McDonald’s Corp.		81,010,608
	8,800	Panera Bread Co. – Class A *		1,473,120
	80,400	Texas Roadhouse, Inc.		2,658,024
		Total Consumer Services		95,284,595
		Diversified Financials — 0.0%
	7,500	EZCORP, Inc. – Class A *		81,675
		Energy — 12.6%
	421,000	Apache Corp.		26,981,890
	202,200	Chesapeake Energy Corp.		4,096,572
	2,829,244	Chevron Corp.		308,019,794
	26,200	Cimarex Energy Co.		2,749,690
	1,578,800	ConocoPhillips		104,311,316
	298,500	Denbury Resources, Inc.		2,465,610
	310,400	Devon Energy Corp.		18,304,288
	20,200	Energen Corp.		1,206,344
	3,580,800	Exxon Mobil Corp.		324,205,632
	249,500	Hess Corp.		18,196,035
	937,400	Marathon Oil Corp.		27,109,608
	219,100	Murphy Oil Corp.		10,608,822
	810,600	Occidental Petroleum Corp.		64,661,562
	3,400	Oceaneering International, Inc.		213,214
	31,500	Stone Energy Corp. *		497,700
	69,100	Whiting Petroleum Corp. *		2,886,307
	104,700	WPX Energy, Inc. *		1,420,779
		Total Energy		917,935,163
		Food & Staples Retailing — 2.9%
	376,000	Costco Wholesale Corp.		53,437,120
	186,500	CVS Health Corp.		17,038,640
	432,357	Sysco Corp.		17,406,693
	35,000	United Natural Foods, Inc. *		2,631,650
	1,394,078	Wal-Mart Stores, Inc.		122,037,588
	30,700	Whole Foods Market, Inc.		1,505,221
		Total Food & Staples Retailing		214,056,912

GMO U.S. Equity Allocation Fund (formerly GMO U.S. Core Equity Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Food, Beverage & Tobacco — 9.9%
	82,850	Brown-Forman Corp. – Class B		8,040,593
	31,700	Campbell Soup Co.		1,435,376
	4,415,500	Coca-Cola Co. (The)		197,946,865
	213,600	General Mills, Inc.		11,267,400
	114,500	Hershey Co. (The)		11,482,060
	123,032	Hormel Foods Corp.		6,530,539
	500	J&J Snack Foods Corp.		52,525
	18,900	Lancaster Colony Corp.		1,774,710
	113,800	McCormick & Co., Inc. (Non Voting)		8,458,754
	91,000	Monster Beverage Corp. *		10,205,650
	749,863	PepsiCo, Inc.		75,061,286
	4,282,903	Philip Morris International, Inc.		372,312,758
	215,250	Reynolds American, Inc.		14,187,127
		Total Food, Beverage & Tobacco		718,755,643
		Health Care Equipment & Services — 13.0%
	1,329,300	Abbott Laboratories		59,167,143
	71,400	AmerisourceBergen Corp.		6,500,970
	125,598	Anthem, Inc.		16,065,240
	402,609	Baxter International, Inc.		29,390,457
	183,400	Becton, Dickinson and Co.		25,736,522
	210,960	Cerner Corp. *		13,585,824
	1,133,742	Covidien Plc		114,507,942
	71,070	CR Bard, Inc.		11,893,565
	75,700	Edwards Lifesciences Corp. *		9,816,776
	4,969,950	Express Scripts Holding Co. *		413,251,342
	1,487	Halyard Health, Inc. *		58,305
	98,800	Henry Schein, Inc. *		13,555,360
	155,900	Humana, Inc.		21,509,523
	29,300	IDEXX Laboratories, Inc. *		4,375,955
	27,760	Intuitive Surgical, Inc. *		14,373,295
	39,680	Laboratory Corp. of America Holdings *		4,152,115
	57,700	Masimo Corp. *		1,514,625
	59,200	Mednax, Inc. *		3,875,232
	8,400	MWI Veterinary Supply, Inc. *		1,372,728
	44,100	Patterson Cos., Inc.		2,124,738
	80,403	ResMed, Inc.		4,277,440
	44,000	Sirona Dental Systems, Inc. *		3,801,160
	20,200	STERIS Corp.		1,287,750
	338,400	Stryker Corp.		31,440,744
	262,200	St Jude Medical, Inc.		17,819,112
	1,001,674	UnitedHealth Group, Inc.		98,795,107
	103,500	Varian Medical Systems, Inc. *		9,160,785
	140,669	Zimmer Holdings, Inc.		15,795,722
		Total Health Care Equipment & Services		949,205,477
		Household & Personal Products — 4.4%
	133,500	Church & Dwight Co., Inc.		10,240,785
	986,920	Colgate-Palmolive Co.		68,679,763
	163,481	Estee Lauder Cos., Inc. (The) – Class A		12,120,481
	64,000	Herbalife Ltd.		2,768,000
	89,000	Kimberly-Clark Corp.		10,376,510

Shares		Description	Value ($)
		Household & Personal Products — continued
	2,375,800	Procter & Gamble Co. (The)		214,843,594
	6,374	WD-40 Co.		485,061
		Total Household & Personal Products		319,514,194
		Materials — 1.1%
	50,720	AptarGroup, Inc.		3,309,480
	36,200	International Flavors & Fragrances, Inc.		3,662,354
	482,000	Monsanto Co.		57,796,620
	13,500	Sherwin-Williams Co. (The)		3,305,610
	116,600	Sigma-Aldrich Corp.		15,927,560
		Total Materials		84,001,624
		Media — 0.1%
	60,100	Scripps Networks Interactive, Inc. – Class A		4,698,017
		Pharmaceuticals, Biotechnology & Life Sciences — 6.3%
	102,500	Agilent Technologies, Inc.		4,380,850
	162,400	Allergan, Inc.		34,735,736
	369,888	Amgen, Inc.		61,146,185
	24,300	Bio-Techne Corp.		2,226,123
	168,956	Biogen Idec, Inc. *		51,986,072
	481,895	Eli Lilly & Co.		32,826,687
	2,389,400	Johnson & Johnson		258,652,550
	22,200	Mettler-Toledo International, Inc. *		6,510,372
	77,900	Waters Corp. *		9,028,610
		Total Pharmaceuticals, Biotechnology & Life Sciences		461,493,185
		Retailing — 6.6%
	1,098,354	Amazon.com, Inc. *		371,946,599
	445,602	Bed Bath & Beyond, Inc. *		32,693,819
	30,200	Dollar Tree, Inc. *		2,064,472
	140,900	Genuine Parts Co.		14,481,702
	40,000	LKQ Corp. *		1,162,000
	7,300	Priceline.com, Inc. (The) *		8,469,387
	151,144	Ross Stores, Inc.		13,826,653
	63,100	Tiffany & Co.		6,809,752
	423,045	TJX Cos., Inc. (The)		27,988,657
	26,100	Tractor Supply Co.		2,007,873
		Total Retailing		481,450,914
		Semiconductors & Semiconductor Equipment — 0.7%
	296,500	Analog Devices, Inc.		16,200,760
	37,600	Avago Technologies Ltd.		3,511,840
	196,164	Linear Technology Corp.		9,029,429
	100,900	Skyworks Solutions, Inc.		6,807,723
	274,800	Xilinx, Inc.		12,486,912
		Total Semiconductors & Semiconductor Equipment		48,036,664

GMO U.S. Equity Allocation Fund (formerly GMO U.S. Core Equity Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Software & Services — 18.9%
	670,800	Accenture Plc – Class A		57,910,164
	124,200	Akamai Technologies, Inc. *		8,024,562
	64,100	Ansys, Inc. *		5,353,632
	74,600	Automatic Data Processing, Inc.		6,388,744
	302,272	CA, Inc.		9,415,773
	164,000	Citrix Systems, Inc. *		10,874,840
	601,100	Cognizant Technology Solutions Corp. – Class A *		32,453,389
	866,775	eBay, Inc. *		47,568,612
	26,700	FactSet Research Systems, Inc.		3,659,502
	45,600	Gartner, Inc. *		3,897,888
	396,720	Google, Inc. – Class A *		217,831,018
	89,220	Google, Inc. – Class C *		48,342,073
	71,600	Informatica Corp. *		2,604,808
	677,231	International Business Machines Corp.		109,826,551
	243,600	Intuit, Inc.		22,866,732
	13,400	j2 Global, Inc.		757,636
	74,690	Jack Henry & Associates, Inc.		4,590,447
	690,030	Mastercard, Inc. – Class A		60,232,719
	6,905,057	Microsoft Corp.		330,130,775
	33,700	NetScout Systems, Inc. *		1,285,655
	7,280,215	Oracle Corp.		308,753,918
	307,900	Paychex, Inc.		14,597,539
	119,600	Red Hat, Inc. *		7,433,140
	28,500	SolarWinds, Inc. *		1,479,720
	17,076	Syntel, Inc. *		759,882
	1,166,794	Teradata Corp. *		52,669,081
	179,271	Total System Services, Inc.		5,914,150
		Total Software & Services		1,375,622,950
		Technology Hardware & Equipment — 9.6%
	235,500	Amphenol Corp. – Class A		12,629,865
	2,748,156	Apple, Inc.		326,838,193
	5,368,482	Cisco Systems, Inc.		148,384,843
	20,900	Dolby Laboratories, Inc. – Class A		927,542
	2,081,200	EMC Corp.		63,164,420
	67,074	F5 Networks, Inc. *		8,665,290
	27,200	FLIR Systems, Inc.		863,056
	172,400	NetApp, Inc.		7,335,620
	1,834,800	Qualcomm, Inc.		133,756,920
		Total Technology Hardware & Equipment		702,565,749
		Transportation — 0.4%
	155,800	CH Robinson Worldwide, Inc.		11,488,692
	206,300	Expeditors International of Washington, Inc.		9,658,966
	51,000	Heartland Express, Inc.		1,353,030
	34,900	JB Hunt Transport Services, Inc.		2,880,297
	59,500	Knight Transportation, Inc.		1,979,565
	37,600	Landstar System, Inc.		3,022,288
		Total Transportation		30,382,838
		TOTAL COMMON STOCKS (COST $6,408,487,094)		7,208,116,293

Shares		Description	Value ($)
		MUTUAL FUNDS — 0.8%
		Affiliated Issuers — 0.8%
	2,196,000	GMO U.S. Treasury Fund		54,900,000
		TOTAL MUTUAL FUNDS (COST $54,900,000)		54,900,000
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	3,215,551	State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (a)		3,215,551
		TOTAL SHORT-TERM INVESTMENTS (COST $3,215,551)		3,215,551
		TOTAL INVESTMENTS — 99.7% (Cost $6,466,602,645)		7,266,231,844
		Other Assets and Liabilities (net) — 0.3%		21,707,197
		TOTAL NET ASSETS — 100.0%		$7,287,939,041

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of November 30, 2014. Note: Yield rounds to 0.00%.

As of November 30, 2014, 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) ($)		Net Unrealized Appreciation (Depreciation) ($)
Developed World Stock Fund		414,734,318		51,674,411		(18,551,262)		33,123,149
International Equity Fund		13,775,080,113		724,790,835		(817,856,228)		(93,065,393)
International Large/Mid Cap Equity Fund		1,881,664,341		84,376,790		(121,561,024)		(37,184,234)
International Small Companies Fund		295,281,095		28,495,255		(41,228,057)		(12,732,802)
Quality Fund		9,261,833,303		2,036,175,143		(82,074,309)		1,954,100,834
Resources Fund		143,240,211		1,815,190		(21,199,597)		(19,384,407)
Risk Premium Fund		452,570,902		226		(11,700)		(11,474)
Tax-Managed International Equities Fund		389,836,404		68,695,581		(19,126,737)		49,568,844
U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund)		6,410,887,730		1,086,026,837		(230,682,723)		855,344,114

Investments in affiliated issuers

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

A summary of the Funds’ transactions in the shares of other funds of the Trust during the period ended November 30, 2014 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Value, end of period
Developed World Stock Fund
GMO U.S. Treasury Fund	$	6,376,617	$	14,519,000	$	15,057,000	$	1,635	$	241	$	5,838,617
International Equity Fund
GMO U.S. Treasury Fund	$	—	$	621,020,000	$	444,913,000	$	17,814	$	2,557	$	176,107,000
International Large/Mid Cap Equity Fund
GMO U.S. Treasury Fund	$	28,348,000	$	172,295,000	$	183,299,000	$	4,973	$	—	$	17,344,000
International Small Companies Fund
GMO U.S. Treasury Fund	$	—	$	36,231,000	$	34,184,793	$	742	$	149	$	2,046,207
Quality Fund
GMO U.S. Treasury Fund	$	—	$	1,056,464,000	$	891,403,000	$	14,498	$	3,159	$	165,061,000
Resources Fund
GMO U.S. Treasury Fund	$	2,187,000	$	16,248,000	$	12,253,000	$	512	$	43	$	6,182,000
Risk Premium Fund
GMO U.S. Treasury Fund	$	278,253,028	$	193,273,000	$	471,526,028	$	86,146	$	11,130	$	—
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	7,151,275	$	29,998,000	$	28,519,275	$	2,092	$	254	$	8,630,000
U.S . Equity Allocation Fund (formerly U.S. Core Equity Fund)
GMO U.S. Treasury Fund	$	6,649,952	$	606,518,000	$	558,267,952	$	12,777	$	3,682	$	54,900,000

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2014 through November 30, 2014. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2015.

Basis of presentation

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

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 Grantham, Mayo, Van Otterloo & Co. LLC ( “GMO”) 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 price quoted (which may be based on a model) 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 fixed income securities) 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 of GMO Trust (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 November 30, 2014, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities 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 price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended 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 November 30, 2014. 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.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third party pricing source in accordance with the market practice for that security. If an updated quote for a security is not available by the time that a 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, 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. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of November 30, 2014 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 (Net)
Developed World Stock Fund		< 1%		51%
International Equity Fund		—		96%
International Large/Mid Cap Equity Fund		0%*		96%
International Small Companies Fund		0%*		97%
Quality Fund		—		11%
Resources Fund		—		84%
Risk Premium Fund		—		(1)%
Tax-Managed International Equities Fund		—		95%
U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund)		—		—

* Represents the interest in securities that were determined to have a value of zero at November 30, 2014.

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 table below). At November 30, 2014, 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, 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 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; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain 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 equity securities valued based on the last traded exchange price adjusted for the movement in a securities relevant 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 November 30, 2014:

Description	Level 1		Level 2		Level 3		Total
Developed World Stock Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	215,868	$	—	$	215,868
Austria		—		996,700		—		996,700
Belgium		—		1,545,941		—		1,545,941
Brazil		124,176		1,705,296		—		1,829,472
Canada		2,023,035		—		—		2,023,035
China		203,676		5,816,184		—		6,019,860
Czech Republic		—		554,457		—		554,457
Denmark		—		1,866,652		—		1,866,652
Egypt		—		158,677		—		158,677
Finland		—		2,826,751		—		2,826,751
France		—		43,404,617		—		43,404,617
Germany		—		30,577,646		—		30,577,646
Hong Kong		—		76,739		—		76,739
Hungary		—		70,311		—		70,311
India		261,872		25,474		—		287,346
Indonesia		193,620		486,815		—		680,435
Ireland		—		952,506		—		952,506
Israel		1,615,779		—		—		1,615,779
Italy		—		10,363,891		—		10,363,891
Japan		—		33,859,252		—		33,859,252
Malaysia		—		61,737		—		61,737
Mexico		166,583		—		—		166,583
Netherlands		—		3,301,654		—		3,301,654

Description	Level 1		Level 2		Level 3			Total
Developed World Stock Fund (continued)
Asset Valuation Inputs (continued)
Norway	$	—	$	3,098,140	$	—		$	3,098,140
Peru		71,880		—		—			71,880
Philippines		13,360		201,251		—			214,611
Poland		—		876,935		—			876,935
Portugal		—		805,080		—			805,080
Qatar		—		62,345		—			62,345
Russia		—		12,662,902		—			12,662,902
Singapore		—		35,157		—			35,157
South Africa		—		496,649		4			496,653
South Korea		—		7,705,617		—			7,705,617
Spain		—		13,813,035		10,412			13,823,447
Sweden		—		4,256,626		—			4,256,626
Switzerland		—		4,168,249		—			4,168,249
Taiwan		87,261		1,954,812		617,237			2,659,310
Thailand		—		1,200,806		—			1,200,806
Turkey		—		1,080,665		—			1,080,665
United Kingdom		—		28,072,423		—			28,072,423
United States		205,781,223		—		—			205,781,223
TOTAL COMMON STOCKS		210,542,465		219,357,860		627,653			430,527,978
Preferred Stocks
Brazil		371,818		1,289,363		—			1,661,181
Germany		—		4,944,583		—			4,944,583
Russia		—		1,801,821		—			1,801,821
South Korea		—		2,610,664		—			2,610,664
TOTAL PREFERRED STOCKS		371,818		10,646,431		—			11,018,249
Rights/Warrants
South Korea		—		—		485			485
Spain		167,654		—		—			167,654
TOTAL RIGHTS/WARRANTS		167,654		—		485			168,139
Mutual Funds
United States		5,838,617		—		—			5,838,617
TOTAL MUTUAL FUNDS		5,838,617		—		—			5,838,617
Short-Term Investments		304,484		—		—			304,484
Total Investments		217,225,038		230,004,291		628,138			447,857,467
Total	$	217,225,038	$	230,004,291	$	628,138		$	447,857,467
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	102,769,722	$	—		$	102,769,722
Austria		—		50,705,663		0	**		50,705,663
Belgium		—		125,712,742		—			125,712,742
Canada		134,867,020		—		—			134,867,020
Denmark		—		99,773,866		—			99,773,866
Finland		—		166,936,646		—			166,936,646
France		—		2,635,087,218		—			2,635,087,218
Germany		—		2,021,469,694		—			2,021,469,694
Hong Kong		—		148,082,233		—			148,082,233
Ireland		—		90,709,405		—			90,709,405
Israel		138,075,660		45,940,468		—			184,016,128
Italy		—		701,305,126		—			701,305,126
Japan		—		2,713,978,577		—			2,713,978,577
Malta		—		—		0	**		0	**
Netherlands		—		311,700,918		—			311,700,918
New Zealand		—		30,294,875		—			30,294,875
Norway		—		206,085,679		—			206,085,679
Portugal		—		48,496,188		—			48,496,188
Singapore		—		72,030,005		—			72,030,005

Description	Level 1		Level 2		Level 3			Total
International Equity Fund (continued)
Asset Valuation Inputs (continued)
Spain	$	—	$	832,042,880	$	146,900		$	832,189,780
Sweden		—		307,606,722		—			307,606,722
Switzerland		—		259,058,310		—			259,058,310
United Kingdom		—		1,945,814,801		—			1,945,814,801
TOTAL COMMON STOCKS		272,942,680		12,915,601,738		146,900			13,188,691,318
Preferred Stocks
Germany		—		285,852,719		—			285,852,719
TOTAL PREFERRED STOCKS		—		285,852,719		—			285,852,719
Rights/Warrants
Spain		11,221,189		—		—			11,221,189
TOTAL RIGHTS/WARRANTS		11,221,189		—		—			11,221,189
Mutual Funds
United States		176,107,000		—		—			176,107,000
TOTAL MUTUAL FUNDS		176,107,000		—		—			176,107,000
Short-Term Investments		20,142,494		—		—			20,142,494
Total Investments	$	480,413,363	$	13,201,454,457	$	146,900		$	13,682,014,720
International Large/Mid Cap Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	9,363,733	$	—		$	9,363,733
Austria		—		6,863,978		—			6,863,978
Belgium		—		17,315,767		—			17,315,767
Canada		16,688,181		—		—			16,688,181
Denmark		—		12,590,049		—			12,590,049
Finland		—		24,376,123		—			24,376,123
France		—		360,207,912		—			360,207,912
Germany		—		278,659,124		—			278,659,124
Hong Kong		—		19,237,278		—			19,237,278
Ireland		—		11,090,782		—			11,090,782
Israel		21,051,513		6,580,807		—			27,632,320
Italy		—		90,164,128		—			90,164,128
Japan		—		353,391,926		—			353,391,926
Malta		—		—		0	**		0	**
Netherlands		—		45,483,227		0	**		45,483,227
New Zealand		—		5,022,081		—			5,022,081
Norway		—		30,367,015		—			30,367,015
Portugal		—		6,796,062		—			6,796,062
Singapore		—		3,957,242		—			3,957,242
Spain		—		110,868,492		19,410			110,887,902
Sweden		—		40,781,783		—			40,781,783
Switzerland		—		40,262,768		—			40,262,768
United Kingdom		—		268,021,443		—			268,021,443
TOTAL COMMON STOCKS		37,739,694		1,741,401,720		19,410			1,779,160,824
Preferred Stocks
Germany		—		41,369,880		—			41,369,880
TOTAL PREFERRED STOCKS		—		41,369,880		—			41,369,880
Rights/Warrants
Spain		1,532,622		—		—			1,532,622
TOTAL RIGHTS/WARRANTS		1,532,622		—		—			1,532,622
Mutual Funds
United States		17,344,000		—		—			17,344,000
TOTAL MUTUAL FUNDS		17,344,000		—		—			17,344,000
Short-Term Investments		5,072,781		—		—			5,072,781
Total Investments		61,689,097		1,782,771,600		19,410			1,844,480,107
Total	$	61,689,097	$	1,782,771,600	$	19,410		$	1,844,480,107

Description	Level 1		Level 2		Level 3			Total
International Small Companies Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	2,372,111	$	—		$	2,372,111
Austria		—		831,614		0	**		831,614
Belgium		—		2,471,600		17			2,471,617
Brazil		—		1,430,656		—			1,430,656
Canada		5,234,678		—		—			5,234,678
China		—		3,304,752		—			3,304,752
Denmark		—		2,388,185		—			2,388,185
Finland		—		5,040,137		—			5,040,137
France		—		22,679,343		—			22,679,343
Germany		—		19,314,192		—			19,314,192
Greece		—		521,613		5,663			527,276
Hong Kong		—		4,144,744		—			4,144,744
Hungary		—		160,118		—			160,118
India		—		1,942,572		—			1,942,572
Indonesia		—		286,471		—			286,471
Ireland		—		213,417		—			213,417
Israel		—		1,658,028		—			1,658,028
Italy		—		15,437,489		—			15,437,489
Japan		—		76,749,569		—			76,749,569
Netherlands		—		10,487,065		0	**		10,487,065
New Zealand		—		618,157		—			618,157
Norway		—		3,202,613		—			3,202,613
Philippines		—		192,454		—			192,454
Poland		—		372,594		—			372,594
Portugal		—		1,088,706		—			1,088,706
Russia		—		1,527,195		—			1,527,195
Singapore		—		1,665,209		—			1,665,209
South Africa		—		1,712,284		—			1,712,284
South Korea		—		3,895,963		—			3,895,963
Spain		—		6,347,908		—			6,347,908
Sweden		—		12,092,527		—			12,092,527
Switzerland		—		4,227,834		—			4,227,834
Taiwan		—		3,421,196		0	**		3,421,196
Thailand		—		207,817		—			207,817
Turkey		—		1,158,752		—			1,158,752
United Kingdom		—		57,026,476		—			57,026,476
TOTAL COMMON STOCKS		5,234,678		270,191,361		5,680			275,431,719
Preferred Stocks
Brazil		—		2,160,381		—			2,160,381
Germany		—		1,551,640		—			1,551,640
Italy		—		432,210		—			432,210
TOTAL PREFERRED STOCKS		—		4,144,231		—			4,144,231
Rights/Warrants
Malaysia		3,149		—		—			3,149
Sweden		39,992		—		—			39,992
TOTAL RIGHTS/WARRANTS		43,141		—		—			43,141
Mutual Funds
United States		2,046,207		—		—			2,046,207
TOTAL MUTUAL FUNDS		2,046,207		—		—			2,046,207
Short-Term Investments		882,995		—		—			882,995
Total Investments		8,207,021		274,335,592		5,680			282,548,293
Total	$	8,207,021	$	274,335,592	$	5,680		$	282,548,293

Description	Level 1		Level 2		Level 3		Total
Quality Fund
Asset Valuation Inputs
Common Stocks
France	$	—	$	53,550,685	$	—	$	53,550,685
Japan		—		123,766,286		—		123,766,286
Netherlands		—		37,575,665		—		37,575,665
South Korea		—		168,872,946		—		168,872,946
Switzerland		—		319,529,870		—		319,529,870
United Kingdom		—		512,152,560		—		512,152,560
United States		9,790,072,649		—		—		9,790,072,649
TOTAL COMMON STOCKS		9,790,072,649		1,215,448,012		—		11,005,520,661
Preferred Stocks
South Korea		—		25,137,656		—		25,137,656
TOTAL PREFERRED STOCKS		—		25,137,656		—		25,137,656
Mutual Funds
United States		165,061,000		—		—		165,061,000
TOTAL MUTUAL FUNDS		165,061,000		—		—		165,061,000
Short-Term Investments		20,214,820		—		—		20,214,820
Total Investments		9,975,348,469		1,240,585,668		—		11,215,934,137
Total	$	9,975,348,469	$	1,240,585,668	$	—	$	11,215,934,137
Resources Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	350,804	$	—	$	350,804
Austria		—		1,371,423		—		1,371,423
Brazil		—		1,688,408		—		1,688,408
Canada		359,818		—		—		359,818
Chile		—		377,186		—		377,186
China		—		7,492,830		—		7,492,830
Colombia		621,475		—		—		621,475
Czech Republic		—		1,089,275		—		1,089,275
Denmark		—		287,029		—		287,029
France		—		7,822,145		—		7,822,145
Germany		—		737,139		—		737,139
Hungary		—		471,868		—		471,868
India		—		431,027		—		431,027
Indonesia		—		156,870		—		156,870
Italy		—		6,444,022		—		6,444,022
Japan		—		19,809,210		—		19,809,210
Malaysia		—		1,408,910		—		1,408,910
Netherlands		—		206,276		—		206,276
Norway		—		10,029,529		—		10,029,529
Philippines		—		101,295		—		101,295
Poland		—		711,386		—		711,386
Russia		—		13,547,950		—		13,547,950
Singapore		—		180,986		—		180,986
South Africa		—		4,371,935		—		4,371,935
South Korea		—		142,800		—		142,800
Spain		—		7,045,110		—		7,045,110
Sweden		—		719,400		—		719,400
Taiwan		—		189,181		—		189,181
Thailand		—		1,903,000		—		1,903,000
Turkey		—		307,962		—		307,962
United Kingdom		—		13,348,551		—		13,348,551
United States		11,586,252		—		—		11,586,252
TOTAL COMMON STOCKS		12,567,545		102,743,507		—		115,311,052

Description	Level 1		Level 2			Level 3			Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil	$	—	$	2,142,078		$	—		$	2,142,078
TOTAL PREFERRED STOCKS		—		2,142,078			—			2,142,078
Mutual Funds
United States		6,182,000		—			—			6,182,000
TOTAL MUTUAL FUNDS		6,182,000		—			—			6,182,000
Short-Term Investments		220,674		—			—			220,674
TOTAL SHORT-TERM INVESTMENTS		220,674		—			—			220,674
Total Investments		18,970,219		104,885,585			—			123,855,804
Total	$	18,970,219	$	104,885,585		$	—		$	123,855,804
Risk Premium Fund
Asset Valuation Inputs
Short-Term Investments	$	452,559,428	$	—		$	—		$	452,559,428
Total Investments		452,559,428		—			—			452,559,428
Total	$	452,559,428	$	—		$	—		$	452,559,428
Liability Valuation Inputs
Derivatives*
Written Options
Equity Risk	$	—	$	(5,419,834	)	$	—		$	(5,419,834	)
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	2,156,943		$	—		$	2,156,943
Austria		—		1,513,285			0	**		1,513,285
Belgium		—		5,022,624			—			5,022,624
Brazil		—		330,004			—			330,004
Canada		4,109,759		—			—			4,109,759
China		—		4,289,007			—			4,289,007
Czech Republic		—		796,606			—			796,606
Denmark		—		2,626,472			—			2,626,472
Finland		—		6,404,690			—			6,404,690
France		—		77,623,564			20			77,623,584
Germany		—		61,610,128			—			61,610,128
Hong Kong		—		1,769,122			—			1,769,122
Ireland		—		1,074,765			—			1,074,765
Israel		3,548,529		1,182,670			—			4,731,199
Italy		—		25,961,152			—			25,961,152
Japan		—		62,975,333			—			62,975,333
Malta		—		—			0	**		0	**
Netherlands		—		6,996,812			—			6,996,812
New Zealand		—		722,455			—			722,455
Norway		—		5,674,618			—			5,674,618
Portugal		—		1,434,074			—			1,434,074
Russia		—		18,975,792			—			18,975,792
Singapore		—		1,303,407			—			1,303,407
South Africa		—		312,656			—			312,656
South Korea		—		4,983,375			—			4,983,375
Spain		—		27,398,954			17,668			27,416,622
Sweden		—		6,479,809			—			6,479,809
Switzerland		—		8,656,831			—			8,656,831
Taiwan		—		1,194,967			—			1,194,967
United Kingdom		—		63,381,849			—			63,381,849
TOTAL COMMON STOCKS		7,658,288		402,851,964			17,688			410,527,940

Description	Level 1		Level 2		Level 3		Total
Tax-Managed International Equities Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil	$	—	$	1,238,035	$	—	$	1,238,035
Germany		—		8,377,935		—		8,377,935
Russia		417,850		1,307,323		—		1,725,173
South Korea		—		5,800,050		—		5,800,050
TOTAL PREFERRED STOCKS		417,850		16,723,343		—		17,141,193
Rights/Warrants
Spain		351,559		—		—		351,559
TOTAL RIGHTS/WARRANTS		351,559		—		—		351,559
Mutual Funds
United States		8,630,000		—		—		8,630,000
TOTAL MUTUAL FUNDS		8,630,000		—		—		8,630,000
Total Short-Term Investments		2,754,556		—		—		2,754,556
Total Investments		19,812,253		419,575,307		17,688		439,405,248
Total	$	19,812,253	$	419,575,307	$	17,688	$	439,405,248
U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund)
Asset Valuation Inputs
Common Stocks	$	7,208,116,293	$	—	$	—	$	7,208,116,293
Mutual Funds		54,900,000		—		—		54,900,000
Short-Term Investments		3,215,551		—		—		3,215,551
Total Investments		7,266,231,844		—		—		7,266,231,844
Total	$	7,266,231,844	$	—	$	—	$	7,266,231,844

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 value of zero at November 30, 2014.

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’ portfolio valuation notes.

For all Funds for the period ended November 30, 2014, 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, 2014		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)		Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3*			Transfer out of Level 3*		Balances as of November 30, 2014		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2014
Developed World Stock Fund
Common Stocks
South Africa	$	—	$	—	$	—		$	—	$	—	$	—		$	4	**	$	—	$	4	$	—
Spain		—		6,653		—			—		—		3,759			—			—		10,412		3,759
Taiwan		1,546,622		—		(942,106	)		—		5,940		6,781			—			—		617,237		4,198
Rights/Warrants
South Korea		—		1,505		(673	)		—		—		(347	)		—			—		485		(347	)
Total	$	1,546,622	$	8,158	$	(942,779	)	$	—	$	5,940	$	10,193		$	4		$	—	$	628,138	$	7,610
International Equity Fund
Common Stocks
Spain	$	—	$	142,365	$	—		$	—	$	—	$	4,535		$	—		$	—	$	146,900	$	4,535
Total	$	—	$	142,365	$	—		$	—	$	—	$	4,535		$	—		$	—	$	146,900	$	4,535

	Balances as of February 28, 2014		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3*			Transfer out of Level 3*			Balances as of November 30, 2014		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2014
International Large/Mid Cap Equity Fund
Common Stocks
Spain	$	—	$	18,811	$	—		$	—	$	—		$	599		$	—		$	—		$	19,410	$	599
Preferred Stocks
United Kingdom		—		611		(611	)		—		—			—			—			—			—		—
Total	$	—	$	19,422	$	(611	)	$	—	$	—		$	599		$	—		$	—		$	19,410	$	599
International Small Companies Fund
Common Stocks
Belgium	$	19	$	—	$	—		$	—	$	—		$	(2	)	$	—		$	—		$	17	$	(2	)
Greece		6,282		—		—			—		—			(619	)		—			—			5,663		(619	)
Indonesia		184,938		—		—			—		—			(79,385	)		—			(105,553	)**		—		—
Total	$	191,239	$	—	$	—		$	—	$	—		$	(80,006	)	$	—		$	(105,553	)	$	5,680	$	(621	)
Tax-Managed International Equities Fund
Common Stocks
China	$	—	$	—	$	(147,074	)	$	—	$	(14,715	)	$	—		$	161,789	** ***	$	—		$	—	$	—
France		22		—		—			—		—			(2	)		—			—			20		(2	)
Spain		—		11,527		—			—		—			6,141			—			—			17,668		6,141
Preferred Stocks
United Kingdom		—		4,561		(4,561	)		—		—			—			—			—			—		—
Rights/Warrants
South Korea		—		9,975		(9,975	)		—		—			—			—			—			—		—
Total	$	22	$	26,063	$	(161,610	)	$	—	$	(14,715	)	$	6,139		$	161,789		$	—		$	17,688	$	6,139

* Unless separately noted, 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 were due to a change in observable and/or unobservable inputs.

*** Security transferred into Level 3 is shown at cost.

The net aggregate direct and indirect exposure to investments in securities using Level 3 inputs (based on each Funds’ net assets) as of November 30, 2014 were as follows:

Fund Name	Level 3 securities
Developed World Stock Fund		< 1%
International Equity Fund		< 1%
International Large/Mid Cap Equity Fund		< 1%
International Small Companies Fund		< 1%
Quality Fund		—
Resources Fund		—
Risk Premium Fund		—
Tax-Managed International Equities Fund		< 1%
U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund)		—

* Represents the interest in securities that were determined to have a value of zero at November 30, 2014.

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 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.

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:

	Developed World Stock Fund	International Equity Fund	International Large/Mid Cap Equity Fund	International Small Companies Fund	Quality Fund	Resources Fund	Risk Premium Fund	Tax-Managed International Equities Fund	U.S. Equity Allocation Fund (formerly U.S. Core Equity Fund)
Market Risk – Equities	X	X	X	X	X	X	X	X	X
Market Risk –Fixed Income Investments							X
Credit Risk							X
Illiquidity Risk	X	X	X	X	X	X	X	X	X
Smaller Company Risk	X	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
Currency Risk	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
Commodities Risk						X
Merger Arbitrage 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
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 GMO 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 as well as the risk that investments made through underlying Funds will not perform as expected. 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 its underlying Funds.

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

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

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 performance by the company’s management 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. If a Fund purchases equities for less than their value as determined by GMO, the Fund runs the risk that the market prices of these equities will not appreciate or will decline for a variety of reasons, one of which may be GMO’s

overestimation 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 net asset value is expected to decline 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 sharply because the Fund’s lack of exposure to the upside of those 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, and the market price of the Fund’s investment may 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 “Illiquidity 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.

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”)) 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. 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. 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.

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 GMO waives or reduces its management fees.

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

Fixed income markets may, in response to governmental intervention, economic or market developments, or other factors, experience periods of high volatility and/or reduced liquidity. During those periods, a Fund could also experience high levels of shareholder redemptions, and may have to sell securities when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent periods, central banks and governmental financial regulators, including the U.S. Federal Reserve, have maintained historically low interest rates by purchasing bonds. Steps to curtail or “taper” such activities and other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) could have a material adverse effect on the Funds.

• 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), whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the life of a fixed income security. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed

and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s willingness or ability to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.

In many 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 the investment’s rating will be downgraded.

U.S. government securities 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 repayment by the United States of 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 under “Market Risk – Asset-Backed Securities” above.

The obligations of issuers also may be 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 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. Investments in distressed or defaulted instruments generally are considered speculative and may involve substantial risks not normally associated with investments in healthier companies including adverse business, financial or economic conditions that can lead to defaulted payments and insolvency proceedings. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and a Fund may incur additional expenses to seek recovery. If GMO’s evaluation of the eventual recovery value of a distressed or defaulted instrument should prove incorrect, a Fund may lose a substantial portion or all of its investment or it may be required to accept cash or instruments with a value less than the Fund’s original investment. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the sovereign issuer.

• ILLIQUIDITY RISK. Illiquidity 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 closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity 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). To the extent a Fund’s investments include asset-backed securities, distressed or defaulted instruments, emerging country debt securities, securities of companies with smaller market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. 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.

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 Risk Premium 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, may have inexperienced managers 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. Market risk and illiquidity 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 changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other over-the-counter (“OTC”) contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, 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 still 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 GMO 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., foreign 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 will typically not receive the collateral for one or more days after the collateral is requested by the Fund.

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, illiquidity 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, GMO 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 illiquidity risk (see “Illiquidity 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.

There is little case or other law interpreting the terms of most derivatives or characterizing their tax treatment. A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders.

Cleared Derivatives. The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. Because these requirements are new and evolving (and some 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 hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds 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 some 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 positions than for bilateral derivatives positions. Also, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives position 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 positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions 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 positions 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 GMO 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 position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and 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. While futures contracts entail similar risks, the risks likely are more pronounced for cleared derivatives due to their more limited liquidity and market history.

Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility. If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), it is possible the Fund could not execute all components of the package on the swap execution facility. In that case, the Fund would need to trade certain components of the package on the swap execution facility and other components of the package in another manner, which could subject the Fund to the risk that certain of the components of the package would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.

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 rules and regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new rules and 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 they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Options. Some Funds, particularly Risk Premium Fund, are permitted to write options. The market price of written options 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 the option’s expiration, the writer of an American-style option has no control over 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 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, GMO, and other funds advised by GMO 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-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.

Special tax rules apply to a Fund’s transactions in options, which could increase the amount of taxes payable by shareholders. In particular, a 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 at ordinary income tax rates. 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.

Short Investment Exposure. Some Funds may make short sales as part of their investment programs in an attempt to increase their returns or for hedging purposes. Many Funds may make short sales “against the box,” meaning the Fund may make short sales where the Fund owns, or has the right to acquire at no added cost, securities or currencies identical to those sold short. Short sales expose a 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.

In addition, some Funds are permitted to engage in short sales of securities or currencies, including securities or currencies that they do not own. To do so, a 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. 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. A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency. Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A 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 or takes “short” derivative positions.

• 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. Non-U.S. securities markets often include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets 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. The reporting, accounting, custody and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities 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 and/or its shareholders 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 or other disposition of those investments. A Fund may seek to collect a refund of taxes paid, but its efforts 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, particularly in light of the costs involved, it may decide not to pursue a refund, even if eligible. The outcome of a Fund’s pursuit of a refund is not predictable, and potential refunds generally are not reflected in the net asset value of a Fund.

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, including the imposition of economic sanctions.

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 United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign 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 GMO’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 GMO’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 foreign 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. 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 GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.

Derivative transactions in foreign 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 that are subject to the same or similar risk factors or whose security prices have strong positive correlations (e.g., different industries within broad sectors, such as technology or financial services), or in securities from issuers that are subject to the same or similar risk factors, 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, 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 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 Resources Fund concentrates its investments in the natural resources sector, it 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.

Because Risk Premium Fund can have substantial exposure through a limited number of options contracts and because the Fund’s exposures may relate to relatively few stock indices, the Fund is subject to focused investment 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 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 may not 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 still have contractual remedies (whether or not the obligation is collateralized), 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 has been and may continue to 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 positions 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 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 the funds held in the omnibus account for the 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 Commodity 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.

• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the net asset value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. The value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives Risk” above for a discussion of certain specific risks of a Fund’s derivatives investments, including commodity-related derivatives.

• MERGER ARBITRAGE RISK. Some Funds may engage in merger arbitrage transactions, where a Fund will purchase securities at prices below GMO’s anticipated value of the cash, securities or other consideration to be paid or exchanged for such securities upon successful completion of a proposed merger, exchange offer, tender offer, or other similar transaction. Such purchase price may be substantially in excess of the market price of the securities prior to the announcement of the merger, exchange offer, tender offer, or other similar transaction.

If a Fund purchases securities in anticipation of a proposed merger, exchange offer, tender offer, or other similar transaction, and that transaction later appears unlikely to be consummated or in fact is not consummated or is delayed, the market price of the security purchased by the Fund may decline sharply and result in losses to the Fund if such securities are sold, transferred or exchanged for securities or cash, the value of which is less than the purchase price. There is typically asymmetry in the risk/reward payout of merger arbitrage strategies – the losses that can occur in the event of deal break-ups can far exceed the gains to be had if deals close successfully. The consummation of mergers, exchange offers, tender offers, and similar transactions can be prevented or delayed by a variety of factors, including regulatory and antitrust restrictions, political motivations, industry weakness, stock specific events, failed financings, and general market declines.

Merger arbitrage strategies depend for success on the overall volume of merger activity, which has historically been cyclical in nature. During periods when merger activity is low, it may be difficult or impossible to identify opportunities for profit or to identify a sufficient number of such opportunities to provide diversification among potential merger transactions. Merger arbitrage strategies are also subject to the risk of overall market movements. To the extent that a general increase or decline in equity market values affects the securities involved in a merger arbitrage position differently, the position may be exposed to loss.

In conjunction with merger arbitrage transactions, a Fund may make short sales of securities in an effort to maximize risk-adjusted returns. For example, when the terms of a proposed acquisition call for an exchange of securities, a Fund may sell short the securities of the acquiring company in order to protect against a decline in the market value of those securities prior to the acquisition’s completion. A Fund also may employ a variety of hedging strategies to protect against market fluctuations or other risks, and may use derivatives otherwise to gain, or reduce, long or short exposure to one or more asset classes or issuers.

At any given time, a Fund can become improperly hedged, which can lead to inadvertent market-related losses. Also, a Fund may not be able to hedge against market fluctuations or other risks, and market movements can result in losses to the Fund even if the proposed transaction is consummated. In addition, a Fund may sell short securities expected to be issued in a merger or exchange offer in anticipation of the short position being covered by delivery of such security when issued. If the merger or exchange offer is not consummated, the Fund may be forced to cover its short position by acquiring, converting, or exchanging securities to replace the borrowed securities at a time when the securities sold short have appreciated in value, thus resulting in a loss.

• 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. Terrorism in the United States and around the world 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 reduce 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, a default by the U.S. government or a downgrade of its credit rating 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 United States 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 United States 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 affect 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 a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.

• LARGE SHAREHOLDER RISK. If 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 by forcing the Fund to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may purchase or sell Fund shares. GMO Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by GMO 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) 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, have adverse tax consequences for shareholders. They also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization. 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 GMO’s ability to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times. In the case of Tax-Managed International Equities Fund, GMO’s tax-management strategies may be ineffective or limited by market conditions, the timing of cash flows into and out of the Fund, and current or future in tax legislation and regulation.

For some Funds GMO uses quantitative analyses and models as part of its investment process. Any imperfections, errors, or limitations in those analyses and models could affect a Fund’s performance. 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 GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’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 GMO 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. GMO is not contractually liable to the Funds for losses associated with operational risk absent its 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.

With the increased use of technologies such as the Internet and the dependence on computer systems to perform necessary business functions, investment companies (such as the Funds) and their service providers (including GMO) may be prone to operational and information security risks resulting from cyber-attacks and/or other technological malfunctions. In general, cyber-attacks are deliberate, but unintentional events may have similar effects. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other affiliated or third-party service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, there are inherent limitations in such plans and systems including the possibility that certain risks have not been identified. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”). This means they are allowed to invest in the securities of relatively few issuers and/or foreign 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 within the meaning of the 1940 Act:

• Developed World Stock Fund

• Quality Fund

• Resources Fund

• Risk Premium Fund

• Tax-Managed International Equities Fund

Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and that are taken in attempting to respond to adverse market, economic, political or other conditions. 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.

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 indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives to gain long investment exposure to 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 GMO 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 GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their investment exposures, the Funds also may use currency derivatives in an attempt to adjust their currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which their equities are traded.

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 GMO 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 Risk Premium 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 is subject to heightened risk of loss. Risk Premium 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.

A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.

Certain derivatives transactions that may be 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, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges 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 GMO 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 November 30, 2014, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivatives and Objective for Use

Developed World Stock Fund

International Equity Fund

International Large/Mid Cap Equity 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

Manage against anticipated currency exchange rate changes

X

X

X

X

X

Futures contracts

Adjust exposure to certain securities markets

X

Maintain the diversity and liquidity of the portfolio

X

Options (Written)

Substitute for direct equity investment

X

Rights and/or warrants

Received as a result of corporate actions

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 price 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. 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, if any, 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.

For the period ended November 30, 2014, investment activity in options contracts written by the Funds was 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		—		10,202		$	11,920,736			—		—	$	—
Options written		—		101,351			117,166,633			—		—		—
Options bought back		—		(50,037	)		(62,004,456	)		—		—		—
Options expired		—		(50,260	)		(58,277,307	)		—		—		—
Options exercised		—		—			—			—		—		—
Outstanding, end of period		—		11,256		$	8,805,606			—		—	$	—

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 market of 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. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss.

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights 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). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

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. 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. The values assigned to swap contracts may differ significantly from the values 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 fair valuations of derivative instruments categorized by risk exposure as of November 30, 2014:

	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Developed World Stock Fund
Assets:
Investments, at value (rights and/or warrants)	$	—	$	168,139		$	—	$	—	$	—	$	168,139
Total	$	—	$	168,139		$	—	$	—	$	—	$	168,139
International Equity Fund
Assets:
Investments, at value (rights and/or warrants)	$	—	$	11,221,189		$	—	$	—	$	—	$	11,221,189
Total	$	—	$	11,221,189		$	—	$	—	$	—	$	11,221,189
International Large/Mid Cap Equity Fund
Assets:
Investments, at value (rights and/or warrants)	$	—	$	1,532,622		$	—	$	—	$	—	$	1,532,622
Total	$	—	$	1,532,622		$	—	$	—	$	—	$	1,532,622
International Small Companies Fund
Assets:
Investments, at value (rights and/or warrants)	$	—	$	43,141		$	—	$	—	$	—	$	43,141
Total	$	—	$	43,141		$	—	$	—	$	—	$	43,141
Risk Premium Fund
Liabilities:
Written Options, at value	$	—	$	(5,419,834	)	$	—	$	—	$	—	$	(5,419,834	)
Total	$	—	$	(5,419,834	)	$	—	$	—	$	—	$	(5,419,834	)
Tax-Managed International Equities Fund
Assets:
Investments, at value (rights and/or warrants)	$	—	$	351,559		$	—	$	—	$	—	$	351,559
Total	$	—	$	351,559		$	—	$	—	$	—	$	351,559

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.

The average derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants) or number of contracts (options) outstanding at each month-end, was as follows for the period ended November 30, 2014:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options		Rights and/or Warrants ($)
Developed World Stock Fund		54,952,648		761,793		—		84,587
International Equity Fund		2,274,668,388		—		—		8,819,957
International Large/Mid Cap Equity Fund		365,033,475		—		—		1,051,778
International Small Companies Fund		66,689,057		—		—		489,642
Resources Fund		—		—		—		13,289
Risk Premium Fund		—		—		10,668		—
Tax-Managed International Equities Fund		55,839,202		—		—		243,817

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

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 85.7%
		Brazil — 4.3%
	300	Banco Bradesco SA		4,463
	93,960	Banco do Brasil SA		1,086,190
	100	BR Malls Participacoes SA		719
	6,900	BR Properties SA		29,458
	7,100	Brasil Brokers Participacoes SA		8,277
	5,301	CETIP SA		68,576
	10,800	Companhia de Saneamento Basico do Estado de Sao Paulo		80,889
	16,089	Companhia de Saneamento Basico do Estado de Sao Paulo ADR		119,059
	20,200	Companhia Siderurgica Nacional SA		47,727
	19,200	Companhia Siderurgica Nacional SA Sponsored ADR		44,736
	3,000	Cosan Ltd – Class A		27,450
	1,500	CPFL Energia SA		11,527
	700	CPFL Energia SA ADR		10,759
	7,900	Cyrela Brazil Realty SA Empreendimentos e Participacoes		38,347
	11,495	Duratex SA		37,602
	18,500	Klabin SA		100,620
	3,155	Localiza Rent a Car SA		43,053
	3,700	LPS Brasil Consultoria de Imoveis SA		13,416
	3,500	Multiplan Empreendimentos Imobiliarios SA		70,427
	2,000	Multiplus SA		27,058
	8,325	Raia Drogasil SA		79,198
	19,100	Tim Participacoes SA		92,787
	2,100	Ultrapar Participacoes SA		45,073
	20,200	Vale SA Sponsored ADR		182,002
		Total Brazil		2,269,413
		China — 17.3%
	1,019,802	Agricultural Bank of China Ltd – Class H		481,402
	5,000	Anhui Conch Cement Co Ltd – Class H		16,821
	595	Baidu Inc Sponsored ADR *		145,840
	2,708,000	Bank of China Ltd – Class H		1,390,702
	55,000	Belle International Holdings Ltd		62,591
	9,500	Biostime International Holdings Ltd		22,640
	50,000	Brilliance China Automotive Holdings Ltd		85,221
	18,000	China Cinda Asset Management Co Ltd *		9,561
	569,160	China Communications Services Corp Ltd – Class H		276,960
	2,028,720	China Construction Bank – Class H		1,531,958
	16,000	China Everbright International Ltd		24,475
	9,560	China Gas Holdings Ltd		17,797
	109,834	China Mobile Ltd		1,355,159
	582	China Mobile Ltd Sponsored ADR		35,921
	5,600	China Overseas Land & Investment Ltd		16,751
	22,000	China Resources Land Ltd		55,440
	83,500	China Shenhua Energy Co Ltd – Class H		236,683
	995,900	China Telecom Corp Ltd – Class H		600,478
	300	China Telecom Corp Ltd ADR		18,399
	176,000	CNOOC Ltd		254,329

Shares		Description	Value ($)
		China — continued
	1,249	CNOOC Ltd ADR		179,769
	95,000	Geely Automobile Holdings Ltd		41,180
	123,000	GOME Electrical Appliances Holdings Ltd		18,191
	9,500	Great Wall Motor Co Ltd – Class H		48,017
	38,000	Huaneng Power International Inc – Class H		44,655
	19,400	Industrial and Commercial Bank of China Ltd – Class A		12,711
	2,156,000	Industrial and Commercial Bank of China Ltd – Class H		1,454,521
	19,000	Inner Mongolia Yitai Coal Co Ltd – Class B		28,591
	14,000	Jiangxi Copper Co Ltd – Class H		25,115
	2,000	Kerry Logistics Network Ltd		3,253
	1,900	New Oriental Education & Technology Group Inc Sponsored ADR *		42,028
	84,400	People’s Insurance Co Group of China Ltd		40,922
	76,000	PICC Property & Casualty Co Ltd – Class H		152,530
	5,000	Ping An Insurance (Group) Co of China Ltd – Class H		41,761
	14,000	Shanghai Industrial Holdings Ltd		43,267
	13,000	Shenzhou International Group Holdings Ltd		43,125
	100	Sohu.com, Inc. *		5,061
	2,000	TAL Education Group ADR *		61,440
	18,000	Tong Ren Tang Technologies Co Ltd		24,781
	1,000	Vipshop Holdings Ltd ADS *		22,860
	38,000	Xinyi Glass Holdings Ltd		20,409
	165,000	Yangzijiang Shipbuilding Holdings Ltd		155,186
	12,000	Zhejiang Expressway Co Ltd – Class H		13,459
	7,000	Zhuzhou CSR Times Electric Co Ltd – Class H		30,103
		Total China		9,192,063
		Czech Republic — 3.2%
	44,781	CEZ AS		1,246,648
	1,040	Komercni Banka AS		231,333
	3,575	Pegas Nonwovens SA		104,430
	282	Philip Morris CR AS		131,047
		Total Czech Republic		1,713,458
		Egypt — 2.5%
	14,835	Alexandria Mineral Oils Co		148,448
	36,806	ElSwedy Electric Co *		239,849
	14,643	Global Telecom Holding GDR *		42,695
	1,398,375	Orascom Telecom Media And Technology Holding SAE *		256,550
	19,791	Oriental Weavers Co		154,497
	34,712	Sidi Kerir Petrochemicals Co		85,311
	131,908	South Valley Cement		149,984
	125,763	Telecom Egypt Co		253,896
		Total Egypt		1,331,230
		France — 0.0%
	4	Casino Guichard Perrachon SA		386

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Hungary — 0.0%
	6,522	Magyar Telekom Telecommunications Plc *		8,977
		India — 7.6%
	5,817	Aban Offshore Ltd		51,046
	2,929	Asian Paints Ltd		35,169
	7,992	Aurobindo Pharma Ltd		140,594
	5,579	Bank of Baroda (a)		100,278
	11,428	Bank of India		52,805
	3,637	Berger Paints India Ltd		23,088
	20,003	Bharat Heavy Electricals Ltd		90,637
	1,069	Cadila Healthcare Ltd		26,610
	35,394	Cairn India Ltd		148,206
	4,023	Canara Bank Ltd		26,674
	2,409	CESC Ltd		27,565
	1,002	Colgate-Palmolive India Ltd		30,043
	1,041	Credit Analysis & Research Ltd		24,066
	3,996	Dabur India Ltd		15,531
	3,192	Dewan Housing Finance Corp Ltd		20,876
	38,267	DLF Ltd		91,156
	1,517	Emami Ltd		18,893
	5,853	Federal Bank Ltd		14,327
	10,500	GAIL India Ltd		82,712
	42,866	HDFC Bank Ltd (a)		702,890
	1,468	Hero MotoCorp Ltd		74,320
	40,896	Hindalco Industries Ltd		114,556
	600	ICICI Bank Ltd Sponsored ADR		35,334
	11,987	IDFC Ltd (a)		31,498
	4,980	Indiabulls Housing Finance Ltd		36,142
	7,279	Indian Oil Corp Ltd		42,684
	7,911	ITC Ltd		46,214
	91,446	Jaiprakash Associates Ltd *		42,346
	12,542	Kajaria Ceramics Ltd		119,941
	6,007	Lupin Ltd (a)		145,794
	4,265	Mahindra & Mahindra Ltd		90,968
	1,620	Maruti Suzuki India Ltd (a)		87,607
	1,069	Max India Ltd		6,331
	25,799	Mphasis Ltd		168,110
	55,410	NTPC Ltd		126,886
	5,459	Oriental Bank of Commerce		26,804
	8,203	Punjab National Bank Ltd (a)		141,701
	71,179	Reliance Communications Ltd *		117,597
	7,073	Reliance Infrastructure Ltd		69,140
	1,871	Rural Electrification Corp Ltd		10,103
	32,493	Sesa Sterlite Ltd		120,474
	1,760	Sesa Sterlite Ltd ADR		25,942
	200	State Bank of India		1,035
	804	Supreme Industries Ltd		7,997
	4,909	Syndicate Bank		10,275
	14,976	Tata Motors Ltd		127,512
	40,780	Tata Power Co Ltd		60,819
	13,893	Tata Steel Ltd		105,656
	4,452	Tech Mahindra Ltd		188,546
	451	Ultratech Cement Ltd		18,013

Shares		Description	Value ($)
		India — continued
	649	United Spirits Ltd *		28,511
	5,684	Yes Bank Ltd		64,807
		Total India		4,016,829
		Indonesia — 3.1%
	400,000	ACE Hardware Indonesia Tbk PT		26,376
	547,200	Astra International Tbk PT		319,099
	194,816	Bank Danamon Indonesia Tbk PT		67,149
	73,372	Bank Mandiri Persero Tbk PT		63,383
	24,816	First Real Estate Investment Trust		23,595
	685,000	Global Mediacom Tbk PT		90,120
	114,000	Indosat Tbk PT *		32,608
	166,800	Kalbe Farma Tbk PT		23,934
	850,800	Media Nusantara Citra Tbk PT		167,736
	25,800	Perusahaan Gas Negara Persero Tbk PT		12,583
	765,800	Telekomunikasi Indonesia Persero Tbk PT		177,537
	14,000	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		645,400
	37,000	XL Axiata Tbk PT		15,468
		Total Indonesia		1,664,988
		Malaysia — 0.2%
	37,812	CIMB Group Holdings Berhad		65,108
	4,922	Hong Leong Bank Berhad		20,799
	36,800	Media Prima Bhd		20,996
		Total Malaysia		106,903
		Mexico — 0.4%
	18,096	Cemex SA de CV CPO *		22,419
	2,720	Cemex SAB de CV Sponsored ADR *		34,027
	6,500	Embotelladoras Arca SAB de CV		41,627
	13,500	Fibra Uno Administracion SA de CV (REIT)		45,201
	5,841	Grupo Financiero Banorte SAB de CV – Class O		33,090
	3,700	Infraestructura Energetica Nova SAB de CV		21,703
		Total Mexico		198,067
		Panama — 0.1%
	400	Copa Holdings SA – Class A		44,764
		Peru — 0.5%
	24,937	Companhia de Minas Buenaventura SA ADR		230,667
	900	Southern Copper Corp		26,955
		Total Peru		257,622
		Philippines — 1.0%
	23,500	Aboitiz Power Corp		22,064
	27,080	BDO Unibank Inc		65,829
	1,950	GT Capital Holdings Inc		46,867
	1,771,300	Lopez Holding Corp		271,563
	19,100	Manila Water Co Inc		12,158
	307	Philippine Long Distance Telephone Co		20,493
	45,000	Puregold Price Club Inc		38,235

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Philippines — continued
	29,080	Robinsons Retail Holdings Inc		46,932
	3,120	San Miguel Corp		5,388
	7,030	Semirara Mining & Power Corp		21,827
		Total Philippines		551,356
		Poland — 3.5%
	1,417	Bank Pekao SA		78,028
	354	Jastrzebska Spolka Weglowa SA *		2,202
	85	Jeronimo Martins SGPS SA		865
	45,731	KGHM Polska Miedz SA		1,667,264
	17,785	PGE SA		102,288
		Total Poland		1,850,647
		Qatar — 0.2%
	9,676	Qatar Gas Transport Co Nakilat		63,657
	963	Qatar National Bank		60,422
		Total Qatar		124,079
		Russia — 7.1%
	6,700	CTC Media Inc		39,932
	2,106	Eurasia Drilling Co Ltd GDR		37,758
	44,716	Gazprom Neft – Class S *		142,720
	6,614	Gazprom Neft JSC Sponsored ADR		107,324
	160,989	Gazprom OAO Sponsored ADR		940,859
	46,022	KamAZ *		27,724
	2,865	Lenta Ltd *		22,355
	14,639	Lukoil OAO Sponsored ADR		681,415
	1,583	Mail.ru Group Ltd GDR (Registered Shares) *		36,634
	744	MegaFon OAO GDR		15,348
	12,072	Mobile Telesystems Sponsored ADR		147,520
	13,117	Moscow Exchange		15,864
	258	NovaTek OAO GDR		24,352
	10,552	Rosneft OJSC GDR (Registered)		49,971
	67,719	Sberbank Sponsored ADR		415,411
	1,448	Sistema JSFC Sponsored GDR (Registered Shares)		8,314
	80,183	Surgutneftegas Sponsored ADR		471,172
	17,680	Tatneft Sponsored ADR		540,859
	7,100	VimpelCom Ltd Sponsored ADR		37,275
		Total Russia		3,762,807
		South Africa — 1.1%
	158,017	African Bank Investments Ltd (b)		14
	686	Aspen Pharmacare Holdings Ltd		24,748
	4,428	Coronation Fund Managers Ltd		44,231
	3,630	Discovery Ltd		36,498
	4,324	Exxaro Resources Ltd		43,433
	19,394	Growthpoint Properties Ltd		48,504
	4,536	Kumba Iron Ore Ltd		105,456
	12,642	Life Healthcare Group Holdings Ltd		47,621
	93	Sasol Ltd		3,872
	800	Sasol Ltd Sponsored ADR		33,640

Shares		Description	Value ($)
		South Africa — continued
	31,478	Telkom South Africa Ltd *		195,398
		Total South Africa		583,415
		South Korea — 15.4%
	14,102	DGB Financial Group Inc		148,226
	3,330	Dongbu Insurance Co Ltd		166,975
	3,628	GS Holdings		135,834
	9,313	Hana Financial Group Inc		283,043
	14,727	Hanwha Corp		394,400
	2,393	Hyundai Mobis		531,570
	2,986	Hyundai Motor Co		479,718
	66	Hyundai Wia Corp		10,464
	38,890	Industrial Bank of Korea		526,525
	5,103	INTOPS Co Ltd		65,990
	16,613	Kia Motors Corp		831,048
	36	Korea Zinc Co Ltd		13,857
	16,400	KT Corp Sponsored ADR		242,064
	3,403	Kwangju Bank *		30,222
	5,201	Kyongnam Bank *		59,713
	78	LG Chem Ltd		14,513
	84	Lotte Chemical Corp		13,288
	138	Lotte Shopping Co Ltd		37,322
	23,790	Samho International Co Ltd *		269,475
	233	Samsung Electro Mechanics Co Ltd		12,774
	196	Samsung Electronics Co Ltd GDR		112,639
	1,693	Samsung Engineering Co Ltd *		74,642
	147	Samsung SDI Co Ltd		17,720
	1,887	Samsung Electronics Co Ltd		2,186,235
	695	Shinhan Financial Group Co Ltd		31,079
	6,280	SK Innovation Co Ltd		484,309
	20,839	SK Telecom Co Ltd ADR		590,369
	40,668	Woori Bank *		392,750
		Total South Korea		8,156,764
		Spain — 0.5%
	30,106	Banco Santander SA Sponsored ADR		267,943
		Taiwan — 9.9%
	10,000	Advanced Semiconductor Engineering Inc		12,129
	9,894	Advantech Co Ltd		67,695
	66,000	Asustek Computer Inc		718,912
	19,000	Catcher Technology Co Ltd		160,505
	103,884	Chunghwa Telecom Co Ltd		312,708
	915,577	Compal Electronics Inc		584,725
	11,000	Delta Electronics Inc		66,392
	45,745	E.Sun Financial Holding Co Ltd		28,951
	27,914	Far EasTone Telecommunications Co Ltd		60,395
	17,640	Foxconn Technology Co Ltd		49,250
	5,000	Giant Manufacturing Co Ltd		43,916
	250,832	Hon Hai Precision Industry Co Ltd		786,161
	103,000	HTC Corp *		454,942
	91,451	Lite-On Technology Corp		110,645
	10,000	Lung Yen Life Service Corp		31,425

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	6,176	MediaTek Inc		92,651
	56,722	Mega Financial Holding Co Ltd		46,083
	51,000	Pegatron Corp		118,241
	21,000	Pou Chen Corp		25,374
	6,100	Powertech Technology Inc		10,190
	830,200	ProMOS Technologies Inc * (b)		—
	90,715	Quanta Computer Inc		225,553
	25,000	Siliconware Precision Industries Co		36,868
	353,863	Taishin Financial Holding Co Ltd		163,884
	25,308	Taiwan Mobile Co Ltd		80,449
	12,600	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		295,722
	41,880	TPK Holding Co Ltd		268,758
	430,193	Wistron Corp		392,352
	1,000	Wowprime Corp		9,424
		Total Taiwan		5,254,300
		Thailand — 3.4%
	7,573	Advanced Info Service Pcl (Foreign Registered)		54,888
	2,200	Airports of Thailand Pcl (Foreign Registered)		18,623
	214,000	Bangkok Dusit Medical Services Pcl (Foreign Registered)		120,523
	334,600	Banpu Pcl (Foreign Registered)		277,674
	41,700	Chularat Hospital Pcl (Foreign Registered)		24,254
	77,900	Electricity Generating Pcl (Foreign Registered)		404,637
	184,095	Hemaraj Land and Development Pcl (Foreign Registered)		24,205
	20,700	Intouch Holdings Pcl (Foreign Registered) (a)		49,794
	1,600	Kasikornbank Pcl NVDR		12,038
	51,922	PTT Pcl (Foreign Registered)		605,158
	83,000	Quality Houses Pcl (Foreign Registered)		10,305
	26,180	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		49,242
	312,533	Sansiri Pcl (Foreign Registered)		18,377
	27,200	SPCG Pcl (Foreign Registered)		23,818
	43,400	Thai Oil Pcl (Foreign Registered)		57,146
	15,900	Tisco Financial Group Pcl (Foreign Registered)		22,378
	74,400	TTW Pcl (Foreign Registered)		26,967
	56,160	VGI Global Media Pcl (Foreign Registered)		22,062
		Total Thailand		1,822,089
		Turkey — 3.4%
	63,113	Akbank TAS		255,690
	13,936	Arcelik AS		89,126
	6,623	Dogus Otomotiv Servis ve Ticaret AS		34,980
	137,192	Emlak Konut Gayrimenkul Yatirim		174,353
	4,152	Haci Omer Sabanci Holding AS		19,860
	2,846	KOC Holding AS		16,026
	2,353	Koza Altin Isletmeleri AS		13,684
	7	Pegasus Hava Tasimaciligi AS *		102
	11,080	Tofas Turk Otomobil Fabrikasi AS		78,904
	72,715	Turk Telekomunikasyon AS		232,641

Shares		Description	Value ($)
		Turkey — continued
	1,100	Turk Traktor ve Ziraat Makineleri AS		34,500
	28,284	Turkcell Iletisim Hizmetleri AS *		179,408
	600	Turkcell Iletisim Hizmetleri AS ADR *		9,522
	64,240	Turkiye Garanti Bankasi AS		282,612
	41,174	Turkiye IS Bankasi – Class C		114,270
	21,932	Turkiye Vakiflar Bankasi TAO – Class D		50,333
	15,759	Turkiye Halk Bankasi AS		112,080
	40,838	Yapi ve Kredi Bankasi AS		97,897
		Total Turkey		1,795,988
		United Kingdom — 0.3%
	1,777	British American Tobacco Plc		105,204
	1,540	Unilever Plc		65,000
	200	Unilever Plc Sponsored ADR		8,428
		Total United Kingdom		178,632
		United States — 0.5%
	2,856	Colgate-Palmolive Co.		198,749
	1,000	Yum! Brands, Inc.		77,250
		Total United States		275,999
		TOTAL COMMON STOCKS (COST $48,820,025)		45,428,719
		PREFERRED STOCKS — 11.8%
		Brazil — 6.1%
	1,800	Banco Bradesco SA ADR		27,763
	7,200	Banco Bradesco SA ADR		111,456
	28,300	Banco do Estado do Rio Grande do Sul SA – Class B		165,176
	42,400	Bradespar SA		249,290
	63,183	Companhia Energetica de Minas Gerais		346,849
	46,545	Companhia Energetica de Minas Gerais Sponsored ADR		256,928
	2,000	Companhia Energetica de Sao Paulo – Class B		20,173
	9,300	Gerdau SA		39,523
	10,100	Gerdau SA Sponsored ADR		42,117
	953	Gol Linhas Aereas Inteligentes SA ADR		5,480
	18,700	Itau Unibanco Holding SA		281,428
	119,007	Itausa-Investimentos Itau SA		486,263
	38,000	Metalurgica Gerdau SA		192,456
	39,500	Oi SA *		21,253
	13,800	Telefonica Brasil SA		282,526
	20,700	Telefonica Brasil SA ADR		425,592
	6,400	Tim Participacoes SA ADR		155,840
	14,200	Vale SA		110,728
	1,730	Vale SA Sponsored ADR		13,442
		Total Brazil		3,234,283
		Russia — 4.3%
	97,954	Sberbank *		103,449
	1,230,046	Surgutneftegaz OJSC *		852,965

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	542	Transneft *		1,305,905
		Total Russia		2,262,319
		South Korea — 1.4%
	3,733	Hyundai Motor Co		445,649
	339	Samsung Electronics Co Ltd (Non-Voting)		321,803
	7	Samsung Electronics Co Ltd GDR (Registered)		3,269
		Total South Korea		770,721
		Total PREFERRED STOCKS (COST $6,114,145)		6,267,323
		INVESTMENT FUNDS — 1.7%
		Thailand — 0.4%
	322,500	BTS Rail Mass Transit Growth Infrastructure Fund		99,190
	367,300	TRUE Telecommunication Growth Infrastructure Fund (Foreign Registered)		120,802
		Total Thailand		219,992
		United States — 1.3%
	16,220	iShares MSCI Emerging Markets ETF		673,130
		Total INVESTMENT FUNDS (COST $910,409)		893,122
		RIGHTS/WARRANTS — 0.0%
		South Korea — 0.0%
	2,945	DGB Financial Group Inc Rights, Expires 01/20/15 *		4,120
		Thailand — 0.0%
	78,133	Sansiri PCL Warrants, Expires 12/31/49 *		—
	14,040	VGI Global Media PCL Warrants, Expires 08/01/18 *		889
		Total Thailand		889
		TOTAL RIGHTS/WARRANTS (COST $7,110)		5,009
		MUTUAL FUNDS — 0.6%
		United States — 0.6%
		Affiliated Issuers
	13,686	GMO U.S. Treasury Fund		342,155
		TOTAL MUTUAL FUNDS (COST $342,155)		342,155

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.1%
		Time Deposits — 0.1%
HKD	819	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/01/14		106
USD	64,081	JPMorgan Chase (New York) Time Deposit, 0.06%, due 12/01/14		64,081
		Total Time Deposits		64,187
		Total Short-Term Investments (COST $64,187)		64,187
		TOTAL INVESTMENTS — 99.7% (Cost $56,258,031)		53,000,515
		Other Assets and Liabilities (net) — 0.3%		151,138
		TOTAL NET ASSETS — 100.0%		$53,151,653

Notes to Schedule of Investments:

ADR - American Depositary Receipt

ADS - American Depository Share

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

MSCI - Morgan Stanley Capital International

NVDR - Non-Voting Depository Receipt

OJSC - Open Joint-Stock Company

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits.

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

Currency Abbreviations:

HKD - Hong Kong Dollar

USD - United States Dollar

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 90.8%
		Belgium — 1.6%
	354,753	Anheuser-Busch InBev NV		41,725,349
		Brazil — 5.1%
	2,822,789	CETIP SA		36,516,809
	2,705,200	Klabin SA		14,713,352
	1,675,475	Localiza Rent a Car SA		22,863,569
	4,343,521	LPS Brasil Consultoria de Imoveis SA		15,749,360
	4,737,700	Raia Drogasil SA		45,070,815
		Total Brazil		134,913,905
		China — 14.6%
	212,100	Alibaba Group Holding Ltd Sponsored ADR *		23,678,844
	304,500	Baidu Inc Sponsored ADR *		74,635,995
	29,223,900	Brilliance China Automotive Holdings Ltd		49,810,106
	7,260,000	China Gas Holdings Ltd		13,515,139
	2,157,500	China Mobile Ltd		26,619,770
	114,100	China Mobile Ltd Sponsored ADR		7,042,252
	17,727,000	Huaneng Power International Inc – Class H		20,831,768
	13,805,000	Industrial & Commercial Bank of China Ltd – Class A		9,045,010
	83,761,160	Industrial & Commercial Bank of China Ltd – Class H		56,508,513
	1,727,370	Ping An Insurance (Group) Co of China Ltd – Class H		14,427,371
	6,226,000	Shenzhou International Group Holdings Ltd		20,653,390
	828,331	TAL Education Group ADR *		25,446,328
	9,694,440	Tong Ren Tang Technologies Co Ltd		13,346,523
	689,000	Vipshop Holdings Ltd ADS *		15,750,540
	3,443,500	Zhuzhou CSR Times Electric Co Ltd – Class H		14,808,795
		Total China		386,120,344
		India — 22.2%
	2,358,052	Ashoka Buildcon Ltd		5,253,510
	1,483,374	Asian Paints Ltd		17,811,205
	6,612,462	Century Plyboards India Ltd		17,982,542
	1,206,803	CESC Ltd		13,808,955
	664,578	Colgate-Palmolive India Ltd		19,926,222
	519,860	Credit Analysis & Research Ltd		12,018,327
	2,331,668	Dabur India Ltd		9,062,621
	42,849	Eicher Motors Ltd		10,010,566
	1,191,578	Emami Ltd		14,840,183
	4,713,314	Federal Bank Ltd		11,537,193
	1,917,407	Gayatri Projects Ltd (a)		4,909,553
	2,982,930	Gujarat Pipavav Port Ltd *		7,790,205
	7,420,316	HDFC Bank Ltd (b)		121,673,746
	224,276	Hero MotoCorp Ltd		11,354,299

Shares		Description	Value ($)
		India — continued
	964,323	Hindustan Petroleum Corp Ltd		9,299,416
	493,438	ICICI Bank Ltd		13,896,889
	73,454	ICICI Bank Ltd Sponsored ADR		4,325,706
	4,345,249	ITC Ltd		25,383,879
	981,648	J Kumar Infraprojects Ltd		6,880,167
	2,455,636	JK Lakshmi Cement Ltd		15,421,170
	569,314	Kaveri Seed Co Ltd		7,868,673
	3,464,782	Lupin Ltd (b)		84,092,442
	807,998	Maruti Suzuki India Ltd (b)		43,695,307
	1,683,509	Repco Home Finance Ltd		14,751,012
	1,308,667	Supreme Industries Ltd		13,016,189
	1,245,980	Techno Electric & Engineering Co Ltd		7,023,682
	323,904	Ultratech Cement Ltd		12,936,853
	327,307	United Spirits Ltd *		14,378,781
	3,167,029	Yes Bank Ltd		36,109,226
		Total India		587,058,519
		Indonesia — 4.1%
	38,427,559	Bank Mandiri Persero Tbk PT		33,195,706
	148,436,986	Kalbe Farma Tbk PT		21,298,685
	27,351,700	Surya Citra Media Tbk PT		7,194,407
	141,002,100	Telekomunikasi Indonesia Persero Tbk PT		32,688,853
	34,364,100	XL Axiata Tbk PT		14,365,897
		Total Indonesia		108,743,548
		Malaysia — 1.5%
	16,073,107	CIMB Group Holdings Berhad		27,676,013
	22,234,644	Media Prima Bhd		12,685,856
		Total Malaysia		40,361,869
		Mexico — 3.2%
	5,674,032	Cemex SA de CV CPO *		7,029,504
	1,756,248	Cemex SAB de CV Sponsored ADR *		21,970,662
	7,248,600	Fibra Uno Administracion SA de CV (REIT)		24,270,023
	3,780,540	Grupo Financiero Banorte SAB de CV – Class O		21,417,290
	1,899,000	Infraestructura Energetica Nova SAB de CV		11,138,618
		Total Mexico		85,826,097
		Nigeria — 0.4%
	2,113,685	Nestle Nigeria Plc		10,173,257
		Panama — 1.1%
	250,748	Copa Holdings SA – Class A		28,061,209
		Philippines — 5.5%
	12,452,340	Aboitiz Power Corp		11,691,592
	16,913,750	BDO Unibank Inc		41,115,877
	1,142,354	Concepcion Industrial Corp		1,042,119

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Philippines — continued
	14,780,435	GMA Holdings Inc PDR		2,203,794
	832,839	GT Capital Holdings Inc		20,016,808
	119,260	Philippine Long Distance Telephone Co		7,960,966
	64,300	Philippine Long Distance Telephone Co Sponsored ADR		4,295,240
	20,303,500	Puregold Price Club Inc		17,251,332
	16,033,640	Robinsons Retail Holdings Inc		25,876,304
	4,804,321	Semirara Mining & Power Corp		14,916,499
		Total Philippines		146,370,531
		Poland — 1.4%
	655,955	Bank Pekao SA		36,120,724
		Qatar — 2.1%
	4,736,155	Qatar Gas Transport Co Nakilat		31,158,587
	412,918	Qatar National Bank		25,908,013
		Total Qatar		57,066,600
		Russia — 1.3%
	955,229	Global Ports Investments Plc GDR Reg S		4,951,747
	1,589,925	Lenta Ltd *		12,406,048
	696,607	Mail.ru Group Ltd GDR (Registered Shares) *		16,121,004
		Total Russia		33,478,799
		South Africa — 2.2%
	344,156	Aspen Pharmacare Holdings Ltd		12,415,940
	1,915,245	Coronation Fund Managers Ltd		19,131,173
	7,014,052	Life Healthcare Group Holdings Ltd		26,421,275
		Total South Africa		57,968,388
		South Korea — 1.1%
	289,099	Shinhan Financial Group Co Ltd		12,927,980
	59,369	SK Telecom Co Ltd		15,119,813
		Total South Korea		28,047,793
		Switzerland — 2.1%
	734,203	Nestle SA (Registered)		55,104,286
		Taiwan — 2.8%
	22,647,706	E.Sun Financial Holding Co Ltd		14,333,408
	2,060,000	Giant Manufacturing Co Ltd		18,093,327
	4,807,000	Lung Yen Life Service Corp		15,106,182
	32,632,000	Mega Financial Holding Co Ltd		26,511,434
		Total Taiwan		74,044,351
		Thailand — 5.5%
	2,980,650	Advanced Info Service Pcl (Foreign Registered)		21,603,420
	1,119,200	AEON Thana Sinsap Thailand Pcl NVDR		3,612,849
	1,385,100	Airports of Thailand Pcl (Foreign Registered)		11,724,760

Shares		Description	Value ($)
		Thailand — continued
	57,731,850	Bangkok Dusit Medical Services Pcl (Foreign Registered)		32,514,051
	20,330,000	Chularat Hospital Pcl (Foreign Registered)		11,824,417
	11,907,700	Intouch Holdings Pcl (Foreign Registered) (b)		28,644,097
	1,093,800	Kasikornbank Pcl NVDR		8,229,146
	14,598,500	SPCG Pcl (Foreign Registered)		12,783,159
	10,475,500	Tisco Financial Group Pcl (Foreign Registered)		14,743,441
		Total Thailand		145,679,340
		Turkey — 0.6%
	493,357	Turk Traktor ve Ziraat Makineleri AS		15,473,375
		United Arab Emirates — 0.8%
	1,376,441	Al Noor Hospitals Group Plc		21,272,448
		United Kingdom — 3.7%
	1,058,904	British American Tobacco Plc		62,690,163
	14,900	British American Tobacco Plc Sponsored ADR		1,760,733
	220,528	Unilever Plc Sponsored ADR		9,293,050
	564,713	Unilever Plc		23,835,220
		Total United Kingdom		97,579,166
		United States — 7.4%
	1,235,401	Abbott Laboratories		54,987,699
	1,471,446	Colgate-Palmolive Co.		102,397,927
	514,000	Yum! Brands, Inc.		39,706,500
		Total United States		197,092,126
		Vietnam — 0.5%
	3,069,432	Viet Nam Dairy Products JSC		14,206,362
		TOTAL COMMON STOCKS (COST $2,256,281,394)		2,402,488,386
		PREFERRED STOCKS — 1.0%
		Brazil — 1.0%
	920,400	Banco Bradesco SA		14,196,161
	227,400	Gol Linhas Aereas Inteligentes SA *		1,332,562
	1,702,549	Gol Linhas Aereas Inteligentes SA ADR		9,789,657
		Total Brazil		25,318,380
		TOTAL PREFERRED STOCKS (COST $20,552,416)		25,318,380

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares / Par Value		Description	Value ($)
		INVESTMENT FUNDS — 5.4%
		China — 1.8%
	1,198,000	iShares China Large-Cap ETF		48,638,800
		Thailand — 3.5%
	107,028,284	BTS Rail Mass Transit Growth Infrastructure Fund		32,918,464
	13,625,100	CPN Commercial Growth Leasehold Property Fund		4,273,228
	34,421,700	TICON Industrial Growth Leasehold Property Fund (a)		11,642,071
	133,093,292	TRUE Telecommunication Growth Infrastructure Fund		43,773,198
		Total Thailand		92,606,961
		United States — 0.1%
	43,042	iShares MSCI Emerging Markets ETF		1,786,243
		TOTAL INVESTMENT FUNDS (COST $149,287,187)		143,032,004
		MUTUAL FUNDS — 2.3%
		United States — 2.3%
		Affiliated Issuers
	2,430,122	GMO U.S. Treasury Fund		60,753,043
		TOTAL MUTUAL FUNDS (COST $60,753,043)		60,753,043
		SHORT-TERM INVESTMENTS — 0.6%
		Time Deposits — 0.6%
GBP	28	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.09%, due 12/01/14		44
ZAR	994	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.25%, due 12/01/14		90
USD	5,102,055	DBS Bank LTD (Singapore) Time Deposit, 0.06%, due 12/01/14		5,102,055
USD	5,290,295	JPMorgan Chase (New York) Time Deposit, 0.06%, due 12/01/14		5,290,295
USD	5,290,295	Sumitomo (Tokyo) Time Deposit, 0.06%, due 12/01/14		5,290,295
		Total Time Deposits		15,682,779
		Total Short-Term Investments (COST $15,682,779)		15,682,779
		TOTAL INVESTMENTS — 100.1% (Cost $2,502,556,819)		2,647,274,592
		Other Assets and Liabilities (net) — (0.1%)		(3,142,007	)
		TOTAL NET ASSETS — 100.0%		$2,644,132,585

Notes to Schedule of Investments:

ADR - American Depositary Receipt

ADS - American Depository Share

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

MSCI - Morgan Stanley Capital International

NVDR - Non-Voting Depository Receipt

PDR - Philippine Depository Receipt

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Affiliated company.

(b) Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits.

Currency Abbreviations:

GBP - British Pound

USD - United States Dollar

ZAR - South African Rand

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 83.5%
		Brazil — 7.2%
	1,374,500	Aes Tiete SA		8,574,381
	12,738,300	Banco do Brasil SA		147,256,407
	5,155,100	Brasil Brokers Participacoes SA		6,009,610
	609,543	CETIP SA		7,885,310
	789,100	Cia de Saneamento de Minas Gerais-COPASA *		7,506,887
	1,829,900	Companhia de Saneamento Basico do Estado de Sao Paulo		13,705,433
	3,373,336	Companhia de Saneamento Basico do Estado de Sao Paulo ADR		24,962,686
	2,857,780	Companhia Siderurgica Nacional SA		6,752,109
	3,355,700	Companhia Siderurgica Nacional SA Sponsored ADR		7,818,781
	1,940,700	Cosan Ltd – Class A		17,757,405
	248,675	Cosan SA Industria e Comercio		3,092,864
	1,396,973	CPFL Energia SA		10,735,262
	427,100	CPFL Energia SA ADR		6,564,527
	2,947,709	Duratex SA		9,642,388
	3,812,500	EDP-Energias Do Brasil SA		15,013,061
	1,200,400	Equatorial Energia SA		13,057,746
	577,571	Grendene SA		3,884,477
	846,437	Grupo BTG Pactual		9,867,425
	3,897,074	Klabin SA		21,195,852
	2,943,409	Light SA		23,628,981
	377,056	Localiza Rent a Car SA		5,145,315
	1,114,600	LPS Brasil Consultoria de Imoveis SA		4,041,476
	388,300	Multiplus SA		5,253,333
	989,700	Raia Drogasil SA		9,415,241
	100,400	Sul America SA		497,136
	3,246,600	Tim Participacoes SA		15,771,931
	1,491,700	Tractebel Energia SA		20,163,845
	2,738,651	Transmissora Alianca de Energia Eletrica SA		20,821,371
	481,871	Ultrapar Participacoes SA		10,342,515
	4,894,500	Vale SA Sponsored ADR		44,099,445
		Total Brazil		500,463,200
		China — 19.1%
	179,620,590	Agricultural Bank of China Ltd – Class H		84,790,651
	2,023,410	Aier Eye Hospital Group Co Ltd		8,473,690
	47,500	Alibaba Group Holding Ltd Sponsored ADR *		5,302,900
	1,540,538	Anhui Conch Cement Co Ltd		4,563,261
	21,482,000	Anton Oilfield Services Group		5,637,844
	64,000	Baidu Inc Sponsored ADR *		15,687,040
	365,393,582	Bank of China Ltd – Class H		187,649,010
	6,456,000	Brilliance China Automotive Holdings Ltd		11,003,803
	14,992,200	Changsha Zoomlion Heavy Industry Science and Technology Development Co Ltd – Class H		8,910,589

Shares		Description	Value ($)
		China — continued
	278,581	Changyou.com Ltd ADR *		6,463,079
	23,637,550	China Communications Construction Co Ltd – Class H		23,634,115
	58,298,200	China Communications Services Corp Ltd – Class H		28,368,601
	6,503,608	China Construction Bank – Class A		4,974,061
	268,777,306	China Construction Bank – Class H		202,963,241
	7,399,160	China Everbright Ltd		17,082,238
	1,606,587	China Gas Holdings Ltd		2,990,805
	1,397,734	China International Travel Service Corp Ltd		9,581,599
	1,702,137	China Life Insurance Co Ltd – Class A		6,256,650
	1,190,000	China Machinery Engineering Corp – Class H		870,237
	10,705,237	China Mobile Ltd		132,083,870
	422,700	China Mobile Ltd Sponsored ADR		26,089,044
	12,416,400	China Overseas Land & Investment Ltd		37,141,343
	1,363,695	China Pacific Insurance Group Co Ltd – Class A		5,343,326
	5,060,790	China Railway Construction Corp Ltd – Class A		7,176,686
	2,729,520	China Railway Construction Corp Ltd – Class H		3,130,751
	1,346,000	China Resources Land Ltd		3,391,910
	9,176,550	China Shenhua Energy Co Ltd – Class H		26,011,147
	65,784,800	China Telecom Corp Ltd – Class H		39,664,929
	32,900	China Telecom Corp Ltd ADR		2,017,757
	1,987,026	CITIC Securities Co Ltd – Class A		5,568,662
	27,225,970	CNOOC Ltd		39,342,873
	6,820	CNOOC Ltd ADR		981,603
	1,095,320	Dongfeng Motor Group Co Ltd – Class H		1,668,223
	11,306,250	Geely Automobile Holdings Ltd		4,900,987
	4,317,543	Huaneng Power International Inc – Class A		4,676,783
	3,882,400	Huaneng Power International Inc – Class H		4,562,377
	2,586,600	Industrial and Commercial Bank of China Ltd – Class A		1,694,735
	7,498,568	Industrial and Commercial Bank of China Ltd – Class A		4,925,760
	289,957,347	Industrial and Commercial Bank of China Ltd – Class H		195,616,423
	4,338,918	Jiangsu Expressway Co Ltd – Class A		4,529,332
	9,470,650	Jiangxi Copper Co Ltd		16,989,447
	163,275	Kweichow Moutai Co Ltd		4,138,333
	300	Kweichow Moutai Co Ltd – Class A		7,584
	27,672,800	Lonking Holdings Ltd		5,450,402
	1,466,500	New China Life Insurance Co Ltd		6,628,372
	7,013,500	PICC Property & Casualty Co Ltd – Class H		14,075,938
	640,263	Ping An Insurance (Group) Co of China Ltd – Class A		5,165,880
	389,200	Ping An Insurance (Group) Co of China Ltd – Class H		3,250,683

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		China — continued
	2,927,665	SAIC Motor Corp Ltd – Class A		9,430,901
	1,409,000	Shenzhou International Group Holdings Ltd		4,674,048
	179,206	TAL Education Group ADR *		5,505,208
	1,925,880	Tong Ren Tang Technologies Co Ltd		2,651,396
	146,700	Vipshop Holdings Ltd ADS *		3,353,562
	1,305,039	Weichai Power Co Ltd – Class A		4,633,555
	2,028,816	Weifu High-Technology Group Co Ltd – Class A		8,700,618
	49,518,780	Yangzijiang Shipbuilding Holdings Ltd		46,573,376
	792,000	Zhuzhou CSR Times Electric Co Ltd – Class H		3,406,001
		Total China		1,330,357,239
		Colombia — 0.0%
	328,713	Ecopetrol SA		339,537
	37,400	Ecopetrol SA Sponsored ADR		758,846
		Total Colombia		1,098,383
		Czech Republic — 1.8%
	3,882,585	CEZ AS		108,086,368
	41,208	Komercni Banka AS		9,166,122
	59,244	Pegas Nonwovens SA		1,730,591
	8,522	Philip Morris CR AS		3,960,213
		Total Czech Republic		122,943,294
		Egypt — 0.6%
	157,919	Alexandria Mineral Oils Co		1,580,235
	2,107,760	Global Telecom Holding GDR *		6,145,592
	48,682,056	Orascom Telecom Media and Technology Holding SAE *		8,931,338
	2,038,182	Sidi Kerir Petrochemicals Co		5,009,184
	8,588,510	Telecom Egypt Co		17,338,908
		Total Egypt		39,005,257
		Hungary — 0.3%
	9,070,866	Magyar Telekom Telecommunications Plc *		12,484,581
	68,092	MOL Hungarian Oil and Gas Plc		3,288,008
	436,798	OTP Bank Plc		7,029,586
		Total Hungary		22,802,175
		India — 7.6%
	769,097	Aban Offshore Ltd		6,749,118
	1,802,833	Allahabad Bank		3,526,868
	5,530,262	Andhra Bank		7,645,250
	3,923,063	Ashok Leyland Ltd *		3,312,620
	548,507	Ashoka Buildcon Ltd		1,222,020
	301,853	Asian Paints Ltd		3,624,417
	718,044	Aurobindo Pharma Ltd		12,631,724
	415,646	Bank of Baroda (a)		7,470,894
	372,105	Bank of India		1,719,376
	89,791	Bayer Cropscience Ltd		4,132,548

Shares		Description	Value ($)
		India — continued
	222,700	Berger Paints India Ltd		1,413,703
	2,138,720	Bharat Heavy Electricals Ltd		9,690,951
	293,728	Biocon Ltd		2,155,204
	3,730,046	Cairn India Ltd		15,618,933
	2,554,500	Canara Bank Ltd		16,937,516
	1,337,135	Century Plyboards India Ltd		3,636,329
	246,322	CESC Ltd		2,818,562
	339,538	Coal India Ltd		1,943,216
	137,942	Colgate-Palmolive India Ltd		4,135,952
	106,469	Credit Analysis & Research Ltd		2,461,392
	493,905	Dabur India Ltd		1,919,687
	4,179,518	DLF Ltd		9,956,016
	8,526	Eicher Motors Ltd		1,991,881
	259,229	Emami Ltd		3,228,497
	1,040,768	Federal Bank Ltd		2,547,579
	1,162,592	GAIL India Ltd		9,158,153
	634,908	Gujarat Pipavav Port Ltd *		1,658,123
	5,195,223	HDFC Bank Ltd (a)		85,188,049
	139,642	Hero MotoCorp Ltd		7,069,579
	4,963,935	Hindalco Industries Ltd		13,904,802
	219,277	Hindustan Petroleum Corp Ltd		2,114,590
	4,632,927	Housing Development & Infrastructure Ltd *		6,241,881
	398	ICICI Bank Ltd		11,209
	65,300	ICICI Bank Ltd Sponsored ADR		3,845,517
	356,941	Indiabulls Housing Finance Ltd		2,590,455
	143,729	ING Vysya Bank Ltd		1,891,286
	933,054	ITC Ltd		5,450,673
	176,342	J Kumar Infraprojects Ltd		1,235,945
	2,845,720	Jai Balaji Industries Ltd *		761,662
	9,254,256	Jaiprakash Associates Ltd *		4,285,398
	516,202	JK Lakshmi Cement Ltd		3,241,701
	125,677	Kaveri Seed Co Ltd		1,737,023
	1,125,726	Kiri Industries Ltd *		1,808,966
	1,030,470	KSK Energy Ventures Ltd *		1,241,418
	731,640	Lupin Ltd (a)		17,757,364
	409,002	Mahindra & Mahindra Ltd		8,723,553
	170,583	Maruti Suzuki India Ltd (a)		9,224,870
	838,405	Mphasis Ltd		5,463,161
	6,801,183	NMDC Ltd		15,301,538
	6,103,831	NTPC Ltd		13,977,496
	444,893	Oil India Ltd		4,260,311
	1,288,714	Oriental Bank of Commerce		6,327,659
	1,830,950	Punjab National Bank Ltd (a)		31,628,389
	6,895,070	Reliance Communications Ltd *		11,391,564
	792,114	Reliance Infrastructure Ltd		7,743,096
	322,385	Repco Home Finance Ltd		2,824,758
	1,851,656	Rural Electrification Corp Ltd		9,998,436
	3,734,805	Sesa Sterlite Ltd		13,847,463
	144,520	Sesa Sterlite Ltd ADR		2,130,225
	16,350	State Bank of India		84,646
	277,705	Supreme Industries Ltd		2,762,094
	3,791,090	Syndicate Bank		7,934,768

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		India — continued
	1,220,786	Tata Global Beverages Ltd		3,165,827
	1,380,479	Tata Motors Ltd		11,753,940
	4,761,997	Tata Power Co Ltd		7,102,054
	1,578,147	Tata Steel Ltd		12,001,735
	500,459	Tech Mahindra Ltd		21,194,811
	244,764	Techno Electric & Engineering Co Ltd		1,379,753
	70,468	Ultratech Cement Ltd		2,814,520
	66,470	United Spirits Ltd *		2,920,065
	661,456	Yes Bank Ltd		7,541,663
		Total India		527,182,442
		Indonesia — 1.4%
	52,639,500	Bakrie Telecom Tbk PT *		163,905
	8,153,318	Bank Mandiri Persero Tbk PT		7,043,256
	1,135,675	First Real Estate Investment Trust		1,079,790
	42,180,069	Gajah Tunggal Tbk PT		4,511,854
	7,284,957	Global Mediacom Tbk PT		958,429
	47,615,618	Harum Energy Tbk PT		6,554,109
	3,617,091	Indo Tambangraya Megah Tbk PT		5,631,818
	31,042,400	Kalbe Farma Tbk PT		4,454,162
	3,182,432	Media Nusantara Citra Tbk PT		627,418
	40,987,695	MNC Investama Tbk PT *		1,024,696
	5,926,380	Sumber Alfaria Trijaya Tbk PT		255,031
	5,931,100	Surya Citra Media Tbk PT		1,560,077
	2,412,180	Tambang Batubara Bukit Asam Persero Tbk PT		2,595,101
	128,655,392	Telekomunikasi Indonesia Persero Tbk PT		29,826,486
	655,600	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		30,223,160
	3,782,785	Tempo Scan Pacific Tbk PT		960,968
	7,573,600	XL Axiata Tbk PT		3,166,140
		Total Indonesia		100,636,400
		Malaysia — 0.2%
	3,569,107	CIMB Group Holdings Berhad		6,145,586
	5,600,495	Lion Industries Corp Berhad		927,190
	5,911,814	Media Prima Bhd		3,372,953
		Total Malaysia		10,445,729
		Mexico — 0.3%
	1,229,600	America Movil SAB de CV – Class L		1,448,276
	3,364,826	Cemex SA de CV CPO *		4,168,651
	159,792	Cemex SAB de CV Sponsored ADR *		1,998,998
	1,600,900	Fibra Uno Administracion SA de CV (REIT)		5,360,191
	710,700	Grupo Financiero Banorte SAB de CV – Class O		4,026,215
	446,500	Infraestructura Energetica Nova SAB de CV		2,618,954
		Total Mexico		19,621,285

Shares		Description	Value ($)
		Nigeria — 0.0%
	441,301	Nestle Nigeria Plc		2,124,001
		Panama — 0.1%
	51,239	Copa Holdings SA – Class A		5,734,156
		Peru — 0.1%
	227,116	Companhia de Minas Buenaventura SA ADR		2,100,823
	248,627	Southern Copper Corp.		7,446,379
		Total Peru		9,547,202
		Philippines — 0.6%
	2,363,263	Aboitiz Power Corp		2,218,885
	3,601,516	BDO Unibank Inc		8,754,977
	9,739,977	First Gen Corp		5,794,636
	2,150,200	GMA Holdings Inc PDR		320,599
	169,282	GT Capital Holdings Inc		4,068,596
	18,608,250	Lopez Holding Corp		2,852,882
	4,641,900	Manila Water Co Inc		2,954,749
	38,712	Philippine Long Distance Telephone Co Sponsored ADR		2,585,962
	4,367,688	Puregold Price Club Inc		3,711,106
	3,505,620	Robinsons Retail Holdings Inc		5,657,635
	986,005	Semirara Mining & Power Corp		3,061,357
		Total Philippines		41,981,384
		Poland — 3.5%
	824,718	Asseco Poland SA		13,202,500
	136,616	Bank Pekao SA		7,522,877
	169,323	Energa SA		1,185,352
	658,728	Jastrzebska Spolka Weglowa SA *		4,097,808
	348,860	Jeronimo Martins SGPS SA		3,550,238
	4,787,268	KGHM Polska Miedz SA		174,534,576
	6,068,203	PGE SA		34,900,289
	3,814	Powszechny Zaklad Ubezpieczen SA		542,716
	4,571,323	Synthos SA		5,656,354
	327,575	Tauron Polska Energia SA		504,816
		Total Poland		245,697,526
		Qatar — 0.2%
	1,075,076	Qatar Gas Transport Co Nakilat		7,072,794
	88,552	Qatar National Bank		5,556,082
		Total Qatar		12,628,876
		Russia — 7.7%
	638,351	Aeroflot-Russian Airlines *		535,203
	644,621	Bashneft OAO – Class S *		16,352,488
	1,552,520	CTC Media Inc		9,253,019
	97,483	Eurasia Drilling Co Ltd GDR		1,747,729
	579,639	Gazprom Neft – Class S *		1,850,034
	781,767	Gazprom Neft JSC Sponsored ADR		12,685,628
	23,902,727	Gazprom OAO Sponsored ADR		139,693,369
	269,991	Global Ports Investments Plc GDR Reg S		1,399,588

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	409,873	Globaltrans Investment Plc Sponsored GDR		2,884,902
	371,989	Lenta Ltd *		2,902,598
	2,382,626	Lukoil OAO Sponsored ADR		110,906,342
	147,362	Mail.ru Group Ltd GDR (Registered) *		3,410,278
	164,839	MegaFon OAO GDR		3,400,440
	998,300	Mobile Telesystems Sponsored ADR		12,199,226
	6,674,265	Rosneft OJSC GDR (Registered)		31,607,263
	9,787,542	Sberbank Sponsored ADR		60,040,081
	863,123	Sistema JSFC Sponsored GDR (Registered)		4,955,971
	13,072,407	Surgutneftegas Sponsored ADR		76,816,169
	1,173,853	Tatneft Sponsored ADR		35,909,999
	947,400	VimpelCom Ltd Sponsored ADR		4,973,850
		Total Russia		533,524,177
		South Africa — 1.1%
	9,364,130	African Bank Investments Ltd (b)		845
	70,233	Aspen Pharmacare Holdings Ltd		2,533,760
	3,535,764	Capital Property Fund (REIT)		4,128,345
	384,784	Coronation Fund Managers Ltd		3,843,565
	1,072,916	Investec Ltd		9,972,766
	1,171,091	Kumba Iron Ore Ltd		27,226,291
	1,686,246	Life Healthcare Group Holdings Ltd		6,351,930
	2,784,495	Telkom South Africa Ltd *		17,284,582
	506,997	Wilson Bayly Holmes-Ovcon Ltd		5,512,090
		Total South Africa		76,854,174
		South Korea — 11.1%
	282,703	Daou Technology Inc		2,997,632
	322,875	DGB Financial Group Inc		3,393,730
	90,207	Dongbu Insurance Co Ltd		4,523,215
	80,580	GS Holdings		3,016,953
	659,940	Hana Financial Group Inc		20,057,054
	12,285	Hankook Tire Co Ltd		607,122
	647,075	Hankook Tire WorldwideCo Ltd		12,420,970
	429,233	Hanwha Corp		11,495,170
	99,021	Hyundai Marine & Fire Insurance Co Ltd		2,378,227
	269,696	Hyundai Mobis		59,908,995
	298,174	Hyundai Motor Co		47,903,375
	377,693	Iljin Holdings Co Ltd		2,059,408
	2,110,949	Industrial Bank of Korea		28,579,766
	1,715,149	Kia Motors Corp		85,798,526
	56,018	Kolon Industries Inc		2,363,757
	3,705	Korea Zinc Co Ltd		1,426,078
	146,540	KT Corp		4,319,191
	1,038,900	KT Corp Sponsored ADR		15,334,164
	151,680	LIG Insurance Co Ltd		3,573,656
	94,643	Lumens Co Ltd *		522,202
	821,821	Magnachip Semiconductor Corp *		10,009,780
	198,751	Neowiz Games Corp *		3,851,238
	173,111	S-Oil Corp		6,565,812

Shares		Description	Value ($)
		South Korea — continued
	21,237	Samsung Electronics Co Ltd GDR (Registered)		12,204,670
	228,944	Samsung Electronics Co Ltd		265,249,262
	175,905	Seoyeon Co Ltd		2,515,246
	70,114	SFA Engineering Corp		3,142,434
	87,563	Shinhan Financial Group Co Ltd		3,915,658
	796,223	SK Innovation Co Ltd		61,404,107
	98,146	SK Telecom Co Ltd		24,995,354
	1,263,300	SK Telecom Co Ltd ADR		35,789,289
	2,769,542	Woori Bank *		26,746,784
	1,302,940	Yuanta Securities Korea *		4,804,370
		Total South Korea		773,873,195
		Sri Lanka — 0.1%
	56,488,971	Anilana Hotels & Properties Ltd * (c)		3,450,927
		Taiwan — 11.0%
	1,025,522	Advantech Co Ltd		7,016,681
	6,603,940	AmTRAN Technology Co Ltd		3,559,131
	8,256,120	Asustek Computer Inc		89,930,712
	311,000	Casetek Holdings Ltd		1,919,688
	11,544,630	China Petrochemical Development Corp *		3,312,469
	3,827,590	Chong Hong Construction Co Ltd		8,238,528
	5,723,529	Chunghwa Telecom Co Ltd		17,228,752
	84,681,111	Compal Electronics Inc		54,080,785
	1,075,590	Delta Electronics Inc		6,491,919
	27,739,374	E.Sun Financial Holding Co Ltd		17,555,852
	654,000	Elitegroup Computer Systems Co Ltd		546,647
	4,011,084	Far EasTone Telecommunications Co Ltd		8,678,357
	7,845,756	Foxconn Technology Co Ltd		21,904,838
	1,624,200	Fubon Financial Holding Co Ltd		2,654,826
	408,410	Giant Manufacturing Co Ltd		3,587,134
	478,000	Gigabyte Technology Co Ltd		545,894
	7,498,965	Highwealth Construction Corp		14,220,819
	33,854,143	Hon Hai Precision Industry Co Ltd		106,106,058
	8,284,000	HTC Corp *		36,589,676
	6,698,600	Inventec Co Ltd		4,455,697
	22,117,827	Lite-On Technology Corp		26,760,082
	1,140,000	Lung Yen Life Service Corp		3,582,494
	1,278,748	Makalot Industrial Co Ltd		6,469,963
	269,030	MediaTek Inc		4,035,928
	7,080,040	Mega Financial Holding Co Ltd		5,752,084
	639,810	Novatek Microelectronics Corp Ltd		3,610,391
	12,759,470	Pegatron Corp		29,582,290
	1,363,580	Phison Electronics Corp		9,116,703
	14,804,811	Powertech Technology Inc		24,731,718
	24,282,550	Quanta Computer Inc		60,375,830
	9,647,870	Radiant Opto-Electronics Corp		31,580,227
	4,115,720	Realtek Semiconductor Corp		13,692,502
	333,000	Ruentex Development Co Ltd		518,839
	316,000	Ruentex Industries Ltd		637,248
	2,733,780	Simplo Technology Co Ltd		14,005,736
	1,641,060	Synnex Technology International Corp		2,383,891

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	16,125,680	Taishin Financial Holding Co Ltd		7,468,265
	179,200	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		4,205,824
	3,068,352	Taiwan Surface Mounting Technology Corp		4,098,234
	5,005,830	TPK Holding Co Ltd		32,124,035
	3,599,160	Tripod Technology Corp		7,120,260
	57,421,705	Wistron Corp		52,370,751
	156,527	Wowprime Corp		1,475,123
	3,026,050	WPG Holdings Co Ltd		3,514,009
	2,548,670	Yungtay Engineering Co Ltd		5,850,036
		Total Taiwan		763,686,926
		Thailand — 3.6%
	677,224	Advanced Info Service Pcl (Foreign Registered)		4,908,444
	247,400	AEON Thana Sinsap Thailand Pcl NVDR		798,623
	293,400	Airports of Thailand Pcl (Foreign Registered)		2,483,607
	16,388,966	Bangchak Petroleum Pcl (Foreign Registered)		17,710,404
	24,061,060	Bangkok Dusit Medical Services Pcl (Foreign Registered)		13,550,969
	61,012,843	Banpu Pcl (Foreign Registered)		50,632,547
	4,739,400	Chularat Hospital Pcl (Foreign Registered)		2,756,549
	4,159,071	Electricity Generating Pcl (Foreign Registered)		21,603,503
	3,926,601	Glow Energy Pcl (Foreign Registered)		11,687,119
	2,511,851	Intouch Holdings Pcl (Foreign Registered) (a)		6,042,284
	231,800	Kasikornbank Pcl NVDR		1,743,935
	404,145	PTT Exploration & Production Pcl (Foreign Registered)		1,667,492
	5,255,834	PTT Pcl (Foreign Registered)		61,257,498
	4,754,802	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		8,943,382
	10,046,250	Saha Pathana Inter-Holding Pcl (Foreign Registered)		7,648,342
	100,359,523	Sansiri Pcl (Foreign Registered)		5,901,226
	2,877,100	SPCG Pcl (Foreign Registered)		2,519,329
	11,397,383	Thai Oil Pcl (Foreign Registered)		15,007,385
	2,261,400	Tisco Financial Group Pcl (Foreign Registered)		3,182,742
	30,566,550	TTW Pcl (Foreign Registered)		11,078,952
		Total Thailand		251,124,332
		Turkey — 5.0%
	7,070,696	Akbank TAS		28,645,595
	22,805,518	Asya Katilim Bankasi AS *		7,294,971
	1,609,100	Aygaz AS		7,175,496
	1,713,910	Dogus Otomotiv Servis ve Ticaret AS		9,052,196
	12,326,725	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		13,013,075

Shares		Description	Value ($)
		Turkey — continued
	24,032,327	Emlak Konut Gayrimenkul Yatirim (REIT)		30,541,844
	5,198,161	Gubre Fabrikalari TAS		12,126,001
	926,189	Haci Omer Sabanci Holding AS		4,430,091
	6,299,101	Ipek Dogal Enerji Kaynaklari Ve Uretim AS *		4,593,894
	1,369,302	Koza Altin Isletmeleri AS		7,963,292
	12,145,804	Koza Anadolu Metal Madencilik Isletmeleri AS *		9,484,912
	8,064,166	Tekfen Holding AS *		21,925,256
	7,110,636	Turk Telekomunikasyon AS		22,749,444
	227,109	Turk Traktor ve Ziraat Makineleri AS		7,122,921
	6,070,396	Turkcell Iletisim Hizmetleri AS *		38,505,042
	61,700	Turkcell Iletisim Hizmetleri AS ADR *		979,179
	6,055,105	Turkiye Garanti Bankasi AS		26,638,354
	16,417,296	Turkiye IS Bankasi – Class C		45,562,908
	4,933,649	Turkiye Vakiflar Bankasi TAO – Class D		11,322,513
	2,016,384	Turkiye Halk Bankasi AS		14,340,801
	8,850,848	Yapi ve Kredi Bankasi AS		21,217,368
		Total Turkey		344,685,153
		United Arab Emirates — 0.2%
	305,655	Al Noor Hospitals Group Plc		4,723,799
	28,466,385	Dana Gas PJSC *		4,729,044
	7,578,221	Eshraq Properties Co PJSC *		2,141,028
		Total United Arab Emirates		11,593,871
		United Kingdom — 0.3%
	220,568	British American Tobacco Plc		13,058,260
	10,277	British American Tobacco Plc Sponsored ADR		1,214,433
	117,015	Unilever Plc		4,938,931
	47,000	Unilever Plc Sponsored ADR		1,980,580
		Total United Kingdom		21,192,204
		United States — 0.4%
	317,624	Colgate-Palmolive Co.		22,103,454
	108,156	Yum! Brands, Inc.		8,355,051
		Total United States		30,458,505
		Vietnam — 0.0%
	568,188	Viet Nam Dairy Products JSC		2,629,765
		TOTAL COMMON STOCKS (COST $6,122,744,518)		5,805,341,778

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		PREFERRED STOCKS — 12.8%
		Brazil — 7.7%
	3,624,800	AES Tiete SA		27,078,062
	384,400	Banco Bradesco SA		5,928,949
	397,900	Banco Bradesco SA ADR		6,159,492
	3,114,200	Banco do Estado do Rio Grande do Sul SA – Class B		18,176,336
	826,748	Bradespar SA		4,860,853
	1,063,064	Companhia de Transmissao de Energia Eletrica Paulista		16,160,347
	7,745,920	Companhia Energetica de Minas Gerais Sponsored ADR		42,757,478
	1,280,500	Companhia Energetica de Sao Paulo – Class B		12,915,584
	1,149,500	Companhia Paranaense de Energia – Class B		15,820,555
	1,022,400	Companhia Paranaense de Energia Sponsored ADR		14,190,912
	9,087,923	Companhia Energetica de Minas Gerais		49,889,060
	4,258,700	Eletropaulo Metropolitana SA		15,391,991
	1,981,416	Gerdau SA		8,420,545
	3,797,888	Gerdau SA Sponsored ADR		15,837,193
	318,587	Gol Linhas Aereas Inteligentes SA *		1,866,917
	94,621	Gol Linhas Aereas Inteligentes SA ADR		544,071
	1,958,100	Itau Unibanco Holding SA		29,468,647
	73,473	Itau Unibanco Holding SA ADR		1,106,503
	12,873,669	Itausa-Investimentos Itau SA		52,601,927
	4,235,281	Metalurgica Gerdau SA		21,450,104
	27,542,616	Oi SA *		14,819,116
	1,437,603	Oi SA ADR *		747,697
	1,950,000	Telefonica Brasil SA		39,922,218
	3,543,130	Telefonica Brasil SA ADR		72,846,753
	934,400	Tim Participacoes SA ADR		22,752,640
	3,291,800	Vale SA		25,668,558
		Total Brazil		537,382,508
		Russia — 3.6%
	27,193,149	Sberbank *		28,718,685
	166,050,541	Surgutneftegaz OJSC *		115,146,253
	12,100	Surgutneftegaz Sponsored ADR		82,885
	43,556	Transneft *		104,944,671
		Total Russia		248,892,494
		South Korea — 1.5%
	258,337	Hyundai Motor Co		30,840,487
	129,136	Hyundai Motor Co		14,929,016
	62,289	Samsung Electronics Co Ltd (Non-Voting)		59,129,189
	713	Samsung Electronics Co Ltd GDR (Registered)		333,034
		Total South Korea		105,231,726
		TOTAL PREFERRED STOCKS (COST $895,545,972)		891,506,728

Shares		Description	Value ($)
		INVESTMENT FUNDS — 2.2%
		China — 0.0%
	245,374	The China A Share Fund Ltd – Class S2 * (b) (d)		2,300,502
		India — 0.1%
	10,189	Fire Capital Mauritius Private Fund * (b) (d)		8,208,605
	1,371,900	TDA India Technology Fund II LP * (b) (d)		443,526
		Total India		8,652,131
		Poland — 0.0%
	1,749,150	Templeton EE FD * (b) (d)		195,901
		Russia — 0.1%
	5,452,004	NCH Eagle Fund LP * (b) (d)		3,050,745
		Thailand — 0.3%
	23,007,875	BTS Rail Mass Transit Growth Infrastructure Fund		7,076,484
	2,701,562	CPN Commercial Growth Leasehold Property Fund		847,288
	2,666,100	TICON Industrial Growth Leasehold Property Fund		901,726
	28,668,000	TRUE Telecommunication Growth Infrastructure Fund		9,428,650
		Total Thailand		18,254,148
		United States — 1.7%
	2,845,972	iShares MSCI Emerging Markets ETF		118,107,838
		TOTAL INVESTMENT FUNDS (COST $157,113,176)		150,561,265
		RIGHTS/WARRANTS — 0.0%
		South Korea — 0.0%
	67,439	DGB Financial Group Inc Rights, Expires 01/20/15 *		94,346
		Thailand — 0.0%
	42,563,506	Sansiri PCL Warrants, Expires 12/31/49 *		—
		TOTAL RIGHTS/WARRANTS (COST $155,816)		94,346
		MUTUAL FUNDS — 1.2%
		United States — 1.2%
		Affiliated Issuers
	3,428,026	GMO U.S. Treasury Fund		85,700,645
		TOTAL MUTUAL FUNDS (COST $85,700,645)		85,700,645

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.6%
		Time Deposits — 0.5%
ZAR	11,069	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.25%, due 12/01/14		999
USD	5,022,599	DBS Bank LTD (Singapore) Time Deposit, 0.06%, due 12/01/14		5,022,599
USD	14,081,125	JPMorgan Chase (New York) Time Deposit, 0.06%, due 12/01/14		14,081,125
USD	14,081,125	Sumitomo (Tokyo) Time Deposit, 0.06%, due 12/01/14		14,081,125
		Total Time Deposits		33,185,848

Par Value		Description	Value ($)
		U.S. Government — 0.1%
	5,000,000	U.S. Treasury Bill, 0.05%, due 04/09/15 (e) (f)		4,999,150
		TOTAL SHORT-TERM INVESTMENTS (COST $38,185,037)		38,184,998
		TOTAL INVESTMENTS — 100.3% (Cost $7,299,445,164)		6,971,389,760
		Other Assets and Liabilities (net) — (0.3%)		(19,218,197	)
		TOTAL NET ASSETS — 100.0%		$6,952,171,563

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 November 30, 2014
The China A Share Fund Ltd – Class S2	4/23/10	$	2,453,738	0.03%	$	2,300,502
Fire Capital Mauritius Private Fund	12/12/06-10/26/09		10,189,080	0.12%		8,208,605
NCH Eagle Fund LP	4/6/09		5,452,004	0.04%		3,050,745
TDA India Technology Fund II LP	2/23/00-3/23/04		—	0.01%		443,526
Templeton EE FD	12/05/97-6/24/02		471,720	0.00%		195,901
					$	14,199,279

A summary of outstanding financial instruments at November 30, 2014 is as follows:

Swap Contracts

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund (Pays)/Receives	Net Unrealized Appreciation/ (Depreciation)
	5,748,550	USD	2/5/2015	CSI	Depreciation of Total Return on Acer Inc + (3 Month BBA USD LIBOR minus 4.00%)	Appreciation of Total Return on Acer Inc	$	(352,954	)
	3,802,200	USD	2/25/2015	CSI	Depreciation of Total Return on Acer Inc + (3 Month BBA USD LIBOR minus 4.00%)	Appreciation of Total Return on Acer Inc		(2,460	)
	33,913,600	USD	12/16/2014	CSI	Depreciation of Total Return on Astra International + (3 Month BBA USD LIBOR minus 4.00%)	Appreciation of Total Return on Astra International		(1,008,896	)
	27,192,842	USD	12/10/2014	MSCI	Depreciation of Total Return on Asustek Computer Inc + (Monthly Fed Funds Rate minus 1.00%)	Appreciation of Total Return on Asustek Computer Inc		1,748,278
	15,488,900	USD	2/24/2015	CSI	Depreciation of Total Return on HTC Corp + (3 Month BBA USD LIBOR minus 3.00%)	Appreciation of Total Return on HTC Corp		(24,955	)

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Total Return Swaps (continued)

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund (Pays)/Receives	Net Unrealized Appreciation/ (Depreciation)
	9,706,400	USD	12/10/2014	CSI	Depreciation of Total Return on HTC Corp + (3 Month BBA USD LIBOR minus 4.00%)	Appreciation of Total Return on HTC Corp	$	115,475
							$	474,488
					Premiums to (Pay) Receive		$	—

As of November 30, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

ADR - American Depositary Receipt

ADS - American Depository Share

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.

ETF - Exchange-Traded Fund

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

GDR - Global Depository Receipt

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depository Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

PDR - Philippine Depository Receipt

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.

REIT - Real Estate Investment Trust

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

* Non-income producing security.

(a) Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits.

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

(c) Affiliated company.

(d) Private placement securities are restricted as to resale.

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

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

Counterparty Abbreviations:

CSI - Credit Suisse International

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

USD - United States Dollar

ZAR - South African Rand

GMO Taiwan Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.1%
		Taiwan — 99.1%
	3,968,000	AmTRAN Technology Co Ltd		2,138,516
	1,524,323	Asustek Computer Inc		16,603,859
	448	Catcher Technology Co Ltd		3,785
	7,529,000	China Petrochemical Development Corp *		2,160,275
	1,461,621	Chong Hong Construction Co Ltd		3,146,002
	1,716,132	Chunghwa Telecom Co Ltd		5,165,836
	7,765,486	Compal Electronics Inc		4,959,354
	475,000	Delta Electronics Inc		2,866,949
	7,981,247	E.Sun Financial Holding Co Ltd		5,051,217
	1,564,767	Far EasTone Telecommunications Co Ltd		3,385,520
	840	Foxconn Technology Co Ltd		2,345
	1,273,000	Fubon Financial Holding Co Ltd		2,080,774
	272,500	Giant Manufacturing Co Ltd		2,393,413
	2,307,325	Highwealth Construction Corp		4,375,544
	7,173,060	Hon Hai Precision Industry Co Ltd		22,481,890
	1,267,028	HTC Corp *		5,596,348
	259	Lite-On Technology Corp		313
	714,000	Lung Yen Life Service Corp		2,243,772
	554,037	Makalot Industrial Co Ltd		2,803,210
	158,596	MediaTek Inc		2,379,222
	3,255,609	Mega Financial Holding Co Ltd		2,644,976
	429,995	Novatek Microelectronics Corp Ltd		2,426,424
	2,000	Pegatron Corp		4,637
	484,000	Phison Electronics Corp		3,235,956
	3,860,475	Powertech Technology Inc		6,448,997
	2,235,856	Quanta Computer Inc		5,559,204
	2,241,670	Radiant Opto-Electronics Corp		7,337,625
	1,264,870	Realtek Semiconductor Corp		4,208,069
	828,000	Simplo Technology Co Ltd		4,242,020
	1,424,000	Synnex Technology International Corp		2,068,578
	6,367,684	Taishin Financial Holding Co Ltd		2,949,057
	543,158	Taiwan Mobile Co Ltd		1,726,579
	175,600	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		4,121,332
	1,680,640	Taiwan Surface Mounting Technology Corp		2,244,741
	1,272,358	TPK Holding Co Ltd		8,165,134
	1,469,000	Tripod Technology Corp		2,906,140
	2,265,000	Unimicron Technology Corp		1,664,378
	4,647,418	Wistron Corp		4,238,620
	194,662	Wowprime Corp		1,834,511
	1,942,000	WPG Holdings Co Ltd		2,255,153
	1,165,152	Yungtay Engineering Co Ltd		2,674,407
		Total Taiwan		162,794,682
		TOTAL COMMON STOCKS (COST $153,799,151)		162,794,682

Shares / Par Value		Description	Value ($)
		MUTUAL FUNDS — 0.5%
		United States — 0.5%
		Affiliated Issuers
	35,288	GMO U.S. Treasury Fund		882,197
		TOTAL MUTUAL FUNDS (COST $882,197)		882,197
		SHORT-TERM INVESTMENTS — 0.1%
		Time Deposit — 0.1%
USD	155,399	JPMorgan Chase (New York) Time Deposit, 0.06%, due 12/01/14		155,399
		Total Time Deposits		155,399
		TOTAL SHORT-TERM INVESTMENTS (COST $155,399)		155,399
		TOTAL INVESTMENTS — 99.7% (Cost $154,836,747)		163,832,278
		Other Assets and Liabilities (net) — 0.3%		508,898
		TOTAL NET ASSETS — 100.0%		$164,341,176

Notes to Schedule of Investments:

ADR - American Depositary Receipt

* Non-income producing security.

Currency Abbreviations:

USD - United States Dollar

As of November 30, 2014, 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		58,360,754		4,816,487		(10,176,726)		(5,360,239)
Emerging Domestic Opportunities Fund		2,517,365,657		236,829,671		(106,920,736)		129,908,935
Emerging Markets Fund		7,454,808,590		548,472,337		(1,031,891,167)		(483,418,830)
Taiwan Fund		157,013,123		12,316,529		(5,497,374)		6,819,155

Investments in affiliated issuers

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

A summary of the Funds’ transactions in the shares of other funds of the Trust during the period ended November 30, 2014 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Value, end of period
Emerging Countries Fund
GMO U.S. Treasury Fund	$	476,272	$	6,654,923	$	6,789,041	$	124	$	16	$	342,155
Emerging Domestic Opportunities Fund
GMO U.S. Treasury Fund	$	112,049,934	$	814,412,258	$	865,709,149	$	22,308	$	2,438	$	60,753,043
Emerging Markets Fund
GMO U.S. Treasury Fund	$	43,407,219	$	1,396,277,399	$	1,353,983,973	$	17,075	$	1,481	$	85,700,645
Taiwan Fund
GMO U.S. Treasury Fund	$	1,117,753	$	26,486,421	$	26,721,976	$	440	$	41	$	882,197

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2014 through November 30, 2014. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2015.

Investments in other affiliated issuers

An affiliated company is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended November 30, 2014 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Value, end of period
Emerging Domestic Opportunities Fund
Gayatri Projects Ltd	$	—	$	4,464,096	$	668,389	$	70,983	$	4,909,553
TICON Industrial Growth Leasehold Property Fund*		3,189,142		8,083,421		932,977		791,019		11,642,071
Totals	$	3,189,142	$	12,547,517	$	1,601,366	$	862,002	$	16,551,624
Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	2,414,415	$	—	$	—	$	—	$	3,450,927
Kiri Industries Ltd**		826,942		217,082		—		—		1,808,966
Totals	$	3,241,357	$	217,082	$	—	$	—	$	5,259,893

* Not an affiliate at the beginning of the period.

** No longer an affiliate as of November 30, 2014.

Basis of presentation

The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires GMO to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may

differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon sale of those securities.

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 Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) 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 price quoted (which may be based on a model) 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 fixed income securities) 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 of GMO Trust (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 November 30, 2014, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities 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 price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended 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 November 30, 2014. 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.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third party pricing source in accordance with the market practice for that security. If an updated quote for a security is not available by the time that a 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, 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. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of November 30, 2014 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 (Net)
Emerging Countries Fund		< 1%		88%
Emerging Domestic Opportunities Fund		—		77%
Emerging Markets Fund		< 1%		89%
Taiwan Fund		—		97%

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 table below). At November 30, 2014, 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, 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 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; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain 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 may be 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 relevant 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 November 30, 2014:

Description	Level 1		Level 2		Level 3		Total
Emerging Countries Fund
Asset Valuation Inputs
Common stocks
Brazil	$	384,006	$	1,885,407	$	—	$	2,269,413
China		511,318		8,650,642		30,103		9,192,063
Czech Republic		—		1,713,458		—		1,713,458
Egypt		—		1,331,230		—		1,331,230
France		—		386		—		386
Hungary		—		8,977		—		8,977
India		61,276		3,955,553		—		4,016,829
Indonesia		645,400		1,019,588		—		1,664,988
Malaysia		—		106,903		—		106,903
Mexico		198,067		—		—		198,067
Panama		44,764		—		—		44,764
Peru		257,622		—		—		257,622
Philippines		—		551,356		—		551,356
Poland		—		1,850,647		—		1,850,647
Qatar		—		124,079		—		124,079
Russia		224,727		3,538,080		—		3,762,807
South Africa		33,640		549,761		14		583,415
South Korea		832,433		7,324,331		—		8,156,764
Spain		267,943		—		—		267,943
Taiwan		295,722		4,958,578		—		5,254,300
Thailand		—		1,822,089		—		1,822,089
Turkey		9,522		1,786,466		—		1,795,988
United Kingdom		8,428		170,204		—		178,632
United States		275,999		—		—		275,999
TOTAL COMMON STOCKS		4,050,867		41,347,735		30,117		45,428,719
Preferred Stocks
Brazil		1,010,855		2,223,428		—		3,234,283
Russia		—		2,262,319		—		2,262,319
South Korea		—		770,721		—		770,721
TOTAL PREFERRED STOCKS		1,010,855		5,256,468		—		6,267,323

Description	Level 1		Level 2		Level 3			Total
Emerging Countries Fund (continued)
Asset Valuation Inputs (continued)
Investment Funds
Thailand	$	—	$	219,992	$	—		$	219,992
United States		673,130		—		—			673,130
TOTAL INVESTMENT FUNDS		673,130		219,992		—			893,122
Rights/Warrants
South Korea		—		—		4,120			4,120
Thailand		889		—		0	**		889
TOTAL RIGHTS/WARRANTS		889		—		4,120			5,009
Mutual Funds
United States		342,155		—		—			342,155
TOTAL MUTUAL FUNDS		342,155		—		—			342,155
Short-Term Investments		64,187		—		—			64,187
Total Investments		6,142,083		46,824,195		34,237			53,000,515
Total	$	6,142,083	$	46,824,195	$	34,237		$	53,000,515
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Belgium	$	—	$	41,725,349	$	—		$	41,725,349
Brazil		—		134,913,905		—			134,913,905
China		146,553,959		224,757,590		14,808,795			386,120,344
India		4,325,706		582,732,813		—			587,058,519
Indonesia		—		108,743,548		—			108,743,548
Malaysia		—		40,361,869		—			40,361,869
Mexico		85,826,097		—		—			85,826,097
Nigeria		—		10,173,257		—			10,173,257
Panama		28,061,209		—		—			28,061,209
Philippines		4,295,240		142,075,291		—			146,370,531
Poland		—		36,120,724		—			36,120,724
Qatar		—		57,066,600		—			57,066,600
Russia		—		33,478,799		—			33,478,799
South Africa		—		57,968,388		—			57,968,388
South Korea		—		28,047,793		—			28,047,793
Switzerland		—		55,104,286		—			55,104,286
Taiwan		—		74,044,351		—			74,044,351
Thailand		—		145,679,340		—			145,679,340
Turkey		—		15,473,375		—			15,473,375
United Arab Emirates		—		21,272,448		—			21,272,448
United Kingdom		11,053,783		86,525,383		—			97,579,166
United States		197,092,126		—		—			197,092,126
Vietnam		—		14,206,362		—			14,206,362
TOTAL COMMON STOCKS		477,208,120		1,910,471,471		14,808,795			2,402,488,386
Preferred Stock
Brazil		9,789,657		15,528,723		—			25,318,380
TOTAL PREFERRED STOCKS		9,789,657		15,528,723		—			25,318,380
Investment Funds
China		48,638,800		—		—			48,638,800
Thailand		—		88,333,733		4,273,228			92,606,961
United States		1,786,243		—		—			1,786,243
TOTAL INVESTMENT FUNDS		50,425,043		88,333,733		4,273,228			143,032,004
Mutual Funds
United States		60,753,043		—		—			60,753,043
TOTAL MUTUAL FUNDS		60,753,043		—		—			60,753,043
Short-Term Investments		15,682,779		—		—			15,682,779
Total Investments		613,858,642		2,014,333,927		19,082,023			2,647,274,592
Total	$	613,858,642	$	2,014,333,927	$	19,082,023		$	2,647,274,592

Description	Level 1		Level 2			Level 3			Total
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	101,202,844	$	399,260,356		$	—		$	500,463,200
China		65,400,193		1,261,551,045			3,406,001			1,330,357,239
Colombia		1,098,383		—			—			1,098,383
Czech Republic		—		122,943,294			—			122,943,294
Egypt		—		39,005,257			—			39,005,257
Hungary		—		22,802,175			—			22,802,175
India		5,975,742		521,206,700			—			527,182,442
Indonesia		30,223,160		70,249,335			163,905			100,636,400
Malaysia		—		10,445,729			—			10,445,729
Mexico		19,621,285		—			—			19,621,285
Nigeria		—		2,124,001			—			2,124,001
Panama		5,734,156		—			—			5,734,156
Peru		9,547,202		—			—			9,547,202
Philippines		2,585,962		39,395,422			—			41,981,384
Poland		—		245,697,526			—			245,697,526
Qatar		—		12,628,876			—			12,628,876
Russia		26,426,095		507,098,082			—			533,524,177
South Africa		—		76,853,329			845			76,854,174
South Korea		61,133,233		712,739,962			—			773,873,195
Sri Lanka		—		3,450,927			—			3,450,927
Taiwan		4,205,824		759,481,102			—			763,686,926
Thailand		—		251,124,332			—			251,124,332
Turkey		979,179		343,705,974			—			344,685,153
United Arab Emirates		—		11,593,871			—			11,593,871
United Kingdom		3,195,013		17,997,191			—			21,192,204
United States		30,458,505		—			—			30,458,505
Vietnam		—		2,629,765			—			2,629,765
TOTAL COMMON STOCKS		367,786,776		5,433,984,251			3,570,751			5,805,341,778
Preferred Stocks
Brazil		176,942,739		360,439,769			—			537,382,508
Russia		82,885		248,809,609			—			248,892,494
South Korea		—		105,231,726			—			105,231,726
TOTAL PREFERRED STOCKS		177,025,624		714,481,104			—			891,506,728
Investment Funds
China		—		—			2,300,502			2,300,502
India		—		—			8,652,131			8,652,131
Poland		—		—			195,901			195,901
Russia		—		—			3,050,745			3,050,745
Thailand		—		17,406,860			847,288			18,254,148
United States		118,107,838		—			—			118,107,838
TOTAL INVESTMENT FUNDS		118,107,838		17,406,860			15,046,567			150,561,265
Rights/Warrants
South Korea		—		—			94,346			94,346
Thailand		—		—			0	**		0	**
TOTAL RIGHTS/WARRANTS		—		—			94,346			94,346
Mutual Funds
United States		85,700,645		—			—			85,700,645
TOTAL MUTUAL FUNDS		85,700,645		—			—			85,700,645
Short-Term Investments		38,184,998		—			—			38,184,998
Total Investments		786,805,881		6,165,872,215			18,711,664			6,971,389,760
Derivatives*
Swap Contracts
Equity Risk		—		1,863,753			—			1,863,753
Total	$	786,805,881	$	6,167,735,968		$	18,711,664		$	6,973,253,513
Liability Valuation Inputs
Derivatives*
Swap Contracts
Equity Risk	$	—	$	(1,389,265	)	$	—		$	(1,389,265	)

Description	Level 1		Level 2		Level 3		Total
Taiwan Fund
Asset Valuation Inputs
Common Stocks
Taiwan	$	4,121,332	$	158,673,350	$	—	$	162,794,682
Mutual Funds
United States		882,197		—		—		882,197
Short-Term Investments		155,399		—		—		155,399
Total Investments		5,158,928		158,673,350		—		163,832,278
Total	$	5,158,928	$	158,673,350	$	—	$	163,832,278

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 value of zero at November 30, 2014.

The underlying GMO 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’ portfolio valuation notes.

For all Funds for the period ended November 30, 2014, 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, 2014		Purchases			Sales		Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)		Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3*			Transfer out of Level 3*		Balances as of November 30, 2014			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2014
Emerging Countries Fund
Common Stocks
China	$	—	$	23,588		$	—	$	—	$	—	$	6,515		$	—		$	—	$	30,103		$	6,515
South Africa		—		—			—		—		—		—			14	**		—		14			—
Total	$	—	$	23,588		$	—	$	—	$	—	$	6,515		$	14		$	—	$	30,117		$	6,515
Rights and/or Warrants
South Korea	$	—	$	7,110		$	—	$	—	$	—	$	(2,990	)	$	—		$	—	$	4,120		$	(2,990	)
Thailand		—		0	***		—		—		—		—			—			—		0	***		—
Total	$	—	$	30,698		$	—	$	—	$	—	$	3,525		$	14		$	—	$	34,237		$	3,525
Emerging Domestic Opportunities Fund
Common Stocks
China	$	—	$	11,834,392		$	—	$	—	$	—	$	2,974,403		$	—		$	—	$	14,808,795		$	2,974,403
Investment Funds
Thailand		—		—			—		—		—		—			4,273,228	**		—		4,273,228			—
Total	$	—	$	11,834,392		$	—	$	—	$	—	$	2,974,403		$	4,273,228		$	—	$	19,082,023		$	2,974,403

	Balances as of February 28, 2014		Purchases			Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)		Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3*			Transfer out of Level 3*		Balances as of November 30, 2014			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2014
Emerging Markets Fund
Common Stocks
China	$	—	$	2,907,010		$	(194,572	)	$	—	$	16,522	$	677,041		$	—		$	—	$	3,406,001		$	677,041
Indonesia		226,693		—			—			—		—		(62,788	)		—			—		163,905			(62,788	)
South Africa		—		—			—			—		—		—			845	**		—		845			—
Total Common Stocks	$	226,693	$	2,907,010		$	(194,572	)	$	—	$	16,522	$	614,253		$	845		$	—	$	3,570,751		$	614,253
Investment Funds
China	$	2,298,416	$	—		$	—		$	—	$	—	$	2,086		$	—		$	—	$	2,300,502		$	2,086
India		7,733,819		—			—			—		—		918,312			—			—		8,652,131			918,312
Poland		188,774		—			—			—		—		7,127			—			—		195,901			7,127
Russia		4,368,072		—			(3,072,014	)		—		695,018		1,059,669			—			—		3,050,745			289,214
Thailand		—		—			—			—		—		—			847,288	**		—		847,288			—
Total Investment Funds		14,589,081		—			(3,072,014	)		—		695,018		1,987,194			847,288			—		15,046,567			1,216,739
Rights and/or Warrants
South Korea	$	—	$	155,816		$	—		$	—	$	—	$	(61,470	)	$	—		$	—	$	94,346		$	(61,470	)
Thailand		—		0	***		—			—		—		—			—			—		0	***		—
Total	$	14,815,774	$	3,062,826		$	(3,266,586	)	$	—	$	711,540	$	2,539,977		$	848,133		$	—	$	18,711,664		$	1,769,522

* 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 were due to a change in observable and/or unobservable inputs.

*** Represents the interest in securities that were determined to have a value of zero at November 30, 2014.

The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Funds’ exposure, (based on each Fund’s net assets) as of November 30, 2014 were as follows:

Fund Name	Level 3 securities and derivatives
Emerging Countries Fund		< 1%
Emerging Domestic Opportunities Fund		< 1%
Emerging Markets Fund		< 1%
Taiwan Fund		—

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 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.

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 some of 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 0.06% of the Fund’s total net assets as of November 30, 2014. 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. Any costs in respect of this matter will be borne by EMF.

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
Illiquidity 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 GMO 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 as well as the risk that investments made through underlying Funds will not perform as expected. 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 its underlying Funds.

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

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

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 performance by the company’s management 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.

If a Fund purchases equities for less than their value as determined by GMO, the Fund runs the risk that the market prices of these equities will not appreciate or will decline for a variety of reasons, one of which may be GMO’s overestimation 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.

• ILLIQUIDITY RISK. Illiquidity 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 closing derivative

positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity 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). To the extent a Fund’s investments include asset-backed securities, distressed or defaulted instruments, emerging country debt securities, securities of companies with smaller market capitalizations or emerging market securities, it is subject to increased illiquidity risk. 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, may have inexperienced managers 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. Market risk and illiquidity 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 changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indicies, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other over-the-counter (“OTC”) contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, 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 still 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 GMO 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., foreign 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 will typically not receive the collateral for one or more days after the collateral is requested by the Fund.

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, illiquidity 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, GMO 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 illiquidity risk (see “Illiquidity 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.

There is little case or other law interpreting the terms of most derivatives or characterizing their tax treatment. A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders.

Cleared Derivatives. The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. Because these requirements are new and evolving (and some 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 hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds 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 some 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 positions than for bilateral derivatives positions. Also, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives position 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 positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions 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 positions 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 GMO 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 position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and 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. While futures contracts entail similar risks, the risks likely are more pronounced for cleared derivatives due to their more limited liquidity and market history.

Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility. If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), it is possible the Fund could not execute all components of the package on the swap execution facility. In that case, the Fund would need to trade certain components of the package on the swap execution facility and other components of the package in another manner, which could subject the Fund to the risk that certain of the components of the package would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.

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 rules and regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new rules and 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 they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Short Investment Exposure. Some Funds may make short sales as part of their investment programs in an attempt to increase their returns or for hedging purposes. Many Funds may make short sales “against the box,” meaning the Fund may make short sales where the Fund owns, or has the right to acquire at no added cost, securities or currencies identical to those sold short. Short sales expose a 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.

In addition, some Funds are permitted to engage in short sales of securities or currencies, including securities or currencies that they do not own. To do so, a 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. 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. A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency. Short sales of securities or currencies a

Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A 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 or takes “short” derivative positions.

• 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. Non-U.S. securities markets often include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets 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. The reporting, accounting, custody and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities 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 and/or its shareholders 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 or other disposition of those investments. A Fund may seek to collect a refund of taxes paid, but its efforts 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, particularly in light of the costs involved, it may decide not to pursue a refund, even if eligible. The outcome of a Fund’s pursuit of a refund is not predictable, and potential refunds generally are not reflected in the net asset value of a Fund.

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, including the imposition of economic sanctions.

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 United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign 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 GMO’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 GMO’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 foreign 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. 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 GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.

Derivative transactions in foreign 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 that are subject to the same or similar risk factors or whose security prices have strong positive correlations (e.g., different industries within broad sectors, such as technology or financial services), or in securities from issuers that are subject to the same or similar risk factors, 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, 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 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 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 may not 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 still have contractual remedies (whether or not the obligation is collateralized), 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 has been and may continue to 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 positions 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 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 the funds held in the omnibus account for the 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 Commodity 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. Terrorism in the United States and around the world 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 reduce 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, a default by the U.S. government or a downgrade of its credit rating 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 United States 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 United States 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 affect 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 a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.

• LARGE SHAREHOLDER RISK. If 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 by forcing the Fund to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may purchase or sell Fund shares. GMO Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by GMO 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) 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, have adverse tax consequences for shareholders. They also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization. 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 GMO’s ability to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

For some Funds GMO uses quantitative analyses and models as part of its investment process. Any imperfections, errors, or limitations in those analyses and models could affect a Fund’s performance. 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 GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’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 GMO 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. GMO is not contractually liable to the Funds for losses associated with operational risk absent its 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.

With the increased use of technologies such as the Internet and the dependence on computer systems to perform necessary business functions, investment companies (such as the Funds) and their service providers (including GMO) may be prone to operational and information security risks resulting from cyber-attacks and/or other technological malfunctions. In general, cyber-attacks are deliberate, but unintentional events may have similar effects. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other affiliated or third-party service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, there are inherent limitations in such plans and systems including the possibility that certain risks have not been identified. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.

• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Funds that invest in shares of underlying funds, including other GMO Funds, closed end funds, money market funds, ETFs and other investment companies 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.

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. In addition, ETFs often use derivatives to track the performance of the relevant index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed above.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”). This means they are allowed to invest in the securities of relatively few issuers and/or foreign 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 within the meaning of the 1940 Act:

• Emerging Countries Fund

• Emerging Domestic Opportunities Fund

• Emerging Markets Fund

• Taiwan Fund

Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and that are taken in attempting to respond to adverse market, economic, political, or other conditions. 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.

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 indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives to gain long investment exposure to 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 GMO 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 GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their investment exposures, the Funds also may use currency derivatives in an attempt to adjust their currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which their equities are traded.

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 currencies in which its equities are traded.

Certain derivatives transactions that may be 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, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges 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 GMO 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 November 30, 2014, 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
Swap contracts
As a substitute for direct investment in securities				X		X
To achieve returns comparable to holding and lending a direct equity position				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 price 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. 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, if any, is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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

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

Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of 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. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss.

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights 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). Basis swap are interest swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

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. 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. The values assigned to swap contracts may differ significantly from the values 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 as of November 30, 2014:

	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Emerging Countries Fund
Assets:
Investments, at value (rights and/or warrants)	$	—	$	5,009		$	—	$	—	$	—	$	5,009
Total	$	—	$	5,009		$	—	$	—	$	—	$	5,009
Emerging Markets Fund
Assets:
Investments, at value (rights and/or warrants)	$	—	$	94,346		$	—	$	—	$	—	$	94,346
Unrealized Appreciation on Swap Contracts		—		1,863,753			—		—		—		1,863,753
Total	$	—	$	1,958,099		$	—	$	—	$	—	$	1,958,099
Liabilities:
Unrealized Depreciation on Swap Contracts	$	—	$	(1,389,265	)	$	—	$	—	$	—	$	(1,389,265	)
Total	$	—	$	(1,389,265	)	$	—	$	—	$	—	$	(1,389,265	)

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.

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 November 30, 2014:

Fund Name	Swap Contracts ($)		Rights and/or Warrants ($)
Emerging Countries Fund		—		1,194
Emerging Domestic Opportunities Fund		11,024,145		135,827
Emerging Markets Fund		106,934,491		186,155

Subsequent events

Subsequent to November 30, 2014, GMO Emerging Countries Fund and GMO Taiwan Fund received redemption requests in the amount of $14,841,808 and $56,376,447, respectively.

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

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 89.9%
		Australia — 0.2%
	374,969	Arrium Ltd		76,489
	85,019	Bank of Queensland Ltd		889,698
	194,423	BlueScope Steel Ltd *		817,512
	489,551	Goodman Fielder Ltd		269,082
	54,717	Investa Office Fund (REIT)		164,264
	553,358	Mirvac Group (REIT)		825,539
	263,771	Pacific Brands Ltd		116,315
	295,175	Stockland (REIT)		1,033,477
	309,876	TABCORP Holdings Ltd		1,076,429
	37,284	Tatts Group Ltd		108,063
		Total Australia		5,376,868
		Austria — 0.1%
	41,299	OMV AG		1,195,537
	31,603	Voestalpine AG		1,313,328
		Total Austria		2,508,865
		Belgium — 0.2%
	31,795	Ageas		1,137,845
	50,531	Belgacom SA		1,996,302
	36,822	Delhaize Group		2,692,422
	1,163	Solvay SA		159,846
	4,827	Umicore SA		196,255
		Total Belgium		6,182,670
		Canada — 0.2%
	7,700	Canadian Tire Corp Ltd		863,700
	86,400	Catamaran Corp *		4,401,216
	2,100	First Quantum Minerals Ltd		34,146
	17,400	Home Capital Group Inc		793,260
	5,400	RONA Inc		64,721
	42,600	Suncor Energy Inc		1,344,773
		Total Canada		7,501,816
		Denmark — 0.1%
	1,623	AP Moeller – Maersk A/S – Class A		3,387,328
	13,624	Carlsberg A/S – Class B		1,212,983
	1,524	Jyske Bank A/S (Registered) *		78,979
	17,711	TDC A/S		143,327
		Total Denmark		4,822,617
		Finland — 0.3%
	93,208	Fortum Oyj		2,339,781
	10,126	Metso Oyj		314,151
	10,368	Neste Oil Oyj		246,065
	421,667	Nokia Oyj		3,503,589
	32,335	Stora Enso Oyj – R Shares		286,479
	108,284	UPM – Kymmene Oyj		1,797,242
		Total Finland		8,487,307

Shares		Description	Value ($)
		France — 4.2%
	17,790	Alstom SA *		624,245
	192,572	ArcelorMittal		2,359,693
	33	AXA		798
	17,489	BNP Paribas		1,123,188
	61,904	Bouygues SA		2,328,973
	88,129	Carrefour SA		2,790,886
	2,264	Casino Guichard Perrachon SA		218,199
	672	Christian Dior SA		128,826
	55,113	Cie Generale des Etablissements Michelin – Class B		5,070,614
	19,223	CNP Assurances		356,283
	116,890	Compagnie de Saint-Gobain		5,372,029
	74,043	Credit Agricole SA		1,041,743
	10,887	Danone SA		767,880
	51,781	Electricite de France		1,551,004
	491,626	GDF Suez		12,124,706
	3,045	Lafarge SA		216,688
	58,520	LVMH Moet Hennessy Louis Vuitton SA		10,524,762
	748,542	Orange		13,200,137
	115,247	Peugeot SA *		1,475,256
	62,917	Renault SA		5,052,293
	11,031	Rexel SA		204,501
	168,149	Sanofi		16,250,889
	71,574	Schneider Electric SE		5,843,570
	4,829	SCOR SE		150,791
	31,613	Societe Generale		1,570,047
	15,320	Suez Environnement Co		271,938
	487,613	Total SA		27,228,493
	22,495	Vallourec SA		744,652
	104,675	Veolia Environnement SA		1,912,342
	110,576	Vinci SA		5,978,996
	450,459	Vivendi SA		11,463,262
		Total France		137,947,684
		Germany — 3.0%
	19,827	Allianz SE (Registered)		3,416,084
	25,693	Aurubis AG		1,414,966
	206,182	BASF SE		18,698,265
	90,214	Bayerische Motoren Werke AG		10,312,750
	4,918	Bilfinger SE		291,271
	224,156	Daimler AG (Registered)		18,908,965
	92,123	Deutsche Lufthansa AG (Registered)		1,641,902
	28	Deutsche Bank AG (Registered)		914
	501,072	Deutsche Telekom AG (Registered)		8,520,437
	10,449	Duerr AG		898,413
	748,151	E.ON AG		13,255,648
	10,933	Freenet AG		322,816
	23,824	Fresenius Medical Care AG & Co		1,759,592
	7,611	Hannover Rueck SE		679,444
	10,128	HeidelbergCement AG		767,153
	46,174	K+S AG (Registered)		1,385,350

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	33,294	Kloeckner & Co SE *		393,687
	4,087	Leoni AG		244,960
	38,093	Metro AG *		1,293,871
	9,420	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		1,939,768
	9,875	ProSiebenSat.1 Media AG (Registered)		420,327
	4,759	Rhoen-Klinikum AG		138,599
	184,777	RWE AG		6,694,317
	11,141	Salzgitter AG		368,292
	3,156	SAP AG		222,601
	22,085	Siemens AG (Registered)		2,612,170
	8,709	Volkswagen AG		1,971,861
		Total Germany		98,574,423
		Hong Kong — 0.2%
	42,000	Cheung Kong Holdings Ltd		770,845
	897,000	Esprit Holdings Ltd		1,166,362
	45,000	Hongkong Land Holdings Ltd		311,237
	10,000	Kerry Properties Ltd		35,850
	189,000	Link (REIT)		1,197,173
	150,626	Sun Hung Kai Properties Ltd		2,198,584
	36,000	Swire Pacific Ltd – Class A		493,962
	110,000	Wharf Holdings Ltd (The)		791,693
	10,000	Wheelock & Co Ltd		50,378
	315,700	Yue Yuen Industrial Holdings		1,131,729
		Total Hong Kong		8,147,813
		Ireland — 0.1%
	148,717	CRH Plc		3,505,241
	33,035	Smurfit Kappa Group Plc		765,664
		Total Ireland		4,270,905
		Israel — 0.3%
	71,747	Bank Hapoalim BM		358,169
	420,598	Bank Leumi Le-Israel *		1,485,012
	85,800	Check Point Software Technologies Ltd *		6,633,198
	475,728	Israel Discount Bank Ltd – Class A *		776,708
	83,335	Partner Communications Co Ltd *		509,218
		Total Israel		9,762,305
		Italy — 1.0%
	868,788	A2A SPA		906,859
	2,070,151	Enel SPA		9,993,112
	451,635	ENI SPA		8,997,599
	26,455	Exor SPA		1,178,786
	139,190	Fiat Chrysler Automobiles NV *		1,738,903
	103,576	Finmeccanica SPA *		1,004,304
	20,481	Italcementi SPA-Di RISP		125,990
	225,191	Mediaset SPA *		915,031
	97,895	Mediolanum SPA		679,603

Shares		Description	Value ($)
		Italy — continued
	11,540	Recordati SPA		201,761
	9,676	Saipem SPA *		138,559
	69,016	Snam Rete Gas SPA		365,984
	4,748,223	Telecom Italia SPA *		5,351,766
	2,319,359	Telecom Italia SPA-Di RISP		2,056,141
	23,545	Terna SPA		113,854
		Total Italy		33,768,252
		Japan — 4.7%
	3,500	Adastria Holdings Co Ltd		67,856
	91,800	Aeon Co Ltd		915,782
	21,600	Aisin Seiki Co Ltd		772,642
	36,100	Alfresa Holdings Corp		415,602
	5,300	Aoyama Trading Co Ltd		115,022
	131,000	Asahi Glass Co Ltd		633,000
	120,000	Asahi Kasei Corp		1,043,741
	3,200	Asatsu-DK Inc		82,533
	13,200	Brother Industries Ltd		246,475
	75,000	Calsonic Kansei Corp		411,817
	133,800	Canon Inc		4,274,126
	12,600	Central Japan Railway Co		1,830,806
	65,300	Chubu Electric Power Co Inc *		763,214
	370,000	Cosmo Oil Co Ltd		507,281
	20,500	Daihatsu Motor Co Ltd		280,841
	7,800	Daiichi Sankyo Co Ltd		115,138
	96,000	Daikyo Inc		165,852
	8,800	Daito Trust Construction Co Ltd		996,612
	63,000	Denki Kagaku Kogyo K K		215,231
	8,700	Electric Power Development Co Ltd		301,029
	34,700	FujiFilm Holdings Corp		1,147,640
	18,400	Fuji Oil Co Ltd		261,196
	72,000	Gunze Ltd		187,478
	43,300	Hakuhodo DY Holdings Inc		421,111
	52,000	Hanwa Co Ltd		183,598
	13,000	Haseko Corp		108,099
	13,200	Hitachi Chemical Co Ltd		244,529
	243,300	Honda Motor Co Ltd		7,359,701
	20,200	Idemitsu Kosan Co Ltd		344,932
	178,200	INPEX Corp		1,888,148
	38,200	IT Holdings Corp		592,081
	332,300	Itochu Corp		3,821,712
	323,888	Japan Tobacco Inc		10,386,375
	60,300	JFE Holdings Inc		1,285,074
	11,200	JSR Corp		200,378
	373,500	JX Holdings Inc		1,390,292
	34,600	K’s Holdings Corp		840,200
	26,846	Kaneka Corp		142,299
	559,000	Kawasaki Kisen Kaisha Ltd		1,466,800
	177,905	KDDI Corp		11,397,206
	661,000	Kobe Steel Ltd		1,052,767
	13,500	Kohnan Shoji Co Ltd		146,147

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	18,500	Kuraray Co Ltd		225,526
	171,500	Kyocera Corp		8,385,892
	15,800	Leopalace21 Corp *		89,357
	365,900	Marubeni Corp		2,306,760
	47,300	Medipal Holdings Corp		526,671
	309,100	Mitsubishi Chemical Holdings Corp		1,594,238
	288,900	Mitsubishi Corp		5,461,756
	529,000	Mitsubishi UFJ Financial Group Inc		3,047,842
	25,100	Mitsubishi UFJ Lease & Finance Co Ltd		118,442
	368,000	Mitsui Chemicals Inc		1,030,832
	429,000	Mitsui Engineering & Shipbuilding Co Ltd		819,880
	392,100	Mitsui & Co Ltd		5,409,667
	49,000	Mitsui Mining & Smelting Co Ltd		125,895
	277,000	Mitsui OSK Lines Ltd		878,409
	41,200	Net One Systems Co Ltd		236,790
	12,000	Nichirei Corp		52,102
	230,900	Nippon Light Metal Co Ltd		348,008
	50,000	Nippon Electric Glass Co Ltd		228,814
	40,000	Nippon Steel & Sumitomo Metal Corp		103,083
	114,600	Nippon Telegraph & Telephone Corp		6,130,455
	353,000	Nippon Yusen Kabushiki Kaisha		996,885
	71,000	Nipro Corp		607,425
	1,743,860	Nissan Motor Co Ltd		16,276,316
	39,000	Nisshinbo Holdings Inc		395,350
	8,600	Nisshin Seifun Group Inc		85,263
	9,200	NOK Corp		229,608
	88,300	North Pacific Bank Ltd		351,170
	1,082,600	NTT Docomo Inc		16,900,719
	5,000	Okinawa Electric Power Co		157,369
	74	ORIX JREIT Inc (REIT)		102,641
	181,000	Osaka Gas Co Ltd		691,738
	27,000	Rengo Co Ltd		108,487
	217,700	Resona Holdings Inc		1,176,541
	87,300	Ricoh Co Ltd		946,970
	27,400	Round One Corp		157,399
	43,400	Sekisui House Ltd		581,049
	4,600	Shimamura Co Ltd		384,892
	175,000	Showa Denko KK		242,001
	112,011	Showa Shell Sekiyu KK		934,532
	900,000	Sojitz Corp		1,290,150
	80,000	Sumitomo Heavy Industries Ltd		440,341
	21,400	Sumitomo Rubber Industries		326,233
	257,900	Sumitomo Corp		2,752,311
	9,000	Sumitomo Forestry Co Ltd		92,586
	72,000	Sumitomo Metal Mining Co Ltd		1,102,535
	50,800	Sumitomo Mitsui Financial Group Inc		1,908,016
	9,600	Suzuken Co Ltd		245,948
	72,100	Takeda Pharmaceutical Co Ltd		3,022,041
	39,000	Tokuyama Corp		85,452
	240,800	Tokyo Electric Power Co Inc (The) *		879,643

Shares		Description	Value ($)
		Japan — continued
	41,900	TonenGeneral Sekiyu KK		350,919
	276,000	Tosoh Corp		1,270,225
	65,700	Toyota Tsusho Corp		1,555,551
	156,000	Ube Industries Ltd		223,283
	95,600	UNY Co Ltd		481,930
	15,300	West Japan Railway Co		730,167
	380,800	Yamada Denki Co Ltd		1,253,513
	21,000	Yokohama Rubber Co Ltd (The)		193,256
		Total Japan		155,673,237
		Netherlands — 0.7%
	125,113	Aegon NV		982,333
	3,636	Boskalis Westminster		204,172
	21,624	Corbion NV		380,595
	25,466	Heineken NV		2,003,603
	228,028	ING Groep NV *		3,335,918
	244,725	Koninklijke Ahold NV		4,322,711
	52,203	Koninklijke BAM Groep NV		148,102
	9,035	Koninklijke DSM NV		594,380
	959,013	Koninklijke KPN NV		3,191,119
	173,718	Unilever NV		7,076,393
	7,376	Wolters Kluwer NV		216,232
		Total Netherlands		22,455,558
		New Zealand — 0.1%
	195,543	Chorus Ltd *		316,666
	54,619	Fletcher Building Ltd		350,407
	498,004	Spark New Zealand Ltd		1,193,580
		Total New Zealand		1,860,653
		Norway — 0.3%
	10,473	DNB ASA		173,385
	3,358	Fred Olsen Energy ASA		34,857
	13,321	Orkla ASA		98,787
	268,765	Statoil ASA		5,073,919
	27,190	Storebrand ASA *		126,229
	103,410	Telenor ASA		2,177,771
	12,928	TGS Nopec Geophysical Co ASA		286,850
	50,654	Yara International ASA		2,143,177
		Total Norway		10,114,975
		Portugal — 0.1%
	568,933	EDP-Energias de Portugal SA		2,335,445
		Singapore — 0.1%
	719,000	Ezra Holdings Ltd		366,561
	3,285,000	Golden Agri-Resources Ltd		1,158,983
	1,214,000	Noble Group Ltd		1,140,471
	41,600	Singapore Technologies Engineering Ltd		107,539
	480,000	Swiber Holdings Ltd		116,085

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Singapore — continued
	930,000	Yangzijiang Shipbuilding Holdings Ltd		874,683
		Total Singapore		3,764,322
		South Korea — 0.9%
	25,683	Samsung Electronics Co Ltd		29,755,734
		Spain — 1.2%
	6,090	Acciona SA *		450,659
	32,476	ACS Actividades de Construccion y Servicios SA		1,147,789
	40,104	Enagas		1,341,720
	15,846	Ferrovial SA		324,790
	336	Ferrovial SA (a)		6,887
	92,657	Gas Natural SDG SA		2,626,539
	1,475,415	Iberdrola SA		10,917,818
	57,915	Indra Sistemas SA		596,528
	39,665	Mapfre SA		145,629
	3,329	Obrascon Huarte Lain SA		90,559
	2,356	Red Electrica Corp SA		215,829
	162,342	Repsol YPF SA		3,647,005
	1,194,502	Telefonica SA		19,161,196
		Total Spain		40,672,948
		Sweden — 0.4%
	14,346	ASecuritas AB – Class B		173,509
	390,233	Ericsson LM – Class B		4,904,311
	5,468	Industrivarden AB – Class C		96,588
	2,559	Investor AB		96,040
	61,209	Sandvik AB		641,013
	44,640	Skanska AB – Class B		960,445
	17,106	SSAB Svenskt Stal AB Series A *		121,110
	65,305	Tele2 AB – B Shares		845,612
	700,341	TeliaSonera AB		4,997,775
	183,428	Volvo AB – Class B		2,005,843
		Total Sweden		14,842,246
		Switzerland — 2.2%
	156,540	ABB Ltd (Registered)		3,515,171
	38,434	Holcim Ltd (Registered)		2,838,980
	670,204	Nestle SA (Registered)		50,300,956
	110,083	Novartis AG (Registered)		10,650,810
	256	Swiss Life Holding AG (Registered)		58,635
	2,168	Swisscom AG (Registered)		1,316,513
	1,454	Transocean Ltd		30,496
	7,915	Zurich Insurance Group AG		2,481,832
		Total Switzerland		71,193,393
		United Kingdom — 5.6%
	57,251	Amlin Plc		398,019
	809,190	AstraZeneca Plc		60,121,514
	104,284	Aviva Plc		830,464

Shares		Description	Value ($)
		United Kingdom — continued
	234,872	BAE Systems Plc		1,762,406
	329,930	Balfour Beatty Plc		943,463
	890	BG Group Plc		12,516
	2,338,149	BP Plc		15,328,663
	353,193	British American Tobacco Plc		20,910,042
	26,029	Bunzl Plc		725,999
	51,672	Cairn Energy Plc *		130,559
	65,743	Cape Plc		259,551
	55,266	Carillion Plc		300,073
	51,152	Catlin Group Ltd		440,777
	660,660	Centrica Plc		2,938,571
	141,743	Cobham Plc		667,612
	364,681	Compass Group Plc		6,210,813
	244,489	Debenhams Plc		275,161
	167,862	Dixons Carphone Plc		1,108,576
	89,580	Drax Group Plc		853,046
	498,265	FirstGroup Plc *		878,396
	68,539	Friends Life Group Ltd		395,354
	73,805	GlaxoSmithKline Plc		1,714,413
	10,501	Halfords Group Plc		78,351
	249,128	Home Retail Group Plc		779,432
	9,870	Imperial Tobacco Group Plc		456,209
	79,195	Inchcape Plc		888,504
	37,523	Intermediate Capital Group Plc		269,281
	13,384	JD Wetherspoon Plc		171,296
	210,935	J Sainsbury Plc		768,786
	170,759	Kingfisher Plc		834,169
	17,334	Ladbrokes Plc		30,110
	3,736	Lancashire Holdings Ltd		31,529
	970,231	Man Group Plc		2,168,169
	222,387	Marks & Spencer Group Plc		1,694,492
	15,516	Micro Focus International Plc		276,887
	21,555	National Express Group Plc		89,230
	473	Next Plc		50,071
	77,830	Pearson Plc		1,495,728
	3,356	Premier Oil Plc		9,801
	141,120	Reckitt Benckiser Group Plc		11,574,753
	404,723	Royal Dutch Shell Plc A Shares (London)		13,484,402
	257,057	Royal Dutch Shell Plc B Shares (London)		8,927,431
	102,035	RSA Insurance Group Plc *		746,029
	71,942	Scottish & Southern Energy Plc		1,843,487
	17,858	Serco Group Plc		48,932
	77,012	Spirit Pub Co Plc		126,627
	43,317	Standard Life Assurance Plc		286,833
	1,070,075	Tesco Plc		3,121,615
	474,810	Thomas Cook Group Plc *		902,534
	179,333	TUI Travel Plc		1,246,181
	210,532	Unilever Plc		8,886,065
	1,254,288	Vodafone Group Plc		4,596,969
	565,673	WM Morrison Supermarkets Plc		1,576,482

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	24,264	WPP Plc		507,993
		Total United Kingdom		185,174,366
		United States — 63.7%
	273,018	3M Co.		43,707,452
	473,900	Abbott Laboratories		21,093,289
	261,047	Accenture Plc – Class A		22,536,187
	38,300	ACE Ltd		4,379,222
	6,500	Affiliated Managers Group, Inc. *		1,323,335
	52,000	AFLAC, Inc.		3,105,960
	56,900	Allergan, Inc.		12,170,341
	49,500	Allstate Corp. (The)		3,373,425
	103,100	American Express Co.		9,528,502
	162,600	American International Group, Inc.		8,910,480
	45,700	American Tower Corp. (REIT)		4,798,957
	21,400	Ameriprise Financial, Inc.		2,819,878
	59,126	Amgen, Inc.		9,774,119
	91,000	Amphenol Corp. – Class A		4,880,330
	135,159	Analog Devices, Inc.		7,385,088
	33,100	Aon Plc		3,061,419
	16,500	Apartment Investment & Management Co. – Class A REIT		614,625
	93	Apollo Education Group, Inc. *		2,903
	920,600	Apple, Inc.		109,486,958
	20	Applied Industrial Technologies, Inc.		938
	8,400	Assurant, Inc.		567,756
	15,000	AvalonBay Communities, Inc. REIT		2,411,850
	1,203,300	Bank of America Corp.		20,504,232
	127,700	Bank of New York Mellon Corp. (The)		5,111,831
	138,827	Baxter International, Inc.		10,134,371
	82,300	BB&T Corp.		3,093,657
	86,379	Becton, Dickinson and Co.		12,121,565
	143,641	Bed Bath & Beyond, Inc. *		10,538,940
	206,400	Berkshire Hathaway Inc. – Class B *		30,689,616
	42,338	Biogen Idec, Inc. *		13,026,979
	14,500	BlackRock, Inc.		5,206,660
	17,600	Boston Properties, Inc. REIT		2,281,664
	72,400	Bristol-Myers Squibb Co.		4,275,220
	16	Buckle, Inc. (The)		819
	64,000	Capital One Financial Corp.		5,324,800
	32,600	CBRE Group, Inc. *		1,099,924
	129,600	Charles Schwab Corp. (The)		3,670,272
	275,800	Chevron Corp.		30,026,346
	27,500	Chubb Corp.		2,833,875
	60,500	Church & Dwight Co., Inc.		4,640,955
	17,000	Cincinnati Financial Corp.		866,150
	2,017,124	Cisco Systems, Inc.		55,753,307
	346,400	Citigroup, Inc.		18,695,208
	87,300	Citrix Systems, Inc. *		5,788,863
	7	Clarcor, Inc.		461
	36,200	CME Group, Inc.		3,063,968
	40,700	Coach, Inc.		1,510,784

Shares		Description	Value ($)
		United States — continued
	1,646,142	Coca-Cola Co. (The)		73,796,546
	262,630	Cognizant Technology Solutions Corp. – Class A *		14,179,394
	381,610	Colgate-Palmolive Co.		26,556,240
	21,100	Comerica, Inc.		983,471
	119,500	Costco Wholesale Corp.		16,983,340
	429,136	Covidien Plc		43,342,736
	6,700	CR Bard, Inc.		1,121,245
	38,400	Crown Castle International Corp.		3,190,656
	29	CVS Health Corp.		2,649
	246,226	Danaher Corp.		20,574,645
	52,900	Discover Financial Services		3,467,595
	23	Dolby Laboratories, Inc. – Class A		1,021
	1,064	Donaldson Co., Inc.		41,496
	59,600	Dover Corp.		4,588,604
	32,800	E*TRADE Financial Corp. *		748,168
	258,538	eBay, Inc. *		14,188,565
	119,390	Eli Lilly & Co.		8,132,847
	715,000	EMC Corp.		21,700,250
	311,548	Emerson Electric Co.		19,861,185
	132	Equifax, Inc.		10,501
	40,900	Equity Residential REIT		2,897,356
	7,300	Essex Property Trust, Inc. REIT		1,477,593
	52,142	Estee Lauder Cos., Inc. (The) – Class A		3,865,808
	1,248,000	Express Scripts Holding Co. *		103,771,200
	9,500	F5 Networks, Inc. *		1,227,305
	96,200	Fifth Third Bancorp		1,935,544
	10	Flowserve Corp.		589
	45,900	Franklin Resources, Inc.		2,609,874
	7	Gartner, Inc. *		598
	71,900	General Growth Properties, Inc. REIT		1,924,044
	81,400	General Mills, Inc.		4,293,850
	62,400	Genuine Parts Co.		6,413,472
	60,500	Genworth Financial, Inc. – Class A *		549,945
	46,700	Goldman Sachs Group, Inc. (The)		8,798,747
	126,210	Google, Inc. – Class A *		69,299,387
	32,000	Google, Inc. – Class C *		17,338,560
	2,087	Halyard Health, Inc. *		81,831
	52,000	Hartford Financial Services Group, Inc. (The)		2,147,600
	52,600	HCP, Inc. REIT		2,356,480
	37,100	Health Care REIT, Inc.		2,732,786
	45	Herbalife Ltd.		1,946
	32	Hibbett Sports, Inc. *		1,605
	41,600	Honeywell International, Inc.		4,121,312
	87,300	Host Hotels & Resorts, Inc. REIT		2,028,852
	56,400	Hudson City Bancorp, Inc.		552,156
	76,191	Humana, Inc.		10,512,072
	95,100	Huntington Bancshares, Inc.		961,461
	177,267	Illinois Tool Works, Inc.		16,827,956
	29	Informatica Corp. *		1,055

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	13,000	Intercontinental Exchange Inc.		2,937,870
	275,215	International Business Machines Corp.		44,631,617
	101,231	Intuit, Inc.		9,502,554
	10,600	Intuitive Surgical, Inc. *		5,488,362
	50,200	Invesco Ltd.		2,026,072
	22,300	Iron Mountain, Inc. REIT		847,623
	400	J&J Snack Foods Corp.		42,020
	123	Jack Henry & Associates, Inc.		7,560
	751,900	Johnson & Johnson		81,393,175
	426,500	JPMorgan Chase & Co.		25,658,240
	101,400	KeyCorp.		1,368,900
	35,400	Kimberly-Clark Corp.		4,127,286
	47,400	Kimco Realty Corp. REIT		1,206,330
	7	Lancaster Colony Corp.		657
	11,900	Legg Mason, Inc.		675,325
	36,200	Leucadia National Corp.		837,306
	30,100	Lincoln National Corp.		1,704,563
	29,900	Linear Technology Corp.		1,376,297
	35,300	LOEWS Corp.		1,469,892
	15,300	M&T Bank Corp.		1,928,106
	16,000	Macerich Co. (The) REIT		1,265,280
	62,300	Marsh & McLennan Cos., Inc.		3,525,557
	163,457	Mastercard, Inc. – Class A		14,268,161
	155,143	Mattel, Inc.		4,894,762
	289,224	McDonald’s Corp.		27,999,775
	30,900	McGraw-Hill Cos., Inc. (The)		2,887,914
	1,100	McKesson Corp.		231,836
	128,500	MetLife, Inc.		7,145,885
	2,031,200	Microsoft Corp.		97,111,672
	187,410	Monsanto Co.		22,472,333
	21,400	Moody’s Corp.		2,161,614
	174,700	Morgan Stanley		6,145,946
	7	MSC Industrial Direct Co., Inc. – Class A		544
	13,700	NASDAQ OMX Group, Inc. (The)		615,267
	48,900	Navient Corp.		1,024,944
	48	NeuStar, Inc. – Class A *		1,308
	255,697	Nike, Inc. – Class B		25,388,155
	25,500	Northern Trust Corp.		1,727,115
	2,396,882	Oracle Corp.		101,651,766
	120,900	Paychex, Inc.		5,731,869
	36,400	People’s United Financial, Inc.		537,992
	182,666	PepsiCo, Inc.		18,284,867
	26	Pfizer, Inc.		810
	1,136,100	Philip Morris International, Inc.		98,761,173
	20,600	Plum Creek Timber Co., Inc. REIT		858,608
	61,900	PNC Financial Services Group, Inc.		5,414,393
	50,385	Precision Castparts Corp.		11,986,591
	31,300	Principal Financial Group, Inc.		1,667,351
	796,823	Procter & Gamble Co. (The)		72,056,704
	62,100	Progressive Corp. (The)		1,691,604
	57,300	ProLogis, Inc. REIT		2,422,644

Shares		Description	Value ($)
		United States — continued
	52,000	Prudential Financial, Inc.		4,418,960
	16,500	Public Storage REIT		3,095,895
	714,009	Qualcomm, Inc.		52,051,256
	8,000	Ralph Lauren Corp.		1,479,200
	159,000	Regions Financial Corp.		1,601,130
	80,041	Reynolds American, Inc.		5,275,502
	58,565	Rockwell Automation, Inc.		6,758,987
	20	Rockwell Collins, Inc.		1,711
	100	Roper Industries, Inc.		15,782
	14,400	Ross Stores, Inc.		1,317,312
	35,000	Simon Property Group, Inc. REIT		6,328,000
	13	Snap-On, Inc.		1,759
	48,500	State Street Corp.		3,721,405
	167	Steven Madden Ltd. *		5,695
	146,026	Stryker Corp.		13,567,276
	113,574	St Jude Medical, Inc.		7,718,489
	61,000	SunTrust Banks, Inc.		2,396,690
	189,810	Sysco Corp.		7,641,751
	30,500	T. Rowe Price Group, Inc.		2,545,835
	330,900	Teradata Corp. *		14,936,826
	100,416	TJX Cos., Inc. (The)		6,643,523
	15,400	Torchmark Corp.		827,750
	13	Toro Co. (The)		854
	149	Total System Services, Inc.		4,915
	38,800	Travelers Cos., Inc. (The)		4,052,660
	32	Tupperware Brands Corp.		2,152
	371,708	UnitedHealth Group, Inc.		36,661,560
	2,000	United Technologies Corp.		220,160
	29,200	Unum Group		970,024
	29	Urban Outfitters, Inc. *		937
	206,100	US Bancorp		9,109,620
	4	Valmont Industries, Inc.		541
	33,800	Ventas, Inc. REIT		2,418,390
	143,712	VF Corp.		10,802,831
	20,100	Vornado Realty Trust REIT		2,242,356
	464,415	Wal-Mart Stores, Inc.		40,654,889
	35,460	WellPoint, Inc.		4,535,689
	543,732	Wells Fargo & Co.		29,622,519
	60,800	Weyerhaeuser Co. REIT		2,146,848
	26,000	WW Grainger, Inc.		6,387,680
	114,500	Xilinx, Inc.		5,202,880
	30,800	XL Group Plc		1,094,016
	67,928	Zimmer Holdings, Inc.		7,627,635
	23,700	Zions Bancorporation		665,022
		Total United States		2,102,334,726
		TOTAL COMMON STOCKS (COST $2,821,228,986)		2,967,529,128

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

	Shares / Par Value		Description	Value ($)
			PREFERRED STOCKS — 0.6%
			Germany — 0.4%
		50,093	Porsche Automobil Holding SE		4,364,699
		42,096	Volkswagen AG		9,702,985
			Total Germany		14,067,684
			South Korea — 0.2%
		4,439	Samsung Electronics Co Ltd		4,213,817
			TOTAL PREFERRED STOCKS (COST $19,071,250)		18,281,501
			RIGHTS/WARRANTS — 0.0%
			Spain — 0.0%
		1,194,480	Telefonica SA Rights, Expires 12/03/14 *		546,955
			TOTAL RIGHTS/WARRANTS (COST $547,301)		546,955
			SHORT-TERM INVESTMENTS — 8.7%
			Time Deposits — 0.5%
USD		1,065,796	BNP Paribas (Paris) Time Deposit, 0.06%, due 12/01/14		1,065,796
EUR		13,890	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.11)%, due 12/01/14		17,283
GBP		883	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.09%, due 12/01/14		1,382
NOK		362,835	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.55%, due 12/01/14		51,577
HKD		361,502	JPMorgan Chase (New York) Time Deposit, 0.01%, due 12/01/14		46,616
AUD		27,733	NAT Australia Bank (Grand Cayman) Time Deposit, 1.76%, due 12/01/14		23,609
USD		16,358,025	Skandinaviska Enskilda Banken, AB (Stockholm) Time Deposit, 0.06%, due 12/01/14		16,358,025
JPY		33,085,908	Sumitomo (Tokyo) Time Deposit, 0.01%, due 12/01/14		278,806
			Total Time Deposits		17,843,094

	Par Value		Description	Value ($)
			U.S. Government — 8.2%
USD		134,116,000	U.S. Treasury Bill, 0.08%, due 05/28/15 (b) (c)		134,066,243
USD		135,650,000	U.S. Treasury Bill, 0.06%, due 04/23/15 (b)		135,617,716
			Total U.S. Government		269,683,959
			TOTAL SHORT-TERM INVESTMENTS (COST $287,530,974)		287,527,053
			TOTAL INVESTMENTS — 99.2% (Cost $3,128,378,511)		3,273,884,637
			Other Assets and Liabilities (net) — 0.8%		27,693,310
			TOTAL NET ASSETS — 100.0%		$3,301,577,947

A summary of outstanding financial instruments at November 30, 2014 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Sales
3,287	Russell 2000 Mini	December 2014	$	385,104,920	$	(8,316,025	)
1,802	S&P 400 E-Mini Index	December 2014		259,632,160		(3,780,040	)
20,466	S&P 500 E-Mini Index	December 2014		2,114,444,790		(85,458,611	)
			$	2,759,181,870	$	(97,554,676	)

+ Buys - Fund is long the underlying asset to the contract.
Sales - Fund is short the underlying asset to the contract.

As of November 30, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Security is restricted as to resale.

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

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

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

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 November 30, 2014
Ferrovial SA	11/28/14	$	6,260	0.00%	$	6,887

Currency Abbreviations:

AUD - Australian Dollar

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

USD - United States Dollar

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS (a) — 44.5%
		Australia — 0.0%
	716,799	Arrium Ltd		146,218
	33,591	Bank of Queensland Ltd		351,519
	115,080	BlueScope Steel Ltd *		483,890
	943,465	Goodman Fielder Ltd		518,577
	101,240	Investa Office Fund (REIT)		303,928
	191,990	Mirvac Group (REIT)		286,424
	464,159	Pacific Brands Ltd		204,680
	81,027	Stockland (REIT)		283,694
	174,364	TABCORP Holdings Ltd		605,695
	177,416	Tatts Group Ltd		514,216
	70,780	Woodside Petroleum Ltd		2,151,986
		Total Australia		5,850,827
		Austria — 0.1%
	182,553	OMV AG		5,284,601
	156,930	Voestalpine AG		6,521,545
		Total Austria		11,806,146
		Belgium — 0.1%
	9,702	Ageas		347,204
	309,046	Belgacom SA		12,209,311
	218,672	Delhaize Group		15,989,273
		Total Belgium		28,545,788
		Brazil — 0.4%
	216,300	Aes Tiete SA		1,349,319
	74,300	Banco Bradesco SA		1,105,440
	2,127,200	Banco do Brasil SA		24,590,709
	454,500	Banco Santander Brasil SA		2,622,609
	722,200	Brasil Brokers Participacoes SA		841,912
	642,400	Cia de Saneamento Basico do Estado de Sao Paulo ADR		4,753,760
	145,600	Cia de Saneamento de Minas Gerais-COPASA		1,385,126
	388,000	Companhia de Saneamento Basico do Estado de Sao Paulo		2,906,010
	643,300	Companhia Siderurgica Nacional SA		1,519,932
	559,600	Companhia Siderurgica Nacional SA Sponsored ADR		1,303,868
	103,800	Cosan Logistica SA *		140,432
	30,100	Cosan Ltd – Class A		275,415
	106,600	Cosan SA Industria e Comercio		1,325,824
	343,700	CPFL Energia SA		2,641,218
	86,700	CPFL Energia SA ADR		1,332,579
	288,700	Cyrela Brazil Realty SA Empreendimentos e Participacoes		1,401,374
	461,467	Duratex SA		1,509,526
	932,900	EDP-Energias Do Brasil SA		3,673,622
	245,600	Equatorial Energia SA		2,671,595
	103,200	Grendene SA		694,076

Shares		Description	Value ($)
		Brazil — continued
	181,100	Grupo BTG Pactual		2,111,192
	376,300	Klabin SA		2,046,664
	555,700	Light SA		4,461,026
	461,300	MRV Engenharia e Participacoes SA		1,537,757
	53,500	Multiplus SA		723,804
	75,900	Porto Seguro SA		920,619
	160,157	Sul America SA		793,026
	635,800	Tim Participacoes SA		3,088,706
	320,100	Tractebel Energia SA		4,326,907
	416,900	Transmissora Alianca de Energia Eletrica SA		3,169,601
	56,200	Ultrapar Participacoes SA		1,206,234
	132,700	Vale SA		1,205,493
	110,500	Vale SA Sponsored ADR		995,605
		Total Brazil		84,630,980
		Canada — 0.2%
	178,700	Canadian Oil Sands Ltd		2,271,438
	2,215	Canadian Tire Corp Ltd – Class A		248,454
	422,960	Catamaran Corp *		21,545,583
	2,100	First Quantum Minerals Ltd		34,146
	8,953	Home Capital Group Inc		408,164
	4,700	RONA Inc		56,331
	309,500	Suncor Energy Inc		9,770,124
		Total Canada		34,334,240
		Chile — 0.0%
	2,981,105	Enersis SA		996,732
	116,000	Enersis SA Sponsored ADR		1,946,480
	54,216	ENTEL Chile SA		604,267
		Total Chile		3,547,479
		China — 0.1%
	7,513,000	Bank of China Ltd – Class H		3,858,322
	5,683,000	China Construction Bank – Class H		4,291,431
	514,000	China Mobile Ltd		6,341,856
	1,738,000	CNOOC Ltd		2,511,495
	6,736,000	Industrial and Commercial Bank of China Ltd – Class H		4,544,362
		Total China		21,547,466
		Cyprus — 0.0%
	8,787	Eurasia Drilling Co Ltd GDR		157,538
	51,268	Globaltrans Investment Plc Sponsored GDR		360,851
	18,091	TCS Group Holding Plc (Registered) GDR *		59,737
		Total Cyprus		578,126
		Czech Republic — 0.1%
	648,282	CEZ AS		18,047,355

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Denmark — 0.1%
	8,542	AP Moeller – Maersk A/S		17,827,817
	74,124	Carlsberg A/S		6,599,463
	3,786	Jyske Bank A/S (Registered) *		196,202
		Total Denmark		24,623,482
		Egypt — 0.0%
	1,146,041	Al Ezz Steel Rebars SAE *		2,713,145
	276,647	Global Telecom Holding GDR *		806,618
	8,416,125	Orascom Telecom Media and Technology Holding SAE *		1,544,042
	106,292	Sidi Kerir Petrochemicals Co		261,231
	681,463	Telecom Egypt Co		1,375,770
		Total Egypt		6,700,806
		Finland — 0.2%
	441,427	Fortum Oyj		11,081,035
	67,345	Metso Oyj		2,089,327
	1,920,175	Nokia Oyj		15,954,535
	478,995	UPM – Kymmene Oyj		7,950,109
		Total Finland		37,075,006
		France — 2.8%
	27,520	Alstom SA *		965,666
	1,019,466	ArcelorMittal		12,492,073
	1,832	AXA		44,279
	1,033	BNP Paribas		66,342
	345,967	Bouygues SA		13,016,075
	16,616	Carrefour SA		526,198
	40,001	Casino Guichard Perrachon SA		3,855,203
	8,903	Christian Dior SA		1,706,751
	32,386	CNP Assurances		600,248
	535,820	Compagnie de Saint-Gobain		24,625,185
	228,283	Compagnie Generale des Etablissements Michelin		21,002,926
	48,746	Credit Agricole SA		685,827
	77,217	Danone SA		5,446,249
	29,540	Electricite de France		884,815
	2,634,716	GDF Suez		64,978,493
	363	Lafarge SA		25,832
	34,153	LVMH Moet Hennessy Louis Vuitton SA		6,142,374
	4,100,813	Orange		72,315,606
	685,993	Peugeot SA *		8,781,261
	291,747	Renault SA		23,427,527
	151,080	Rexel SA		2,800,827
	435,748	Sanofi		42,113,146
	271,058	Schneider Electric SA		22,130,173
	1,644	Societe Generale		81,649
	192,208	Suez Environnement Co		3,411,789
	2,242,914	Total SA		125,245,117
	20,052	Vallourec SA		663,781

Shares		Description	Value ($)
		France — continued
	496,678	Veolia Environnement SA		9,073,966
	562,098	Vinci SA		30,393,374
	2,436,873	Vivendi SA		62,013,384
		Total France		559,516,136
		Germany — 2.4%
	576	Allianz SE (Registered)		99,242
	9,608	Aurubis AG		529,132
	1,180,821	BASF SE		107,086,360
	512,691	Bayerische Motoren Werke AG		58,607,893
	39,699	Bilfinger SE		2,351,196
	1,173,570	Daimler AG		98,997,870
	1,827	Deutsche Bank AG (Registered)		59,658
	647,734	Deutsche Lufthansa AG (Registered)		11,544,504
	2,671,689	Deutsche Telekom AG (Registered)		45,430,481
	6,545	Duerr AG		562,744
	4,071,723	E.ON AG		72,142,193
	60,061	Freenet AG		1,773,404
	47,655	Fresenius Medical Care AG & Co		3,519,696
	2,588	Hannover Rueck SE		231,034
	286,212	K+S AG (Registered)		8,587,158
	164,424	Kloeckner & Co SE *		1,944,241
	191,711	Metro AG *		6,511,672
	2,709	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		557,837
	89,937	ProSiebenSat.1 Media AG (Registered)		3,828,145
	1,077,922	RWE AG		39,052,203
	34,844	Salzgitter AG		1,151,850
	158,570	Siemens AG (Registered)		18,755,325
	44,353	Volkswagen AG		10,042,237
		Total Germany		493,366,075
		Hong Kong — 0.0%
	2,098	Cheung Kong Holdings Ltd		38,505
	1,249,308	Esprit Holdings Ltd		1,624,464
	57,552	Link (REIT)		364,549
	73,319	Sun Hung Kai Properties Ltd		1,070,186
	66,000	Swire Pacific Ltd – Class A		905,597
	6,000	Wharf Holdings Ltd (The)		43,183
	287,139	Yue Yuen Industrial Holdings		1,029,342
		Total Hong Kong		5,075,826
		Hungary — 0.0%
	858,306	Magyar Telekom Telecommunications Plc *		1,181,319
	16,398	MOL Hungarian Oil and Gas Plc		791,822
	272,612	OTP Bank Plc		4,387,264
		Total Hungary		6,360,405
		India — 0.6%
	22,961	Aban Offshore Ltd		201,491
	17,723	ACC Ltd		421,484

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		India — continued
	1,400,783	Allahabad Bank		2,740,339
	862,791	Andhra Bank		1,192,755
	1,026,251	Ashok Leyland Ltd *		866,562
	193,100	Aurobindo Pharma Ltd		3,396,986
	4,766	Axis Bank Ltd (b)		37,850
	12,724	Bajaj Auto Ltd		541,824
	17,072	Bank of Baroda (b)		306,855
	844,693	Bank of India		3,903,048
	1,655,345	Bharat Heavy Electricals Ltd		7,500,680
	52,499	Biocon Ltd		385,207
	1,090,574	Cairn India Ltd		4,566,590
	671,648	Canara Bank Ltd		4,453,335
	806,215	Coal India Ltd		4,614,063
	888,013	DLF Ltd		2,115,332
	294,413	GAIL India Ltd		2,319,196
	34,062	HCL Technologies Ltd		914,630
	856,826	HDFC Bank Ltd (b)		14,049,692
	30,979	Hero MotoCorp Ltd		1,568,356
	1,198,213	Hindalco Industries Ltd		3,356,390
	1,338,003	Housing Development & Infrastructure Ltd *		1,802,673
	31,063	ICICI Bank Ltd		874,839
	15,500	ICICI Bank Ltd Sponsored ADR		912,795
	48,766	IDFC Ltd (b)		128,141
	12,460	Infosys Ltd		869,704
	8,750	Infosys Ltd Sponsored ADR		611,100
	79,791	Jai Balaji Industries Ltd *		21,356
	1,817,793	Jaiprakash Associates Ltd *		841,770
	10,209	JSW Steel Ltd		196,527
	916,682	Karnataka Bank Ltd		2,124,924
	95,892	Kiri Industries Ltd *		154,092
	122,025	LIC Housing Finance Ltd		832,087
	102,592	Mahindra & Mahindra Ltd		2,188,171
	1,305,736	NHPC Ltd		426,044
	206,557	NMDC Ltd		464,719
	1,754,564	NTPC Ltd		4,017,869
	457,123	Oil & Natural Gas Corp Ltd		2,789,946
	71,135	Oil India Ltd		681,191
	600,193	Oriental Bank of Commerce		2,946,980
	732,384	Power Finance Corp		3,643,411
	284,118	Punjab National Bank Ltd (b)		4,907,939
	85,241	Reliance Capital Ltd		716,759
	1,451,301	Reliance Communications Ltd *		2,397,738
	24,414	Reliance Industries Ltd		388,715
	152,395	Reliance Infrastructure Ltd		1,489,696
	312,184	Rural Electrification Corp Ltd		1,685,708
	848,068	Sesa Sterlite Ltd		3,144,363
	1,975,970	State Bank of India		10,229,871
	627,257	Syndicate Bank		1,312,852
	245,273	Tata Global Beverages Ltd		636,059
	1,074,295	Tata Motors Ltd		9,146,962

Shares		Description	Value ($)
		India — continued
	19,452	Tata Motors Ltd – Class A		105,819
	946,544	Tata Power Co Ltd		1,411,677
	303,845	Tata Steel Ltd		2,310,726
	109,082	Tech Mahindra Ltd		4,619,702
	15,381	UCO Bank		21,920
	2,377	United Phosphorus Ltd		13,163
	65,523	Wipro Ltd		617,621
	21,281	Yes Bank Ltd		242,637
		Total India		131,380,931
		Indonesia — 0.1%
	3,366,900	Adaro Energy Tbk PT		297,458
	13,879,900	Astra International Tbk PT		8,094,048
	1,196,700	Bank Tabungan Negara Persero Tbk PT		110,846
	1,279,200	Gajah Tunggal Tbk PT		136,832
	3,968,000	Global Mediacom Tbk PT		522,041
	5,836,800	Harum Energy Tbk PT		803,413
	662,700	Indo Tambangraya Megah Tbk PT		1,031,824
	537,600	Indosat Tbk PT *		153,772
	851,500	Media Nusantara Citra Tbk PT		167,874
	34,613,600	MNC Investama Tbk PT *		865,343
	3,440,200	Perusahaan Gas Negara Persero Tbk PT		1,677,835
	2,304,700	Ramayana Lestari Sentosa Tbk PT		157,594
	430,800	Tambang Batubara Bukit Asam Persero Tbk PT		463,468
	34,943,400	Telekomunikasi Indonesia Persero Tbk PT		8,101,004
	35,900	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		1,654,990
	1,125,300	XL Axiata Tbk PT		470,431
		Total Indonesia		24,708,773
		Ireland — 0.1%
	443,727	CRH Plc		10,458,587
	8,574	Smurfit Kappa Group Plc		198,722
		Total Ireland		10,657,309
		Israel — 0.2%
	75,318	Bank Hapoalim BM		375,995
	304,851	Bank Leumi Le-Israel *		1,076,343
	346,700	Check Point Software Technologies Ltd *		26,803,377
	399,096	Israel Discount Bank Ltd – Class A *		651,592
	147,960	Partner Communications Co Ltd *		904,108
		Total Israel		29,811,415
		Italy — 0.9%
	5,164,131	A2A SPA		5,390,419
	13,111,045	Enel SPA		63,290,098
	2,028,931	ENI SPA		40,420,908

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	6,557	Exor SPA		292,168
	1,094,851	Fiat Chrysler Automobiles NV *		13,677,978
	677,922	Finmeccanica SPA *		6,573,333
	1,494,225	Mediaset SPA *		6,071,561
	38,596	Mediolanum SPA		267,940
	19,276	Recordati SPA		337,013
	28,326,131	Telecom Italia SPA *		31,926,600
	11,757,269	Telecom Italia SPA-Di RISP		10,422,950
		Total Italy		178,670,968
		Japan — 3.0%
	542,100	Aeon Co Ltd		5,407,902
	76,400	Aisin Seiki Co Ltd		2,732,864
	54,200	Alfresa Holdings Corp		623,978
	682,000	Asahi Glass Co Ltd		3,295,465
	414,000	Asahi Kasei Corp		3,600,905
	15,600	Asatsu-DK Inc		402,346
	72,258	Calsonic Kansei Corp		396,761
	698,022	Canon Inc		22,297,707
	47,400	Central Japan Railway Co		6,887,315
	71,200	Chubu Electric Power Co Inc *		832,172
	1,692,935	Cosmo Oil Co Ltd		2,321,064
	73,900	Daihatsu Motor Co Ltd		1,012,399
	143,000	Daikyo Inc		247,050
	69,100	Daito Trust Construction Co Ltd		7,825,672
	131,000	Denki Kagaku Kogyo K K		447,543
	336	Electric Power Development Co Ltd		11,626
	568	FujiFilm Holdings Corp		18,786
	13,401	Fuji Oil Co Ltd		190,233
	101,000	Gunze Ltd		262,990
	46,324	Hakuhodo DY Holdings Inc		450,521
	129,471	Hanwa Co Ltd		457,128
	48,207	Haseko Corp		400,854
	36,400	Hitachi Chemical Co Ltd		674,308
	864,327	Honda Motor Co Ltd		26,145,429
	72,300	Idemitsu Kosan Co Ltd		1,234,583
	661,192	Inpex Corp		7,005,765
	211,300	IT Holdings Corp		3,275,045
	1,869,500	Itochu Corp		21,500,714
	1,551,489	Japan Tobacco Inc		49,752,828
	52,600	JFE Holdings Inc		1,120,976
	153,200	JX Holdings Inc		570,262
	191,742	K’s Holdings Corp		4,656,116
	3,307,000	Kawasaki Kisen Kaisha Ltd		8,677,470
	739,000	Kobe Steel Ltd		1,176,997
	18,286	Kohnan Shoji Co Ltd		197,958
	63,000	Kuraray Co Ltd		768,006
	741,180	Kyocera Corp		36,241,708
	43,300	Leopalace21 Corp *		244,883
	2,035,500	Marubeni Corp		12,832,486
	254,704	Medipal Holdings Corp		2,836,052

Shares		Description	Value ($)
		Japan — continued
	1,727,200	Mitsubishi Chemical Holdings Corp		8,908,337
	1,464,069	Mitsubishi Corp		27,678,739
	43,900	Mitsubishi UFJ Lease & Finance Co Ltd		207,155
	103,429	Mitsui Chemicals Inc		289,722
	560,667	Mitsui Engineering & Shipbuilding Co Ltd		1,071,514
	1,714,474	Mitsui & Co Ltd		23,653,989
	93,012	Mitsui Mining & Smelting Co Ltd		238,975
	250,134	Mitsui OSK Lines Ltd		793,213
	62,736	Net One Systems Co Ltd		360,564
	20,000	Nichirei Corp		86,836
	228,000	Nippon Electric Glass Co Ltd		1,043,391
	432,200	Nippon Light Metal Co Ltd		651,403
	565,643	Nippon Telegraph & Telephone Corp		30,258,701
	321,000	Nippon Yusen Kabushiki Kaisha		906,515
	161,241	Nipro Corp		1,379,463
	8,921,028	Nissan Motor Co Ltd		83,264,339
	76,658	Nisshinbo Holdings Inc		777,096
	143,706	North Pacific Bank Ltd		571,520
	1,302,929	NTT Docomo Inc		20,340,307
	19,400	Okinawa Electric Power Co		610,591
	144	ORIX JREIT Inc (REIT)		199,733
	586,000	Osaka Gas Co Ltd		2,239,549
	14,405	Resona Holdings Inc		77,851
	379,000	Ricoh Co Ltd		4,111,128
	47,200	Round One Corp		271,141
	135,700	Sekisui House Ltd		1,816,783
	28,300	Shimamura Co Ltd		2,367,922
	12,919	Showa Denko KK		17,865
	55,391	Showa Shell Sekiyu KK		462,139
	4,821,200	Sojitz Corp		6,911,188
	1,416,300	Sumitomo Corp		15,114,761
	200,000	Sumitomo Heavy Industries Ltd		1,100,852
	433,000	Sumitomo Metal Mining Co Ltd		6,630,525
	98,300	Sumitomo Rubber Industries		1,498,539
	54,452	Suzuken Co Ltd		1,395,036
	310,526	Takeda Pharmaceutical Co Ltd		13,015,555
	69,178	Tokyo Electric Power Co Inc (The) *		252,707
	1,334,264	Tokyo Electron Ltd (c)		93,022,702
	44,500	TonenGeneral Sekiyu KK		372,694
	88,178	Tosoh Corp		405,818
	355,900	Toyota Tsusho Corp		8,426,494
	523,000	Ube Industries Ltd		748,571
	505,700	UNY Co Ltd		2,549,287
	53,600	West Japan Railway Co		2,557,970
	2,184,267	Yamada Denki Co Ltd		7,190,142
		Total Japan		614,884,189
		Malaysia — 0.0%
	121,113	Hong Leong Bank Berhad		511,791

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Mexico — 0.1%
	683,900	America Movil SAB de CV ADR		16,215,269
		Netherlands — 0.2%
	80,224	Aegon NV		629,883
	44,561	Corbion NV		784,300
	4,275	ING Groep NV *		62,541
	1,117,533	Koninklijke Ahold NV		19,739,586
	4,990,246	Koninklijke KPN NV		16,605,036
	85,275	SNS REAAL NV * (d)		—
	17,200	VimpelCom Ltd Sponsored ADR		90,300
	85,476	Wolters Kluwer NV		2,505,776
		Total Netherlands		40,417,422
		New Zealand — 0.0%
	361,310	Chorus Ltd *		585,113
	106,676	Fletcher Building Ltd		684,378
	229,259	Spark New Zealand Ltd		549,471
		Total New Zealand		1,818,962
		Norway — 0.2%
	3,736	DNB ASA		61,851
	10,773	Golden Ocean Group Ltd		8,908
	207,455	Orkla ASA		1,538,459
	1,048,842	Statoil ASA		19,800,704
	604,043	Telenor ASA		12,720,878
	2,580	TGS Nopec Geophysical Co ASA		57,246
	359,492	Yara International ASA		15,210,147
		Total Norway		49,398,193
		Peru — 0.0%
	25,255	Companhia de Minas Buenaventura SA ADR		233,609
	24,500	Southern Copper Corp.		733,775
		Total Peru		967,384
		Philippines — 0.0%
	16,140	GT Capital Holdings Inc		387,916
	429,500	Puregold Price Club Inc		364,934
		Total Philippines		752,850
		Poland — 0.2%
	17,130	Asseco Poland SA		274,226
	255,069	Boryszew SA *		482,208
	58,486	Energa SA		409,433
	110,915	Jastrzebska Spolka Weglowa SA *		689,978
	749,539	KGHM Polska Miedz SA		27,326,724
	1,223,024	PGE SA		7,034,021
	78,352	Polski Koncern Naftowy Orlen SA		1,052,460
	635,099	Synthos SA		785,843
	136,516	Tauron Polska Energia SA		210,381
		Total Poland		38,265,274

Shares		Description	Value ($)
		Portugal — 0.1%
	2,650,815	EDP-Energias de Portugal SA		10,881,467
		Qatar — 0.0%
	549	Industries Qatar QSC		28,721
		Russia — 1.7%
	306,866	Aeroflot-Russian Airlines *		253,174
	78,600	Bashneft OAO – Class S *		1,960,212
	31,800	CTC Media, Inc.		189,528
	82,582	Gazprom Neft JSC Sponsored ADR		1,340,047
	7,058,045	Gazprom OAO Sponsored ADR		41,248,909
	5,489,232	Lukoil OAO Sponsored ADR		255,512,282
	7,405	MegaFon OAO GDR		152,757
	13,700	Mobile Telesystems Sponsored ADR		167,414
	1,467	NovaTek OAO GDR		138,469
	2,810,414	Rosneft OJSC GDR (Registered)		13,309,252
	2,129,377	Sberbank Sponsored ADR		13,062,314
	1,805	Sistema JSFC Sponsored GDR (Registered)		10,364
	2,158,904	Surgutneftegas Sponsored ADR		12,686,154
	172,045	Tatneft Sponsored ADR		5,263,121
		Total Russia		345,293,997
		Singapore — 0.0%
	1,505,085	Ezra Holdings Ltd		767,324
	3,557,662	Golden Agri-Resources Ltd		1,255,178
	258,157	Noble Group Ltd		242,521
	123,000	Singapore Technologies Engineering Ltd		317,962
	896,000	Swiber Holdings Ltd		216,692
	1,189,795	Yangzijiang Shipbuilding Holdings Ltd		1,119,026
		Total Singapore		3,918,703
		South Africa — 0.1%
	2,691,606	African Bank Investments Ltd (d)		243
	304,650	Capital Property Fund (REIT) *		355,708
	185,739	Kumba Iron Ore Ltd		4,318,179
	636,228	MTN Group Ltd		12,521,322
	7,341	Naspers Ltd-N Shares		949,617
	33,010	Sasol Ltd		1,374,219
	1,647	Sasol Ltd Sponsored ADR		69,256
	285,154	Vodacom Group Ltd		3,414,968
	102,987	Wilson Bayly Holmes-Ovcon Ltd		1,119,678
		Total South Africa		24,123,190
		South Korea — 1.9%
	170,261	BS Financial Group Inc		2,412,536
	7,278	Capro Corp *		20,703
	19,590	CJ E & M Corp *		647,704
	6,427	Daelim Industrial Co Ltd		390,300
	68,812	Daou Technology Inc		729,646

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	42,819	DGB Financial Group Inc		450,069
	57,069	Dongbu Insurance Co Ltd		2,861,586
	47,897	GS Holdings		1,793,285
	255,860	Hana Financial Group Inc		7,776,158
	2,258	Hankook Tire Co Ltd		111,590
	73,817	Hankook Tire WorldwideCo Ltd		1,416,958
	11,612	Hanwha Corp		310,978
	79,985	Hyundai Marine & Fire Insurance Co Ltd		1,921,032
	54,118	Hyundai Mobis		12,021,516
	60,073	Hyundai Motor Co		9,651,071
	162,492	Iljin Holdings Co Ltd		886,003
	315,471	Industrial Bank of Korea		4,271,105
	48,160	Jahwa Electronics Co Ltd		523,505
	163,778	KB Financial Group Inc		5,739,618
	21,219	Kginicis Co Ltd		269,480
	353,692	Kia Motors Corp		17,693,062
	7,371	Kolon Industries Inc		311,029
	8,607	Korea Zinc Co Ltd		3,312,888
	323,070	KT Corp		9,522,318
	22,500	KT Corp Sponsored ADR		332,100
	10,321	Kwangju Bank *		91,662
	10,499	Kyongnam Bank *		120,539
	59,930	LF Corp		1,728,257
	22,850	LG International Corp		588,000
	63,336	LIG Insurance Co Ltd		1,492,227
	2,136	Lotte Shopping Co Ltd		577,683
	94,776	Meritz Fire & Marine Insurance Co Ltd		1,038,819
	16,474	Neowiz Games Corp *		319,220
	41,302	Partron Co Ltd		392,301
	32,719	S-Oil Corp		1,240,976
	14,080	Samsung Card Co		607,459
	202,815	Samsung Electronics Co Ltd		234,976,685
	2,615	Samsung Electronics Co Ltd GDR (Registered)		1,502,810
	58,686	Samsung Engineering Co Ltd *		2,587,401
	44,736	Samsung Heavy Industries Co Ltd		868,868
	13,717	Samsung SDI Co Ltd		1,653,495
	4,726	Seah Besteel Corp		141,475
	23,234	SFA Engineering Corp		1,041,323
	177,818	Shinhan Financial Group Co Ltd		7,951,694
	29,960	Silicon Works Co Ltd		612,580
	3,142	SK Gas Co Ltd		307,625
	4,279	SK Holdings Co Ltd		656,573
	114,532	SK Innovation Co Ltd		8,832,613
	57,798	SK Telecom Co Ltd		14,719,712
	43,900	SK Telecom Co Ltd ADR		1,243,687
	84,359	Sungwoo Hitech Co Ltd		1,082,700
	540,079	Woori Bank *		5,215,800
		Total South Korea		376,968,424

Shares		Description	Value ($)
		Spain — 1.1%
	29,426	Acciona SA *		2,177,516
	139,909	ACS Actividades de Construccion y Servicios SA		4,944,757
	492,129	Banco Santander SA Sponsored ADR		4,379,948
	169,450	Enagas		5,669,121
	132,425	Endesa SA		2,559,643
	537,020	Gas Natural SDG SA		15,222,837
	7,433,237	Iberdrola SA		55,004,659
	393,570	Indra Sistemas SA		4,053,793
	28,761	Red Electrica Corp SA		2,634,744
	681,463	Repsol YPF SA		15,309,018
	6,982,643	Telefonica SA		112,009,591
		Total Spain		223,965,627
		Sri Lanka — 0.0%
	1,065,600	Anilana Hotels & Properties Ltd *		65,098
		Sweden — 0.3%
	1,260,601	Ericsson LM – Class B		15,842,788
	3,089	Investor AB		115,931
	270,274	Sandvik AB		2,830,450
	211,872	Skanska AB – Class B		4,558,497
	145,837	SKF AB – B Shares		3,002,588
	269,598	Tele2 AB – B Shares		3,490,928
	3,935,780	TeliaSonera AB		28,086,507
		Total Sweden		57,927,689
		Switzerland — 0.2%
	474,200	ABB Ltd (Registered)		10,648,355
	169,921	Holcim Ltd (Registered)		12,551,434
	163,316	Nestle SA (Registered)		12,257,384
	164	Swiss Life Holding AG (Registered) *		37,563
	8,313	Swisscom AG (Registered)		5,048,046
	28,483	Zurich Insurance Group AG		8,931,139
		Total Switzerland		49,473,921
		Taiwan — 0.8%
	1,365,000	Acer Inc *		864,440
	153,594	Advantech Co Ltd		1,050,899
	280,000	ALI Corp		206,883
	213,000	Asia Plastic Recycling Holding Ltd		243,074
	1,886,000	Asustek Computer Inc		20,543,464
	819,000	Career Technology MFG Co Ltd		911,660
	96,000	Catcher Technology Co Ltd		810,974
	1,456,000	China Man-Made Fiber Corp *		452,664
	2,525,000	China Petrochemical Development Corp *		724,491
	1,599,000	Chipbond Technology Corp		2,969,666
	713,278	Chong Hong Construction Co Ltd		1,535,263
	2,217,470	Chunghwa Telecom Co Ltd		6,674,944
	500	Chunghwa Telecom Co Ltd ADR		15,045

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	10,112,000	Compal Electronics Inc		6,457,930
	1,364,000	Coretronic Corp		1,916,816
	176,000	Delta Electronics Inc		1,062,280
	211,000	Dynapack International Technology Corp		497,614
	4,792,371	E.Sun Financial Holding Co Ltd		3,033,022
	431,000	Elan Microelectronics Corp		610,091
	164,812	Elitegroup Computer Systems Co Ltd		137,758
	773,000	Far EasTone Telecommunications Co Ltd		1,672,457
	110,000	Faraday Technology Corp		108,345
	362,151	Flexium Interconnect Inc		750,921
	1,685,750	Foxconn Technology Co Ltd		4,706,503
	57,000	Fubon Financial Holding Co Ltd		93,169
	1,360,500	Highwealth Construction Corp		2,580,012
	9,013,120	Hon Hai Precision Industry Co Ltd		28,249,028
	1,603,000	HTC Corp *		7,080,305
	211,000	Huaku Development Co Ltd		368,209
	44,540	ILI Technology Corp		102,915
	175,000	Kinsus Interconnect Technology Corp		641,519
	2,556,628	Lite-On Technology Corp		3,093,230
	265,222	Makalot Industrial Co Ltd		1,341,919
	45,022	MediaTek Inc		675,409
	485,000	Novatek Microelectronics Corp Ltd		2,736,810
	2,556,000	Pegatron Corp		5,925,977
	368,000	Phison Electronics Corp		2,460,396
	808,000	Pou Chen Corp		976,291
	2,084,808	Powertech Technology Inc		3,482,709
	3,075,000	Quanta Computer Inc		7,645,635
	1,751,020	Radiant Opto-Electronics Corp		5,731,585
	756,330	Realtek Semiconductor Corp		2,516,216
	7,332	Silicon Motion Technology Corp ADR		171,275
	599,000	Simplo Technology Co Ltd		3,068,802
	51,000	Soft-World International Corp		144,048
	1,240,000	Synnex Technology International Corp		1,801,290
	2,085,175	Taishin Financial Holding Co Ltd		965,704
	106,000	Taiwan Cement Corp		155,522
	577,000	Taiwan Mobile Co Ltd		1,834,154
	655,044	Taiwan PCB Techvest Co Ltd		977,588
	401,100	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		9,413,817
	116,085	TPK Holding Co Ltd		744,955
	1,328,000	Tripod Technology Corp		2,627,195
	2,159,000	Unimicron Technology Corp		1,586,485
	6,055,909	Wistron Corp		5,523,212
	184,260	Wistron NeWeb Corp		357,683
	1,348,000	WPG Holdings Co Ltd		1,565,368
	488,000	Yungtay Engineering Co Ltd		1,120,120
		Total Taiwan		165,715,756

Shares		Description	Value ($)
		Thailand — 0.2%
	1,392,700	Bangchak Petroleum Pcl (Foreign Registered)		1,504,993
	8,431,200	Bangkok Dusit Medical Services Pcl (Foreign Registered)		4,748,375
	8,323,700	Banpu Pcl (Foreign Registered)		6,907,564
	154,050	Electricity Generating Pcl (Foreign Registered)		800,183
	139,900	Glow Energy Pcl (Foreign Registered)		416,398
	304,400	PTT Exploration & Production Pcl (Foreign Registered)		1,255,946
	1,504,600	PTT Pcl (Foreign Registered)		17,536,329
	1,109,600	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		2,087,064
	2,862,500	Thai Oil Pcl (Foreign Registered)		3,769,167
	1,353,200	Thanachart Capital Pcl (Foreign Registered)		1,380,278
	1,635,500	TTW Pcl (Foreign Registered)		592,793
		Total Thailand		40,999,090
		Turkey — 0.5%
	2,164,750	Akbank TAS		8,770,078
	4,414,686	Asya Katilim Bankasi AS *		1,412,159
	60,459	Dogus Gayrimenkul Yatirim Ortakligi AS (REIT) *		110,762
	70,795	Dogus Otomotiv Servis ve Ticaret AS		373,911
	1,767,396	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		1,865,803
	467,872	Emlak Konut Gayrimenkul Yatirim (REIT)		594,602
	257,551	Eregli Demir ve Celik Fabrikalari TAS		522,986
	1,016,221	Gubre Fabrikalari TAS		2,370,586
	497,408	Haci Omer Sabanci Holding AS		2,379,171
	1,862,046	Ipek Dogal Enerji Kaynaklari Ve Uretim AS *		1,357,977
	218,341	KOC Holding AS		1,229,463
	419,431	Koza Altin Isletmeleri AS		2,439,235
	1,793,813	Koza Anadolu Metal Madencilik Isletmeleri AS *		1,400,825
	225,350	Park Elektrik Madencilik Tekstil Sanayi ve Ticaret AS		418,499
	1,353,386	Tekfen Holding AS *		3,679,652
	33,009	Tupras-Turkiye Petrol Rafineriler AS		744,457
	1,523,074	Turk Telekomunikasyon AS		4,872,852
	1,462,269	Turkcell Iletisim Hizmetleri AS *		9,275,296
	11,300	Turkcell Iletisim Hizmetleri AS ADR *		179,331
	483,644	Turkiye Garanti Bankasi AS		2,127,705
	1,432,135	Turkiye Halk Bankasi AS		10,185,538
	7,420,213	Turkiye IS Bankasi – Class C		20,593,294
	398,876	Turkiye Sise ve Cam Fabrikalari AS		633,465
	3,795,840	Turkiye Vakiflar Bankasi TAO – Class D		8,711,287
	3,861,013	Yapi ve Kredi Bankasi AS		9,255,665
		Total Turkey		95,504,599

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		United Arab Emirates — 0.0%
	3,143,953	Dana Gas PJSC *		522,296
	4,013,550	Eshraq Properties Co PJSC *		1,133,922
		Total United Arab Emirates		1,656,218
		United Kingdom — 2.1%
	51,752	Amlin Plc		359,789
	1,250,955	AstraZeneca Plc		92,943,961
	96,575	Aviva Plc		769,073
	1,528,894	BAE Systems Plc		11,472,348
	393,876	Balfour Beatty Plc		1,126,322
	10,488,409	BP Plc		68,760,900
	11,255	Bunzl Plc		313,924
	131,400	Cape Plc		518,763
	43,737	Catlin Group Ltd		376,882
	2,542,354	Centrica Plc		11,308,216
	209,587	Cobham Plc		987,158
	1,077,697	CSR Plc		13,941,578
	169,522	Debenhams Plc		190,789
	48,393	Drax Group Plc		460,833
	426,096	FirstGroup Plc *		751,168
	479,122	GlaxoSmithKline Plc		11,129,506
	8,963	Glencore Plc		44,824
	1,175,078	Home Retail Group Plc		3,676,395
	131,269	Inchcape Plc		1,472,731
	84,396	Intermediate Capital Group Plc		605,661
	21,032	JD Wetherspoon Plc		269,179
	977,712	J Sainsbury Plc		3,563,424
	866,428	Kingfisher Plc		4,232,560
	716,351	Ladbrokes Plc		1,244,317
	4,618,236	Man Group Plc		10,320,344
	558,510	Marks & Spencer Group Plc		4,255,604
	210,537	Meggitt Plc		1,654,040
	19,714	Micro Focus International Plc		351,801
	37,846	National Express Group Plc		156,668
	456	Next Plc		48,272
	222,855	Pearson Plc		4,282,801
	95,890	Persimmon Plc		2,292,560
	208,005	Rexam Plc		1,469,922
	1,810,707	Royal Dutch Shell Plc A Shares (London)		60,328,392
	1,166,489	Royal Dutch Shell Plc B Shares (London)		40,511,441
	19,981	RSA Insurance Group Plc *		146,091
	237,783	Scottish & Southern Energy Plc		6,093,100
	138,697	Smiths Group Plc		2,505,558
	88,956	Spirit Pub Co Plc		146,266
	12,782	Standard Life Assurance Plc		84,639
	6,726,952	Tesco Plc		19,623,813
	201,543	Thomas Cook Group Plc *		383,099
	42,214	TUI Travel Plc		293,344
	7,677,065	Vodafone Group Plc		28,136,447

Shares		Description	Value ($)
		United Kingdom — continued
	2,907,072	WM Morrison Supermarkets Plc		8,101,756
		Total United Kingdom		421,706,259
		United States — 23.4%
	386,706	3M Co.		61,907,764
	785,000	Abbott Laboratories		34,940,350
	374,517	Accenture Plc – Class A		32,332,053
	366,959	Allergan, Inc.		78,488,861
	1,920,044	Amazon.com, Inc. *		650,203,700
	71,200	Ametek, Inc.		3,628,352
	435	Amgen, Inc.		71,910
	98,300	Amphenol Corp. – Class A		5,271,829
	148,745	Analog Devices, Inc.		8,127,427
	303,442	Apple, Inc.		36,088,357
	771,354	Auxilium Pharmaceuticals, Inc. *		26,657,994
	975,791	Baker Hughes, Inc.		55,620,087
	208,904	Baxter International, Inc.		15,249,992
	117,508	Becton, Dickinson and Co.		16,489,898
	354,600	Bed Bath & Beyond, Inc. *		26,017,002
	44,800	Biogen Idec, Inc. *		13,784,512
	177,800	CA, Inc.		5,538,470
	53,100	Cerner Corp. *		3,419,640
	85,100	CH Robinson Worldwide, Inc.		6,275,274
	379,600	Chevron Corp.		41,327,052
	76,500	Church & Dwight Co., Inc.		5,868,315
	2,698,589	Cisco Systems, Inc.		74,589,000
	124,800	Citrix Systems, Inc. *		8,275,488
	184,000	Coach, Inc.		6,830,080
	2,214,903	Coca-Cola Co. (The)		99,294,101
	361,468	Cognizant Technology Solutions Corp. – Class A *		19,515,657
	531,419	Colgate-Palmolive Co.		36,981,448
	1,526,056	Compuware Corp. (c)		15,748,898
	180,400	Costco Wholesale Corp.		25,638,448
	4,138,568	Covidien Plc (c)		417,995,368
	242,402	Covisint Corp. *		557,525
	41,000	CR Bard, Inc.		6,861,350
	352,402	Danaher Corp.		29,446,711
	1,936,050	DIRECTV * (c)		169,810,945
	21,208	Donaldson Co., Inc.		827,112
	70,200	Dover Corp.		5,404,698
	136,135	Dresser-Rand Group, Inc. *		11,041,910
	335,100	eBay, Inc. *		18,390,288
	23,600	Edwards Lifesciences Corp. *		3,060,448
	595	Eli Lilly & Co.		40,531
	1,395,800	EMC Corp.		42,362,530
	472,157	Emerson Electric Co.		30,100,009
	200	Equifax, Inc.		15,910
	47,900	Estee Lauder Cos., Inc. (The) – Class A		3,551,306
	73,200	Expeditors International of Washington, Inc.		3,427,224

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	4,165,117	Express Scripts Holding Co. *		346,329,479
	200	Exxon Mobil Corp.		18,108
	43,200	F5 Networks, Inc. *		5,581,008
	79,400	Genuine Parts Co.		8,160,732
	147,416	Google, Inc. – Class A *		80,943,177
	2,800	Google, Inc. – Class C *		1,517,124
	37,600	Henry Schein, Inc. *		5,158,720
	900	Herbalife Ltd.		38,925
	27,900	Hershey Co. (The)		2,797,812
	1,100	Hewlett-Packard Co.		42,966
	43,400	Hormel Foods Corp.		2,303,672
	16,400	Hubbell, Inc. – Class B		1,751,520
	8,004,401	Hudson City Bancorp, Inc. (c)		78,363,086
	104,363	Humana, Inc.		14,398,963
	237,136	Illinois Tool Works, Inc.		22,511,320
	217,999	International Business Machines Corp.		35,352,898
	4,431,000	International Game Technology (c)		75,459,930
	132,374	Intuit, Inc.		12,425,947
	12,246	Intuitive Surgical, Inc. *		6,340,611
	686,800	Johnson & Johnson		74,346,100
	1,034,732	JPMorgan Chase & Co.		62,249,477
	106,400	Linear Technology Corp.		4,897,592
	1,246,041	Lorillard, Inc. (c)		78,675,029
	46,491	Magnachip Semiconductor Corp. *		566,260
	152,100	Mastercard, Inc. – Class A		13,276,809
	212,600	Mattel, Inc.		6,707,530
	36,200	McCormick & Co., Inc. (Non Voting)		2,690,746
	430,634	McDonald’s Corp.		41,689,678
	2,218,200	Microsoft Corp.		106,052,142
	290,904	Monsanto Co.		34,882,299
	361,452	Nike, Inc. – Class B		35,888,569
	6,628,971	Oracle Corp.		281,134,660
	145,200	Paychex, Inc.		6,883,932
	866	PepsiCo, Inc.		86,687
	4,565,327	Philip Morris International, Inc.		396,863,876
	23,200	Polaris Industries, Inc.		3,635,672
	75,696	Precision Castparts Corp.		18,008,078
	844,595	Procter & Gamble Co. (The)		76,376,726
	882,678	Qualcomm, Inc.		64,347,226
	42,499	Ralph Lauren Corp.		7,858,065
	104,600	Reynolds American, Inc.		6,894,186
	63,964	Rockwell Automation, Inc.		7,382,085
	400	Roper Industries, Inc.		63,128
	45,100	Ross Stores, Inc.		4,125,748
	1,877,200	Safeway, Inc. (c)		65,401,648
	619,100	Sigma-Aldrich Corp.		84,569,060
	162,157	St Jude Medical, Inc.		11,020,190
	180,007	Stryker Corp.		16,724,450
	250,500	Sysco Corp.		10,085,130
	687,785	Teradata Corp. *		31,046,615
	900,838	Time Warner Cable, Inc. (c)		134,477,097

Shares		Description	Value ($)
		United States — continued
	111,400	TJX Cos, Inc. (The)		7,370,224
	67,700	Total System Services, Inc.		2,233,423
	647,994	TRW Automotive Holdings Corp. * (c)		67,002,580
	200	Tupperware Brands Corp.		13,450
	565,181	UnitedHealth Group, Inc.		55,743,802
	40,500	Varian Medical Systems, Inc. *		3,584,655
	185,159	VF Corp.		13,918,402
	550,487	Wal-Mart Stores, Inc.		48,189,632
	24,300	Waters Corp. *		2,816,370
	1,900	Wells Fargo & Co.		103,512
	31,500	WW Grainger, Inc.		7,738,920
	191,400	Xilinx, Inc.		8,697,216
	77,100	Zimmer Holdings, Inc.		8,657,559
		Total United States		4,771,548,057
		TOTAL COMMON STOCKS (COST $8,788,891,755)		9,069,843,689
		PREFERRED STOCKS (a) — 1.3%
		Brazil — 0.5%
	688,800	AES Tiete SA		5,145,489
	72,590	Banco Bradesco SA		1,119,621
	44,010	Banco Bradesco SA ADR		681,275
	571,500	Banco do Estado do Rio Grande do Sul SA – Class B		3,335,616
	44,950	Bradespar SA		264,283
	182,481	Companhia de Transmissao de Energia Eletrica Paulista		2,774,016
	1,783,827	Companhia Energetica de Minas Gerais		9,792,496
	1,367,239	Companhia Energetica de Minas Gerais Sponsored ADR		7,547,159
	300,700	Companhia Energetica de Sao Paulo – Class B		3,032,968
	229,700	Companhia Paranaense de Energia – Class B		3,161,358
	163,400	Companhia Paranaense de Energia Sponsored ADR		2,267,992
	720,900	Eletropaulo Metropolitana SA		2,605,510
	980,300	Gerdau SA		4,166,041
	130,400	Gerdau SA Sponsored ADR		543,768
	28,200	Gol Linhas Aereas Inteligentes SA ADR		162,150
	361,516	Itau Unibanco Holding SA		5,440,676
	50,866	Itau Unibanco Holding SA ADR		766,042
	3,661,408	Itausa-Investimentos Itau SA		14,960,546
	421,300	Metalurgica Gerdau SA		2,133,726
	4,244,700	Oi SA		2,283,832
	1,417,200	Oi SA ADR *		737,086
	322,300	Telefonica Brasil SA		6,598,426
	662,100	Telefonica Brasil SA ADR		13,612,776
	188,500	Tim Participacoes SA ADR		4,589,975
	63,400	Vale SA		494,376
		Total Brazil		98,217,203

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		Germany — 0.4%
	282,458	Porsche Automobil Holding SE		24,611,082
	280,926	Volkswagen AG		64,752,420
		Total Germany		89,363,502
		Russia — 0.2%
	76,552	Sberbank		79,292
	58,838,777	Surgutneftegaz OJSC		40,000,543
	1,871	Transneft		4,420,753
		Total Russia		44,500,588
		South Korea — 0.2%
	20,586	Hyundai Motor Co		2,457,573
	19,931	Hyundai Motor Co		2,304,160
	37,287	Samsung Electronics Co Ltd		35,395,482
	163	Samsung Electronics Co Ltd GDR (Registered)		76,136
		Total South Korea		40,233,351
		TOTAL PREFERRED STOCKS (COST $288,164,770)		272,314,644
		RIGHTS/WARRANTS (a) — 0.0%
		South Korea — 0.0%
	8,944	DGB Financial Group Inc Rights, Expires 01/13/15 *		12,512
		Spain — 0.0%
	6,982,640	Telefonica SA Rights, Expires 12/03/14 *		3,197,366
		TOTAL RIGHTS/WARRANTS (COST $2,941,039)		3,209,878
		INVESTMENT FUNDS (a) — 0.0%
		Thailand — 0.0%
	139,224	BTS Rail Mass Transit Growth Infrastructure Fund		42,821
	92,500	TRUE Telecommunication Growth Infrastructure Fund		30,422
		Total Thailand		73,243
		TOTAL INVESTMENT FUNDS (COST $85,292)		73,243
		DEBT OBLIGATIONS (a) — 7.3%
		Canada — 0.2%
		Bank Loans — 0.2%
	28,200,000	Burger King Corp., 2014 Term Loan B, 4.50%, due 12/31/14		28,270,500

Par Value ($) / Shares / Principal Amount		Description	Value ($)
		United States — 7.1%
		Asset-Backed Securities — 0.0%
	1,599,399	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.03%, due 11/23/52		1,600
	2,500,000	Toll Road Investment Part II, Series C, 144A, NPG, Zero Coupon, due 02/15/37		547,500
		Total Asset-Backed Securities		549,100
		Bank Loans — 0.1%
	21,900,000	Level 3 Financing, Inc., Incremental Term Loan B5, 4.50%, due 01/28/15		21,983,220
		U.S. Government — 7.0%
	1,406,482,582	U.S. Treasury Inflation Indexed Bond, 1.88%, due 07/15/15 (e)		1,425,602,306
		Total United States		1,448,134,626
		TOTAL DEBT OBLIGATIONS (COST $1,486,116,967)		1,476,405,126
		MUTUAL FUNDS — 25.3%
		United States — 25.3%
		Affiliated Issuers — 25.3%
	86,835,728	GMO Alpha Only Fund, Class IV		2,050,191,527
	33,778,342	GMO Debt Opportunities Fund, Class VI		844,796,337
	69,841,592	GMO Emerging Country Debt Fund, Class IV		712,384,241
	26,760,160	GMO Special Opportunities Fund, Class VI		525,301,946
	30,996,467	GMO Systematic Global Macro Opportunity Fund, Class III		1,022,573,440
		TOTAL MUTUAL FUNDS (COST $5,098,419,548)		5,155,247,491
		OPTIONS PURCHASED (a) — 0.7%
		Currency Options — 0.7%
USD	82,000,000	USD Call/JPY Put, Expires 02/19/15, Strike 106.13, (OTC) (CP-MSCI)		8,649,278
USD	82,000,000	USD Put/JPY Call, Expires 02/19/15, Strike 98.95, (OTC) (CP-MSCI)		82
USD	206,200,000	USD Put/JPY Call, Expires 01/16/15, Strike 105.90, (OTC) (CP-DB)		2,062
USD	206,200,000	USD Call/JPY Put, Expires 01/16/15, Strike 105.90, (OTC) (CP-DB)		22,138,869
USD	294,800,000	USD Put/JPY Call, Expires 02/19/15, Strike 113.34, (OTC) (CP-GS)		1,373,473
USD	294,800,000	USD Call/JPY Put, Expires 02/19/15, Strike 113.34, (OTC) (CP-DB)		14,438,714
EUR	193,070,529	EUR Put/USD Call, Expires 02/03/15, Strike 1.22, (OTC) (CP-DB)		1,496,200
EUR	234,600,000	EUR Put/USD Call, Expires 02/06/15, Strike 1.25, (OTC) (CP-DB)		4,994,334

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Principal Amount / Shares / Par Value ($)		Description	Value ($)
		Currency Options — continued
EUR	188,645,867	EUR Put/USD Call, Expires 11/03/17, Strike 1.24, (OTC) (CP-GS)		10,310,367
EUR	234,600,000	EUR Call/USD Put, Expires 02/06/15, Strike 1.25, (OTC) (CP-DB)		3,424,428
EUR	359,400,000	EUR Put/USD Call, Expires 11/12/15, Strike 1.25, (OTC) (CP-JPM)		14,589,047
EUR	359,400,000	EUR Call/USD Put, Expires 11/12/15, Strike 1.25, (OTC) (CP-JPM)		13,961,623
GBP	190,900,000	USD Call/GBP Put, Expires 11/16/15, Strike 1.56, (OTC) (CP-GS)		9,228,727
USD	298,200,000	USD Call/JPY Put, Expires 02/16/15, Strike 117.00, (OTC) (CP-GS)		7,766,321
USD	298,200,000	USD Put/JPY Call, Expires 02/16/15, Strike 117.00, (OTC) (CP-GS)		3,735,253
EUR	126,300,000	EUR Put/USD Call, Expires 11/25/15, Strike 1.25, (OTC) (CP-BCLY)		5,206,704
EUR	126,300,000	EUR Call/USD Put, Expires 11/25/15, Strike 1.25, (OTC) (CP-BCLY)		5,018,903
EUR	105,400,000	EUR Put/USD Call, Expires 02/24/15, Strike 1.25, (OTC) (CP-BCLY)		2,402,653
EUR	105,400,000	EUR Call/USD Put, Expires 02/24/15, Strike 1.25, (OTC) (CP-BCLY)		1,799,629
EUR	63,140,000	EUR Put/USD Call, Expires 11/28/17, Strike 1.24, (OTC) (CP-DB)		3,463,306
EUR	64,900,000	EUR Put/USD Call, Expires 02/25/15, Strike 1.21, (OTC) (CP-GS)		591,611
		Total Currency Options		134,591,584
		TOTAL OPTIONS PURCHASED (COST $113,789,556)		134,591,584
		SHORT-TERM INVESTMENTS (a) — 20.2%
		Money Market Funds — 0.1%
	13,854,432	State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (f)		13,854,432
		U.S. Government — 20.1%
	161,770,000	U.S. Treasury Bill, 0.02%, due 12/11/14 (g)		161,769,029
	540,000,000	U.S. Treasury Bill, 0.01%, due 01/08/15 (g)		539,992,980
	140,000,000	U.S. Treasury Bill, 0.01%, due 02/05/15 (c) (g)		139,996,220
	389,872,000	U.S. Treasury Bill, 0.02%, due 03/05/15 (g)		389,851,727
	126,273,000	U.S. Treasury Bill, 0.05%, due 04/02/15 (g)		126,253,680
	152,800,000	U.S. Treasury Bill, 0.06%, due 04/30/15 (g)		152,765,009
	451,200,000	U.S. Treasury Bill, 0.02%, due 12/04/14 (c) (g)		451,199,098
	27,000,000	U.S. Treasury Bill, 0.02%, due 12/18/14 (g)		26,999,703

Par Value ($) / Shares			Description	Value ($)
			U.S. Government — continued
	592,311,000		U.S. Treasury Bill, 0.04%, due 12/26/14 (g)		592,293,231
	70,130,000		U.S. Treasury Bill, 0.02%, due 01/15/15 (g)		70,128,667
	130,000,000		U.S. Treasury Bill, 0.01%, due 02/26/15 (g)		129,995,320
	250,000,000		U.S. Treasury Bill, 0.03%, due 03/19/15 (g)		249,977,500
	746,170,000		U.S. Treasury Bill, 0.05%, due 04/09/15 (g)		746,043,151
	110,414,000		U.S. Treasury Bill, 0.05%, due 04/16/15 (g)		110,393,132
	190,800,000		U.S. Treasury Bill, 0.06%, due 04/23/15 (g)		190,754,590
	20,000,000		U.S. Treasury Bill, 0.07%, due 05/07/15 (g)		19,994,340
			Total U.S. Government		4,098,407,377
			TOTAL SHORT-TERM INVESTMENTS (COST $4,112,293,872)		4,112,261,809
			TOTAL INVESTMENTS — 99.3% (Cost $19,890,702,799)		20,223,947,464
			SECURITIES SOLD SHORT (a) — (3.8)%
			COMMON STOCKS — (3.8)%
			Italy — (0.1)%
	(494,946	)	GTECH SpA		(11,352,817	)
			United States — (3.7)%
	(110,146	)	Actavis Plc *		(29,806,610	)
	(4,336,742	)	Applied Materials, Inc.		(104,298,645	)
	(2,534,143	)	AT&T, Inc.		(89,657,979	)
	(842,724	)	Comcast Corp. – Class A		(47,875,150	)
	(1,246,044	)	Comcast Corp. – Class A		(71,074,350	)
	(134,097	)	Endo International Plc *		(9,811,877	)
	(855,564	)	Halliburton Co.		(36,104,801	)
	(672,363	)	M&T Bank Corp.		(84,731,185	)
	(3,468,802	)	Medtronic, Inc.		(256,240,404	)
	(362,475	)	Reynolds American, Inc.		(23,890,727	)
			Total United States		(753,491,728	)
			TOTAL COMMON STOCKS (PROCEEDS $709,484,435)		(764,844,545	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $709,484,435)		(764,844,545	)
			Other Assets and Liabilities (net) — 4.5%		912,745,812
			TOTAL NET ASSETS — 100.0%		$20,371,848,731

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

A summary of outstanding financial instruments at November 30, 2014 is as follows:

Forward Currency Contracts ^(a)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
12/15/2014	MSCI		CAD	40,675,500		USD	36,463,061	$	915,866
12/22/2014	BCLY		EUR	155,423,589		USD	196,488,304		3,074,748
12/22/2014	BOA		EUR	155,650,303		USD	196,833,070		3,137,385
12/22/2014	DB		EUR	663,487,733		USD	830,161,299		4,498,203
12/22/2014	GS		EUR	144,547,733		USD	182,929,493		3,050,163
12/22/2014	JPM		EUR	27,500,000		USD	34,378,836		157,050
01/23/2015	DB		GBP	52,900,000		USD	83,487,626		779,374
12/19/2014	BCLY		JPY	14,153,460,395		USD	130,914,796		11,611,220
12/19/2014	BOA		JPY	22,221,090,592		USD	205,064,051		17,756,107
12/19/2014	DB		JPY	14,153,460,395		USD	130,953,557		11,649,981
12/19/2014	GS		JPY	32,436,524,893		USD	291,655,188		18,238,420
02/06/2015	BCLY		KRW	332,910,300,000		USD	301,797,977		2,160,301

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
01/09/2015	DB		SEK	147,600,000		USD	19,984,294	$	184,416
01/09/2015	GS		SEK	806,474,637		USD	109,639,489		1,454,532
12/15/2014	MSCI		USD	35,988,342		CAD	40,675,500		(441,147	)
12/19/2014	DB		USD	791,344,345		JPY	90,923,500,000		(24,924,094	)
12/19/2014	GS		USD	80,223,510		JPY	9,472,500,000		(377,093	)
12/22/2014	DB		USD	56,340,896		EUR	45,200,000		(92,724	)
12/22/2014	GS		USD	128,261,280		EUR	102,750,000		(396,243	)
02/06/2015	BCLY		USD	221,537,107		INR	13,768,400,000		(2,703,267	)
02/06/2015	BCLY		USD	355,928		KRW	384,900,000		(9,496	)
								$	49,723,702

Written Options ^(a)

Principal Amount		Expiration Date	Description	Premiums		Market Value
Call	182,995,320	02/03/2015	EUR Call/USD Put, Strike 1.28 (OTC) (CP-DB)	$	1,201,152	$	(858,888	)
Call	64,900,000	02/25/2015	EUR Call/USD Put, Strike 1.28 (OTC) (CP-GS)		478,621		(394,408	)
Call	129,466,357	11/03/2017	EUR Call/USD Put, Strike 1.29 (OTC) (CP-GS)		9,317,648		(9,161,791	)
Call	43,300,000	11/28/2017	EUR Call/USD Put, Strike 1.29 (OTC) (CP-DB)		3,215,459		(3,142,929	)
				$	14,212,880	$	(13,558,016	)

Swap Contracts ^(a)

Forward Starting Cross-Currency Basis Swaps

Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	7,875,000,000	JPY	11/28/2016	11/28/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	43,492
	7,875,000,000	JPY	11/29/2016	11/29/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		43,739
	7,875,000,000	JPY	11/30/2016	11/30/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		43,952
	7,875,000,000	JPY	12/1/2016	12/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		44,260
	7,875,000,000	JPY	12/2/2016	12/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		43,966
	7,875,000,000	JPY	12/5/2016	12/5/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		31,039
	7,875,000,000	JPY	12/6/2016	12/6/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		31,125
	7,875,000,000	JPY	12/7/2016	12/7/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		31,211
	7,875,000,000	JPY	12/8/2016	12/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		31,201
	7,875,000,000	JPY	12/9/2016	12/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		34,197
								$	378,182
						Premiums to (Pay) Receive		$	—

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)#	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	435,900,000	AUD	11/11/2024	BCI (h)	Receive	4.33%	6 Month AUD BBSW	$	4,664,503
	95,100,000	AUD	11/6/2024	BCI (h)	Receive	4.35%	6 Month AUD BBSW		1,064,113
	261,500,000	AUD	11/7/2024	BCI (h)	Receive	4.31%	6 Month AUD BBSW		2,608,644
	217,000,000	AUD	11/13/2024	BCI (h)	Receive	4.31%	6 Month AUD BBSW		2,121,282
	473,000,000	GBP	7/16/2024	BCI (h)	(Pay)	3.45%	6 Month GBP LIBOR		(31,920,430	)
	176,408,000	GBP	11/26/2024	BCI (h)	(Pay)	2.63%	6 Month GBP LIBOR		(1,202,275	)
	32,010,000,000	JPY	10/3/2024	BCI (h)	(Pay)	0.66%	6 Month JPY LIBOR		(2,074,864	)
	147,789,000,000	JPY	10/6/2024	CSS (h)	(Pay)	0.66%	6 Month JPY LIBOR		(9,771,768	)
	30,169,000,000	JPY	10/7/2024	CSS (h)	(Pay)	0.65%	6 Month JPY LIBOR		(1,882,698	)
	32,114,000,000	JPY	10/9/2024	CSS (h)	(Pay)	0.65%	6 Month JPY LIBOR		(1,971,301	)
	10,950,000,000	JPY	11/7/2024	CSS (h)	(Pay)	0.60%	6 Month JPY LIBOR		(213,542	)
	2,410,000,000	JPY	11/13/2024	CSS (h)	(Pay)	0.65%	6 Month JPY LIBOR		(141,763	)
	11,921,100,000	JPY	11/25/2024	BCI (h)	(Pay)	0.62%	6 Month JPY LIBOR		(342,532	)
	2,881,900,000	JPY	11/27/2024	CSS (h)	(Pay)	0.61%	6 Month JPY LIBOR		(59,321	)
	516,900,000	MXN	10/9/2024	BCI (h)	Receive	6.10%	TIIE		755,624
	1,305,700,000	MXN	10/11/2024	BCI (h)	Receive	6.18%	TIIE		2,554,169
	1,039,700,000	MXN	10/16/2024	BCI (h)	Receive	6.03%	TIIE		1,092,838
	519,800,000	MXN	10/17/2024	BCI (h)	Receive	6.05%	TIIE		606,452
	521,200,000	MXN	10/18/2024	BCI (h)	Receive	6.08%	TIIE		699,194
	1,094,200,000	MXN	10/18/2024	BCI (h)	Receive	6.12%	TIIE		1,726,615
	261,000,000	MXN	10/24/2024	BCI (h)	Receive	6.17%	TIIE		485,902
	1,043,900,000	MXN	10/25/2024	BCI (h)	Receive	6.19%	TIIE		2,064,438
	785,300,000	MXN	10/28/2024	BCI (h)	Receive	6.13%	TIIE		1,271,591
	251,100,000	MXN	10/30/2024	BCI (h)	Receive	6.19%	TIIE		518,759
	748,100,000	SEK	6/1/2016	BCI (h)	(Pay)	0.28%	3 Month SEK STIBOR		(2,804	)
	415,000,000	SEK	8/5/2016	BCI (h)	Receive	0.63%	3 Month SEK STIBOR		317,608
	940,000,000	SEK	8/6/2016	BCI (h)	Receive	0.62%	3 Month SEK STIBOR		716,557
	1,109,000,000	SEK	8/7/2016	BCI (h)	Receive	0.63%	3 Month SEK STIBOR		855,642
	469,000,000	SEK	8/11/2016	BCI (h)	Receive	0.62%	3 Month SEK STIBOR		354,362
	257,000,000	SEK	8/13/2016	BCI (h)	Receive	0.63%	3 Month SEK STIBOR		204,952
	710,000,000	SEK	8/13/2016	BCI (h)	Receive	0.63%	3 Month SEK STIBOR		558,146
	796,000,000	SEK	8/15/2016	BCI (h)	Receive	0.63%	3 Month SEK STIBOR		615,224
	1,354,000,000	SEK	8/18/2016	BCI (h)	Receive	0.62%	3 Month SEK STIBOR		1,042,884
	796,000,000	SEK	8/19/2016	BCI (h)	Receive	0.62%	3 Month SEK STIBOR		612,397
	1,255,000,000	SEK	8/20/2016	BCI (h)	Receive	0.63%	3 Month SEK STIBOR		975,032
	1,000,000,000	SEK	8/21/2016	BCI (h)	Receive	0.61%	3 Month SEK STIBOR		743,421
	538,700,000	SEK	12/1/2016	BCI (h)	(Pay)	0.31%	3 Month SEK STIBOR		1,376
	3,386,800,000	USD	9/28/2020	CSS (h)	Receive	3.20%	3 Month USD LIBOR		28,716,054
	1,070,100,000	USD	12/17/2021	CSS (h)	Receive	3.11%	3 Month USD LIBOR		7,120,141
	578,700,000	USD	12/17/2021	CSS (h)	Receive	3.07%	3 Month USD LIBOR		3,348,057
	28,000,000	USD	7/24/2049	CSS (h)	(Pay)	3.66%	3 Month USD LIBOR		(2,193,801	)
	35,000,000	USD	7/24/2049	CSS (h)	(Pay)	3.67%	3 Month USD LIBOR		(2,790,778	)
	35,000,000	USD	7/29/2049	CSS (h)	(Pay)	3.65%	3 Month USD LIBOR		(2,667,601	)
	36,000,000	USD	7/29/2049	CSS (h)	(Pay)	3.66%	3 Month USD LIBOR		(2,810,360	)
	35,000,000	USD	7/29/2049	CSS (h)	(Pay)	3.72%	3 Month USD LIBOR		(3,120,459	)

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Interest Rate Swaps (Continued)

Notional Amount			Expiration Date	Counterparty	Receive (Pay)#	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	36,000,000	USD	7/30/2049	CSS (h)	(Pay)	3.62%	3 Month USD LIBOR	$	(2,583,616	)
	43,000,000	USD	8/5/2049	CSS (h)	(Pay)	3.73%	3 Month USD LIBOR		(3,934,859	)
	99,600,000	USD	9/12/2049	CSS (h)	(Pay)	3.66%	3 Month USD LIBOR		(7,734,782	)
								$	(9,003,577	)
							Premiums to (Pay) Receive	$	3,838,400

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

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

As of November 30, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Consolidated 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

BBSW - Bank Bill Swap Reference Rate

CDO - Collateralized Debt Obligation

CP - Counterparty

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

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

GDR - Global Depository Receipt

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

LIBOR - London Interbank Offered Rate

OJSC - Open Joint-Stock Company

OTC - Over-the-Counter

REIT - Real Estate Investment Trust

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

TIIE - Tasa de Interes Interbacaria de Equilibrio - 28 - Day Interbank Equilibrium Interest Rate - Mexico

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

* 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) Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits.

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

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

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

(f) The rate disclosed is the 7 day net yield as of November 30, 2014. Note: Yield rounds to 0.00%.

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

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

Counterparty Abbreviations:

BCI - Barclays Capital Inc.

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CSS - Credit Suisse Securities (USA) LLC

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

CAD - Canadian Dollar

EUR - Euro

GBP - British Pound

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

SEK - Swedish Krona

USD - United States Dollar

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	3,667,700	GMO Alpha Only Fund, Class IV		86,594,406
	50,710,394	GMO Asset Allocation Bond Fund, Class VI		1,323,034,187
	8,276,365	GMO Debt Opportunities Fund, Class VI		206,991,884
	20,253,516	GMO Emerging Country Debt Fund, Class IV		206,585,866
	47,397,722	GMO Emerging Markets Fund, Class VI		506,207,673
	44,347,657	GMO International Equity Fund, Class IV		1,090,065,397
	11,755,465	GMO Risk Premium Fund, Class VI		121,669,061
	8,026,267	GMO Special Opportunities Fund, Class VI		157,555,612
	6,458,460	GMO Systematic Global Macro Opportunity Fund, Class III		213,064,591
	44,617,302	GMO U.S. Equity Allocation Fund, Class VI		825,420,090
	3,392,541	GMO U.S. Treasury Fund		84,813,535
		TOTAL MUTUAL FUNDS (COST $4,837,073,210)		4,822,002,302
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	579,802	State Street Eurodollar Time Deposit, 0.01%, due 12/01/2014		579,802
		TOTAL SHORT-TERM INVESTMENTS (COST $579,802)		579,802
		TOTAL INVESTMENTS — 100.0% (Cost $4,837,653,012)		4,822,582,104
		Other Assets and Liabilities (net) — (0.0%)		(97,477	)
		TOTAL NET ASSETS — 100.0%		$4,822,484,627

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	15,424,344	GMO Alpha Only Fund, Class IV		364,168,755
	43,627,060	GMO Asset Allocation Bond Fund, Class VI		1,138,230,002
	9,177,341	GMO Debt Opportunities Fund, Class VI		229,525,299
	17,859,297	GMO Emerging Country Debt Fund, Class IV		182,164,829
	41,120,865	GMO Emerging Markets Fund, Class VI		439,170,843
	57,916,822	GMO International Equity Fund, Class IV		1,423,595,482
	12,683,024	GMO Risk Premium Fund, Class VI		131,269,302
	4,739,992	GMO Systematic Global Macro Opportunity Fund, Class III		156,372,340
	48,325,218	GMO U.S. Equity Allocation Fund, Class VI		894,016,528
	10,309,707	GMO U.S. Treasury Fund		257,742,667
		TOTAL MUTUAL FUNDS (COST $4,997,967,019)		5,216,256,047
		DEBT OBLIGATIONS — 0.0%
		Asset-Backed Securities — 0.0%
	37,311	Accredited Mortgage Loan Trust, Series 04-4, Class A1B, 1 mo. LIBOR + .78%, 0.93%, due 01/25/35 ¿		35,819
	56,219	ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + .28%, 0.43%, due 02/25/36 ¿		23,106
	255,656	ACE Securities Corp., Series 06-OP1, Class A2C, 1 mo. LIBOR + .15%, 0.31%, due 04/25/36 ¿		234,180
	359,953	Aircraft Finance Trust, Series 99-1A, Class A1, 1 mo. LIBOR + .48%, 0.64%, due 05/15/24		140,382
	499,812	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.03%, due 11/23/52		500
	203,699	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.46%, due 05/28/39		85,554
	228,874	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.16%, due 02/28/40		180,604
	9,194	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.50%, due 10/25/34 ¿		8,158
	22,768	Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.49%, due 01/25/35 ¿		20,049
	44,441	Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, 1 mo. LIBOR + .38%, 0.54%, due 12/25/33 ¿		42,664
	102,989	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.60%, due 10/25/30		91,096

Shares / Par Value ($)		Description	Value ($)
		Asset-Backed Securities — (continued)
	17,321	Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.46%, due 04/25/34 ¿		14,033
	95,959	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, 1 mo. LIBOR + .23%, 0.39%, due 10/25/34 ¿		84,195
	5,237	GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, 1 mo. LIBOR + .28%, 0.72%, due 08/15/30 ¿		4,347
	358,028	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.36%, due 09/15/41		346,182
	371,183	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.36%, due 12/15/41		360,628
	4,165	Lehman ABS Corp., Series 04-2, Class A, AMBAC, 1 mo. LIBOR + .22%, 0.60%, due 06/25/34 ¿		4,008
	105,161	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.41%, due 02/25/30		99,171
	40,469	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, 1 mo. LIBOR + .25%, 0.40%, due 02/26/34		36,403
	41,244	Morgan Stanley Capital, Inc., Series 04-SD1, Class A, 1 mo. LIBOR + .80%, 0.95%, due 08/25/34 ¿		39,677
	25,273	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.38%, due 11/25/35 ¿		25,020
	1,786	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.45%, due 12/25/32 ¿		1,665
	100,000	Toll Road Investment Part II, Series 1999B, 144A, NPG, Zero Coupon, due 02/15/30		35,300
	900,000	Toll Road Investment Part II, Series C, 144A, NPG, Zero Coupon, due 02/15/37		197,100
		Total Asset-Backed Securities		2,109,841
		TOTAL DEBT OBLIGATIONS (COST $1,904,797)		2,109,841
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	589,850	State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (a)		589,850
		TOTAL SHORT-TERM INVESTMENTS (COST $589,850)		589,850
		TOTAL INVESTMENTS — 100.0% (Cost $5,000,461,666)		5,218,955,738
		Other Assets and Liabilities (net) — (0.0%)		(536,788	)
		TOTAL NET ASSETS — 100.0%		$5,218,418,950

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Notes to Schedule of Investments:

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

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

CDO - Collateralized Debt Obligation

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

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

LIBOR - London Interbank Offered Rate

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

NPG – National Public Finance Guarantee Corporation.

¿ These securities are primarily backed by subprime mortgages.

(a) The rate disclosed is the 7 day net yield as of November 30, 2014. Note: Yield rounds to 0.00%.

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	15,756,465	GMO Emerging Markets Fund, Class VI		168,279,047
	36,755,683	GMO International Equity Fund, Class IV		903,454,691
	34,982,977	GMO U.S. Equity Allocation Fund, Class VI		647,185,080
		TOTAL MUTUAL FUNDS (COST $1,564,105,809)		1,718,918,818
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	556,193	State Street Eurodollar Time Deposit, 0.01%, due 12/01/2014		556,193
		TOTAL SHORT-TERM INVESTMENTS (COST $556,193)		556,193
		TOTAL INVESTMENTS — 100.0% (Cost $1,564,662,002)		1,719,475,011
		Other Assets and Liabilities (net) — (0.0%)		(53,700	)
		TOTAL NET ASSETS — 100.0%		$1,719,421,311

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	48,779,752	GMO Emerging Markets Fund, Class VI		520,967,753
	81,375,517	GMO International Equity Fund, Class IV		2,000,210,214
	77,099,650	GMO U.S. Equity Allocation Fund, Class VI		1,426,343,520
		TOTAL MUTUAL FUNDS (COST $3,838,851,511)		3,947,521,487
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	1,264,370	State Street Eurodollar Time Deposit, 0.01%, due 12/01/2014		1,264,370
		TOTAL SHORT-TERM INVESTMENTS (COST $1,264,370)		1,264,370
		TOTAL INVESTMENTS — 100.0% (Cost $3,840,115,881)		3,948,785,857
		Other Assets and Liabilities (net) — (0.0%)		(163,452	)
		TOTAL NET ASSETS — 100.0%		$3,948,622,405

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	10,458,591	GMO Emerging Markets Fund, Class VI		111,697,748
	41,128,159	GMO International Equity Fund, Class IV		1,010,930,155
		TOTAL MUTUAL FUNDS (COST $1,024,859,416)		1,122,627,903
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	416,758	State Street Eurodollar Time Deposit, 0.01%, due 12/01/2014		416,758
		TOTAL SHORT-TERM INVESTMENTS (COST $416,758)		416,758
		TOTAL INVESTMENTS — 100.0% (Cost $1,025,276,174)		1,123,044,661
		Other Assets and Liabilities (net) — (0.0%)		(76,554	)
		TOTAL NET ASSETS — 100.0%		$1,122,968,107

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	34,483,713	GMO Emerging Markets Fund, Class VI		368,286,060
	50,137,897	GMO International Equity Fund, Class IV		1,232,389,513
		TOTAL MUTUAL FUNDS (COST $1,494,083,195)		1,600,675,573
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	537,240	State Street Eurodollar Time Deposit, 0.01%, due 12/01/2014		537,240
		TOTAL SHORT-TERM INVESTMENTS (COST $537,240)		537,240
		TOTAL INVESTMENTS — 100.0% (Cost $1,494,620,436)		1,601,212,813
		Other Assets and Liabilities (net) — (0.0%)		(52,461	)
		TOTAL NET ASSETS — 100.0%		$1,601,160,352

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 50.1%
		Argentina — 1.3%
	43,500	Cresud SA Sponsored ADR		512,865
	125,000	Empresa Distribuidora Y Comercializadora Norte ADR *		1,530,000
	281,921	Pampa Energia SA Sponsored ADR *		3,174,430
	26,000	Telecom Argentina SA Sponsored ADR		570,180
	596,659	Transportadora de Gas del Sur SA ADR *		2,171,839
	28,000	YPF SA Sponsored ADR		936,320
		Total Argentina		8,895,634
		Canada — 0.8%
	7,000	Canadian Natural Resources Ltd		232,960
	11,000	Imperial Oil Ltd		479,380
	6,000,000	Jagercor Energy Corp * (a)		314,713
	899,500	Uranium Participation Corp *		4,128,311
		Total Canada		5,155,364
		Italy — 1.6%
	484,000	Buzzi Unicem SpA		7,240,365
	245,000	Buzzi Unicem SpA – RSP		2,174,545
	53,204	GTECH SpA		1,220,366
		Total Italy		10,635,276
		Norway — 0.7%
	226,332	Aker ASA		4,895,874
		Romania — 3.4%
	7,155,958	Electrica SA *		23,099,252
		South Korea — 1.8%
	49,069	Hyundai Motor Co		7,883,215
	2,600	Samsung Electronics Co Ltd		3,012,299
	10,000	Samsung Life Insurance Co Ltd		1,100,842
		Total South Korea		11,996,356
		United Kingdom — 7.1%
	2,415,149	Royal Bank of Scotland Group Plc *		14,927,251
	358,908	Royal Bank of Scotland Group Plc Sponsored ADR *		4,428,925
	2,325,000	Telecity Group Plc		29,484,354
		Total United Kingdom		48,840,530
		United States — 33.4%
	1,490,300	Ally Financial, Inc. *		35,439,334
	504,500	American International Group, Inc.		27,646,600
	95,000	Citigroup, Inc.		5,127,150
	162,000	Deere & Co.		14,032,440
	219,000	DIRECTV *		19,208,490
	130,000	Fannie Mae *		317,200
	130,000	Freddie Mac *		310,700
	977,132	GenCorp, Inc. *		16,318,104

Shares		Description	Value ($)
		United States — continued
	1,195,000	General Motors Co.		39,948,850
	281,064	Global Eagle Entertainment, Inc. *		3,726,909
	1,245,500	Interactive Brokers Group, Inc. – Class A		34,027,060
	24,000	International Game Technology		408,720
	68,467	JG Wentworth Co. – Class A *		652,490
	110,000	Leucadia National Corp.		2,544,300
	287,000	PBF Energy, Inc. – Class A		8,110,620
	729,256	Vectrus, Inc. * (a)		20,608,775
		Total United States		228,427,742
		TOTAL COMMON STOCKS (COST $333,464,782)		341,946,028
		PREFERRED STOCKS — 5.1%
		Argentina — 0.0%
	11,115	Nortel Inversora SA ADR		247,086
		Total Argentina		247,086
		Greece — 1.3%
	516,084	National Bank of Greece SA *		8,716,659
		South Korea — 3.7%
	7,252	Hyundai Motor Co		747,339
	52,284	Hyundai Motor Co		6,241,706
	52,419	Hyundai Motor Co		6,059,996
	70,506	Samsung C&T Corp		2,787,444
	8,300	Samsung Electronics Co Ltd		7,878,953
	22,361	Samsung SDI Co Ltd		1,567,883
		Total South Korea		25,283,321
		United States — 0.1%
	15,000	Fannie Mae		97,500
	34,000	Freddie Mac		212,840
		Total United States		310,340
		TOTAL PREFERRED STOCKS (COST $43,603,241)		34,557,406
		RIGHTS/WARRANTS — 1.2%
		Canada — 0.0%
	3,000,000	Jagercor Energy Corp Warrants, Expires 11/24/16 *		—
		Greece — 0.2%
	820,000	Alpha Bank AE Warrants, Expires 12/10/17 *		1,193,781
		United States — 1.0%
	90,000	American International Group, Inc., Warrants, Expires 01/19/21 *		2,151,900
	325,000	General Motors Co. Warrants, Expires 07/10/19 *		4,959,500

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares / Par Value		Description	Value ($)
		United States — continued
	150,000	General Motors Co. Warrants, Expires 12/31/15 *		122,250
		Total United States		7,233,650
		TOTAL RIGHTS/WARRANTS (COST $7,927,081)		8,427,431
		INVESTMENT FUNDS — 5.5%
		Romania — 5.5%
	145,000,000	Fondul Proprietatea SA Fund		37,712,457
		TOTAL INVESTMENT FUNDS (COST $37,739,078)		37,712,457
		DEBT OBLIGATIONS — 13.3%
		Bank Loans — 1.1%
		Spain — 1.1%
EUR	4,913,585	Fomento De Construcciones Y Contrata SA EUR Term Loan A, Euribor 3 month + 3.00%, due 04/01/2018		5,456,719
EUR	2,086,415	Fomento De Construcciones Y Contrata SA EUR Term Loan B 11.00%, due 04/01/2018		2,317,042
		Total Spain		7,773,761
		Total Bank Loans		7,773,761
		Corporate Debt — 3.5%
		Luxembourg — 0.6%
USD	1,000,000	Codere Finance Luxembourg SA, 144A, 9.25%, due 02/15/19 (b)		625,000
USD	4,000,000	Codere Finance Luxembourg SA, Reg. S, 9.25%, due 02/15/19 (b)		2,500,000
EUR	1,000,000	Codere Finance Luxembourg SA, Reg. S, 8.25%, due 06/15/15 (b)		734,137
		Total Luxembourg		3,859,137
		Portugal — 2.9%
EUR	4,000,000	Novo Banco SA, Reg. S, 3.50%, due 03/18/43		3,254,556
USD	3,942,000	Novo Banco SA, 3.00%, due 06/21/22		2,981,137
EUR	5,000,000	Novo Banco SA, Reg. S, 3.50%, due 02/19/43		4,071,123
EUR	1,657,000	Novo Banco SA, 3.50%, due 01/23/43		1,349,516
EUR	10,000,000	Novo Banco SA, 3.50%, due 01/02/43		8,151,027
		Total Portugal		19,807,359
		United States — 0.0%
USD	1,000	Guitar Center, Inc., 144A, 6.50%, due 04/15/19		875
		Total United States		875
		Total Corporate Debt		23,667,371

Par Value / Principal Amount		Description	Value ($)
		Foreign Government Obligations — 1.6%
		Argentina — 1.6%
EUR	70,000,000	Republic of Argentina GDP Linked, due 12/15/35 (c)		6,968,077
EUR	6,500,000	Republic of Argentina Par Bond, 2.26%, due 12/31/38 (b)		4,023,754
		Total Argentina		10,991,831
		Total Foreign Government Obligations		10,991,831
		Municipal Obligations — 3.0%
		Puerto Rico — 3.0%
USD	25,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, 5.80%, due 07/01/23		18,705
USD	130,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, 6.05%, due 07/01/28		92,958
USD	90,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, 6.10%, due 07/01/34		62,329
USD	225,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, 6.10%, due 07/01/34		155,821
USD	10,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 4.00%, due 07/01/19		7,421
USD	505,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 4.00%, due 07/01/22		349,147
USD	130,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 4.00%, due 07/01/15		121,801
USD	1,125,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 4.25%, due 07/01/25		745,852
USD	90,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 4.50%, due 07/01/27		60,226
USD	100,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 4.90%, due 07/01/20		76,614
USD	195,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.00%, due 07/01/23		138,119
USD	90,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.00%, due 07/01/15		84,305
USD	250,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.00%, due 07/01/21		192,995
USD	230,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.00%, due 07/01/19		178,031
USD	655,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.00%, due 07/01/22		490,091
USD	7,190,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.00%, due 07/01/33		4,982,670

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value		Description	Value ($)
		Puerto Rico — continued
USD	2,135,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.13%, due 07/01/37		1,469,627
USD	45,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.25%, due 07/01/29		32,045
USD	9,380,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.25%, due 07/01/42		6,365,268
USD	30,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.35%, due 07/01/27		20,777
USD	855,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.75%, due 07/01/37		613,642
USD	785,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/38		565,373
USD	2,195,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/47		1,569,557
USD	460,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/44		330,091
USD	350,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.05%, due 07/01/28		250,271
USD	135,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.15%, due 07/01/38		93,492
USD	125,000	Puerto Rico Commonwealth Industrial Development Co., 5.15%, due 07/01/18		104,233
USD	470,000	Puerto Rico Commonwealth Industrial Development Co., 5.20%, due 07/01/23		308,137
USD	330,000	Puerto Rico Commonwealth Industrial Development Co., 5.25%, due 07/01/28		208,890
USD	20,000	Puerto Rico Commonwealth Industrial Development Co., 6.70%, due 07/01/21		16,098
USD	990,000	Puerto Rico Commonwealth Industrial Development Co., (Capital Appreciation), Zero Coupon, due 07/01/17		772,487
USD	10,000	Puerto Rico Commonwealth Industrial Development Co., (Capital Appreciation), Zero Coupon, due 07/01/18		6,744
		Total Puerto Rico		20,483,817
		Total Municipal Obligations		20,483,817
		Trade Claims — 4.1%
		Iceland — 4.1%
EUR	7,500,000	Kaupthing Bank Claim No 20100106 1040		2,146,417
USD	1,400,000	Kaupthing Bank Claim No 20091229 0248		308,000
EUR	1,500,000	Kaupthing Bank Claim No 20100103 0424		429,283
EUR	2,500,000	Kaupthing Bank Claim No 20090918 0077		715,472
USD	1,750,000	Kaupthing Bank Claim No 20091228 0985		385,000

Par Value		Description	Value ($)
		Iceland — continued
EUR	386,800	Kaupthing Bank Claim No 20091230 0619		110,698
EUR	4,521,250	Kaupthing Bank Claim No 20100104 1696		1,293,931
USD	1,600,000	Kaupthing Bank Claim No 20100105 0981		352,000
USD	1,370,000	Kaupthing Bank Claim No 20100105 0941		301,400
EUR	500,000	Kaupthing Bank Claim No 20100105 0937		143,094
EUR	10,000,000	Kaupthing Bank Claim No 20100103 0265		2,861,889
USD	1,000,000	Kaupthing Bank Claim No 20091230 0286		220,000
USD	1,108,000	Kaupthing Bank Claim No 20091216 0371		243,760
USD	1,450,000	Kaupthing Bank Claim No 20091229 0244		319,000
EUR	773,600	Kaupthing Bank Claim No 20091230 0521		221,396
EUR	2,000,000	Kaupthing Bank Claim No 20100106 0066		572,378
EUR	750,000	Kaupthing Bank Claim No 20100106 0152		214,642
EUR	442,000	Kaupthing Bank Claim No 20091230 0928		126,495
EUR	18,000,000	Kaupthing Bank Claim No 20091229 0462		5,151,400
EUR	773,600	Kaupthing Bank Claim No 20091230 0695		221,396
EUR	200,000	Kaupthing Bank Claim No 20091230 0326		57,238
EUR	5,340,000	Kaupthing Bank Claim No 20091230 0642		1,528,249
EUR	2,757,000	Kaupthing Bank Claim No 20100103 0456		789,023
EUR	1,695,000	Kaupthing Bank Claim No 20100103 0455		485,090
USD	500,000	Kaupthing Bank Claim No 20100625 0011		110,000
USD	339,000	Kaupthing Bank Claim No 20100625 0003		74,580
USD	470,000	Kaupthing Bank Claim No 20100107 0713		103,400
USD	400,000	Kaupthing Bank Claim No 20100107 0596		88,000
USD	260,000	Kaupthing Bank Claim No 20100107 0588		57,200
USD	230,000	Kaupthing Bank Claim No 20100107 0570		50,600
USD	600,000	Kaupthing Bank Claim No 20100107 0542		132,000
USD	500,000	Kaupthing Bank Claim No 20100107 0538		110,000
USD	250,000	Kaupthing Bank Claim No 20100107 0520		55,000
USD	730,000	Kaupthing Bank Claim No 20100107 0508		160,600
USD	350,000	Kaupthing Bank Claim No 20100107 0505		77,000
USD	510,000	Kaupthing Bank Claim No 20100107 0499		112,200
USD	190,000	Kaupthing Bank Claim No 20100107 0495		41,800
USD	300,000	Kaupthing Bank Claim No 20100107 0464		66,000
USD	200,000	Kaupthing Bank Claim No 20100107 0456		44,000
USD	390,000	Kaupthing Bank Claim No 20100107 0449		85,800
USD	430,000	Kaupthing Bank Claim No 20100107 0438		94,600
USD	200,000	Kaupthing Bank Claim No 20100107 0433		44,000
USD	306,000	Kaupthing Bank Claim No 20100107 0422		67,320
USD	200,000	Kaupthing Bank Claim No 20100107 0399		44,000
USD	550,000	Kaupthing Bank Claim No 20100107 0396		121,000
USD	260,000	Kaupthing Bank Claim No 20100107 0372		57,200
USD	220,000	Kaupthing Bank Claim No 20100107 0361		48,400
USD	210,000	Kaupthing Bank Claim No 20100107 0359		46,200
USD	260,000	Kaupthing Bank Claim No 20100107 0354		57,200
USD	250,000	Kaupthing Bank Claim No 20100107 0345		55,000
USD	540,000	Kaupthing Bank Claim No 20100107 0339		118,800
USD	220,000	Kaupthing Bank Claim No 20100107 0330		48,400
USD	270,000	Kaupthing Bank Claim No 20100107 0313		59,400
USD	270,000	Kaupthing Bank Claim No 20100107 0299		59,400
USD	300,000	Kaupthing Bank Claim No 20100107 0251		66,000
USD	220,000	Kaupthing Bank Claim No 20100107 0246		48,400

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Par Value / Contracts		Description	Value ($)
		Iceland — continued
USD	350,000	Kaupthing Bank Claim No 20100107 0228		77,000
USD	200,000	Kaupthing Bank Claim No 20100107 0215		44,000
USD	210,000	Kaupthing Bank Claim No 20100107 0209		46,200
USD	400,000	Kaupthing Bank Claim No 20100107 0202		88,000
USD	250,000	Kaupthing Bank Claim No 20100107 0185		55,000
USD	230,000	Kaupthing Bank Claim No 20100107 0174		50,600
USD	200,000	Kaupthing Bank Claim No 20100107 0163		44,000
USD	230,000	Kaupthing Bank Claim No 20100107 0146		50,600
USD	200,000	Kaupthing Bank Claim No 20100107 0104		44,000
USD	230,000	Kaupthing Bank Claim No 20100107 0085		50,600
USD	200,000	Kaupthing Bank Claim No 20100107 0067		44,000
EUR	6,000,000	Kaupthing Bank Claim No 20100106 0732 1		1,717,133
EUR	1,603,000	Kaupthing Bank Claim No 20100106 1330		458,761
USD	196,000	Kaupthing Bank Claim No 20100106 1074		43,120
USD	223,000	Kaupthing Bank Claim No 20100106 0002		49,060
USD	520,000	Kaupthing Bank Claim No 20100105 1277		114,400
USD	205,000	Kaupthing Bank Claim No 20100104 1265		45,100
USD	800,000	Kaupthing Bank Claim No 20100104 0298		176,000
EUR	5,647,000	Kaupthing Bank Claim No 20100103 0458		1,616,109
USD	634,000	Kaupthing Bank Claim No 20091231 0065		139,480
USD	690,000	Kaupthing Bank Claim No 20091230 0959		151,800
USD	292,000	Kaupthing Bank Claim No 20091228 0998		64,240
USD	270,800	Kaupthing Bank Claim No 20091228 0770		59,576
USD	300,000	Kaupthing Bank Claim No 20091227 0450		66,000
USD	510,000	Kaupthing Bank Claim No 20100107 0173		112,200
USD	500,000	Kaupthing Bank Claim No 20100107 0115		110,000
USD	506,000	Kaupthing Bank Claim No 20100106 1137		111,320
EUR	1,554,000	Kaupthing Bank Claim No 20100103 0409		444,738
		Total Iceland		27,673,788
		Total Trade Claims		27,673,788
		TOTAL DEBT OBLIGATIONS (COST $96,515,725)		90,590,568
		OPTIONS PURCHASED — 0.5%
		Equity Options — 0.5%
	1,600	American International Group, Inc., Put, Expires 01/15/16, Strike 55.00		776,000
	290	AT&T, Inc., Put, Expires 04/17/15, Strike 33.00		23,200
	450	Ensco PLC, Put, Expires 01/15/16, Strike 30.00		202,500
	5,000	Interactive Brokers Group, Inc., Put, Expires 06/19/15, Strike 15.00		75,000
	400,000	Keppel Corp. Ltd, Put, Expires 10/21/15, Strike 10.00		590,039
	960,000	Keppel Corp. Ltd, Put, Expires 10/07/15, Strike 10.00		1,416,094
	580	Noble Corp PLC, Put, Expires 01/15/16, Strike 18.00		176,900

Contracts / Shares / Par Value ($)		Description	Value ($)
		Equity Options — continued
	500	Pilgrim’s Pride Corp., Call, Expires 01/15/16, Strike 40.00		100,000
	180	Sanderson Farms, Inc., Call, Expires 05/15/15, Strike 119.50		13,500
		Total Equity Options		3,373,233
		TOTAL OPTIONS PURCHASED (COST $2,147,517)		3,373,233
		SHORT-TERM INVESTMENTS — 30.5%
		Money Market Funds — 0.6%
	4,374,820	State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (d) (e)		4,374,820
		U.S. Government — 29.9%
	4,000,000	U.S. Treasury Bill, 0.03%, due 03/19/15 (f)		3,999,640
	36,000,000	U.S. Treasury Bill, 0.05%, due 04/09/15 (f)		35,993,880
	22,000,000	U.S. Treasury Bill, 0.07%, due 05/07/15 (f)		21,993,774
	22,500,000	U.S. Treasury Bill, 0.02%, due 01/08/15 (f) (g)		22,499,707
	2,000,000	U.S. Treasury Bill, 0.05%, due 04/02/15 (d) (f) (g)		1,999,694
	11,000,000	U.S. Treasury Bill, 0.02%, due 12/04/14 (f)		10,999,978
	22,000,000	U.S. Treasury Bill, 0.09%, due 06/25/15 (f)		21,989,308
	85,000,000	U.S. Treasury Bill, 0.02%, due 12/18/14 (d) (f)		84,999,065
		Total U.S. Government		204,475,046
		TOTAL SHORT-TERM INVESTMENTS (COST $208,854,066)		208,849,866
		TOTAL INVESTMENTS — 106.2% (Cost $730,251,490)		725,456,989
		Other Assets and Liabilities (net) — (6.2%)		(42,541,965	)
		TOTAL NET ASSETS — 100.0%		$682,915,024

A summary of outstanding financial instruments at November 30, 2014 is as follows:

Futures Contracts ^(d)

Number of Contracts +	Type	Expiration Date		Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
133	Uranium Futures		January 2017	$	1,532,825	$	366,821
133	Uranium Futures		June 2017		1,559,425		393,420
133	Uranium Futures		March 2017		1,532,825		366,821
133	Uranium Futures		February 2017		1,532,825		366,821
133	Uranium Futures		May 2017		1,559,425		393,420
133	Uranium Futures		April 2017		1,559,425		393,421
				$	9,276,750	$	2,280,724

+ Buys - Fund is long the underlying asset to the contract.

Sales - Fund is short the underlying asset to the contract.

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Written Options

Number of Contracts		Expiration Date		Description	Premiums		Market Value
Put	1,600		01/15/2016	American International Group, Inc., Strike 45	$	220,254	$	(248,000	)
Call	1,600		01/15/2016	American International Group, Inc., Strike 65		242,653		(236,800	)
Put	2,800		01/17/2015	Barnes & Noble, Inc., Strike 24		1,068,405		(456,400	)
Call	500		01/15/2016	Pilgrim’s Pride Corp., Strike 20		468,320		(730,000	)
Call	180		05/15/2015	Sanderson Farms, Inc., Strike 59.50		387,651		(538,200	)
					$	2,387,283	$	(2,209,400	)

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)
	35,000,000	USD	12/20/2015	GS	(Pay)	5.00%	0.70%	Ally Financial, Inc.	N/A	$	(1,927,455	)
	50,000,000	USD	12/20/2016	CSI	(Pay)	1.00%	0.19%	American International Group	N/A		(927,646	)
	10,000,000	USD	12/20/2019	GS	(Pay)	1.00%	0.45%	Ryder System	N/A		(290,052	)
	4,000,000	USD	12/20/2019	GS	(Pay)	1.00%	2.89%	Petroleo Brasileiro	N/A		339,695
	3,000,000	USD	12/20/2019	JPM	(Pay)	1.00%	2.89%	Petroleo Brasileiro	N/A		254,771
	5,000,000	USD	12/20/2019	CSI	(Pay)	1.00%	0.67%	Tyson Foods	N/A		(89,418	)
	5,000,000	EUR	12/20/2019	JPM	(Pay)	5.00%	4.67%	NOVO Banco	N/A		(142,442	)
	10,000,000	USD	12/20/2019	GS	(Pay)	1.00%	0.59%	GATX Corp.	N/A		(219,932	)
										$	(3,002,479	)
	Premiums to (Pay) Receive									$	—

^ Receive - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(Pay) - Fund pays premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽¹⁾ As of November 30, 2014, implied credit spreads in absolute terms and utilized in determining the market value of credit default swap contracts on the reference security, 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.

As of November 30, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Notes to Consolidated 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

CP - Counterparty

GDP - Gross Domestic Product

OTC - Over-the-Counter

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.

^*  Non-income producing security.

(a) Affiliated company.

(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) All or a portion of this security is owned by GMO Special Opportunities SPC Ltd, which is a 100% owned subsidiary of GMO Special Opportunities Fund.

(e) The rate disclosed is the 7 day net yield as of November 30, 2014. 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/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any.

Counterparty Abbreviations:

CSI - Credit Suisse International

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

Currency Abbreviations:

EUR - Euro

USD - United States Dollar

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	21,988,500	GMO Asset Allocation Bond Fund, Class VI		573,679,977
	3,788,595	GMO Debt Opportunities Fund, Class VI		94,752,765
	10,434,127	GMO Emerging Country Debt Fund, Class IV		106,428,093
	23,648,211	GMO Emerging Markets Fund, Class VI		252,562,889
	33,998,932	GMO International Equity Fund, Class IV		835,693,759
	29,823,082	GMO U.S. Equity Allocation Fund, Class VI		551,727,017
		TOTAL MUTUAL FUNDS (COST $2,219,546,622)		2,414,844,500
		DEBT OBLIGATIONS — 0.0%
		Asset-Backed Securities — 0.0%
	543,198	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.46%, due 05/28/39		228,143
	7,776	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, 1 mo. LIBOR + .22%, 0.38%, due 11/25/35 ¿		7,698
		Total Asset-Backed Securities		235,841
		TOTAL DEBT OBLIGATIONS (COST $443,897)		235,841
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	272,637	State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (a)		272,637
		TOTAL SHORT-TERM INVESTMENTS (COST $272,637)		272,637
		TOTAL INVESTMENTS — 100.0% (Cost $2,220,263,156)		2,415,352,978
		Other Assets and Liabilities (net) — (0.0%)		(27,667	)
		TOTAL NET ASSETS — 100.0%		$2,415,325,311

Notes to Schedule of Investments:

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

LIBOR - London Interbank Offered Rate

¿ These securities are primarily backed by subprime mortgages.

(a) The rate disclosed is the 7 day net yield as of November 30, 2014. Note: Yield rounds to 0.00%.

GMO Systematic Global Macro Opportunity Fund (formerly GMO Alternative Asset Opportunity Fund)

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 37.8%
		Affiliated Issuers — 37.8%
	113,003	GMO Debt Opportunities Fund, Class VI		2,826,202
	21,823,803	GMO U.S. Treasury Fund		545,595,080
		TOTAL MUTUAL FUNDS (COST $548,671,426)		548,421,282
		SHORT-TERM INVESTMENTS — 61.3%
		Money Market Funds — 7.7%
	21,242,506	SSgA USD Liquidity Fund – Class S2 Shares (a)		21,242,506
	90,323,754	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (b)		90,323,754
		Total Money Market Funds		111,566,260
		U.S. Government — 53.6%
	75,000,000	U.S. Treasury Bill, 0.02%, due 12/04/14 (a) (c)		74,999,850
	50,000,000	U.S. Treasury Bill, 0.01%, due 01/08/15 (a) (c)		49,999,350
	91,000,000	U.S. Treasury Bill, 0.02%, due 01/15/15 (a) (c)		90,998,271
	65,000,000	U.S. Treasury Bill, 0.01%, due 02/26/15 (c) (d)		64,997,660

Shares / Par Value ($)		Description	Value ($)
		U.S. Government — continued
	8,000,000	U.S. Treasury Bill, 0.03%, due 03/12/15 (a) (c)		7,999,384
	220,000,000	U.S. Treasury Bill, 0.03%, due 03/19/15 (a) (c)		219,980,200
	150,000,000	U.S. Treasury Bill, 0.05%, due 04/02/15 (a) (c)		149,977,050
	70,000,000	U.S. Treasury Bill, 0.06%, due 04/23/15 (a) (c)		69,983,340
	5,000,000	U.S. Treasury Bill, 0.06%, due 04/30/15 (a) (c)		4,998,855
	40,000,000	U.S. Treasury Bill, 0.07%, due 05/21/15 (a) (c)		39,986,680
	4,000,000	U.S. Treasury Bill, 0.08%, due 05/28/15 (a) (c)		3,998,516
		Total U.S. Government		777,919,156
		TOTAL SHORT-TERM INVESTMENTS (COST $889,474,609)		889,485,416
		TOTAL INVESTMENTS — 99.1% (Cost $1,438,146,035)		1,437,906,698
		Other Assets and Liabilities (net) — 0.9%		13,031,240
		TOTAL NET ASSETS — 100.0%		$1,450,937,938

A summary of outstanding financial instruments at November 30, 2014 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
02/06/2015	CSI		AUD	66,000,000		USD	57,062,280	$	1,140,979
02/06/2015	MSCI		AUD	3,000,000		USD	2,567,778		25,900
02/06/2015	UBS		AUD	99,000,000		USD	85,545,900		1,663,948
02/06/2015	JPM		CAD	80,500,000		USD	71,577,824		1,313,438
01/14/2015	BCLY		EUR	81,100,000		USD	101,180,117		240,845
01/14/2015	CSI		EUR	59,000,000		USD	73,741,445		308,436
01/14/2015	DB		EUR	19,000,000		USD	23,732,767		84,849
01/14/2015	JPM		EUR	43,000,000		USD	53,663,312		144,339
01/14/2015	MSCI		EUR	29,000,000		USD	36,223,194		129,003
01/14/2015	JPM		GBP	29,000,000		USD	46,186,879		842,672
01/14/2015	MSCI		GBP	29,000,000		USD	46,182,384		838,177
01/23/2015	CSI		GBP	10,000,000		USD	15,636,000		1,170
01/23/2015	DB		GBP	9,000,000		USD	14,189,310		117,963
01/23/2015	JPM		GBP	9,000,000		USD	14,111,460		40,113
01/23/2015	MSCI		GBP	10,000,000		USD	15,639,300		4,470
								$	6,896,302

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
2,043	FTSE 100	December 2014	$	214,709,563	$	(1,003,885	)
231	Hang Seng	December 2014		35,662,042		46,893
2,132	Mini MSCI	December 2014		106,418,780		(5,624,395	)
290	MSCI Singapore	December 2014		16,773,051		(358	)
1,230	MSCI Taiwan	December 2014		42,268,645		351,419
1,291	S&P 500 E-Mini Index	December 2014		133,379,665		5,782,745
1,013	Soybean (a)	January 2015		51,460,400		3,594,505
4,859	U.S. Treasury Note 10 Yr. (CBT)	March 2015		617,320,766		4,249,918
			$	1,217,992,912	$	7,396,842

GMO Systematic Global Macro Opportunity Fund (formerly GMO Alternative Asset Opportunity Fund)

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Sales
3,123	Corn (a)	March 2015	$	60,703,313	$	(292,071	)
166	Crude Oil (a)	January 2015		10,980,900		1,685,180
600	Gold 100 OZ (a)	February 2015		70,530,000		(703,332	)
387	Japanese Government Bond 10 Yr. (TSE)	December 2014		479,094,716		(3,305,977	)
283	Silver (a)	March 2015		22,011,740		244,583
187	SPI 200	December 2014		21,188,065		207,880
			$	664,508,734	$	(2,163,737	)

+ Buys - Fund is long the underlying asset to the contract.

Sales - Fund is short the underlying asset to the contract.

As of November 30, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, 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 Systematic Global Macro Opportunity Fund (formerly GMO Alternative Asset Opportunity Fund).

(b) The rate disclosed is the 7 day net yield as of November 30, 2014. 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/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any.

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

CSI - Credit Suisse International

DB - Deutsche Bank AG

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

UBS - UBS Securities LLC

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

EUR - Euro

GBP - British Pound

USD - United States Dollar

As of November 30, 2014, 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		3,146,652,858		208,124,187		(80,892,408)		127,231,779
Consolidated Benchmark-Free Allocation Fund		20,003,828,483		701,788,949		(481,669,968)		220,118,981
Benchmark-Free Fund		4,846,839,912		143,692,678		(167,950,486)		(24,257,808)
Global Asset Allocation Fund		5,093,976,238		171,782,263		(46,802,763)		124,979,500
Global Developed Equity Allocation Fund		1,602,827,391		116,647,620		—		116,647,620
Global Equity Allocation Fund		3,868,465,109		113,803,115		(33,482,367)		80,320,748
International Developed Equity Allocation Fund		1,130,716,225		—		(7,671,564)		(7,671,564)
International Equity Allocation Fund		1,558,622,156		62,372,064		(19,781,407)		42,590,657
Consolidated Special Opportunities Fund		729,768,819		20,004,296		(24,316,126)		(4,311,830)
Strategic Opportunities Allocation Fund		2,233,795,105		181,770,862		(212,989)		181,557,873
Consolidated Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund)		1,433,911,920		16,592,244		(12,597,466)		3,994,778

Investments in affiliated issuers

The Funds may make investments in other GMO Trust funds (“underlying funds”). The Schedule of Investments of the underlying funds should be read in conjunction with the Funds’ Schedule of Investments.

A summary of the Funds’ transactions in the shares of other funds of the Trust during the period ended November 30, 2014 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Value, end of period
Consolidated Benchmark-Free Allocation Fund
GMO Alpha Only Fund, Class IV	$	2,059,932,497	$	1,131,058,908	$	1,093,795,040	$	—	$	—	$	2,050,191,527
GMO Debt Opportunities Fund, Class VI		809,249,532		91,543,419		83,580,921		—		—		844,796,337
GMO Emerging Country Debt Fund, Class IV		521,745,697		169,799,598		—		21,966,821		—		712,384,241
GMO Special Opportunities Fund, Class VI		—		530,551,169		—		—		—		525,301,946
GMO Systematic Global Macro Opportunity Fund, Class III**		1,174,026,482		79,756,650		255,903,387		—		—		1,022,573,440
Totals	$	4,564,954,208	$	2,002,709,744	$	1,433,279,348	$	21,966,821	$	—	$	5,155,247,491
Benchmark-Free Fund
GMO Alpha Only Fund, Class IV	$	208,616,077	$	159,778,290	$	277,560,331	$	—	$	—	$	86,594,406
GMO Asset Allocation Bond Fund, Class VI		671,093,221		684,067,083		91,224,523		513,164		—		1,323,034,187
GMO Currency Hedged International Equity Fund, Class III		1,016,093,779		14,121,506		1,022,092,100		668,668		13,452,838		—
GMO Debt Opportunities Fund, Class VI		178,380,316		32,441,763		10,036,502		—		—		206,991,884
GMO Emerging Country Debt Fund, Class IV		194,550,630		12,289,549		8,802,145		7,275,035		—		206,585,866
GMO Emerging Markets Fund, Class VI		515,889,087		50,544,181		88,568,686		—		—		506,207,673
GMO International Equity Fund, Class IV		—		1,209,052,948		29,755,028		18,203,877		—		1,090,065,397
GMO Risk Premium Fund, Class VI		274,986,361		257,014,034		417,240,221		—		7,400,050		121,669,061
GMO Special Opportunities Fund, Class VI		—		160,623,202		768,798		—		—		157,555,612
GMO Special Situations Fund, Class VI		24,336,040		—		24,326,733		—		—		—
GMO Strategic Fixed Income Fund, Class VI		87,645,942		275,031		89,297,149		275,031		—		—
GMO Systematic Global Macro Opportunity Fund, Class III**		192,414,859		22,271,052		6,795,679		—		—		213,064,591
GMO U.S. Equity Allocation Fund, Class VI***		942,031,777		87,547,536		260,629,416		1,916,641		20,131,801		825,420,090
GMO U.S. Treasury Fund		61,607,857		215,027,939		191,822,261		28,170		6,094		84,813,535
Totals	$	4,367,645,946	$	2,905,054,114	$	2,518,919,572	$	28,880,586	$	40,990,783	$	4,822,002,302

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Value, end of period
Global Asset Allocation Fund
GMO Alpha Only Fund, Class IV	$	501,775,894	$	240,892,056	$	368,485,539	$	—	$	—	$	364,168,755
GMO Asset Allocation Bond Fund, Class VI		669,281,486		545,426,274		130,599,755		465,488		—		1,138,230,002
GMO Debt Opportunities Fund, Class VI		203,208,896		80,761,523		61,470,783		—		—		229,525,299
GMO Emerging Country Debt Fund, Class IV		190,722,157		12,494,273		29,786,179		7,098,147		—		182,164,829
GMO Emerging Markets Fund, Class VI		446,494,991		18,915,392		52,250,848		—		—		439,170,843
GMO International Equity Fund, Class IV		1,465,521,943		173,169,433		114,129,920		24,037,861		—		1,423,595,482
GMO Risk Premium Fund, Class VI		130,663,795		139,298,535		138,912,840		—		4,205,705		131,269,302
GMO Special Situations Fund, Class VI		26,425,429		—		26,421,509		—		—		—
GMO Strategic Fixed Income Fund, Class VI		241,443,599		750,927		245,965,521		750,927		—		—
GMO Systematic Global Macro Opportunity Fund, Class III**		283,699,150		2,358,173		133,871,781		—		—		156,372,340
GMO U.S. Equity Allocation Fund, Class VI***		1,101,695,599		55,625,720		329,245,161		2,151,037		22,593,825		894,016,528
GMO U.S. Treasury Fund		92,637,902		250,510,758		85,405,992		58,122		5,859		257,742,667
Totals	$	5,353,570,841	$	1,520,203,064	$	1,716,545,828	$	34,561,582	$	26,805,389	$	5,216,256,047
Global Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	155,716,435	$	20,460,446	$	16,365,085	$	—	$	—	$	168,279,047
GMO International Equity Fund, Class IV		776,904,002		227,713,598		30,453,499		15,334,629		—		903,454,691
GMO U.S. Equity Allocation Fund, Class VI***		658,441,285		87,893,238		146,910,246		1,409,647		14,806,489		647,185,080
Totals	$	1,591,061,722	$	336,067,282	$	193,728,830	$	16,744,276	$	14,806,489	$	1,718,918,818
Global Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	382,740,582	$	170,100,829	$	48,915,229	$	—	$	—	$	520,967,753
GMO International Equity Fund, Class IV		1,385,658,404		796,494,860		38,153,406		28,349,200		—		2,000,210,214
GMO U.S. Equity Allocation Fund, Class VI***		1,178,165,377		367,079,217		212,254,198		2,794,373		29,351,216		1,426,343,520
Totals	$	2,946,564,363	$	1,333,674,906	$	299,322,833	$	31,143,573	$	29,351,216	$	3,947,521,487
International Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	112,686,463	$	14,885,133	$	22,253,091	$	—	$	—	$	111,697,748
GMO International Equity Fund, Class IV		1,037,781,904		100,495,894		50,428,509		18,068,524		—		1,010,930,155
Totals	$	1,150,468,367	$	115,381,027	$	72,681,600	$	18,068,524	$	—	$	1,122,627,903
International Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	408,776,259	$	18,591,974	$	82,912,211	$	—	$	—	$	368,286,060
GMO International Equity Fund, Class IV		1,381,555,377		80,843,870		130,276,871		23,050,220		—		1,232,389,513
Totals	$	1,790,331,636	$	99,435,844	$	213,189,082	$	23,050,220	$	—	$	1,600,675,573
Strategic Opportunities Allocation Fund
GMO Asset Allocation Bond Fund, Class VI	$	371,271,791	$	226,352,269	$	52,397,045	$	261,428	$	—	$	573,679,977
GMO Debt Opportunities Fund, Class VI		90,854,965		6,926,208		5,995,295		—		—		94,752,765
GMO Emerging Country Debt Fund, Class IV		106,134,175		4,167,773		8,570,644		3,834,823		—		106,428,093
GMO Emerging Markets Fund, Class VI		270,476,553		12,177,608		46,312,374		—		—		252,562,889
GMO International Equity Fund, Class IV		869,771,136		75,161,891		51,389,925		13,988,391		—		835,693,759
GMO Risk Premium Fund, Class VI		75,787,760		65,245,180		144,292,096		—		2,333,512		—
GMO Strategic Fixed Income Fund, Class VI		20,522,948		64,400		20,909,590		64,400		—		—
GMO U.S. Equity Allocation Fund, Class VI***		648,092,634		37,600,722		172,250,107		1,269,713		13,336,663		551,727,017
GMO U.S. Treasury Fund		—		44,550,165		44,550,165		3,354		—		—
Totals	$	2,452,911,962	$	472,246,216	$	546,667,241	$	19,422,109	$	15,670,175	$	2,414,844,500

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Value, end of period
Consolidated Systematic Global Macro Opportunity Fund**
GMO Debt Opportunities Fund, Class VI	$	2,736,930	$	—	$	—	$	—	$	—	$	2,826,202
GMO U.S. Treasury Fund		667,339,196		235,255,884		357,000,000		225,785		30,099		545,595,080
Totals	$	670,076,126	$	235,255,884	$	357,000,000	$	225,785	$	30,099	$	548,421,282

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2014 through November 30, 2014. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2015.

** Formerly Alternative Asset Opportunity Fund.

*** Formerly U.S. Core Equity Fund.

Investments in other affiliated issuers

An affiliated company is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended November 30, 2014 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Value, end of period
Consolidated Special Opportunities Fund
Vectrus, Inc.	$	—	$	18,032,678	$	3,534,724	$	—	$	20,608,775
Jagercor Energy Corp		—		317,181		—		—		314,713
Totals	$	—	$	18,349,859	$	3,534,724	$	—	$	20,923,488

Basis of presentation

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

Basis of presentation and principles of consolidation: Benchmark-Free Allocation Fund, Special Opportunities Fund and Systematic Global Macro Opportunity Fund

Benchmark-Free Allocation Fund, Special Opportunities Fund and Systematic Global Macro Opportunity Fund include the accounts of their wholly-owned investments in Implementation Fund, Special Opportunities SPC Ltd. and Alternative Asset SPC Ltd. (each a “wholly owned subsidiary”), respectively, and the accompanying schedules of investments have been consolidated for those accounts. The consolidated schedules of investments include all of the assets and liabilities of each wholly-owned subsidiary.

Portfolio valuation

Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. Direct investments held by the Funds and underlying funds are valued as follows: Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) 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 price quoted (which may be based on a model) 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 fixed income securities) 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 of GMO Trust (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 November 30, 2014, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities 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 price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended 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 November 30, 2014. 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 each fixed income security based on the most recent quoted price supplied by a single pricing source chosen by GMO. Although GMO 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. GMO 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 confirm the security price used by the Funds and the underlying funds. Therefore, the existence of those alternative sources does 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.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third party pricing source in accordance with the market practice for that security. If an updated quote for a security is not available by the time that a 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, 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 or valued using prices for which no alternative pricing source was available. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of November 30, 2014 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  (Net)		Single source; No alternative pricing source was available
Alpha Only Fund		—		26%		—
Consolidated Benchmark-Free Allocation Fund		< 1%		25%		< 1%
Benchmark-Free Fund		< 1%		32%		< 1%
Global Asset Allocation Fund		< 1%		36%		< 1%
Global Developed Equity Allocation Fund		< 1%		59%		—
Global Equity Allocation Fund		< 1%		60%		—
International Developed Equity Allocation Fund		< 1%		95%		—
International Equity Allocation Fund		< 1%		94%		—
Consolidated Special Opportunities Fund		—		17%		2%
Strategic Opportunities Allocation Fund		< 1%		43%		< 1%
Consolidated Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund)		< 1%		< 1%		< 1%

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 table below). At November 30, 2014, Special Opportunities Fund held material Level 3 investments in trade claims. Special Opportunities Fund values these instruments using unadjusted prices supplied by a third-party pricing source as described in the “Portfolio valuation” section above. Other than as described in this paragraph, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at November 30, 2014.

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, 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 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; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives 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 relevant 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 November 30, 2014:

Description	Level 1		Level 2		Level 3		Total
Alpha Only Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	5,376,868	$	—	$	5,376,868
Austria		—		2,508,865		—		2,508,865
Belgium		—		6,182,670		—		6,182,670
Canada		7,501,816		—		—		7,501,816
Denmark		—		4,822,617		—		4,822,617
Finland		—		8,487,307		—		8,487,307
France		—		137,947,684		—		137,947,684
Germany		—		98,574,423		—		98,574,423
Hong Kong		—		8,147,813		—		8,147,813
Ireland		—		4,270,905		—		4,270,905
Israel		6,633,198		3,129,107		—		9,762,305
Italy		—		33,768,252		—		33,768,252
Japan		—		155,673,237		—		155,673,237
Netherlands		—		22,455,558		—		22,455,558
New Zealand		—		1,860,653		—		1,860,653
Norway		—		10,114,975		—		10,114,975
Portugal		—		2,335,445		—		2,335,445
Singapore		—		3,764,322		—		3,764,322
South Korea		—		29,755,734		—		29,755,734
Spain		—		40,666,061		6,887		40,672,948
Sweden		—		14,842,246		—		14,842,246
Switzerland		—		71,193,393		—		71,193,393
United Kingdom		—		185,174,366		—		185,174,366
United States		2,102,334,726		—		—		2,102,334,726
TOTAL COMMON STOCKS		2,116,469,740		851,052,501		6,887		2,967,529,128
Preferred Stocks
Germany		—		14,067,684		—		14,067,684
South Korea		—		4,213,817		—		4,213,817
TOTAL PREFERRED STOCKS		—		18,281,501		—		18,281,501
Rights/Warrants
Spain		546,955		—		—		546,955
TOTAL RIGHTS/WARRANTS		546,955		—		—		546,955
Short-Term Investments		287,527,053		—		—		287,527,053
Total Investments		2,404,543,748		869,334,002		6,887		3,273,884,637
Total	$	2,404,543,748	$	869,334,002	$	6,887	$	3,273,884,637

Description	Level 1			Level 2		Level 3			Total
Alpha Only Fund (continued)
Liability Valuation Inputs
Derivatives*
Futures Contracts
Equity Risk	$	(97,554,676	)	$	—	$	—		$	(97,554,676	)
Total	$	(97,554,676	)	$	—	$	—		$	(97,554,676	)
Consolidated Benchmark-Free Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	5,850,827	$	—		$	5,850,827
Austria		—			11,806,146		—			11,806,146
Belgium		—			28,545,788		—			28,545,788
Brazil		8,661,227			75,969,753		—			84,630,980
Canada		34,334,240			—		—			34,334,240
Chile		1,946,480			1,600,999		—			3,547,479
China		—			21,547,466		—			21,547,466
Cyprus		—			578,126		—			578,126
Czech Republic		—			18,047,355		—			18,047,355
Denmark		—			24,623,482		—			24,623,482
Egypt		—			6,700,806		—			6,700,806
Finland		—			37,075,006		—			37,075,006
France		—			559,516,136		—			559,516,136
Germany		—			493,366,075		—			493,366,075
Hong Kong		—			5,075,826		—			5,075,826
Hungary		—			6,360,405		—			6,360,405
India		1,523,895			129,857,036		—			131,380,931
Indonesia		1,654,990			23,053,783		—			24,708,773
Ireland		—			10,657,309		—			10,657,309
Israel		26,803,377			3,008,038		—			29,811,415
Italy		—			178,670,968		—			178,670,968
Japan		—			614,884,189		—			614,884,189
Malaysia		—			511,791		—			511,791
Mexico		16,215,269			—		—			16,215,269
Netherlands		90,300			40,327,122		0	**		40,417,422
New Zealand		—			1,818,962		—			1,818,962
Norway		—			49,398,193		—			49,398,193
Peru		967,384			—		—			967,384
Philippines		—			752,850		—			752,850
Poland		—			38,265,274		—			38,265,274
Portugal		—			10,881,467		—			10,881,467
Qatar		—			28,721		—			28,721
Russia		356,942			344,937,055		—			345,293,997
Singapore		—			3,918,703		—			3,918,703
South Africa		69,256			24,053,691		243			24,123,190
South Korea		1,575,787			375,392,637		—			376,968,424
Spain		4,379,948			219,585,679		—			223,965,627
Sri Lanka		—			65,098		—			65,098
Sweden		—			57,927,689		—			57,927,689
Switzerland		—			49,473,921		—			49,473,921
Taiwan		9,600,137			156,115,619		—			165,715,756
Thailand		—			40,999,090		—			40,999,090
Turkey		179,331			95,325,268		—			95,504,599
United Arab Emirates		—			1,656,218		—			1,656,218
United Kingdom		—			421,706,259		—			421,706,259
United States		4,771,548,057			—		—			4,771,548,057
TOTAL COMMON STOCKS		4,879,906,620			4,189,936,826		243			9,069,843,689
Preferred Stocks
Brazil		30,908,223			67,308,980		—			98,217,203
Germany		—			89,363,502		—			89,363,502
Russia		—			44,500,588		—			44,500,588
South Korea		—			40,233,351		—			40,233,351
TOTAL PREFERRED STOCKS		30,908,223			241,406,421		—			272,314,644

Description	Level 1			Level 2			Level 3		Total
Consolidated Benchmark-Free Allocation Fund (continued)
Asset Valuation Inputs (continued)
Rights/Warrants
South Korea	$	—		$	—		$	12,512	$	12,512
Spain		3,197,366			—			—		3,197,366
TOTAL RIGHTS/WARRANTS		3,197,366			—			12,512		3,209,878
Investment Funds
Thailand		—			73,243			—		73,243
TOTAL INVESTMENT FUNDS		—			73,243			—		73,243
Debt Obligations
Canada		—			—			28,270,500		28,270,500
United States		—			1,425,602,306			22,532,320		1,448,134,626
TOTAL DEBT OBLIGATIONS		—			1,425,602,306			50,802,820		1,476,405,126
Mutual Funds
United States		5,155,247,491			—			—		5,155,247,491
Total Mutual Funds		5,155,247,491			—			—		5,155,247,491
Options Purchased		—			134,591,584			—		134,591,584
Short-Term Investments		4,112,261,809			—			—		4,112,261,809
Total Investments		14,181,521,509			5,991,610,380			50,815,575		20,223,947,464
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—			78,667,766			—		78,667,766
Swap Contracts
Interest Rate Risk		—			68,794,159			—		68,794,159
Total	$	14,181,521,509		$	6,139,072,305		$	50,815,575	$	20,371,409,389
Liability Valuation Inputs
Common Stocks
Italy		—			(11,352,817	)		—		(11,352,817	)
United States		(753,491,728	)		—			—		(753,491,728	)
TOTAL COMMON STOCKS		(753,491,728	)		(11,352,817	)		—		(764,844,545	)
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—			(28,944,064	)		—		(28,944,064	)
Written Options
Foreign Currency Risk		—			(13,558,016	)		—		(13,558,016	)
Swap Contracts
Interest Rate Risk		—			(77,419,554	)		—		(77,419,554	)
Total	$	(753,491,728	)	$	(131,274,451	)	$	—	$	(884,766,179	)
Benchmark-Free Fund
Asset Valuation Inputs
Mutual Funds	$	4,822,002,302		$	—		$	—	$	4,822,002,302
Short-Term Investments		579,802			—			—		579,802
Total Investments		4,822,582,104			—			—		4,822,582,104
Total	$	4,822,582,104		$	—		$	—	$	4,822,582,104
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	5,216,256,047		$	—		$	—	$	5,216,256,047
Debt Obligations
Asset-Backed Securities		—			—			2,109,841		2,109,841
Short-Term Investments		589,850			—			—		589,850
Total Investments		5,216,845,897			—			2,109,841		5,218,955,738
Total	$	5,216,845,897		$	—		$	2,109,841	$	5,218,955,738

Description	Level 1		Level 2			Level 3		Total
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,718,918,818	$	—		$	—	$	1,718,918,818
Short-Term Investments		556,193		—			—		556,193
Total Investments		1,719,475,011		—			—		1,719,475,011
Total	$	1,719,475,011	$	—		$	—	$	1,719,475,011
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	3,947,521,487	$	—		$	—	$	3,947,521,487
Short-Term Investments		1,264,370		—			—		1,264,370
Total Investments		3,948,785,857		—			—		3,948,785,857
Total	$	3,948,785,857	$	—		$	—	$	3,948,785,857
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,122,627,903	$	—		$	—	$	1,122,627,903
Short-Term Investments		416,758		—			—		416,758
Total Investments		1,123,044,661		—			—		1,123,044,661
Total	$	1,123,044,661	$	—		$	—	$	1,123,044,661
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,600,675,573	$	—		$	—	$	1,600,675,573
Short-Term Investments		537,240		—			—		537,240
Total Investments		1,601,212,813		—			—		1,601,212,813
Total	$	1,601,212,813	$	—		$	—	$	1,601,212,813
Consolidated Special Opportunities Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	8,895,634	$	—		$	—	$	8,895,634
Canada		5,155,364		—			—		5,155,364
Italy		—		10,635,276			—		10,635,276
Norway		—		4,895,874			—		4,895,874
Romania		—		23,099,252			—		23,099,252
South Korea		—		11,996,356			—		11,996,356
United Kingdom		4,428,925		44,411,605			—		48,840,530
United States		228,427,742		—			—		228,427,742
TOTAL COMMON STOCKS		246,907,665		95,038,363			—		341,946,028
Preferred Stocks
Argentina		247,086		—			—		247,086
Greece		—		8,716,659			—		8,716,659
South Korea		—		25,283,321			—		25,283,321
United States		310,340		—			—		310,340
TOTAL PREFERRED STOCKS		557,426		33,999,980			—		34,557,406
Rights/Warrants
Canada		—		0	**		—		0	**
Greece		1,193,781		—			—		1,193,781
United States		7,233,650		—			—		7,233,650
TOTAL RIGHTS/WARRANTS		8,427,431		0	**		—		8,427,431
Investment Funds
Romania		—		37,712,457			—		37,712,457
TOTAL INVESTMENT FUNDS		—		37,712,457			—		37,712,457

Description	Level 1			Level 2			Level 3		Total
Consolidated Special Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations
Argentina	$	—		$	10,991,831		$	—	$	10,991,831
Iceland		—			—			27,673,788		27,673,788
Luxembourg		—			3,859,137			—		3,859,137
Portugal		—			19,807,359			—		19,807,359
Puerto Rico		—			20,483,817			—		20,483,817
Spain		—			—			7,773,761		7,773,761
United States		—			875			—		875
TOTAL DEBT OBLIGATIONS		—			55,143,019			35,447,549		90,590,568
Options Purchased
Singapore		—			2,006,133			—		2,006,133
United Kingdom		379,400			—			—		379,400
United States		987,700			—			—		987,700
TOTAL OPTIONS PURCHASED		1,367,100			2,006,133			—		3,373,233
Total Short-Investments		208,849,866			—			—		208,849,866
Total Investments		466,109,488			223,899,952			35,447,549		725,456,989
Derivatives*
Futures Contracts
Physical Commodity Contract Risk		2,280,724			—			—		2,280,724
Swap Contracts
Credit Risk		—			594,466			—		594,466
Total	$	468,390,212		$	224,494,418		$	35,447,549	$	728,332,179
Liability Valuation Inputs
Derivatives*
Written Options
Equity Risk		(2,209,400	)		—			—		(2,209,400	)
Swap Contracts
Credit Risk		—			(3,596,945	)		—		(3,596,945	)
Total	$	(2,209,400	)	$	(3,596,945	)	$	—	$	(5,806,345	)
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,414,844,500		$	—		$	—	$	2,414,844,500
Debt Obligations
Asset-Backed Securities		—			—			235,841		235,841
Short-Term Investments		272,637			—			—		272,637
Total Investments		2,415,117,137			—			235,841		2,415,352,978
Total	$	2,415,117,137		$	—		$	235,841	$	2,415,352,978
Consolidated Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund)
Asset Valuation Inputs
Mutual Funds	$	548,421,282		$	—		$	—	$	548,421,282
Short-Term Investments		889,485,416			—			—		889,485,416
Total Investments		1,437,906,698			—			—		1,437,906,698
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—			6,896,302			—		6,896,302
Futures Contracts
Physical Commodity Contract Risk		5,524,268			—			—		5,524,268
Equity Risk		5,782,745			606,192			—		6,388,937
Interest Rate Risk		4,249,918			—			—		4,249,918
Total	$	1,453,463,629		$	7,502,494		$	—	$	1,460,966,123
Liability Valuation Inputs
Derivatives*
Futures Contracts
Physical Commodity Contract Risk		(995,403	)		—			—		(995,403	)
Equity Risk		(5,624,395	)		(1,004,243	)		—		(6,628,638	)
Interest Rate Risk		(3,305,977	)		—			—		(3,305,977	)
Total	$	(9,925,775	)	$	(1,004,243	)	$	—	$	(10,930,018	)

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 value of zero at November 30, 2014.

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’ portfolio valuation notes.

For all Funds, for the period ended November 30, 2014, 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, 2014		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)		Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3*			Transfer out of Level 3*		Balances as of November 30, 2014		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2014
Alpha Only Fund
Common Stocks
Spain	$	—	$	6,260	$	—		$	—	$	—	$	627		$	—		$	—	$	6,887	$	627
Total	$	—	$	6,260	$	—		$	—	$	—	$	627		$	—		$	—	$	6,887	$	627
Consolidated Benchmark-Free Allocation Fund
Common Stocks
South Africa	$	—	$	—	$	—		$	—	$	—	$	—		$	243	**	$	—		243	$	—
Rights and Warrants
South Korea		—		—		—			—		—		12,512			—			—		12,512		12,512
Debt Obligations
Asset-Backed Securities
United States		516,099		—		—			29,203		—		3,798			—			—		549,100		3,798
Bank Loans
United States		1,145,624		49,653,750		(1,157,717	)		8,516		6,372		597,175			—			—		50,253,720		596,389
Total	$	1,661,723	$	49,653,750	$	(1,157,717	)	$	37,719	$	6,372	$	613,485		$	243		$	—	$	50,815,575	$	612,699
Global Asset Allocation Fund
Debt Obligations
Asset-Backed Securities	$	9,201,717	$	225	$	(7,566,023	)	$	37,118	$	375,163	$	(78,741	)	$	140,382	**	$	—	$	2,109,841	$	(66,568	)
U.S. Government Agency		7,475		—		(7,488	)		12		—		1			—			—		—		—
Total	$	9,209,192	$	225	$	(7,573,511	)#	$	37,130	$	375,163	$	(78,740	)	$	140,382		$	—	$	2,109,841	$	(66,568	)
Consolidated Special Opportunities Fund
Debt Obligations
Bank Loans	$	—	$	8,658,939	$	—		$	—	$	—	$	(885,178	)	$	—		$	—	$	7,773,761	$	(885,178	)
Trade Claims		—		28,870,323		—			—		—		(1,196,535	)		—			—	$	27,673,788		(1,196,535	)
Total	$	—	$	37,529,262	$	—		$	—	$	—	$	(2,081,713	)	$	—		$	—	$	35,447,549	$	(2,081,713	)
Strategic Opportunities Allocation Fund
Debt Obligations
Asset-Backed Securities	$	2,963,366	$	63	$	(2,788,521	)	$	71,620	$	419,695	$	(430,382	)	$	—		$	—	$	235,841	$	(4,753	)
Total	$	2,963,366	$	63	$	(2,788,521	)##	$	71,620	$	419,695	$	(430,382	)	$	—		$	—	$	235,841	$	(4,753	)

* 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 were due to a change in observable and /or unobservable inputs.

# Includes $683,691 of proceeds received from principal paydowns.

## Includes $184,871 of proceeds received from principal paydowns.

The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Funds’ exposure, (based on each Funds’ net assets) as of November 30, 2014 were as follows:

Fund Name	Level 3 securities and derivatives
Alpha Only Fund		< 1%
Consolidated Benchmark-Free Allocation Fund		4%
Benchmark-Free Fund		4%
Global Asset Allocation Fund		4%
Global Developed Equity Allocation Fund		< 1%
Global Equity Allocation Fund		< 1%
International Developed Equity Allocation Fund		< 1%
International Equity Allocation Fund		< 1%
Consolidated Special Opportunities Fund		5%
Strategic Opportunities Allocation Fund		4%
Consolidated Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund)		< 1%

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 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 assignments and participations

Certain 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 from lenders, it acquires direct rights against the borrower on the loan. Loan assignments and participations 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 with banks and broker-dealers. 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.

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. 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

Certain 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 accrues inflation into the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The market price 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 generally 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 is generally included in the Fund’s gross income 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.

Short sales

Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Short sales outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Trade claims

Certain Funds may purchase trade claims against companies, including companies in bankruptcy or reorganization proceedings. Trade claims generally include claims of suppliers for goods delivered and not paid, claims for unpaid services rendered, claims for contract rejection damages and claims related to litigation. Trade claims are illiquid instruments which generally do not pay interest and there can be no guarantee that the debtor will ever be able to satisfy the obligation on the trade claim. Such claims are typically unsecured and may be subordinated to other unsecured obligations of a debtor, and generally are subject to defenses of the debtor with respect to the underlying transaction giving rise to the trade claim. Trade claims outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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	Benchmark-Free Allocation Fund	Benchmark Free Fund	Global Asset Allocation Fund	Global Developed Equity Allocation Fund	Global Equity Allocation Fund	International Developed Equity Allocation Fund	International Equity Allocation Fund	Special Opportunities Fund	Strategic Opportunities Allocation Fund	Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund)
Market Risk – Equities	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
Credit Risk	X	X	X	X	X	X	X	X	X	X	X
Illiquidity Risk	X	X	X	X	X	X	X	X	X	X	X
Smaller Company Risk	X	X	X	X	X	X	X	X		X
Derivatives Risk	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
Currency Risk	X	X	X	X	X	X	X	X	X	X	X
Focused Investment Risk	X	X	X	X	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X	X	X	X	X	X	X
Counterparty Risk	X	X	X	X	X	X	X	X	X	X	X
Commodities Risk		X	X	X					X	X	X
Merger Arbitrage Risk		X		X						X
Market Disruption and Geopolitical Risk	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
Management and Operational Risk	X	X	X	X	X	X	X	X	X	X	X
Fund of Funds Risk	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

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 GMO 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 wholly-owned subsidiaries, other GMO Funds and other investment companies is exposed to the risks to which the underlying funds in which it invests are exposed as well as the risk that investments made through underlying Funds will not perform as expected. 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 its underlying Funds.

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

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

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 performance by the company’s management 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. If a Fund purchases equities for less than their value as determined by GMO, the Fund runs the risk that the market prices of these equities will not appreciate or will decline for a variety of reasons, one of which may be GMO’s overestimation 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, and the market price of the Fund’s investment may 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 “Illiquidity 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.

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”)) 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. 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. 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.

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 GMO waives or reduces its management fees.

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

Fixed income markets may, in response to governmental intervention, economic or market developments, or other factors, experience periods of high volatility and/or reduced liquidity. During those periods, a Fund could also experience high levels of shareholder redemptions, and may have to sell securities when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent periods, central banks and governmental financial regulators, including the U.S. Federal Reserve, have maintained

historically low interest rates by purchasing bonds. Steps to curtail or “taper” such activities and other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) could have a material adverse effect on the Funds.

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 of severe credit downgrades, illiquidity, and defaults to a greater extent than many other types of fixed income investments. 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., the amount of underlying assets or other support available 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 GMO 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 expose a Fund to significantly greater declines in value due to defaults because 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, and the market price of the Fund’s investment may 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.

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), whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the life of a fixed income security. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or

otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s willingness or ability to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.

In many 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 the investment’s rating will be downgraded.

U.S. government securities 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 repayment by the United States of 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 under “Market Risk — Asset-Backed Securities” above.

The obligations of issuers also may be 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 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. Investments in distressed or defaulted instruments generally are considered speculative and may involve substantial risks not normally associated with investments in healthier companies, including adverse business, financial or economic conditions that can lead to defaulted payments and insolvency proceedings. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and a Fund may incur additional expenses to seek recovery. If GMO’s evaluation of the eventual recovery value of a distressed or defaulted instrument should prove incorrect, a Fund may lose a substantial portion or all of its investment or it may be required to accept cash or instruments with a value less than the Fund’s original investment. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the sovereign issuer.

• ILLIQUIDITY RISK. Illiquidity 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 closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity 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). To the extent a Fund’s investments include asset-backed securities, distressed or defaulted instruments, emerging country debt securities, securities of companies with smaller market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. 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, may have inexperienced managers 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. Market risk and illiquidity 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 changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other over-the-counter (“OTC”) contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, 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 still 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 GMO 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., foreign 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 will typically not receive the collateral for one or more days after the collateral is requested by the Fund.

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, illiquidity 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, GMO 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 illiquidity risk (see “Illiquidity 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.

There is little case or other law interpreting the terms of most derivatives or characterizing their tax treatment. A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders.

Cleared Derivatives. The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. Because these requirements are new and evolving (and some 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 hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds 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 some 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 positions than for bilateral derivatives positions. Also, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member generally can require termination of an existing cleared derivatives position 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 positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions 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 positions 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 GMO 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 position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and 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. While futures contracts entail similar risks, the risks likely are more pronounced for cleared derivatives due to their more limited liquidity and market history.

Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility. If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), it is possible the Fund could not execute all components of the package on the swap execution facility. In that case, the Fund would need to trade certain components of the package on the swap execution facility and other components of the package in another manner, which could subject the Fund to the risk that certain of the components of the package would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.

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 rules and regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new rules and 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 they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Options. Some Funds are permitted to write options. The market price of written options 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 the option’s expiration, the writer of an American-style option has no control over 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 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, GMO, and other funds advised by GMO 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-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.

Special tax rules apply to a Fund’s transactions in options, which could increase the amount of taxes payable by shareholders. In particular, a 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 at ordinary income tax rates.

Short Investment Exposure. Some Funds may make short sales as part of their investment programs in an attempt to increase their returns or for hedging purposes. Many Funds may make short sales “against the box,” meaning the Fund may make short sales where the Fund owns, or has the right to acquire at no added cost, securities or currencies identical to those sold short. Short sales expose a 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.

In addition, some Funds are permitted to engage in short sales of securities or currencies, including securities or currencies that they do not own. To do so, a 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. 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. A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency. Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is

theoretically unlimited. A 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 or takes “short” derivative positions.

Ÿ 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. Non-U.S. securities markets often include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets 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. The reporting, accounting, custody and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities 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 and/or its shareholders 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 or other disposition of those investments. A Fund may seek to collect a refund of taxes paid, but its efforts 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, particularly in light of the costs involved, it may decide not to pursue a refund, even if eligible. The outcome of a Fund’s pursuit of a refund is not predictable, and potential refunds generally are not reflected in the net asset value of a Fund.

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, including the imposition of economic sanctions.

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 United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign 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 GMO’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 GMO’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 foreign 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. 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 GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.

Derivative transactions in foreign 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 that are subject to the same or similar risk factors or whose security prices have strong positive correlations (e.g., different industries within broad sectors, such as technology or financial services), or in securities from issuers that are subject to the same or similar risk factors, 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, 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 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 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 may not 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 still have contractual remedies (whether or not the obligation is collateralized), 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 has been and may continue to 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 positions 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 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 the funds held in the omnibus account for the 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 Commodity 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.

• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the net asset value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. The value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives Risk” above for a discussion of certain specific risks of a Fund’s derivatives investments, including commodity-related derivatives.

• MERGER ARBITRAGE RISK. Some Funds may engage in merger arbitrage transactions, where a Fund will purchase securities at prices below GMO’s anticipated value of the cash, securities or other consideration to be paid or exchanged for such securities upon successful completion of a proposed merger, exchange offer, tender offer, or other similar transaction. Such purchase price may be substantially in excess of the market price of the securities prior to the announcement of the merger, exchange offer, tender offer, or other similar transaction.

If a Fund purchases securities in anticipation of a proposed merger, exchange offer, tender offer, or other similar transaction, and that transaction later appears unlikely to be consummated or in fact is not consummated or is delayed, the market price of the security purchased by the Fund may decline sharply and result in losses to the Fund if such securities are sold, transferred or exchanged for securities or cash, the value of which is less than the purchase price. There is typically asymmetry in the risk/reward payout of merger arbitrage strategies — the losses that can occur in the event of deal break-ups can far exceed the gains to be had if deals close successfully. The consummation of mergers, exchange offers, tender offers, and similar transactions can be prevented or delayed by a variety of factors, including regulatory and antitrust restrictions, political motivations, industry weakness, stock specific events, failed financings, and general market declines.

Merger arbitrage strategies depend for success on the overall volume of merger activity, which has historically been cyclical in nature. During periods when merger activity is low, it may be difficult or impossible to identify opportunities for profit or to identify a sufficient number of such opportunities to provide diversification among potential merger transactions. Merger arbitrage strategies are also subject to the risk of overall market movements. To the extent that a general increase or decline in equity market values affects the securities involved in a merger arbitrage position differently, the position may be exposed to loss.

In conjunction with merger arbitrage transactions, a Fund may make short sales of securities in an effort to maximize risk-adjusted returns. For example, when the terms of a proposed acquisition call for an exchange of securities, a Fund may sell short the securities of the acquiring company in order to protect against a decline in the market value of those securities prior to the acquisition’s completion. A Fund also may employ a variety of hedging strategies to protect against market fluctuations or other risks, and may use derivatives otherwise to gain, or reduce, long or short exposure to one or more asset classes or issuers.

At any given time, a Fund can become improperly hedged, which can lead to inadvertent market-related losses. Also, a Fund may not be able to hedge against market fluctuations or other risks, and market movements can result in losses to the Fund even if the proposed transaction is consummated. In addition, a Fund may sell short securities expected to be issued in a merger or exchange offer in anticipation of the short position being covered by delivery of such security when issued. If the merger or exchange offer is not consummated, the Fund may be forced to cover its short position by acquiring, converting, or exchanging securities to replace the borrowed securities at a time when the securities sold short have appreciated in value, thus resulting in a loss.

• 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. Terrorism in the United States and around the world 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 reduce 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, a default by the U.S. government or a downgrade of its credit rating 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 United States 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 United States 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 affect 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 a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.

• LARGE SHAREHOLDER RISK. If 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 by forcing the Fund to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may purchase or sell Fund shares. GMO Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by GMO 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) 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, have adverse tax consequences for shareholders. Additionally, in the case of Funds that are regulated investment companies for U.S. federal income tax purposes, they also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization. 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 GMO’s ability to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

For some Funds GMO uses quantitative analyses and models as part of its investment process. Any imperfections, errors, or limitations in those analyses and models could affect a Fund’s performance. 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 GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’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 GMO 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. GMO is not contractually liable to the Funds for losses associated with operational risk absent its 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.

With the increased use of technologies such as the Internet and the dependence on computer systems to perform necessary business functions, investment companies (such as the Funds) and their service providers (including GMO) may be prone to operational and information security risks resulting from cyber-attacks and/or other technological malfunctions. In general, cyber-attacks are deliberate, but unintentional events may have similar effects. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other affiliated or third-party service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, there are inherent limitations in such plans and systems including the possibility that certain risks have not been identified. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.

• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Funds that invest in shares of underlying Funds, including wholly-owned subsidiaries, other GMO Funds, closed-end funds, money market funds, ETFs and other investment companies, are exposed to the risk that the underlying Funds will not perform as expected.

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

The Funds also are indirectly exposed to all of the risks of an investment in the underlying Funds. Because some underlying Funds 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. In addition, ETFs often use derivatives to track the performance of the relevant index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed above.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”). This means they are allowed to invest in the securities of relatively few issuers and/or foreign 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 within the meaning of the 1940 Act:

• Alpha Only Fund

• Implementation Fund

• Special Opportunities Fund

• Systematic Global Macro Opportunity Fund

Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and that are taken in attempting to respond to adverse market, economic, political, or other conditions.

The Funds (other than Systematic Global Macro Opportunity Fund) normally do not take temporary defensive positions. Systematic Global Macro Opportunity Fund may, from time to time, take temporary defensive positions if deemed prudent by GMO. 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.

Derivative financial instruments

At November 30, 2014, only Alpha Only Fund, Implementation Fund (a wholly-owned subsidiary of Benchmark-Free Allocation Fund), Special Opportunities Fund and Systematic Global Macro Opportunity 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, Implementation Fund, Special Opportunities Fund and Systematic Global Macro Opportunity 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 indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

Use of Derivatives by Alpha Only Fund and Special Opportunities Fund

Alpha Only Fund’s investment program involves having both long and short investment exposures. Alpha Only Fund seeks to construct a portfolio in which it has long investment exposure to asset classes and sub-asset classes that it expects will outperform relative to the asset classes and sub-asset classes to which it has short investment exposure.

The Funds may use derivatives to gain long investment exposure to 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 GMO 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 the Fund holds a large proportion of stocks of companies in a particular sector and GMO 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 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 currencies in which their equities are traded.

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

Special Opportunities Fund may have investment exposures in excess of its net assets (i.e., it may be leveraged). Alpha Only Fund is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of its derivative positions, Alpha Only Fund will typically have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. Alpha Only Fund’s performance can depend substantially, if not primarily, on the performance of assets of indices underlying its derivatives even though it does not own those assets or indices.

A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.

Use of Derivatives by Implementation Fund (a wholly owned subsidiary of Benchmark-Free Allocation Fund)

The Fund may use derivatives to gain long investment exposure to 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 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 GMO 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 GMO 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 total notional 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 Systematic Global Macro Opportunity Fund

The Fund invests in a range of global equity, bond, currency, and commodity markets using exchange-traded futures and forward non-U.S. exchange contracts. 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 to gain long investment exposure to 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 GMO 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 GMO 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, GMO 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 currencies in which its equities are traded.

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 total notional 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.

*         *         *

Certain derivatives transactions that may be 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, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges 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 GMO 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 November 30, 2014, 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 Benchmark-Free   Allocation Fund*		Consolidated Special Opportunities   Fund**		Consolidated Systematic Global Macro   Opportunity Fund***
Forward currency contracts
Adjust currency exchange rate risk								X
Adjust exposure to foreign currencies		X		X				X
To hedge some or all of the currency exposure of the assets in which the Fund invests		X
To manage against anticipated currency exchange rate changes		X		X
Futures contracts
Adjust interest rate exposure				X				X
Adjust exposure to certain securities markets								X
Maintain the diversity and liquidity of the portfolio				X				X
Used as a substitute for direct investment						X		X
To hedge some or all of the broad market exposure of the assets in which the Fund invests		X
Options (Purchased)
Used option contracts as a substitute for direct equity investment				X
Used option contracts to achieve returns from the decline in an equity investment						X
Adjust currency exchange rate risk				X
Adjust exposure to foreign currencies				X
Adjust interest rate exposure				X

Type of Derivative and Objective for Use	Alpha   Only Fund		Consolidated Benchmark-Free   Allocation Fund*		Consolidated Special Opportunities   Fund**		Consolidated Systematic Global Macro   Opportunity Fund***
Options (Written)
Used option contracts as a substitute for direct equity investment				X		X
Adjust currency exchange rate risk				X
Adjust exposure to foreign currencies				X
Swap contracts
Adjust interest rate exposure				X
To achieve returns comparable to holding a direct equity						X
Achieve exposure to a reference entity’s credit						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		X		X

* Derivatives are held by Benchmark-Free Allocation Fund’s wholly-owned subsidiary.

** Certain derivatives are held by Special Opportunities Fund’s wholly-owned subsidiary.

*** Certain derivatives are held by Systematic Global Macro Opportunity 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 price 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. 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, if any, 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.

For the period ended November 30, 2014, investment activity in options contracts written by the Funds was 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		—			9,905		$	11,507,469			—		—		$	—
Options written		142,360,000			58,520			87,057,245			420,661,677		1,400			16,434,043
Options bought back		(142,360,000	)		(36,280	)		(58,342,261	)		—		(1,400	)		(2,221,163	)
Options expired		—			(32,145	)		(40,222,453	)		—		—			—
Options exercised		—			—			—			—		—			—
Outstanding, end of period		—			—		$	—			420,661,677		—		$	14,212,880
Consolidated Special Opportunities Fund
Outstanding, beginning of period		—			—		$	—			—		—		$	—
Options written		—			4,400			1,288,659			—		2,280			1,098,624
Options bought back		—			—			—			—		—			—
Options expired		—			—			—			—		—			—
Options exercised		—			—			—			—		—			—
Outstanding, end of period		—			4,400		$	1,288,659			—		2,280		$	1,098,624

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 market of 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. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss.

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights 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). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

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.

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. 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.

The values assigned to swap contracts may differ significantly from the values 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 as of November 30, 2014:

	Credit Contracts			Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Alpha Only Fund
Assets:
Investments, at value (rights and/or warrants)	$	—		$	—		$	546,955		$	—		$	—		$	—	$	546,955
Total	$	—		$	—		$	546,955		$	—		$	—		$	—	$	546,955
Liabilities:
Unrealized Depreciation on Futures Contracts	$	—		$	—		$	(97,554,676	)	$	—		$	—		$	—	$	(97,554,676	)
Total	$	—		$	—		$	(97,554,676	)	$	—		$	—		$	—	$	(97,554,676	)
Consolidated Benchmark-Free Allocation Fund
Assets:
Investments, at value (rights and/or warrants)	$	—		$	—		$	3,209,878		$	—		$	—		$	—	$	3,209,878
Investments, at value (purchased options)		—			—			—			134,591,584			—			—		134,591,584
Unrealized Appreciation on Forward Currency Contracts		—			—			—			78,667,766			—			—		78,667,766
Unrealized Appreciation on Swap Contracts		—			—			—			—			68,794,159			—		68,794,159
Total	$	—		$	—		$	3,209,878		$	213,259,350		$	68,794,159		$	—	$	285,263,387
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(28,944,064	)	$	—		$	—	$	(28,944,064	)
Written Options, at value		—			—			—			(13,558,016	)		—			—		(13,558,016	)
Unrealized Depreciation on Swap Contracts		—			—			—			—			(77,419,554	)		—		(77,419,554	)
Total	$	—		$	—		$	—		$	(42,502,080	)	$	(77,419,554	)	$	—	$	(119,921,634	)
Consolidated Special Opportunities Fund
Assets:
Investments, at value (rights and/or warrants)	$	—		$	—		$	8,427,431		$	—		$	—		$	—	$	8,427,431
Investments, at value (purchased options)		—			—			3,373,233			—			—			—		3,373,233
Unrealized Appreciation on Future Contracts		—			2,280,724			—			—			—			—		2,280,724
Unrealized Appreciation on Swap Contracts		594,466			—			—			—			—			—		594,466
Total	$	594,466		$	2,280,724		$	11,800,664		$	—		$	—		$	—	$	14,675,854
Liabilities:
Written Options, at value	$	—		$	—		$	(2,209,400	)	$	—		$	—		$	—	$	(2,209,400	)
Unrealized Depreciation on Swap Contracts		(3,596,945	)		—			—			—			—			—		(3,596,945	)
Total	$	(3,596,945	)	$	—		$	(2,209,400	)	$	—		$	—		$	—	$	(5,806,345	)
Consolidated Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund)
Assets:
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	6,896,302		$	—		$	—	$	6,896,302
Unrealized Appreciation on Futures Contracts		—			5,524,268			6,388,937			—			4,249,918			—		16,163,123
Total	$	—		$	5,524,268		$	6,388,937		$	6,896,302		$	4,249,918		$	—	$	23,059,425
Liabilities:
Unrealized Depreciation on Futures Contracts	$	—		$	(995,403	)	$	(6,628,638	)	$	—		$	(3,305,977	)	$	—	$	(10,930,018	)
Total	$	—		$	(995,403	)	$	(6,628,638	)	$	—		$	(3,305,977	)	$	—	$	(10,930,018	)

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.

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 November 30, 2014:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)		Options ($)		Rights and/ or Warrants ($)
Alpha Only Fund		775,375,550		2,710,007,022		443,147,947		—		724,587
Consolidated Benchmark-Free Allocation Fund		1,857,582,582		1,482,646,818		5,337,507,621		1,022,344,758		1,900,712
Consolidated Special Opportunities Fund		—		6,739,110		71,436,305		551,272		2,159,646
Consolidated Systematic Global Macro Opportunity Fund (formerly Alternative Asset Opportunity Fund)		557,709,177		2,037,377,857		—		—		—

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

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 59.7%
		Australia — 0.0%
	716,799	Arrium Ltd		146,218
	33,591	Bank of Queensland Ltd		351,519
	115,080	BlueScope Steel Ltd *		483,890
	943,465	Goodman Fielder Ltd		518,577
	101,240	Investa Office Fund (REIT)		303,928
	191,990	Mirvac Group (REIT)		286,424
	464,159	Pacific Brands Ltd		204,680
	81,027	Stockland (REIT)		283,694
	174,364	TABCORP Holdings Ltd		605,695
	177,416	Tatts Group Ltd		514,216
	70,780	Woodside Petroleum Ltd		2,151,986
		Total Australia		5,850,827
		Austria — 0.1%
	182,553	OMV AG		5,284,601
	156,930	Voestalpine AG		6,521,545
		Total Austria		11,806,146
		Belgium — 0.2%
	9,702	Ageas		347,204
	309,046	Belgacom SA		12,209,311
	218,672	Delhaize Group		15,989,273
		Total Belgium		28,545,788
		Brazil — 0.6%
	216,300	Aes Tiete SA		1,349,319
	74,300	Banco Bradesco SA		1,105,440
	2,127,200	Banco do Brasil SA		24,590,709
	454,500	Banco Santander Brasil SA		2,622,609
	722,200	Brasil Brokers Participacoes SA		841,912
	642,400	Cia de Saneamento Basico do Estado de Sao Paulo ADR		4,753,760
	145,600	Cia de Saneamento de Minas Gerais-COPASA		1,385,126
	388,000	Companhia de Saneamento Basico do Estado de Sao Paulo		2,906,010
	643,300	Companhia Siderurgica Nacional SA		1,519,932
	559,600	Companhia Siderurgica Nacional SA Sponsored ADR		1,303,868
	103,800	Cosan Logistica SA *		140,432
	30,100	Cosan Ltd – Class A		275,415
	106,600	Cosan SA Industria e Comercio		1,325,824
	343,700	CPFL Energia SA		2,641,218
	86,700	CPFL Energia SA ADR		1,332,579
	288,700	Cyrela Brazil Realty SA Empreendimentos e Participacoes		1,401,374
	461,467	Duratex SA		1,509,526
	932,900	EDP-Energias Do Brasil SA		3,673,622
	245,600	Equatorial Energia SA		2,671,595
	103,200	Grendene SA		694,076

Shares		Description	Value ($)
		Brazil — continued
	181,100	Grupo BTG Pactual		2,111,192
	376,300	Klabin SA		2,046,664
	555,700	Light SA		4,461,026
	461,300	MRV Engenharia e Participacoes SA		1,537,757
	53,500	Multiplus SA		723,804
	75,900	Porto Seguro SA		920,619
	160,157	Sul America SA		793,026
	635,800	Tim Participacoes SA		3,088,706
	320,100	Tractebel Energia SA		4,326,907
	416,900	Transmissora Alianca de Energia Eletrica SA		3,169,601
	56,200	Ultrapar Participacoes SA		1,206,234
	132,700	Vale SA		1,205,493
	110,500	Vale SA Sponsored ADR		995,605
		Total Brazil		84,630,980
		Canada — 0.2%
	178,700	Canadian Oil Sands Ltd		2,271,438
	2,215	Canadian Tire Corp Ltd – Class A		248,454
	422,960	Catamaran Corp *		21,545,583
	2,100	First Quantum Minerals Ltd		34,146
	8,953	Home Capital Group Inc		408,164
	4,700	RONA Inc		56,331
	309,500	Suncor Energy Inc		9,770,124
		Total Canada		34,334,240
		Chile — 0.0%
	2,981,105	Enersis SA		996,732
	116,000	Enersis SA Sponsored ADR		1,946,480
	54,216	ENTEL Chile SA		604,267
		Total Chile		3,547,479
		China — 0.1%
	7,513,000	Bank of China Ltd – Class H		3,858,322
	5,683,000	China Construction Bank – Class H		4,291,431
	514,000	China Mobile Ltd		6,341,856
	1,738,000	CNOOC Ltd		2,511,495
	6,736,000	Industrial and Commercial Bank of China Ltd – Class H		4,544,362
		Total China		21,547,466
		Cyprus — 0.0%
	8,787	Eurasia Drilling Co Ltd GDR		157,538
	51,268	Globaltrans Investment Plc Sponsored GDR		360,851
	18,091	TCS Group Holding Plc (Registered) GDR *		59,737
		Total Cyprus		578,126
		Czech Republic — 0.1%
	648,282	CEZ AS		18,047,355

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Denmark — 0.2%
	8,542	AP Moeller – Maersk A/S		17,827,817
	74,124	Carlsberg A/S		6,599,463
	3,786	Jyske Bank A/S (Registered) *		196,202
		Total Denmark		24,623,482
		Egypt — 0.0%
	1,146,041	Al Ezz Steel Rebars SAE *		2,713,145
	276,647	Global Telecom Holding GDR *		806,618
	8,416,125	Orascom Telecom Media and Technology Holding SAE *		1,544,042
	106,292	Sidi Kerir Petrochemicals Co		261,231
	681,463	Telecom Egypt Co		1,375,770
		Total Egypt		6,700,806
		Finland — 0.2%
	441,427	Fortum Oyj		11,081,035
	67,345	Metso Oyj		2,089,327
	1,920,175	Nokia Oyj		15,954,535
	478,995	UPM – Kymmene Oyj		7,950,109
		Total Finland		37,075,006
		France — 3.7%
	27,520	Alstom SA *		965,666
	1,019,466	ArcelorMittal		12,492,073
	1,832	AXA		44,279
	1,033	BNP Paribas		66,342
	345,967	Bouygues SA		13,016,075
	16,616	Carrefour SA		526,198
	40,001	Casino Guichard Perrachon SA		3,855,203
	8,903	Christian Dior SA		1,706,751
	32,386	CNP Assurances		600,248
	535,820	Compagnie de Saint-Gobain		24,625,185
	228,283	Compagnie Generale des Etablissements Michelin		21,002,926
	48,746	Credit Agricole SA		685,827
	77,217	Danone SA		5,446,249
	29,540	Electricite de France		884,815
	2,634,716	GDF Suez		64,978,493
	363	Lafarge SA		25,832
	34,153	LVMH Moet Hennessy Louis Vuitton SA		6,142,374
	4,100,813	Orange		72,315,606
	685,993	Peugeot SA *		8,781,261
	291,747	Renault SA		23,427,527
	151,080	Rexel SA		2,800,827
	435,748	Sanofi		42,113,146
	271,058	Schneider Electric SA		22,130,173
	1,644	Societe Generale		81,649
	192,208	Suez Environnement Co		3,411,789
	2,242,914	Total SA		125,245,117
	20,052	Vallourec SA		663,781
	496,678	Veolia Environnement SA		9,073,966
	562,098	Vinci SA		30,393,374

Shares		Description	Value ($)
		France — continued
	2,436,873	Vivendi SA		62,013,384
		Total France		559,516,136
		Germany — 3.2%
	576	Allianz SE (Registered)		99,242
	9,608	Aurubis AG		529,132
	1,180,821	BASF SE		107,086,360
	512,691	Bayerische Motoren Werke AG		58,607,893
	39,699	Bilfinger SE		2,351,196
	1,173,570	Daimler AG		98,997,870
	1,827	Deutsche Bank AG (Registered)		59,658
	647,734	Deutsche Lufthansa AG (Registered)		11,544,504
	2,671,689	Deutsche Telekom AG (Registered)		45,430,481
	6,545	Duerr AG		562,744
	4,071,723	E.ON AG		72,142,193
	60,061	Freenet AG		1,773,404
	47,655	Fresenius Medical Care AG & Co		3,519,696
	2,588	Hannover Rueck SE		231,034
	286,212	K+S AG (Registered)		8,587,158
	164,424	Kloeckner & Co SE *		1,944,241
	191,711	Metro AG *		6,511,672
	2,709	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		557,837
	89,937	ProSiebenSat.1 Media AG (Registered)		3,828,145
	1,077,922	RWE AG		39,052,203
	34,844	Salzgitter AG		1,151,850
	158,570	Siemens AG (Registered)		18,755,325
	44,353	Volkswagen AG		10,042,237
		Total Germany		493,366,075
		Hong Kong — 0.0%
	2,098	Cheung Kong Holdings Ltd		38,505
	1,249,308	Esprit Holdings Ltd		1,624,464
	57,552	Link (REIT)		364,549
	73,319	Sun Hung Kai Properties Ltd		1,070,186
	66,000	Swire Pacific Ltd – Class A		905,597
	6,000	Wharf Holdings Ltd (The)		43,183
	287,139	Yue Yuen Industrial Holdings		1,029,342
		Total Hong Kong		5,075,826
		Hungary — 0.0%
	858,306	Magyar Telekom Telecommunications Plc *		1,181,319
	16,398	MOL Hungarian Oil and Gas Plc		791,822
	272,612	OTP Bank Plc		4,387,264
		Total Hungary		6,360,405
		India — 0.9%
	22,961	Aban Offshore Ltd		201,491
	17,723	ACC Ltd		421,484
	1,400,783	Allahabad Bank		2,740,339
	862,791	Andhra Bank		1,192,755
	1,026,251	Ashok Leyland Ltd *		866,562

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		India — continued
	193,100	Aurobindo Pharma Ltd		3,396,986
	4,766	Axis Bank Ltd (a)		37,850
	12,724	Bajaj Auto Ltd		541,824
	17,072	Bank of Baroda (a)		306,855
	844,693	Bank of India		3,903,048
	1,655,345	Bharat Heavy Electricals Ltd		7,500,680
	52,499	Biocon Ltd		385,207
	1,090,574	Cairn India Ltd		4,566,590
	671,648	Canara Bank Ltd		4,453,335
	806,215	Coal India Ltd		4,614,063
	888,013	DLF Ltd		2,115,332
	294,413	GAIL India Ltd		2,319,196
	34,062	HCL Technologies Ltd		914,630
	856,826	HDFC Bank Ltd (a)		14,049,692
	30,979	Hero MotoCorp Ltd		1,568,356
	1,198,213	Hindalco Industries Ltd		3,356,390
	1,338,003	Housing Development & Infrastructure Ltd *		1,802,673
	31,063	ICICI Bank Ltd		874,839
	15,500	ICICI Bank Ltd Sponsored ADR		912,795
	48,766	IDFC Ltd (a)		128,141
	12,460	Infosys Ltd		869,704
	8,750	Infosys Ltd Sponsored ADR		611,100
	79,791	Jai Balaji Industries Ltd *		21,356
	1,817,793	Jaiprakash Associates Ltd *		841,770
	10,209	JSW Steel Ltd		196,527
	916,682	Karnataka Bank Ltd		2,124,924
	95,892	Kiri Industries Ltd *		154,092
	122,025	LIC Housing Finance Ltd		832,087
	102,592	Mahindra & Mahindra Ltd		2,188,171
	1,305,736	NHPC Ltd		426,044
	206,557	NMDC Ltd		464,719
	1,754,564	NTPC Ltd		4,017,869
	457,123	Oil & Natural Gas Corp Ltd		2,789,946
	71,135	Oil India Ltd		681,191
	600,193	Oriental Bank of Commerce		2,946,980
	732,384	Power Finance Corp		3,643,411
	284,118	Punjab National Bank Ltd (a)		4,907,939
	85,241	Reliance Capital Ltd		716,759
	1,451,301	Reliance Communications Ltd *		2,397,738
	24,414	Reliance Industries Ltd		388,715
	152,395	Reliance Infrastructure Ltd		1,489,696
	312,184	Rural Electrification Corp Ltd		1,685,708
	848,068	Sesa Sterlite Ltd		3,144,363
	1,975,970	State Bank of India		10,229,871
	627,257	Syndicate Bank		1,312,852
	245,273	Tata Global Beverages Ltd		636,059
	1,074,295	Tata Motors Ltd		9,146,962
	19,452	Tata Motors Ltd – Class A		105,819
	946,544	Tata Power Co Ltd		1,411,677
	303,845	Tata Steel Ltd		2,310,726
	109,082	Tech Mahindra Ltd		4,619,702
	15,381	UCO Bank		21,920

Shares		Description	Value ($)
		India — continued
	2,377	United Phosphorus Ltd		13,163
	65,523	Wipro Ltd		617,621
	21,281	Yes Bank Ltd		242,637
		Total India		131,380,931
		Indonesia — 0.2%
	3,366,900	Adaro Energy Tbk PT		297,458
	13,879,900	Astra International Tbk PT		8,094,048
	1,196,700	Bank Tabungan Negara Persero Tbk PT		110,846
	1,279,200	Gajah Tunggal Tbk PT		136,832
	3,968,000	Global Mediacom Tbk PT		522,041
	5,836,800	Harum Energy Tbk PT		803,413
	662,700	Indo Tambangraya Megah Tbk PT		1,031,824
	537,600	Indosat Tbk PT *		153,772
	851,500	Media Nusantara Citra Tbk PT		167,874
	34,613,600	MNC Investama Tbk PT *		865,343
	3,440,200	Perusahaan Gas Negara Persero Tbk PT		1,677,835
	2,304,700	Ramayana Lestari Sentosa Tbk PT		157,594
	430,800	Tambang Batubara Bukit Asam Persero Tbk PT		463,468
	34,943,400	Telekomunikasi Indonesia Persero Tbk PT		8,101,004
	35,900	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		1,654,990
	1,125,300	XL Axiata Tbk PT		470,431
		Total Indonesia		24,708,773
		Ireland — 0.1%
	443,727	CRH Plc		10,458,587
	8,574	Smurfit Kappa Group Plc		198,722
		Total Ireland		10,657,309
		Israel — 0.2%
	75,318	Bank Hapoalim BM		375,995
	304,851	Bank Leumi Le-Israel *		1,076,343
	346,700	Check Point Software Technologies Ltd *		26,803,377
	399,096	Israel Discount Bank Ltd – Class A *		651,592
	147,960	Partner Communications Co Ltd *		904,108
		Total Israel		29,811,415
		Italy — 1.2%
	5,164,131	A2A SPA		5,390,419
	13,111,045	Enel SPA		63,290,098
	2,028,931	ENI SPA		40,420,908
	6,557	Exor SPA		292,168
	1,094,851	Fiat Chrysler Automobiles NV *		13,677,978
	677,922	Finmeccanica SPA *		6,573,333
	1,494,225	Mediaset SPA *		6,071,561
	38,596	Mediolanum SPA		267,940
	19,276	Recordati SPA		337,013
	28,326,131	Telecom Italia SPA *		31,926,600
	11,757,269	Telecom Italia SPA-Di RISP		10,422,950
		Total Italy		178,670,968

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Japan — 4.0%
	542,100	Aeon Co Ltd		5,407,902
	76,400	Aisin Seiki Co Ltd		2,732,864
	54,200	Alfresa Holdings Corp		623,978
	682,000	Asahi Glass Co Ltd		3,295,465
	414,000	Asahi Kasei Corp		3,600,905
	15,600	Asatsu-DK Inc		402,346
	72,258	Calsonic Kansei Corp		396,761
	698,022	Canon Inc		22,297,707
	47,400	Central Japan Railway Co		6,887,315
	71,200	Chubu Electric Power Co Inc *		832,172
	1,692,935	Cosmo Oil Co Ltd		2,321,064
	73,900	Daihatsu Motor Co Ltd		1,012,399
	143,000	Daikyo Inc		247,050
	69,100	Daito Trust Construction Co Ltd		7,825,672
	131,000	Denki Kagaku Kogyo K K		447,543
	336	Electric Power Development Co Ltd		11,626
	568	FujiFilm Holdings Corp		18,786
	13,401	Fuji Oil Co Ltd		190,233
	101,000	Gunze Ltd		262,990
	46,324	Hakuhodo DY Holdings Inc		450,521
	129,471	Hanwa Co Ltd		457,128
	48,207	Haseko Corp		400,854
	36,400	Hitachi Chemical Co Ltd		674,308
	864,327	Honda Motor Co Ltd		26,145,429
	72,300	Idemitsu Kosan Co Ltd		1,234,583
	661,192	Inpex Corp		7,005,765
	211,300	IT Holdings Corp		3,275,045
	1,869,500	Itochu Corp		21,500,714
	1,551,489	Japan Tobacco, Inc.		49,752,828
	52,600	JFE Holdings Inc		1,120,976
	153,200	JX Holdings Inc		570,262
	191,742	K’s Holdings Corp		4,656,116
	3,307,000	Kawasaki Kisen Kaisha Ltd		8,677,470
	739,000	Kobe Steel Ltd		1,176,997
	18,286	Kohnan Shoji Co Ltd		197,958
	63,000	Kuraray Co Ltd		768,006
	741,180	Kyocera Corp		36,241,708
	43,300	Leopalace21 Corp *		244,883
	2,035,500	Marubeni Corp		12,832,486
	254,704	Medipal Holdings Corp		2,836,052
	1,727,200	Mitsubishi Chemical Holdings Corp		8,908,337
	1,464,069	Mitsubishi Corp		27,678,739
	43,900	Mitsubishi UFJ Lease & Finance Co Ltd		207,155
	103,429	Mitsui Chemicals Inc		289,722
	560,667	Mitsui Engineering & Shipbuilding Co Ltd		1,071,514
	1,714,474	Mitsui & Co Ltd		23,653,989
	93,012	Mitsui Mining & Smelting Co Ltd		238,975
	250,134	Mitsui OSK Lines Ltd		793,213
	62,736	Net One Systems Co Ltd		360,564
	20,000	Nichirei Corp		86,836
	228,000	Nippon Electric Glass Co Ltd		1,043,391
	432,200	Nippon Light Metal Co Ltd		651,403
	565,643	Nippon Telegraph & Telephone Corp		30,258,701

Shares		Description	Value ($)
		Japan — continued
	321,000	Nippon Yusen Kabushiki Kaisha		906,515
	161,241	Nipro Corp		1,379,463
	8,921,028	Nissan Motor Co Ltd		83,264,339
	76,658	Nisshinbo Holdings Inc		777,096
	143,706	North Pacific Bank Ltd		571,520
	1,302,929	NTT Docomo, Inc.		20,340,307
	19,400	Okinawa Electric Power Co		610,591
	144	ORIX JREIT Inc (REIT)		199,733
	586,000	Osaka Gas Co Ltd		2,239,549
	14,405	Resona Holdings Inc		77,851
	379,000	Ricoh Co Ltd		4,111,128
	47,200	Round One Corp		271,141
	135,700	Sekisui House Ltd		1,816,783
	28,300	Shimamura Co Ltd		2,367,922
	12,919	Showa Denko KK		17,865
	55,391	Showa Shell Sekiyu KK		462,139
	4,821,200	Sojitz Corp		6,911,188
	1,416,300	Sumitomo Corp		15,114,761
	200,000	Sumitomo Heavy Industries Ltd		1,100,852
	433,000	Sumitomo Metal Mining Co Ltd		6,630,525
	98,300	Sumitomo Rubber Industries		1,498,539
	54,452	Suzuken Co Ltd		1,395,036
	310,526	Takeda Pharmaceutical Co., Ltd.		13,015,555
	69,178	Tokyo Electric Power Co Inc (The) *		252,707
	1,334,264	Tokyo Electron Ltd (b)		93,022,702
	44,500	TonenGeneral Sekiyu KK		372,694
	88,178	Tosoh Corp		405,818
	355,900	Toyota Tsusho Corp		8,426,494
	523,000	Ube Industries Ltd		748,571
	505,700	UNY Co Ltd		2,549,287
	53,600	West Japan Railway Co		2,557,970
	2,184,267	Yamada Denki Co Ltd		7,190,142
		Total Japan		614,884,189
		Malaysia — 0.0%
	121,113	Hong Leong Bank Berhad		511,791
		Mexico — 0.1%
	683,900	America Movil SAB de CV ADR		16,215,269
		Netherlands — 0.3%
	80,224	Aegon NV		629,883
	44,561	Corbion NV		784,300
	4,275	ING Groep NV *		62,541
	1,117,533	Koninklijke Ahold NV		19,739,586
	4,990,246	Koninklijke KPN NV		16,605,036
	85,275	SNS REAAL NV * (c)		—
	17,200	VimpelCom Ltd Sponsored ADR		90,300
	85,476	Wolters Kluwer NV		2,505,776
		Total Netherlands		40,417,422

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		New Zealand — 0.0%
	361,310	Chorus Ltd *		585,113
	106,676	Fletcher Building Ltd		684,378
	229,259	Spark New Zealand Ltd		549,471
		Total New Zealand		1,818,962
		Norway — 0.3%
	3,736	DNB ASA		61,851
	10,773	Golden Ocean Group Ltd		8,908
	207,455	Orkla ASA		1,538,459
	1,048,842	Statoil ASA		19,800,704
	604,043	Telenor ASA		12,720,878
	2,580	TGS Nopec Geophysical Co ASA		57,246
	359,492	Yara International ASA		15,210,147
		Total Norway		49,398,193
		Peru — 0.0%
	25,255	Companhia de Minas Buenaventura SA ADR		233,609
	24,500	Southern Copper Corp.		733,775
		Total Peru		967,384
		Philippines — 0.0%
	16,140	GT Capital Holdings Inc		387,916
	429,500	Puregold Price Club Inc		364,934
		Total Philippines		752,850
		Poland — 0.3%
	17,130	Asseco Poland SA		274,226
	255,069	Boryszew SA *		482,208
	58,486	Energa SA		409,433
	110,915	Jastrzebska Spolka Weglowa SA *		689,978
	749,539	KGHM Polska Miedz SA		27,326,724
	1,223,024	PGE SA		7,034,021
	78,352	Polski Koncern Naftowy Orlen SA		1,052,460
	635,099	Synthos SA		785,843
	136,516	Tauron Polska Energia SA		210,381
		Total Poland		38,265,274
		Portugal — 0.1%
	2,650,815	EDP-Energias de Portugal SA		10,881,467
		Qatar — 0.0%
	549	Industries Qatar QSC		28,721
		Russia — 2.3%
	306,866	Aeroflot-Russian Airlines *		253,174
	78,600	Bashneft OAO – Class S *		1,960,212
	31,800	CTC Media, Inc.		189,528
	82,582	Gazprom Neft JSC Sponsored ADR		1,340,047
	7,058,045	Gazprom OAO Sponsored ADR		41,248,909
	5,489,232	Lukoil OAO Sponsored ADR		255,512,282

Shares		Description	Value ($)
		Russia — continued
	7,405	MegaFon OAO GDR		152,757
	13,700	Mobile Telesystems Sponsored ADR		167,414
	1,467	NovaTek OAO GDR		138,469
	2,810,414	Rosneft OJSC GDR (Registered)		13,309,252
	2,129,377	Sberbank Sponsored ADR		13,062,314
	1,805	Sistema JSFC Sponsored GDR (Registered)		10,364
	2,158,904	Surgutneftegas Sponsored ADR		12,686,154
	172,045	Tatneft Sponsored ADR		5,263,121
		Total Russia		345,293,997
		Singapore — 0.0%
	1,505,085	Ezra Holdings Ltd		767,324
	3,557,662	Golden Agri-Resources Ltd		1,255,178
	258,157	Noble Group Ltd		242,521
	123,000	Singapore Technologies Engineering Ltd		317,962
	896,000	Swiber Holdings Ltd		216,692
	1,189,795	Yangzijiang Shipbuilding Holdings Ltd		1,119,026
		Total Singapore		3,918,703
		South Africa — 0.2%
	2,691,606	African Bank Investments Ltd (c)		243
	304,650	Capital Property Fund (REIT) *		355,708
	185,739	Kumba Iron Ore Ltd		4,318,179
	636,228	MTN Group Ltd		12,521,322
	7,341	Naspers Ltd-N Shares		949,617
	33,010	Sasol Ltd		1,374,219
	1,647	Sasol Ltd Sponsored ADR		69,256
	285,154	Vodacom Group Ltd		3,414,968
	102,987	Wilson Bayly Holmes-Ovcon Ltd		1,119,678
		Total South Africa		24,123,190
		South Korea — 2.5%
	170,261	BS Financial Group Inc		2,412,536
	7,278	Capro Corp *		20,703
	19,590	CJ E & M Corp *		647,704
	6,427	Daelim Industrial Co Ltd		390,300
	68,812	Daou Technology Inc		729,646
	42,819	DGB Financial Group Inc		450,069
	57,069	Dongbu Insurance Co Ltd		2,861,586
	47,897	GS Holdings		1,793,285
	255,860	Hana Financial Group Inc		7,776,158
	2,258	Hankook Tire Co Ltd		111,590
	73,817	Hankook Tire WorldwideCo Ltd		1,416,958
	11,612	Hanwha Corp		310,978
	79,985	Hyundai Marine & Fire Insurance Co Ltd		1,921,032
	54,118	Hyundai Mobis		12,021,516
	60,073	Hyundai Motor Co		9,651,071
	162,492	Iljin Holdings Co Ltd		886,003
	315,471	Industrial Bank of Korea		4,271,105
	48,160	Jahwa Electronics Co Ltd		523,505
	163,778	KB Financial Group Inc		5,739,618

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	21,219	Kginicis Co Ltd		269,480
	353,692	Kia Motors Corp		17,693,062
	7,371	Kolon Industries Inc		311,029
	8,607	Korea Zinc Co Ltd		3,312,888
	323,070	KT Corp		9,522,318
	22,500	KT Corp Sponsored ADR		332,100
	10,321	Kwangju Bank *		91,662
	10,499	Kyongnam Bank *		120,539
	59,930	LF Corp		1,728,257
	22,850	LG International Corp		588,000
	63,336	LIG Insurance Co Ltd		1,492,227
	2,136	Lotte Shopping Co Ltd		577,683
	94,776	Meritz Fire & Marine Insurance Co Ltd		1,038,819
	16,474	Neowiz Games Corp *		319,220
	41,302	Partron Co Ltd		392,301
	32,719	S-Oil Corp		1,240,976
	14,080	Samsung Card Co		607,459
	202,815	Samsung Electronics Co Ltd		234,976,685
	2,615	Samsung Electronics Co Ltd GDR (Registered)		1,502,810
	58,686	Samsung Engineering Co Ltd *		2,587,401
	44,736	Samsung Heavy Industries Co Ltd		868,868
	13,717	Samsung SDI Co Ltd		1,653,495
	4,726	Seah Besteel Corp		141,475
	23,234	SFA Engineering Corp		1,041,323
	177,818	Shinhan Financial Group Co Ltd		7,951,694
	29,960	Silicon Works Co Ltd		612,580
	3,142	SK Gas Co Ltd		307,625
	4,279	SK Holdings Co Ltd		656,573
	114,532	SK Innovation Co Ltd		8,832,613
	57,798	SK Telecom Co Ltd		14,719,712
	43,900	SK Telecom Co Ltd ADR		1,243,687
	84,359	Sungwoo Hitech Co Ltd		1,082,700
	540,079	Woori Bank *		5,215,800
		Total South Korea		376,968,424
		Spain — 1.5%
	29,426	Acciona SA *		2,177,516
	139,909	ACS Actividades de Construccion y Servicios SA		4,944,757
	492,129	Banco Santander SA Sponsored ADR		4,379,948
	169,450	Enagas		5,669,121
	132,425	Endesa SA		2,559,643
	537,020	Gas Natural SDG SA		15,222,837
	7,433,237	Iberdrola SA		55,004,659
	393,570	Indra Sistemas SA		4,053,793
	28,761	Red Electrica Corp SA		2,634,744
	681,463	Repsol YPF SA		15,309,018
	6,982,643	Telefonica SA		112,009,591
		Total Spain		223,965,627
		Sri Lanka — 0.0%
	1,065,600	Anilana Hotels & Properties Ltd *		65,098

Shares		Description	Value ($)
		Sweden — 0.4%
	1,260,601	Ericsson LM – Class B		15,842,788
	3,089	Investor AB		115,931
	270,274	Sandvik AB		2,830,450
	211,872	Skanska AB – Class B		4,558,497
	145,837	SKF AB – B Shares		3,002,588
	269,598	Tele2 AB – B Shares		3,490,928
	3,935,780	TeliaSonera AB		28,086,507
		Total Sweden		57,927,689
		Switzerland — 0.3%
	474,200	ABB Ltd (Registered)		10,648,355
	169,921	Holcim Ltd (Registered)		12,551,434
	163,316	Nestle SA (Registered)		12,257,384
	164	Swiss Life Holding AG (Registered) *		37,563
	8,313	Swisscom AG (Registered)		5,048,046
	28,483	Zurich Insurance Group AG		8,931,139
		Total Switzerland		49,473,921
		Taiwan — 1.1%
	1,365,000	Acer Inc *		864,440
	153,594	Advantech Co Ltd		1,050,899
	280,000	ALI Corp		206,883
	213,000	Asia Plastic Recycling Holding Ltd		243,074
	1,886,000	Asustek Computer Inc		20,543,464
	819,000	Career Technology MFG Co Ltd		911,660
	96,000	Catcher Technology Co Ltd		810,974
	1,456,000	China Man-Made Fiber Corp *		452,664
	2,525,000	China Petrochemical Development Corp *		724,491
	1,599,000	Chipbond Technology Corp		2,969,666
	713,278	Chong Hong Construction Co Ltd		1,535,263
	2,217,470	Chunghwa Telecom Co Ltd		6,674,944
	500	Chunghwa Telecom Co Ltd ADR		15,045
	10,112,000	Compal Electronics Inc		6,457,930
	1,364,000	Coretronic Corp		1,916,816
	176,000	Delta Electronics Inc		1,062,280
	211,000	Dynapack International Technology Corp		497,614
	4,792,371	E.Sun Financial Holding Co Ltd		3,033,022
	431,000	Elan Microelectronics Corp		610,091
	164,812	Elitegroup Computer Systems Co Ltd		137,758
	773,000	Far EasTone Telecommunications Co Ltd		1,672,457
	110,000	Faraday Technology Corp		108,345
	362,151	Flexium Interconnect Inc		750,921
	1,685,750	Foxconn Technology Co Ltd		4,706,503
	57,000	Fubon Financial Holding Co Ltd		93,169
	1,360,500	Highwealth Construction Corp		2,580,012
	9,013,120	Hon Hai Precision Industry Co Ltd		28,249,028
	1,603,000	HTC Corp *		7,080,305
	211,000	Huaku Development Co Ltd		368,209
	44,540	ILI Technology Corp		102,915
	175,000	Kinsus Interconnect Technology Corp		641,519
	2,556,628	Lite-On Technology Corp		3,093,230
	265,222	Makalot Industrial Co Ltd		1,341,919

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	45,022	MediaTek Inc		675,409
	485,000	Novatek Microelectronics Corp Ltd		2,736,810
	2,556,000	Pegatron Corp		5,925,977
	368,000	Phison Electronics Corp		2,460,396
	808,000	Pou Chen Corp		976,291
	2,084,808	Powertech Technology Inc		3,482,709
	3,075,000	Quanta Computer Inc		7,645,635
	1,751,020	Radiant Opto-Electronics Corp		5,731,585
	756,330	Realtek Semiconductor Corp		2,516,216
	7,332	Silicon Motion Technology Corp ADR		171,275
	599,000	Simplo Technology Co Ltd		3,068,802
	51,000	Soft-World International Corp		144,048
	1,240,000	Synnex Technology International Corp		1,801,290
	2,085,175	Taishin Financial Holding Co Ltd		965,704
	106,000	Taiwan Cement Corp		155,522
	577,000	Taiwan Mobile Co Ltd		1,834,154
	655,044	Taiwan PCB Techvest Co Ltd		977,588
	401,100	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		9,413,817
	116,085	TPK Holding Co Ltd		744,955
	1,328,000	Tripod Technology Corp		2,627,195
	2,159,000	Unimicron Technology Corp		1,586,485
	6,055,909	Wistron Corp		5,523,212
	184,260	Wistron NeWeb Corp		357,683
	1,348,000	WPG Holdings Co Ltd		1,565,368
	488,000	Yungtay Engineering Co Ltd		1,120,120
		Total Taiwan		165,715,756
		Thailand — 0.3%
	1,392,700	Bangchak Petroleum Pcl (Foreign Registered)		1,504,993
	8,431,200	Bangkok Dusit Medical Services Pcl (Foreign Registered)		4,748,375
	8,323,700	Banpu Pcl (Foreign Registered)		6,907,564
	154,050	Electricity Generating Pcl (Foreign Registered)		800,183
	139,900	Glow Energy Pcl (Foreign Registered)		416,398
	304,400	PTT Exploration & Production Pcl (Foreign Registered)		1,255,946
	1,504,600	PTT Pcl (Foreign Registered)		17,536,329
	1,109,600	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		2,087,064
	2,862,500	Thai Oil Pcl (Foreign Registered)		3,769,167
	1,353,200	Thanachart Capital Pcl (Foreign Registered)		1,380,278
	1,635,500	TTW Pcl (Foreign Registered)		592,793
		Total Thailand		40,999,090
		Turkey — 0.6%
	2,164,750	Akbank TAS		8,770,078
	4,414,686	Asya Katilim Bankasi AS *		1,412,159
	60,459	Dogus Gayrimenkul Yatirim Ortakligi AS (REIT) *		110,762
	70,795	Dogus Otomotiv Servis ve Ticaret AS		373,911

Shares		Description	Value ($)
		Turkey — continued
	1,767,396	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		1,865,803
	467,872	Emlak Konut Gayrimenkul Yatirim (REIT)		594,602
	257,551	Eregli Demir ve Celik Fabrikalari TAS		522,986
	1,016,221	Gubre Fabrikalari TAS		2,370,586
	497,408	Haci Omer Sabanci Holding AS		2,379,171
	1,862,046	Ipek Dogal Enerji Kaynaklari Ve Uretim AS *		1,357,977
	218,341	KOC Holding AS		1,229,463
	419,431	Koza Altin Isletmeleri AS		2,439,235
	1,793,813	Koza Anadolu Metal Madencilik Isletmeleri AS *		1,400,825
	225,350	Park Elektrik Madencilik Tekstil Sanayi ve Ticaret AS		418,499
	1,353,386	Tekfen Holding AS *		3,679,652
	33,009	Tupras-Turkiye Petrol Rafineriler AS		744,457
	1,523,074	Turk Telekomunikasyon AS		4,872,852
	1,462,269	Turkcell Iletisim Hizmetleri AS *		9,275,296
	11,300	Turkcell Iletisim Hizmetleri AS ADR *		179,331
	483,644	Turkiye Garanti Bankasi AS		2,127,705
	1,432,135	Turkiye Halk Bankasi AS		10,185,538
	7,420,213	Turkiye IS Bankasi – Class C		20,593,294
	398,876	Turkiye Sise ve Cam Fabrikalari AS		633,465
	3,795,840	Turkiye Vakiflar Bankasi TAO – Class D		8,711,287
	3,861,013	Yapi ve Kredi Bankasi AS		9,255,665
		Total Turkey		95,504,599
		United Arab Emirates — 0.0%
	3,143,953	Dana Gas PJSC *		522,296
	4,013,550	Eshraq Properties Co PJSC *		1,133,922
		Total United Arab Emirates		1,656,218
		United Kingdom — 2.8%
	51,752	Amlin Plc		359,789
	1,250,955	AstraZeneca Plc		92,943,961
	96,575	Aviva Plc		769,073
	1,528,894	BAE Systems Plc		11,472,348
	393,876	Balfour Beatty Plc		1,126,322
	10,488,409	BP Plc		68,760,900
	11,255	Bunzl Plc		313,924
	131,400	Cape Plc		518,763
	43,737	Catlin Group Ltd		376,882
	2,542,354	Centrica Plc		11,308,216
	209,587	Cobham Plc		987,158
	1,077,697	CSR Plc		13,941,578
	169,522	Debenhams Plc		190,789
	48,393	Drax Group Plc		460,833
	426,096	FirstGroup Plc *		751,168
	479,122	GlaxoSmithKline Plc		11,129,506
	8,963	Glencore Plc		44,824
	1,175,078	Home Retail Group Plc		3,676,395
	131,269	Inchcape Plc		1,472,731
	84,396	Intermediate Capital Group Plc		605,661

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	21,032	JD Wetherspoon Plc		269,179
	977,712	J Sainsbury Plc		3,563,424
	866,428	Kingfisher Plc		4,232,560
	716,351	Ladbrokes Plc		1,244,317
	4,618,236	Man Group Plc		10,320,344
	558,510	Marks & Spencer Group Plc		4,255,604
	210,537	Meggitt Plc		1,654,040
	19,714	Micro Focus International Plc		351,801
	37,846	National Express Group Plc		156,668
	456	Next Plc		48,272
	222,855	Pearson Plc		4,282,801
	95,890	Persimmon Plc *		2,292,560
	208,005	Rexam Plc		1,469,922
	1,810,707	Royal Dutch Shell Plc A Shares (London)		60,328,392
	1,166,489	Royal Dutch Shell Plc B Shares (London)		40,511,441
	19,981	RSA Insurance Group Plc *		146,091
	237,783	Scottish & Southern Energy Plc		6,093,100
	138,697	Smiths Group Plc		2,505,558
	88,956	Spirit Pub Co Plc		146,266
	12,782	Standard Life Assurance Plc		84,639
	6,726,952	Tesco Plc		19,623,813
	201,543	Thomas Cook Group Plc *		383,099
	42,214	TUI Travel Plc		293,344
	7,677,065	Vodafone Group Plc		28,136,447
	2,907,072	WM Morrison Supermarkets Plc		8,101,756
		Total United Kingdom		421,706,259
		United States — 31.4%
	386,706	3M Co.		61,907,764
	785,000	Abbott Laboratories		34,940,350
	374,517	Accenture Plc – Class A		32,332,053
	366,959	Allergan, Inc.		78,488,861
	1,920,044	Amazon.com, Inc. *		650,203,700
	71,200	Ametek, Inc.		3,628,352
	435	Amgen, Inc.		71,910
	98,300	Amphenol Corp. – Class A		5,271,829
	148,745	Analog Devices, Inc.		8,127,427
	303,442	Apple, Inc.		36,088,357
	771,354	Auxilium Pharmaceuticals, Inc. *		26,657,994
	975,791	Baker Hughes, Inc.		55,620,087
	208,904	Baxter International, Inc.		15,249,992
	117,508	Becton, Dickinson and Co.		16,489,898
	354,600	Bed Bath & Beyond, Inc. *		26,017,002
	44,800	Biogen Idec, Inc. *		13,784,512
	177,800	CA, Inc.		5,538,470
	53,100	Cerner Corp. *		3,419,640
	85,100	CH Robinson Worldwide, Inc.		6,275,274
	379,600	Chevron Corp.		41,327,052
	76,500	Church & Dwight Co., Inc.		5,868,315
	2,698,589	Cisco Systems, Inc.		74,589,000
	124,800	Citrix Systems, Inc. *		8,275,488

Shares		Description	Value ($)
		United States — continued
	184,000	Coach, Inc.		6,830,080
	2,214,903	Coca-Cola Co. (The)		99,294,101
	361,468	Cognizant Technology Solutions Corp. –Class A *		19,515,657
	531,419	Colgate-Palmolive Co.		36,981,448
	1,526,056	Compuware Corp. (b)		15,748,898
	180,400	Costco Wholesale Corp.		25,638,448
	4,138,568	Covidien Plc (b)		417,995,368
	242,402	Covisint Corp. *		557,525
	41,000	CR Bard, Inc.		6,861,350
	352,402	Danaher Corp.		29,446,711
	1,936,050	DIRECTV * (b)		169,810,945
	21,208	Donaldson Co., Inc.		827,112
	70,200	Dover Corp.		5,404,698
	136,135	Dresser-Rand Group, Inc. *		11,041,910
	335,100	eBay, Inc. *		18,390,288
	23,600	Edwards Lifesciences Corp. *		3,060,448
	595	Eli Lilly & Co.		40,531
	1,395,800	EMC Corp.		42,362,530
	472,157	Emerson Electric Co.		30,100,009
	200	Equifax, Inc.		15,910
	47,900	Estee Lauder Cos., Inc. (The) – Class A		3,551,306
	73,200	Expeditors International of Washington, Inc.		3,427,224
	4,165,117	Express Scripts Holding Co. *		346,329,479
	200	Exxon Mobil Corp.		18,108
	43,200	F5 Networks, Inc. *		5,581,008
	79,400	Genuine Parts Co.		8,160,732
	147,416	Google, Inc. – Class A *		80,943,177
	2,800	Google, Inc. – Class C *		1,517,124
	37,600	Henry Schein, Inc. *		5,158,720
	900	Herbalife Ltd.		38,925
	27,900	Hershey Co. (The)		2,797,812
	1,100	Hewlett-Packard Co.		42,966
	43,400	Hormel Foods Corp.		2,303,672
	16,400	Hubbell, Inc. – Class B		1,751,520
	8,004,401	Hudson City Bancorp, Inc. (b)		78,363,086
	104,363	Humana, Inc.		14,398,963
	237,136	Illinois Tool Works, Inc.		22,511,320
	217,999	International Business Machines Corp.		35,352,898
	4,431,000	International Game Technology (b)		75,459,930
	132,374	Intuit, Inc.		12,425,947
	12,246	Intuitive Surgical, Inc. *		6,340,611
	686,800	Johnson & Johnson		74,346,100
	1,034,732	JPMorgan Chase & Co.		62,249,477
	106,400	Linear Technology Corp.		4,897,592
	1,246,041	Lorillard, Inc. (b)		78,675,029
	46,491	Magnachip Semiconductor Corp. *		566,260
	152,100	Mastercard, Inc. – Class A		13,276,809
	212,600	Mattel, Inc.		6,707,530
	36,200	McCormick & Co., Inc. (Non Voting)		2,690,746
	430,634	McDonald’s Corp.		41,689,678

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	2,218,200	Microsoft Corp.		106,052,142
	290,904	Monsanto Co.		34,882,299
	361,452	Nike, Inc. – Class B		35,888,569
	6,628,971	Oracle Corp.		281,134,660
	145,200	Paychex, Inc.		6,883,932
	866	PepsiCo, Inc.		86,687
	4,565,327	Philip Morris International, Inc.		396,863,876
	23,200	Polaris Industries, Inc.		3,635,672
	75,696	Precision Castparts Corp.		18,008,078
	844,595	Procter & Gamble Co. (The)		76,376,726
	882,678	Qualcomm, Inc.		64,347,226
	42,499	Ralph Lauren Corp.		7,858,065
	104,600	Reynolds American, Inc.		6,894,186
	63,964	Rockwell Automation, Inc.		7,382,085
	400	Roper Industries, Inc.		63,128
	45,100	Ross Stores, Inc.		4,125,748
	1,877,200	Safeway, Inc. (b)		65,401,648
	619,100	Sigma-Aldrich Corp.		84,569,060
	162,157	St Jude Medical, Inc.		11,020,190
	180,007	Stryker Corp.		16,724,450
	250,500	Sysco Corp.		10,085,130
	687,785	Teradata Corp. *		31,046,615
	900,838	Time Warner Cable, Inc. (b)		134,477,097
	111,400	TJX Cos, Inc. (The)		7,370,224
	67,700	Total System Services, Inc.		2,233,423
	647,994	TRW Automotive Holdings Corp. * (b)		67,002,580
	200	Tupperware Brands Corp.		13,450
	565,181	UnitedHealth Group, Inc.		55,743,802
	40,500	Varian Medical Systems, Inc. *		3,584,655
	185,159	VF Corp.		13,918,402
	550,487	Wal-Mart Stores, Inc.		48,189,632
	24,300	Waters Corp. *		2,816,370
	1,900	Wells Fargo & Co.		103,512
	31,500	WW Grainger, Inc.		7,738,920
	191,400	Xilinx, Inc.		8,697,216
	77,100	Zimmer Holdings, Inc.		8,657,559
		Total United States		4,771,548,057
		TOTAL COMMON STOCKS (COST $8,788,891,755)		9,069,843,689
		PREFERRED STOCKS — 1.8%
		Brazil — 0.6%
	688,800	AES Tiete SA		5,145,489
	72,590	Banco Bradesco SA		1,119,621
	44,010	Banco Bradesco SA ADR		681,275
	571,500	Banco do Estado do Rio Grande do Sul SA – Class B		3,335,616
	44,950	Bradespar SA		264,283
	182,481	Companhia de Transmissao de Energia Eletrica Paulista		2,774,016
	1,783,827	Companhia Energetica de Minas Gerais		9,792,496

Shares		Description	Value ($)
		Brazil — continued
	1,367,239	Companhia Energetica de Minas Gerais Sponsored ADR		7,547,159
	300,700	Companhia Energetica de Sao Paulo – Class B		3,032,968
	229,700	Companhia Paranaense de Energia – Class B		3,161,358
	163,400	Companhia Paranaense de Energia Sponsored ADR		2,267,992
	720,900	Eletropaulo Metropolitana SA		2,605,510
	980,300	Gerdau SA		4,166,041
	130,400	Gerdau SA Sponsored ADR		543,768
	28,200	Gol Linhas Aereas Inteligentes SA ADR		162,150
	361,516	Itau Unibanco Holding SA		5,440,676
	50,866	Itau Unibanco Holding SA ADR		766,042
	3,661,408	Itausa-Investimentos Itau SA		14,960,546
	421,300	Metalurgica Gerdau SA		2,133,726
	4,244,700	Oi SA		2,283,832
	1,417,200	Oi SA ADR *		737,086
	322,300	Telefonica Brasil SA		6,598,426
	662,100	Telefonica Brasil SA ADR		13,612,776
	188,500	Tim Participacoes SA ADR		4,589,975
	63,400	Vale SA		494,376
		Total Brazil		98,217,203
		Germany — 0.6%
	282,458	Porsche Automobil Holding SE		24,611,082
	280,926	Volkswagen AG		64,752,420
		Total Germany		89,363,502
		Russia — 0.3%
	76,552	Sberbank		79,292
	58,838,777	Surgutneftegaz OJSC		40,000,543
	1,871	Transneft		4,420,753
		Total Russia		44,500,588
		South Korea — 0.3%
	20,586	Hyundai Motor Co		2,457,573
	19,931	Hyundai Motor Co		2,304,160
	37,287	Samsung Electronics Co Ltd		35,395,482
	163	Samsung Electronics Co Ltd GDR (Registered)		76,136
		Total South Korea		40,233,351
		TOTAL PREFERRED STOCKS (COST $288,164,770)		272,314,644
		RIGHTS/WARRANTS — 0.0%
		South Korea — 0.0%
	8,944	DGB Financial Group Inc Rights, Expires 01/13/15 *		12,512

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares		Description	Value ($)
		Spain — 0.0%
	6,982,640	Telefonica SA Rights, Expires 12/03/14 *		3,197,366
		TOTAL RIGHTS/WARRANTS (COST $2,941,039)		3,209,878
		INVESTMENT FUNDS — 0.0%
		Thailand — 0.0%
	139,224	BTS Rail Mass Transit Growth Infrastructure Fund		42,821
	92,500	TRUE Telecommunication Growth Infrastructure Fund		30,422
		Total Thailand		73,243
		TOTAL INVESTMENT FUNDS (COST $85,292)		73,243
		DEBT OBLIGATIONS — 9.7%
		Canada — 0.2%
		Bank Loans — 0.2%
	28,200,000	Burger King Corp., 2014 Term Loan B, 4.50%, due 12/31/14		28,270,500
		United States — 9.5%
		Asset-Backed Securities — 0.0%
	1,599,399	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.03%, due 11/23/52		1,600
	2,500,000	Toll Road Investment Part II, Series C, 144A, NPG, Zero Coupon, due 02/15/37		547,500
		Total Asset-Backed Securities		549,100
		Bank Loans — 0.1%
	21,900,000	Level 3 Financing, Inc., Incremental Term Loan B5, 4.50%, due 01/28/15		21,983,220
		U.S. Government — 9.4%
	1,406,482,582	U.S. Treasury Inflation Indexed Bond, 1.88%, due 07/15/15 (d)		1,425,602,306
		Total United States		1,448,134,626
		TOTAL DEBT OBLIGATIONS (COST $1,486,116,967)		1,476,405,126

Principal Amount		Description	Value ($)
		OPTIONS PURCHASED — 0.9%
		Currency Options — 0.9%
USD	82,000,000	USD Call/JPY Put, Expires 02/19/15, Strike 106.13, (OTC) (CP-MSCI)		8,649,278
USD	82,000,000	USD Put/JPY Call, Expires 02/19/15, Strike 98.95, (OTC) (CP-MSCI)		82
USD	206,200,000	USD Put/JPY Call, Expires 01/16/15, Strike 105.90, (OTC) (CP-DB)		2,062
USD	206,200,000	USD Call/JPY Put, Expires 01/16/15, Strike 105.90, (OTC) (CP-DB)		22,138,869
USD	294,800,000	USD Put/JPY Call, Expires 02/19/15, Strike 113.34, (OTC) (CP-GS)		1,373,473
USD	294,800,000	USD Call/JPY Put, Expires 02/19/15, Strike 113.34, (OTC) (CP-DB)		14,438,714
EUR	193,070,529	EUR Put/USD Call, Expires 02/03/15, Strike 1.22, (OTC) (CP-DB)		1,496,200
EUR	234,600,000	EUR Put/USD Call, Expires 02/06/15, Strike 1.25, (OTC) (CP-DB)		4,994,334
EUR	188,645,867	EUR Put/USD Call, Expires 11/03/17, Strike 1.24, (OTC) (CP-GS)		10,310,367
EUR	234,600,000	EUR Call/USD Put, Expires 02/06/15, Strike 1.25, (OTC) (CP-DB)		3,424,428
EUR	359,400,000	EUR Put/USD Call, Expires 11/12/15, Strike 1.25, (OTC) (CP-JPM)		14,589,047
EUR	359,400,000	EUR Call/USD Put, Expires 11/12/15, Strike 1.25, (OTC) (CP-JPM)		13,961,623
GBP	190,900,000	USD Call/GBP Put, Expires 11/16/15, Strike 1.56, (OTC) (CP-GS)		9,228,727
USD	298,200,000	USD Call/JPY Put, Expires 02/16/15, Strike 117.00, (OTC) (CP-GS)		7,766,321
USD	298,200,000	USD Put/JPY Call, Expires 02/16/15, Strike 117.00, (OTC) (CP-GS)		3,735,253
EUR	126,300,000	EUR Put/USD Call, Expires 11/25/15, Strike 1.25, (OTC) (CP-BCLY)		5,206,704
EUR	126,300,000	EUR Call/USD Put, Expires 11/25/15, Strike 1.25, (OTC) (CP-BCLY)		5,018,903
EUR	105,400,000	EUR Put/USD Call, Expires 02/24/15, Strike 1.25, (OTC) (CP-BCLY)		2,402,653
EUR	105,400,000	EUR Call/USD Put, Expires 02/24/15, Strike 1.25, (OTC) (CP-BCLY)		1,799,629
EUR	63,140,000	EUR Put/USD Call, Expires 11/28/17, Strike 1.24, (OTC) (CP-DB)		3,463,306
EUR	64,900,000	EUR Put/USD Call, Expires 02/25/15, Strike 1.21, (OTC) (CP-GS)		591,611
		Total Currency Options		134,591,584
		TOTAL OPTIONS PURCHASED (COST $113,789,556)		134,591,584

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2014 (Unaudited)

Shares / Par Value ($)			Description	Value ($)
			SHORT-TERM INVESTMENTS — 27.1%
			Money Market Funds — 0.1%
	3,983,204		State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (e)		3,983,204
			U.S. Government — 27.0%
	161,770,000		U.S. Treasury Bill, 0.02%, due 12/11/14 (f)		161,769,029
	540,000,000		U.S. Treasury Bill, 0.01%, due 01/08/15 (f)		539,992,980
	140,000,000		U.S. Treasury Bill, 0.01%, due 02/05/15 (b) (f)		139,996,220
	389,872,000		U.S. Treasury Bill, 0.02%, due 03/05/15 (f)		389,851,727
	126,273,000		U.S. Treasury Bill, 0.05%, due 04/02/15 (f)		126,253,680
	152,800,000		U.S. Treasury Bill, 0.06%, due 04/30/15 (f)		152,765,009
	451,200,000		U.S. Treasury Bill, 0.02%, due 12/04/14 (b) (f)		451,199,098
	27,000,000		U.S. Treasury Bill, 0.02%, due 12/18/14 (f)		26,999,703
	592,311,000		U.S. Treasury Bill, 0.04%, due 12/26/14 (f )		592,293,231
	70,130,000		U.S. Treasury Bill, 0.02%, due 01/15/15 (f)		70,128,667
	130,000,000		U.S. Treasury Bill, 0.01%, due 02/26/15 (f)		129,995,320
	250,000,000		U.S. Treasury Bill, 0.03%, due 03/19/15 (f)		249,977,500
	746,170,000		U.S. Treasury Bill, 0.05%, due 04/09/15 (f)		746,043,151
	110,414,000		U.S. Treasury Bill, 0.05%, due 04/16/15 (f)		110,393,132
	190,800,000		U.S. Treasury Bill, 0.06%, due 04/23/15 (f)		190,754,590
	20,000,000		U.S. Treasury Bill, 0.07%, due 05/07/15 (f)		19,994,340
			Total U.S. Government		4,098,407,377
			TOTAL SHORT-TERM INVESTMENTS (COST $4,102,422,644)		4,102,390,581
			TOTAL INVESTMENTS — 99.2% (Cost $14,782,412,023)		15,058,828,745
			SECURITIES SOLD SHORT — (5.1)%
			COMMON STOCKS — (5.1)%
			Italy — (0.1)%
	(494,946	)	GTECH SpA		(11,352,817	)
			United States — (5.0)%
	(110,146	)	Actavis Plc *		(29,806,610	)
	(4,336,742	)	Applied Materials, Inc.		(104,298,645	)

Shares			Description	Value ($)
			United States — continued
	(2,534,143	)	AT&T, Inc.		(89,657,979	)
	(842,724	)	Comcast Corp. – Class A		(47,875,150	)
	(1,246,044	)	Comcast Corp. – Class A		(71,074,350	)
	(134,097	)	Endo International Plc *		(9,811,877	)
	(855,564	)	Halliburton Co.		(36,104,801	)
	(672,363	)	M&T Bank Corp.		(84,731,185	)
	(3,468,802	)	Medtronic, Inc.		(256,240,404	)
	(362,475	)	Reynolds American, Inc.		(23,890,727	)
			Total United States		(753,491,728	)
			TOTAL COMMON STOCKS (PROCEEDS $709,484,435)		(764,844,545	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $709,484,435)		(764,844,545	)
			Other Assets and Liabilities (net) — 5.9%		893,200,520
			TOTAL NET ASSETS — 100.0%		$15,187,184,720

A summary of outstanding financial instruments at November 30, 2014 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
12/15/2014	MSCI		CAD	40,675,500		USD	36,463,061	$	915,866
12/22/2014	BCLY		EUR	155,423,589		USD	196,488,304		3,074,748
12/22/2014	BOA		EUR	155,650,303		USD	196,833,070		3,137,385
12/22/2014	DB		EUR	663,487,733		USD	830,161,299		4,498,203
12/22/2014	GS		EUR	144,547,733		USD	182,929,493		3,050,163
12/22/2014	JPM		EUR	27,500,000		USD	34,378,836		157,050
01/23/2015	DB		GBP	52,900,000		USD	83,487,626		779,374
12/19/2014	BCLY		JPY	14,153,460,395		USD	130,914,796		11,611,220
12/19/2014	BOA		JPY	22,221,090,592		USD	205,064,051		17,756,107
12/19/2014	DB		JPY	14,153,460,395		USD	130,953,557		11,649,981
12/19/2014	GS		JPY	32,436,524,893		USD	291,655,188		18,238,420
02/06/2015	BCLY		KRW	332,910,300,000		USD	301,797,977		2,160,301
01/09/2015	DB		SEK	147,600,000		USD	19,984,294		184,416
01/09/2015	GS		SEK	806,474,637		USD	109,639,489		1,454,532
12/15/2014	MSCI		USD	35,988,342		CAD	40,675,500		(441,147	)
12/19/2014	DB		USD	791,344,345		JPY	90,923,500,000		(24,924,094	)
12/19/2014	GS		USD	80,223,510		JPY	9,472,500,000		(377,093	)
12/22/2014	DB		USD	56,340,896		EUR	45,200,000		(92,724	)
12/22/2014	GS		USD	128,261,280		EUR	102,750,000		(396,243	)
02/06/2015	BCLY		USD	221,537,107		INR	13,768,400,000		(2,703,267	)
02/06/2015	BCLY		USD	355,928		KRW	384,900,000		(9,496	)
								$	49,723,702

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Written Options

Principal Amount		Expiration Date	Description	Premiums	Market Value
Call	182,995,320	02/03/2015	EUR Call/USD Put, Strike 1.28 (OTC) (CP-DB)	$1,201,152	$	(858,888	)
Call	64,900,000	02/25/2015	EUR Call/USD Put, Strike 1.28 (OTC) (CP-GS)	478,621		(394,408	)
Call	129,466,357	11/03/2017	EUR Call/USD Put, Strike 1.29 (OTC) (CP-GS)	9,317,648		(9,161,791	)
Call	43,300,000	11/28/2017	EUR Call/USD Put, Strike 1.29 (OTC) (CP-DB)	3,215,459		(3,142,929	)
				$14,212,880	$	(13,558,016	)

Swap Contracts

Forward Starting Cross-Currency Basis Swaps

Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	7,875,000,000	JPY	11/28/2016	11/28/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	43,492
	7,875,000,000	JPY	11/29/2016	11/29/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		43,739
	7,875,000,000	JPY	11/30/2016	11/30/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		43,952
	7,875,000,000	JPY	12/1/2016	12/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		44,260
	7,875,000,000	JPY	12/2/2016	12/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		43,966
	7,875,000,000	JPY	12/5/2016	12/5/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		31,039
	7,875,000,000	JPY	12/6/2016	12/6/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		31,125
	7,875,000,000	JPY	12/7/2016	12/7/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		31,211
	7,875,000,000	JPY	12/8/2016	12/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		31,201
	7,875,000,000	JPY	12/9/2016	12/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		34,197
								$	378,182
							Premiums to (Pay) Receive	$	—

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)#	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	435,900,000	AUD	11/11/2024	BCI (g)	Receive	4.33%	6 Month AUD BBSW	$	4,664,503
	95,100,000	AUD	11/6/2024	BCI (g)	Receive	4.35%	6 Month AUD BBSW		1,064,113
	261,500,000	AUD	11/7/2024	BCI (g)	Receive	4.31%	6 Month AUD BBSW		2,608,644
	217,000,000	AUD	11/13/2024	BCI (g)	Receive	4.31%	6 Month AUD BBSW		2,121,282
	473,000,000	GBP	7/16/2024	BCI (g)	(Pay)	3.45%	6 Month GBP LIBOR		(31,920,430	)
	176,408,000	GBP	11/26/2024	BCI (g)	(Pay)	2.63%	6 Month GBP LIBOR		(1,202,275	)
	32,010,000,000	JPY	10/3/2024	BCI (g)	(Pay)	0.66%	6 Month JPY LIBOR		(2,074,864	)
	147,789,000,000	JPY	10/6/2024	CSS (g)	(Pay)	0.66%	6 Month JPY LIBOR		(9,771,768	)
	30,169,000,000	JPY	10/7/2024	CSS (g)	(Pay)	0.65%	6 Month JPY LIBOR		(1,882,698	)
	32,114,000,000	JPY	10/9/2024	CSS (g)	(Pay)	0.65%	6 Month JPY LIBOR		(1,971,301	)
	10,950,000,000	JPY	11/7/2024	CSS (g)	(Pay)	0.60%	6 Month JPY LIBOR		(213,542	)
	2,410,000,000	JPY	11/13/2024	CSS (g)	(Pay)	0.65%	6 Month JPY LIBOR		(141,763	)
	11,921,100,000	JPY	11/25/2024	BCI (g)	(Pay)	0.62%	6 Month JPY LIBOR		(342,532	)
	2,881,900,000	JPY	11/27/2024	CSS (g)	(Pay)	0.61%	6 Month JPY LIBOR		(59,321	)
	516,900,000	MXN	10/9/2024	BCI (g)	Receive	6.10%	TIIE		755,624

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

Notional Amount			Expiration Date	Counterparty	Receive (Pay)#	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	1,305,700,000	MXN	10/11/2024	BCI (g)	Receive	6.18%	TIIE	$	2,554,169
	1,039,700,000	MXN	10/16/2024	BCI (g)	Receive	6.03%	TIIE		1,092,838
	519,800,000	MXN	10/17/2024	BCI (g)	Receive	6.05%	TIIE		606,452
	521,200,000	MXN	10/18/2024	BCI (g)	Receive	6.08%	TIIE		699,194
	1,094,200,000	MXN	10/18/2024	BCI (g)	Receive	6.12%	TIIE		1,726,615
	261,000,000	MXN	10/24/2024	BCI (g)	Receive	6.17%	TIIE		485,902
	1,043,900,000	MXN	10/25/2024	BCI (g)	Receive	6.19%	TIIE		2,064,438
	785,300,000	MXN	10/28/2024	BCI (g)	Receive	6.13%	TIIE		1,271,591
	251,100,000	MXN	10/30/2024	BCI (g)	Receive	6.19%	TIIE		518,759
	748,100,000	SEK	6/1/2016	BCI (g)	(Pay)	0.28%	3 Month SEK STIBOR		(2,804	)
	415,000,000	SEK	8/5/2016	BCI (g)	Receive	0.63%	3 Month SEK STIBOR		317,608
	940,000,000	SEK	8/6/2016	BCI (g)	Receive	0.62%	3 Month SEK STIBOR		716,557
	1,109,000,000	SEK	8/7/2016	BCI (g)	Receive	0.63%	3 Month SEK STIBOR		855,642
	469,000,000	SEK	8/11/2016	BCI (g)	Receive	0.62%	3 Month SEK STIBOR		354,362
	257,000,000	SEK	8/13/2016	BCI (g)	Receive	0.63%	3 Month SEK STIBOR		204,952
	710,000,000	SEK	8/13/2016	BCI (g)	Receive	0.63%	3 Month SEK STIBOR		558,146
	796,000,000	SEK	8/15/2016	BCI (g)	Receive	0.63%	3 Month SEK STIBOR		615,224
	1,354,000,000	SEK	8/18/2016	BCI (g)	Receive	0.62%	3 Month SEK STIBOR		1,042,884
	796,000,000	SEK	8/19/2016	BCI (g)	Receive	0.62%	3 Month SEK STIBOR		612,397
	1,255,000,000	SEK	8/20/2016	BCI (g)	Receive	0.63%	3 Month SEK STIBOR		975,032
	1,000,000,000	SEK	8/21/2016	BCI (g)	Receive	0.61%	3 Month SEK STIBOR		743,421
	538,700,000	SEK	12/1/2016	BCI (g)	(Pay)	0.31%	3 Month SEK STIBOR		1,376
	3,386,800,000	USD	9/28/2020	CSS (g)	Receive	3.20%	3 Month USD LIBOR		28,716,054
	1,070,100,000	USD	12/17/2021	CSS (g)	Receive	3.11%	3 Month USD LIBOR		7,120,141
	578,700,000	USD	12/17/2021	CSS (g)	Receive	3.07%	3 Month USD LIBOR		3,348,057
	28,000,000	USD	7/24/2049	CSS (g)	(Pay)	3.66%	3 Month USD LIBOR		(2,193,801	)
	35,000,000	USD	7/24/2049	CSS (g)	(Pay)	3.67%	3 Month USD LIBOR		(2,790,778	)
	35,000,000	USD	7/29/2049	CSS (g)	(Pay)	3.65%	3 Month USD LIBOR		(2,667,601	)
	36,000,000	USD	7/29/2049	CSS (g)	(Pay)	3.66%	3 Month USD LIBOR		(2,810,360	)
	35,000,000	USD	7/29/2049	CSS (g)	(Pay)	3.72%	3 Month USD LIBOR		(3,120,459	)
	36,000,000	USD	7/30/2049	CSS (g)	(Pay)	3.62%	3 Month USD LIBOR		(2,583,616	)
	43,000,000	USD	8/5/2049	CSS (g)	(Pay)	3.73%	3 Month USD LIBOR		(3,934,859	)
	99,600,000	USD	9/12/2049	CSS (g)	(Pay)	3.66%	3 Month USD LIBOR		(7,734,782	)
								$	(9,003,577	)
							Premiums to (Pay) Receive	$	3,838,440

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

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

As of November 30, 2014, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, 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

BBSW - Bank Bill Swap Reference Rate

CDO - Collateralized Debt Obligation

CP - Counterparty

GMO Implementation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2014 (Unaudited)

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

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

GDR - Global Depository Receipt

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

LIBOR - London Interbank Offered Rate

OJSC - Open Joint-Stock Company

OTC - Over-the-Counter

REIT - Real Estate Investment Trust

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

TIIE - Tasa de Interes Interbacaria de Equilibrio - 28 - Day Interbank Equilibrium Interest Rate - Mexico

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

* Non-income producing security.

(a) Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits.

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

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

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

(e) The rate disclosed is the 7 day net yield as of November 30, 2014. Note: Yield rounds to 0.00%.

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

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

Counterparty Abbreviations:

BCI - Barclays Capital Inc.

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CSS - Credit Suisse Securities (USA) LLC

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

CAD - Canadian Dollar

EUR - Euro

GBP - British Pound

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

SEK - Swedish Krona

USD - United States Dollar

As of November 30, 2014, 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) ($)	Net Unrealized Appreciation (Depreciation) ($)
14,830,855,554	668,843,555	(440,870,364)	227,973,191

Basis of presentation

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

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 Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) 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 price quoted (which may be based on a model) 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 fixed income securities) 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 of GMO Trust (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 November 30, 2014, the Fund did not reduce the value of any of its over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of its counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities 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 price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect estimated valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Fund that were valued using fair value inputs obtained from that independent pricing service as of November 30, 2014. 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 each fixed income security based on the most recent quoted price supplied by a single pricing source chosen by GMO. Although GMO 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. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices may be available for securities held by the Fund, those alternative sources are not typically part of the valuation process and do not necessarily confirm the security price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund. See the table below for information about securities for which no alternative pricing source was available.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third party pricing source in accordance with the market practice 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 or valued using prices for which no alternative pricing source was available. The table below presents securities and/or derivatives on a net basis, based on market values or

unrealized appreciation/(depreciation), which will tend to understate the Fund’s exposure. The net aggregate direct exposure to these valuation methodologies (based on the Fund’s net assets) as of November 30, 2014 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 (Net)		Single source; No alternative pricing source was available
	< 1%		29%		< 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 table below). At November 30, 2014, 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, 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 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; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain 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 equity securities valued based on the last traded exchange price adjusted for the movement in a securities relevant 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 Fund’s direct securities and derivatives, if any, as of November 30, 2014:

Description	Level 1		Level 2		Level 3			Total
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	5,850,827	$	—		$	5,850,827
Austria		—		11,806,146		—			11,806,146
Belgium		—		28,545,788		—			28,545,788
Brazil		8,661,227		75,969,753		—			84,630,980
Canada		34,334,240		—		—			34,334,240
Chile		1,946,480		1,600,999		—			3,547,479
China		—		21,547,466		—			21,547,466
Cyprus		—		578,126		—			578,126
Czech Republic		—		18,047,355		—			18,047,355
Denmark		—		24,623,482		—			24,623,482
Egypt		—		6,700,806		—			6,700,806
Finland		—		37,075,006		—			37,075,006
France		—		559,516,136		—			559,516,136
Germany		—		493,366,075		—			493,366,075
Hong Kong		—		5,075,826		—			5,075,826
Hungary		—		6,360,405		—			6,360,405
India		1,523,895		129,857,036		—			131,380,931
Indonesia		1,654,990		23,053,783		—			24,708,773
Ireland		—		10,657,309		—			10,657,309
Israel		26,803,377		3,008,038		—			29,811,415
Italy		—		178,670,968		—			178,670,968
Japan		—		614,884,189		—			614,884,189
Malaysia		—		511,791		—			511,791
Mexico		16,215,269		—		—			16,215,269
Netherlands		90,300		40,327,122		0	*		40,417,422
New Zealand		—		1,818,962		—			1,818,962
Norway		—		49,398,193		—			49,398,193
Peru		967,384		—		—			967,384
Philippines		—		752,850		—			752,850
Poland		—		38,265,274		—			38,265,274
Portugal		—		10,881,467		—			10,881,467
Qatar		—		28,721		—			28,721
Russia		356,942		344,937,055		—			345,293,997
Singapore		—		3,918,703		—			3,918,703
South Africa		69,256		24,053,691		243			24,123,190
South Korea		1,575,787		375,392,637		—			376,968,424
Spain		4,379,948		219,585,679		—			223,965,627
Sri Lanka		—		65,098		—			65,098
Sweden		—		57,927,689		—			57,927,689
Switzerland		—		49,473,921		—			49,473,921
Taiwan		9,600,137		156,115,619		—			165,715,756
Thailand		—		40,999,090		—			40,999,090
Turkey		179,331		95,325,268		—			95,504,599
United Arab Emirates		—		1,656,218		—			1,656,218
United Kingdom		—		421,706,259		—			421,706,259
United States		4,771,548,057		—		—			4,771,548,057
TOTAL COMMON STOCKS		4,879,906,620		4,189,936,826		243			9,069,843,689
Preferred Stocks
Brazil		30,908,223		67,308,980		—			98,217,203
Germany		—		89,363,502		—			89,363,502
Russia		—		44,500,588		—			44,500,588
South Korea		—		40,233,351		—			40,233,351
TOTAL PREFERRED STOCKS		30,908,223		241,406,421		—			272,314,644
Rights/Warrants
South Korea		—		—		12,512			12,512
Spain		3,197,366		—		—			3,197,366
TOTAL RIGHTS/WARRANTS		3,197,366		—		12,512			3,209,878
Investment Funds
Thailand		—		73,243		—			73,243
TOTAL INVESTMENT FUNDS		—		73,243		—			73,243
Debt Obligations
Canada		—		—		28,270,500			28,270,500
United States		—		1,425,602,306		22,532,320			1,448,134,626
TOTAL DEBT OBLIGATIONS		—		1,425,602,306		50,802,820			1,476,405,126

Description	Level 1			Level 2			Level 3		Total
Asset Valuation Inputs (continued)
Options Purchased	$	—		$	134,591,584		$	—	$	134,591,584
Short-Term Investments		4,102,390,581			—			—		4,102,390,581
Total Investments		9,016,402,790			5,991,610,380			50,815,575		15,058,828,745
Derivatives**
Forward Currency Contracts
Foreign Currency Risk		—			78,667,766			—		78,667,766
Swap Contracts
Interest Rate Risk		—			68,794,159			—		68,794,159
Total	$	9,016,402,790		$	6,139,072,305		$	50,815,575	$	15,206,290,670
Liability Valuation Inputs
Common Stocks
Italy		—			(11,352,817	)		—		(11,352,817	)
United States		(753,491,728	)		—			—		(753,491,728	)
TOTAL COMMON STOCKS		(753,491,728	)		(11,352,817	)		—		(764,844,545	)
Derivatives**
Forward Currency Contracts
Foreign Currency Risk		—			(28,944,064	)		—		(28,944,064	)
Written Options
Foreign Currency Risk		—			(13,558,016	)		—		(13,558,016	)
Swap Contracts
Interest Rate Risk		—			(77,419,554	)		—		(77,419,554	)
Total	$	(753,491,728	)	$	(131,274,451	)	$	—	$	(884,766,179	)

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 value of zero at November 30, 2014.

** The table above is 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.

Investments in other GMO Funds, (“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’ portfolio valuation notes.

For the period ended November 30, 2014, 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, 2014		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)		Change in Unrealized Appreciation (Depreciation)		Transfer into Level 3*			Transfer out of Level 3*		Balances as of November 30, 2014		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2014
Common Stocks
South Africa	$	—	$	—	$	—		$	—	$	—	$	—	$	243	**	$	—	$	243	$	—
Rights and Warrants
South Korea		—		—		—			—		—		12,512		—			—		12,512		12,512
Debt Obligations
Asset-Backed Securities
United States		516,099		—		—			29,203		—		3,798		—			—		549,100		3,798
Bank Loans
United States		1,145,624		49,653,750		(1,157,717	)		8,516		6,372		597,175		—			—		50,253,720		596,389
Total	$	1,661,723	$	49,653,750	$	(1,157,717	)	$	37,719	$	6,372	$	613,485	$	243		$	—	$	50,815,575	$	612,699

* 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.

** Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs.

The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Fund’s exposure (based on the Fund’s net assets) as of November 30, 2014 were as follows:

Level 3 securities and derivatives
	< 1%

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 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 assignments 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 over the terms of any loan modification. When the Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan. Loan assignments and participations 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 with banks and broker dealers. Under a repurchase agreement the 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. 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 with banks and brokers to enhance return. 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 accrues inflation into the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The market price 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 generally 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 are generally included in the Fund’s gross income, 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.

Short sales

The Fund may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from

short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Short sales outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

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 GMO 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 equities will decline. The market prices of equities may decline for reasons that directly relate to the issuing company, such as poor performance by the company’s management 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.

If the Fund purchases equities for less than their value as determined by GMO, the Fund runs the risk that the market prices of these equities will not appreciate or will decline for a variety of reasons, one of which may be GMO’s overestimation 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, and the market price of the Fund’s investment may 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 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 “Illiquidity 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.

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”)) 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. 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. 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.

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, it will have a negative return unless GMO waives or reduces its management fees.

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

Fixed income markets may, in response to governmental intervention, economic or market developments, or other factors, experience periods of high volatility and/or reduced liquidity. During those periods, a Fund could also experience high levels of shareholder redemptions, and may have to sell securities when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during

such periods. In recent periods, central banks and governmental financial regulators, including the U.S. Federal Reserve, have maintained historically low interest rates by purchasing bonds. Steps to curtail or “taper” such activities and other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) could have material adverse effect on the Funds.

• 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. Non-U.S. securities markets often include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets 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. The reporting, accounting, custody and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities 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 and/or its shareholders 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 or other disposition of those investments. The Fund may seek to collect a refund of taxes paid, but its efforts 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, particularly in light of the costs involved, it may decide not to pursue a refund, even if eligible. The outcome of the Fund’s pursuit of a refund is not predictable, and potential refunds generally are not reflected in the net asset value of the Fund.

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, including the imposition of economic sanctions.

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 United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign 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 GMO’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 GMO’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.

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

GMO uses quantitative analyses and models as part of its investment process. Any imperfections, errors or limitations in those analyses and models could affect the Fund’s performance. 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 GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’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 GMO 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. GMO is not contractually liable to the Fund for losses associated with operational risk absent its 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.

With the increased use of technologies such as the Internet and the dependence on computer systems to perform necessary business functions, investment companies (such as the Funds) and their service providers (including GMO) may be prone to operational and information security risks resulting from cyber-attacks and/or other technological malfunctions. In general, cyber-attacks are deliberate, but unintentional events may have similar effects. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other affiliated or third-party service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, there are inherent limitations in such plans and systems including the possibility that certain risks have not been identified. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.

• 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 changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements and other over-the-counter (“OTC”) contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, 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 still 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 GMO 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., foreign 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 will typically not receive the collateral for one or more days after the collateral is requested by the Fund.

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, illiquidity 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, GMO 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 illiquidity risk (see “Illiquidity 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.

There is little case or other law interpreting the terms of most derivatives or characterizing their tax treatment. The Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders.

Cleared Derivatives. The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. Because these requirements are new and evolving (and some 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 holds cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Fund makes payments (including margin payments) to and receives payments from a clearing house through its accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In some 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 positions than for bilateral derivatives positions. Also, in contrast to a bilateral derivatives position, following a period of notice to the Fund, a clearing member generally can require termination of an existing cleared derivatives position 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 positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions 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 positions 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 GMO 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 the 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 position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position 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. While futures contracts entail similar risks, the risks likely are more pronounced for cleared derivatives due to their more limited liquidity and market history.

Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Fund. For example, swap execution facilities typically charge fees, and if the Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, the Fund may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility. If the Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), it is possible the Fund could not execute all components of the package on the swap execution facility. In that case, the Fund would need to trade certain components of the package on the swap execution facility and other components of the package in another manner, which could subject the Fund to the risk that certain of the components of the package would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.

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 rules and regulations are new and evolving, so their potential impact on the Fund and the financial system are not yet known. While the new rules and 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 they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Fund to new kinds of costs and risks.

Options. The Fund is permitted to write options. The market price of written options 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 the option’s expiration, the writer of an American-style option has no control over 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 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, GMO, and other funds advised by GMO 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.

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.

Short Investment Exposure. The Fund may make short sales as part of its investment program in an attempt to increase its returns or for hedging purposes. The Fund may make short sales “against the box,” meaning the Fund may make short sales where it owns, or has the right to acquire at no added cost, securities or currencies identical to those sold short. Short sales expose 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.

In addition, the Fund is permitted to engage in short sales of securities or currencies, including 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. 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. The Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency. Short sales of securities or currencies the Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. The 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 or takes “short” derivative positions.

• 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, may have inexperienced managers 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. Market risk and illiquidity risk are particularly pronounced for securities of these companies.

• ILLIQUIDITY RISK. Illiquidity 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 closing derivative positions at desirable prices. In addition to these risks, the Fund is exposed to illiquidity 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). To the extent the Fund’s investments include asset-backed securities, distressed or defaulted instruments, emerging country debt securities, securities of companies with smaller market capitalizations, and emerging market securities, it is subject to increased illiquidity 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.

• 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 foreign 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. See “Market Disruption and Geopolitical Risk” below.

The Fund may use derivatives to take overweighted or underweighted currency positions relative to the currency exposure of its portfolio. If the exchange rates of the currencies involved do not move as expected, the Fund could lose money both on its holdings of a particular currency and on the derivative. See also “Non-U.S. Investment Risk” above.

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

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

In many 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 investment’s rating will be downgraded.

U.S. government securities 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 repayment by the United States of 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 under “Market Risk — Asset-Backed Securities” below.

The obligations of issuers also may be 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 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. Investments in distressed or defaulted instruments generally are considered speculative and may involve substantial risks not normally associated with investments in healthier companies, including adverse business, financial or economic conditions that can lead to defaulted payments and insolvency proceedings. In particular, distressed or defaulted obligations might be repaid, it at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and the Fund may incur additional expenses to seek recovery. If GMO’s evaluation of the eventual recovery value of a distressed or defaulted instrument should prove incorrect, the Fund may lose a substantial portion or all of its investment or it may be required to accept cash or instruments with a value less than the Fund’s original investment. 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 of severe credit downgrades, illiquidity, and defaults to a greater extent than many other types of fixed income investments. 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., the amount of underlying assets or other support available 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 GMO 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 expose the Fund to significantly greater declines in value due to defaults because 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 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, and the market price of the Fund’s investment may decrease.

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.

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 issuers have defaulted on their obligations.

• 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 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 may not 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 still have contractual remedies (whether or not the obligation is collateralized), 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 has been and may continue to 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 positions 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 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 the funds held in the omnibus account for the 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 Commodity 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 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.

• 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. Terrorism in the United States and around the world 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 reduce 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, a default by the U.S. government or a downgrade of its credit rating 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 United States 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 United States 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 affect 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 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 the Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.

• MERGER ARBITRAGE RISK. The Fund may engage in merger arbitrage transactions, where it will purchase securities at prices below GMO’s anticipated value of the cash, securities or other consideration to be paid or exchanged for such securities upon successful completion of a proposed merger, exchange offer, tender offer, or other similar transaction. Such purchase price may be substantially in excess of the market price of the securities prior to the announcement of the merger, exchange offer, tender offer, or other similar transaction.

If the Fund purchases securities in anticipation of a proposed merger, exchange offer, tender offer, or other similar transaction, and that transaction later appears unlikely to be consummated or in fact is not consummated or is delayed, the market price of the security purchased by the Fund may decline sharply and result in losses to the Fund if such securities are sold, transferred or exchanged for securities or cash, the value of which is less than the purchase price. There is typically asymmetry in the risk/reward payout of merger arbitrage strategies — the losses that can occur in the event of deal break-ups can far exceed the gains to be had if deals close successfully. The consummation of mergers, exchange offers, tender offers, and similar transactions can be prevented or delayed by a variety of factors, including regulatory and antitrust restrictions, political motivations, industry weakness, stock specific events, failed financings, and general market declines.

Merger arbitrage strategies depend for success on the overall volume of merger activity, which has historically been cyclical in nature. During periods when merger activity is low, it may be difficult or impossible to identify opportunities for profit or to identify a sufficient number of such opportunities to provide diversification among potential merger transactions. Merger arbitrage strategies are also subject to the risk of overall market movements. To the extent that a general increase or decline in equity market values affects the securities involved in a merger arbitrage position differently, the position may be exposed to loss.

In conjunction with merger arbitrage transactions, the Fund may make short sales of securities in an effort to maximize risk-adjusted returns. For example, when the terms of a proposed acquisition call for an exchange of securities, the Fund may sell short the securities of the acquiring company in order to protect against a decline in the market value of those securities prior to the acquisition’s completion. The Fund also may employ a variety of hedging strategies to protect against market fluctuations or other risks, and may use derivatives otherwise to gain, or reduce, long or short exposure to one or more asset classes or issuers.

At any given time, the Fund can become improperly hedged, which can lead to inadvertent market-related losses. Also, the Fund may not be able to hedge against market fluctuations or other risks, and market movements can result in losses to the Fund even if the proposed transaction is consummated. In addition, the Fund may sell short securities expected to be issued in a merger or exchange offer in anticipation of the short position being covered by delivery of such security when issued. If the merger or exchange offer is not consummated, the Fund may be forced to cover its short position by acquiring, converting, or exchanging securities to replace the borrowed securities at a time when the securities sold short have appreciated in value, thus resulting in a loss.

• FOCUSED INVESTMENT RISK. Funds whose investments are focused in particular countries, regions, sectors, companies or industries that are subject to the same or similar risk factors or whose security prices have strong positive correlations (e.g., different industries within broad sectors, such as technology or financial services), or in securities from issuers that are subject to the same or similar risk factors, 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.

Similarly, to the extent the Fund has a significant portion of its assets in investments tied economically to (or related to) a particular geographic region, country or particular market (e.g., emerging markets), it has more exposure to regional and country economic risks than funds making 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. If a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g. GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of its Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Fund are not limited in how often they may purchase or sell Fund shares. Asset allocation decisions by GMO 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) 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, have adverse tax consequences for 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 underlying funds, including other GMO Funds, closed end funds money market funds, ETFs and other investment companies, and is exposed to the risk that the underlying Funds will not perform as expected.

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

The Fund also is indirectly exposed to all of the risks of an investment in the underlying Funds.

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. 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” within the meaning of the Investment Company Act of 1940, as amended. This means that it is allowed to invest in the securities of relatively few issuers and/or foreign 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. Temporary defensive positions are positions that are inconsistent with the Fund’s principal investment strategies and that are taken in attempting to respond to adverse market, economic, political or other conditions. 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.

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 indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives to gain long investment exposure to 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 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 GMO 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 GMO 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 total notional 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 that may be 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, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Fund holds exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges 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 GMO 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.

The Fund held derivatives during the period ended November 30, 2014. 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 interest rate exposure	X
Maintain the diversity and liquidity of the portfolio	X
Options (Purchased)
Used option contracts as a substitute for direct equity investment	X
Adjust currency exchange rate risk	X
Adjust exposure to foreign currencies	X
Adjust interest rate exposure	X
Options (Written)
Used option contracts as substitute for direct equity investment	X
Adjust currency exchange rate risk	X
Adjust exposure to foreign currencies	X
Swap contracts
Adjust interest rate exposure	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 price 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. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

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, if any, is disclosed in the Schedule of Investments and

is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

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

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

For the period ended November 30, 2014, 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		—			9,905		$	11,507,469			—		—		$	—
Options written		142,360,000			58,520			87,057,245			420,661,677		1,400			16,434,043
Options bought back		(142,360,000	)		(36,280	)		(58,342,261	)		—		(1,400	)		(2,221,163	)
Options expired		—			(32,145	)		(40,222,453	)		—		—			—
Options exercised		—			—			—			—		—			—
Outstanding, end of period		—			—		$	—			420,661,677		—		$	14,212,880

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 market of 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.

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. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss.

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights 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). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

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. 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 the 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 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 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 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 as of November 30, 2014:

	Credit Contracts		Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Assets:
Investments, at value (rights and/or warrants)	$	—	$	3,209,878	$	—		$	—		$	—	$	3,209,878
Investments, at value (purchased options)		—		—		134,591,584			—			—		134,591,584
Unrealized Appreciation on Forward Currency Contracts		—		—		78,667,766			—			—		78,667,766
Unrealized Appreciation on Swap Contracts		—		—		—			68,794,159			—		68,794,159
Total	$	—	$	3,209,878	$	213,259,350		$	68,794,159		$	—	$	285,263,387
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	(28,944,064	)	$	—		$	—	$	(28,944,064	)
Written Options, at value		—		—		(13,558,016	)		—			—		(13,558,016	)
Unrealized Depreciation on Swap Contracts		—		—		—			(77,419,554	)		—		(77,419,554	)
Total	$	—	$	—	$	(42,502,080	)	$	(77,419,554	)	$	—	$	(119,921,634	)

The risks referenced in the table 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.

The average derivative activity, based on absolute values (forward currency contracts, futures contracts and rights and/or warrants) notional amounts (swap contracts) or principal amounts (options) outstanding at each month-end, was as follows for the period ended November 30, 2014:

Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)		Options ($)		Rights and/or Warrants ($)
	1,857,582,582		1,482,646,818		5,337,507,621		1,022,344,758		1,900,712

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

Item 2. 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-Q is recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms.

(b) (1)  Effective October 6, 2014, GMO’s investment teams (except the Systematic Global Macro Team) consolidated their trading activities into a central trading desk, and certain trade operation functions were combined to form the Trade Operations Group, which supports the central trading desk and ensures, the timely and accurate confirmation, affirmation, and settlement of transactions.

(b) (2)  Except as described in the prior paragraph, 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 registrant’s last fiscal quarter that has materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

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.

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: January 29, 2015

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: January 29, 2015

By (Signature and Title):	/s/ Sheppard N. Burnett
	Sheppard N. Burnett, Principal Financial Officer

Date: January 29, 2015