N-CSRS

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-04347

GMO Trust

(Exact name of the registrant as specified in charter)

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

Sheppard N. Burnett, Chief Executive Officer, 40 Rowes Wharf, Boston, MA 02110

(Name and address of agent for services)

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

Date of fiscal year end: 02/28/17

Date of reporting period: 08/31/16

Item 1. Reports to Stockholders.

The semi-annual reports for each series of the registrant for the period ended August 31, 2016 are filed herewith.

GMO Trust

Semiannual Report

August 31, 2016

Asset Allocation Bond Fund

Core Plus Bond Fund

Currency Hedged International Bond Fund

Debt Opportunities Fund

Emerging Country Debt Fund

Global Bond Fund

U.S. Treasury Fund

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

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

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

An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market risk-fixed income investments, management and operational risk, market risk-asset backed securities, credit risk and derivatives risk.

The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.

TABLE OF CONTENTS

Asset Allocation Bond Fund
Investment Concentration Summary	1
Schedule of Investments	2
Core Plus Bond Fund
Investment Concentration Summary	7
Schedule of Investments	8
Currency Hedged International Bond Fund
Investment Concentration Summary	10
Schedule of Investments	11
Debt Opportunities Fund
Investment Concentration Summary	14
Schedule of Investments	15
Emerging Country Debt Fund
Investment Concentration Summary	25
Schedule of Investments	26
Global Bond Fund
Investment Concentration Summary	36
Schedule of Investments	37
U.S. Treasury Fund
Investment Concentration Summary	41
Schedule of Investments	42
Portfolio, Counterparty and Currency Abbreviations	43
Fund Financial Statements:
Statements of Assets and Liabilities	44
Statements of Operations	48
Statements of Changes in Net Assets	50
Financial Highlights	54
Notes to Financial Statements	61
Board Review of Investment Management Agreements	106
Fund Expenses	114

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		78.8	%
Short-Term Investments		11.4
Mutual Funds		8.7
Forward Currency Contracts		0.1
Options Purchased		0.1
Swap Contracts		0.0	^
Other		0.9
		100.0	%

& In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

^ Rounds to 0.0%.

1

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 78.8%
		U.S. Government — 78.8%
	124,515,548	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/24 (a)		124,913,874
	71,851,947	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (a)		72,435,744
	74,870,541	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25 (a)		76,509,832
	65,045,878	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)		75,652,714
	18,506,084	U.S. Treasury Inflation Indexed Bond, 2.00%, due 01/15/26 (a)		21,535,493
	57,066,475	U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/25 (a)		67,456,911
	115,242,067	U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/27 (a)		140,026,372
	147,371,732	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a)		186,218,478
	12,168,381	U.S. Treasury Inflation Indexed Bond, 3.88%, due 04/15/29 (a)		17,460,811
	35,000,000	U.S. Treasury Note, USBM + 0.19%, 0.53%, due 04/30/18		35,036,645
	20,000,000	U.S. Treasury Note, 0.63%, due 11/30/17		19,971,100
	80,000,000	U.S. Treasury Note, 0.75%, due 02/28/18		79,959,360
	25,000,000	U.S. Treasury Note, 0.75%, due 07/31/18		24,969,725
	22,000,000	U.S. Treasury Note, 0.75%, due 08/31/18		21,972,500
	25,000,000	U.S. Treasury Note, 0.75%, due 02/15/19		24,921,875
	25,000,000	U.S. Treasury Note, 0.88%, due 04/30/17		25,051,275
	12,500,000	U.S. Treasury Note, 0.88%, due 04/15/19		12,493,650
	12,500,000	U.S. Treasury Note, 1.00%, due 05/15/18		12,541,013
	37,500,000	U.S. Treasury Note, 1.00%, due 09/30/19		37,549,800
	52,500,000	U.S. Treasury Note, 1.25%, due 10/31/19		52,953,232
	12,500,000	U.S. Treasury Note, 1.25%, due 02/29/20		12,590,825
	12,500,000	U.S. Treasury Note, 1.38%, due 07/31/18		12,630,862
	32,500,000	U.S. Treasury Note, 1.38%, due 01/31/20		32,879,600
	35,000,000	U.S. Treasury Note, 1.50%, due 01/31/19		35,519,540

Par Value† / Shares / Principal Amount		Description	Value ($)
		U.S. Government — continued
	10,000,000	U.S. Treasury Note, 1.50%, due 03/31/19		10,156,640
	72,500,000	U.S. Treasury Note, 1.50%, due 10/31/19		73,669,642
	25,000,000	U.S. Treasury Note, 1.63%, due 06/30/19		25,491,200
	25,000,000	U.S. Treasury Note, 1.63%, due 07/31/19		25,497,075
	52,500,000	U.S. Treasury Note, 1.63%, due 08/31/19		53,550,000
	10,000,000	U.S. Treasury Note, 1.75%, due 09/30/19		10,238,670
	25,000,000	U.S. Treasury Note, 2.75%, due 05/31/17		25,393,550
	20,000,000	U.S. Treasury Note, 3.13%, due 05/15/19		21,183,600
	19,000,000	U.S. Treasury Note, 3.38%, due 11/15/19		20,427,964
	20,000,000	U.S. Treasury Note, 3.50%, due 05/15/20		21,751,560
	50,000,000	U.S. Treasury Note, 3.63%, due 08/15/19		53,898,450
	25,000,000	U.S. Treasury Note, 3.63%, due 02/15/20 (b)		27,192,375
	14,000,000	U.S. Treasury Note, 4.63%, due 11/15/16		14,122,332
		Total U.S. Government		1,605,824,289
		TOTAL DEBT OBLIGATIONS (COST $1,574,021,466)		1,605,824,289
		MUTUAL FUNDS — 8.7%
		United States — 8.7%
		Affiliated Issuers — 8.7%
	7,114,228	GMO U.S. Treasury Fund		177,926,847
		TOTAL MUTUAL FUNDS (COST $177,921,392)		177,926,847
		OPTIONS PURCHASED — 0.1%
		Currency Options — 0.1%
EUR	17,897,000	EUR Call/USD Put, Expires 03/06/17, Strike 1.15, (OTC) (CP-GS)		340,493
USD	19,886,000	USD Call/CHF Put, Expires 03/06/17, Strike 1.00, (OTC) (CP-BCLY)		314,596
		Total Currency Options		655,089

Principal Amount		Expiration Date		Description	Floating Rate Index	Pay/Receive Fixed Rate	Exercise Rate		Counterparty	Value ($)
				Options on Interest Rate Swaps — 0.0%
EUR	186,688,000		05/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	MSCI		575,787
						TOTAL OPTIONS PURCHASED (COST $8,167,653)					1,230,876

2 See accompanying notes to the financial statements.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 11.4%
		Money Market Funds — 1.1%
	22,471,594	State Street Institutional Treasury Money Market Fund-Premier Class, 0.19% (c)		22,471,594
		Repurchase Agreements — 10.3%
	52,354,935	Mizuho Securities USA Inc. Repurchase Agreement, dated 8/31/16, maturing on 9/7/16 with a maturity value of $52,358,295 and an effective yield of 0.33%, collateralized by a U.S. Treasury Note with maturity date 5/15/19 and a market value of $53,421,806		52,354,935
	159,145,476	Nomura Securities International Inc. Repurchase Agreement, dated 8/26/16, maturing on 9/2/16 with a maturity value of $159,156,306 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 5/15/24 and a market value of $162,114,584		159,145,476
		TOTAL REPURCHASE AGREEMENTS (COST $211,500,411)		211,500,411
		TOTAL SHORT-TERM INVESTMENTS (COST $233,972,005)		233,972,005
		TOTAL INVESTMENTS — 99.0% (Cost $1,994,082,516)		2,018,954,017
		Other Assets and Liabilities (net) — 1.0%		19,378,003
		TOTAL NET ASSETS — 100.0%		$2,038,332,020

A summary of outstanding financial instruments at August 31, 2016 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
09/12/2016	BCLY		AUD	3,920,000		USD	2,902,454	$	(42,897	)
09/19/2016	MSCI		CHF	53,285,660		USD	55,576,814		1,346,461
11/21/2016	BOA		EUR	58,929,315		USD	66,948,711		990,419
11/21/2016	GS		EUR	7,457,000		USD	8,348,149		1,692
11/07/2017	GS		EUR	238,995,000		USD	262,404,560		(9,767,997	)
12/22/2017	JPM		EUR	62,184,000		USD	68,688,446		(2,295,109	)
11/21/2016	BOA		GBP	1,786,338		USD	2,350,785		1,123
09/12/2016	BOA		JPY	3,852,712,421		USD	36,786,736		(462,466	)
09/12/2016	GS		JPY	26,790,000		USD	267,336		8,322
09/12/2016	MSCI		JPY	1,589,784,104		USD	15,673,659		303,140
09/12/2016	BCLY		USD	2,926,434		AUD	3,920,000		18,916
09/12/2016	BOA		USD	28,196,897		JPY	2,994,877,000		758,490
09/12/2016	MSCI		USD	2,450,000		JPY	252,217,774		(11,481	)
09/19/2016	BCLY		USD	6,960,000		CHF	6,839,314		567
11/07/2017	GS		USD	263,778,782		EUR	238,995,000		8,393,775
12/22/2017	JPM		USD	69,205,942		EUR	62,184,000		1,777,614
								$	1,020,569

Swap Contracts

Cross-Currency Basis Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	72,119,587,000	JPY	3/9/2018	GS	3 Month JPY LIBOR plus a spread of (0.60)%	3 Month USD LIBOR	$	(3,427,152	)(d)
							$	(3,427,152	)
						Premiums to (Pay) Receive	$	—

Forward Starting Cross-Currency Basis Swaps
Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	273,603,000	EUR	3/10/2017	3/10/2020	GS	3 Month USD LIBOR	3 Month EURIBOR	$	781,075
	8,265,162,000	JPY	4/25/2018	4/25/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(101,263	)
	55,343,000	EUR	10/12/2016	10/12/2023	GS	3 Month EURIBOR	3 Month USD LIBOR		(224,985	)

See accompanying notes to the financial statements. 3

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued
Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	71,456,000	EUR	10/28/2016	10/28/2023	GS	3 Month EURIBOR	3 Month USD LIBOR	$	(228,166	)
	54,385,000	EUR	11/14/2016	11/14/2023	GS	3 Month EURIBOR	3 Month USD LIBOR		(86,375	)
	23,725,000	EUR	11/30/2016	11/30/2023	GS	3 Month EURIBOR	3 Month USD LIBOR		(49,011	)
	23,725,000	EUR	11/30/2016	11/30/2023	GS	3 Month EURIBOR	3 Month USD LIBOR		(58,829	)
	75,723,000	EUR	4/30/2018	4/30/2024	GS	3 Month EURIBOR	3 Month USD LIBOR		(311,394	)
	649,528,000	EUR	1/23/2020	1/23/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		13,584,502
	98,226,000	EUR	3/10/2022	3/10/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		834,807
	73,783,000	EUR	5/12/2020	5/12/2025	GS	3 Month EURIBOR	3 Month USD LIBOR		(302,930	)
	20,880,000	EUR	9/5/2017	9/5/2025	GS	3 Month EURIBOR	3 Month USD LIBOR		(30,950	)
	20,607,000	EUR	3/19/2018	3/19/2026	GS	3 Month EURIBOR	3 Month USD LIBOR		72,882
	28,777,000	EUR	4/6/2021	4/6/2026	GS	3 Month EURIBOR	3 Month USD LIBOR		(198,193	)
	8,086,000	EUR	4/6/2021	4/6/2026	GS	3 Month EURIBOR	3 Month USD LIBOR		(55,690	)
								$	13,625,480
						Premiums to (Pay) Receive		$	(4,376,816	)

¹  For JPY LIBOR, Fund pays 3 Month JPY LIBOR adjusted by a spread. Spread is (0.75)%.

For EURIBOR, Fund pays 3 Month EURIBOR adjusted by a spread. Spreads range from (0.45)% to (0.58)%.

²  For EURIBOR, Fund receives 3 Month EURIBOR adjusted by a spread. Spreads range from (0.21)% to (0.37)%.

Interest Rate Swaps
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	16,051,000	GBP	6/15/2021	JPMF (e)	Receive	1.05%	6 Month GBP LIBOR	$	581,354
	10,130,000	GBP	6/16/2021	JPMF (e)	Receive	1.07%	6 Month GBP LIBOR		378,679
	19,865,000	GBP	6/16/2021	JPMF (e)	Receive	1.21%	6 Month GBP LIBOR		908,297
	1,207,633,000	SEK	12/15/2021	JPMF (f)	Receive	0.08%	3 Month SEK STIBOR		591,242
	4,681,000	EUR	12/17/2025	JPMF (f)	(Pay)	0.94%	6 Month EURIBOR		(100,995	)
	241,018,000	MXN	1/5/2026	JPMF (e)	Receive	6.26%	TIIE		163,901
	190,746,000	MXN	1/5/2026	JPMF (e)	Receive	6.24%	TIIE		118,093
	258,080,000	MXN	1/8/2026	JPMF (e)	Receive	6.29%	TIIE		207,213
	352,940,000	MXN	1/27/2026	JPMF (e)	Receive	6.05%	TIIE		(67,211	)
	37,382,000	GBP	3/11/2026	JPMF (e)	(Pay)	2.12%	6 Month GBP LIBOR		(6,709,524	)
	144,459,000	MXN	4/30/2026	JPMF (e)	Receive	6.08%	TIIE		(17,705	)
	126,698,000	MXN	5/11/2026	JPMF (e)	Receive	6.31%	TIIE		105,151
	125,608,000	MXN	5/11/2026	JPMF (e)	Receive	6.30%	TIIE		98,999
	125,852,000	MXN	5/12/2026	JPMF (e)	Receive	6.36%	TIIE		130,697
	33,227,000	GBP	6/17/2026	JPMF (e)	Receive	1.80%	6 Month GBP LIBOR		1,957,849
	20,456,000	GBP	6/17/2026	JPMF (e)	Receive	1.95%	6 Month GBP LIBOR		1,404,255
	69,846,000	MXN	7/22/2026	JPMF (e)	Receive	6.26%	TIIE		40,083
	27,355,000	NZD	9/16/2026	JPMF (f)	Receive	2.73%	3 Month NZD Bank Bill Rate		587,848
	10,028,000	NZD	9/16/2026	JPMF (f)	Receive	2.79%	3 Month NZD Bank Bill Rate		252,655
	18,071,000	NZD	9/16/2026	JPMF (f)	Receive	2.86%	3 Month NZD Bank Bill Rate		542,896
	8,658,000	NZD	9/16/2026	JPMF (f)	Receive	2.88%	3 Month NZD Bank Bill Rate		269,900

4 See accompanying notes to the financial statements.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	16,695,000	NZD	9/16/2026	JPMF (f)	Receive	2.66%	3 Month NZD Bank Bill Rate	$	283,053
	50,648,000	USD	9/16/2026	JPMF (f)	(Pay)	1.80%	3 Month USD LIBOR		(284,057	)
	18,688,000	USD	9/16/2026	JPMF (f)	(Pay)	1.70%	3 Month USD LIBOR		(15,435	)
	18,688,000	USD	9/16/2026	JPMF (f)	(Pay)	1.69%	3 Month USD LIBOR		(6,758	)
	11,213,000	USD	9/16/2026	JPMF (f)	(Pay)	1.69%	3 Month USD LIBOR		(3,404	)
	49,024,000	USD	9/16/2026	JPMF (f)	(Pay)	1.80%	3 Month USD LIBOR		(258,446	)
	9,775,000	GBP	2/17/2027	JPMF (e)	(Pay)	1.39%	6 Month GBP LIBOR		(858,470	)
	9,259,000	GBP	5/12/2027	JPMF (e)	(Pay)	1.56%	6 Month GBP LIBOR		(991,101	)
	2,080,000	EUR	8/21/2027	JPMF (f)	(Pay)	0.56%	6 Month EURIBOR		(33,006	)
	7,677,000	EUR	11/20/2027	JPMF (f)	(Pay)	0.64%	6 Month EURIBOR		(160,469	)
	57,512,000	EUR	12/18/2030	JPMF (f)	Receive	1.61%	6 Month EURIBOR		1,281,006
	3,563,000	GBP	12/18/2030	JPMF (e)	Receive	2.61%	6 Month GBP LIBOR		324,440
	40,483,000	GBP	12/18/2030	JPMF (e)	Receive	2.42%	6 Month GBP LIBOR		3,202,422
	22,600,000	GBP	12/18/2030	JPMF (e)	Receive	1.20%	6 Month GBP LIBOR		1,570,778
	46,368,000	EUR	12/17/2031	JPMF (f)	(Pay)	1.19%	6 Month EURIBOR		76,256
	10,900,000	GBP	12/17/2031	JPMF (e)	(Pay)	1.55%	6 Month GBP LIBOR		(1,461,253	)
	7,434,000	GBP	2/9/2032	JPMF (e)	(Pay)	1.61%	6 Month GBP LIBOR		(1,079,324	)
	13,136,000	GBP	3/17/2032	JPMF (e)	(Pay)	1.72%	6 Month GBP LIBOR		(2,160,451	)
	18,728,000	GBP	6/16/2032	JPMF (e)	(Pay)	1.67%	6 Month GBP LIBOR		(2,866,694	)
	94,491,000	GBP	9/14/2032	JPMF (e)	Receive	1.46%	6 Month GBP LIBOR		10,379,749
	4,815,000	EUR	12/20/2045	JPMF (f)	Receive	1.13%	6 Month EURIBOR		127,230
	16,109,000	EUR	12/20/2045	JPMF (f)	Receive	1.22%	6 Month EURIBOR		653,517
	20,354,000	EUR	12/20/2045	JPMF (f)	Receive	1.11%	6 Month EURIBOR		489,843
	601,769,000	EUR	12/20/2045	JPMF (f)	Receive	1.29%	6 Month EURIBOR		30,530,736
	20,267,000	EUR	12/20/2045	JPMF (f)	(Pay)	0.99%	6 Month EURIBOR		(132,395	)
	17,581,000	EUR	12/20/2045	JPMF (f)	Receive	1.20%	6 Month EURIBOR		645,883
	234,577,000	GBP	12/20/2045	JPMF (e)	Receive	1.60%	6 Month GBP LIBOR		30,062,406
	30,067,000	GBP	3/11/2046	JPMF (e)	Receive	2.34%	6 Month GBP LIBOR		16,172,356
	77,802,000	GBP	12/19/2046	JPMF (e)	(Pay)	1.54%	6 Month GBP LIBOR		(9,521,434	)
	42,745,000	GBP	2/9/2047	JPMF (e)	(Pay)	1.61%	6 Month GBP LIBOR		(5,790,919	)
	43,642,000	GBP	2/17/2047	JPMF (e)	(Pay)	1.63%	6 Month GBP LIBOR		(7,337,795	)
	39,256,000	GBP	5/12/2047	JPMF (e)	(Pay)	1.69%	6 Month GBP LIBOR		(7,187,331	)
	11,736,000	EUR	8/23/2047	JPMF (f)	(Pay)	0.97%	6 Month EURIBOR		21,953
	7,626,000	EUR	8/23/2047	JPMF (f)	(Pay)	1.00%	6 Month EURIBOR		(31,132	)
	93,899,000	GBP	9/14/2047	JPMF (e)	(Pay)	1.42%	6 Month GBP LIBOR		(19,510,044	)
	3,313,000	EUR	11/22/2047	JPMF (f)	(Pay)	0.97%	6 Month EURIBOR		4,062
	19,961,000	EUR	11/22/2047	JPMF (f)	(Pay)	1.07%	6 Month EURIBOR		(382,571	)
	42,000,000	EUR	3/14/2048	JPMF (f)	(Pay)	1.06%	6 Month EURIBOR		(1,155,253	)
	17,086,000	EUR	3/18/2048	JPMF (f)	Receive	0.84%	6 Month EURIBOR		(82,916	)
	552,243,000	EUR	3/18/2048	JPMF (f)	(Pay)	1.20%	6 Month EURIBOR		(26,378,628	)
								$	9,580,081
							Premiums to (Pay) Receive	$	(16,407,482	)

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

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

See accompanying notes to the financial statements. 5

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

As of August 31, 2016, 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:

† Denominated in U.S. Dollar, unless otherwise indicated.

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

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

(c) The rate disclosed is the 7 day net yield as of August 31, 2016.

(d) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2).

(e) Swap was cleared through the CME Group Inc.

(f) Swap was cleared through the LCH.Clearnet Group Ltd.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 43.

6 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary†	% of Total Net Assets
Debt Obligations		72.7	%
Short-Term Investments		26.4
Mutual Funds		15.0
Loan Participations		0.1
Forward Currency Contracts		0.1
Rights/Warrants		0.1
Options Purchased		0.0	^
Loan Assignments		0.0	^
Written Options/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Futures Contracts		(0.0	)^
Swap Contracts		(0.1	)
Other		(14.3	)
		100.0	%
Country/Region Summary‡	% of Investments
United States		89.5	%
Other Emerging		5.2	¥
Mexico		3.8
Sweden		2.9
New Zealand		2.3
United Kingdom		(3.7	)
		100.0	%

† The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

‡ The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table is normalized to 100%, therefore the absolute exposure presented for each country may not be representative of the true exposure of the Fund. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security.

¥ “Other Emerging” is associated with investments in GMO Emerging Country Debt Fund and is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.00%.

7

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 49.0%
		United States
		U.S. Government — 34.0%
	3,192,000	U.S. Treasury Bond, 3.13%, due 11/15/41 (a)		3,789,753
	225,000	U.S. Treasury Bond, 4.50%, due 02/15/36		321,504
	7,614,000	U.S. Treasury Note, 1.38%, due 06/30/18		7,690,437
	5,487,000	U.S. Treasury Note, 1.63%, due 11/30/20		5,593,739
	3,218,000	U.S. Treasury Note, 1.63%, due 05/31/23		3,257,597
	2,536,000	U.S. Treasury Note, 1.63%, due 02/15/26		2,543,925
				23,196,955
		U.S. Government Agency — 15.0%
	1,370,000	Federal Home Loan Mortgage Corp., TBA, 3.50%, due 09/14/46		1,442,139
	1,550,000	Federal National Mortgage Association, TBA, 2.50%, due 09/19/46		1,600,860
	1,420,000	Federal National Mortgage Association, TBA, 3.00%, due 09/14/46		1,472,584
	2,150,000	Federal National Mortgage Association, TBA, 4.00%, due 09/14/46		2,302,516
	3,210,000	Government National Mortgage Association, TBA, 3.50%, due 09/21/46		3,407,666
				10,225,765
		TOTAL DEBT OBLIGATIONS (COST $33,617,612)		33,422,720
		MUTUAL FUNDS — 64.8%
		United States
		Affiliated Issuers — 49.8%
	540,910	GMO Debt Opportunities Fund, Class VI		13,701,241
	120,941	GMO Emerging Country Debt Fund, Class IV		3,636,709
	663,756	GMO U.S. Treasury Fund		16,600,545
				33,938,495
		Exchange-Traded Fund — 15.0%
	82,750	iShares iBoxx $ Investment Grade Corporate Bond ETF		10,251,897
		TOTAL MUTUAL FUNDS (COST $43,682,992)		44,190,392
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds
	409,771	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.20% (b)		409,771
		TOTAL SHORT-TERM INVESTMENTS (COST $409,771)		409,771
		TOTAL INVESTMENTS — 114.4% (Cost $77,710,375)		78,022,883
		Other Assets and Liabilities (net) — (14.4%)		(9,827,297	)
		TOTAL NET ASSETS — 100.0%		$68,195,586

A summary of outstanding financial instruments at August 31, 2016 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
09/12/2016	BCLY		AUD	30,000		USD	22,213	$	(328	)
09/19/2016	MSCI		CHF	1,621,125		USD	1,690,829		40,964
11/21/2016	BOA		EUR	1,458,023		USD	1,656,438		24,505
11/07/2017	GS		EUR	4,716,000		USD	5,177,932		(192,748	)
11/21/2016	BOA		GBP	37,865		USD	49,830		24
09/12/2016	BOA		JPY	28,598,225		USD	279,000		2,503
09/12/2016	MSCI		JPY	44,438,844		USD	435,944		6,295
09/12/2016	BCLY		USD	22,396		AUD	30,000		145
11/07/2017	GS		USD	5,205,049		EUR	4,716,000		165,631
								$	46,991

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
1	U.S. Long Bond (CBT)		December 2016	$	170,375	$	(423	)
22	U.S. Treasury Note 10 Yr. (CBT)		December 2016		2,880,281		(7,424	)
30	U.S. Treasury Note 2 Yr. (CBT)		December 2016		6,549,375		(4,248	)
43	U.S. Treasury Note 5 Yr. (CBT)		December 2016		5,213,750		(10,475	)
7	U.S. Ultra Bond (CBT)		December 2016		1,312,282		809
				$	16,126,063	$	(21,761	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

8 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

Swap Contracts

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	33,982,000	SEK	12/15/2021	CSS (c)	Receive	0.08%	3 Month SEK STIBOR	$	16,637
	25,742,000	MXN	1/5/2026	CSS (d)	Receive	6.24%	TIIE		15,937
	21,522,000	MXN	6/19/2026	CSS (d)	Receive	6.11%	TIIE		(774	)
	770,000	NZD	9/16/2026	CSS (c)	Receive	2.73%	3 Month NZD Bank Bill Rate		16,547
	1,414,000	NZD	9/16/2026	CSS (c)	Receive	2.66%	3 Month NZD Bank Bill Rate		23,973
	1,470,000	USD	9/16/2026	CSS (c)	(Pay)	1.68%	3 Month USD LIBOR		151
	1,451,000	USD	9/16/2026	CSS (c)	(Pay)	1.80%	3 Month USD LIBOR		(7,649	)
	1,577,000	USD	9/16/2026	CSS (c)	(Pay)	1.80%	3 Month USD LIBOR		(8,845	)
	1,350,000	GBP	12/20/2045	CSS (c)	(Pay)	1.21%	6 Month GBP LIBOR		(72,441	)
								$	(16,464	)
							Premiums to (Pay) Receive	$	(21,542	)

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

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

As of August 31, 2016, 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:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) 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 (Note 4).

(b) The rate disclosed is the 7 day net yield as of August 31, 2016.

(c) Swap was cleared through the LCH.Clearnet Group Ltd.

(d) Swap was cleared through the CME Group Inc.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 43.

See accompanying notes to the financial statements. 9

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary†	% of Total Net Assets
Debt Obligations		65.2	%
Short-Term Investments		33.5
Forward Currency Contracts		0.7
Futures Contracts		0.4
Loan Participations		0.1
Rights/Warrants		0.1
Options Purchased		0.0	^
Loan Assignments		0.0	^
Written Options/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Swap Contracts		(0.4	)
Other		0.4
		100.0	%
Country/Region Summary‡	% of Investments
Germany		17.2	%
France		16.2
United Kingdom		14.9
Italy		14.1
Spain		7.7
Other Emerging		5.4	¥
Belgium		4.3
New Zealand		4.3
Sweden		3.8
Mexico		3.5
Australia		3.4
Netherlands		3.3
Euro Region§		3.1
Canada		2.7
Other Developed		(3.9	)¨
		100.0	%

† The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

‡ The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table is normalized to 100%, therefore the absolute exposure presented for each country may not be representative of the true exposure of the Fund. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security.

¥ “Other Emerging” is associated with investments in GMO Emerging Country Debt Fund and is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

§ “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

^¨  “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.00%.

10

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 55.6%
		Belgium — 4.2%
		Foreign Government Obligations
EUR	1,130,000	Belgium Government Bond, Reg S, 4.25%, due 09/28/21		1,563,947
EUR	590,000	Belgium Government Bond, Reg S, 5.00%, due 03/28/35		1,166,483
		Total Belgium		2,730,430
		France — 3.9%
		Foreign Government Obligations
EUR	1,230,000	France Government Bond OAT, Reg S, 4.50%, due 04/25/41		2,483,072
		Germany — 4.7%
		Foreign Government Obligations
EUR	1,500,000	Bundesrepublik Deutschland, Reg S, 4.75%, due 07/04/34		3,022,133
		Italy — 15.9%
		Foreign Government Obligations
EUR	5,610,000	Buoni Poliennali Del Tesoro, 3.75%, due 05/01/21		7,278,446
EUR	1,920,000	Buoni Poliennali Del Tesoro, Reg S, 4.00%, due 02/01/37		2,936,222
		Total Italy		10,214,668
		Netherlands — 3.1%
		Foreign Government Obligations
EUR	70,000	Netherlands Government Bond, Reg S, 4.00%, due 07/15/19		88,529
EUR	1,050,000	Netherlands Government Bond, 5.50%, due 01/15/28		1,899,173
		Total Netherlands		1,987,702

Par Value† / Shares		Description	Value ($)
		Spain — 9.8%
		Foreign Government Obligations
EUR	380,000	Government of Spain, 2.10%, due 04/30/17		430,420
EUR	1,010,000	Government of Spain, Reg S, 4.20%, due 01/31/37		1,603,292
EUR	3,040,000	Government of Spain, Reg S, 5.50%, due 04/30/21		4,244,882
		Total Spain		6,278,594
		United Kingdom — 14.0%
		Foreign Government Obligations
GBP	510,000	United Kingdom Gilt, Reg S, 1.25%, due 07/22/18		683,761
GBP	2,160,000	United Kingdom Gilt, Reg S, 1.75%, due 07/22/19		2,969,481
GBP	2,630,000	United Kingdom Gilt, Reg S, 3.50%, due 01/22/45		5,310,726
		Total United Kingdom		8,963,968
		TOTAL DEBT OBLIGATIONS (COST $34,712,111)		35,680,567
		MUTUAL FUNDS — 41.1%
		United States
		Affiliated Issuers
	111,902	GMO Debt Opportunities Fund, Class VI		2,834,480
	127,032	GMO Emerging Country Debt Fund, Class IV		3,819,839
	787,934	GMO U.S. Treasury Fund		19,706,220
		TOTAL MUTUAL FUNDS (COST $25,136,619)		26,360,539

OPTIONS PURCHASED — 0.0%

Principal Amount		Expiration Date		Description	Floating Rate Index	Pay/Receive Fixed Rate	Exercise Rate		Counterparty	Value ($)
				Options on Interest Rate Swaps
EUR	954,000		05/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	MSCI		2,942
EUR	954,000		02/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	MSCI		1,086
EUR	954,000		08/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	MSCI		5,816
EUR	1,845,000		02/01/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.03%	GS		1,041
EUR	604,000		10/13/2016	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		1.90%	GS		7
						TOTAL OPTIONS PURCHASED (COST $196,489)					10,892

See accompanying notes to the financial statements. 11

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 2.1%
		Money Market Funds — 0.6%
	358,212	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.20% (a)		358,212
		U.S. Government — 1.5%
	1,000,000	U.S. Treasury Bill, 0.42%, due 01/26/17 (b) (c)		998,330
		TOTAL SHORT-TERM INVESTMENTS (COST $1,356,642)		1,356,542
		TOTAL INVESTMENTS — 98.8% (Cost $61,401,861)		63,408,540
		Other Assets and Liabilities (net) — 1.2%		741,766
		TOTAL NET ASSETS — 100.0%		$64,150,306

A summary of outstanding financial instruments at August 31, 2016 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation)
09/12/2016	BCLY	AUD	210,000	USD	155,489		$(2,298)
09/19/2016	MSCI	CHF	1,514,300	USD	1,579,411		38,265
11/21/2016	BOA	EUR	25,563,748	USD	29,042,591		429,647
11/07/2017	GS	EUR	1,404,000	USD	1,541,522		(57,383)
11/21/2016	BOA	GBP	6,812,000	USD	8,964,456		4,281
09/12/2016	BOA	JPY	66,814,179	USD	645,140		(840)
09/12/2016	MSCI	JPY	41,474,320	USD	406,852		5,865
09/12/2016	BCLY	USD	156,773	AUD	210,000		1,014
09/12/2016	BOA	USD	377,176	JPY	40,061,000		10,146
11/21/2016	BOA	USD	103,962	GBP	79,000		(50)
11/07/2017	GS	USD	1,549,595	EUR	1,404,000		49,310
							$477,957

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
14	Australian Government Bond 10 Yr.		September 2016	$	1,450,878	$	29,210
15	Australian Government Bond 3 Yr.		September 2016		1,279,868		5,489
16	Canadian Government Bond 10 Yr.		December 2016		1,790,697		2,533
21	Euro BOBL		September 2016		3,129,273		9,517
8	Euro Bund		September 2016		1,493,632		24,195
6	Euro BUXL Bond 30 Yr.		September 2016		1,291,558		45,282
29	Euro OATs		September 2016		5,217,418		126,777
4	Short-term Euro-BTP		September 2016		504,362		933
24	UK Gilt Long Bond		December 2016		4,145,245		11,008
				$	20,302,931	$	254,944

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	3,890,000	EUR	11/28/2016	CSS (d)	Receive	0.10%	3 Month EURIBOR	$	4,139
	10,113,000	EUR	3/21/2018	CSS (d)	Receive	(0.22)%	3 Month EURIBOR		20,891
	665,000	USD	12/16/2020	CSS (d)	(Pay)	1.92%	3 Month USD LIBOR		(20,819	)
	7,393,000	SEK	12/15/2021	CSS (e)	Receive	0.12%	3 Month SEK STIBOR		5,354
	24,585,000	SEK	12/15/2021	CSS (e)	Receive	0.08%	3 Month SEK STIBOR		12,037
	3,602,000	MXN	10/28/2024	BCI (d)	Receive	6.13%	TIIE		1,601

12 See accompanying notes to the financial statements.

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	415,000	EUR	12/17/2025	CSS (e)	(Pay)	0.94%	6 Month EURIBOR	$	(8,954	)
	1,066,000	USD	12/17/2025	CSS (d)	(Pay)	2.43%	3 Month USD LIBOR		(94,761	)
	18,923,000	MXN	1/27/2026	CSS (d)	Receive	6.05%	TIIE		(3,604	)
	7,254,000	MXN	5/12/2026	CSS (d)	Receive	6.36%	TIIE		7,533
	14,880,000	MXN	6/19/2026	CSS (d)	Receive	6.11%	TIIE		(535	)
	713,000	NZD	9/16/2026	CSS (e)	Receive	2.73%	3 Month NZD Bank Bill Rate		15,322
	1,327,000	NZD	9/16/2026	CSS (e)	Receive	2.66%	3 Month NZD Bank Bill Rate		22,498
	1,472,000	USD	9/16/2026	CSS (e)	(Pay)	1.80%	3 Month USD LIBOR		(8,256	)
	1,373,000	USD	9/16/2026	CSS (e)	(Pay)	1.68%	3 Month USD LIBOR		141
	1,361,000	USD	9/16/2026	CSS (e)	(Pay)	1.80%	3 Month USD LIBOR		(7,175	)
	490,000	EUR	12/18/2030	CSS (e)	Receive	1.61%	6 Month EURIBOR		10,914
	405,000	USD	12/19/2035	CSS (d)	(Pay)	2.72%	3 Month USD LIBOR		(73,695	)
	273,000	EUR	12/20/2045	CSS (e)	Receive	1.20%	6 Month EURIBOR		10,029
	437,800	EUR	12/20/2045	CSS (e)	(Pay)	1.29%	6 Month EURIBOR		(22,212	)
	283,000	EUR	12/20/2045	CSS (e)	Receive	1.22%	6 Month EURIBOR		11,481
	224,000	EUR	12/20/2045	CSS (e)	Receive	1.11%	6 Month EURIBOR		5,391
	1,262,000	GBP	12/20/2045	CSS (e)	(Pay)	1.21%	6 Month GBP LIBOR		(67,719	)
	95,000	EUR	11/22/2047	CSS (e)	(Pay)	0.97%	6 Month EURIBOR		117
								$	(180,282	)
						Premiums to (Pay) Receive		$	6,079

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

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

As of August 31, 2016, 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:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) The rate disclosed is the 7 day net yield as of August 31, 2016.

(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 (Note 4).

(d) Swap was cleared through the CME Group Inc.

(e) Swap was cleared through the LCH.Clearnet Group Ltd.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 43.

See accompanying notes to the financial statements. 13

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		93.8	%
Mutual Funds		3.7
Short-Term Investments		1.5
Options Purchased		0.1
Written Options		0.0	^
Swap Contracts		0.0	^
Forward Currency Contracts		0.0	^
Other		0.9
		100.0	%

Industry Sector Summary	% of Debt Obligations
Commercial Mortgage-Backed Securities		24.1	%
Student Loans		19.1
Collateralized Loan Obligations		17.3
Residential Mortgage-Backed Securities – Other		9.2
Auto Retail Subprime		8.1
Residential Mortgage-Backed Securities – Subprime		6.6
Residential Mortgage-Backed Securities – Prime		5.7
Residential Mortgage-Backed Securities – Alt-A		4.0
Time Share		1.5
U.S. Government Agency		1.4
Auto Retail Prime		1.3
Business Equipment Loans		0.8
Insured Residential Mortgage-Backed Securities		0.5
Consumer Loans		0.3
Other		0.1
		100.0	%

& In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

^ Rounds to 0.0%.

14

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 93.8%
		Asset-Backed Securities — 92.5%
		Auto Retail Prime — 1.2%
	4,500,000	California Republic Auto Receivables Trust, Series 12-1, Class C, 144A, 3.00%, due 01/15/20		4,508,946
	13,120,000	California Republic Auto Receivables Trust, Series 13-1, Class C, 144A, 3.25%, due 03/16/20		13,204,202
	985,600	California Republic Auto Receivables Trust, Series 14-1, Class C, 3.40%, due 12/15/20		986,683
		Total Auto Retail Prime		18,699,831
		Auto Retail Subprime — 7.6%
	11,430,000	AmeriCredit Automobile Receivables Trust, Series 12-2, Class E, 144A, 4.85%, due 08/08/19		11,436,049
	3,500,000	AmeriCredit Automobile Receivables Trust, Series 13-1, Class E, 144A, 2.64%, due 07/08/20		3,512,514
	13,720,000	AmeriCredit Automobile Receivables Trust, Series 14-2, Class E, 3.37%, due 11/08/21		13,878,816
	2,804,000	CarFinance Capital Auto Trust, Series 13-1A, Class D, 144A, 4.68%, due 11/15/19		2,818,424
	1,755,000	CarFinance Capital Auto Trust, Series 13-2A, Class D, 144A, 5.93%, due 08/15/19		1,786,740
	2,592,000	CarFinance Capital Auto Trust, Series 14-1A, Class C, 144A, 3.45%, due 04/15/20		2,587,655
	1,330,000	CarFinance Capital Auto Trust, Series 14-1A, Class D, 144A, 4.90%, due 04/15/20		1,322,505
	4,130,000	CFC LLC, Series 14-2A, Class E, 144A, 5.36%, due 11/15/21		3,988,886
	562,026	CPS Auto Receivables Trust, Series 13-A, Class D, 144A, 4.41%, due 06/15/20		561,245
	52,931	CPS Auto Receivables Trust, Series 13-A, Class E, 144A, 6.41%, due 06/15/20		52,943
	2,765,480	CPS Auto Receivables Trust, Series 13-B, Class D, 144A, 4.66%, due 09/15/20		2,761,211
	51,150	CPS Auto Receivables Trust, Series 13-B, Class E, 144A, 6.41%, due 09/15/20		51,148
	4,000,000	CPS Auto Receivables Trust, Series 14-A, Class C, 144A, 3.29%, due 02/18/20		3,963,051
	1,500,000	CPS Auto Receivables Trust, Series 14-A, Class D, 144A, 5.11%, due 02/18/20		1,494,067
	1,049,647	CPS Auto Receivables Trust, Series 15-C, Class D, 144A, 4.63%, due 08/16/21		1,036,493
	388,942	CPS Auto Trust, Series 12-D, Class D, 144A, 4.82%, due 03/16/20		388,656
	6,250,535	DT Auto Owner Trust, Series 13-1A, Class D, 144A, 3.74%, due 05/15/20		6,294,877
	6,539,139	DT Auto Owner Trust, Series 13-2A, Class D, 144A, 4.18%, due 06/15/20		6,596,930

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Auto Retail Subprime — continued
	5,847,188	DT Auto Owner Trust, Series 15-2A, Class D, 144A, 4.25%, due 02/15/22		5,837,334
	12,000,000	Exeter Automobile Receivables Trust, Series 13-2A, Class D, 144A, 6.81%, due 08/17/20		12,315,696
	6,000,000	Exeter Automobile Receivables Trust, Series 14-1A, Class C, 144A, 3.57%, due 07/15/19		6,039,153
	6,000,000	Exeter Automobile Receivables Trust, Series 14-1A, Class D, 144A, 5.53%, due 02/16/21		6,063,244
	5,000,000	Exeter Automobile Receivables Trust, Series 14-2A, Class C, 144A, 3.26%, due 12/16/19		5,025,269
	4,875,000	Exeter Automobile Receivables Trust, Series 14-2A, Class D, 144A, 4.93%, due 12/15/20		4,896,778
	3,000,000	First Investors Auto Owner Trust, Series 12-2A, Class D, 144A, 3.79%, due 09/16/19		3,010,493
	1,071,781	Flagship Credit Auto Trust, Series 12-1, Class C, 144A, 4.93%, due 05/15/18		1,075,223
	1,938,500	Flagship Credit Auto Trust, Series 13-1, Class D, 144A, 5.38%, due 07/15/20		1,955,619
	1,144,000	Flagship Credit Auto Trust, Series 13-2, Class C, 144A, 4.42%, due 12/16/19		1,156,909
	3,000,000	Flagship Credit Auto Trust, Series 14-1, Class C, 144A, 3.34%, due 04/15/20		2,984,779
	1,500,000	Flagship Credit Auto Trust, Series 14-1, Class D, 144A, 4.83%, due 06/15/20		1,499,080
	1,400,000	Flagship Credit Auto Trust, Series 14-1, Class E, 144A, 5.71%, due 08/16/21		1,404,222
		Total Auto Retail Subprime		117,796,009
		Business Equipment Loans — 0.7%
	352,500	LEAF Receivables Funding 9 LLC, Series 13-1, Class B, 144A, 2.80%, due 09/15/21		352,265
	2,841,000	LEAF Receivables Funding 9 LLC, Series 13-1, Class D, 144A, 5.11%, due 09/15/21		2,847,607
	5,700,000	LEAF Receivables Funding 9 LLC, Series 13-1, Class E1, 144A, 6.00%, due 09/15/21		5,838,590
	2,282,000	LEAF Receivables Funding 9 LLC, Series 13-1, Class E2, 144A, 6.00%, due 09/15/21		2,264,429
		Total Business Equipment Loans		11,302,891
		Collateralized Loan Obligations — 16.2%
	37,276,500	Arrowpoint CLO Ltd., Series 15-4A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.55%, 2.23%, due 04/18/27		37,266,659

See accompanying notes to the financial statements. 15

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	2,224,283	Atrium V, Series 5A, Class A3A, 144A, Variable Rate, 3 mo. LIBOR + .24%, 1.05%, due 07/20/20		2,221,320
	1,408,000	Atrium V, Series 5A, Class D, 144A, Variable Rate, 3 mo. LIBOR + 3.70%, 4.51%, due 07/20/20		1,409,302
	3,520,000	Atrium V, Series 5X, Class D, Reg S, Variable Rate, 3 mo. LIBOR + 3.70%, 4.51%, due 07/20/20		3,523,256
	3,480,000	Atrium XI, Series 11A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 2.15%, 2.86%, due 10/23/25		3,480,880
	870,000	BlueMountain CLO Ltd., Series 12-2A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 2.75%, 3.56%, due 11/20/24		872,166
	2,322,513	Carlyle High Yield Partners IX Ltd., Series 06-9A, Class A2, 144A , Variable Rate, 3 mo. LIBOR + .22%, 0.88%, due 08/01/21		2,321,612
	16,915,567	Centurion CDO 9 Ltd., Series 05-9A, Class A1B, 144A, Variable Rate, 3 mo. LIBOR + .25%, 0.93%, due 07/17/19		16,915,533
	13,200,000	CIFC Funding Ltd., Series 13-4X, Class C1,144A, Variable Rate, 3 mo. LIBOR + 3.25%, 4.08%, due 11/27/24		13,221,952
	3,750,000	CIFC Funding Ltd., Series 15-5A, Class D, 144A, Variable Rate, 3 mo. LIBOR + 6.30%, 6.94%, due 10/25/27		3,525,623
	4,350,000	Dorchester Park CLO Ltd., Series 15-1A, Class E, 144A, Variable Rate, 3 mo. LIBOR + 5.25%, 5.95%, due 01/20/27		4,026,682
	3,318,234	Franklin CLO V Ltd., Series 5A, Class B,144A, Variable Rate, 3 mo. LIBOR + .45%, 1.10%, due 06/15/18		3,317,772
	20,462,299	Franklin CLO VI Ltd., Series 6A, Class A,144A, Variable Rate, 3 mo. LIBOR + .23%, 1.02%, due 08/09/19		20,112,414
	3,520,000	GoldenTree Loan Opportunities III Ltd., Series 07-3A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 2.01%, due 05/01/22		3,482,494
	28,020,000	Jamestown CLO VI Ltd., Series 15-6A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 2.41%, due 02/20/27		28,023,727
	9,592,000	Kingsland IV Ltd., Series 07-4X, Class B, Reg S, Variable Rate, 3 mo. LIBOR + .40%, 1.08%, due 04/16/21		9,301,468
	22,307,000	Madison Park Funding X Ltd., Series 12-10A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + 1.40%, 2.10%, due 01/20/25		22,304,100
	4,350,000	Magnetite VI Ltd., Series 12-6A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 1.85%, 2.50%, due 09/15/23		4,350,305
	3,520,000	Magnetite VI Ltd., Series 12-6A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 3.25%, due 09/15/23		3,520,461

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	1,291,223	Nautique Funding Ltd., Series 06-1A, Class A1B, 144A, Variable Rate, 1 mo. LIBOR + .25%, 0.76%, due 04/15/20		1,290,342
	20,880,724	Rockwall CDO II Ltd., Series 07-1A, Class A1LA, 144A, Variable Rate, 3 mo. LIBOR + .25%, 1.01%, due 08/01/24		20,690,167
	7,363,847	Shasta CLO Ltd., Series 07-1X, Class A2L, Reg S, Variable Rate, 3 mo. LIBOR + .40%, 1.10%, due 04/20/21		7,361,130
	3,697,830	Shinnecock CLO, Series 06-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + .48%, 1.16%, due 07/15/18		3,685,179
	36,880,000	West CLO Ltd., Series 14-2A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.55%, 2.23%, due 01/16/27		36,878,340
		Total Collateralized Loan Obligations		253,102,884
		Commercial Mortgage-Backed Securities — 22.6%
	7,136,026	Bayview Commercial Asset Trust, Series 04-1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .36%, 0.88%, due 04/25/34		6,725,560
	1,019,358	Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .84%, 1.08%, due 04/25/34		950,460
	566,885	Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 1.72%, due 04/25/34		538,289
	7,181,045	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.89%, due 01/25/35		6,440,445
	9,041,860	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .31%, 0.83%, due 08/25/35		7,862,282
	10,441,434	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .39%, 0.91%, due 01/25/36		8,988,227
	10,719,163	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .28%, 0.80%, due 07/25/36		9,129,172
	1,251,109	Bayview Commercial Asset Trust, Series 06-3A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .30%, 0.82%, due 10/25/36		1,024,473
	21,006,964	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .27%, 0.79%, due 07/25/37		17,871,571
	6,813,554	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .24%, 0.76%, due 07/25/37		5,772,838
	7,805,140	Bayview Commercial Asset Trust, Series 07-4A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .45%, 0.94%, due 09/25/37		6,537,494

16 See accompanying notes to the financial statements.

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	1,715,711	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 1.30%, 1.82%, due 12/25/37		2,054,335
	4,406,000	Bear Stearns Commercial Mortgage Securities Trust, Series 05-PWR9, Class E, Variable Rate, 5.14%, due 09/11/42		4,191,983
	3,074,400	Citigroup Commercial Mortgage Trust, Series 04-C2, Class H, 144A, Variable Rate, 6.24%, due 10/15/41		2,989,039
	762,987	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .44%, 0.96%, due 10/25/30		694,964
	17,350,500	Commercial Mortgage Trust, Series 07-GG9, Class AJ, Variable Rate, 5.51%, due 03/10/39		15,702,029
	11,274,006	Commercial Mortgage Trust, Series 10-C1, Class D, 144A, Variable Rate, 6.30%, due 07/10/46		12,410,475
	8,718,000	Core Industrial Trust, Series 15-CALW, Class F, 144A, Variable Rate, 3.98%, due 02/10/34		8,706,602
	34,643,000	Core Industrial Trust, Series 15-WEST, Class E, 144A, Variable Rate, 4.37%, due 02/10/37		33,751,552
	5,746,661	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + .25%, 0.76%, due 04/15/37		4,576,288
	2,467,776	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		2,229,145
	5,941,593	Credit Suisse Mortgage Capital Certificates, Series 06-C4, Class AJ, Variable Rate, 5.54%, due 09/15/39		5,908,683
	12,454,322	Credit Suisse Mortgage Capital Certificates, Series 14-USA, Class A2, 144A, 3.95%, due 09/15/37		13,607,615
	8,715,000	CSMC Trust, Series 14-USA, Class E, 144A, 4.37%, due 09/15/37		7,529,919
	1,334,331	GE Business Loan Trust, Series 05-2A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .24%, 0.75%, due 11/15/33		1,272,407
	4,440,823	GE Business Loan Trust, Series 06-2A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .18%, 0.69%, due 11/15/34		4,115,125
	11,672,621	GE Business Loan Trust, Series 07-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .17%, 0.68%, due 04/16/35		10,810,476
	9,461,540	GE Business Loan Trust, Series 07-1A, Class D, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.51%, due 04/16/35		7,958,109
	21,045,865	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.57%, due 03/21/46		12,995,821

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	8,360,000	GS Mortgage Securities Corp., Series 16-GS2, Class D, 2.75%, due 05/10/49		6,332,234
	13,230,000	GS Mortgage Securities Corp., Series 16-RENT, Class E, 144A, Variable Rate, 4.20%, due 02/10/29		12,741,709
	8,801,500	GS Mortgage Securities Trust, Series 11-GC3, Class D, 144A, Variable Rate, 5.82%, due 03/10/44		8,977,372
	23,617,189	Hilton USA Trust, Series 13-HLF, Class EFL, 144A, Variable Rate, 1 mo. LIBOR + 3.75%, 4.25%, due 11/05/30		23,640,849
	9,194,906	Hilton USA Trust, Series 13-HLT, Class EFX, 144A, Variable Rate, 5.61%, due 11/05/30		9,215,712
	5,835,375	Hyatt Hotel Portfolio Trust, Series 15-HYT, Class F, 144A, Variable Rate, 1 mo. LIBOR + 3.49%, 4.00%, due 11/15/29		5,498,368
	9,598,123	JP Morgan Chase Commercial Mortgage Securities Corp., Series 05-CB13, Class AJ, Variable Rate, 5.66%, due 01/12/43		9,592,716
	3,000,000	JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-C3, Class H, 144A, Variable Rate, 5.65%, due 01/15/42		2,805,629
	3,682,500	JP Morgan Chase Commercial Mortgage Securities Trust, Series 05-CB11, Class G, 144A, Variable Rate, 5.67%, due 08/12/37		3,679,966
	7,256,218	LB-UBS Commercial Mortgage Trust, Series 05-C7, Class F, Variable Rate, 5.35%, due 11/15/40		7,148,855
	10,204,214	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 0.77%, due 02/25/30		9,420,863
	1,689,637	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 0.77%, due 09/25/30		1,581,263
	5,250,849	Lehman Brothers Small Balance Commercial, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .31%, 0.83%, due 04/25/31		4,740,407
	8,222,793	Lehman Brothers Small Balance Commercial, Series 06-3A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + .20%, 0.72%, due 12/25/36		7,312,109
	16,200,269	ML-CFC Commercial Mortgage Trust, Series 06-4, Class AJ, 5.24%, due 12/12/49		16,229,408
		Total Commercial Mortgage-Backed Securities		352,262,838
		Consumer Loans — 0.3%
	4,000,000	Springleaf Funding Trust, Series 14-AA, Class C, 144A, 4.45%, due 12/15/22		3,990,455

See accompanying notes to the financial statements. 17

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Insured Residential Mortgage-Backed Securities — 0.4%
	3,368,106	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + .70%, 1.22%, due 10/25/36		1,879,263
	4,532,313	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, Variable Rate, 1 mo. LIBOR + .15%, 0.66%, due 06/15/37		3,744,632
	1,539,554	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .23%, 0.99%, due 10/25/34 ¿		1,431,705
		Total Insured Residential Mortgage-Backed Securities		7,055,600
		Other — 0.1%
	10,944,389	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .50%, 0.99%, due 05/15/24		2,038,393
		Residential Mortgage-Backed Securities — Other — 8.7%
	1,840,363	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + .28%, 0.80%, due 02/25/36 ¿		1,054,470
	2,343,502	ACE Securities Corp. Home Equity Loan Trust, Series 06-SL1, Class A, Variable Rate, 1 mo. LIBOR + .32%, 0.84%, due 09/25/35		1,369,967
	12,640,594	American Home Mortgage Investment Trust, Series 06-3, Class 4A, Variable Rate, 1 mo. LIBOR + .38%, 0.90%, due 11/25/35		3,875,988
	4,946,643	Bayview Financial Revolving Asset Trust, Series 04-B, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .50%, 1.52%, due 05/28/39		3,297,091
	5,195,506	Bayview Financial Revolving Asset Trust, Series 04-B, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .65%, 1.82%, due 05/28/39		2,874,311
	10,647,898	Bayview Financial Revolving Asset Trust, Series 05-A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .50%, 1.49%, due 02/28/40		8,308,212
	2,354,943	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		1,371,511
	2,214,035	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		1,811,047
	1,127,559	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + .32%, 0.84%, due 02/25/37		1,890,046
	3,441,635	Carrington Mortgage Loan Trust, Series 06-RFC1, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 0.67%, due 05/25/36		3,322,030
	10,078,421	Greenpoint Manufactured Housing, Series 98-1, Class 2A, Variable Rate, 1 mo. LIBOR + .57%, 1.08%, due 05/15/28		9,185,054

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	34,023,513	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + .26%, 0.78%, due 06/25/36		6,592,032
	23,567,749	LSTAR Securities Investment Trust, Series 14-2, Class A, 144A, Variable Rate, 1 mo. LIBOR + 2.00%, 2.49%, due 12/01/21		23,273,152
	4,768,345	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + .16%, 0.84%, due 03/25/36		1,172,504
	1,110,673	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 0.77%, due 02/26/34		977,860
	4,758,775	Meritage Mortgage Loan Trust, Series 05-2, Class M2, Variable Rate, 1 mo. LIBOR + .75%, 1.27%, due 11/25/35		4,663,769
	5,339,571	Merrill Lynch Mortgage Investors Trust, Series 05-SL2, Class M2, Variable Rate, 1 mo. LIBOR + 1.20%, 1.72%, due 12/25/35		5,332,378
	10,724,013	Morgan Stanley Resecuritization Trust, Series 14-R8, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + .16%, 0.65%, due 06/26/47		10,085,403
	11,604,704	Oakwood Mortgage Investors, Inc., Series 99-C, Class A2, 7.48%, due 08/15/27		11,542,288
	6,534,742	PHH Mortgage Trust, Series 07-1SL, Class M2, 144A, 7.00%, due 12/25/27		6,945,065
	18,239,206	Residential Funding Mortgage Securities II, Series 06-HI4, Class A4, 5.72%, due 09/25/36		14,759,346
	15,195,203	Soundview Home Loan Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + .38%, 0.90%, due 11/25/35		2,708,668
	26,769,145	Terwin Mortgage Trust, Series 07-1SL, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .11%, 0.63%, due 01/25/38		4,397,250
	4,322,921	Wells Fargo Mortgage Backed Securities Trust, Series 05-AR14, Class A4, Variable Rate, 3.01%, due 08/25/35		4,314,417
		Total Residential Mortgage-Backed Securities — Other		135,123,859
		Residential Mortgage-Backed Securities — Prime — 6.2%
	10,436,156	Adjustable Rate Mortgage Trust, Series 05-4, Class 6A1, Variable Rate, 3.15%, due 08/25/35		9,347,136
	5,746,196	BCAP LLC Trust, Series 09-RR13, Class 16A2, 144A, Variable Rate, 3.41%, due 09/26/35		5,107,852
	7,530,823	BCAP LLC Trust, Series 12-RR11, Class 3A3, 144A, Variable Rate, 7.32%, due 04/26/36		5,810,822
	7,972,434	BCAP LLC Trust, Series 12-RR11, Class 5A3, 144A, Variable Rate, 7.11%, due 04/26/37		5,830,936

18 See accompanying notes to the financial statements.

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Prime — continued
	8,195,148	Bear Stearns Alt-A Trust, Series 05-7, Class 21A1, Variable Rate, 3.19%, due 09/25/35		7,337,394
	2,872,975	Chase Mortgage Finance Trust, Series 05-A1, Class 3A1, Variable Rate, 2.67%, due 12/25/35		2,641,335
	5,284,777	Chase Mortgage Finance Trust, Series 07-A1, Class 11M1, Variable Rate, 2.77%, due 03/25/37		4,814,185
	11,798,662	Citigroup Mortgage Loan Trust, Inc., Series 06-AR2, Class 1A2, Variable Rate, 2.94%, due 03/25/36		11,476,867
	5,062,360	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.02%, due 12/25/36		4,459,381
	6,027,845	Merrill Lynch Mortgage Backed Securities Trust, Series 07-1, Class 1A1, Variable Rate, 3.15%, due 04/25/37		5,406,091
	9,579,322	RBSSP Resecuritization Trust, Series 09-6, Class 3A2, 144A, Variable Rate, 1 mo. LIBOR + .17%, 2.80%, due 01/26/36		8,281,019
	3,936,906	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 2.72%, due 09/25/35		3,809,533
	5,047,594	WaMu Mortgage Pass-Through Certificates, Series 07-HY2, Class 2A1, Variable Rate, 2.87%, due 11/25/36		4,511,519
	15,521,587	Wells Fargo Mortgage Backed Securities Trust, Series 06-AR12, Class 2A1, Variable Rate, 2.93%, due 09/25/36		14,573,606
	3,801,114	Wells Fargo Mortgage Backed Securities Trust, Series 07-8, Class 1A13, Variable Rate, 1 mo. LIBOR + .37%, 0.89%, due 07/25/37		3,266,127
		Total Residential Mortgage-Backed Securities — Prime		96,673,803
		Residential Mortgage-Backed Securities — Subprime — 5.4%
	338,648	Argent Securities Inc Asset-Backed Pass-Through Certificates, Series 04-W8, Class A5, Variable Rate, 1 mo. LIBOR + 1.04%, 1.56%, due 05/25/34		337,772
	8,532,101	Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + .11%, 0.63%, due 04/25/31		8,705,374
	895,259	Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, Variable Rate, 1 mo. LIBOR + .38%, 0.90%, due 12/25/33		879,212
	3,169,336	Citigroup Mortgage Loan Trust, Inc., Series 07-AMC4, Class A2B, Variable Rate, 1 mo. LIBOR + .14%, 0.66%, due 05/25/37		3,143,769

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities —Subprime — continued
	6,147,055	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, Variable Rate, 1 mo. LIBOR + .14%, 0.66%, due 02/25/37		6,018,081
	3,942,896	CWABS Asset-Backed Certificates, Series 05-17, Class 4AV3, Variable Rate, 1 mo. LIBOR + .38%, 0.87%, due 05/25/36		3,871,967
	446,416	Equity One Mortgage Pass-Through Trust, Series 04-1, Class AV2, Variable Rate, 1 mo. LIBOR + .60%, 1.12%, due 04/25/34 ¿		377,623
	3,589,231	First NLC Trust, Series 05-4, Class A3, Variable Rate, 1 mo. LIBOR + 0.27%, 0.79%, due 02/25/36		3,561,713
	136,029	Fremont Home Loan Trust, Series 06-A, Class 1A2, Variable Rate, 1 mo. LIBOR + .20%, 0.72%, due 05/25/36		2,670
	7,658,948	GE-WMC Mortgage Securities Trust, Series 06-1, Class A2B, Variable Rate, 1 mo. LIBOR + .15%, 0.67%, due 08/25/36		4,173,379
	3,213,003	Home Equity Asset Trust, Series 07-3, Class 2A2, Variable Rate, 1 mo. LIBOR + .18%, 0.70%, due 08/25/37		3,191,561
	511,057	JP Morgan Mortgage Acquisition Trust, Series 07-CH3, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 0.67%, due 03/25/37		507,932
	19,185,654	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 0.67%, due 08/25/36		8,395,859
	3,834,078	Merrill Lynch Mortgage Investors Trust, Series 07-HE2, Class A2A, Variable Rate, 1 mo. LIBOR + .12%, 0.64%, due 02/25/37		1,772,535
	92,944	Morgan Stanley ABS Capital I, Inc. Trust, Series 06-NC3, Class A2C, Variable Rate, 1 mo. LIBOR + .17%, 0.69%, due 03/25/36 ¿		92,732
	4,305,336	Nationstar Home Equity Loan Trust, Series 07-B, Class 2AV2, Variable Rate, 1 mo. LIBOR + .18%, 0.70%, due 04/25/37		4,261,916
	19,205,000	Nomura Home Equity Loan, Inc. Home Equity Loan Trust, Series 06-HE1, Class M1, Variable Rate, 1 mo. LIBOR + .41%, 0.93%, due 02/25/36		17,905,714
	742,504	Nomura Home Equity Loan, Inc. Home Equity Loan Trust, Series 06-HE3, Class 2A3, Variable Rate, 1 mo. LIBOR + .15%, 0.67%, due 07/25/36		641,016
	4,967,490	Ownit Mortgage Loan Trust, Series 06-3, Class A2C, Variable Rate, 1 mo. LIBOR + .17%, 0.69%, due 03/25/37		4,866,787
	5,601,573	RAMP Trust, Series 07-RZ1, Class A2, Variable Rate, 1 mo. LIBOR + .16%, 0.68%, due 02/25/37		5,155,777
	4,640,772	Securitized Asset-Backed Receivables LLC Trust, Series 06-NC2, Class A3, Variable Rate, 1 mo. LIBOR + .24%, 0.76%, due 03/25/36		4,097,558

See accompanying notes to the financial statements. 19

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities —Subprime — continued
	1,448,043	Structured Asset Investment Loan Trust, Series 06-1, Class A3, Variable Rate, 1 mo. LIBOR + .20%, 0.72%, due 01/25/36		1,424,965
		Total Residential Mortgage-Backed Securities — Subprime		83,385,912
		Residential Mortgage-Backed Securities — Alt-A — 3.8%
	3,467,898	Adjustable Rate Mortgage Trust, Series 05-1, Class 5M1, Variable Rate, 1 mo. LIBOR + 1.05%, 1.57%, due 05/25/35		3,219,881
	2,524,978	Alternative Loan Trust, Series 03-18CB, Class 1A1, 5.25%, due 09/25/33		2,542,729
	3,375,612	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + .70%, 1.22%, due 05/25/36		1,752,616
	10,044,446	BCAP LLC Trust, Series 12-RR2, Class 1A2, 144A, Variable Rate, 1 mo. LIBOR + .17%, 0.66%, due 08/26/36		9,641,180
	5,035,192	BCAP LLC Trust, Series 12-RR7, Class 1A2, 144A, Variable Rate, 1 mo. LIBOR + .17%, 0.66%, due 08/26/36		4,822,515
	8,915,216	Bear Stearns Alt-A Trust, Series 05-4, Class 24A1, Variable Rate, 3.00%, due 05/25/35		8,749,511
	3,455,946	Bear Stearns ARM Trust, Series 07-1, Class 2A1, Variable Rate, 2.95%, due 02/25/47		2,856,173
	10,665,524	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.10%, due 07/25/36		8,502,619
	4,577,289	Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 05-AR1, Class 1A1, Variable Rate, 1 mo. LIBOR + .31%, 0.83%, due 08/25/35		3,480,672
	3,936,706	Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 05-7, Class 2CB1, 5.50%, due 08/25/35		3,902,405
	12,752,071	Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 06-AR10, Class A2A, Variable Rate, 1 mo. LIBOR + .17%, 0.69%, due 12/25/36		9,780,207
		Total Residential Mortgage-Backed Securities — Alt-A		59,250,508
		Student Loans — 17.9%
	8,061,543	Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .80%, 1.51%, due 07/25/34		6,844,323
	1,664,556	Access Group, Inc., Series 05-A, Class A3, Variable Rate, 3 mo. LIBOR + .40%, 1.11%, due 07/25/34		1,530,409
	7,046,611	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + .32%, 0.94%, due 03/28/35		6,289,100

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — continued
	25,090,320	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + .48%, 1.12%, due 12/27/41		20,668,134
	5,962,500	National Collegiate II Commutation Trust, Series 07-4, Class A3R3, Variable Rate, 3.97%, due 03/25/38		2,668,219
	3,750,000	National Collegiate II Commutation Trust, Series 07-3, Class A3R3, Variable Rate, 3.97%, due 03/25/38		1,650,000
	402,130	National Collegiate Student Loan Trust, Series 07-1, Class A2, Variable Rate, 1 mo. LIBOR + .13%, 0.65%, due 11/27/28		401,773
	10,832,411	National Collegiate Student Loan Trust, Series 05-2, Class A4, Variable Rate, 1 mo. LIBOR + .27%, 0.79%, due 09/25/29		10,254,801
	4,421,368	National Collegiate Student Loan Trust, Series 05-3, Class A4, Variable Rate, 1 mo. LIBOR + .28%, 0.80%, due 04/25/29		4,380,006
	2,450,000	National Collegiate Student Loan Trust, Series 06-3, Class A4, Variable Rate, 1 mo. LIBOR + .27%, 0.79%, due 03/26/29		2,318,411
	6,194,473	National Collegiate Student Loan Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .21%, 0.73%, due 11/25/27		6,009,736
	48,998,000	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + .24%, 0.76%, due 07/25/30		45,997,808
	29,867,411	National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate, 1 mo. LIBOR + .25%, 0.77%, due 03/27/28		29,030,186
	5,280,000	National Collegiate Student Loan Trust, Series 06-3, Class A5, Variable Rate, 1 mo. LIBOR + .32%, 0.84%, due 10/27/31		3,522,349
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 3.95%, due 03/25/38		52,500
	3,525,000	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + .31%, 0.83%, due 05/25/32		2,485,213
	31,458,000	SLC Private Student Loan Trust, Series 06-A, Class C, Variable Rate, 3 mo. LIBOR + .45%, 1.13%, due 07/15/36		27,656,301
	13,050,000	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + .29%, 0.94%, due 06/15/39		11,614,726
	11,625,031	SLM Private Credit Student Loan Trust, Series 04-A, Class A3, Variable Rate, 3 mo. LIBOR + .40%, 1.05%, due 06/15/33		10,942,529
	2,737,409	SLM Private Credit Student Loan Trust, Series 04-A, Class B, Variable Rate, 3 mo. LIBOR + .58%, 1.23%, due 06/15/33		2,605,274
	8,500,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A3, Variable Rate, 3 mo. LIBOR + .33%, 0.98%, due 03/15/24		7,973,921

20 See accompanying notes to the financial statements.

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — continued
	9,000,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + .43%, 1.08%, due 09/15/33		7,869,324
	3,103,396	SLM Private Credit Student Loan Trust, Series 04-B, Class B, Variable Rate, 3 mo. LIBOR + .47%, 1.12%, due 09/15/33		2,876,839
	12,593,835	SLM Private Credit Student Loan Trust, Series 05-A, Class A3, Variable Rate, 3 mo. LIBOR + .20%, 0.85%, due 06/15/23		12,154,127
	6,720,849	SLM Private Credit Student Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + .40%, 1.05%, due 06/15/39		5,990,457
	6,761,595	SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .28%, 0.93%, due 12/15/38		6,095,383
	16,372,000	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + .33%, 0.98%, due 06/15/39		14,586,350
	10,613,523	SLM Private Education Loan Trust, Series 10-A, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + 3.25%, 3.76%, due 05/16/44		10,947,446
	7,000,000	SLM Private Education Loan Trust, Series 14-A, Class B, 144A, 3.50%, due 11/15/44		6,886,905
	6,000,000	SLM Private Education Loan Trust, Series 11-B, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.25%, 2.76%, due 06/16/42		6,192,857
		Total Student Loans		278,495,407
		Time Share — 1.4%
	467,776	BXG Receivables Note Trust, Series 10-A, Class B, 144A, 7.50%, due 03/02/26		475,866
	3,333,473	BXG Receivables Note Trust, Series 13-A, Class B, 144A, 4.00%, due 12/04/28		3,400,403
	1,256,496	Diamond Resorts Owner Trust, Series 13-2, Class B, 144A, 2.62%, due 05/20/26		1,254,704
	2,547,651	Marriott Vacation Club Owner Trust, Series 12-1A, Class B, 144A, 3.50%, due 05/20/30		2,590,816
	576,464	Orange Lake Timeshare Trust, Series 12-AA, Class B, 144A, 4.87%, due 03/10/27		590,456
	1,167,423	Sierra Timeshare Receivables Funding LLC, Series 12-1A, Class B, 144A, 3.58%, due 11/20/28		1,171,665
	2,425,393	Sierra Timeshare Receivables Funding LLC, Series 12-2A, Class B, 144A, 3.42%, due 03/20/29		2,436,589

Par Value† / Shares		Description	Value ($)
		Asset-Backed Securities — continued
		Time Share — continued
	648,732	Sierra Timeshare Receivables Funding LLC, Series 12-3A, Class B, 144A, 2.66%, due 08/20/29		647,690
	541,105	Sierra Timeshare Receivables Funding LLC, Series 13-2A, Class C, 144A, 4.75%, due 11/20/25		528,302
	2,432,105	Silverleaf Finance XV LLC, Series 12-D, Class B, 144A, 4.45%, due 03/17/25		2,444,969
	3,178,817	SilverLeaf Finance XVII LLC, Series 13-A, Class B, 144A, 3.67%, due 03/16/26		3,173,783
	1,363,462	Westgate Resorts LLC, Series 13-1A, Class B, 144A, 3.75%, due 08/20/25		1,360,144
	1,207,293	Westgate Resorts LLC, Series 14-AA, Class A, 144A, 6.25%, due 10/20/26		1,202,706
		Total Time Share		21,278,093
		Total Asset-Backed Securities		1,440,456,483
		U.S. Government Agency — 1.3%
	483,939	Agency for International Development Floater (Support of Jamaica), Variable Rate, 3 mo. LIBOR + .30%, 1.13%, due 10/01/18 (a)		479,026
	7,875,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + .15%, 1.39%, due 10/29/26 (a)		7,608,137
	8,393,750	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR — .02%, 1.22%, due 02/01/25 (a)		8,090,105
	4,935,000	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR, 1.22%, due 07/01/23 (a)		4,791,473
		Total U.S. Government Agency		20,968,741
		TOTAL DEBT OBLIGATIONS (COST $1,474,172,694)		1,461,425,224
		MUTUAL FUNDS — 3.7%
		United States — 3.7%
		Affiliated Issuers — 3.7%
	2,313,793	GMO U.S. Treasury Fund		57,867,964
		TOTAL MUTUAL FUNDS (COST $57,871,961)		57,867,964

See accompanying notes to the financial statements. 21

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

OPTIONS PURCHASED — 0.1%

Principal Amount		Expiration Date		Description	Floating Rate Index	Pay/Receive Fixed Rate	Exercise Rate		Counterparty	Value ($)
				Options on Credit Default Swaps — 0.1%
EUR	87,080,000		09/21/2016	ITRAXX.MAIN.25	Fixed Spread	Pay		70.00%	JPM		118,566
EUR	87,080,000		09/21/2016	ITRAXX.MAIN.25	Fixed Spread	Pay		85.00%	JPM		19,475
USD	26,360,000		09/21/2016	CDX.NA.HY.26	Fixed Spread	Pay		100.00%	DB		12,338
USD	43,560,000		10/19/2016	CDX.NA.HY.26	Fixed Spread	Pay		102.00%	DB		200,221
USD	21,800,000		12/21/2016	CDX.NA.HY.26	Fixed Spread	Pay		103.00%	CITI		341,285
USD	43,800,000		12/21/2016	CDX.NA.HY.26	Fixed Spread	Pay		103.00%	CITI		680,136
USD	8,712,000		12/21/2016	CDX.NA.HY.26	Fixed Spread	Pay		104.50%	DB		200,402
						TOTAL OPTIONS PURCHASED (COST $2,397,373)					1,572,423

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.5%
		Money Market Funds — 0.2%
	3,213,834	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.20% (b)		3,213,834
		U.S. Government — 1.3%
	15,000,000	U.S. Treasury Bill, 0.27%, due 11/03/16 (c) (d)		14,992,785
	5,000,000	U.S. Treasury Bill, 0.46%, due  02/23/17 (c)		4,988,880
		Total U.S. Government		19,981,665
		TOTAL SHORT-TERM INVESTMENTS (COST $23,196,302)		23,195,499
		TOTAL INVESTMENTS — 99.1% (Cost $1,557,638,330)		1,544,061,110
		Other Assets and Liabilities (net) — 0.9%		13,313,751
		TOTAL NET ASSETS — 100.0%		$1,557,374,861

A summary of outstanding financial instruments at August 31, 2016 is as follows:

Forward Currency Contracts

Settlement Date	Counter party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation)
11/21/2016	BOA	EUR	10,043,501	USD	11,410,271		$168,800
11/21/2016	BOA	USD	808,673	EUR	711,807		(11,963)
							$156,837

Written Options

Written Options on Credit Default Swaps

Principal Amount		Expiration Date		Description	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Counterparty	Premiums		Value ($)
EUR	174,160,000		09/21/2016	ITRAXX.MAIN.25	Fixed Spread	Pay		77.50%	JPM	$	179,020	$	(88,356	)
USD	39,540,000		09/21/2016	CDX.NA.HY.26	Fixed Spread	Pay		93.00%	DB		207,585		(1,277	)
USD	21,900,000		09/21/2016	CDX.NA.HY.26	Fixed Spread	Pay		100.00%	CITI		91,980		(10,251	)
USD	10,900,000		09/21/2016	CDX.NA.HY.26	Fixed Spread	Pay		100.00%	CITI		40,330		(5,102	)
USD	43,560,000		11/16/2016	CDX.NA.HY.26	Fixed Spread	Pay		99.00%	DB		148,104		(156,173	)
USD	8,712,000		12/21/2016	CDX.NA.HY.26	Fixed Spread	Pay		95.00%	DB		21,780		(24,865	)
										$	688,799	$	(286,024	)

22 See accompanying notes to the financial statements.

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2016 (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)
	17,540,000	USD	9/20/2016	GS	(Pay)	5.00%	1.83%	MBIA, Inc.		NA		$	(206,225	)
	4,400,000	USD	12/20/2020	BOA	(Pay)	1.00%	1.00%	CDX.NA.HYS25.V1		NA			56,982
	75,680,000	USD	12/20/2020	JPM	(Pay)	5.00%	1.00%	CDX.NA.HYS25.V1		NA			(14,278,836	)
	4,300,000	USD	12/20/2020	CITI	(Pay)	1.00%	1.00%	CDX.NA.IGS25.V1		NA			372,161
	4,400,000	USD	12/20/2020	BOA	(Pay)	1.00%	1.00%	CDX.NA.IGS25.V1		NA			371,895
	17,550,000	EUR	12/20/2020	BOA	(Pay)	1.00%	1.12%	ITRAXX-EUROPES24V1-5Y		NA			(130,336	)
	8,775,000	EUR	12/20/2020	BOA	(Pay)	1.00%	1.12%	ITRAXX-EUROPES24V1-5Y		NA			507,612
	116,707,500	EUR	12/20/2020	BOA	Receive	1.00%	1.12%	ITRAXX-EUROPES24V1-5Y		116,707,500	EUR		4,280,669
	43,875,000	EUR	12/20/2020	GS	Receive	1.00%	1.12%	ITRAXX-EUROPES24V1-5Y		43,875,000	EUR		1,609,274
	3,290,625	EUR	12/20/2020	GS	(Pay)	1.00%	1.12%	ITRAXX-EUROPES24V1-5Y		NA			190,354
	6,581,250	EUR	12/20/2020	GS	(Pay)	1.00%	1.12%	ITRAXX-EUROPES24V1-5Y		NA			(48,876	)
	87,685,000	EUR	12/20/2020	CSS (e)	(Pay)	1.00%	0.67%	ITRAXX-EUROPES24V1-5Y		NA			(1,634,061	)
	88,035,000	EUR	12/20/2020	JPM	Receive	1.00%	1.12%	ITRAXX-EUROPES24V1-5Y		88,035,000	EUR		3,229,002
	87,330,000	EUR	12/20/2020	BOA	Receive	1.00%	1.12%	ITRAXX-EUROPES24V1-5Y		87,330,000	EUR		3,203,143
	15,280,000	USD	6/20/2021	CSS (e)	Receive	5.00%	3.93%	CDX.NA.HYS26.V1		15,280,000	USD		830,588
	10,423,700	USD	6/20/2021	CSS (e)	(Pay)	5.00%	3.93%	CDX.NA.HYS26.V1		NA			(566,610	)
	40,668,000	EUR	6/20/2021	CSS (e)	(Pay)	1.00%	0.66%	ITRAXX-EUROPES25V1-5Y		NA			(779,918	)
	4,505,000	USD	1/17/2047	BOA	(Pay)	1.00%	1.00%	CMBX.NA.AS.7		NA			71,249
	34,800,000	USD	1/17/2047	CSI	(Pay)	1.00%	1.00%	CMBX.NA.AS.7		NA			550,382
	26,609,000	USD	1/17/2047	DB	(Pay)	1.00%	1.00%	CMBX.NA.AS.7		NA			420,837
	13,270,000	USD	1/17/2047	MSCS	(Pay)	1.00%	1.00%	CMBX.NA.AS.7		NA			209,873
	4,400,000	USD	1/17/2047	GS	(Pay)	1.00%	1.00%	CMBX.NA.AS.7		NA			69,589
	3,384,000	USD	10/17/2057	MSCS	(Pay)	1.00%	1.00%	CMBX.NA.AS.8		NA			112,306
	874,200	USD	9/17/2058	GS	(Pay)	0.50%	0.5%	CMBX.NA.AAA.9		NA			34,957
	4,400,000	USD	9/17/2058	DB	(Pay)	3.00%	3.00%	CMBX.NA.BBB-.9		NA			782,467
	1,760,000	USD	9/17/2058	GS	(Pay)	3.00%	3.00%	CMBX.NA.BBB-.9		NA			312,987
	13,600,000	USD	5/11/2063	GS	(Pay)	5.00%	5.00%	CMBX.NA.BB.6		NA			2,358,220
	8,715,000	USD	5/11/2063	DB	(Pay)	3.00%	3.00%	CMBX.NA.BBB-.6		NA			727,173
	14,963,600	USD	5/11/2063	GS	(Pay)	3.00%	3.00%	CMBX.NA.BBB.6		NA			1,248,551
												$	3,905,409
								Premiums to (Pay) Receive				$	(3,325,705	)

^ 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 a 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 August 31, 2016, implied credit spreads in absolute terms, calculated using a model, 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.

See accompanying notes to the financial statements. 23

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

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)
	110,000,000	USD	9/21/2017	CSS (f)	(Pay)	1.00%	3 Month USD LIBOR	$	(24,107	)
	89,336,000	USD	9/21/2018	CSS (f)	(Pay)	1.25%	3 Month USD LIBOR		(342,187	)
	10,495,000	USD	3/10/2021	CSS (f)	(Pay)	1.27%	3 Month USD LIBOR		(36,305	)
	7,392,000	USD	3/16/2021	CSS (f)	(Pay)	1.75%	3 Month USD LIBOR		(184,392	)
	9,695,000	USD	4/4/2021	CSS (f)	(Pay)	1.18%	3 Month USD LIBOR		3,935
	8,701,000	USD	7/20/2021	CSS (f)	(Pay)	1.12%	3 Month USD LIBOR		36,492
	72,873,000	USD	9/21/2021	CSS (f)	(Pay)	1.50%	3 Month USD LIBOR		(977,785	)
	26,702,000	USD	4/16/2025	CSS (f)	(Pay)	2.00%	3 Month USD LIBOR		(1,327,913	)
	4,092,000	USD	5/19/2026	CSS (f)	(Pay)	1.65%	3 Month USD LIBOR		(76,565	)
	1,069,000	USD	6/10/2026	CSS (f)	(Pay)	1.60%	3 Month USD LIBOR		(14,783	)
	11,393,000	USD	7/18/2026	CSS (f)	(Pay)	1.42%	3 Month USD LIBOR		32,062
	5,928,000	USD	8/15/2026	CSS (f)	(Pay)	1.46%	3 Month USD LIBOR		(3,896	)
	22,130,000	USD	9/21/2026	CSS (f)	(Pay)	1.75%	3 Month USD LIBOR		(599,525	)
								$	(3,514,969	)
						Premiums to (Pay) Receive		$	622,598

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

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

As of August 31, 2016, 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:

† Denominated in U.S. Dollar, unless otherwise indicated.

¿ These securities are primarily backed by subprime mortgages.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2).

(b) The rate disclosed is the 7 day net yield as of August 31, 2016.

(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 (Note 4).

(e) Swap was cleared through the Intercontinental Exchange, Inc.

(f) Swap was cleared through the CME Group Inc.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 43.

24 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary†	% of Total Net Assets
Debt Obligations		90.6	%
Short-Term Investments		6.7
Loan Participations		1.7
Rights/Warrants		1.0
Loan Assignments		0.1
Forward Currency Contracts		0.0	^
Options Purchased		0.0	^
Written Options/Credit Linked Options		(0.1	)
Reverse Repurchase Agreements		(0.5	)
Swap Contracts		(1.4	)
Other		1.9
		100.0	%
Country/Region Summary‡	% of Investments
Mexico		13.3	%
Other Emerging		12.6	•
Russia		7.5
Brazil		6.3
Venezuela		5.7
Argentina		5.5
Turkey		5.4
Indonesia		4.9
China		3.1
Philippines		2.6
Kazakhstan		2.3
Hungary		2.2
Malaysia		2.0
Tunisia		1.9
Dominican Republic		1.9
Colombia		1.8
South Africa		1.6
Costa Rica		1.6
Pakistan		1.6
Peru		1.6
Sri Lanka		1.5
Israel		1.4
Uruguay		1.4
Ukraine		1.3
Chile		1.3
Romania		1.2
Croatia		1.1
Panama		1.1
Angola		1.1
Congo		0.9
Morocco		0.9
Bahrain		0.8
Other Developed		0.6	¨
		100.0	%

† The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciaton rather than notional amounts.

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

• “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

^¨  “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.00%.

25

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 90.3%
		Albania — 0.9%
		Foreign Government Obligations
	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		38,272,019
		Angola — 0.5%
		Foreign Government Obligations
	23,000,000	Republic of Angola, Reg S, 9.50%, due 11/12/25 (c)		22,885,000
		Argentina — 4.9%
		Foreign Government Obligations
	9,000,000	Province of Buenos Aires, Reg S, Step Up, 4.00%, due 05/15/35		6,716,250
	16,000,000	Republic of Argentina, 144A, 7.63%, due 04/22/46		18,080,000
EUR	8,008,646	Republic of Argentina Discount Bond, 7.82%, due 12/31/33		9,406,992
	10,786,557	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		12,593,305
	40,308,593	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		44,944,081
EUR	79,650,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38		56,194,848
EUR	83,430,000	Republic of Argentina Par Bond, 2.26%, due 12/31/38		58,861,722
		Total Argentina		206,797,198
		Armenia — 0.5%
		Foreign Government Obligations
	21,300,000	Republic of Armenia, Reg S, 7.15%, due 03/26/25		22,791,000
		Azerbaijan — 0.8%
		Foreign Government Agency — 0.3%
	4,750,000	Southern Gas Corridor CJSC, Reg S, 6.88%, due 03/24/26		5,308,125
	7,500,000	State Oil Company of the Azerbaijan Republic, Reg S, 6.95%, due 03/18/30		8,118,750
				13,426,875
		Foreign Government Obligations — 0.5%
	20,000,000	Republic of Azerbaijan International Bond, Reg S, 4.75%, due 03/18/24		20,500,000
		Total Azerbaijan		33,926,875
		Bahrain — 0.6%
		Foreign Government Obligations
	31,250,000	Bahrain Government International Bond, Reg S, 6.00%, due 09/19/44		27,148,438

Par Value†		Description	Value ($)
		Belize — 0.4%
		Foreign Government Obligations
	32,486,300	Republic of Belize, Reg S, Step Up, 5.00%, due 02/20/38		18,273,544
		Bosnia & Herzegovina — 0.1%
		Foreign Government Obligations
DEM	4,041,240	Bosnia & Herzegovina, Series A, 6 mo. DEM LIBOR + .81%, 0.63%, due 12/11/17		2,155,221
		Brazil — 3.3%
		Foreign Government Agency — 2.2%
GBP	10,995,000	Petrobras Global Finance BV, 6.25%, due 12/14/26		13,120,603
GBP	12,225,000	Petrobras Global Finance BV, 6.63%, due 01/16/34		14,066,661
	83,000,000	Petrobras Global Finance BV, 6.85%, due 06/05/15		68,182,010
				95,369,274
		Foreign Government Obligations — 1.1%
	21,897,000	Republic of Brazil, 7.13%, due 01/20/37		26,002,687
	14,435,000	Republic of Brazil, 8.25%, due 01/20/34		18,855,719
				44,858,406
		Total Brazil		140,227,680
		Cameroon — 0.6%
		Foreign Government Obligations
	24,000,000	Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25		26,490,000
		Chile — 0.9%
		Corporate Debt — 0.5%
	17,000,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97		22,100,000
		Foreign Government Agency — 0.4%
	16,500,000	Corp Nacional del Cobre de Chile, Reg S, 4.50%, due 09/16/25		17,455,845
		Total Chile		39,555,845
		China — 0.8%
		Foreign Government Agency
	33,000,000	Export-Import Bank of China via Avi Funding Co. Ltd. (The), Reg S, 3.80%, due 09/16/25		35,608,135
		Colombia — 1.7%
		Foreign Government Agency — 0.9%
	36,500,000	Ecopetrol SA, 7.38%, due 09/18/43		39,383,500

26 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value†		Description	Value ($)
		Colombia — continued
		Foreign Government Obligations — 0.8%
	25,000,000	Colombia Government International Bond, 5.63%, due 02/26/44		28,843,750
	3,800,000	Republic of Colombia, 11.85%, due 03/09/28 (a)		5,857,583
				34,701,333
		Total Colombia		74,084,833
		Congo Republic (Brazzaville) — 1.4%
		Foreign Government Obligations
	92,115,116	Republic of Congo, Reg S, Series INTL, Step Up, 4.00%, due 06/30/29		61,717,128
		Costa Rica — 1.3%
		Foreign Government Agency — 0.3%
	15,045,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		12,976,312
		Foreign Government Obligations — 1.0%
	40,400,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		44,440,000
		Total Costa Rica		57,416,312
		Croatia — 1.3%
		Foreign Government Obligations
	24,000,000	Croatia Government International Bond, Reg S, 5.50%, due 04/04/23		26,220,000
	19,470,000	Croatia Government International Bond, Reg S, 6.00%, due 01/26/24		21,855,075
	6,000,000	Croatia Government International Bond, Reg S, 6.38%, due 03/24/21		6,667,500
		Total Croatia		54,742,575
		Dominican Republic — 3.0%
		Asset-Backed Securities — 0.5%
	22,987,595	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24 (a)		22,869,582
		Foreign Government Agency — 0.2%
	7,370,000	Banco de Reservas de la Republica Dominicana, Reg S, 7.00%, due 02/01/23		7,549,423
		Foreign Government Obligations — 2.3%
	15,200,000	Dominican Republic, Reg S, 8.63%, due 04/20/27		18,430,000
	38,607,000	Dominican Republic Discount Bond, 6 mo. LIBOR + .81%, 1.81%, due 08/30/24		37,690,084
	24,000,000	Dominican Republic International Bond, Reg S, 6.85%, due 01/27/45		27,210,000
	10,000,000	Dominican Republic International Bond, Reg S, 7.45%, due 04/30/44		12,000,000
				95,330,084
		Total Dominican Republic		125,749,089

Par Value†		Description	Value ($)
		Ecuador — 0.4%
		Foreign Government Obligations
	17,500,000	Ecuador Government International Bond, Reg S, 7.95%, due 06/20/24		15,334,375
		El Salvador — 0.3%
		Foreign Government Obligations
	13,203,000	El Salvador Government International Bond, Reg S, 7.63%, due 02/01/41		13,863,150
		Ethiopia — 0.3%
		Foreign Government Obligations
	14,000,000	Federal Democratic Republic of Ethiopia, Reg S, 6.63%, due 12/11/24		13,667,500
		Gabon — 0.8%
		Foreign Government Obligations
	33,000,000	Gabonese Republic, Reg S, 6.38%, due 12/12/24		30,607,500
	4,500,000	Gabonese Republic, Reg S, 6.95%, due 06/16/25		4,196,250
		Total Gabon		34,803,750
		Ghana — 0.6%
		Foreign Government Obligations
	8,000,000	Republic of Ghana, Reg S, 7.88%, due 08/07/23		7,400,000
	15,000,000	Republic of Ghana, Reg S, 10.75%, due 10/14/30		16,951,500
		Total Ghana		24,351,500
		Greece — 0.5%
		Foreign Government Obligations
EUR	28,882,000	Hellenic Republic Government Bond, Reg S, Step Up, 3.00%, due 02/24/36		19,502,733
		Grenada — 0.2%
		Foreign Government Obligations
	12,361,455	Grenada Government International Bond, Reg S, 7.00%, due 05/12/30		6,736,993
		Guatemala — 0.5%
		Foreign Government Obligations
	15,500,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		20,808,750
		Honduras — 0.7%
		Foreign Government Obligations
	26,875,000	Honduras Government International Bond, Reg S, 7.50%, due 03/15/24		30,267,969

See accompanying notes to the financial statements. 27

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value†		Description	Value ($)
		Hungary — 1.1%
		Foreign Government Obligations
	31,742,000	Hungary Government International Bond, 7.63%, due 03/29/41		48,366,873
		Iceland — 0.3%
		Foreign Government Obligations
	11,000,000	Iceland Government International Bond, Reg S, 5.88%, due 05/11/22		12,835,438
		Indonesia — 3.6%
		Foreign Government Agency — 1.3%
	28,200,000	Majapahit Holding BV, Reg S, 7.88%, due 06/29/37		37,624,161
	14,400,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41 (c)		16,812,000
				54,436,161
		Foreign Government Obligations — 2.3%
	35,780,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/17/42		41,130,541
	43,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		56,401,383
				97,531,924
		Total Indonesia		151,968,085
		Iraq — 0.3%
		Foreign Government Obligations
	15,000,000	Republic of Iraq, Reg S, 5.80%, due 01/15/28		12,112,500
		Israel — 1.1%
		Foreign Government Agency
JPY	2,500,000,000	Israel Electric Corp., Ltd., 4.10%, due 01/14/32		23,679,505
	7,243,000	Israel Electric Corp., Ltd., Reg S, 7.88%, due 12/15/26		9,017,535
	12,143,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		14,313,561
		Total Israel		47,010,601
		Ivory Coast — 0.6%
		Foreign Government Obligations
	25,012,350	Ivory Coast Government International Bond, Reg S, Step Up, 5.75%, due 12/31/32		24,856,023
		Jamaica — 0.5%
		Foreign Government Agency — 0.1%
	4,000,000	National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24		4,660,000

Par Value†		Description	Value ($)
		Jamaica — continued
		Foreign Government Obligations — 0.4%
	12,500,000	Jamaica Government International Bond, 7.88%, due 07/28/45		14,562,500
		Total Jamaica		19,222,500
		Jordan — 0.3%
		Foreign Government Obligations
	10,000,000	Jordan Government International Bond, Reg S, 6.13%, due 01/29/26		10,825,000
		Kazakhstan — 1.5%
		Foreign Government Obligations
	52,500,000	Kazakhstan Government International Bond, Reg S, 6.50%, due 07/21/45		65,428,125
		Kenya — 0.4%
		Foreign Government Obligations
	17,000,000	Kenya Government International Bond, Reg S, 6.88%, due 06/24/24		16,660,000
		Macedonia — 0.5%
		Foreign Government Obligations
EUR	8,600,000	Macedonia Government International Bond, 144A, 5.63%, due 07/26/23		10,009,058
EUR	11,000,000	FYR Macedonia, Reg S, 3.98%, due 07/24/21		12,177,928
		Total Macedonia		22,186,986
		Malaysia — 0.7%
		Foreign Government Agency
	25,000,000	Petronas Capital, Ltd., Reg S, 4.50%, due 03/18/45		29,032,373
		Mexico — 9.4%
		Foreign Government Agency — 2.8%
	51,000,000	Pemex Project Funding Master Trust, 6.63%, due 06/15/35		55,080,000
	9,000,000	Petroleos Mexicanos, 6.50%, due 06/02/41		9,540,900
	46,900,000	Petroleos Mexicanos, 5.63%, due 01/23/46		45,225,670
	10,500,000	Petroleos Mexicanos, 6.38%, due 01/23/45		11,057,550
				120,904,120
		Foreign Government Obligations — 6.6%
GBP	46,503,000	United Mexican States, 5.63%, due 03/19/14		70,225,192
	183,348,000	United Mexican States, 5.75%, due 10/12/10		209,016,720
				279,241,912
		Total Mexico		400,146,032

28 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value†		Description	Value ($)
		Mongolia — 0.4%
		Foreign Government Obligations
	18,600,000	Mongolia Government International Bond, Reg S, 5.13%, due 12/05/22		15,624,000
		Morocco — 0.8%
		Foreign Government Agency
	30,000,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		35,062,500
		Mozambique — 0.1%
		Foreign Government Obligations
	4,500,000	Mozambique International Bond, 144A, 10.50%, due 01/18/23		3,330,000
		Nigeria — 0.1%
		Foreign Government Obligations
	5,400,000	Nigeria Government International Bond, Reg S, 6.38%, due 07/12/23 (c)		5,359,500
		Oman — 0.2%
		Foreign Government Obligations
	10,000,000	Oman Government International Bond, 144A, 4.75%, due 06/15/26		10,337,500
		Pakistan — 0.9%
		Foreign Government Obligations
	40,500,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		40,115,655
		Panama — 1.1%
		Foreign Government Agency — 0.4%
	13,600,000	AES Panama SRL, Reg S, 6.00%, due 06/25/22		14,220,908
		Foreign Government Obligations — 0.7%
	18,908,000	Panama Government International Bond, 4.30%, due 04/29/53		20,609,720
	7,295,000	Panama Government International Bond, 8.13%, due 04/28/34		10,568,631
				31,178,351
		Total Panama		45,399,259
		Paraguay — 0.2%
		Foreign Government Obligations
	8,000,000	Republic of Paraguay, Reg S, 6.10%, due 08/11/44		9,180,000
		Peru — 1.6%
		Foreign Government Agency — 0.3%
	12,452,000	Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25		10,261,942

Par Value†		Description	Value ($)
		Peru — continued
		Foreign Government Obligations — 1.3%
	5,000,000	Peru Par Bond, Series 30 Yr., Step Up, 4.00%, due 03/07/27 (a)		4,950,000
	39,120,000	Republic of Peru, 5.63%, due 11/18/50		51,540,600
				56,490,600
		Total Peru		66,752,542
		Philippines — 3.3%
		Foreign Government Agency — 2.4%
	25,651,000	Central Bank of Philippines, Series A, 8.60%, due 06/15/27		38,155,863
	40,550,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		64,836,611
				102,992,474
		Foreign Government Obligations — 0.9%
	27,354,000	Republic of Philippines, 6.38%, due 01/15/32		39,304,689
		Total Philippines		142,297,163
		Poland — 0.2%
		Foreign Government Obligations
	7,500,000	Poland Government International Bond, 3.25%, due 04/06/26		7,959,375
		Qatar — 0.2%
		Foreign Government Obligations
	5,000,000	Qatar Government International Bond, Reg S, 5.75%, due 01/20/42		6,431,250
		Romania — 0.9%
		Foreign Government Obligations
EUR	14,000,000	Romanian Government International Bond, 144A, 2.88%, due 05/26/28		16,768,005
	14,594,000	Romanian Government International Bond, Reg S, 6.13%, due 01/22/44		19,628,930
		Total Romania		36,396,935
		Russia — 5.0%
		Foreign Government Agency — 2.3%
	30,000,000	Gazprom Neft OAO Via GPN Capital SA, Reg S, 4.38%, due 09/19/22		29,850,000
	38,800,000	Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34		50,936,640
	15,700,000	Sberbank of Russia Via SB Capital SA, Reg S, 5.13%, due 10/29/22		15,935,500
				96,722,140
		Foreign Government Obligations — 2.7%
	31,200,000	Russian Foreign Bond, Reg S, 5.63%, due 04/04/42		35,755,200

See accompanying notes to the financial statements. 29

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value†		Description	Value ($)
		Russia — continued
		Foreign Government Obligations — continued
	66,200,000	Russian Foreign Bond, Reg S, 5.88%, due 09/16/43		78,513,200
				114,268,400
		Total Russia		210,990,540
		Rwanda — 0.1%
		Foreign Government Obligations
	5,000,000	Rwanda International Government Bond, Reg S, 6.63%, due 05/02/23		5,112,500
		Serbia — 0.8%
		Foreign Government Obligations
	4,367,078	Republic of Serbia, Reg S, Step Up, 6.75%, due 11/01/24		4,410,749
	24,000,000	Republic of Serbia, Reg S, 7.25%, due 09/28/21		27,810,000
		Total Serbia		32,220,749
		South Africa — 0.9%
		Foreign Government Agency — 0.5%
ZAR	163,000,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		1,479,107
	19,000,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		18,810,000
ZAR	20,000,000	Transnet, Ltd., 13.50%, due 04/18/28		1,507,196
				21,796,303
		Foreign Government Obligations — 0.4%
	15,000,000	South Africa Government International Bond, 5.88%, due 09/16/25		16,781,250
		Total South Africa		38,577,553
		Sri Lanka — 1.2%
		Foreign Government Obligations
	19,000,000	Sri Lanka Government International Bond, Reg S, 6.13%, due 06/03/25		19,482,980
	13,500,000	Sri Lanka Government International Bond, 144A, 6.83%, due 07/18/26		14,489,145
	17,000,000	Sri Lanka Government International Bond, Reg S, 6.85%, due 11/03/25		18,182,860
		Total Sri Lanka		52,154,985
		Thailand — 0.2%
		Foreign Government Agency
	7,000,000	PTT PCL, Reg S, 4.50%, due 10/25/42		7,603,750
		Trinidad And Tobago — 0.4%
		Foreign Government Agency — 0.2%
	6,000,000	Petroleum Company of Trinidad and Tobago Ltd., Reg S, 9.75%, due 08/14/19		6,654,000

Par Value†		Description	Value ($)
		Trinidad And Tobago — continued
		Foreign Government Obligations — 0.2%
	10,000,000	Trinidad & Tobago Government International Bond, 144A, 4.50%, due 08/04/26		10,387,500
		Total Trinidad And Tobago		17,041,500
		Tunisia — 1.6%
		Foreign Government Agency
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31		17,827,285
JPY	7,000,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30		51,837,819
		Total Tunisia		69,665,104
		Turkey — 3.9%
		Foreign Government Obligations
	75,191,000	Republic of Turkey, 6.00%, due 01/14/41		82,240,156
	65,302,000	Republic of Turkey, 6.75%, due 05/30/40		78,035,890
	3,700,000	Turkey Government International Bond, 6.63%, due 02/17/45		4,416,875
		Total Turkey		164,692,921
		Ukraine — 1.2%
		Foreign Government Obligations
	2,957,000	Ukraine Government International Bond, 144A, 7.75%, due 09/01/19		2,949,608
	7,818,000	Ukraine Government International Bond, 144A, 7.75%, due 09/01/20		7,720,275
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/21		5,898,620
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/22		5,874,544
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/23		5,850,468
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24		5,826,392
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25		5,802,316
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26		5,778,240
	6,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27		6,566,764
		Total Ukraine		52,267,227
		United States — 8.4%
		Asset-Backed Securities — 0.6%
	2,036,165	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .50%, 0.99%, due 05/15/24		379,236
	319,130	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .44%, 0.96%, due 10/25/30		290,678

30 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	3,189,971	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XL, 1 mo. LIBOR + .20%, 0.71%, due 05/15/36 ¿		2,726,214
	7,736,392	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, 1 mo. LIBOR + .24%, 0.75%, due 12/15/35 ¿		7,178,081
	4,070,511	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, 1 mo. LIBOR + .24%, 0.75%, due 12/15/35 ¿		3,456,572
	185,175	Morgan Stanley Capital, Inc., Series 06-NC3, Class A2C, 1 mo. LIBOR + .17%, 0.69%, due 03/25/36 ¿		184,754
	11,633,895	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, 1 mo. LIBOR + .22%, 0.74%, due 11/25/36 ¿		5,375,602
	11,480,817	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.67%, due 11/25/36 ¿		5,232,163
	6,311,042	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, 1 mo. LIBOR + .36%, 0.88%, due 04/25/37 ¿		3,122,779
				27,946,079
		U.S. Government — 7.8%
	74,539,500	U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22 (e)		75,154,749
	20,000,000	U.S. Treasury Note, 0.75%, due 03/15/17 (d)		20,022,140
	35,000,000	U.S. Treasury Note, 1.00%, due 03/31/17 (d)		35,089,320
	30,000,000	U.S. Treasury Note, 0.63%, due 06/30/17		29,994,150
	50,000,000	U.S. Treasury Note, 1.88%, due 09/30/17 (d)		50,626,950
	10,000,000	U.S. Treasury Note, 2.25%, due 11/30/17		10,184,770
	110,000,000	U.S. Treasury Note, 0.75%, due 02/28/18		109,944,120
				331,016,199
		Total United States		358,962,278
		Uruguay — 1.3%
		Foreign Government Obligations
	51,000,000	Uruguay Government International Bond, 5.10%, due 06/18/50		53,805,000
		Venezuela — 6.4%
		Foreign Government Agency — 3.9%
	138,893,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18		71,182,662
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24		65,120,000
	80,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26		29,360,000
				165,662,662

Par Value†		Description	Value ($)
		Venezuela — continued
		Foreign Government Obligations — 2.5%
	63,611,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20		28,465,923
	25,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19		12,295,005
	146,093,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23		66,107,082
				106,868,010
		Total Venezuela		272,530,672
		Vietnam — 0.4%
		Foreign Government Agency — 0.3%
	23,804,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		13,342,142
		Foreign Government Obligations — 0.1%
	5,000,000	Socialist Republic of Vietnam, Series 30 Yr., 6 mo. LIBOR + .81%, 1.75%, due 03/13/28		4,675,000
		Total Vietnam		18,017,142
		Zambia — 0.9%
		Foreign Government Obligations
	29,360,000	Zambia Government International Bond, Reg S, 8.50%, due 04/14/24		28,809,500
	7,700,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27		7,536,375
		Total Zambia		36,345,875
		TOTAL DEBT OBLIGATIONS (COST $3,575,311,306)		3,842,061,623
		LOAN ASSIGNMENTS — 0.1%
		Indonesia
	4,368,000	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + 0.88%, 1.19%, due 12/14/19		4,100,460
	952,163	Republic of Indonesia Loan Agreement, dated September 14, 1994, 6 mo. LIBOR + .75%, 1.68%, due 12/01/19		871,230
EUR	824,498	Republic of Indonesia, Indonesia Paris Club Debt, due 06/01/21		740,347
		TOTAL LOAN ASSIGNMENTS (COST $5,599,437)		5,712,037
		LOAN PARTICIPATIONS — 1.7%
		Angola — 0.9%
	16,875,000	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.60%, due 12/20/23		14,006,250

See accompanying notes to the financial statements. 31

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value† / Shares		Description	Value ($)
		Angola — continued
	26,062,500	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.60%, due 12/13/23		21,631,875
		Total Angola		35,638,125
		Egypt — 0.0%
CHF	113,117	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (a)		95,225
		Indonesia — 0.1%
	5,475,672	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR +.88%, 1.79%, due 09/29/19		5,017,084
		Iraq — 0.5%
JPY	3,332,755,050	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), Variable Rate, due 01/01/28		19,443,553
JPY	435,464,944	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), Variable Rate, due 01/01/28		2,540,929
		Total Iraq		21,984,482
		Russia — 0.0%
EUR	57,042,402	Russian Foreign Trade Obligations (Participation with GML International Ltd.), (a) (f)		1,418,582
		Vietnam — 0.2%
JPY	798,074,000	Socialist Republic of Vietnam Loan Agreement (Participation with Deutsche Bank), 6 mo. JPY LIBOR + .60%, 0.60%, due 09/01/17		7,086,748
		TOTAL LOAN PARTICIPATIONS (COST $93,430,794)		71,240,246
		MUTUAL FUNDS — 3.0%
		United States
		Affiliated Issuers
	568,012	GMO Debt Opportunities Fund, Class VI		14,387,737
	4,450,782	GMO U.S. Treasury Fund		111,314,046
		TOTAL MUTUAL FUNDS (COST $123,155,405)		125,701,783
		RIGHTS/WARRANTS — 1.0%
		Argentina — 0.8%
EUR	298,220,524	Republic of Argentina GDP Linked, Expires 12/15/35		33,930,315

Par Value† / Shares		Description	Value ($)
		Nigeria — 0.0%
	25,000	Central Bank of Nigeria Oil Warrants, Expires 01/21/92		1,668,952
		Ukraine — 0.1%
	13,276,200	Government of Ukraine GDP Linked, 144A, Expires 05/31/40		4,182,003
		Uruguay — 0.0%
	4,000,000	Banco Central Del Uruguay Value Recovery Rights, VRRB, Expires 01/02/21 * (a)		—
		Venezuela — 0.1%
	959,065	Republic of Venezuela Oil Warrants, Expires 04/15/20		1,678,198
		TOTAL RIGHTS/WARRANTS (COST $50,000,531)		41,459,468
		SHORT-TERM INVESTMENTS — 4.0%
		Money Market Funds — 0.0%
	1,575,713	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.20 (g)		1,575,713
		U.S. Government — 4.0%
	10,000,000	U.S. Treasury Bill, 0.44%, due 02/09/17 (h)		9,980,400
	60,000,000	U.S. Treasury Note, 0.50%, due 02/28/17		59,994,120
	21,500,000	U.S. Treasury Note, 0.63%, due 05/31/17		21,500,000
	50,000,000	U.S. Treasury Note, 0.88%, due 04/30/17		50,102,550
	30,000,000	U.S. Treasury Note, 0.88%, due 05/15/17		30,059,760
		Total U.S. Government		171,636,830
		TOTAL SHORT-TERM INVESTMENTS (COST $173,235,904)		173,212,543
		TOTAL INVESTMENTS — 100.1% (Cost $4,020,733,377)		4,259,387,700
		Other Assets and Liabilities (net) — (0.1%)		(2,224,127	)
		TOTAL NET ASSETS — 100.0%		$4,257,163,573

A summary of outstanding financial instruments at August 31, 2016 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party		Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
11/21/2016		BOA		EUR	52,000,000		USD	59,076,420	$	873,958
11/21/2016		BOA		GBP	6,000,000		USD	7,895,880		3,771
									$	877,729

32 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

Reverse Repurchase Agreements ⁽ⁱ⁾

Face Value		Description	Value ($)
USD	12,511,889	JP Morgan Securities, Inc., (0.15)%, dated 07/26/16, (collateral: Pertamina Persero PT, Reg S, 6.50%, due 05/27/41), to be repurchased on demand at face value plus accrued interest.	$	(12,511,890	)
USD	2,942,583	JP Morgan Securities, Inc., (0.10)%, dated 07/12/16, (collateral: Republic of Angola, Reg S, 9.50%, due 11/12/25), to be repurchased on demand at face value plus accrued interest.		(2,942,583	)
USD	3,984,958	JP Morgan Securities, Inc., (0.25)%, dated 07/18/16, (collateral: Nigeria Government International Bond, Reg S, 6.38%, due 07/12/23), to be repurchased on demand at face value plus accrued interest.		(3,984,958	)
USD	982,677	JP Morgan Securities, Inc., (0.25)%, dated 07/12/16, (collateral: Nigeria Government International Bond, Reg S, 6.38%, due 07/12/23), to be repurchased on demand at face value plus accrued interest.		(982,677	)
			$	(20,422,108	)
		Average balance outstanding	$	(25,352,194	)
		Average interest rate		0.33	%
		Maximum balance outstanding	$	(45,128,831	)

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

Credit Linked Options

Principal Amount			Expiration Date	Description	Premiums		Value ($)
Put Sold	USD	62,000,000	03/21/2017	Lebanese Republic Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB) (a)	$	1,101,360	$	155,360
Put Sold	USD	70,000,000	07/14/2017	Turkiye Is Bankasi A.S. Credit Linked Put Option, Fund receives premium of 0.40% (OTC) (CP-DB) (a)		1,001,777		93,899
Put Sold	USD	70,000,000	04/03/2018	Turkiye Cumhuriyeti Ziraat Bankasi A.S. Credit Linked Put Option, Fund receives premium of 0.40% (OTC) (CP-DB) (a)		1,062,443		94,240
Put Sold	USD	45,000,000	01/20/2021	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (a)		244,688		74,137
Put Sold	USD	43,000,000	04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.30% (OTC) (CP-DB) (a)		384,133		(311,344	)
Put Sold	USD	100,000,000	04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.44% (OTC) (CP-DB) (a)		1,705,000		(2,242,846	)
					$	5,499,401	$	(2,136,554	)

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)
	19,500,000	USD	3/20/2017	DB	Receive	5.00%	60.15%	Bolivarian Republic of Venezuela	19,500,000	USD	$	(4,602,988	)
	2,500,000	USD	5/20/2017	DB	(Pay)	1.05%	0.26%	Republic of Peru	NA			(21,854	)
	32,000,000	PEN	5/20/2017	DB	Receive	0.79%	0.21%	Republic of Peru	32,000,000	PEN		59,568
	4,500,000	USD	7/20/2017	JPM	Receive	3.30%	2.32%	Republic of Jamaica	4,500,000	USD		55,994
	5,400,000	EUR	3/20/2018	DB	Receive	1.00%	4.37%	Republic of Macedonia	5,400,000	EUR		(293,894	)
	50,000,000	USD	6/20/2019	JPM	(Pay)	1.00%	1.44%	Republic of Brazil	NA			503,003

See accompanying notes to the financial statements. 33

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

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)
	44,000,000	USD	6/20/2019	JPM	(Pay)	1.00%	1.54%	Republic of Croatia	NA		$	566,200
	6,000,000	USD	6/20/2020	DB	Receive	1.00%	2.43%	Commonwealth of Bahamas	6,000,000	USD		(293,080	)
	42,000,000	EUR	12/20/2020	DB	(Pay)	1.00%	2.34%	Commonwealth of Bahamas	NA			2,482,968
	57,000,000	USD	12/20/2020	DB	Receive	1.00%	2.64%	Commonwealth of Bahamas	57,000,000	USD		(3,579,045	)
	10,000,000	USD	12/20/2022	JPM	Receive	1.00%	1.4%	Republic of Malaysia	10,000,000	USD		(214,397	)
	15,000,000	USD	12/20/2022	JPM	Receive	1.00%	1.83%	Republic of Indonesia	15,000,000	USD		(684,996	)
	30,000,000	USD	3/20/2023	JPM	Receive	1.00%	2.8%	Republic of Turkey	30,000,000	USD		(3,105,910	)
	40,000,000	USD	6/20/2023	JPM	Receive	1.00%	2.46%	Republic of Croatia	40,000,000	USD		(3,470,902	)
	200,000,000	USD	6/20/2023	DB	(Pay)	1.00%	2.46%	Republic of Croatia	NA			17,354,511
	160,000,000	EUR	6/20/2023	DB	Receive	1.00%	2.45%	Republic of Croatia	160,000,000	EUR		(16,176,386	)
	6,000,000	USD	6/20/2023	DB	Receive	1.00%	3.31%	Commonwealth of Bahamas	6,000,000	USD		(779,902	)
	3,000,000	USD	6/20/2023	DB	Receive	1.00%	3.31%	Commonwealth of Bahamas	3,000,000	USD		(389,951	)
	25,000,000	USD	9/20/2023	JPM	Receive	1.00%	3.01%	Republic of South Africa	25,000,000	USD		(3,044,431	)
	24,000,000	USD	3/20/2024	JPM	Receive	1.00%	1.53%	Republic of Malaysia	24,000,000	USD		(811,456	)
	27,250,000	USD	6/20/2024	JPM	Receive	1.00%	3.14%	Republic of Brazil	27,250,000	USD		(3,811,463	)
	22,750,000	USD	6/20/2024	JPM	Receive	1.00%	3.14%	Republic of Brazil	22,750,000	USD		(3,182,047	)
	60,000,000	USD	6/20/2024	JPM	Receive	1.00%	1.36%	Peoples Republic of China	60,000,000	USD		(1,413,650	)
	25,000,000	USD	3/20/2025	GS	Receive	1.00%	1.41%	Republic of China	25,000,000	USD		(735,455	)
	10,000,000	USD	6/20/2025	GS	Receive	1.00%	2.09%	Republic of Indonesia	10,000,000	USD		(798,511	)
	25,000,000	USD	6/20/2025	GS	Receive	1.00%	2.09%	Republic of Indonesia	25,000,000	USD		(1,996,278	)
	91,000,000	USD	6/20/2025	DB	Receive	1.00%	5.57%	Commonwealth of Bahamas	91,000,000	USD		(8,467,521	)
	68,000,000	EUR	6/20/2025	DB	(Pay)	1.00%	5.17%	Commonwealth of Bahamas	NA			6,436,430
	20,000,000	USD	6/20/2025	GS	Receive	1.00%	1.43%	Republic of China	20,000,000	USD		(628,145	)
	21,000,000	USD	6/20/2026	GS	Receive	1.00%	3.18%	Republic of South Africa	21,000,000	USD		(3,581,132	)
	40,000,000	USD	3/20/2030	JPM	Receive	1.00%	3.26%	Republic of Brazil	40,000,000	USD		(8,686,862	)
	20,000,000	USD	9/20/2031	GS	(Pay)	1.00%	2.09%	United Mexican States	NA			2,464,642
											$	(40,846,940	)
								Premiums to (Pay) Receive			$	41,498,703

^ 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 a 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 August 31, 2016, implied credit spreads in absolute terms, calculated using a model, 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.

34 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

Cross-Currency Basis Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	120,000,000	EUR	9/11/2020	JPM	3 Month EURIBOR plus a spread of (0.35)%	3 Month USD LIBOR		$1,802,796
						Premiums to (Pay) Receive	$	—

Cross-Currency Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	14,000,000,000	JPY	4/28/2025	GS	(Pay)	(0.22)%	3 Month USD LIBOR	$	(7,957,025	)
	50,000,000	GBP	3/10/2026	JPM	(Pay)	1.17%	3 Month USD LIBOR		2,380,980
								$	(5,576,045	)
							Premiums to (Pay) Receive	$	—

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

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

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	70,000,000	USD	9/1/2045	JPMF (j)	(Pay)	2.69%	3 Month USD LIBOR	$	(16,407,617	)
								$	(16,407,617	)
							Premiums to (Pay) Receive	$	—

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

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

As of August 31, 2016, 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:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

¿ These securities are primarily backed by subprime mortgages.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2).

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

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

(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 (Note 4).

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

(f) Security is in default.

(g) The rate disclosed is the 7 day net yield as of August 31, 2016.

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

(i) Reverse repurchase agreements have an open maturity date and can be closed by either party on demand.

(j) Swap was cleared through the CME Group Inc.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 43.

See accompanying notes to the financial statements. 35

GMO Global Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary†	% of Total Net Assets
Debt Obligations		87.5	%
Short-Term Investments		12.2
Forward Currency Contracts		0.5
Futures Contracts		0.1
Loan Participations		0.1
Rights/Warrants		0.0	^
Options Purchased		0.0	^
Loan Assignments		0.0	^
Written Options/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Swap Contracts		(0.3	)
Other		(0.1	)
		100.0	%
Country/Region Summary‡	% of Investments
United States		31.1	%
Japan		20.4
France		6.6
Italy		5.9
Other Emerging		4.6	¥
New Zealand		4.4
United Kingdom		4.2
Germany		4.2
Sweden		3.9
Mexico		3.6
Spain		3.3
Euro Region		2.1	§
Belgium		1.9
Australia		1.4
Netherlands		1.4
Canada		1.0
		100.0	%

† The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

‡ The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table is normalized to 100%, therefore the absolute exposure presented for each country may not be representative of the true exposure of the Fund. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security.

¥ “Other Emerging” is associated with investments in GMO Emerging Country Debt Fund and is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

§ “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

^ Rounds to 0.00%.

36

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value†		Description	Value ($)
		Debt Obligations — 78.2%
		Belgium — 1.8%
		Foreign Government Obligations
EUR	159,000	Belgium Government Bond, Reg S, 4.25%, due 09/28/21		220,060
EUR	85,000	Belgium Government Bond, Reg S, 5.00%, due 03/28/35		168,053
		Total Belgium		388,113
		Canada — 5.3%
		Foreign Government Obligations
CAD	1,414,000	Government of Canada, 1.50%, due 06/01/23		1,128,806
		France — 7.4%
		Foreign Government Obligations
EUR	921,000	France Government Bond OAT, Reg S, 3.25%, due 10/25/21		1,221,507
EUR	171,000	France Government Bond OAT, Reg S, 4.50%, due 04/25/41		345,208
		Total France		1,566,715
		Italy — 7.4%
		Foreign Government Obligations
EUR	787,000	Buoni Poliennali Del Tesoro, 3.75%, due 05/01/21		1,021,058
EUR	268,000	Buoni Poliennali Del Tesoro, Reg S, 4.00%, due 02/01/37		409,848
EUR	128,000	Buoni Poliennali Del Tesoro, 4.75%, due 05/01/17		147,510
		Total Italy		1,578,416
		Japan — 17.9%
		Foreign Government Obligations
JPY	185,750,000	Japan Government Ten Year Bond, 1.30%, due 09/20/19		1,877,122
JPY	43,300,000	Japan Government Thirty Year Bond, 1.70%, due 12/20/43		558,144
JPY	101,650,000	Japan Government Thirty Year Bond, 2.40%, due 12/20/34		1,355,350
		Total Japan		3,790,616
		Netherlands — 1.3%
		Foreign Government Obligations
EUR	16,000	Netherlands Government Bond, Reg S, 4.00%, due 07/15/19		20,235
EUR	146,000	Netherlands Government Bond, 5.50%, due 01/15/28		264,076
		Total Netherlands		284,311

Par Value† / Shares		Description	Value ($)
		Spain — 4.2%
		Foreign Government Obligations
EUR	55,000	Government of Spain, 2.10%, due 04/30/17		62,298
EUR	140,000	Government of Spain, Reg S, 4.20%, due 01/31/37		222,238
EUR	427,000	Government of Spain, Reg S, 5.50%, due 04/30/21		596,238
		Total Spain		880,774
		United Kingdom — 6.0%
		Foreign Government Obligations
GBP	73,000	United Kingdom Gilt, Reg S, 1.25%, due 07/22/18		97,871
GBP	305,000	United Kingdom Gilt, Reg S, 1.75%, due 07/22/19		419,302
GBP	378,000	United Kingdom Gilt, Reg S, 3.50%, due 01/22/45		763,291
		Total United Kingdom		1,280,464
		United States — 26.9%
		U.S. Government
	6,098,000	U.S. Treasury Principal Strip Bond, due 11/15/21		5,712,411
		TOTAL DEBT OBLIGATIONS (COST $15,334,922)		16,610,626
		MUTUAL FUNDS — 16.4%
		United States
		Affiliated Issuers
	42,459	GMO Debt Opportunities Fund, Class VI		1,075,478
	35,403	GMO Emerging Country Debt Fund, Class IV		1,064,581
	53,998	GMO U.S. Treasury Fund		1,350,480
		TOTAL MUTUAL FUNDS (COST $3,068,752)		3,490,539

See accompanying notes to the financial statements. 37

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

OPTIONS PURCHASED — 0.1%

Principal Amount		Expiration Date		Description	Floating Rate Index	Pay/Receive Fixed Rate	Exercise Rate		Counterparty	Value ($)
				Options on Interest Rate Swaps
EUR	617,000		08/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	MSCI		3,761
EUR	395,000		10/13/2016	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		1.90%	GS		5
EUR	617,000		05/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	MSCI		1,903
EUR	617,000		02/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	MSCI		702
EUR	1,190,000		02/01/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.03%	GS		672
						TOTAL OPTIONS PURCHASED (COST $127,119)					7,043

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 5.2%
		Money Market Funds — 0.5%
	105,202	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.20% (a)		105,202
		U.S. Government — 4.7%
	1,000,000	U.S. Treasury Bill, 0.41%, due 01/26/17 (b) (c)		998,330
		TOTAL SHORT-TERM INVESTMENTS (COST $1,103,632)		1,103,532
		TOTAL INVESTMENTS — 99.9% (Cost $19,634,425)		21,211,740
		Other Assets and Liabilities (net) — 0.1%		31,286
		TOTAL NET ASSETS — 100.0%		$21,243,026

38 See accompanying notes to the financial statements.

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

A summary of outstanding financial instruments at August 31, 2016 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
09/12/2016	BCLY		AUD	361,000		USD	272,650	$	1,408
09/08/2016	BCLY		CAD	1,126,000		USD	879,857		21,200
09/19/2016	MSCI		CHF	852,850		USD	889,520		21,550
11/21/2016	MSCI		DKK	321,000		USD	49,016		734
11/21/2016	BOA		EUR	685,729		USD	779,046		11,525
11/21/2016	GS		EUR	429,000		USD	487,249		7,079
11/07/2017	GS		EUR	917,000		USD	1,006,820		(37,479	)
11/21/2016	BOA		GBP	162,000		USD	213,136		49
09/12/2016	BOA		JPY	41,475,380		USD	400,201		(795	)
09/12/2016	MSCI		JPY	120,175,474		USD	1,192,874		30,981
09/19/2016	MSCI		SEK	611,000		USD	73,033		1,603
09/12/2016	BCLY		USD	553,089		AUD	746,000		7,429
09/12/2016	BOA		USD	2,258,529		JPY	239,885,127		60,754
09/12/2016	GS		USD	153,441		JPY	15,378,000		(4,762	)
09/19/2016	GS		USD	356,081		CHF	342,000		(8,017	)
09/19/2016	MSCI		USD	142,820		SEK	1,210,000		(1,362	)
11/21/2016	BOA		USD	1,458,733		EUR	1,284,000		(21,580	)
11/21/2016	BOA		USD	503,031		GBP	382,248		(240	)
11/21/2016	GS		USD	363,655		EUR	320,000		(5,486	)
11/21/2016	MSCI		USD	157,458		DKK	1,032,000		(2,235	)
11/07/2017	GS		USD	1,012,093		EUR	917,000		32,206
								$	114,562

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
2	Australian Government Bond 10 Yr.	September 2016	$	207,268	$	4,731
2	Australian Government Bond 3 Yr.	September 2016		170,649		732
5	Euro Bund	September 2016		933,520		15,899
1	Euro BUXL Bond 30 Yr.	September 2016		215,260		12,849
1	Japanese Government Bond 10 Yr. (OSE)	September 2016		1,463,394		(6,287	)
2	U.S. Long Bond (CBT)	December 2016		340,750		(847	)

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
13	U.S. Treasury Note 2 Yr. (CBT)	December 2016	$	2,838,063	$	(1,840	)
7	U.S. Ultra Bond (CBT)	December 2016		1,312,281		809
2	UK Gilt Long Bond	December 2016		345,437		917
			$	7,826,622	$	26,963
Sales
6	Canadian Government Bond 10 Yr.	December 2016	$	671,511	$	(972	)
7	Euro BOBL	September 2016		1,043,091		(8,517	)
4	U.S. Treasury Note 10 Yr. (CBT)	December 2016		523,688		1,330
11	U.S. Treasury Note 5 Yr. (CBT)	December 2016		1,333,750		2,501
			$	3,572,040	$	(5,658	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

See accompanying notes to the financial statements. 39

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

Swap Contracts

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	990,000	EUR	11/28/2016	CSS (d)	Receive	0.10%	3 Month EURIBOR	$	1,053
	2,107,000	EUR	3/21/2018	CSS (d)	Receive	(0.22)%	3 Month EURIBOR		4,353
	206,000	USD	12/16/2020	CSS (d)	(Pay)	1.92%	3 Month USD LIBOR		(6,449	)
	7,026,000	SEK	12/15/2021	CSS (e)	Receive	0.08%	3 Month SEK STIBOR		3,440
	3,793,000	SEK	12/15/2021	CSS (e)	Receive	0.12%	3 Month SEK STIBOR		2,747
	2,634,000	MXN	10/25/2024	BCI (d)	Receive	6.19%	TIIE		1,750
	1,707,000	MXN	10/28/2024	BCI (d)	Receive	6.13%	TIIE		759
	319,000	EUR	12/17/2025	CSS (e)	(Pay)	0.94%	6 Month EURIBOR		(6,883	)
	330,000	USD	12/17/2025	CSS (d)	(Pay)	2.43%	3 Month USD LIBOR		(29,335	)
	10,259,000	MXN	1/27/2026	CSS (d)	Receive	6.05%	TIIE		(1,954	)
	960,000	MXN	6/19/2026	CSS (d)	Receive	6.11%	TIIE		(35	)
	14,580,000	JPY	9/16/2026	CSS (e)	(Pay)	(0.02)%	6 Month JPY LIBOR		1,522
	281,000	NZD	9/16/2026	CSS (e)	Receive	2.66%	3 Month NZD Bank Bill Rate		4,764
	409,000	NZD	9/16/2026	CSS (e)	Receive	2.73%	3 Month NZD Bank Bill Rate		8,789
	750,000	USD	9/16/2026	CSS (e)	(Pay)	1.68%	3 Month USD LIBOR		77
	730,000	USD	9/16/2026	CSS (e)	(Pay)	1.80%	3 Month USD LIBOR		(3,848	)
	465,000	EUR	12/18/2030	CSS (e)	Receive	1.61%	6 Month EURIBOR		10,357
	126,000	USD	12/19/2035	CSS (d)	(Pay)	2.72%	3 Month USD LIBOR		(22,927	)
	160,000	EUR	12/20/2045	CSS (e)	Receive	1.20%	6 Month EURIBOR		5,878
	245,800	EUR	12/20/2045	CSS (e)	(Pay)	1.29%	6 Month EURIBOR		(12,471	)
	131,000	EUR	12/20/2045	CSS (e)	Receive	1.11%	6 Month EURIBOR		3,153
	161,000	EUR	12/20/2045	CSS (e)	Receive	1.22%	6 Month EURIBOR		6,532
	425,000	GBP	12/20/2045	CSS (e)	(Pay)	1.21%	6 Month GBP LIBOR		(22,806	)
	62,000	EUR	11/22/2047	CSS (e)	(Pay)	0.97%	6 Month EURIBOR		76
								$	(51,458	)
							Premiums to (Pay) Receive	$	815

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

As of August 31, 2016, 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:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) The rate disclosed is the 7 day net yield as of August 31, 2016.

(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 (Note 4).

(d) Swap was cleared through the CME Group Inc.

(e) Swap was cleared through the LCH.Clearnet Group Ltd.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 43.

40 See accompanying notes to the financial statements.

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

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

^ Rounds to 0.0%.

41

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 100.0%
		U.S. Government — 100.0%
	14,000,000	U.S. Treasury Bill, 0.23%, due 10/06/16 (a)		13,996,822
	65,000,000	U.S. Treasury Bill, 0.22%, due 10/20/16 (a)		64,980,825
	80,000,000	U.S. Treasury Bill, 0.36%, due 01/05/17 (a)		79,901,360
	123,600,000	U.S. Treasury Bill, 0.37%, due 01/19/17 (a)		123,421,398
	53,500,000	U.S. Treasury Bill, 0.46%, due 02/23/17 (a)		53,381,016
	75,000,000	U.S. Treasury Bill, 0.47%, due 03/30/17 (a)		74,794,575
	25,000,000	U.S. Treasury Bill, 0.45%, due 05/25/17 (a)		24,918,825
	327,000,000	U.S. Treasury Note, 0.88%, due 09/15/16		327,075,210
	165,000,000	U.S. Treasury Note, 1.00%, due 09/30/16		165,095,205
	154,000,000	U.S. Treasury Note, 3.00%, due 09/30/16		154,332,640
	175,000,000	U.S. Treasury Note, 1.00%, due 10/31/16		175,205,100
	155,000,000	U.S. Treasury Note, 3.13%, due 10/31/16		155,717,960
	45,000,000	U.S. Treasury Note, 0.63%, due 11/15/16		45,027,000
	146,000,000	U.S. Treasury Note, 4.63%, due 11/15/16		147,275,748
	167,000,000	U.S. Treasury Note, 0.50%, due 11/30/16		167,069,639
	265,000,000	U.S. Treasury Note, 0.88%, due 11/30/16		265,354,305
	220,000,000	U.S. Treasury Note, 2.75%, due 11/30/16		221,306,800
	50,000,000	U.S. Treasury Note, 0.63%, due 12/15/16		50,035,050
	15,000,000	U.S. Treasury Note, 0.50%, due 01/31/17		15,004,935
	20,000,000	U.S. Treasury Note, 0.88%, due 01/31/17		20,037,500
	60,000,000	U.S. Treasury Note, 0.88%, due 02/28/17		60,106,260
	30,000,000	U.S. Treasury Note, 0.75%, due 03/15/17		30,033,210
	25,000,000	U.S. Treasury Note, 1.00%, due 03/31/17		25,062,500
	100,000,000	U.S. Treasury Note, 0.50%, due 04/30/17		99,944,100
	60,000,000	U.S. Treasury Note, 0.88%, due 04/30/17		60,123,060
	30,000,000	U.S. Treasury Note, 0.88%, due 05/15/17		30,059,760
	76,000,000	U.S. Treasury Note, 0.63%, due 05/31/17		76,000,000
	35,000,000	U.S. Treasury Note, 0.75%, due 06/30/17		35,030,065
	30,000,000	U.S. Treasury Note, 2.50%, due 06/30/17		30,459,390
	75,000,000	U.S. Treasury Note, 0.50%, due 07/31/17		74,882,850
	95,000,000	U.S. Treasury Note, 0.88%, due 08/15/17		95,167,010
		Total U.S. Government		2,960,800,118
		Money Market Funds — 0.0%
	1,050,182	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.20% (b)		1,050,182
		TOTAL SHORT-TERM INVESTMENTS (COST $2,961,648,918)		2,961,850,300
		TOTAL INVESTMENTS — 100.0% (Cost $2,961,648,918)		2,961,850,300
		Other Assets and Liabilities (net) — (0.0%)		(759,225	)
		TOTAL NET ASSETS — 100.0%		$2,961,091,075

Notes to Schedule of Investments:

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

(b) The rate disclosed is the 7 day net yield as of August 31, 2016.

42 See accompanying notes to the financial statements.

GMO Trust Funds

Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

Portfolio Abbreviations:

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

ABS - Asset-Backed Security

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

Assurance Corporation.

BOBL - Bundesobligationen

CDO - Collateralized Debt Obligation

CJSC - Closed Joint-Stock Company

CP - Counterparty

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

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

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

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

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

GDP - Gross Domestic Product

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

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

TBA - To Be Announced-Delayed Delivery Security

TIIE - Tasa de Interes Interbacaria de Equilibrio - 28 - Day Interbank Equilibrium

Interest Rate - Mexico

USBM - U.S. Treasury 3 Month Bill Money Market Yield.

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

VRRB - Variable Rate Reduction Bond

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

The rates shown on variable rate notes are the interest rates at August 31, 2016, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BCI - Barclays Capital Inc.

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CITI - Citibank N.A.

CSI - Credit Suisse International

CSS - Credit Suisse Securities (USA) LLC

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPMF - J.P. Morgan Securities LLC

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

MSCS - Morgan Stanley Capital Services LLC

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DEM - Deutsche Mark

DKK - Danish Krone

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

MXN - Mexican Peso

NZD - New Zealand Dollar

PEN - Peruvian Sol

SEK - Swedish Krona

USD - United States Dollar

ZAR - South African Rand

See accompanying notes to the financial statements. 43

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2016 (Unaudited)

	Asset Allocation Bond Fund		Core Plus Bond Fund		Currency Hedged International Bond Fund		Debt Opportunities Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	177,926,847	$	33,938,495	$	26,360,539	$	57,867,964
Investments in unaffiliated issuers, at value (Note 2)(b)		1,841,027,170		44,084,388		37,048,001		1,486,193,146
Cash		—		—		—		62,778
Receivable for investments sold		—		—		—		401,606
Dividends and interest receivable		3,972,728		92,231		345,985		3,149,066
Unrealized appreciation on open forward currency contracts (Note 4)		13,600,519		240,067		538,528		168,800
Receivable for variation margin on open futures contracts (Note 4)		—		3,859		—		—
Receivable for variation margin on open cleared swap contracts (Note 4)		908,734		13,105		11,801		53,732
Due from broker (Note 2)		13,174,483		426,260		294,803		5,306,129
Receivable for open OTC swap contracts (Note 4)		15,273,266		—		—		20,719,683
Interest receivable for open OTC swap contracts		1,967,254		—		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		46,794		28,528		18,621		51,772
Total assets		2,067,897,795		78,826,933		64,618,278		1,573,974,676
Liabilities:
Payable for investments purchased		8,752,008		10,236,390		209,145		874,949
Payable for Fund shares repurchased		2,141,188		—		—		—
Payable for closed swap contracts		—		—		—		62,771
Payable to affiliate for (Note 5):
Management fee		461,486		15,392		14,471		355,282
Shareholder service fee		134,330		6,461		8,683		78,163
Payable for variation margin on open futures contracts (Note 4)		—		—		21,689		—
Unrealized depreciation on open forward currency contracts (Note 4)		12,579,950		193,076		60,571		11,963
Payable for open OTC swap contracts (Note 4)		5,074,938		—		—		14,664,273
Written options outstanding, at value (Note 4)(c)		—		—		—		286,024
Payable to agents unaffiliated with GMO		330		—		—		231
Payable to Trustees and related expenses		1,818		252		37		1,037
Accrued expenses		419,727		179,776		153,376		265,122
Total liabilities		29,565,775		10,631,347		467,972		16,599,815
Net assets	$	2,038,332,020	$	68,195,586	$	64,150,306	$	1,557,374,861
(a)      Cost of investments – affiliated issuers:	$	177,921,392	$	33,423,771	$	25,136,619	$	57,871,961
(b)      Cost of investments – unaffiliated issuers:	$	1,816,161,124	$	44,286,604	$	36,265,242	$	1,499,766,369
(c)     Premiums on options:	$	—	$	—	$	—	$	688,799

44 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)

	Asset Allocation Bond Fund			Core Plus Bond Fund			Currency Hedged International Bond Fund			Debt Opportunities Fund
Net assets consist of:
Paid-in capital	$	2,148,352,181		$	209,335,641		$	73,159,609		$	1,688,571,790
Accumulated undistributed net investment income		—			—			546,075			25,763,094
Distributions in excess of net investment income		(35,701,059	)		(1,291,910	)		—			—
Accumulated net realized gain (loss)		(98,721,387	)		(140,147,878	)		(12,105,424	)		(141,629,747	)
Net unrealized appreciation (depreciation)		24,402,285			299,733			2,550,046			(15,330,276	)
	$	2,038,332,020		$	68,195,586		$	64,150,306		$	1,557,374,861
Net assets attributable to:
Class III	$	381,987,534		$	6,701,330		$	64,150,306		$	—
Class IV	$	—		$	61,494,256		$	—		$	—
Class VI	$	1,656,344,486		$	—		$	—		$	1,557,374,861
Shares outstanding:
Class III		17,142,676			302,672			2,275,077			—
Class IV		—			2,771,025			—			—
Class VI		74,122,256			—			—			61,490,681
Net asset value per share:
Class III	$	22.28		$	22.14		$	28.20		$	—
Class IV	$	—		$	22.19		$	—		$	—
Class VI	$	22.35		$	—		$	—		$	25.33

See accompanying notes to the financial statements. 45

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)

	Emerging Country Debt Fund		Global Bond Fund		U.S. Treasury Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	125,701,783	$	3,490,539	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		4,133,685,917		17,721,201		2,961,850,300
Receivable for Fund shares sold		10,000,000		—		—
Dividends and interest receivable		69,099,694		98,241		11,690,924
Unrealized appreciation on open forward currency contracts (Note 4)		877,729		196,518		—
Receivable for variation margin on open cleared swap contracts (Note 4)		107,728		3,093		—
Due from broker (Note 2)		7,877,195		96,772		—
Receivable for open OTC swap contracts (Note 4)		34,107,092		—		—
Interest receivable for open OTC swap contracts		415,646		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		3,953		15,959		287,662
Receivable for options (Note 4)(c)		417,636		—		—
Miscellaneous receivable		81,044		—		—
Total assets		4,382,375,417		21,622,323		2,973,828,886
Liabilities:
Payable for investments purchased		—		135,308		—
Payable for Fund shares repurchased		20,844,766		—		11,915,778
Payable to affiliate for (Note 5):
Management fee		1,340,445		5,385		235,674
Shareholder service fee		422,984		4,251		—
Payable for variation margin on open futures contracts (Note 4)		—		1,419		—
Dividend payable		—		—		224,556
Unrealized depreciation on open forward currency contracts (Note 4)		—		81,956		—
Payable for open OTC swap contracts (Note 4)		78,727,281		—		—
Payable for reverse repurchase agreements (Note 2)		20,422,108		—		—
Payable for options (Note 4)(c)		2,554,190		—		—
Payable to agents unaffiliated with GMO		627		—		563
Payable to Trustees and related expenses		1,887		—		3,421
Accrued expenses		897,556		150,978		357,819
Total liabilities		125,211,844		379,297		12,737,811
Net assets	$	4,257,163,573	$	21,243,026	$	2,961,091,075
(a)      Cost of investments – affiliated issuers:	$	123,155,405	$	3,068,752	$	—
(b)      Cost of investments – unaffiliated issuers:	$	3,897,577,972	$	16,565,673	$	2,961,648,918
(c)     Premiums on options:	$	5,499,401	$	—	$	—

46 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)

	Emerging Country Debt Fund			Global Bond Fund			U.S. Treasury Fund
Net assets consist of:
Paid-in capital	$	4,205,776,157		$	35,615,811		$	2,959,730,923
Accumulated undistributed net investment income		101,337,474			220,476			9
Accumulated net realized gain (loss)		(290,731,829	)		(16,248,748	)		1,158,761
Net unrealized appreciation		240,781,771			1,655,487			201,382
	$	4,257,163,573		$	21,243,026		$	2,961,091,075
Net assets attributable to:
Core Class	$	—		$	—		$	2,961,091,075
Class III	$	924,099,619		$	21,243,026		$	—
Class IV	$	3,333,063,954		$	—		$	—
Shares outstanding:
Core Class		—			—			118,398,065
Class III		30,692,453			778,089			—
Class IV		110,849,658			—			—
Net asset value per share:
Core Class	$	—		$	—		$	25.01
Class III	$	30.11		$	27.30		$	—
Class IV	$	30.07		$	—		$	—

See accompanying notes to the financial statements. 47

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2016 (Unaudited)

	Asset Allocation Bond Fund			Core Plus Bond Fund			Currency Hedged International Bond Fund			Debt Opportunities Fund
Investment Income:
Interest	$	14,540,065		$	306,713		$	290,294		$	30,447,538
Dividends from unaffiliated issuers		1,637,776			28,381			591			1,270
Dividends from affiliated issuers (Note 10)		1,075,842			223,697			107,041			148,253
Total investment income		17,253,683			558,791			397,926			30,597,061
Expenses:
Management fee (Note 5)		2,697,110			148,746			78,768			2,040,125
Shareholder service fee – Class III (Note 5)		280,014			6,722			47,261			—
Shareholder service fee – Class IV (Note 5)		—			55,017			—			—
Shareholder service fee – Class VI (Note 5)		490,692			—			—			448,828
Audit and tax fees		54,556			52,992			49,956			85,468
Custodian, fund accounting agent and transfer agent fees		178,480			68,172			40,112			131,284
Legal fees		45,632			12,788			11,592			38,640
Registration fees		2,576			2,944			2,024			460
Trustees’ fees and related expenses (Note 5)		16,468			1,104			489			12,638
Interest expense (Note 2)		58,268			2,478			1,790			—
Miscellaneous		8,648			2,856			2,580			13,832
Total expenses		3,832,444			353,819			234,572			2,771,275
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(278,576	)		(129,076	)		(95,680	)		(256,344	)
Indirectly incurred fees waived or borne by GMO (Note 5)		—			(27,120	)		(9,851	)		—
Shareholder service fee waived (Note 5)		—			(6,675	)		(2,583	)		—
Net expenses		3,553,868			190,948			126,458			2,514,931
Net investment income (loss)		13,699,815			367,843			271,468			28,082,130
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(146,458,654	)		1,559,479			(806,560	)		6,669,105
Investments in affiliated issuers		207,668			6,024,438			1,543,515			39,473
Realized gain distributions from affiliated issuers (Note 10)		13,727			1,558			570			1,083
Futures contracts		6,339,183			15,840			825,234			—
Options		(31,823,476	)		(391,981	)		(120,552	)		916,594
Swap contracts		114,976,075			(3,077,123	)		482,823			(9,247,226	)
Foreign currency, forward contracts and foreign currency related transactions		19,176,283			(572,072	)		(558,507	)		(62,560	)
Net realized gain (loss)		(37,569,194	)		3,560,139			1,366,523			(1,683,531	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		138,412,734			(2,064,941	)		2,770,644			31,872,872
Investments in affiliated issuers		68,878			(4,356,378	)		(834,719	)		(13,134	)
Futures contracts		(12,973,233	)		(27,291	)		(160,164	)		—
Options		39,392,236			748,804			222,199			80,943
Swap contracts		(116,197,468	)		6,637,300			(643,798	)		(1,624,117	)
Foreign currency, forward contracts and foreign currency related transactions		(11,923,241	)		(56,282	)		498,634			123,959
Net change in unrealized appreciation (depreciation)		36,779,906			881,212			1,852,796			30,440,523
Net realized and unrealized gain (loss)		(789,288	)		4,441,351			3,219,319			28,756,992
Net increase (decrease) in net assets resulting from operations	$	12,910,527		$	4,809,194		$	3,490,787		$	56,839,122

48 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2016 (Unaudited) — (Continued)

	Emerging Country Debt Fund			Global Bond Fund			U.S. Treasury Fund
Investment Income:
Interest	$	163,024,406		$	236,919		$	7,744,877
Dividends from unaffiliated issuers		856,850			417			—
Dividends from affiliated issuers (Note 10)		285,757			50,143			—
Total investment income		164,167,013			287,479			7,744,877
Expenses:
Management fee (Note 5)		7,296,582			34,182			1,446,687
Shareholder service fee – Class III (Note 5)		667,189			26,986			—
Shareholder service fee – Class IV (Note 5)		1,639,945			—			—
Audit and tax fees		85,100			51,888			24,104
Custodian, fund accounting agent and transfer agent fees		577,944			37,536			220,156
Legal fees		98,164			11,132			72,588
Registration fees		25,668			2,208			368
Trustees’ fees and related expenses (Note 5)		31,741			267			30,213
Interest expense (Note 2)		—			1,097			—
Miscellaneous		15,916			2,579			10,304
Total expenses		10,438,249			167,875			1,804,420
Fees and expenses reimbursed and/or waived by GMO (Note 5)		—			(83,966	)		(1,762,339	)
Indirectly incurred fees waived or borne by GMO (Note 5)		(17,856	)		(5,594	)		—
Shareholder service fee waived (Note 5)		(3,928	)		(1,461	)		—
Net expenses		10,416,465			76,854			42,081
Net investment income (loss)		153,750,548			210,625			7,702,796
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		62,257,626			563,853			1,170,939
Investments in affiliated issuers		31,186			403,672			—
Realized gain distributions from affiliated issuers (Note 10)		2,009			128			—
Futures contracts		—			393,218			—
Options		—			(78,123	)		—
Swap contracts		(20,310,748	)		275,289			—
Foreign currency, forward contracts and foreign currency related transactions		(396,298	)		58,287			—
Net realized gain (loss)		41,583,775			1,616,324			1,170,939
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		443,571,731			717,214			431,525
Investments in affiliated issuers		439,612			(18,629	)		—
Futures contracts		—			(150,342	)		—
Options		4,235,787			144,484			—
Swap contracts		22,209,542			(387,216	)		—
Foreign currency, forward contracts and foreign currency related transactions		(1,156,388	)		94,009			—
Net change in unrealized appreciation (depreciation)		469,300,284			399,520			431,525
Net realized and unrealized gain (loss)		510,884,059			2,015,844			1,602,464
Net increase (decrease) in net assets resulting from operations	$	664,634,607		$	2,226,469		$	9,305,260

See accompanying notes to the financial statements. 49

GMO Trust Funds

Statements of Changes in Net Assets

	Asset Allocation Bond Fund						Core Plus Bond Fund
	Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016			Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	13,699,815		$	8,396,115		$	367,843		$	2,984,582
Net realized gain (loss)		(37,569,194	)		(421,725,486	)		3,560,139			(5,184,506	)
Change in net unrealized appreciation (depreciation)		36,779,906			(58,678,738	)		881,212			(7,494,375	)
Net increase (decrease) in net assets from operations		12,910,527			(472,008,109	)		4,809,194			(9,694,299	)
Distributions to shareholders from:
Net investment income
Class III		—			(26,485,630	)		(51,390	)		(2,771,556	)
Class IV		—			—			(1,949,546	)		(9,179,274	)
Class VI		—			(286,205,734	)		—			—
Total distributions from net investment income		—			(312,691,364	)		(2,000,936	)		(11,950,830	)
Net share transactions (Note 9):
Class III		27,117,344			(1,399,770	)		(45,756,758	)		5,926,234
Class IV		—			—			(156,103,756	)		40,867,382
Class VI		(243,029,581	)		(2,046,673,477	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(215,912,237	)		(2,048,073,247	)		(201,860,514	)		46,793,616
Total increase (decrease) in net assets		(203,001,710	)		(2,832,772,720	)		(199,052,256	)		25,148,487
Net assets:
Beginning of period		2,241,333,730			5,074,106,450			267,247,842			242,099,355
End of period	$	2,038,332,020		$	2,241,333,730		$	68,195,586		$	267,247,842
Accumulated undistributed net investment income	$	—		$	—		$	—		$	341,183
Distributions in excess of net investment income	$	(35,701,059	)	$	(49,400,874	)	$	(1,291,910	)	$	—

50 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Currency Hedged International Bond Fund						Debt Opportunities Fund
	Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016			Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	271,468		$	683,786		$	28,082,130		$	36,619,443
Net realized gain (loss)		1,366,523			368,668			(1,683,531	)		(23,713,454	)
Change in net unrealized appreciation (depreciation)		1,852,796			(2,133,644	)		30,440,523			(1,468,755	)
Net increase (decrease) in net assets from operations		3,490,787			(1,081,190	)		56,839,122			11,437,234
Distributions to shareholders from:
Net investment income
Class III		—			(6,260,770	)		—			—
Class VI		—			—			(8,546,271	)		(28,535,302	)
Total distributions from net investment income		—			(6,260,770	)		(8,546,271	)		(28,535,302	)
Net share transactions (Note 9):
Class III		(859,230	)		(3,029,814	)		—			—
Class VI		—			—			(139,861,473	)		(128,174,824	)
Increase (decrease) in net assets resulting from net share transactions		(859,230	)		(3,029,814	)		(139,861,473	)		(128,174,824	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class VI		—			—			924,276			2,486,765
Increase in net assets resulting from purchase premiums and redemption fees		—			—			924,276			2,486,765
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(859,230	)		(3,029,814	)		(138,937,197	)		(125,688,059	)
Total increase (decrease) in net assets		2,631,557			(10,371,774	)		(90,644,346	)		(142,786,127	)
Net assets:
Beginning of period		61,518,749			71,890,523			1,648,019,207			1,790,805,334
End of period	$	64,150,306		$	61,518,749		$	1,557,374,861		$	1,648,019,207
Accumulated undistributed net investment income	$	546,075		$	274,607		$	25,763,094		$	6,227,235

See accompanying notes to the financial statements. 51

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Emerging Country Debt Fund						Global Bond Fund
	Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016			Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	153,750,548		$	222,709,081		$	210,625		$	482,386
Net realized gain (loss)		41,583,775			(15,576,974	)		1,616,324			(587,911	)
Change in net unrealized appreciation (depreciation)		469,300,284			(288,895,476	)		399,520			(526,840	)
Net increase (decrease) in net assets from operations		664,634,607			(81,763,369	)		2,226,469			(632,365	)
Distributions to shareholders from:
Net investment income
Class III		(14,189,680	)		(60,444,445	)		—			—
Class IV		(53,246,650	)		(216,009,314	)		—			—
Total distributions from net investment income		(67,436,330	)		(276,453,759	)		—			—
Net share transactions (Note 9):
Class III		(31,119,806	)		158,036,105			(18,224,403	)		(8,846,811	)
Class IV		(240,005,321	)		113,254,771			—			—
Increase (decrease) in net assets resulting from net share transactions		(271,125,127	)		271,290,876			(18,224,403	)		(8,846,811	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		770,224			1,308,961			—			—
Class IV		2,843,910			4,807,531			—			—
Increase in net assets resulting from purchase premiums and redemption fees		3,614,134			6,116,492			—			—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(267,510,993	)		277,407,368			(18,224,403	)		(8,846,811	)
Total increase (decrease) in net assets		329,687,284			(80,809,760	)		(15,997,934	)		(9,479,176	)
Net assets:
Beginning of period		3,927,476,289			4,008,286,049			37,240,960			46,720,136
End of period	$	4,257,163,573		$	3,927,476,289		$	21,243,026		$	37,240,960
Accumulated undistributed net investment income	$	101,337,474		$	—		$	220,476		$	9,851
Distributions in excess of net investment income	$	—		$	(11,084,718	)	$	—		$	—

52 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	U.S. Treasury Fund
	Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	7,702,796		$	5,710,896
Net realized gain (loss)		1,170,939			1,739,205
Change in net unrealized appreciation (depreciation)		431,525			(316,810	)
Net increase (decrease) in net assets from operations		9,305,260			7,133,291
Distributions to shareholders from:
Net investment income
Core Class		(7,702,787	)		(5,710,896	)
Total distributions from net investment income		(7,702,787	)		(5,710,896	)
Net realized gains
Core Class		(103,972	)		(1,739,695	)
Total distributions from net realized gains		(103,972	)		(1,739,695	)
Net share transactions (Note 9):
Core Class		(1,073,911,401	)		1,789,890,628
Increase (decrease) in net assets resulting from net share transactions		(1,073,911,401	)		1,789,890,628
Total increase (decrease) in net assets		(1,072,412,900	)		1,789,573,328
Net assets:
Beginning of period		4,033,503,975			2,243,930,647
End of period	$	2,961,091,075		$	4,033,503,975
Accumulated undistributed net investment income	$	9		$	—

See accompanying notes to the financial statements. 53

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

ASSET ALLOCATION BOND FUND

	Class III Shares																								Class VI Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
					2016				2015				2014				2013				2012								2016				2015				2014				2013				2012
Net asset value, beginning of period		$	22.16			$	26.36			$	24.57			$	24.43			$	24.60			$	25.01			$	22.21			$	26.40			$	24.60			$	24.46			$	24.61			$	25.01
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.13				0.01				0.38				0.00	(b)			(0.02	)			0.32				0.14				0.06				0.22				0.03				0.01				0.56
Net realized and unrealized gain (loss)			(0.01	)			(2.58	)			2.48				0.17				0.12				0.78				—				(2.61	)			2.68				0.16				0.11				0.57
Total from investment operations			0.12				(2.57	)			2.86				0.17				0.10				1.10				0.14				(2.55	)			2.90				0.19				0.12				1.13
Less distributions to shareholders:
From net investment income			—				(1.63	)			(0.67	)			(0.03	)			(0.01	)			(0.51	)			—				(1.64	)			(0.70	)			(0.05	)			(0.01	)			(0.53	)
From net realized gains			—				—				(0.40	)			—				(0.26	)			(1.00	)			—				—				(0.40	)			—				(0.26	)			(1.00	)
Total distributions			—				(1.63	)			(1.07	)			(0.03	)			(0.27	)			(1.51	)			—				(1.64	)			(1.10	)			(0.05	)			(0.27	)			(1.53	)
Net asset value, end of period		$	22.28			$	22.16			$	26.36			$	24.57			$	24.43			$	24.60			$	22.35			$	22.21			$	26.40			$	24.60			$	24.46			$	24.61
Total Return(c)			0.54	%**			(9.88	)%			11.92	%			0.72	%			0.42	%			4.49	%			0.63	%**			(9.79	)%			12.05	%			0.79	%			0.52	%			4.61	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	381,988			$	352,828			$	421,910			$	260,775			$	91,186			$	56,692			$	1,656,344	**		$	1,888,505			$	4,652,197			$	2,849,433			$	88,029			$	116,591
Net operating expenses to average daily net assets(e)			0.40	%*			0.40	%			0.40	%			0.40	%(d)			0.40	%			0.40	%(d)			0.30	%*			0.31	%			0.31	%			0.31	%(d)			0.31	%			0.31	%(d)
Interest and/or dividend expenses to average daily net assets(f)			0.01	%*			0.02	%			0.01	%			0.00	%(g)			—				0.01	%			0.01	%*			0.02	%			0.01	%			0.00	%(g)			—				0.01	%
Total net expenses to average daily net assets(e)			0.41	%*			0.42	%			0.41	%			0.40	%			0.40	%			0.41	%			0.31	%*			0.33	%			0.32	%			0.31	%			0.31	%			0.32	%
Net investment income (loss) to average daily net assets(a)			1.20	%*			0.03	%			1.49	%			0.01	%			(0.08	)%			1.31	%			1.28	%*			0.27	%			0.84	%			0.13	%			0.02	%			2.25	%
Portfolio turnover rate			72	%(h)**			177	%(i)			177	%			32	%			233	%			319	%			72	%(h)**			177	%(i)			177	%			32	%			233	%			319	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.03	%			0.02	%			0.02	%			0.08	%			0.06	%			0.03	%*			0.03	%			0.02	%			0.02	%			0.07	%			0.04	%

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

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

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

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

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

^(f)  Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(g)  Ratio is less than 0.01%.

^(h)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 72% of the average value of its portfolio.

⁽ⁱ⁾ The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 123% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

54 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CORE PLUS BOND FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2016 (Unaudited)(a)				Year Ended February 28/29,																				Six Months Ended August 31, 2016 (Unaudited)(a)				Year Ended February 28/29,
					2016(a)				2015(a)				2014(a)				2013(a)				2012(a)								2016(a)				2015(a)				2014(a)				2013(a)				2012(a)
Net asset value, beginning of period		$	21.39			$	23.43			$	22.35			$	22.23			$	21.39			$	21.78			$	21.45			$	23.49			$	22.41			$	22.29			$	21.42			$	21.81
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.06				0.24				0.21				0.21				0.21				0.39				0.07				0.27				0.21				0.21				0.24				0.39
Net realized and unrealized gain (loss)			0.86				(1.14	)			1.83				0.24				1.62				1.68				0.86				(1.17	)			1.83				0.27				1.62				1.68
Total from investment operations			0.92				(0.90	)			2.04				0.45				1.83				2.07				0.93				(0.90	)			2.04				0.48				1.86				2.07
Less distributions to shareholders:
From net investment income			(0.17	)			(1.14	)			(0.96	)			(0.33	)			(0.99	)			(2.46	)			(0.19	)			(1.14	)			(0.96	)			(0.36	)			(0.99	)			(2.46	)
Total distributions			(0.17	)			(1.14	)			(0.96	)			(0.33	)			(0.99	)			(2.46	)			(0.19	)			(1.14	)			(0.96	)			(0.36	)			(0.99	)			(2.46	)
Net asset value, end of period		$	22.14			$	21.39			$	23.43			$	22.35			$	22.23			$	21.39			$	22.19			$	21.45			$	23.49			$	22.41			$	22.29			$	21.42
Total Return(c)			4.31	%**			(3.93	)%			9.25	%			2.15	%			8.67	%			9.88	%			4.38	%**			(3.91	)%			9.32	%			2.15	%			8.85	%			9.90	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	6,701			$	52,187			$	51,045			$	48,632			$	48,831			$	46,924			$	61,494			$	215,060			$	191,054			$	191,571			$	190,527			$	188,675
Net operating expenses to average daily net assets(d)			0.37	%*			0.35	%			0.37	%			0.38	%			0.38	%(e)			0.39	%(e)			0.31	%*			0.30	%			0.32	%			0.33	%			0.33	%(e)			0.34	%(e)
Interest and/or dividend expenses to average daily net assets(g)			0.00	(f)*			0.01	%			0.00	(f)			0.00	%(f)			—				—				0.00	%(f)*			0.01	%			0.00	%(f)			0.00	%(f)			—				—
Total net expenses to average daily net assets(d)			0.37	%*			0.36	%			0.37	%			0.38	%			0.38	%(e)			0.39	%(e)			0.32	%*			0.31	%			0.32	%			0.33	%			0.33	%(e)			0.34	%(e)
Net investment income (loss) to average daily net assets(b)			0.60	%*			1.14	%			0.89	%			0.95	%			1.02	%			1.74	%			0.62	%*			1.17	%			0.94	%			0.99	%			1.07	%			1.75	%
Portfolio turnover rate			85	%**(h)			21	%(i)			128	%			87	%			135	%			72	%			85	%**(h)			21	%(i)			128	%			87	%			135	%			72	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(j)			0.30	%*			0.21	%			0.15	%			0.12	%			0.13	%			0.12	%			0.27	%*			0.21	%			0.15	%			0.12	%			0.13	%			0.12	%

^(a) Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

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

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

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

^(f)  Ratio is less than 0.01%.

^(g)  Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(h)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 102% of the average value of its portfolio.

⁽ⁱ⁾  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 15% of the average value of its portfolio.

^(j)  Ratios include indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 55

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CURRENCY HEDGED INTERNATIONAL BOND FUND

	Class III Shares
	Six Months Ended August 31, 2016 (Unaudited)(a)				Year Ended February 28/29,
					2016(a)				2015(a)				2014(a)				2013(a)				2012(a)
Net asset value, beginning of period		$	26.67			$	29.70			$	26.70			$	26.28			$	25.05			$	24.54
Income (loss) from investment operations:
Net investment income (loss)†(b)			0.12				0.27				0.33				0.36				0.42				0.39
Net realized and unrealized gain (loss)			1.41				(0.72	)			4.14				0.42				1.92				2.13
Total from investment operations			1.53				(0.45	)			4.47				0.78				2.34				2.52
Less distributions to shareholders:
From net investment income			—				(2.58	)			(1.47	)			(0.33	)			(1.11	)			(1.23	)
Return of capital			—				—				—				(0.03	)			—				(0.78	)
Total distributions			—				(2.58	)			(1.47	)			(0.36	)			(1.11	)			(2.01	)
Net asset value, end of period		$	28.20			$	26.67			$	29.70			$	26.70			$	26.28			$	25.05
Total Return(c)			5.74	%**			(1.17	)%			17.02	%			3.04	%			9.43	%			10.48	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	64,150			$	61,519			$	71,891			$	71,837			$	69,527			$	72,021
Net operating expenses to average daily net assets(d)			0.39	%*			0.38	%			0.36	%			0.39	%			0.40	%			0.39	%(e)
Interest and/or dividend expenses to average daily net assets(f)			0.01	%*			0.01	%			0.00	%(g)			0.00	%(g)			—				—
Total net expenses to average daily net assets(d)			0.40	%*			0.39	%			0.36	%			0.39	%			0.40	%			0.39	%(e)
Net investment income (loss) to average daily net assets(b)			0.86	%*			1.03	%			1.19	%			1.41	%			1.61	%			1.58	%
Portfolio turnover rate			0	%(h)**			69	%(i)			117	%			13	%			34	%			52	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(j)			0.34	%*			0.58	%			0.27	%			0.24	%			0.27	%			0.25	%

^(a)  Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

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

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

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

^(f)  Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(g)  Ratio is less than 0.01%.

^(h)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 17% of the average value of its portfolio.

⁽ⁱ⁾  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 24% of the average value of its portfolio.

^(j)  Ratios include indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

56 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

DEBT OPPORTUNITIES FUND

	Class VI Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,																Period from October 3, 2011 (commencement of operations) through February 29, 2012(a)
					2016				2015(a)				2014(a)(b)				2013(a)
Net asset value, beginning of period		$	24.57			$	24.80			$	24.22			$	24.22			$	22.54			$	22.33
Income (loss) from investment operations:
Net investment income (loss)(c)†			0.43				0.53				0.54				0.84				1.05				0.42
Net realized and unrealized gain (loss)			0.47				(0.34	)			0.42				0.14				1.54				0.14
Total from investment operations			0.90				0.19				0.96				0.98				2.59				0.56
Less distributions to shareholders:
From net investment income			(0.14	)			(0.42	)			(0.38	)			(0.56	)			(0.35	)			(0.21	)
From net realized gains			—				—				—				(0.42	)			(0.56	)			(0.14	)
Total distributions			(0.14	)			(0.42	)			(0.38	)			(0.98	)			(0.91	)			(0.35	)
Net asset value, end of period		$	25.33			$	24.57	(d)		$	24.80			$	24.22			$	24.22			$	22.54
Total Return(e)			3.66	%**			0.77	%			3.98	%			4.27	%			11.62	%			2.43	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,557,375			$	1,648,019			$	1,790,805			$	2,111,080			$	812,020			$	204,043
Net expenses to average daily net assets(f)			0.31	%*			0.31	%			0.31	%			0.31	%(g)			0.31	%(g)			0.31	%*
Interest and/or dividend expenses to average daily net assets(i)			—				0.00	%(h)			0.00	%(h)			—				—				—
Total net expenses to average daily net assets(f)			0.31	%*			0.31	%			0.31	%			0.31	%(g)			0.31	%(g)			0.31	%*
Net investment income (loss) to average daily net assets(c)			3.44	%*			2.13	%			2.18	%			3.51	%			4.36	%			4.59	%*
Portfolio turnover rate			31	%**(k)			66	%(l)			37	%			30	%			39	%			23	%(j)**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.03	%			0.03	%			0.02	%			0.04	%			0.17	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.04			$	0.03	(a)		$	0.05	(a)		$	0.11	(a)		$	0.03	(a)

^(a)  Per share amounts were adjusted to reflect a 1:7 reverse stock split effective May 15, 2014.

^(b)  Effective February 12, 2014, GMO Debt Opportunities Fund (the “Acquired Fund”) merged into GMO Short-Duration Collateral Fund (the “Acquiring Fund”) and the surviving entity was renamed GMO Debt Opportunities Fund. For accounting and financial reporting purposes, the Acquired Fund isthe surviving entity, meaning the combined entity adopted the historicalfinancial reporting history of the Acquired Fund. Share and per share information have been adjusted to reflect the effects of the merger.

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

^(d)  Beginning December 21, 2015 the pricing source for certain fixed income assets of the Fund changed, which resulted in an increase in the December 21, 2015 net asset value of the Fund by $0.04 per share.

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

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

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

^(h)  Ratio is less than 0.01%.

⁽ⁱ⁾  Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

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

^(k)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 38% of the average value of its portfolio.

^(l)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 51% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 57

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2016 (Unaudited)(a)				Year Ended February 28/29,																				Six Months Ended August 31, 2016 (Unaudited)(a)				Year Ended February 28/29,
					2016(a)				2015(a)				2014(a)				2013(a)				2012(a)								2016(a)				2015(a)				2014(a)				2013(a)				2012(a)
Net asset value, beginning of period		$	26.01			$	28.47			$	29.31			$	31.02			$	28.77			$	27.30			$	25.98			$	28.44			$	29.28			$	30.99			$	28.74			$	27.27
Income (loss) from investment operations:
Net investment income (loss)(b)†			1.05				1.53				1.77	(c)			1.80				2.31				2.52				1.05				1.53				1.80	(c)			1.80				2.37				2.52
Net realized and unrealized gain (loss)			3.52	(d)			(2.04	)			(0.03	)			(1.77	)			2.46				1.74				3.52	(d)			(2.01	)			(0.06	)			(1.74	)			2.43				1.77
Total from investment operations			4.57				(0.51	)			1.74				0.03				4.77				4.26				4.57				(0.48	)			1.74				0.06				4.80				4.29
Less distributions to shareholders:
From net investment income			(0.47	)			(1.95	)			(2.58	)			(1.74	)			(2.52	)			(2.79	)			(0.48	)			(1.98	)			(2.58	)			(1.77	)			(2.55	)			(2.82	)
Total distributions			(0.47	)			(1.95	)			(2.58	)			(1.74	)			(2.52	)			(2.79	)			(0.48	)			(1.98	)			(2.58	)			(1.77	)			(2.55	)			(2.82	)
Net asset value, end of period		$	30.11			$	26.01			$	28.47			$	29.31			$	31.02			$	28.77			$	30.07			$	25.98			$	28.44			$	29.28			$	30.99			$	28.74
Total Return(e)			17.64	%**			(1.77	)%			6.03	%			0.27	%			17.04	%			16.62	%			17.65	%**			(1.73	)%			6.07	%			0.33	%			17.14	%			16.69	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	924,100			$	827,667			$	746,182			$	582,639			$	427,339			$	679,533			$	3,333,064			$	3,099,809			$	3,262,104			$	2,465,331			$	1,908,041			$	1,117,850
Net operating expenses to average daily net assets(f)			0.54	%*			0.54	%			0.56	%			0.56	%(g)			0.60	%(g)			0.64	%(g)			0.49	%*			0.49	%			0.51	%			0.51	%(g)			0.55	%(g)			0.59	%(g)
Interest and/or dividend expenses to average daily net assets(h)			—				0.00	%(i)			—				—				0.02	%			0.08	%			—				0.00	%(i)			—				—				0.02	%			0.08	%
Total net expenses to average daily net assets(f)			0.54	%*			0.54	%			0.56	%			0.56	%(g)			0.62	%(g)			0.72	%(g)			0.49	%*			0.49	%			0.51	%			0.51	%(g)			0.57	%(g)			0.67	%(g)
Net investment income (loss) to average daily net assets(b)			7.34	%*			5.58	%			5.86	%(j)			5.99	%			7.75	%			8.90	%			7.39	%*			5.60	%			5.93	%(j)			6.02	%			7.84	%			8.95	%
Portfolio turnover rate			12	%(k)**			20	%(l)			18	%			27	%			36	%			29	%			12	%(k)**			20	%(l)			18	%			27	%			36	%			29	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(m)			0.00	%(i)*			0.00	%(i)			0.00	%(i)			—				0.00	%(i)			—				0.00	%(i)*			0.00	%(i)			0.00	%(i)			—				0.00	%(i)			—
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.03	(a)		$	0.04	(a)		$	0.06	(a)		$	0.05	(a)		$	0.08	(a)		$	0.02	(a)		$	0.03	(a)		$	0.04	(a)		$	0.06	(a)		$	0.05	(a)		$	0.08	(a)		$	0.02	(a)

^(a)  Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

^(c)  Includes income per share of $0.06 and $0.09, respectively, as a result of litigation on certain sovereign debt. Excluding this income, the Fund’s net investment income per share would have been $1.71 and $1.71, respectively. These per share amounts have been adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

^(d) Includes realized gain per share of $0.23 and $0.23, respectively, as a result of litigation on Argentinian sovereign debt. Excluding this income, the Fund’s realized gain per share would have been $3.29 and $3.29, respectively.

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

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

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

^(h)  Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

⁽ⁱ⁾  Ratio is less than 0.01%.

^(j)  Includes income of $0.24 and $0.24, respectively, of average daily net assets as a result of litigation on certain sovereign debt. Excluding this income, the Fund’s net investment income to average daily net assets would have been 5.62% and 5.69%, respectively.

^(k)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 14% of the average value of its portfolio.

^(l)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 17% of the average value of its portfolio.

^(m)  Ratios include indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

58 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL BOND FUND

	Class III Shares
	Six Months Ended August 31, 2016 (Unaudited)(a)				Year Ended February 28/29,
					2016(a)				2015(a)				2014(a)				2013(a)				2012(a)
Net asset value, beginning of period		$	25.80			$	26.01			$	25.83			$	25.11			$	24.33			$	23.73
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.16				0.33				0.24				0.24				0.33				0.33
Net realized and unrealized gain (loss)			1.34				(0.54	)			(0.03	)(c)			0.54				0.81				1.65
Total from investment operations			1.50				(0.21	)			0.21				0.78				1.14				1.98
Less distributions to shareholders:
From net investment income			—				—				(0.03	)			(0.06	)			(0.36	)			(1.38	)
Total distributions			—				—				(0.03	)			(0.06	)			(0.36	)			(1.38	)
Net asset value, end of period		$	27.30			$	25.80			$	26.01			$	25.83			$	25.11			$	24.33
Total Return(d)			5.81	%**			(0.81	)%			0.81	%			3.13	%			4.72	%			8.57	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	21,243			$	37,241			$	46,720			$	141,269			$	165,337			$	163,213
Net operating expenses to average daily net assets(e)			0.42	%*			0.39	%			0.34	%			0.38	%(f)			0.39	%(f)			0.39	%(f)
Interest and/or dividend expenses to average daily net assets(g)			0.01	%*			0.01	%			0.00	%(h)			0.00	%(h)			—				—
Total net expenses to average daily net assets(e)			0.43	%*			0.40	%			0.34	%			0.38	%			0.39	%			0.39	%
Net investment income (loss) to average daily net assets(b)			1.17	%*			1.26	%			0.94	%			0.99	%			1.29	%			1.39	%
Portfolio turnover rate			0	%**(i)			65	%(j)			84	%			24	%			42	%			38	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(k)			0.51	%*			0.93	%			0.22	%			0.09	%			0.10	%			0.09	%

^(a)  Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

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

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

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

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

^(g)  Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

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

⁽ⁱ⁾  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 11% of the average value of its portfolio.

^(j)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 21% of the average value of its portfolio.

^(k)  Ratios include indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 59

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

U.S. TREASURY FUND

	Core Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
					2016				2015				2014				2013				2012
Net asset value, beginning of period		$	25.00			$	25.00			$	25.00			$	25.00			$	25.00			$	25.00
Income (loss) from investment operations:
Net investment income (loss)†			0.05				0.04				0.01				0.02				0.03				0.01
Net realized and unrealized gain (loss)			0.01				—				0.00	(a)			0.01				(0.00	)(a)			0.01
Total from investment operations			0.06				0.04				0.01				0.03				0.03				0.02
Less distributions to shareholders:
From net investment income			(0.05	)			(0.03	)			(0.01	)			(0.02	)			(0.03	)			(0.01	)
From net realized gains			(0.00	)(b)			(0.01	)			(0.00	)(b)			(0.01	)			—				(0.01	)
Total distributions			(0.05	)			(0.04	)			(0.01	)			(0.03	)			(0.03	)			(0.02	)
Net asset value, end of period		$	25.01			$	25.00			$	25.00			$	25.00			$	25.00			$	25.00
Total Return(c)			0.26	%**			0.19	%			0.06	%			0.11	%			0.11	%			0.07	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,961,091			$	4,033,504			$	2,243,931			$	1,909,864			$	2,912,203			$	2,056,342
Net expenses to average daily net assets(d)			0.00	%*			0.00	%			0.00	%			0.00	%(e)			0.00	%(e)			0.00	%(e)
Net investment income (loss) to average daily net assets			0.43	%*			0.16	%			0.05	%			0.08	%			0.10	%			0.04	%
Portfolio turnover rate(f)			0	%**			0	%			0	%			0	%			0	%			0	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.10	%*			0.10	%			0.10	%			0.10	%			0.10	%			0.10	%

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

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

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

^(d)  Ratio is less than 0.01%.

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

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

60 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

August 31, 2016 (Unaudited)

1. Organization

Each of Asset Allocation Bond Fund, Core Plus Bond Fund, Currency Hedged International Bond Fund, Debt Opportunities Fund, Emerging Country Debt Fund, Global Bond Fund, and U.S. Treasury Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

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

Many of the Funds may invest without limitation in other GMO Funds (“underlying funds”). In particular, pursuant to an exemptive order granted by the Securities and Exchange Commission (“SEC”), some of the Funds may invest in Debt Opportunities Fund, Emerging Country Debt Fund, and U.S. Treasury Fund. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements.

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

Fund Name	Benchmark	Investment Objective
Asset Allocation Bond Fund	Citigroup 3-Month Treasury Bill Index	Total return in excess of benchmark
Core Plus Bond Fund	Barclays U.S. Aggregate Index	Total return in excess of benchmark
Currency Hedged International Bond Fund	J.P. Morgan GBI Global ex Japan ex U.S. (Hedged)	Total return in excess of benchmark
Debt Opportunities Fund	Not Applicable	Positive total return
Emerging Country Debt Fund	J.P. Morgan EMBI Global	Total return in excess of benchmark
Global Bond Fund	J.P. Morgan GBI Global	Total return in excess of benchmark
U.S. Treasury Fund	Not Applicable	Liquidity and safety of principal with current income as a secondary objective

Asset Allocation Bond Fund, Currency Hedge International Bond Fund, and U.S. Treasury Fund currently limit subscriptions.

Asset Allocation Bond Fund, Debt Opportunities Fund, Emerging Country Debt Fund, and U.S. Treasury Fund are currently distributed in Switzerland. The distribution of shares in Switzerland will be exclusively made to, and directed at, qualified investors as defined in the Swiss Collective Investment Schemes Act of 23 June 2006, as amended, and its implementing ordinance.

2. Significant accounting policies

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

Portfolio valuation

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a specific relevant pricing source determined 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. Alternative pricing sources are often but not always available for securities held 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

61

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

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. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted 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 or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2016, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets which 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 valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds, held either directly or through investments in the underlying funds, that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2016. 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 quoted price 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 the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

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 August 31, 2016 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	%		—
Core Plus Bond Fund		< 1	%		1	%
Currency Hedged International Bond Fund		< 1	%		< 1	%
Debt Opportunities Fund		1	%†		6	%
Emerging Country Debt Fund		2	%‡		3	%
Global Bond Fund		< 1	%		< 1	%
U.S. Treasury Fund		—			—

62

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August 31, 2016 (Unaudited)

† Consists of four U.S. Agency for International Development Floater Bonds which were valued using current LIBOR yield and adjusted by 125 basis points for liquidity considerations.

‡ Includes the Republic of Albania Par Bond, due 08/31/25 which represents 0.9% of the Fund’s total net assets and is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 08/15/25.

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 methodologies 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). Other than Funds with investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes) or as described in the footnotes to the Securities and Derivatives table above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at August 31, 2016.

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 vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; and certain derivatives for which GMO acts as intermediary between the third party pricing vendor and the pricing agent.

63

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The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2016:

Description	Level 1		Level 2			Level 3			Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	823,614,060	$	782,210,229		$	—		$	1,605,824,289
TOTAL DEBT OBLIGATIONS		823,614,060		782,210,229			—			1,605,824,289
Mutual Funds		177,926,847		—			—			177,926,847
Options Purchased		—		1,230,876			—			1,230,876
Short-Term Investments		22,471,594		211,500,411			—			233,972,005
Total Investments		1,024,012,501		994,941,516			—			2,018,954,017
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		13,600,519			—			13,600,519
Swap Contracts
Interest Rate Risk		—		119,438,068			—			119,438,068
Total	$	1,024,012,501	$	1,127,980,103		$	—		$	2,151,992,604
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(12,579,950	)	$	—		$	(12,579,950	)
Swap Contracts
Interest Rate Risk		—		(96,232,507	)		(3,427,152	)		(99,659,659	)
Total	$	—	$	(108,812,457	)	$	(3,427,152	)	$	(112,239,609	)
Core Plus Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	23,196,955	$	—		$	—		$	23,196,955
U.S. Government Agency		10,225,765		—			—			10,225,765
TOTAL DEBT OBLIGATIONS		33,422,720		—			—			33,422,720
Mutual Funds		44,190,392		—			—			44,190,392
Short-Term Investments		409,771		—			—			409,771
Total Investments		78,022,883		—			—			78,022,883
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		240,067			—			240,067
Futures Contracts
Interest Rate Risk		809		—			—			809
Swap Contracts
Interest Rate Risk		—		73,245			—			73,245
Total	$	78,023,692	$	313,312		$	—		$	78,337,004

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August 31, 2016 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Core Plus Bond Fund (continued)
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(193,076	)	$	—	$	(193,076	)
Futures Contracts
Interest Rate Risk		(22,570	)		—			—		(22,570	)
Swap Contracts
Interest Rate Risk		—			(89,709	)		—		(89,709	)
Total	$	(22,570	)	$	(282,785	)	$	—	$	(305,355	)
Currency Hedged International Bond Fund
Asset Valuation Inputs
Debt Obligations
Foreign Government Obligations	$	—		$	35,680,567		$	—	$	35,680,567
TOTAL DEBT OBLIGATIONS		—			35,680,567			—		35,680,567
Mutual Funds		26,360,539			—			—		26,360,539
Options Purchased		—			10,892			—		10,892
Short-Term Investments		1,356,542			—			—		1,356,542
Total Investments		27,717,081			35,691,459			—		63,408,540
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			538,528			—		538,528
Futures Contracts
Interest Rate Risk		254,944			—			—		254,944
Swap Contracts
Interest Rate Risk		—			127,448			—		127,448
Total	$	27,972,025		$	36,357,435		$	—	$	64,329,460
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(60,571	)	$	—	$	(60,571	)
Swap Contracts
Interest Rate Risk		—			(307,730	)		—		(307,730	)
Total	$	—		$	(368,301	)	$	—	$	(368,301	)
Debt Opportunities Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	1,415,392,370		$	25,064,113	$	1,440,456,483
U.S. Government Agency		—			—			20,968,741		20,968,741
TOTAL DEBT OBLIGATIONS		—			1,415,392,370			46,032,854		1,461,425,224
Mutual Funds		57,867,964			—			—		57,867,964
Options Purchased		—			1,572,423			—		1,572,423
Short-Term Investments		23,195,499			—			—		23,195,499
Total Investments		81,063,463			1,416,964,793			46,032,854		1,544,061,110

65

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August 31, 2016 (Unaudited)

Description	Level 1		Level 2			Level 3		Total
Debt Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	168,800		$	—	$	168,800
Swap Contracts
Credit Risk		—		21,550,271			—		21,550,271
Interest Rate Risk		—		72,489			—		72,489
Total	$	81,063,463	$	1,438,756,353		$	46,032,854	$	1,565,852,670
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(11,963	)	$	—	$	(11,963	)
Written Options
Credit Risk		—		(286,024	)		—		(286,024	)
Swap Contracts
Credit Risk		—		(17,644,862	)		—		(17,644,862	)
Interest Rate Risk		—		(3,587,458	)		—		(3,587,458	)
Total	$	—	$	(21,530,307	)	$	—	$	(21,530,307	)
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	27,946,079		$	22,869,582	$	50,815,661
Corporate Debt		—		—			22,100,000		22,100,000
Foreign Government Agency		—		913,529,993			108,266,551		1,021,796,544
Foreign Government Obligations		—		2,362,578,617			53,754,602		2,416,333,219
U.S. Government		255,861,450		75,154,749			—		331,016,199
TOTAL DEBT OBLIGATIONS		255,861,450		3,379,209,438			206,990,735		3,842,061,623
Loan Assignments		—		—			5,712,037		5,712,037
Loan Participations		—		—			71,240,246		71,240,246
Mutual Funds		125,701,783		—			—		125,701,783
Rights/Warrants		—		38,112,318			3,347,150		41,459,468
Short-Term Investments		173,212,543		—			—		173,212,543
Total Investments		554,775,776		3,417,321,756			287,290,168		4,259,387,700
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		877,729			—		877,729
Options
Credit Risk		—		—			417,636		417,636
Swap Contracts
Credit Risk		—		29,923,316			—		29,923,316
Interest Rate Risk		—		4,183,776			—		4,183,776
Total	$	554,775,776	$	3,452,306,577		$	287,707,804	$	4,294,790,157

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August 31, 2016 (Unaudited)

Description	Level 1			Level 2			Level 3			Total
Emerging Country Debt Fund (continued)
Liability Valuation Inputs
Derivatives^
Options
Credit Risk	$	—		$	—		$	(2,554,190	)	$	(2,554,190	)
Swap Contracts
Credit Risk		—			(70,770,256	)		—			(70,770,256	)
Interest Rate Risk		—			(24,364,642	)		—			(24,364,642	)
Total	$	—		$	(95,134,898	)	$	(2,554,190	)	$	(97,689,088	)
Global Bond Fund
Asset Valuation Inputs
Debt Obligations
Foreign Government Obligations	$	—		$	10,898,215		$	—		$	10,898,215
U.S. Government		—			5,712,411			—			5,712,411
TOTAL DEBT OBLIGATIONS		—			16,610,626			—			16,610,626
Mutual Funds		3,490,539			—			—			3,490,539
Options Purchased		—			7,043			—			7,043
Short-Term Investments		1,103,532			—			—			1,103,532
Total Investments		4,594,071			16,617,669			—			21,211,740
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			196,518			—			196,518
Futures Contracts
Interest Rate Risk		39,768			—			—			39,768
Swap Contracts
Interest Rate Risk		—			55,250			—			55,250
Total	$	4,633,839		$	16,869,437		$	—		$	21,503,276
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(81,956	)	$	—		$	(81,956	)
Futures Contracts
Interest Rate Risk		(18,463	)		—			—			(18,463	)
Swap Contracts
Interest Rate Risk		—			(106,708	)		—			(106,708	)
Total	$	(18,463	)	$	(188,664	)	$	—		$	(207,127	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	2,961,850,300		$	—		$	—		$	2,961,850,300
Total Investments		2,961,850,300			—			—			2,961,850,300
Total	$	2,961,850,300		$	—		$	—		$	2,961,850,300

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.

67

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^ 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. Excludes purchased options, if any, which are included in investments.

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

For all Funds for the period ended August 31, 2016, there were no significant 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 29, 2016			Purchases		Sales			Accrued Discounts/ Premiums			Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)		Transfer into Level 3 †			Transfer out of Level 3 †			Balances as of August 31, 2016			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2016
Asset Allocation Bond Fund
Options purchased
Quanto options	$	45,987,627		$	—	$	(40,853,375	)	$	—		$	(20,349,237	)	$	15,214,985	$	—		$	—		$	—		$	—
Derivatives
Swap Contracts		(11,702,625	)		—		17,662,743			—			(17,662,743	)		20,694,506		(12,419,033	)‡		—			(3,427,152	)		—
Total	$	34,285,002		$	—	$	(23,190,632	)	$	—		$	(38,011,980	)	$	35,909,491	$	(12,419,033	)	$	—		$	(3,427,152	)	$	—
Core Plus Bond Fund
Derivatives
Swap Contracts	$	(45,734	)	$	—	$	53,455		$	—		$	(53,455	)	$	45,734	$	—		$	—		$	—		$	—
Total	$	(45,734	)	$	—	$	53,455		$	—		$	(53,455	)	$	45,734	$	—		$	—		$	—		$	—
Currency Hedged International Bond Fund
Derivatives
Swap Contracts	$	(13,707	)	$	—	$	15,124		$	—		$	(15,124	)	$	13,707	$	—		$	—		$	—		$	—
Total	$	(13,707	)	$	—	$	15,124		$	—		$	(15,124	)	$	13,707	$	—		$	—		$	—		$	—
Debt Opportunities Fund
Debt Obligations
Asset-Backed Securities	$	26,579,832		$	152	$	(8,008,060	)	$	225,337		$	(3,938,023	)	$	5,148,740	$	15,702,029	‡	$	(10,645,894	)‡	$	25,064,113		$	(127,165	)
U.S. Government Agency		22,266,906			—		(1,539,663	)		(2,195	)		26,110			217,583		—			—			20,968,741			240,111
Total	$	48,846,738		$	152	$	(9,547,723	)#	$	223,142		$	(3,911,913	)	$	5,366,323	$	15,702,029		$	(10,645,894	)	$	46,032,854		$	112,946

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August 31, 2016 (Unaudited)

	Balances as of February 29, 2016			Purchases		Sales			Accrued Discounts/ Premiums			Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3 †			Transfer out of Level 3 †		Balances as of August 31, 2016			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2016
Emerging Country Debt Fund
Debt Obligations
Asset-Backed Securities	$	22,096,944		$	—	$	(707,788	)	$	46,867		$	—		$	1,433,559		$	—		$	—	$	22,869,582		$	1,433,559
Corporate Debt		21,661,400			—		—			(332	)		—			438,932			—			—		22,100,000			438,932
Foreign Government Agency		71,588,911			—		—			344,454			—			8,243,960			28,089,226	‡		—		108,266,551			8,243,960
Foreign Government Obligations		14,341,239			—		—			84,332			—			1,057,012			38,272,019	‡		—		53,754,602			1,057,012
Judgments		45,684,000			—		(70,500,000	)		163,871			33,658,452			(9,006,323	)		—			—		—			—
Total Debt Obligations		175,372,494			—		(71,207,788	)		639,192			33,658,452			2,167,140			66,361,245			—		206,990,735			11,173,463
Loan Assignments		6,481,913			—		(900,248	)		212,591			—			(82,219	)		—			—		5,712,037			(82,219	)
Loan Participations		69,224,829			—		(6,803,854	)		1,012,183			—			7,807,088			—			—		71,240,246			7,807,088
Rights/Warrants		4,766,873			—		—			—			—			(1,419,723	)		—			—		3,347,150			(1,419,723	)
Total Investments		255,846,109			—		(78,911,890	)		1,863,966			33,658,452			8,472,286			66,361,245			—		287,290,168			17,478,609
Derivatives
Options		(5,519,531	)		—		—			—			—			3,382,977								(2,136,554	)		3,382,977
Total	$	250,326,578		$	—	$	(78,911,890	)##	$	1,863,966		$	33,658,452		$	11,855,263		$	66,361,245		$	—	$	285,153,614		$	20,861,586
Global Bond Fund
Derivatives
Swap Contracts	$	(8,887	)	$	—	$	9,910		$	—		$	(9,910	)	$	8,887		$	—		$	—	$	—		$	—
Total	$	(8,887	)	$	—	$	9,910		$	—		$	(9,910	)	$	8,887		$	—		$	—	$	—		$	—

† 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 $3,706,274 of proceeds received from principal payups and paydowns.

## Includes $8,411,891 of 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 August 31, 2016 were as follows:

Fund Name	Level 3 securities and derivatives
Asset Allocation Bond Fund		(1	)%
Core Plus Bond Fund		< 1	%
Currency Hedged International Bond Fund		< 1	%
Debt Opportunities Fund		3	%
Emerging Country Debt Fund		7	%
Global Bond Fund		< 1	%
U.S. Treasury Fund		—

69

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Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Cash

Cash and foreign currency, if any, on the Statements of Assets and Liabilities consist of cash balances held with the custodian.

Due to/from broker

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

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

Indexed Investments

Each Fund may invest in various transactions and instruments that are designed to track the performance of an index (including, but not limited to, securities indices and credit default indices). Indexed securities are securities the redemption values and/or coupons of which are indexed to a specific instrument, group of instruments, index, or other statistic. Indexed securities typically, but not always, are debt securities or deposits whose value at maturity or coupon rate is determined by reference to other securities, securities or inflation indices, currencies, precious metals or other commodities, or other financial indicators. For example, the maturity value of gold-indexed securities depends on the price of gold and, therefore, their price tends to rise and fall with gold prices.

Loan assignments and participations

The Funds (except U.S. Treasury Fund) may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of goods or services, or to other parties by corporate, governmental or other borrower. Such “loans” may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other receivables. 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. Unless, under the terms of the loan or other indebtedness a Fund has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. 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. 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 brokers. 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. 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 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. As of August 31, 2016, the Funds listed below had entered into repurchase agreements. The value of related collateral for each broker listed below exceeds the value of the repurchase agreements at period end.

Fund Name	Counterparty	Gross Value		Weighted Average Maturity (days)
Asset Allocation Bond Fund	Mizuho Securities USA Inc.		$52,354,935		1.7
	Nomura Securities International Inc.		$159,145,476		5.3

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

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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. As of August 31, 2016, the Funds listed below had entered into reverse repurchase agreements.

Fund Name	Received from reverse repurchase agreements ($)	Market value of securities plus accrued interest ($)
Emerging Country Debt Fund	20,422,108	21,113,451

As of August 31, 2016, Emerging Country Debt Fund had investments in reverse repurchase agreements with JP Morgan Securities, Inc. with a gross value of $20,422,108. The value of related collateral exceeded the value of the reverse repurchase agreement at period end. As of August 31, 2016, the reverse repurchase agreement held by Emerging Country Debt Fund had open maturity dates. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The following is a summary of the gross value of reverse repurchase agreements categorized by class of collateral pledged and maturity date:

	August 31, 2016
	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 days		Between 30-90 days		Greater Than 90 days		Demand		Total
Reverse Repurchase Agreements
Non-U.S. Government Debt Obligations	$	—	$	—	$	—	$	—	$	20,422,108	$	20,422,108
Total borrowings	$	—	$	—	$	—	$	—	$	20,422,108	$	20,422,108

Inflation-indexed bonds

The Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that 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. 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. Investments in when-issued securities also present the risk that the security will not be issued or delivered. 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 on the Statements of Assets and Liabilities. 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.

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Taxes and distributions

Each Fund has elected to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

With the exception of U.S. Treasury Fund, the policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. The policy of U.S. Treasury Fund is to declare dividends daily, to the extent net investment income is available, and pay dividends on the first business day following the end of each month in which dividends were declared. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically all distributions are reinvested in additional shares of each Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2016, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.

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

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

As of February 29, 2016, certain Funds elected to defer to March 1, 2016 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)		Post- October Capital Losses ($)
Asset Allocation Bond Fund		(42,406,225)		—
Core Plus Bond Fund		—		—
Currency Hedged International Bond Fund		—		—
Debt Opportunities Fund		—		(3,157,233)
Emerging Country Debt Fund		—		(12,051,698)
Global Bond Fund		(13,310)		—
U.S. Treasury Fund		—		—

As of February 29, 2016, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital

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loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 29, 2016, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

	Short-Term ($)										Long- Term ($)
Fund Name	Expiration Date 2/28/2017		Expiration Date 2/28/2018		Expiration Date 2/28/2019		No Expiration Date		Total Short- Term ($)		No Expiration Date
Asset Allocation Bond Fund		—		—		—		(36,014,371)		(36,014,371)		(12,100,564)
Core Plus Bond Fund		(74,050,257)		(17,147,333)		(138,723)		(291,118)		(91,627,431)		(5,328,790)
Currency Hedged International Bond Fund		—		(2,196,538)		—		—		(2,196,538)		(109,023)
Debt Opportunities Fund		—		—		—		—		—		(136,777,246)
Emerging Country Debt Fund		(14,758,581)		—		(66,474,254)		(64,363,605)		(145,596,440)		(141,946,556)
Global Bond Fund		(4,412,277)		(2,543,074)		(1,398,524)		—		(8,353,875)		(2,610,329)
U.S. Treasury Fund		—		—		—		—		—		—

As of August 31, 2016, 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		1,994,000,115		33,571,787		(8,617,885)		24,953,902
Core Plus Bond Fund		77,558,418		666,680		(202,215)		464,465
Currency Hedged International Bond Fund		63,134,917		1,445,530		(1,171,907)		273,623
Debt Opportunities Fund		1,558,529,083		29,695,396		(44,163,369)		(14,467,973)
Emerging Country Debt Fund		4,043,630,595		371,229,430		(155,472,325)		215,757,105
Global Bond Fund		20,347,738		1,311,487		(447,485)		864,002
U.S. Treasury Fund		2,961,648,918		504,397		(303,015)		201,382

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

Security transactions and related investment income

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

Expenses and class allocations

Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase

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

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations. Prior to December 31, 2012, State Street’s custodian fees may have been reduced by an earnings allowance calculated on the average daily cash balance each Fund maintained in a State Street custodial account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2013, any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

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

Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. GMO also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

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

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

As of August 31, 2016, the premium on cash purchases and the fee on cash redemptions were as follows:

	Asset Allocation Bond Fund	Core Plus Bond Fund	Currency Hedged International Bond Fund	Debt Opportunities Fund	Emerging Country Debt Fund(1)	Global Bond Fund	U.S. Treasury Fund
Purchase Premium	—	—	—	0.40%	0.75%	—	—
Redemption Fee	—	—	—	0.40%	0.75%	—	—

⁽¹⁾  Prior to February 1, 2016, the premiums on purchases and the fee on redemptions were each 0.50% of the amount invested or redeemed.

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3. Investment and other risks

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

	Asset Allocation Bond Fund	Core Plus Bond Fund	Currency Hedged International Bond Fund	Debt Opportunities Fund	Emerging Country Debt Fund	Global Bond Fund	U.S. Treasury Fund
Commodities Risk	X
Counterparty Risk	X	X	X	X	X	X
Credit Risk	X	X	X	X	X	X	X
Currency Risk	X	X	X	X	X	X
Derivatives and Short Sales Risk	X	X	X	X	X	X
Focused Investment Risk	X	X	X	X	X	X	X
Fund of Funds Risk	X	X	X	X	X	X
Illiquidity Risk	X	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X	X
Management and Operational Risk	X	X	X	X	X	X	X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X	X
Market Risk – Asset-Backed Securities	X	X	X	X	X	X
Market Risk – Equities	X	X	X	X		X
Market Risk – Fixed Income Investments	X	X	X	X	X	X	X
Non-Diversified Funds	X	X	X	X	X	X
Non-U.S. Investment Risk	X	X	X	X	X	X
Small Company Risk	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 or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the 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 Underlying Funds.

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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.

• 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 and Short Sales Risk” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.

• 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. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws or other requirements. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (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 during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms 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. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty if the transaction is primarily designed to reduce the Fund’s overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty).

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 will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” 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. 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. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, with respect to counterparties who are subject to such proceedings in the European Union, the liabilities of such counterparties to the Funds could be reduced, eliminated, or converted to equity in such counterparties (sometimes referred to as a “bail in”).

• 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 in anticipation of such failure, or the downgrade of the credit rating of the investment. This risk is particularly acute in

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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, a government or government entity, 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 term 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 or quasi-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 ability and willingness 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.

Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led to a downgrade in the long-term credit rating of U.S. bonds by several major rating agencies and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the value of a Fund’s investments and increase the volatility of a Fund’s portfolio.

As described under “Market Risk — Asset-Backed Securities,” 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.” 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 and Short Sales Risk” 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 many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or a change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.

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 or other low quality debt securities generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. 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 assessment of the eventual recovery value of a distressed or defaulted debt security proves incorrect, a Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.

• 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 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 currency in which the Fund is denominated. 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 on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”

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

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 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”).

• DERIVATIVES AND SHORT SALES 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 their value may not change 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 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 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 cost 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 fundamental fair (or 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 a greater risk of not being able to recover what it is owed if the counterparty defaults. Even when derivatives are required by contract to be collateralized, a Fund typically will not receive the collateral for one or more days after the collateral is required to be posted.

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”) and counterparty risk (see “Counterparty Risk”). These derivatives are also subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. In addition, see “Commodities Risk” for a discussion of risks specific to commodity-related derivatives. Because many derivatives have a leverage component

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(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.”

A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives may be unclear because there is little case or other law interpreting the terms of most derivatives or determining their tax treatment. In addition, the Securities and Exchange Commission recently proposed a rule under the 1940 Act regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.

Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) are implementing similar requirements, which will affect a Fund when it enters into a derivatives transaction with a counterparty organized in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear.

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, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in margin requirements above those required at the outset 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 margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk”). 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. Also, such documentation typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks may be 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), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components 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.

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The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. GMO expects that the Funds’ transactions will become subject to variation margin requirements under such rules in 2017 and initial margin requirements under such rules in 2020. Such requirements could increase the amount of margin a Fund needs to provide in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.

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 or otherwise limiting liquidity. The implementation of the clearing requirement has increased the costs of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they have historically posted for bilateral derivatives. The costs of derivatives transactions are expected to increase further as clearing members raise their fees to cover the costs of additional capital requirements and other regulatory changes applicable to the clearing members, which will take effect when rules imposing mandatory minimum margin requirements on bilateral swaps, as described above, become effective. 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 an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. 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 before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk 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 will likely constitute such a group. When applicable, these limits 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 taxes payable by shareholders. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to consist of amounts taxable to shareholders subject to U.S. income tax at ordinary income tax rates.

Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own also may have to pay borrowing fees to a broker and may be required to pay the broker any dividends or interest it receives on a borrowed security.

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.

• FOCUSED INVESTMENT RISK. Funds with investments that are focused in particular countries, regions, sectors, industries or issuers that are subject to the same or similar risk factors and funds with investments whose prices are closely correlated are subject to greater overall risk than funds with investments that are more diversified or whose prices are not as closely correlated.

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A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of particular securities than Funds investing in the securities of a larger number of issuers. 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 (or related) to a particular geographic region, country (e.g., Taiwan or Japan), or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) 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 the value of the currency of 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”.

• FUND OF FUNDS RISK. Funds that invest in Underlying Funds (including underlying GMO Funds) are exposed to the risk that the Underlying Funds will not perform as expected. The Funds are also indirectly exposed to all of the risks to which the Underlying Funds are exposed.

Because a Fund bears the fees and expenses of an Underlying Fund in which it invests, absent reimbursement, the Fund will incur additional expenses when investing in an Underlying Fund. 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.

In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk because those underlying GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”

Investments in ETFs involve the risk that an 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 in “Derivatives and Short Sales Risk.”

A Fund’s investments in one or more Underlying Funds could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.

• 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, defaulted or other low quality debt securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float adjusted 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 price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, 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.

A Fund may buy securities that are less liquid than those in its benchmark.

A Fund’s ability to use options as part of its investment program depends on the liquidity of the options market. In addition, that market may not be liquid when a 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 a 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 a Fund receives a redemption request and is unable to close out an option it has sold, the Fund may temporarily be leveraged in relation to its assets.

• LARGE SHAREHOLDER RISK. To the extent 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, potentially at disadvantageous prices, to raise the cash needed to satisfy the redemption request. In

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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. The 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 Fund shareholders. Additionally, redemptions by a large shareholder 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, to the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this 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.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO 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 many Funds, GMO often uses quantitative models as part of its investment process. GMO’s models are not necessarily predictive of future market events and use simplifying assumptions that can limit their effectiveness. In addition, the data on which the models are based is subject to limitations (e.g. inaccuracies, staleness) that could adversely affect a Fund’s performance. The Funds also run the risk that GMO’s assessment of an investment (including a company’s fundamental fair (or intrinsic) value) 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 could prevent a Fund from benefiting from potential investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value (“NAV”) for a Fund or share class on a timely basis. 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 contractual limitations on their liability to the Funds for losses resulting from their errors.

The Funds and their service providers (including GMO) are susceptible to cyber-attacks and technological malfunctions that may have effects that are similar to those of a cyber-attack. 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 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 or misappropriation 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, such plans and systems are subject to inherent limitations. 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.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or other economic inputs (e.g., the marked decline in oil prices that began in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors,

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companies, or industries, which could significantly reduce the value of a 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 manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trading practices, which could disrupt the orderly functioning of markets or reduce the value of investments traded in them, including investments of the Funds. Instances of fraud and other deceptive practices committed by senior management of certain companies in which a Fund invests may undermine GMO’s due diligence efforts with respect to such companies, and if such fraud is discovered, negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively impact a Fund’s investment program. Financial fraud also may impact the rates or indices underlying a Fund’s investments.

While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce 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 adversely 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. Uncertainty surrounding the sovereign debt of several European Union countries, as well as the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or leaves the European Union or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could adversely 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 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.

• 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:

Asset-Backed Securities — Investments in asset-backed securities not only are subject to all of the market risks described under “Market Risk – Fixed Income Investments,” but to other market risks as well.

Asset-backed securities are often exposed to greater risk of severe credit downgrades, illiquidity, and defaults 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, sovereign or quasi-sovereign bonds, bank loans to corporations, or a combination of bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees payable to service providers.

As described under “Market Risk — Fixed Income Investments,” the market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a variety 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 factors 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” for more information about credit risk.

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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 documentation for underlying assets also may affect the rights of holders of those 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 interest will be paid because the insurer could default on its 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” 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 has invested a substantial portion of its assets in asset-backed securities, and for each Fund that has invested a substantial portion of its assets in Debt Opportunities Fund.

Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the company’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from 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 their market prices can decline in a rapid or unpredictable manner. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as determined by GMO, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment of the equity’s fundamental fair (or intrinsic) value. 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 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 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 below investment grade securities 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 price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” 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. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.

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

The market price of inflation-indexed bonds (including TIPS) typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases 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.

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.

Fixed income securities denominated in foreign currencies also are subject to currency risk. See “Currency Risk”.

In response to government intervention, economic or market developments, or other factors, fixed income markets may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling 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.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers. 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.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Non-U.S. securities markets often include securities of only a small 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 as much regulation as U.S. issuers, and 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 may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek 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 seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if eligible. The outcome of a Fund’s efforts to obtain a refund may be unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until the Fund determines there is a high likelihood the refund will be received.

Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, other government involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises), 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. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities 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

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agents, and issuers. Fluctuations in foreign currency exchange rates also affect the market value of a Fund’s non-U.S. investments (see “Currency Risk”).

The Funds need a license to invest directly in many non-U.S. securities 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 to invest in a particular market is terminated or suspended, to obtain exposure to that 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 a GMO client 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 or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises); 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 enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may be predominantly based on only a few industries or dependent on revenues from particular commodities.

• SMALL COMPANY RISK. Companies with smaller market capitalizations may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, may have inexperienced managers or may depend on a smaller group of key employees as compared to larger companies. 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.

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

The Funds (other than U.S. Treasury Fund and Emerging Country Debt 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.

4. Derivative financial instruments

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices that are used 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

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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. Each Fund’s (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 August 31, 2016, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use

Asset Allocation Bond Fund

Core Plus Bond Fund

Currency Hedged International Bond Fund

Debt Opportunities Fund

Emerging Country Debt Fund

Global Bond 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

Futures contracts

Adjust exposure to certain markets

X

Adjust interest rate exposure

X

X

X

Maintain the diversity and liquidity of the portfolio

X

X

X

Options (Purchased)

Adjust currency exchange rate risk

X

X

X

X

Adjust exposure to foreign currencies

X

X

X

X

Adjust interest rate exposure

X

X

X

X

Adjust exposure to equity markets

X

X

Provide a measure of protection against default loss

X

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Type of Derivative and Objective for Use

Asset Allocation Bond Fund

Core Plus Bond Fund

Currency Hedged International Bond Fund

Debt Opportunities Fund

Emerging Country Debt Fund

Global Bond Fund

Options (Written)

Achieve exposure to a reference entity’s credit

X

Adjust currency exchange rate risk

X

X

X

X

Adjust exposure to foreign currencies

X

X

X

X

Adjust interest rate exposure

X

X

X

X

Provide a measure or protection against default loss

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

Adjust exposure to certain markets

X

Adjust interest rate exposure

X

X

X

X

X

X

Provide a measure of protection against default loss

X

X

Provide exposure to the Fund’s benchmark

X

X

Adjust exposure to foreign currencies

X

Rights and/or warrants

Achieve exposure to a reference commodity/economic statistic

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 settled.

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 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 value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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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. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. 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, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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

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

For the period ended August 31, 2016, 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		74,764,000			—	$	4,092,476			2,793,243,600			—	$	103,898,119
Options written		—			—		—			407,298,000			—		15,212,569
Options bought back		(37,382,000	)		—		(2,395,187	)		(3,200,541,600	)		—		(119,110,688	)
Options expired		(37,382,000	)		—		(1,697,289	)		—			—		—
Options exercised		—			—		—			—			—		—
Outstanding, end of period		—			—	$	—			—			—	$	—
Core Plus Bond Fund
Outstanding, beginning of period		—			—	$	—			40,895,000			—	$	1,721,643
Options written		—			—		—			—			—		—
Options bought back		—			—		—			(40,895,000	)		—		(1,721,643	)
Options expired		—			—		—			—			—		—
Options exercised		—			—		—			—			—		—
Outstanding, end of period		—			—	$	—			—			—	$	—

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August 31, 2016 (Unaudited)

	Puts								Calls
	Principal Amount of Contracts			Number of Contracts		Premiums			Principal Amount of Contracts			Number of Contracts		Premiums
Currency Hedged International Bond Fund
Outstanding, beginning of period		—			—	$	—			12,158,000			—	$	510,173
Options written		—			—		—			—			—		—
Options bought back		—			—		—			(12,158,000	)		—		(510,173	)
Options expired		—			—		—			—			—		—
Options exercised		—			—		—			—			—		—
Outstanding, end of period		—			—	$	—			—			—	$	—
Debt Opportunities Fund
Outstanding, beginning of period		110,108,000			—	$	432,812			—			—	$	—
Options written		659,242,000			—		1,871,815			—			—		—
Options bought back		(321,070,000	)		—		(1,521,797	)		—			—		—
Options expired		(149,508,000	)		—		(94,031	)		—			—		—
Options exercised		—			—		—			—			—		—
Outstanding, end of period		298,772,000			—	$	688,799			—			—	$	—
Global Bond Fund
Outstanding, beginning of period		—			—	$	—			7,910,500			—	$	332,142
Options written		—			—		—			—			—		—
Options bought back		—			—		—			(7,910,500	)		—		(332,142	)
Options expired		—			—		—			—			—		—
Options exercised		—			—		—			—			—		—
Outstanding, end of period		—			—	$	—			—			—	$	—

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 industry models and inputs provided by primary pricing sources.

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation 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 in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or 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.

90

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August 31, 2016 (Unaudited)

Inflation swaps involve the exchange of a floating rate linked to an index for a fixed rate interest payment with respect to a notional amount or principal.

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

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

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

Correlation swaps involve receiving a stream of payments based on the actual average correlation between or among the price movements of two or more underlying variables over a period of time, in exchange for making a regular stream of payments based on a fixed “strike” correlation level (or vice versa), where both payment streams are based on a notional amount. The underlying variables may include, without limitation, commodity prices, exchange rates, interest rates and stock indices.

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

Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

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.

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August 31, 2016 (Unaudited)

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

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2016 and the Statements of Operations for the period ended August 31, 2016^:

The risks referenced in the tables below 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.

	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Asset Allocation Bond Fund
Asset Derivatives
Investments, at value (purchased options)	$	—	$	—		$	1,230,876		$	—		$	—	$	1,230,876
Unrealized Appreciation on Forward Currency Contracts		—		—			13,600,519			—			—		13,600,519
Unrealized Appreciation on Swap Contracts ¤		—		—			—			119,438,068			—		119,438,068
Total	$	—	$	—		$	14,831,395		$	119,438,068		$	—	$	134,269,463
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—		$	14,831,395		$	119,438,068		$	—	$	134,269,463
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(12,579,950	)	$	—		$	—	$	(12,579,950	)
Unrealized Depreciation on Swap Contracts¤		—		—			—			(99,659,659	)		—		(99,659,659	)
Total	$	—	$	—		$	(12,579,950	)	$	(99,659,659	)	$	—	$	(112,239,609	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—		$	(12,579,950	)	$	(99,659,659	)	$	—	$	(112,239,609	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—	$	(20,349,237	)	$	(47,609,826	)	$	(95,241,198	)	$	—	$	(163,200,261	)
Forward Currency Contracts		—		—			6,852,360			—			—		6,852,360
Futures Contracts		—		6,339,183			—			—			—		6,339,183
Written Options		—		—			2,242,588			(34,066,064	)		—		(31,823,476	)
Swap Contracts		—		—			—			114,976,075			—		114,976,075
Total	$	—	$	(14,010,054	)	$	(38,514,878	)	$	(14,331,187	)	$	—	$	(66,856,119	)
Change in Net Unrealized Appreciation (Depreciation) on
Investments (purchased options)	$	—	$	15,214,985		$	42,649,417		$	73,457,117		$	—	$	131,321,519
Forward Currency Contracts		—		—			(5,175,857	)		—			—		(5,175,857	)
Futures Contracts		—		(12,973,233	)		—			—			—		(12,973,233	)
Written Options		—		—			(2,734,765	)		42,127,001			—		39,392,236
Swap Contracts		—		—			—			(116,197,468	)		—		(116,197,468	)
Total	$	—	$	2,241,752		$	34,738,795		$	(613,350	)	$	—	$	36,367,197

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August 31, 2016 (Unaudited)

	Credit Contracts		Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Core Plus Bond Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—	$	240,067		$	—		$	—	$	240,067
Unrealized Appreciation on Futures Contracts ¤		—		—		—			809			—		809
Unrealized Appreciation on Swap Contracts ¤		—		—		—			73,245			—		73,245
Total	$	—	$	—	$	240,067		$	74,054		$	—	$	314,121
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	240,067		$	74,054		$	—	$	314,121
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	(193,076	)	$	—		$	—	$	(193,076	)
Unrealized Depreciation on Futures Contracts ¤		—		—		—			(22,570	)		—		(22,570	)
Unrealized Depreciation on Swap Contracts ¤		—		—		—			(89,709	)		—		(89,709	)
Total	$	—	$	—	$	(193,076	)	$	(112,279	)	$	—	$	(305,355	)
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	(193,076	)	$	(112,279	)	$	—	$	(305,355	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—	$	—	$	(670,125	)	$	(1,799,762	)	$	—	$	(2,469,887	)
Forward Currency Contracts		—		—		(642,309	)		—			—		(642,309	)
Futures Contracts		—		—		—			15,840			—		15,840
Written Options		—		—		61,707			(453,688	)		—		(391,981	)
Swap Contracts		—		—		—			(3,077,123	)		—		(3,077,123	)
Total	$	—	$	—	$	(1,250,727	)	$	(5,314,733	)	$	—	$	(6,565,460	)
Change in Net Unrealized Appreciation (Depreciation) on
Investments (purchased options)	$	—	$	—	$	646,837		$	1,950,839		$	—	$	2,597,676
Forward Currency Contracts		—		—		62,881			—			—		62,881
Futures Contracts		—		—		—			(27,291	)		—		(27,291	)
Written Options		—		—		(58,223	)		807,027			—		748,804
Swap Contracts		—		—		—			6,637,300			—		6,637,300
Total	$	—	$	—	$	651,495		$	9,367,875		$	—	$	10,019,370
Currency Hedged International Bond Fund
Asset Derivatives
Investments, at value (purchased options)	$	—	$	—	$	—		$	10,892		$	—	$	10,892
Unrealized Appreciation on Forward Currency Contracts		—		—		538,528			—			—		538,528
Unrealized Appreciation on Futures Contracts ¤		—		—		—			254,944			—		254,944
Unrealized Appreciation on Swap Contracts ¤		—		—		—			127,448			—		127,448
Total	$	—	$	—	$	538,528		$	393,284		$	—	$	931,812
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	538,528		$	393,284		$	—	$	931,812
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	(60,571	)	$	—		$	—	$	(60,571	)
Unrealized Depreciation on Swap Contracts ¤		—		—		—			(307,730	)		—		(307,730	)
Total	$	—	$	—	$	(60,571	)	$	(307,730	)	$	—	$	(368,301	)
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	(60,571	)	$	(307,730	)	$	—	$	(368,301	)

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August 31, 2016 (Unaudited)

	Credit Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Currency Hedged International Bond Fund (continued)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—		$	(198,159	)	$	(516,024	)	$	—	$	(714,183	)
Forward Currency Contracts		—			—			(683,174	)		—			—		(683,174	)
Futures Contracts		—			—			—			825,234			—		825,234
Written Options		—			—			14,240			(134,792	)		—		(120,552	)
Swap Contracts		—			—			—			482,823			—		482,823
Total	$	—		$	—		$	(867,093	)	$	657,241		$	—	$	(209,852	)
Change in Net Unrealized Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—		$	194,466		$	393,440		$	—	$	587,906
Forward Currency Contracts		—			—			545,915			—			—		545,915
Futures Contracts		—			—			—			(160,164	)		—		(160,164	)
Written Options		—			—			(17,313	)		239,512			—		222,199
Swap Contracts		—			—			—			(643,798	)		—		(643,798	)
Total	$	—		$	—		$	723,068		$	(171,010	)	$	—	$	552,058
Debt Opportunities Fund
Asset Derivatives
Investments, at value (purchased options)	$	1,572,423		$	—		$	—		$	—		$	—	$	1,572,423
Unrealized Appreciation on Forward Currency Contracts		—			—			168,800			—			—		168,800
Unrealized Appreciation on Swap Contracts ¤		21,550,271			—			—			72,489			—		21,622,760
Total	$	23,122,694		$	—		$	168,800		$	72,489		$	—	$	23,363,983
Derivatives not subject to Master Agreements	$	—		$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	23,122,694		$	—		$	168,800		$	72,489		$	—	$	23,363,983
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	(11,963	)	$	—		$	—	$	(11,963	)
Written Options, at value		(286,024	)		—			—			—			—		(286,024	)
Unrealized Depreciation on Swap Contracts ¤		(17,644,862	)		—			—			(3,587,458	)		—		(21,232,320	)
Total	$	(17,930,886	)	$	—		$	(11,963	)	$	(3,587,458	)	$	—	$	(21,530,307	)
Derivatives not subject to Master Agreements	$	—		$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	(17,930,886	)	$	—		$	(11,963	)	$	(3,587,458	)	$	—	$	(21,530,307	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	(391,598	)	$	(112,791	)	$	—		$	—		$	—	$	(504,389	)
Forward Currency Contracts		—			—			(74,103	)		—			—		(74,103	)
Written Options		916,594			—			—			—			—		916,594
Swap Contracts		(4,707,739	)		—			—			(4,539,487	)		—		(9,247,226	)
Total	$	(4,182,743	)	$	(112,791	)	$	(74,103	)	$	(4,539,487	)	$	—	$	(8,909,124	)
Change in Net Unrealized Appreciation (Depreciation) on
Investments (purchased options)	$	(824,950	)	$	2,751		$	—		$	—		$	—	$	(822,199	)
Forward Currency Contracts		—			—			123,960			—			—		123,960
Written Options		80,943			—			—			—			—		80,943
Swap Contracts		(5,227,059	)		—			—			3,602,942			—		(1,624,117	)
Total	$	(5,971,066	)	$	2,751		$	123,960		$	3,602,942		$	—	$	(2,241,413	)

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August 31, 2016 (Unaudited)

	Credit Contracts			Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts			Total
Emerging Country Debt Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—		$	—	$	—		$	—		$	41,459,468		$	41,459,468
Unrealized Appreciation on Forward Currency Contracts		—			—		877,729			—			—			877,729
Options		417,636			—		—			—			—			417,636
Unrealized Appreciation on Swap Contracts ¤		29,923,316			—		—			4,183,776			—			34,107,092
Total	$	30,340,952		$	—	$	877,729		$	4,183,776		$	41,459,468		$	76,861,925
Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	41,459,468		$	41,459,468
Total subject to Master Agreements	$	30,340,952		$	—	$	877,729		$	4,183,776		$	—		$	35,402,457
Liability Derivatives
Options	$	(2,554,190	)	$	—	$	—		$	—		$	—		$	(2,554,190	)
Unrealized Depreciation on Swap Contracts ¤		(70,770,256	)		—		—			(24,364,642	)		—			(95,134,898	)
Total	$	(73,324,446	)	$	—	$	—		$	(24,364,642	)	$	—		$	(97,689,088	)
Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—		$	—
Total subject to Master Agreements	$	(73,324,446	)	$	—	$	—		$	(24,364,642	)	$	—		$	(97,689,088	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—	$	(334,147	)	$	—		$	—		$	(334,147	)
Swap Contracts		2,079,099			—		—			(22,389,847	)		—			(20,310,748	)
Total	$	2,079,099		$	—	$	(334,147	)	$	(22,389,847	)	$	—		$	(20,644,895	)
Change in Net Unrealized Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—		$	—	$	—		$	—		$	(2,505,872	)	$	(2,505,872	)
Forward Currency Contracts		—			—		(1,157,807	)		—			—			(1,157,807	)
Options		4,235,787			—		—			—			—			4,235,787
Swap Contracts		19,363,045			—		—			2,846,497			—			22,209,542
Total	$	23,598,832		$	—	$	(1,157,807	)	$	2,846,497		$	(2,505,872	)	$	22,781,650
Global Bond Fund
Asset Derivatives
Investments, at value (purchased options)	$	—		$	—	$	—		$	7,043		$	—		$	7,043
Unrealized Appreciation on Forward Currency Contracts		—			—		196,518			—			—			196,518
Unrealized Appreciation on Futures Contracts ¤		—			—		—			39,768			—			39,768
Unrealized Appreciation on Swap Contracts ¤		—			—		—			55,250			—			55,250
Total	$	—		$	—	$	196,518		$	102,061		$	—		$	298,579
Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—		$	—
Total subject to Master Agreements	$	—		$	—	$	196,518		$	102,061		$	—		$	298,579
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(81,956	)	$	—		$	—		$	(81,956	)
Unrealized Depreciation on Futures Contracts ¤		—			—		—			(18,463	)		—			(18,463	)
Unrealized Depreciation on Swap Contracts ¤		—			—		—			(106,708	)		—			(106,708	)
Total	$	—		$	—	$	(81,956	)	$	(125,171	)	$	—		$	(207,127	)
Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—		$	—
Total subject to Master Agreements	$	—		$	—	$	(81,956	)	$	(125,171	)	$	—		$	(207,127	)

95

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

	Credit Contracts			Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Global Bond Fund (continued)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—	$	(128,524	)	$	(336,169	)	$	—	$	(464,693	)
Forward Currency Contracts		—			—		20,719			—			—		20,719
Futures Contracts		—			—		—			393,218			—		393,218
Written Options		—			—		8,922			(87,045	)		—		(78,123	)
Swap Contracts		(10,079	)		—		—			285,368			—		275,289
Total	$	(10,079	)	$	—	$	(98,883	)	$	255,372		$	—	$	146,410
Change in Net Unrealized Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—	$	125,795		$	256,713		$	—	$	382,508
Forward Currency Contracts		—			—		124,819			—			—		124,819
Futures Contracts		—			—		—			(150,342	)		—		(150,342	)
Written Options		—			—		(11,225	)		155,709			—		144,484
Swap Contracts		—			—		—			(387,216	)		—		(387,216	)
Total	$	—		$	—	$	239,389		$	(125,136	)	$	—	$	114,253

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

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

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because the Funds do not presently have a legally enforceable right of set-off, these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be made by a Fund in such an event is represented by the unrealized amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.

For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2016, if any.

96

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2016:

Asset Allocation Bond Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	1,750,032	$	—		$	(462,466	)	$	1,287,566
Barclays Bank plc		334,079		—			(42,897	)		291,182
Goldman Sachs International		24,017,548		(9,174,613	)		(14,842,935	)		—	*
JPMorgan Chase Bank, N.A.		1,777,614		—			1,777,614			—
Morgan Stanley & Co. International PLC		2,225,388		—			(11,481	)		2,213,907
Total	$	30,104,661	$	(9,174,613	)	$	(13,582,165	)	$	3,792,655
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	462,466	$	—		$	462,466		$	—
Barclays Bank plc		42,897		—			42,897			—	*
Goldman Sachs International		14,842,935		—			14,842,935			—
JPMorgan Chase Bank, N.A.		2,295,109		(451,393	)		(1,777,614	)		66,102
Morgan Stanley & Co. International PLC		11,481		—			11,481			—	*
Total	$	17,654,888	$	(451,393	)	$	13,582,165		$	66,102

Core Plus Bond Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	27,032	$	—		$	—		$	27,032
Barclays Bank plc		145		—			145			—
Goldman Sachs International		165,631		—			165,631			—
Morgan Stanley & Co. International PLC		47,259		—			—			47,259
Total	$	240,067	$	—		$	165,776		$	74,291
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank plc	$	328	$	—		$	(145	)	$	183
Goldman Sachs International		192,748		(27,117	)		(165,631	)		—	*
Total	$	193,076	$	(27,117	)	$	(165,776	)	$	183

97

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Currency Hedged International Bond Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	444,074	$	—		$	(890	)	$	443,184
Barclays Bank plc		1,014		—			1,014			—
Goldman Sachs International		50,358		—			50,358			—
Morgan Stanley & Co. International PLC		53,974		(53,974	)		—			—	*
Total	$	549,420	$	(53,974	)	$	50,482		$	443,184
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	890	$	—		$	890		$	—
Barclays Bank plc		2,298		—			(1,014	)		1,284
Goldman Sachs International		57,383		—			(49,310	)		8,073
Total	$	60,571	$	—		$	(49,434	)	$	9,357

Debt Opportunities Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	8,589,101	$	(7,750,000	)	$	(142,299	)	$	696,802
Citibank N.A.		1,393,582		(1,262,711	)		(15,353	)		115,518
Credit Suisse International		621,631		(449,283	)		—			172,348
Deutsche Bank AG		2,343,438		(1,550,000	)		(182,315	)		611,123
Goldman Sachs International		5,823,932		(5,510,000	)		(255,101	)		58,831
JPMorgan Chase Bank, N.A.		3,367,043		—			3,367,043			—
Morgan Stanley Capital Services LLC		322,179		(280,000	)		—			42,179
Total	$	22,460,906	$	(16,801,994	)	$	2,771,975		$	1,696,801
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	142,299	$	—		$	142,299		$	—
Citibank N.A.		15,353		—			15,353			—
Deutsche Bank AG		182,315		—			182,315			—
Goldman Sachs International		255,101		—			255,101			—
JPMorgan Chase Bank, N.A.		14,367,192		(11,000,149	)		(3,367,043	)		—	*
Total	$	14,962,260	$	(11,000,149	)	$	(2,771,975	)	$	—

98

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Emerging Country Debt Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	877,729	$	—		$	—		$	877,729
Deutsche Bank AG		26,751,113		—			26,751,113			—
Goldman Sachs International		2,464,642		—			2,464,642			—
JPMorgan Chase Bank, N.A.		5,308,973		—			5,308,973			—
Total	$	35,402,457	$	—		$	34,524,728		$	877,729
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Deutsche Bank AG	$	37,158,811	$	(10,407,698	)	$	(26,751,113	)	$	—	*
Goldman Sachs International		15,696,546		(13,231,904	)		(2,464,642	)		—	*
JPMorgan Chase Bank, N.A.		28,426,114		(23,117,141	)		(5,308,973	)		—	*
Total	$	81,281,471	$	(46,756,743	)	$	(34,524,728	)	$	—

Global Bond Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	72,328	$	—		$	(22,615	)	$	49,713
Barclays Bank plc		30,037		—			—			30,037
Goldman Sachs International		39,962		—			39,962			—
Morgan Stanley & Co. International PLC		61,234		—			(3,597	)		57,637
Total	$	203,561	$	—		$	13,750		$	137,387
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	22,615	$	—		$	22,615		$	—
Goldman Sachs International		55,744		(16,459	)		(39,285	)		—	*
Morgan Stanley & Co. International PLC		3,597		—			3,597			—
Total	$	81,956	$	(16,459	)	$	(13,073	)	$	—

* The actual collateral received and/or pledged is more than the amount shown.

99

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

The average derivative activity of notional amounts (forward currency contracts, futures contracts, swap contracts), market values (rights and/or warrants), and principal amounts or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2016:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)		Options (Principal)		Options (Contracts)		Rights and/or Warrants ($)
Asset Allocation Bond Fund		1,230,983,711		29,241,308		24,980,675,398		2,118,045,822		42,900		—
Core Plus Bond Fund		38,231,937		7,260,614		201,248,870		17,859,925		—		—
Currency Hedged International Bond Fund		48,413,134		18,125,367		171,309,031		14,399,148		—		—
Debt Opportunities Fund		9,658,756		—		1,432,264,078		253,204,958		917		—
Emerging Country Debt Fund		109,548,370		—		1,677,743,757		390,000,000		—		39,595,881
Global Bond Fund		16,776,139		18,287,239		105,300,238		9,624,695		—		—

5. Fees and other transactions with affiliates

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

	Asset Allocation Bond Fund	Core Plus Bond Fund	Currency Hedged International Bond Fund	Debt Opportunities Fund	Emerging Country Debt Fund	Global Bond Fund	U.S. Treasury Fund
Management Fee	0.25%	0.25%	0.25%	0.25%	0.35%	0.19%	0.08% (currently 0.08% waived)

In addition for certain Funds, each class of shares pays GMO a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholder service fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:

Fund Name	Class III			Class IV		Class VI
Asset Allocation Bond Fund		0.15%					0.055%
Core Plus Bond Fund		0.15%			0.10%
Currency Hedged International Bond Fund		0.15%
Debt Opportunities Fund		0.15%	*				0.055%
Emerging Country Debt Fund		0.15%			0.10%
Global Bond Fund		0.15%

* Class is offered but has no shareholders as of August 31, 2016.

100

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

For each Fund other than Global Bond Fund and Emerging Country Debt Fund, GMO has contractually agreed to reimburse each Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO. For Global Bond Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.06% of the Fund’s average daily net assets.

“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

For each Fund that pays GMO a management fee, GMO has contractually agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.

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

These contractual waivers and reimbursements will continue through at least June 30, 2017 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.

In addition to the contractual waivers and reimbursements described above, GMO has voluntarily agreed to waive U.S. Treasury Fund’s entire management fee. GMO may change or terminate this waiver at any time.

The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2016 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Asset Allocation Bond Fund		16,468		1,840
Core Plus Bond Fund		1,104		96
Currency Hedged International Bond Fund		489		4
Debt Opportunities Fund		12,638		1,288
Emerging Country Debt Fund		31,741		3,312
Global Bond Fund		267		3
U.S. Treasury Fund		30,213		3,220

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2016 these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:

Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Indirect Interest Expense		Total Indirect Expenses
Asset Allocation Bond Fund		0.001%		0.000%		0.000%		0.001%
Core Plus Bond Fund		0.046%		0.011%		0.000%		0.057%
Currency Hedged International Bond Fund		0.032%		0.008%		0.000%		0.040%
Debt Opportunities Fund		< 0.001%		0.000%		0.000%		< 0.001%
Emerging Country Debt Fund		0.001%		< 0.001%		0.000%		0.001%
Global Bond Fund		0.032%		0.008%		0.000%		0.040%
U.S. Treasury Fund		0.000%		0.000%		0.000%		0.000%

101

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to insure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 2016, the Funds did not engage in these transactions.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, for the period ended August 31, 2016 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Asset Allocation Bond Fund		939,754,554		296,218,940		658,761,672		986,691,558
Core Plus Bond Fund		34,912,039		87,140,221		60,547,568		240,102,674
Currency Hedged International Bond Fund		—		11,100,000		—		9,859,012
Debt Opportunities Fund		—		588,806,230		238,500		707,350,762
Emerging Country Debt Fund		160,222,922		394,569,150		81,260,209		612,724,556
Global Bond Fund		—		3,650,000		3,668,543		18,331,543
U.S. Treasury Fund		—		—		—		—

7. Guarantees

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

8. Principal shareholders and related parties as of August 31, 2016

Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the  Fund			Percentage of outstanding shares of the Fund held by those shareholders owning greater  than 10% of the outstanding shares of the Fund		Percentage of the shares of the Fund held by senior management of GMO and GMO  Trust officers		Percentage of the Fund’s shares held by accounts for which GMO  has investment discretion
Asset Allocation Bond Fund		2	‡		64.75%		—		99.99%
Core Plus Bond Fund		2			69.69%		0.03%		78.68%
Currency Hedged International Bond Fund		1			93.98%		—		93.98%
Debt Opportunities Fund		3	#		75.51%		0.39%		99.35%
Emerging Country Debt Fund		1	‡		15.93%		0.05%		36.21%
Global Bond Fund		2			92.00%		—		—
U.S. Treasury Fund		3	#		52.99%		0.12%		96.73%

‡ One of the shareholders is another fund of the Trust.

# Two of the shareholders are other funds of the Trust.

102

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

9. Share transactions

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

	Six Months Ended August 31, 2016 (Unaudited)						Year Ended February 29, 2016
	Shares			Amount			Shares			Amount
Asset Allocation Bond Fund
Class III:
Shares sold		1,303,549		$	28,998,249			3,486,285		$	80,557,647
Shares issued to shareholders in reinvestment of distributions		—			—			1,170,894			26,485,630
Shares repurchased		(84,061	)		(1,880,905	)		(4,741,953	)		(108,443,047	)
Net increase (decrease)		1,219,488		$	27,117,344			(84,774	)	$	(1,399,770	)
Class VI:
Shares sold		722,356		$	16,112,184			13,228,053		$	325,062,565
Shares issued to shareholders in reinvestment of distributions		—			—			12,325,878			279,304,399
Shares repurchased		(11,627,931	)		(259,141,765	)		(116,764,298	)		(2,651,040,441	)
Net increase (decrease)		(10,905,575	)	$	(243,029,581	)		(91,210,367	)	$	(2,046,673,477	)
Core Plus Bond Fund
Class III:#
Shares sold		15,153		$	325,215			304,701		$	6,869,966
Shares issued to shareholders in reinvestment of distributions		2,392			51,390			16,726			359,773
Shares repurchased		(2,155,283	)		(46,133,363	)		(60,416	)		(1,303,505	)
Net increase (decrease)		(2,137,738	)	$	(45,756,758	)		261,011		$	5,926,234
Class IV:#
Shares sold		440		$	9,421			1,683,291		$	36,361,097
Shares issued to shareholders in reinvestment of distributions		90,634			1,949,546			425,557			9,179,274
Shares repurchased		(7,348,310	)		(158,062,723	)		(218,356	)		(4,672,989	)
Net increase (decrease)		(7,257,236	)	$	(156,103,756	)		1,890,492		$	40,867,382
Currency Hedged International Bond Fund
Class III:#
Shares sold		—		$	—			17,696		$	489,111
Shares issued to shareholders in reinvestment of distributions		—			—			228,727			5,839,409
Shares repurchased		(31,335	)		(859,230	)		(360,751	)		(9,358,334	)
Net increase (decrease)		(31,335	)	$	(859,230	)		(342,981	)	$	(3,029,814	)
Debt Opportunities Fund
Class VI:
Shares sold		2,292,130		$	56,608,186			13,193,822	(a)	$	327,076,787	(a)
Shares issued to shareholders in reinvestment of distributions		332,736			8,301,765			1,110,191			27,443,611
Shares repurchased		(8,198,022	)		(204,771,424	)		(19,452,966	)(b)		(482,695,222	)(b)
Purchase premium fees		—			166,266			—			934,339
Redemption fees		—			758,010			—			1,552,426
Net increase (decrease)		(5,573,156	)	$	(138,937,197	)		(5,148,953	)	$	(125,688,059	)

103

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

	Six Months Ended August 31, 2016 (Unaudited)						Year Ended February 29, 2016
	Shares			Amount			Shares			Amount
Emerging Country Debt Fund
Class III:#
Shares sold		1,742,429		$	51,115,680			8,465,858		$	237,263,300
Shares issued to shareholders in reinvestment of distributions		434,114			12,580,619			2,045,947			54,000,564
Shares repurchased		(3,299,075	)		(94,816,105	)		(4,898,972	)		(133,227,759	)
Purchase premiums		—			120,357			—			637,766
Redemption fees		—			649,867			—			671,195
Net increase (decrease)		(1,122,532	)	$	(30,349,582	)		5,612,833		$	159,345,066
Class IV:#
Shares sold		4,822,640		$	132,133,574			17,150,361	(c)	$	456,814,315	(c)
Shares issued to shareholders in reinvestment of distributions		1,643,638			47,583,330			7,111,245			187,694,457
Shares repurchased		(14,931,796	)		(419,722,225	)		(19,631,458	)(d)		(531,254,001	)(d)
Purchase premiums		—			447,131			—			2,387,167
Redemption fees		—			2,396,779			—			2,420,364
Net increase (decrease)		(8,465,518	)	$	(237,161,411	)		4,630,148		$	118,062,302
Global Bond Fund
Class III:#
Shares sold		4,019		$	106,148			294,713		$	7,420,392
Shares issued to shareholders in reinvestment of distributions		—			—			—			—
Shares repurchased		(669,303	)		(18,330,551	)		(646,779	)		(16,267,203	)
Net increase (decrease)		(665,284	)	$	(18,224,403	)		(352,066	)	$	(8,846,811	)
U.S. Treasury Fund
Core Class:
Shares sold		202,210,887		$	5,057,057,806			712,256,180		$	17,806,570,597
Shares issued to shareholders in reinvestment of distributions		252,542			6,315,628			237,043			5,925,398
Shares repurchased		(245,412,219	)		(6,137,284,835	)		(640,904,840	)		(16,022,605,367	)
Net increase (decrease)		(42,948,790	)	$	(1,073,911,401	)		71,588,383		$	1,789,890,628

^(a)  907,139 shares and $22,542,400 were purchased in-kind.

^(b)  907,139 shares and $22,542,400 were redeemed in-kind.

^(c)  5,969,578 shares and $53,279,922 were purchased in-kind.

^(d)  2,832,882 shares and $26,147,504 were redeemed in-kind.

# Shares were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

104

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

10. Investments in affiliated issuers

A summary of the Funds’ transactions in the shares of other funds of GMO Trust during the period ended August 31, 2016 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	$	651,060,734	$	279,589,567	$	753,000,000	$	1,075,842	$	13,727	$	177,926,847
Core Plus Bond Fund
GMO Debt Opportunities Fund, Class VI	$	27,023,784	$	6,981,000	$	20,626,000	$	36,441	$	—	$	13,701,241
GMO Emerging Country Debt Fund, Class IV		13,799,995		—		11,132,000		57,617		—		3,636,709
GMO U.S. Treasury Fund		113,058,921		69,900,000		166,400,000		129,639		1,558		16,600,545
GMO World Opportunity Overlay Fund		26,355,861		—		26,691,126		—		—		—
Totals	$	180,238,561	$	76,881,000	$	224,849,126	$	223,697	$	1,558	$	33,938,495
Currency Hedged International Bond Fund
GMO Debt Opportunities Fund, Class VI	$	2,749,434	$	—	$	—	$	15,420	$	—	$	2,834,480
GMO Emerging Country Debt Fund, Class IV		3,300,280		—		—		60,518		—		3,819,839
GMO U.S. Treasury Fund		11,851,979		11,100,000		3,250,000		31,103		570		19,706,220
GMO World Opportunity Overlay Fund		6,312,879		—		6,412,829		—		—		—
Totals	$	24,214,572	$	11,100,000	$	9,662,829	$	107,041	$	570	$	26,360,539
Debt Opportunities Fund
GMO U.S. Treasury Fund	$	77,841,625	$	124,000,000	$	144,000,000	$	148,253	$	1,083	$	57,867,964
Emerging Country Debt Fund
GMO Debt Opportunities Fund, Class VI	$	13,956,048	$	—	$	—	$	78,272	$	—	$	14,387,737
GMO U.S. Treasury Fund		84,774,937		101,500,000		75,000,000		207,485		2,009		111,314,046
Totals	$	98,730,985	$	101,500,000	$	75,000,000	$	285,757	$	2,009	$	125,701,783
Global Bond Fund
GMO Debt Opportunities Fund, Class VI	$	1,654,313	$	—	$	626,000	$	9,278	$	—	$	1,075,478
GMO Emerging Country Debt Fund, Class IV		1,874,540		—		1,095,000		34,374		—		1,064,581
GMO U.S. Treasury Fund		3,999,480		3,650,000		6,300,000		6,491		128		1,350,480
GMO World Opportunity Overlay Fund		3,274,058		—		3,325,896		—		—		—
Totals	$	10,802,391	$	3,650,000	$	11,346,896	$	50,143	$	128	$	3,490,539

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2016 through August 31, 2016. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2017.

11. Subsequent events

On September 30, 2016, the Board of Trustees of GMO Trust approved: (1) a change in the name of GMO Debt Opportunities Fund (the “Fund”) to GMO Opportunistic Income Fund; (2) the elimination of the following “name policy” of the Fund: “Under normal circumstances, the Fund invests directly and indirectly (e.g., through other GMO Funds or derivatives) at least 80% of its assets in debt investments”; and (3) a change in the Fund’s investment objective from “positive total return” to “capital appreciation and current income.” Each of the changes will become effective as of January 1, 2017.

105

GMO Trust Funds

Board Review of Investment Management Agreements

August 31, 2016 (Unaudited)

GMO Asset Allocation Bond Fund

Approval of renewal of management agreement for GMO Asset Allocation Bond Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. The Trustees noted that the Fund is not a standalone investment and its investment strategies are intended to complement the strategies pursued by the Manager in other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management [and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that charge advisory fees, the Manager offsets against fees payable by the Fund to the Manager the management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

106

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Core Plus Bond Fund

Approval of renewal of management agreement for GMO Core Plus Bond Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that charge advisory fees, the Manager offsets against fees payable by the Fund to the Manager the management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

107

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Currency Hedged International Bond Fund

Approval of renewal of management agreement for GMO Currency Hedged International Bond Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that charge advisory fees, the Manager offsets against fees payable by the Fund to the Manager the management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the

108

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Debt Opportunities Fund

Approval of renewal of management agreement for GMO Debt Opportunities Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the

109

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Emerging Country Debt Fund

Approval of renewal of management agreement for GMO Emerging Country Debt Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its other pooled investment vehicles and/or separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and/or accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee structure.

110

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Global Bond Fund

Approval of renewal of management agreement for GMO Global Bond Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its other pooled investment vehicles and/or separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and/or accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying

111

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

GMO funds”) that charge advisory fees, the Manager offsets against fees payable by the Fund to the Manager the management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO U.S. Treasury Fund

Approval of renewal of management agreement for GMO U.S. Treasury Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. The Trustees noted that the Fund is not a standalone investment and its investment strategies are intended to complement the strategies pursued by the Manager in other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management agreement. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO

112

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

113

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2016 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2016.

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2016 through August 31, 2016.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Actual						Hypothetical
	Beginning Account Value March 1, 2016		Ending Account Value August 31, 2016		Expenses Paid During the Period*		Beginning Account Value March 1, 2016		Ending Account Value August 31, 2016		Expenses Paid During the Period*		Annualized Expense Ratio
Asset Allocation Bond Fund
Class III		$1,000.00		$1,005.40		$2.07		$1,000.00		$1,023.14		$2.09		0.41%
Class VI		$1,000.00		$1,006.30		$1.57		$1,000.00		$1,023.64		$1.58		0.31%
Core Plus Bond Fund
Class III		$1,000.00		$1,043.10		$2.21		$1,000.00		$1,023.04		$2.19		0.43%
Class IV		$1,000.00		$1,043.80		$1.96		$1,000.00		$1,023.29		$1.94		0.38%
Currency Hedged International Bond Fund
Class III		$1,000.00		$1,057.40		$2.28		$1,000.00		$1,022.99		$2.24		0.44%
Debt Opportunities Fund
Class VI		$1,000.00		$1,036.60		$1.59		$1,000.00		$1,023.64		$1.58		0.31%
Emerging Country Debt Fund
Class III		$1,000.00		$1,176.40		$2.96		$1,000.00		$1,022.48		$2.75		0.54%
Class IV		$1,000.00		$1,176.50		$2.69		$1,000.00		$1,022.74		$2.50		0.49%
Global Bond Fund
Class III		$1,000.00		$1,058.10		$2.44		$1,000.00		$1,022.84		$2.40		0.47%
U.S. Treasury Fund
Core		$1,000.00		$1,002.60		$0.00		$1,000.00		$1,025.21		$0.00		0.00%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2016, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

114

GMO Trust

Semiannual Report

August 31, 2016

Foreign Fund

Foreign Small Companies Fund

International Small Companies Fund

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

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

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

An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market risk-equities, management and operational risk, non-U.S. investment risk, small company risk and derivatives risk.

The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.

TABLE OF CONTENTS

Foreign Fund
Investment Concentration Summary	1
Schedule of Investments	2
Foreign Small Companies Fund
Investment Concentration Summary	4
Schedule of Investments	5
International Small Companies Fund
Investment Concentration Summary	8
Schedule of Investments	9
Portfolio and Currency Abbreviations	12
Fund Financial Statements:
Statements of Assets and Liabilities	13
Statements of Operations	14
Statements of Changes in Net Assets	15
Financial Highlights	17
Notes to Financial Statements	20
Board Review of Investment Management Agreements	45
Fund Expenses	48

GMO Foreign Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.9	%
Mutual Funds		2.1
Short-Term Investments		1.8
Other		0.2
		100.0	%
Country Summary¤	% of Investments
United Kingdom		25.2	%
Japan		22.0
France		13.0
Switzerland		5.9
Germany		5.5
Hong Kong		4.6
Sweden		3.4
Australia		2.8
Italy		2.3
Spain		2.3
United States		2.2
Belgium		1.9
South Korea		1.7
Other Emerging		1.3	†
Taiwan		1.3
China		1.2
Netherlands		1.2
Israel		1.1
Finland		1.1
		100.0	%

& In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

¤ 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.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

Industry Group Summary	% of Equity Investments#
Pharmaceuticals, Biotechnology & Life Sciences		11.1	%
Food, Beverage & Tobacco		10.3
Automobiles & Components		8.8
Banks		8.6
Capital Goods		7.6
Utilities		6.1
Insurance		6.0
Technology Hardware & Equipment		5.9
Real Estate		5.6
Telecommunication Services		5.6
Media		4.2
Diversified Financials		3.5
Energy		3.3
Software & Services		2.9
Materials		2.7
Semiconductors & Semiconductor Equipment		2.2
Commercial & Professional Services		2.1
Household & Personal Products		1.2
Retailing		1.2
Transportation		0.8
Consumer Services		0.3
		100.0	%

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

1

GMO Foreign Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.9%
		Australia — 2.8%
	575,755	Incitec Pivot Ltd		1,230,741
	175,860	Link Administration Holdings Ltd *		1,113,257
	416,839	Scentre Group (REIT)		1,555,094
		Total Australia		3,899,092
		Belgium — 1.9%
	21,193	Anheuser-Busch InBev SA/NV		2,629,452
		China — 1.2%
	138,142	China Mobile Ltd		1,701,775
		Finland — 1.0%
	54,585	Nokia Oyj		307,676
	208,711	Nokia Oyj		1,177,216
		Total Finland		1,484,892
		France — 12.8%
	56,744	Altran Technologies SA *		836,953
	19,864	Arkema SA		1,777,355
	62,791	AXA SA		1,321,579
	30,886	BNP Paribas SA		1,577,363
	19,686	Capgemini SA		1,923,510
	29,531	Cie de Saint-Gobain		1,296,302
	17,766	Cie Generale des Etablissements Michelin		1,893,791
	14,601	Nexity SA *		766,227
	55,622	SCOR SE		1,641,137
	100,764	Technicolor SA (Registered)		655,139
	26,012	Technip SA		1,540,303
	27,586	Teleperformance		2,862,079
		Total France		18,091,738
		Germany — 5.4%
	14,854	Allianz SE (Registered)		2,208,151
	82,187	Deutsche Telekom AG (Registered)		1,370,989
	38,743	Deutsche Wohnen AG		1,454,398
	124,374	E.ON SE		1,143,796
	36,720	Vonovia SE		1,426,713
		Total Germany		7,604,047
		Hong Kong — 4.5%
	636,500	BOC Hong Kong Holdings Ltd		2,222,260
	294,000	Cheung Kong Property Holding Ltd		2,061,073
	224,488	Power Assets Holdings Ltd		2,144,336
		Total Hong Kong		6,427,669
		India — 0.6%
	109,300	ICICI Bank Ltd Sponsored ADR		838,331

Shares		Description	Value ($)
		Israel — 1.1%
	292,916	Bank Hapoalim BM		1,572,713
		Italy — 2.3%
	130,435	Eni SPA		1,969,062
	1,387,941	Telecom Italia SPA *		1,259,824
		Total Italy		3,228,886
		Japan — 21.6%
	453,915	Aozora Bank Ltd		1,607,661
	69,163	Bridgestone Corp		2,378,721
	73,183	Brother Industries Ltd		1,230,923
	95,900	Fuji Heavy Industries Ltd		3,817,032
	146,378	Isuzu Motors Ltd		1,688,291
	36,200	Japan Tobacco Inc		1,402,714
	101,980	K’s Holdings Corp		1,610,319
	45,200	Kurita Water Industries Ltd		1,030,785
	116,000	Mitsubishi Electric Corp		1,518,028
	278,644	Mitsubishi UFJ Financial Group Inc		1,534,918
	116,000	NGK Spark Plug Co Ltd		2,178,229
	506,105	Nippon Electric Glass Co Ltd		2,544,806
	73,249	Nippon Telegraph & Telephone Corp		3,220,690
	85,100	Seiko Epson Corp		1,631,004
	124,400	Takeuchi Manufacturing Co Ltd		1,802,612
	33,138	Tokio Marine Holdings Inc		1,305,297
		Total Japan		30,502,030
		Mexico — 0.3%
	307,032	Macquarie Mexico Real Estate Management SA de CV (REIT) *		397,694
		Netherlands — 1.1%
	129,907	ING Groep NV		1,625,831
		South Africa — 0.4%
	19,789	Anglo American Platinum Ltd *		532,505
		South Korea — 1.7%
	753	Samsung Electronics Co Ltd		1,092,203
	39,658	SK Hynix Inc		1,293,076
		Total South Korea		2,385,279
		Spain — 2.2%
	68,579	Endesa SA		1,397,560
	264,757	Iberdrola SA		1,743,935
		Total Spain		3,141,495
		Sweden — 3.4%
	65,841	Investor AB – B Shares		2,321,675
	54,977	Svenska Cellulosa AB – Class B		1,689,753

2 See accompanying notes to the financial statements.

GMO Foreign Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Sweden — continued
	32,656	Swedbank AB – A Shares		751,109
		Total Sweden		4,762,537
		Switzerland — 5.7%
	14,041	Baloise Holding AG (Registered)		1,672,820
	6,047	Flughafen Zuerich AG (Registered)		1,119,311
	18,464	Roche Holding AG		4,507,068
	56,089	UBS Group AG (Registered)		812,825
		Total Switzerland		8,112,024
		Taiwan — 1.2%
	314,379	Taiwan Semiconductor Manufacturing Co Ltd		1,745,866
		United Kingdom — 24.7%
	122,486	AA Plc		434,935
	62,674	AstraZeneca Plc		4,045,669
	95,954	British American Tobacco Plc		5,953,238
	62,593	Euromoney Institutional Investor Plc		861,813
	192,861	GlaxoSmithKline Plc		4,151,381
	276,962	Howden Joinery Group Plc		1,660,071
	75,437	Imperial Brands Plc		3,956,922
	105,716	Informa Plc		983,426
	106,699	John Wood Group Plc		975,563
	42,710	Lonmin Plc *		108,151
	974,678	Melrose Industries Plc		1,895,244
	133,716	National Grid Plc		1,840,200
	58,520	Schroders Plc (Non Voting)		1,599,584
	36,789	Shire Plc		2,297,531
	289,515	Tyman Plc		1,037,234
	136,893	WPP Plc		3,160,581
		Total United Kingdom		34,961,543
		TOTAL COMMON STOCKS (COST $137,466,082)		135,645,399
		MUTUAL FUNDS — 2.1%
		United States — 2.1%
		Affiliated Issuers
	119,374	GMO U.S. Treasury Fund		2,985,554
		TOTAL MUTUAL FUNDS (COST $2,985,554)		2,985,554
		SHORT-TERM INVESTMENTS — 1.8%
		Time Deposits — 1.8%
	706,169	Australia and New Zealand Banking Group Ltd. (Melbourne) Time Deposit, 0.15%, due 09/01/16		706,169
	706,169	BNP Paribas (Paris) Time Deposit, 0.15%, due 09/01/16		706,169

Par Value†		Description	Value ($)
		Time Deposits — continued
EUR	2,245	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.54)%, due 09/01/16		2,504
JPY	4,011,163	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.29)%, due 09/01/16		38,768
	364,902	DnB Nor Bank (Oslo) Time Deposit, 0.15%, due 09/01/16		364,902
AUD	38,673	National Australia Bank (Melbourne) Time Deposit, 0.69%, due 09/01/16		29,065
	706,169	Skandinaviska Enskilda Banken, AB (Stockholm) Time Deposit, 0.15%, due 09/01/16		706,169
		Total Time Deposits		2,553,746
		TOTAL SHORT-TERM INVESTMENTS (COST $2,553,746)		2,553,746
		TOTAL INVESTMENTS — 99.8% (Cost $143,005,382)		141,184,699
		Other Assets and Liabilities (net) — 0.2%		308,365
		TOTAL NET ASSETS — 100.0%		$141,493,064

Notes to Schedule of Investments:

* Non-income producing security.

† Denominated in U.S. Dollar, unless otherwise indicated.

For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 12.

See accompanying notes to the financial statements. 3

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.3	%
Mutual Funds		2.4
Short-Term Investments		1.1
Other		0.2
		100.0	%
Country Summary¤	% of Investments
Japan		23.2	%
United Kingdom		16.7
France		14.1
Switzerland		9.3
Australia		6.2
Canada		5.2
Other Emerging		4.8	†
Germany		4.7
Italy		3.5
United States		2.5
Other Developed		2.3	‡
Sweden		2.2
Finland		1.7
Netherlands		1.5
Mexico		1.1
Israel		1.0
		100.0	%

& In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

¤ 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.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

Industry Group Summary	% of Equity Investments#
Capital Goods		15.2	%
Real Estate		11.7
Software & Services		7.6
Materials		6.8
Diversified Financials		6.3
Commercial & Professional Services		6.2
Automobiles & Components		6.1
Media		5.1
Insurance		4.7
Health Care Equipment & Services		4.5
Retailing		3.7
Consumer Durables & Apparel		3.4
Banks		2.8
Food, Beverage & Tobacco		2.3
Consumer Services		2.1
Technology Hardware & Equipment		2.1
Energy		1.8
Utilities		1.4
Household & Personal Products		1.4
Transportation		1.1
Pharmaceuticals, Biotechnology & Life Sciences		1.0
Semiconductors & Semiconductor Equipment		1.0
Commercial Services & Supplies		0.9
Telecommunication Services		0.8
		100.0	%

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

4

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.3%
		Argentina — 0.5%
	328,429	Grupo Supervielle SA Sponsored ADR *		4,617,712
		Australia — 6.1%
	422,518	Ansell Ltd		7,121,649
	3,476,272	Downer EDI Ltd		12,778,580
	3,252,152	Incitec Pivot Ltd		6,951,841
	1,156,077	Link Administration Holdings Ltd *		7,318,384
	8,703,413	Spotless Group Holdings Ltd		6,889,151
	3,236,535	Tox Free Solutions Ltd		6,030,458
	4,408,849	Vicinity Centres (REIT)		10,955,705
		Total Australia		58,045,768
		Brazil — 0.4%
	947,900	FPC Par Corretora de Seguros SA		3,816,023
		Canada — 5.1%
	377,400	ATS Automation Tooling Systems Inc *		3,110,946
	690,000	Canyon Services Group Inc		2,515,022
	3,949,900	Capstone Mining Corp *		2,048,141
	688,500	Computer Modelling Group Ltd		4,898,357
	824,350	DHX Media Ltd		4,846,529
	329,600	Dorel Industries Inc – Class B		9,407,448
	417,700	Medical Facilities Corp		6,519,993
	915,400	Precision Drilling Corp		3,762,396
	1,033,000	Superior Plus Corp		9,255,567
	1,235,800	Western Energy Services Corp		2,591,467
		Total Canada		48,955,866
		Finland — 1.7%
	345,841	Tieto Oyj		10,320,879
	269,989	Tikkurila Oyj		5,764,779
		Total Finland		16,085,658
		France — 13.9%
	109,619	Alten SA		7,533,442
	632,803	Altran Technologies SA *		9,333,611
	116,119	Arkema SA		10,389,887
	75,467	BioMerieux		11,496,270
	114,222	Cie Generale des Etablissements Michelin		12,175,649
	415,290	Elior Group		9,537,880
	116,338	Euler Hermes Group		9,626,636
	173,830	Nexity SA *		9,122,202
	242,463	SCOR SE		7,153,916
	72,917	Sopra Steria Group		8,374,930
	1,718,235	Technicolor SA (Registered)		11,171,472
	161,743	Teleperformance		16,781,024
	152,821	Vicat SA		9,727,886
		Total France		132,424,805

Shares		Description	Value ($)
		Germany — 4.6%
	112,482	Gerresheimer AG		9,339,293
	595,332	Grand City Properties SA		13,057,472
	121,670	LEG Immobilien AG *		11,860,458
	657,263	TAG Immobilien AG		9,445,581
		Total Germany		43,702,804
		Hong Kong — 0.7%
	5,124,910	HKT Trust & HKT Ltd – Class SS		7,054,271
		India — 0.4%
	773,024	Dewan Housing Finance Corp Ltd		3,340,401
		Ireland — 0.6%
	64,461	Kerry Group Plc – Class A		5,481,389
		Israel — 1.0%
	5,470,273	Israel Discount Bank Ltd – Class A *		9,878,562
		Italy — 3.4%
	1,513,043	Amplifon SPA		15,914,722
	1,108,800	Cerved Information Solutions SPA		8,913,291
	879,100	Enav SPA *		3,647,803
	358,838	ERG SPA		4,003,622
		Total Italy		32,479,438
		Japan — 22.9%
	1,083,700	Anritsu Corp		5,978,006
	251,100	Aoyama Trading Co Ltd		8,156,137
	1,173,000	Calsonic Kansei Corp		9,242,575
	254,300	Century Tokyo Leasing Corp		9,562,246
	408,000	COMSYS Holdings Corp		7,715,897
	238,500	Fuji Seal International Inc		9,066,765
	349,000	Fujitsu General Ltd		7,099,500
	555,900	Fuji Oil Holdings Inc		10,807,392
	173,000	HIS Co Ltd		4,352,514
	214,650	Izumi Co Ltd		8,430,756
	1,265	Kenedix Office Investment Corp (REIT)		7,632,459
	634,550	Komori Corp		7,810,867
	316,000	Kurita Water Industries Ltd		7,206,377
	1,361,600	Mitsubishi UFJ Lease & Finance Co Ltd		6,394,079
	3,400	Mori Hills REIT Investment Corp		5,143,385
	778,800	NHK Spring Co Ltd		7,351,203
	410,000	Nippon Seiki Co Ltd		7,749,070
	115,200	Nippon Shokubai Co Ltd		7,079,156
	1,304,000	Nippon Soda Co Ltd		6,589,486
	358,400	Nitto Kogyo Corp		4,467,621
	6,394	Nomura Real Estate Master Fund Inc (REIT)		10,557,427
	280,700	OSG Corp		5,211,312
	1,888,000	Sanden Holdings Corp		5,394,354
	980,300	Sanwa Holdings Corp		8,705,441

See accompanying notes to the financial statements. 5

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	643,900	Sumitomo Rubber Industries Ltd		9,572,169
	316,800	Suruga Bank Ltd		7,547,471
	519,800	Tadano Ltd		5,168,426
	1,162,300	Takara Leben Co Ltd		7,586,035
	195,300	TS Tech Co Ltd		4,542,452
	813,000	Tsubakimoto Chain Co		6,149,879
		Total Japan		218,270,457
		Mexico — 1.1%
	2,199,829	Grupo Herdez SAB de CV		4,706,905
	4,511,706	Macquarie Mexico Real Estate Management SA de CV (REIT) *		5,843,952
		Total Mexico		10,550,857
		Netherlands — 1.5%
	357,252	Aalberts Industries NV		12,006,930
	80,855	Flow Traders		2,394,173
		Total Netherlands		14,401,103
		New Zealand — 0.3%
	1,463,346	Air New Zealand Ltd		2,398,530
		Russia — 0.8%
	3,883,380	Moscow Exchange MICEX-RTS PJSC		7,550,172
		Singapore — 0.7%
	7,004,600	Keppel DC REIT		6,273,679
		South Africa — 0.4%
	1,073,912	Northam Platinum Ltd *		3,537,398
		South Korea — 0.5%
	637,024	Macquarie Korea Infrastructure Fund		5,020,970
		Sweden — 2.2%
	282,473	Loomis AB – Class B		8,087,335
	406,088	Svenska Cellulosa AB SCA – Class B		12,481,373
		Total Sweden		20,568,708
		Switzerland — 9.2%
	290,078	Ascom Holding AG (Registered)		5,311,719
	101,652	Baloise Holding AG (Registered)		12,110,640
	131,228	Cembra Money Bank AG *		9,507,134
	23,753	dorma & kaba Holding AG – Class B (Registered)		18,656,690
	108,175	Dufry AG (Registered) *		12,657,493
	20,277	Flughafen Zuerich AG (Registered)		3,753,309
	10,921	Forbo Holdings AG (Registered) *		15,009,064
	20,357	Helvetia Holding AG (Registered)		10,182,953
		Total Switzerland		87,189,002

Shares / Par Value†		Description	Value ($)
		Taiwan — 0.9%
	6,749,000	Chipbond Technology Corp		8,732,777
		Thailand — 0.9%
	25,158,300	Jasmine Broadband Internet Infrastructure Fund		8,426,324
		United Kingdom — 16.5%
	1,626,143	AA Plc		5,774,264
	1,915,429	Auto Trader Group Plc		9,383,209
	302,694	Computacenter Plc		2,875,126
	626,061	Euromoney Institutional Investor Plc		8,619,930
	1,117,125	Great Portland Estates Plc (REIT)		9,940,307
	2,279,328	Howden Joinery Group Plc		13,661,969
	1,399,759	Informa Plc		13,021,293
	848,724	John Wood Group Plc		7,759,996
	1,497,966	Jupiter Fund Management Plc		8,248,552
	618,902	Lonmin Plc *		1,567,191
	6,803,215	Melrose Industries Plc		13,228,731
	366,396	Micro Focus International Plc		9,620,778
	1,876,015	Senior Plc		5,814,265
	2,576,235	Spirent Communications Plc		2,871,675
	1,845,633	SThree Plc		5,984,556
	3,314,996	Topps Tiles Plc		4,999,181
	406,022	Travis Perkins Plc		8,878,000
	3,190,090	Tyman Plc		11,429,009
	2,782,683	Wilmington Plc		8,770,680
	706,870	Xaar Plc		4,667,174
		Total United Kingdom		157,115,886
		TOTAL COMMON STOCKS (COST $849,963,838)		915,918,560
		MUTUAL FUNDS — 2.4%
		United States — 2.4%
		Affiliated Issuers
	934,607	GMO U.S. Treasury Fund		23,374,533
		TOTAL MUTUAL FUNDS (COST $23,371,605)		23,374,533
		SHORT-TERM INVESTMENTS — 1.1%
		Time Deposits — 1.1%
GBP	67,409	BNP Paribas (Paris) Time Deposit, 0.05%, due 09/01/16		88,518
	4,661,548	BNP Paribas (Paris) Time Deposit, 0.15%, due 09/01/16		4,661,548
	556,804	DnB Nor Bank (Oslo) Time Deposit, 0.15%, due 09/01/16		556,804
SGD	223,097	HSBC Bank (Hong Kong) Time Deposit, 0.01%, due 09/01/16		163,747

6 See accompanying notes to the financial statements.

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Time Deposits — continued
AUD	336,568	National Australia Bank (Melbourne) Time Deposit, 0.69%, due 09/01/16		252,948
JPY	9,336,608	Sumitomo (Tokyo) Time Deposit, (0.29)%, due 09/01/16		90,239
	4,659,581	Sumitomo (Tokyo) Time Deposit, 0.15%, due 09/01/16		4,659,581
		Total Time Deposits		10,473,385
		TOTAL SHORT-TERM INVESTMENTS (COST $10,473,385)		10,473,385
		TOTAL INVESTMENTS — 99.8% (Cost $883,808,828)		949,766,478
		Other Assets and Liabilities (net) — 0.2%		1,717,953
		TOTAL NET ASSETS — 100.0%		$951,484,431

Notes to Schedule of Investments:

* Non-income producing security.

† Denominated in U.S. Dollar, unless otherwise indicated.

For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 12.

See accompanying notes to the financial statements. 7

GMO International Small Companies Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.3	%
Short-Term Investments		1.9
Mutual Funds		0.7
Rights/Warrants		0.0	^
Other		0.1
		100.0	%

Country Summary¤	% of Investments
Japan		23.6	%
United Kingdom		17.2
France		14.3
Switzerland		9.5
Australia		6.3
Canada		5.3
Other Emerging		5.0	†
Germany		4.7
Italy		3.5
Other Developed		2.9	‡
Sweden		2.2
Finland		1.7
Netherlands		1.5
Mexico		1.2
Israel		1.1
		100.0	%

& In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

¤ 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.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.0%.

Industry Group Summary	% of Equity Investments#
Capital Goods		15.3	%
Real Estate		11.7
Software & Services		7.6
Materials		6.8
Diversified Financials		6.3
Commercial & Professional Services		6.2
Automobiles & Components		6.1
Media		5.1
Insurance		4.7
Health Care Equipment & Services		4.4
Retailing		3.8
Consumer Durables & Apparel		3.4
Banks		2.7
Food, Beverage & Tobacco		2.3
Consumer Services		2.2
Technology Hardware & Equipment		2.0
Energy		1.9
Utilities		1.4
Household & Personal Products		1.4
Transportation		1.1
Pharmaceuticals, Biotechnology & Life Sciences		1.0
Semiconductors & Semiconductor Equipment		0.9
Commercial Services & Supplies		0.9
Telecommunication Services		0.8
		100.0	%

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

8

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.3%
		Argentina — 0.5%
	80,369	Grupo Supervielle SA Sponsored ADR *		1,129,988
		Australia — 6.1%
	103,478	Ansell Ltd		1,744,148
	872,389	Downer EDI Ltd		3,206,853
	797,141	Incitec Pivot Ltd		1,703,979
	283,132	Link Administration Holdings Ltd *		1,792,328
	2,131,537	Spotless Group Holdings Ltd		1,687,209
	792,654	Tox Free Solutions Ltd		1,476,909
	1,079,763	Vicinity Centres (REIT)		2,683,141
		Total Australia		14,294,567
		Austria — 0.0%
	1,761,602	Immofinanz AG (Entitlement Shares) * (a)		—
		Brazil — 0.4%
	232,100	FPC Par Corretora de Seguros SA		934,380
		Canada — 5.2%
	94,800	ATS Automation Tooling Systems Inc *		781,446
	168,900	Canyon Services Group Inc		615,634
	967,100	Capstone Mining Corp *		501,470
	173,400	Computer Modelling Group Ltd		1,233,660
	207,100	DHX Media Ltd		1,217,585
	80,700	Dorel Industries Inc – Class B		2,303,341
	102,200	Medical Facilities Corp		1,595,267
	224,100	Precision Drilling Corp		921,076
	252,900	Superior Plus Corp		2,265,956
	302,600	Western Energy Services Corp		634,551
		Total Canada		12,069,986
		China — 0.0%
	586,000	China Shanshui Cement Group Ltd * (a)		—
		Finland — 1.7%
	84,699	Tieto Oyj		2,527,659
	66,122	Tikkurila Oyj		1,411,831
		Total Finland		3,939,490
		France — 14.0%
	26,846	Alten SA		1,844,961
	154,978	Altran Technologies SA		2,285,868
	28,438	Arkema SA		2,544,524
	18,482	BioMerieux		2,815,456
	28,851	Cie Generale des Etablissements Michelin		3,075,411
	104,054	Elior Group		2,389,787
	28,553	Euler Hermes Group		2,362,679
	42,572	Nexity SA *		2,234,082
	60,861	SCOR SE		1,795,715

Shares		Description	Value ($)
		France — continued
	17,857	Sopra Steria Group		2,050,978
	420,809	Technicolor SA (Registered)		2,735,980
	39,612	Teleperformance		4,109,791
	37,427	Vicat SA		2,382,432
		Total France		32,627,664
		Germany — 4.6%
	28,188	Gerresheimer AG		2,340,428
	145,801	Grand City Properties SA		3,197,867
	29,797	LEG Immobilien AG *		2,904,628
	160,969	TAG Immobilien AG		2,313,298
		Total Germany		10,756,221
		Hong Kong — 0.7%
	1,255,000	HKT Trust & HKT Ltd – Class SS		1,727,466
		India — 0.4%
	194,178	Dewan Housing Finance Corp Ltd		839,084
		Indonesia — 0.1%
	41,801,300	Bakrie & Brothers Tbk PT *		157,562
		Ireland — 0.6%
	15,787	Kerry Group Plc – Class A		1,342,435
		Israel — 1.0%
	1,339,714	Israel Discount Bank Ltd – Class A *		2,419,340
		Italy — 3.4%
	370,556	Amplifon SPA		3,897,639
	271,554	Cerved Information Solutions SPA		2,182,936
	220,900	Enav SPA *		916,619
	87,882	ERG SPA		980,516
		Total Italy		7,977,710
		Japan — 23.1%
	265,400	Anritsu Corp		1,464,024
	61,400	Aoyama Trading Co Ltd		1,994,372
	294,000	Calsonic Kansei Corp		2,316,553
	62,200	Century Tokyo Leasing Corp		2,338,859
	99,900	COMSYS Holdings Corp		1,889,260
	58,400	Fuji Seal International Inc		2,220,122
	85,000	Fujitsu General Ltd		1,729,105
	136,100	Fuji Oil Holdings Inc		2,645,954
	42,300	HIS Co Ltd		1,064,227
	54,400	Izumi Co Ltd		2,136,656
	320	Kenedix Office Investment Corp (REIT)		1,930,740
	155,400	Komori Corp		1,912,865
	77,300	Kurita Water Industries Ltd		1,762,826
	333,400	Mitsubishi UFJ Lease & Finance Co Ltd		1,565,648
	836	Mori Hills REIT Investment Corp		1,264,668

See accompanying notes to the financial statements. 9

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	190,700	NHK Spring Co Ltd		1,800,044
	100,000	Nippon Seiki Co Ltd		1,890,017
	28,200	Nippon Shokubai Co Ltd		1,732,918
	319,000	Nippon Soda Co Ltd		1,611,999
	90,100	Nitto Kogyo Corp		1,123,138
	1,576	Nomura Real Estate Master Fund Inc (REIT)		2,602,206
	70,600	OSG Corp		1,310,718
	462,000	Sanden Holdings Corp		1,320,017
	240,000	Sanwa Holdings Corp		2,131,292
	157,600	Sumitomo Rubber Industries Ltd		2,342,870
	77,500	Suruga Bank Ltd		1,846,367
	130,700	Tadano Ltd		1,299,564
	290,500	Takara Leben Co Ltd		1,896,019
	47,800	TS Tech Co Ltd		1,111,773
	199,000	Tsubakimoto Chain Co		1,505,321
		Total Japan		53,760,142
		Mexico — 1.2%
	590,706	Grupo Herdez SAB de CV		1,263,915
	1,104,900	Macquarie Mexico Real Estate Management SA de CV (REIT) *		1,431,162
		Total Mexico		2,695,077
		Netherlands — 1.5%
	87,493	Aalberts Industries NV		2,940,564
	19,802	Flow Traders		586,351
		Total Netherlands		3,526,915
		New Zealand — 0.3%
	358,385	Air New Zealand Ltd		587,419
		Russia — 0.8%
	976,270	Moscow Exchange MICEX-RTS PJSC		1,898,090
		Singapore — 0.7%
	1,749,800	Keppel DC REIT		1,567,211
		South Africa — 0.4%
	271,354	Northam Platinum Ltd *		893,823
		South Korea — 0.5%
	156,012	Macquarie Korea Infrastructure Fund		1,229,674
		Sweden — 2.2%
	69,179	Loomis AB – Class B		1,980,627
	102,153	Svenska Cellulosa AB SCA – Class B		3,139,738
		Total Sweden		5,120,365
		Switzerland — 9.3%
	71,042	Ascom Holding AG (Registered)		1,300,875
	25,625	Baloise Holding AG (Registered)		3,052,917

Shares		Description	Value ($)
		Switzerland — continued
	32,138	Cembra Money Bank AG *		2,328,316
	5,827	dorma & kaba Holding AG – Class B (Registered)		4,576,793
	27,292	Dufry AG (Registered) *		3,193,421
	4,966	Flughafen Zuerich AG (Registered)		919,215
	2,742	Forbo Holdings AG (Registered) *		3,768,414
	5,123	Helvetia Holding AG (Registered)		2,562,621
		Total Switzerland		21,702,572
		Taiwan — 0.9%
	1,652,000	Chipbond Technology Corp		2,137,583
	430,000	ProMOS Technologies Inc * (a) (b)		—
		Total Taiwan		2,137,583
		Thailand — 0.9%
	240,700	Banpu Pcl (Foreign Registered)		109,105
	6,161,400	Jasmine Broadband Internet Infrastructure Fund		2,063,651
		Total Thailand		2,172,756
		United Kingdom — 16.8%
	408,920	AA Plc		1,452,032
	481,744	Auto Trader Group Plc		2,359,944
	74,131	Computacenter Plc		704,130
	153,327	Euromoney Institutional Investor Plc		2,111,085
	280,788	Great Portland Estates Plc (REIT)		2,498,484
	575,440	Howden Joinery Group Plc		3,449,106
	353,106	Informa Plc		3,284,777
	207,859	John Wood Group Plc		1,900,482
	378,100	Jupiter Fund Management Plc		2,082,008
	155,590	Lonmin Plc *		393,987
	1,674,632	Melrose Industries Plc		3,256,292
	91,652	Micro Focus International Plc		2,406,586
	459,451	Senior Plc		1,423,960
	630,941	Spirent Communications Plc		703,297
	463,192	SThree Plc		1,501,923
	811,869	Topps Tiles Plc		1,224,339
	102,117	Travis Perkins Plc		2,232,871
	804,401	Tyman Plc		2,881,896
	697,493	Wilmington Plc		2,198,414
	173,118	Xaar Plc		1,143,027
		Total United Kingdom		39,208,640
		TOTAL COMMON STOCKS (COST $222,716,320)		226,716,160
		RIGHTS/WARRANTS — 0.0%
		Thailand — 0.0%
	240,700	Banpu PCL, Warrants, Expires 05/31/17 *		69,535
		TOTAL RIGHTS/WARRANTS (COST $0)		69,535

10 See accompanying notes to the financial statements.

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 0.7%
		United States — 0.7%
		Affiliated Issuers
	60,004	GMO U.S. Treasury Fund		1,500,697
		TOTAL MUTUAL FUNDS (COST $1,500,697)		1,500,697
		SHORT-TERM INVESTMENTS — 1.9%
		Time Deposits — 1.9%
	1,162,753	Australia and New Zealand Banking Group Ltd. (Melbourne) Time Deposit, 0.15%, due 09/01/16		1,162,753
GBP	20,667	BNP Paribas (Paris) Time Deposit, 0.05%, due 09/01/16		27,139
	1,135,689	BNP Paribas (Paris) Time Deposit, 0.15%, due 09/01/16		1,135,689
SGD	55,731	HSBC Bank (Hong Kong) Time Deposit, 0.01%, due 09/01/16		40,905
AUD	82,432	National Australia Bank (Melbourne) Time Deposit, 0.69%, due 09/01/16		61,951
	828,449	Skandinaviska Enskilda Banken, AB (Stockholm) Time Deposit, 0.15%, due 09/01/16		828,449
	1,162,753	Sumitomo (Tokyo) Time Deposit, 0.15%, due 09/01/16		1,162,753
		Total Time Deposits		4,419,639
		TOTAL SHORT-TERM INVESTMENTS (COST $4,419,639)		4,419,639
		TOTAL INVESTMENTS — 99.9% (Cost $228,636,656)		232,706,031
		Other Assets and Liabilities (net) — 0.1%		344,678
		TOTAL NET ASSETS — 100.0%		$233,050,709

Notes to Schedule of Investments:

* Non-income producing security.

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2).

(b) Bankrupt issuer.

For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 12.

See accompanying notes to the financial statements. 11

GMO Trust Funds

Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

Portfolio Abbreviations:

ADR - American Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

SGD - Singapore Dollar

USD - United States Dollar

12 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2016 (Unaudited)

	Foreign Fund			Foreign Small Companies Fund			International Small Companies Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	2,985,554		$	23,374,533		$	1,500,697
Investments in unaffiliated issuers, at value (Note 2)(b)		138,199,145			926,391,945			231,205,334
Foreign currency, at value (Note 2)(c)		9,745			159,895			51,714
Receivable for investments sold		—			—			598
Dividends receivable		376,835			1,626,800			425,047
Dividend withholding tax receivable		160,839			601,355			133,446
Foreign capital gains tax refund receivable		10,697			305,990			10,527
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		24,376			55,077			69,866
Miscellaneous receivable		1,408			8,700			605
Total assets		141,768,599			952,524,295			233,397,834
Liabilities:
Payable for investments purchased		1,408			8,694			—
Accrued foreign capital gains tax payable (Note 2)		—			137,667			44,987
Payable to affiliate for (Note 5):
Management fee		76,573			602,457			128,843
Shareholder service fee		23,114			101,103			32,210
Payable to agents unaffiliated with GMO		33			132			33
Payable to Trustees and related expenses		57			542			199
Accrued expenses		174,350			189,269			140,853
Total liabilities		275,535			1,039,864			347,125
Net assets	$	141,493,064		$	951,484,431		$	233,050,709
Net assets consist of:
Paid-in capital	$	170,603,742		$	909,079,949		$	245,713,401
Accumulated undistributed net investment income		2,021,588			3,702,913			2,774,394
Accumulated net realized gain (loss)		(29,269,262	)		(27,046,714	)		(19,429,151	)
Net unrealized appreciation (depreciation)		(1,863,004	)		65,748,283			3,992,065
	$	141,493,064		$	951,484,431		$	233,050,709
Net assets attributable to:
Class II	$	66,013,375		$	—		$	—
Class III	$	71,938,732		$	332,503,446		$	233,050,709
Class IV	$	3,540,957		$	618,980,985		$	—
Shares outstanding:
Class II		5,831,229			—			—
Class III		6,310,718			23,301,499			10,704,004
Class IV		302,009			43,474,888			—
Net asset value per share:
Class II	$	11.32		$	—		$	—
Class III	$	11.40		$	14.27		$	21.77
Class IV	$	11.72		$	14.24		$	—
(a)     Cost of investments – affiliated issuers:	$	2,985,554		$	23,371,605		$	1,500,697
(b)      Cost of investments – unaffiliated issuers:	$	140,019,828		$	860,437,223		$	227,135,959
(c)      Cost of foreign currency:	$	9,737		$	160,193		$	51,644

See accompanying notes to the financial statements. 13

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2016 (Unaudited)

	Foreign Fund			Foreign Small Companies Fund			International Small Companies Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	3,364,455		$	17,859,206		$	4,496,853
Dividends from affiliated issuers (Note 10)		9,003			61,225			9,902
Interest		1,574			8,194			1,127
Total investment income		3,375,032			17,928,625			4,507,882
Expenses:
Management fee (Note 5)		470,993			3,336,852			751,237
Shareholder service fee – Class II (Note 5)		76,296			—			—
Shareholder service fee – Class III (Note 5)		63,098			250,458			187,809
Shareholder service fee – Class IV (Note 5)		1,578			309,721			—
Audit and tax fees		51,888			48,208			48,484
Custodian and fund accounting agent fees		77,080			251,712			150,256
Legal fees		4,784			18,860			9,568
Registration fees		11,444			1,840			2,024
Transfer agent fees		24,104			18,492			12,788
Trustees’ fees and related expenses (Note 5)		1,104			7,322			1,932
Miscellaneous		4,416			8,648			18,400
Total expenses		786,785			4,252,113			1,182,498
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(155,040	)		(325,864	)		(222,292	)
Net expenses		631,745			3,926,249			960,206
Net investment income (loss)		2,743,287			14,002,376			3,547,676
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(3,069,578	)		(5,532,338	)		(13,206,664	)
Investments in affiliated issuers		2,379			18,508			60
Realized gain distributions from affiliated issuers (Note 10)		175			747			176
Foreign currency, forward contracts and foreign currency related transactions		(30,898	)		68,295			(121,192	)
Net realized gain (loss)		(3,097,922	)		(5,444,788	)		(13,327,620	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		13,574,746			87,143,332			34,435,117
Investments in affiliated issuers		(389	)		(1,585	)		(531	)
Foreign currency, forward contracts and foreign currency related transactions		17,280			(15,499	)		(9,095	)
Net change in unrealized appreciation (depreciation)		13,591,637			87,126,248			34,425,491
Net realized and unrealized gain (loss)		10,493,715			81,681,460			21,097,871
Net increase (decrease) in net assets resulting from operations	$	13,237,002		$	95,683,836		$	24,645,547
(a)    Withholding tax:	$	391,671		$	1,618,969		$	396,754

14 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Foreign Fund						Foreign Small Companies Fund
	Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016			Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,743,287		$	6,165,918		$	14,002,376		$	18,765,230
Net realized gain (loss)		(3,097,922	)		(763,887	)		(5,444,788	)		19,398,085
Change in net unrealized appreciation (depreciation)		13,591,637			(23,646,550	)		87,126,248			(151,990,302	)
Net increase (decrease) in net assets from operations		13,237,002			(18,244,519	)		95,683,836			(113,826,987	)
Distributions to shareholders from:
Net investment income
Class II		(385,839	)		(3,078,855	)		—			—
Class III		(561,375	)		(3,291,815	)		(1,073,204	)		(5,563,761	)
Class IV		(22,597	)		(786,711	)		(2,101,006	)		(13,945,012	)
Total distributions from net investment income		(969,811	)		(7,157,381	)		(3,174,210	)		(19,508,773	)
Net realized gains
Class III		—			—			—			(9,686,581	)
Class IV		—			—			—			(23,728,618	)
Total distributions from net realized gains		—			—			—			(33,415,199	)
Net share transactions (Note 9):
Class II		(10,505,092	)		(25,438,691	)		—			—
Class III		(16,093,011	)		(59,807,577	)		(16,136,261	)		11,586,510
Class IV		549,910			(19,372,725	)		(48,194,912	)		(36,885,233	)
Increase (decrease) in net assets resulting from net share transactions		(26,048,193	)		(104,618,993	)		(64,331,173	)		(25,298,723	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			121,147			115,825
Class IV		—			—			217,002			273,609
Increase in net assets resulting from purchase premiums and redemption fees		—			—			338,149			389,434
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(26,048,193	)		—			(63,993,024	)		(24,909,289	)
Total increase (decrease) in net assets		(13,781,002	)		(130,020,893	)		28,516,602			(191,660,248	)
Net assets:
Beginning of period		155,274,066			285,294,959			922,967,829			1,114,628,077
End of period	$	141,493,064		$	155,274,066		$	951,484,431		$	922,967,829
Accumulated undistributed net investment income	$	2,021,588		$	248,112		$	3,702,913		$	—
Distributions in excess of net investment income	$	—		$	—		$	—		$	(7,125,253	)

See accompanying notes to the financial statements. 15

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Small Companies Fund
	Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	3,547,676		$	5,596,802
Net realized gain (loss)		(13,327,620	)		(1,482,496	)
Change in net unrealized appreciation (depreciation)		34,425,491			(37,006,716	)
Net increase (decrease) in net assets from operations		24,645,547			(32,892,410	)
Distributions to shareholders from:
Net investment income
Class III		(316,268	)		(6,197,734	)
Total distributions from net investment income		(316,268	)		(6,197,734	)
Net share transactions (Note 9):
Class III		(37,325,389	)		1,195,773
Increase (decrease) in net assets resulting from net share transactions		(37,325,389	)		1,195,773
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		312,771			182,910
Increase in net assets resulting from purchase premiums and redemption fees		312,771			182,910
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(37,012,618	)		1,378,683
Total increase (decrease) in net assets		(12,683,339	)		(37,711,461	)
Net assets:
Beginning of period		245,734,048			283,445,509
End of period	$	233,050,709		$	245,734,048
Accumulated undistributed net investment income	$	2,774,394		$	—
Distributions in excess of net investment income	$	—		$	(457,014	)

16 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

FOREIGN FUND

	Class II Shares																								Class III Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
					2016				2015				2014				2013				2012								2016				2015				2014				2013				2012
Net asset value, beginning of period		$	10.45			$	12.12			$	13.58			$	11.57			$	11.21			$	12.88			$	10.52			$	12.20			$	13.66			$	11.64			$	11.27			$	12.95
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.19^				0.30				0.26				0.30				0.29				0.31				0.19^				0.32				0.26				0.32				0.30				0.34
Net realized and unrealized gain (loss)			0.75				(1.51	)			(0.93	)			2.04				0.43				(1.43	)			0.76				(1.53	)			(0.92	)			2.04				0.44				(1.47	)
Total from investment operations			0.94				(1.21	)			(0.67	)			2.34				0.72				(1.12	)			0.95				(1.21	)			(0.66	)			2.36				0.74				(1.13	)
Less distributions to shareholders:
From net investment income			(0.07	)			(0.46	)			(0.39	)			(0.33	)			(0.36	)			(0.55	)			(0.07	)			(0.47	)			(0.40	)			(0.34	)			(0.37	)			(0.55	)
From net realized gains			—				—				(0.40	)			—				—				—				—				—				(0.40	)			—				—				—
Total distributions			(0.07	)			(0.46	)			(0.79	)			(0.33	)			(0.36	)			(0.55	)			(0.07	)			(0.47	)			(0.80	)			(0.34	)			(0.37	)			(0.55	)
Net asset value, end of period		$	11.32			$	10.45			$	12.12			$	13.58			$	11.57			$	11.21			$	11.40			$	10.52			$	12.20			$	13.66			$	11.64			$	11.27
Total Return(b)			9.01	%**			(10.30	)%			(4.75	)%			20.39	%			6.65	%			(8.38	)%			9.10	%**			(10.29	)%			(4.64	)%			20.42	%			6.75	%			(8.36	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	66,013			$	70,865			$	108,343			$	165,028			$	217,052			$	259,270			$	71,939			$	81,645			$	152,047			$	197,489			$	222,262			$	403,157
Net expenses to average daily net assets			0.85	%(c)*			0.83	%(c)			0.83	%(c)			0.83	%(c)(d)			0.84	%(c)(d)			0.82	%(d)			0.78	%(c)*			0.76	%(c)			0.76	%(c)			0.76	%(c)(d)			0.77	%(c)(d)			0.75	%(d)
Net investment income (loss) to average daily net assets(a)			3.36	%*^			2.54	%			2.04	%			2.37	%			2.65	%			2.71	%			3.35	%*^			2.61	%			2.02	%			2.53	%			2.78	%			2.89	%
Portfolio turnover rate			33	%(e)**			113	%(f)			113	%			98	%			91	%			58	%			33	%(e)**			113	%(f)			113	%			98	%			91	%			58	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.20	%*			0.18	%			0.13	%			0.11	%			0.07	%			0.07	%			0.20	%*			0.17	%			0.13	%			0.12	%			0.07	%			0.08	%

	Class IV Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
					2016				2015				2014				2013				2012
Net asset value, beginning of period		$	10.81			$	12.53			$	14.00			$	11.92			$	11.55			$	13.25
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.56^				0.40				0.40				0.35				0.33				0.33
Net realized and unrealized gain (loss)			0.42				(1.64	)			(1.07	)			2.08				0.42				(1.46	)
Total from investment operations			0.98				(1.24	)			(0.67	)			2.43				0.75				(1.13	)
Less distributions to shareholders:
From net investment income			(0.07	)			(0.48	)			(0.40	)			(0.35	)			(0.38	)			(0.57	)
From net realized gains			—				—				(0.40	)			—				—				—
Total distributions			(0.07	)			(0.48	)			(0.80	)			(0.35	)			(0.38	)			(0.57	)
Net asset value, end of period		$	11.72			$	10.81			$	12.53			$	14.00			$	11.92			$	11.55
Total Return(b)			9.09	%**			(10.24	)%			(4.59	)%			20.54	%			6.68	%			(8.21	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,541			$	2,763			$	24,905			$	67,628			$	88,992			$	391,421
Net expenses to average daily net assets			0.72	%(c)*			0.70	%(c)			0.70	%(c)			0.70	%(c)(d)			0.70	%(c)(d)			0.69	%(d)
Net investment income (loss) to average daily net assets(a)			9.62	%*^			3.25	%			2.96	%			2.71	%			3.02	%			2.74	%
Portfolio turnover rate			33	%(e)**			113	%(f)			113	%			98	%			91	%			58	%
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets:			0.19	%*			0.18	%			0.13	%			0.11	%			0.07	%			0.07	%

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

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

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

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

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 37% of the average value of its portfolio.

^(f)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 65% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

^ Net investment income per share class may appear skewed due to the timing of purchases and redemptions of Fund shares and their impact on class allocations.

See accompanying notes to the financial statements. 17

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

FOREIGN SMALL COMPANIES FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2016 (Unaudited)				February 28/29,
					2016				2015				2014				2013				2012								2016				2015				2014				2013				2012
Net asset value, beginning of period		$	12.94			$	15.31			$	17.29			$	14.40			$	12.91			$	14.22			$	12.91			$	15.28			$	17.25			$	14.37			$	12.90			$	14.20
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.21				0.26				0.20				0.27				0.23				0.19				0.21				0.27				0.21				0.25				0.12				0.17
Net realized and unrealized gain (loss)			1.17				(1.86	)			(1.34	)			3.62				1.43				(1.27	)(b)			1.17				(1.86	)			(1.34	)			3.64				1.54				(1.23	)(b)
Total from investment operations			1.38				(1.60	)			(1.14	)			3.89				1.66				(1.08	)			1.38				(1.59	)			(1.13	)			3.89				1.66				(1.06	)
Less distributions to shareholders:
From net investment income			(0.05	)			(0.28	)			(0.23	)			(0.48	)			(0.17	)			(0.23	)			(0.05	)			(0.29	)			(0.23	)			(0.49	)			(0.19	)			(0.24	)
From net realized gains			—				(0.49	)			(0.61	)			(0.52	)			—				—				—				(0.49	)			(0.61	)			(0.52	)			—				—
Total distributions			(0.05	)			(0.77	)			(0.84	)			(1.00	)			(0.17	)			(0.23	)			(0.05	)			(0.78	)			(0.84	)			(1.01	)			(0.19	)			(0.24	)
Net asset value, end of period		$	14.27			$	12.94			$	15.31			$	17.29			$	14.40			$	12.91			$	14.24			$	12.91			$	15.28			$	17.25			$	14.37			$	12.90
Total Return(c)			10.66	%**			(10.82	)%			(6.34	)%			27.54	%			12.93	%			(7.45	)%			10.71	%**			(10.80	)%			(6.25	)%			27.61	%			12.96	%			(7.33	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	332,503			$	316,303			$	353,778			$	236,393			$	314,389			$	483,122			$	618,981			$	606,665			$	760,850			$	851,384			$	471,628			$	71,373
Net expenses to average daily net assets			0.86	%(d)*			0.86	%(d)			0.85	%(d)			0.86	%(d)(e)			0.85	%(d)(e)			0.86	%(e)			0.81	%(d)*			0.81	%(d)			0.80	%(d)			0.81	%(d)(e)			0.80	%(d)(e)			0.81	%(e)
Net investment income (loss) to average daily net assets(a)			2.92	%*			1.73	%			1.26	%			1.73	%			1.83	%			1.43	%			2.95	%*			1.79	%			1.32	%			1.56	%			0.90	%			1.34	%
Portfolio turnover rate			24	%(f)**			60	%(g)			58	%			57	%			56	%			46	%			24	%(f)**			60	%(g)			58	%			57	%			56	%			46	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.07	%*			0.07	%			0.07	%			0.07	%			0.09	%			0.10	%			0.07	%*			0.07	%			0.07	%			0.07	%			0.10	%			0.10	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.01			$	0.01			$	0.00	(h)		$	0.02			$	0.00	(h)		$	0.01			$	0.01			$	0.01			$	0.00	(g)		$	0.01			$	0.01

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

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

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

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

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

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 26% of the average value of its portfolio.

^(g)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 44% of the average value of its portfolio.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

18 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL SMALL COMPANIES FUND

	Class III Shares
	Six Months Ended August 31, 2016 (Unaudited)(a)				Year Ended February 28/29,
					2016(a)				2015(a)				2014(a)				2013(a)				2012(a)
Net asset value, beginning of period		$	19.77			$	22.95			$	30.69			$	25.02			$	22.32			$	25.44
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.30				0.45				0.57				0.45				0.54				0.51
Net realized and unrealized gain (loss)			1.73				(3.12	)			(2.19	)			7.11				3.06				(2.52	)
Total from investment operations			2.03				(2.67	)			(1.62	)			7.56				3.60				(2.01	)
Less distributions to shareholders:
From net investment income			(0.03	)			(0.51	)			(0.66	)			(1.35	)			(0.90	)			(1.11	)
From net realized gains			—				—				(5.46	)			(0.54	)			—				—
Total distributions			(0.03	)			(0.51	)			(6.12	)			(1.89	)			(0.90	)			(1.11	)
Net asset value, end of period		$	21.77			$	19.77			$	22.95			$	30.69			$	25.02			$	22.32
Total Return(c)			10.27	%**			(11.83	)%			(4.87	)%			31.30	%			16.75	%			(8.05	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	233,051			$	245,734			$	283,446			$	382,688			$	313,557			$	368,374
Net expenses to average daily net assets(d)			0.77	%*			0.76	%			0.77	%			0.77	%(e)			0.76	%(e)			0.76	%(e)
Net investment income (loss) to average daily net assets(b)			2.83	%*			2.04	%			2.15	%			1.63	%			2.50	%			2.28	%
Portfolio turnover rate			113	%(f)**			64	%(g)			83	%			79	%			76	%			90	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.18	%*			0.18	%			0.17	%			0.15	%			0.17	%			0.14	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.03	(a)		$	0.01	(a)		$	0.03	(a)		$	0.02	(a)		$	0.01	(a)		$	0.02	(a)

^(a)  Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

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

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

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

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 118% of the average value of its portfolio.

^(g)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 49% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 19

GMO Trust Funds

Notes to Financial Statements

August 31, 2016 (Unaudited)

1. Organization

Each of Foreign Fund, Foreign Small Companies Fund, and International Small Companies Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

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

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

Fund Name	Benchmark	Investment Objective
Foreign Fund	MSCI EAFE Index	Total return in excess of benchmark
Foreign Small Companies Fund	S&P Developed ex-U.S. Small Cap Index	Total return in excess of benchmark
International Small Companies Fund	S&P Developed ex-U.S. Small Cap Index	Total return in excess of benchmark

Foreign Small Companies Fund and International Small Companies Fund currently limits subscriptions.

2. Significant accounting policies

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

Portfolio valuation

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event 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. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted 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 or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2016, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets which 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 valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2016. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) in the table below.

20

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

“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 quoted price 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 the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether the Fund has a long position or a short position.

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 August 31, 2016 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)
Foreign Fund		—			95%
Foreign Small Companies Fund		—			90%
International Small Companies Fund		0%	§		90%

§ Represents the interest in securities that were determined to have a value of zero at August 31, 2016.

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 methodologies 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 August 31, 2016, 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.

21

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

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 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 August 31, 2016:

Description	Level 1		Level 2		Level 3		Total
Foreign Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	3,899,092	$	—	$	3,899,092
Belgium		—		2,629,452		—		2,629,452
China		—		1,701,775		—		1,701,775
Finland		—		1,484,892		—		1,484,892
France		—		18,091,738		—		18,091,738
Germany		—		7,604,047		—		7,604,047
Hong Kong		—		6,427,669		—		6,427,669
India		838,331		—		—		838,331
Israel		—		1,572,713		—		1,572,713
Italy		—		3,228,886		—		3,228,886
Japan		—		30,502,030		—		30,502,030
Mexico		397,694		—		—		397,694
Netherlands		—		1,625,831		—		1,625,831
South Africa		—		532,505		—		532,505
South Korea		—		2,385,279		—		2,385,279
Spain		—		3,141,495		—		3,141,495
Sweden		—		4,762,537		—		4,762,537
Switzerland		—		8,112,024		—		8,112,024
Taiwan		—		1,745,866		—		1,745,866
United Kingdom		—		34,961,543		—		34,961,543
TOTAL COMMON STOCKS		1,236,025		134,409,374		—		135,645,399
Mutual Funds
United States		2,985,554		—		—		2,985,554
TOTAL MUTUAL FUNDS		2,985,554		—		—		2,985,554
Short-Term Investments		2,553,746		—		—		2,553,746
Total Investments		6,775,325		134,409,374		—		141,184,699
Total	$	6,775,325	$	134,409,374	$	—	$	141,184,699

22

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Foreign Small Companies Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	4,617,712	$	—	$	—	$	4,617,712
Australia		—		58,045,768		—		58,045,768
Brazil		—		3,816,023		—		3,816,023
Canada		48,955,866		—		—		48,955,866
Finland		—		16,085,658		—		16,085,658
France		—		132,424,805		—		132,424,805
Germany		—		43,702,804		—		43,702,804
Hong Kong		—		7,054,271		—		7,054,271
India		—		3,340,401		—		3,340,401
Ireland		—		5,481,389		—		5,481,389
Israel		—		9,878,562		—		9,878,562
Italy		—		32,479,438		—		32,479,438
Japan		—		218,270,457		—		218,270,457
Mexico		10,550,857		—		—		10,550,857
Netherlands		—		14,401,103		—		14,401,103
New Zealand		—		2,398,530		—		2,398,530
Russia		—		7,550,172		—		7,550,172
Singapore		—		6,273,679		—		6,273,679
South Africa		—		3,537,398		—		3,537,398
South Korea		—		5,020,970		—		5,020,970
Sweden		—		20,568,708		—		20,568,708
Switzerland		—		87,189,002		—		87,189,002
Taiwan		—		8,732,777		—		8,732,777
Thailand		—		8,426,324		—		8,426,324
United Kingdom		—		157,115,886		—		157,115,886
TOTAL COMMON STOCKS		64,124,435		851,794,125		—		915,918,560
Mutual Funds
United States		23,374,533		—		—		23,374,533
TOTAL MUTUAL FUNDS		23,374,533		—		—		23,374,533
Short-Term Investments		10,473,385		—		—		10,473,385
Total Investments		97,972,353		851,794,125		—		949,766,478
Total	$	97,972,353	$	851,794,125	$	—	$	949,766,478

23

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Description	Level 1		Level 2		Level 3			Total
International Small Companies Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	1,129,988	$	—	$	—		$	1,129,988
Australia		—		14,294,567		—			14,294,567
Austria		—		—		0	§		0	§
Brazil		—		934,380		—			934,380
Canada		12,069,986		—		—			12,069,986
China		—		—		0	§		0	§
Finland		—		3,939,490		—			3,939,490
France		—		32,627,664		—			32,627,664
Germany		—		10,756,221		—			10,756,221
Hong Kong		—		1,727,466		—			1,727,466
India		—		839,084		—			839,084
Indonesia		—		157,562		—			157,562
Ireland		—		1,342,435		—			1,342,435
Israel		—		2,419,340		—			2,419,340
Italy		—		7,977,710		—			7,977,710
Japan		—		53,760,142		—			53,760,142
Mexico		2,695,077		—		—			2,695,077
Netherlands		—		3,526,915		—			3,526,915
New Zealand		—		587,419		—			587,419
Russia		—		1,898,090		—			1,898,090
Singapore		—		1,567,211		—			1,567,211
South Africa		—		893,823		—			893,823
South Korea		—		1,229,674		—			1,229,674
Sweden		—		5,120,365		—			5,120,365
Switzerland		—		21,702,572		—			21,702,572
Taiwan		—		2,137,583		0	§		2,137,583
Thailand		—		2,172,756		—			2,172,756
United Kingdom		—		39,208,640		—			39,208,640
TOTAL COMMON STOCKS		15,895,051		210,821,109		0	§		226,825,265
Rights/Warrants
Thailand		69,535		—		—			69,535
TOTAL RIGHTS/WARRANTS		69,535		—		—			69,535
Mutual Funds
United States		1,500,697		—		—			1,500,697
TOTAL MUTUAL FUNDS		1,500,697		—		—			1,500,697
Short-Term Investments		4,419,639		—		—			4,419,639
Total Investments		21,884,922		210,821,109		—			232,706,031
Total	$	21,884,922	$	210,821,109	$	0	§	$	232,706,031

§ Represents the interest in securities that were determined to have a value of zero at August 31, 2016.

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.

24

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

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

For all Funds for the period ended August 31, 2016, there were no significant transfers between Level 1 and Level 2.

The net aggregate direct and indirect exposure to investments in securities using Level 3 inputs (based on each Fund’s net assets) as of August 31, 2016 were as follows:

Fund Name	Level 3 securities and derivatives
Foreign Fund		—
Foreign Small Companies Fund		—
International Small Companies Fund		0%§

§ Represents the interest in securities that were determined to have a value of zero at August 31, 2016.

Cash

Cash and foreign currency, if any, on the Statements of Assets and Liabilities consist of cash balances held with the custodian.

Due to/from broker

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

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

Taxes and distributions

Each Fund has elected to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

The policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2016, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.

Certain Funds have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by member states of the European Union. Generally, the amount of such refunds that a Fund reasonably determines are collectible and free from significant contingencies are reflected in a Fund’s net asset value and are reflected as Dividends from unaffiliated issuers in the Statements of Operations. In certain circumstances, a Fund’s receipt of such refunds may cause the Fund and/or its shareholders to be liable for U.S. federal income taxes and interest charges.

25

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

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

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

As of February 29, 2016, certain Funds elected to defer to March 1, 2016 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)		Post-October Capital Losses ($)
Foreign Fund		—		(6,030,627)
Foreign Small Companies Fund		—		(20,779,658)
International Small Companies Fund		(50,574)		(1,264,827)

As of February 29, 2016, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 29, 2016, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

	Short-Term ($)				Total Short- Term ($)		Long- Term ($)
Fund Name	Expiration Date 2/28/2018		No Expiration Date				No Expiration Date
Foreign Fund		(12,719,749)		(5,941,515)		(18,661,264)		—
Foreign Small Companies Fund		—		—		—		—
International Small Companies Fund		—		(2,465,476)		(2,465,476)		(37,349)

As of August 31, 2016, 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		144,685,654		6,880,172		(10,381,127)		(3,500,955	)
Foreign Small Companies Fund		893,541,410		123,071,914		(66,846,846)		56,225,068
International Small Companies Fund		229,181,125		12,159,959		(8,635,053)		3,524,906

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., guidance

26

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

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

Security transactions and related investment income

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

Expenses and class allocations

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

Brown Brothers Harriman & Co. (“BBH”) serves as the Funds’ custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Funds’ transfer agent. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

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

Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. GMO also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

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

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

27

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

As of August 31, 2016, the premium on cash purchases and the fee on cash redemptions were as follows:

	Foreign Fund	Foreign Small Companies Fund	International Small Companies Fund
Purchase Premium	—	0.50%	0.50%
Redemption Fee	—	0.50%	0.50%

3. Investment and other risks

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

	Foreign Fund	Foreign Small Companies Fund	International Small Companies Fund
Counterparty Risk	X	X	X
Currency Risk	X	X	X
Derivatives and Short Sales Risk	X	X	X
Focused Investment Risk	X	X	X
Illiquidity Risk	X	X	X
Large Shareholder Risk	X	X	X
Leveraging Risk	X	X	X
Management and Operational Risk	X	X	X
Market Disruption and Geopolitical Risk	X	X	X
Market Risk – Equities	X	X	X
Non-Diversified Funds	X
Non-U.S. Investment Risk	X	X	X
Small Company Risk	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.

28

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Each Fund that invests in other GMO Funds or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the 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 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.

•  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. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws or other requirements. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (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 during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms 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. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty if the transaction is primarily designed to reduce the Fund’s overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty).

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 will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” 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. 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. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, with respect to counterparties who are subject to such proceedings in the European Union, the liabilities of such counterparties to the Funds could be reduced, eliminated, or converted to equity in such counterparties (sometimes referred to as a “bail in”).

• 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 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 currency in which the Fund is denominated. 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

29

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Fund may realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”

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

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 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”).

• DERIVATIVES AND SHORT SALES 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 their value may not change 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 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 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 cost 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 fundamental fair (or 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 a greater risk of not being able to recover what it is owed if the counterparty defaults. Even when derivatives are required by contract to be collateralized, a Fund typically will not receive the collateral for one or more days after the collateral is required to be posted.

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.

30

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). These derivatives are also subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. 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.”

A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives may be unclear because there is little case or other law interpreting the terms of most derivatives or determining their tax treatment. In addition, the Securities and Exchange Commission recently proposed a rule under the 1940 Act regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.

Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) are implementing similar requirements, which will affect a Fund when it enters into a derivatives transaction with a counterparty organized in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear.

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, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in margin requirements above those required at the outset 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 margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk”). 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. Also, such documentation typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks may be 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), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would

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need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components 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.

The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. GMO expects that the Funds’ transactions will become subject to variation margin requirements under such rules in 2017 and initial margin requirements under such rules in 2020. Such requirements could increase the amount of margin a Fund needs to provide in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.

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 or otherwise limiting liquidity. The implementation of the clearing requirement has increased the costs of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they have historically posted for bilateral derivatives. The costs of derivatives transactions are expected to increase further as clearing members raise their fees to cover the costs of additional capital requirements and other regulatory changes applicable to the clearing members, which will take effect when rules imposing mandatory minimum margin requirements on bilateral swaps, as described above, become effective. 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. The Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. 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 before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk 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 will likely constitute such a group. When applicable, these limits 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 taxes payable by shareholders. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to consist of amounts taxable to shareholders subject to U.S. income tax at ordinary income tax rates.

Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own also may have to pay borrowing fees to a broker and may be required to pay the broker any dividends or interest it receives on a borrowed security.

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.

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• FOCUSED INVESTMENT RISK. Funds with investments that are focused in particular countries, regions, sectors, industries or issuers that are subject to the same or similar risk factors and funds with investments whose prices are closely correlated are subject to greater overall risk than funds with investments that are more diversified or whose prices are not as closely correlated.

A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of particular securities than Funds investing in the securities of a larger number of issuers. 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 (or related) to a particular geographic region, country (e.g., Taiwan or Japan), or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) 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 the value of the currency of 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”.

• 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, defaulted or other low quality debt securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float adjusted 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 price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, 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.

A Fund may buy securities that are less liquid than those in its benchmark.

A Fund’s ability to use options as part of its investment program depends on the liquidity of the options market. In addition, that market may not be liquid when a 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 a 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 a Fund receives a redemption request and is unable to close out an option it has sold, the Fund may temporarily be leveraged in relation to its assets.

• LARGE SHAREHOLDER RISK. To the extent 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, potentially at disadvantageous prices, 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. The 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 Fund shareholders. Additionally, redemptions by a large shareholder 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, to the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this 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.

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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.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO 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 many Funds, GMO often uses quantitative models as part of its investment process. GMO’s models are not necessarily predictive of future market events and use simplifying assumptions that can limit their effectiveness. In addition, the data on which the models are based is subject to limitations (e.g. inaccuracies, staleness) that could adversely affect a Fund’s performance. The Funds also run the risk that GMO’s assessment of an investment (including a company’s fundamental fair (or intrinsic) value) 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 could prevent a Fund from benefiting from potential investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value (“NAV”) for a Fund or share class on a timely basis. 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 contractual limitations on their liability to the Funds for losses resulting from their errors.

The Funds and their service providers (including GMO) are susceptible to cyber-attacks and technological malfunctions that may have effects that are similar to those of a cyber-attack. 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 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 or misappropriation 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, such plans and systems are subject to inherent limitations. 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.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or other economic inputs (e.g., the marked decline in oil prices that began in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries, which could significantly reduce the value of a 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 manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trading practices, which could disrupt the orderly functioning of markets or reduce the value of investments traded in them, including investments of the Funds. Instances of fraud and other deceptive practices committed by senior management of certain companies in which a Fund invests may undermine GMO’s due diligence efforts with respect to such companies, and if such fraud is discovered, negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively impact a Fund’s investment program. Financial fraud also may impact the rates or indices underlying a Fund’s investments.

While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce 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 adversely 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. Uncertainty surrounding the sovereign debt of several European Union countries, as well as the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its

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currency or leaves the European Union or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could adversely 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 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.

• 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 price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the company’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from 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 their market prices can decline in a rapid or unpredictable manner. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as determined by GMO, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment of the equity’s fundamental fair (or intrinsic) value. 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.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers. 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 Fund is not a diversified investment company within the meaning of the 1940 Act:

• Foreign Fund

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Non-U.S. securities markets often include securities of only a small 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 as much regulation as U.S. issuers, and 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 may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek 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 seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if eligible. The outcome of a Fund’s efforts to obtain a refund may be unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until the Fund determines there is a high likelihood the refund will be received.

Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, other government involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises), 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.

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In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities 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 affect the market value of a Fund’s non-U.S. investments (see “Currency Risk”).

The Funds need a license to invest directly in many non-U.S. securities 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 to invest in a particular market is terminated or suspended, to obtain exposure to that 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 a GMO client 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 or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises); 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 enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may be predominantly based on only a few industries or dependent on revenues from particular commodities.

• SMALL COMPANY RISK. Companies with smaller market capitalizations may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, may have inexperienced managers or may depend on a smaller group of key employees as compared to larger companies. 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.

Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and 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.

4. Derivative financial instruments

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices that are used, 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

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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, 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 currencies in which its 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 August 31, 2016, 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		International Small Companies 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 settled.

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 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 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

37

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

excess of the variation margin as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. 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, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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

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

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

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation 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 in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or 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.

38

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

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

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

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

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

Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

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.

39

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

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

The risks referenced in the tables below 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 Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2016 and the Statements of Operations for the period ended August 31, 2016^:

	Credit Contracts		Commodity Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
GMO International Small Companies Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	—	$	69,535		$	—	$	—	$	—	$	69,535
Total	$	—	$	—	$	69,535		$	—	$	—	$	—	$	69,535
Derivatives not subject to Master Agreements		—		—		—			—		—		—		—
Total subject to Master Agreements	$	—	$	—	$	69,535		$	—	$	—	$	—	$	69,535
Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	—	$	(28,337	)	$	—	$	—	$	—	$	(28,337	)
Total	$	—	$	—	$	(28,337	)	$	—	$	—	$	—	$	(28,337	)
Change in Net Unrealized Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	—	$	69,366		$	—	$	—	$	—	$	69,366
Total	$	—	$	—	$	69,366		$	—	$	—	$	—	$	69,366

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

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because the Funds do not presently have a legally enforceable right of set-off, these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be made by a Fund in such an event is represented by the unrealized amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.

For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2016, if any.

40

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

The average derivative activity of market values (rights and/or warrants) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2016:

Fund Name	Rights and/or Warrants ($)
Foreign Fund		36,486*
Foreign Small Companies Fund		232,953*
International Small Companies Fund		78,424

* During the period ended August 31, 2016, the Fund did not hold this investment type at any month-end; therefore, the average amount outstanding was calculated using daily outstanding absolute values.

5. Fees and other transactions with affiliates

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

	Foreign Fund		Foreign Small Companies Fund		International Small Companies Fund
Management Fee		0.60%		0.70%		0.60%

In addition, each class of shares of certain Funds pays GMO a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholder service fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:

Fund Name	Class II		Class III		Class IV
Foreign Fund		0.22%		0.15%		0.09%
Foreign Small Companies Fund				0.15%		0.10%
International Small Companies Fund				0.15%

For each Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to the Manager.

“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

For each Fund that pays GMO a management fee, GMO has contractually agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.

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

These contractual waivers and reimbursements will continue through at least June 30, 2017 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.

41

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2016 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Foreign Fund		1,104		184
Foreign Small Companies Fund		7,322		736
International Small Companies Fund		1,932		184

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2016 these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:

Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Total Indirect Expenses
Foreign Fund		< 0.001%		0.000%		< 0.001%
Foreign Small Companies Fund		< 0.001%		0.000%		< 0.001%
International Small Companies Fund		< 0.001%		0.000%		< 0.001%

The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to insure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 2016, the Funds did not engage in these transactions.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, for the period ended August 31, 2016 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Foreign Fund		—		56,276,477		—		81,720,748
Foreign Small Companies Fund		—		244,762,792		—		302,320,445
International Small Companies Fund		—		286,731,822		—		326,175,808

7. Guarantees

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

42

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

8. Principal shareholders and related parties as of August 31, 2016

Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund		Percentage of outstanding shares of the Fund held by those shareholders owning the Fund greater than 10% of the outstanding shares		Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers		Percentage of the Fund’s shares held by accounts for which GMO has investment discretion
Foreign Fund		3		73.91%		1.29%		—
Foreign Small Companies Fund		3		71.19%		—		—
International Small Companies Fund		2		68.61%		0.05%		—

9. Share transactions

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

	Six Months Ended August 31, 2016 (Unaudited)						Year Ended February 29, 2016
	Shares			Amount			Shares			Amount
Foreign Fund
Class II:
Shares sold		175,707		$	1,936,347			67,258		$	775,061
Shares issued to shareholders in reinvestment of distributions		36,077			384,584			266,995			3,069,952
Shares repurchased		(1,163,283	)		(12,826,023	)		(2,489,243	)		(29,283,704	)
Net increase (decrease)		(951,499	)	$	(10,505,092	)		(2,154,990	)	$	(25,438,691	)
Class III:
Shares sold		—		$	—			2,643,774		$	29,943,507
Shares issued to shareholders in reinvestment of distributions		52,159			559,664			30,052			358,824
Shares repurchased		(1,500,617	)		(16,652,675	)		(7,377,328	)		(90,109,908	)
Net increase (decrease)		(1,448,458	)	$	(16,093,011	)		(4,703,502	)	$	(59,807,577	)
Class IV:
Shares sold		94,068		$	1,100,024			117,380		$	1,442,285
Shares issued to shareholders in reinvestment of distributions		1,896			20,913			65,209			775,219
Shares repurchased		(49,529	)		(571,027	)		(1,914,868	)		(21,590,229	)
Net increase (decrease)		46,435		$	549,910			(1,732,279	)	$	(19,372,725	)
Foreign Small Companies Fund
Class III:
Shares sold		—		$	—			3,746,746		$	48,707,693
Shares issued to shareholders in reinvestment of distributions		72,174			956,310			1,083,586			15,250,342
Shares repurchased		(1,215,677	)		(17,092,571	)		(3,493,135	)		(52,371,525	)
Purchase premiums		—			217			—			538
Redemption fees		—			120,930			—			115,287
Net increase (decrease)		(1,143,503	)	$	(16,015,114	)		1,337,197		$	11,702,335

43

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

	Six Months Ended August 31, 2016 (Unaudited)						Year Ended February 29, 2016
	Shares			Amount			Shares			Amount
Foreign Small Companies Fund (continued)
Class IV:
Shares sold		8,926		$	123,507			29,565		$	413,561
Shares issued to shareholders in reinvestment of distributions		158,927			2,101,006			2,608,099			36,602,731
Shares repurchased		(3,685,431	)		(50,419,425	)		(5,448,901	)		(73,901,525	)
Purchase premiums		—			388			—			1,305
Redemption fees		—			216,614			—			272,304
Net increase (decrease)		(3,517,578	)	$	(47,977,910	)		(2,811,237	)	$	(36,611,624	)
International Small Companies Fund
Class III#:
Shares sold		663,166		$	14,437,500			674,669	#	$	15,897,693
Shares issued to shareholders in reinvestment of distributions		14,463			299,374			275,878	#		5,902,470
Shares repurchased		(2,396,813	)		(52,062,263	)		(872,262	)#		(20,604,390	)
Purchase premiums		—			62,500			—			79,888
Redemption fees		—			250,271			—			103,022
Net increase (decrease)		(1,719,184	)	$	(37,012,618	)		78,285	#	$	1,378,683

# Shares were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

10. Investments in affiliated issuers

A summary of the Funds’ transactions in the shares of other funds of GMO Trust during the period ended August 31, 2016 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	$	2,474,385	$	7,509,179	$	7,000,000	$	9,003	$	175	$	2,985,554
Foreign Small Companies Fund
GMO U.S. Treasury Fund	$	28,295,639	$	30,061,972	$	35,000,000	$	61,225	$	747	$	23,374,533
International Small Companies Fund
GMO U.S. Treasury Fund	$	3,326,167	$	19,000,000	$	20,825,000	$	9,902	$	176	$	1,500,697

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2016 through August 31, 2016. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2017.

11. Subsequent events

Subsequent to August 31, 2016, GMO International Small Companies Fund received redemption requests in the amount of $80,042,559.

44

GMO Trust Funds

Board Review of Investment Management Agreements

August 31, 2016 (Unaudited)

GMO Foreign Fund

Approval of renewal of management agreement for GMO Foreign Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its other pooled investment vehicles and/or separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and/or accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

45

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

GMO Foreign Small Companies Fund

Approval of renewal of management agreement for GMO Foreign Small Companies Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

46

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

GMO International Small Companies Fund

Approval of renewal of management agreement for GMO International Small Companies Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

47

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2016 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2016.

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2016 through August 31, 2016.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Actual						Hypothetical
	Beginning Account Value March 1, 2016		Ending Account Value August 31, 2016		Expenses Paid During the Period*		Beginning Account Value March 1, 2016		Ending Account Value August 31, 2016		Expenses Paid During the Period*		Annualized Expense Ratio
Foreign Fund
Class II		$1,000.00		$1,090.10		$4.48		$1,000.00		$1,020.92		$4.33		0.85%
Class III		$1,000.00		$1,091.00		$4.11		$1,000.00		$1,021.27		$3.97		0.78%
Class IV		$1,000.00		$1,090.90		$3.79		$1,000.00		$1,021.58		$3.67		0.72%
Foreign Small Companies Fund
Class III		$1,000.00		$1,106.60		$4.57		$1,000.00		$1,020.87		$4.38		0.86%
Class IV		$1,000.00		$1,107.10		$4.30		$1,000.00		$1,021.12		$4.13		0.81%
International Small Companies Fund
Class III		$1,000.00		$1,102.70		$4.08		$1,000.00		$1,021.32		$3.92		0.77%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2016, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

48

GMO Trust

Semiannual Report

August 31, 2016

Developed World Stock Fund

International Equity Fund

International Large/Mid Cap Equity Fund

Quality Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities Fund

U.S. Equity Allocation Fund

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

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

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

An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market risk-equities, management and operational risk, non-U.S. investment risk, small company risk and derivatives risk.

The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.

TABLE OF CONTENTS

Developed World Stock Fund
Investment Concentration Summary	1
Schedule of Investments	2
International Equity Fund
Investment Concentration Summary	10
Schedule of Investments	11
International Large/Mid Cap Equity Fund
Investment Concentration Summary	18
Schedule of Investments	19
Quality Fund
Investment Concentration Summary	23
Schedule of Investments	24
Resources Fund
Investment Concentration Summary	26
Schedule of Investments	27
Risk Premium Fund
Investment Concentration Summary	30
Schedule of Investments	31
Tax-Managed International Equities Fund
Investment Concentration Summary	32
Schedule of Investments	33
U.S. Equity Allocation Fund
Investment Concentration Summary	40
Schedule of Investments	41
Portfolio and Currency Abbreviations	44
Fund Financial Statements:
Statements of Assets and Liabilities	45
Statements of Operations	49
Statements of Changes in Net Assets	51
Financial Highlights	55
Notes to Financial Statements	63
Board Review of Investment Management Agreements	102
Fund Expenses	111

GMO Developed World Stock Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.6	%
Short-Term Investments		2.3
Preferred Stocks		0.9
Rights/Warrants		0.0	^
Other		0.2
		100.0	%
Country Summary¤	% of Investments
United States		44.6	%
Japan		13.8
United Kingdom		7.9
Germany		5.3
France		5.1
Other Developed		3.5	‡
Canada		2.6
Switzerland		2.5
Other Emerging		2.2	†
Australia		2.2
Netherlands		1.9
Hong Kong		1.3
Taiwan		1.3
South Korea		1.2
China		1.2
Spain		1.2
Italy		1.1
Russia		1.1
		100.0	%

& The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

^ Rounds to 0.0%.

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

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

Industry Group Summary	% of Equity Investments#
Banks		9.1	%
Insurance		8.4
Energy		7.8
Pharmaceuticals, Biotechnology & Life Sciences		6.8
Telecommunication Services		6.7
Automobiles & Components		6.2
Capital Goods		5.9
Technology Hardware & Equipment		5.8
Materials		5.0
Food, Beverage & Tobacco		4.8
Transportation		4.2
Software & Services		3.8
Retailing		3.5
Real Estate		3.3
Utilities		2.9
Consumer Durables & Apparel		2.7
Diversified Financials		2.6
Food & Staples Retailing		2.4
Commercial & Professional Services		1.8
Health Care Equipment & Services		1.5
Media		1.5
Semiconductors & Semiconductor Equipment		1.4
Household & Personal Products		1.3
Consumer Services		0.6
		100.0	%

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

1

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 75.8%
		Australia — 2.1%
	41,338	Adelaide Brighton Ltd		162,862
	4,214	Challenger Ltd		29,056
	8,642	CIMIC Group Ltd		191,910
	61,350	Dexus Property Group (REIT)		447,520
	37,101	Downer EDI Ltd		136,381
	82,150	Fairfax Media Ltd		60,727
	1,969	Flight Centre Travel Group Ltd		54,455
	4,120	Goodman Group (REIT)		23,459
	107,533	GPT Group (The) (REIT)		430,121
	11,274	Investa Office Fund (REIT)		38,592
	217,010	Mirvac Group (REIT)		377,697
	76,762	OZ Minerals Ltd		368,272
	426,094	Scentre Group (REIT)		1,589,622
	26,843	Sonic Healthcare Ltd		463,375
	85,512	Star Entertainment Grp Ltd (The)		378,624
	24,333	Stockland (REIT)		88,585
	236,261	Telstra Corp Ltd		932,975
	20,718	Westfield Corp (REIT)		158,906
	11,340	Woodside Petroleum Ltd		242,945
	13,005	WorleyParsons Ltd *		79,218
		Total Australia		6,255,302
		Austria — 0.3%
	573	Oesterreichische Post AG *		20,581
	18,679	OMV AG		523,390
	6,828	voestalpine AG		226,296
		Total Austria		770,267
		Belgium — 0.1%
	1,226	Ageas		42,513
	7,004	AGFA-Gevaert NV *		22,212
	9,679	bpost SA		246,317
	404	Groupe Bruxelles Lambert SA		35,481
		Total Belgium		346,523
		Brazil — 0.3%
	8,330	Banco Bradesco SA		75,066
	70,600	Banco do Brasil SA		507,440
	73,700	BM&FBovespa SA – Bolsa de Valores Mercadorias e Futuros		408,760
	8,900	EDP-Energias do Brasil SA		39,412
		Total Brazil		1,030,678
		Canada — 2.6%
	18,200	Air Canada *		124,350
	9,800	Alimentation Couche-Tard Inc – Class B		505,394
	3,900	Bank of Montreal		258,672
	40,800	BCE Inc		1,906,219

Shares		Description	Value ($)
		Canada — continued
	700	BCE Inc		32,690
	2,500	Canadian Imperial Bank of Commerce		198,452
	3,600	Canadian National Railway Co		231,334
	1,400	Canadian Tire Corp Ltd – Class A		143,406
	200	CCL Industries Inc – Class B		38,165
	7,500	Celestica Inc *		79,953
	12,300	CGI Group Inc – Class A *		598,680
	24,100	CI Financial Corp		471,745
	400	Cogeco Communications Inc		19,353
	6,000	Emera Inc		218,469
	42,300	IAMGOLD Corp *		156,916
	2,900	Magna International Inc		116,783
	36,400	Metro Inc		1,236,279
	2,000	Power Corp of Canada		42,275
	20,600	Sun Life Financial Inc		650,014
	1,800	Toromont Industries Ltd		54,464
	8,500	Toronto-Dominion Bank (The)		379,305
	11,100	Transcontinental Inc – Class A		162,513
	2,800	WestJet Airlines Ltd		51,670
		Total Canada		7,677,101
		China — 1.2%
	29,500	Anhui Conch Cement Co Ltd – Class H		82,624
	11,000	ANTA Sports Products Ltd		29,705
	155,000	Belle International Holdings Ltd		100,469
	323,000	China Communications Construction Co Ltd – Class H		350,978
	212,000	China Communications Services Corp Ltd – Class H		124,445
	44,000	China Everbright Ltd		91,057
	192,000	China Jinmao Holdings Group Ltd		59,734
	19,000	China Machinery Engineering Corp – Class H		11,539
	19,000	China Mengniu Dairy Co Ltd		35,923
	530,000	China National Building Material Co Ltd – Class H		238,484
	162,000	China Petroleum & Chemical Corp – Class H		115,789
	100,500	China Railway Construction Corp Ltd – Class H		122,651
	95,000	China Railway Group Ltd – Class H		70,179
	112,000	China Resources Power Holdings Co Ltd		192,913
	102,500	China Shenhua Energy Co Ltd – Class H		183,555
	457,060	China Telecom Corp Ltd – Class H		235,509
	44,000	China Travel International Investment Hong Kong Ltd		12,904
	118,000	CNOOC Ltd		142,358
	152,000	Dongfeng Motor Group Co Ltd – Class H		162,010
	21,500	Fosun International Ltd		29,685
	65,000	Geely Automobile Holdings Ltd		51,996
	67,000	Greentown China Holdings Ltd *		54,581
	100,000	Guangdong Investment Ltd		154,416
	138,400	Guangzhou R&F Properties Co Ltd – Class H		233,247

2 See accompanying notes to the financial statements.

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		China — continued
	40,000	Huabao International Holdings Ltd *		15,390
	106,000	Huaneng Power International Inc – Class H		64,587
	42,000	Kunlun Energy Co Ltd		30,801
	47,000	Lee & Man Paper Manufacturing Ltd		37,857
	59,000	People’s Insurance Co Group of China Ltd (The) – Class H		23,632
	78,000	Shimao Property Holdings Ltd		108,255
	84,500	Sino-Ocean Land Holdings Ltd		39,122
	27,000	Sinopec Engineering Group Co Ltd – Class H		22,341
	158,719	Skyworth Digital Holdings Ltd		117,285
	19,000	TravelSky Technology Ltd – Class H		41,184
	16,000	Zhejiang Expressway Co Ltd – Class H		17,820
		Total China		3,405,025
		Czech Republic — 0.1%
	9,175	CEZ AS		160,147
	510	Komercni Banka as		17,248
		Total Czech Republic		177,395
		Denmark — 0.3%
	78	AP Moeller – Maersk A/S – Class A		111,310
	420	AP Moeller – Maersk A/S – Class B		628,304
	1,419	Carlsberg A/S – Class B		133,203
		Total Denmark		872,817
		Finland — 0.3%
	5,701	Neste Oyj		237,459
	165	Sampo Oyj – A Shares		7,097
	32,659	UPM – Kymmene Oyj		656,445
		Total Finland		901,001
		France — 5.1%
	11,161	Air France-KLM *		61,433
	920	APERAM SA		38,097
	169,295	AXA SA		3,563,197
	19,123	BNP Paribas SA		976,621
	1,112	Carrefour SA		28,060
	4,814	Christian Dior SE		834,222
	11,490	Cie Generale des Etablissements Michelin		1,224,792
	19,151	CNP Assurances		308,916
	3,173	M6-Metropole Television SA		56,354
	6,790	Peugeot SA *		100,511
	16,106	Rexel SA		259,443
	329	Sanofi		25,388
	11,018	SCOR SE		325,088
	1,213	Societe BIC SA		177,249
	14,997	Societe Generale SA		547,536
	5,703	Suez		86,476
	110,884	TOTAL SA		5,297,637

Shares		Description	Value ($)
		France — continued
	45,264	Vivendi SA		876,705
		Total France		14,787,725
		Germany — 4.9%
	12,976	ADVA Optical Networking SE *		110,720
	18,609	Allianz SE (Registered)		2,766,358
	27,562	BASF SE		2,235,707
	15,985	Bayerische Motoren Werke AG		1,388,982
	205	Bechtle AG		22,873
	56,696	Daimler AG (Registered)		3,924,549
	68,007	Deutsche Lufthansa AG (Registered)		791,103
	6,225	Evonik Industries AG		208,876
	1,487	Fraport AG Frankfurt Airport Services Worldwide		82,868
	1,227	Fresenius SE & Co KGaA		89,447
	6,432	Hannover Rueck SE		657,536
	1,467	HeidelbergCement AG		136,136
	3,994	Muenchener Rueckversicherungs AG (Registered)		721,241
	12,651	ProSiebenSat.1 Media SE		545,844
	4,360	RHOEN-KLINIKUM AG		128,898
	429	RTL Group SA		36,115
	6,847	Software AG		272,231
	4,968	STADA Arzneimittel AG		266,420
	1,033	Talanx AG		30,238
		Total Germany		14,416,142
		Hong Kong — 1.3%
	116,500	BOC Hong Kong Holdings Ltd		406,745
	27,500	CK Hutchison Holdings Ltd		352,837
	33,200	Dah Sing Banking Group Ltd		60,924
	15,500	Henderson Land Development Co Ltd		90,435
	66,600	Hongkong Land Holdings Ltd		431,654
	55,000	Hysan Development Co Ltd		265,194
	86,500	Kerry Properties Ltd		251,216
	75,000	Link REIT		544,794
	17,000	Luk Fook Holdings International Ltd		38,753
	26,000	New World Development Co Ltd		32,513
	30,000	Pacific Textiles Holdings Ltd		39,423
	399,000	SJM Holdings Ltd		250,316
	27,500	Swire Pacific Ltd – Class A		303,380
	20,000	Techtronic Industries Co Ltd		81,015
	34,000	Wharf Holdings Ltd (The)		239,616
	40,000	Wheelock & Co Ltd		228,405
	12,500	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		2,578
	96,000	Xinyi Glass Holdings Ltd *		82,524
		Total Hong Kong		3,702,322

See accompanying notes to the financial statements. 3

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Hungary — 0.0%
	21,718	Magyar Telekom Telecommunications Plc		33,864
	3,333	Richter Gedeon Nyrt		68,375
		Total Hungary		102,239
		India — 0.0%
	11,878	Indiabulls Housing Finance Ltd		145,023
		Ireland — 0.1%
	5,252	CRH Plc		176,515
		Israel — 0.7%
	59,015	Bank Hapoalim BM		316,861
	71,905	Bank Leumi Le-Israel BM *		269,449
	15,505	Bezeq The Israeli Telecommunication Corp Ltd		31,164
	13,400	Check Point Software Technologies Ltd *		1,028,316
	28,192	Israel Discount Bank Ltd – Class A *		50,911
	1,515	Mizrahi Tefahot Bank Ltd		18,287
	7,000	Teva Pharmaceutical Industries Ltd Sponsored ADR		352,730
		Total Israel		2,067,718
		Italy — 1.1%
	46,855	Banca Mediolanum SPA		325,519
	193,447	Enel SPA		854,830
	65,939	ENI SPA		995,423
	1,970	EXOR SPA		81,004
	17,201	Fiat Chrysler Automobiles NV		118,968
	52,375	Hera SPA		145,193
	6,620	Poste Italiane SPA		46,164
	14,815	Recordati SPA		448,398
	1,971	Rizzoli Corriere Della Sera Mediagroup SPA *		2,135
	47,700	Snam SPA		264,755
	2,400	Societa Cattolica di Assicurazioni SCRL		13,908
		Total Italy		3,296,297
		Japan — 13.8%
	900	Ain Holdings Inc		51,111
	3,600	Aisin Seiki Co Ltd		170,289
	4,200	Aoyama Trading Co Ltd		136,423
	600	Asahi Breweries Ltd		19,631
	5,000	Asahi Kasei Corp		42,242
	4,600	Asatsu-DK Inc		112,898
	3,500	Autobacs Seven Co Ltd		48,523
	2,200	Bandai Namco Holdings Inc		60,136
	9,200	Bridgestone Corp		316,415
	24,000	Calsonic Kansei Corp		189,106
	21,200	Canon Inc		607,924
	8,700	Central Japan Railway Co		1,430,641
	13,000	Chiba Bank Ltd (The)		77,216

Shares		Description	Value ($)
		Japan — continued
	4,000	Coca-Cola West Co Ltd		90,722
	3,900	Concordia Financial Group Ltd *		20,163
	10,400	Daicel Corp		132,898
	900	Daito Trust Construction Co Ltd		132,574
	15,000	Daiwa House Industry Co Ltd		387,515
	12,000	Daiwabo Holdings Co Ltd		25,532
	14,000	DCM Holdings Co Ltd		106,710
	44,000	Denka Co Ltd		186,017
	2,900	DIC Corp		88,366
	18,100	Fuji Heavy Industries Ltd		720,420
	42,500	FUJIFILM Holdings Corp		1,599,291
	7,000	Fujikura Ltd		39,358
	7,000	Fujitsu General Ltd		142,397
	4,000	Fukuoka Financial Group Inc		16,963
	1,100	Geo Holdings Corp		14,013
	1,400	Haseko Corp		13,270
	3,400	Hitachi Capital Corp		70,854
	5,400	Honda Motor Co Ltd		166,353
	2,500	Horiba Ltd		116,314
	6,300	Idemitsu Kosan Co Ltd		114,801
	2,600	Isuzu Motors Ltd		29,988
	247,200	ITOCHU Corp		2,919,162
	500	Jafco Co Ltd		14,598
	35,300	Japan Airlines Co Ltd		1,077,431
	6,300	K’s Holdings Corp		99,480
	23,000	Kaneka Corp		187,845
	14,000	Kanematsu Corp		20,583
	151,000	KDDI Corp		4,414,429
	3,800	Keihin Corp		58,433
	1,800	Kewpie Corp		49,486
	9,300	Konica Minolta Inc		84,013
	4,600	Kuraray Co Ltd		65,826
	1,200	Kuroda Electric Co Ltd		22,552
	113,900	Marubeni Corp		568,395
	11,000	Medipal Holdings Corp		174,217
	80,700	Mitsubishi Chemical Holdings Corp		510,666
	2,100	Mitsubishi Motors Corp		9,603
	598,900	Mitsubishi UFJ Financial Group Inc		3,299,056
	10,600	Mitsubishi UFJ Lease & Finance Co Ltd		49,778
	68,200	Mitsui & Co Ltd		908,085
	461,500	Mizuho Financial Group Inc		804,084
	2,400	NHK Spring Co Ltd		22,654
	1,100	Nifco Inc		55,457
	4,000	Nippon Corp		72,493
	9,000	Nippon Paper Industries Co Ltd		166,746
	83,300	Nippon Telegraph & Telephone Corp		3,662,624
	95,000	Nippon Yusen KK		173,231
	13,000	Nishi-Nippon City Bank Ltd (The)		27,074
	45,763	Nissan Motor Co Ltd		449,645
	200	Nitori Holdings Co Ltd		20,245

4 See accompanying notes to the financial statements.

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	1,000	NOK Corp		20,363
	2,000	Nomura Real Estate Holdings Inc		32,618
	32,500	NTT DOCOMO Inc		819,627
	3,100	Open House Co Ltd		67,037
	13,100	Orient Corp *		26,129
	22,700	ORIX Corp		327,128
	28,000	Otsuka Holdings Co Ltd		1,214,181
	1,500	Pola Orbis Holdings Inc		119,805
	21,900	Resona Holdings Inc		100,296
	20,300	Ricoh Co Ltd		183,356
	27,300	Sekisui Chemical Co Ltd		382,249
	39,200	Sekisui House Ltd		632,446
	2,000	Shimadzu Corp		31,371
	200	Shimamura Co Ltd		23,152
	333,900	Sojitz Corp		800,859
	9,000	Sumitomo Chemical Co Ltd		41,290
	45,500	Sumitomo Corp		493,710
	14,100	Sumitomo Forestry Co Ltd		190,877
	129,800	Sumitomo Mitsui Financial Group Inc		4,540,679
	55,000	Sumitomo Mitsui Trust Holdings Inc		197,352
	48,000	Sumitomo Osaka Cement Co Ltd		217,364
	16,000	Sumitomo Rubber Industries Ltd		237,855
	2,900	Sundrug Co Ltd		210,100
	1,600	Suzuken Co Ltd		46,457
	8,000	Takashimaya Co Ltd		58,601
	7,300	Toho Holdings Co Ltd		141,916
	4,400	Tokai Rika Co Ltd		87,277
	11,500	Tokyo Electric Power Co Holdings Inc *		46,349
	54,000	Tosoh Corp		333,159
	18,700	Toyota Tsusho Corp		428,211
	6,100	TS Tech Co Ltd		141,879
	300	Tsuruha Holdings Inc		29,409
	38,000	Ube Industries Ltd		69,177
	2,400	Valor Holdings Co Ltd		64,801
	32,100	Yamada Denki Co Ltd		150,171
	6,000	Yamaguchi Financial Group Inc		63,396
	7,500	Yokohama Rubber Co Ltd (The)		122,058
		Total Japan		40,157,670
		Mexico — 0.1%
	14,300	Arca Continental SAB de CV		89,283
	4,240	Gruma SAB de CV – Class B		56,368
	3,500	Grupo Aeroportuario del Pacifico SAB de CV – Class B		34,801
	45,900	Wal-Mart de Mexico SAB de CV		104,849
		Total Mexico		285,301
		Netherlands — 1.9%
	2,297	Aalberts Industries NV		77,200
	6,400	AerCap Holdings NV *		255,808

Shares		Description	Value ($)
		Netherlands — continued
	1,500	AVG Technologies NV *		37,290
	2,736	Heineken Holding NV		220,551
	94,679	Koninklijke Ahold Delhaize NV		2,272,935
	88,943	PostNL NV *		390,060
	2,851	Randstad Holdings NV		134,888
	11,013	TomTom NV *		101,441
	21,347	Unilever NV CVA		982,199
	25,368	Wolters Kluwer NV		1,067,156
		Total Netherlands		5,539,528
		New Zealand — 0.0%
	6,215	Fletcher Building Ltd		47,748
		Norway — 0.9%
	5,884	Bakkafrost P/F		211,103
	5,194	BW LPG Ltd		13,691
	15,916	DNB ASA		193,018
	40,363	Orkla ASA		369,382
	54,999	Statoil ASA		862,814
	24,977	Storebrand ASA *		105,488
	17,831	Telenor ASA		310,956
	13,537	Yara International ASA		479,386
		Total Norway		2,545,838
		Poland — 0.1%
	1,622	Asseco Poland SA		23,666
	11,184	KGHM Polska Miedz SA *		209,645
	9,660	PGE Polska Grupa Energetyczna SA		28,541
		Total Poland		261,852
		Portugal — 0.1%
	23,296	CTT-Correios de Portugal SA		171,113
	40,873	EDP-Energias de Portugal SA		137,318
		Total Portugal		308,431
		Russia — 1.1%
	609,710	Gazprom PJSC		1,259,055
	200,295	Gazprom PJSC Sponsored ADR		809,857
	14,896	Lukoil PJSC Sponsored ADR		667,577
	68,129	Rosneft PJSC GDR (Registered)		355,720
	5,963	Tatneft PAO Sponsored ADR		175,848
		Total Russia		3,268,057
		Singapore — 0.2%
	23,700	CapitaLand Commercial Trust Ltd (REIT)		26,852
	92,700	CapitaLand Mall Trust (REIT)		146,885
	19,400	SATS Ltd		67,039
	374,900	Yangzijiang Shipbuilding Holdings Ltd		210,169
		Total Singapore		450,945

See accompanying notes to the financial statements. 5

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		South Africa — 0.5%
	44,814	African Bank Investments Ltd * (a)		3
	8,754	AVI Ltd		53,026
	3,516	Barclays Africa Group Ltd		35,647
	14,414	Barloworld Ltd		81,600
	14,847	Bidvest Group Ltd (The)		153,557
	2,638	Clicks Group Ltd		21,703
	2,736	Hyprop Investments Ltd (REIT)		23,949
	800	Imperial Holdings Ltd		8,589
	2,396	Kumba Iron Ore Ltd *		21,817
	3,724	Liberty Holdings Ltd		28,526
	11,178	MMI Holdings Ltd		17,183
	5,143	Mondi Ltd		103,921
	5,541	Nedbank Group Ltd		77,900
	7,615	RMB Holdings Ltd		30,488
	13,088	Sasol Ltd		330,398
	2,828	Sibanye Gold Ltd Sponsored ADR		43,636
	7,719	Telkom South Africa Ltd		31,960
	27,202	Truworths International Ltd		140,984
	18,269	Vodacom Group Ltd		190,149
		Total South Africa		1,395,036
		South Korea — 1.0%
	263	Coway Co Ltd		19,644
	505	Dongbu Insurance Co Ltd		30,534
	175	E-MART Inc		24,689
	1,546	Hana Financial Group Inc		40,492
	847	Hankook Tire Co Ltd		42,361
	3,148	Hankook Tire Worldwide Co Ltd		60,317
	2,075	Hanwha Corp		68,059
	2,121	Hyundai Mobis Co Ltd		494,275
	3,003	Hyundai Motor Co		357,740
	12,687	Industrial Bank of Korea		133,469
	2,783	KB Financial Group Inc		97,099
	12,850	Kia Motors Corp		483,037
	1,284	Korean Reinsurance Co		13,758
	745	KT&G Corp		78,106
	337	LG Display Co Ltd		9,040
	472	Samsung Electronics Co Ltd		684,621
	92	Samsung Electronics Co Ltd GDR		66,574
	1,232	SK Innovation Co Ltd		159,907
	8,027	Woori Bank		76,270
		Total South Korea		2,939,992
		Spain — 1.2%
	13,675	Ebro Foods SA		306,126
	953	Enagas SA		28,006
	62,484	Endesa SA		1,273,351
	88,713	Iberdrola SA		584,346
	45,336	International Consolidated Airlines Group SA		228,298

Shares		Description	Value ($)
		Spain — continued
	22,160	Mapfre SA		60,103
	66,194	Repsol SA		889,208
		Total Spain		3,369,438
		Sweden — 0.6%
	18,471	Axfood AB		327,824
	1,033	Bonava AB – B Shares *		12,453
	3,843	Fastighets AB Balder – B Shares *		107,249
	3,563	Intrum Justitia AB		112,389
	1,033	NCC AB – B Shares		25,741
	5,675	Sandvik AB		61,560
	2,817	Skanska AB – B Shares		61,666
	136,566	Telefonaktiebolaget LM Ericsson – B Shares		972,660
		Total Sweden		1,681,542
		Switzerland — 2.5%
	6,516	Adecco Group AG (Registered)		375,385
	744	Baloise Holding AG (Registered)		88,639
	253	Cembra Money Bank AG *		18,329
	87	dorma & kaba Holding AG – Class B (Registered)		68,334
	452	EMS-Chemie Holding AG (Registered)		240,696
	4,628	Kuehne & Nagel International AG (Registered)		646,603
	122	LafargeHolcim Ltd (Registered)		6,477
	3,640	Roche Holding AG		888,525
	18	Sika AG		85,821
	1,392	Swiss Life Holding AG (Registered) *		348,996
	50,940	Swiss Re AG		4,304,768
	471	Zurich Insurance Group AG *		120,608
		Total Switzerland		7,193,181
		Taiwan — 1.2%
	11,000	Asustek Computer Inc		92,909
	14,000	Catcher Technology Co Ltd *		100,423
	137,047	E.Sun Financial Holding Co Ltd		77,000
	24,494	Foxconn Technology Co Ltd *		68,603
	177,000	Fubon Financial Holding Co Ltd		249,855
	34,100	Highwealth Construction Corp		52,950
	352,600	Hon Hai Precision Industry Co Ltd		975,319
	4,202	Hon Hai Precision Industry Co Ltd GDR (Registered)		22,893
	70,092	Hua Nan Financial Holdings Co Ltd – Class C		36,079
	271,000	Innolux Corp		95,452
	107,000	Inventec Corp		79,240
	145,699	Lite-On Technology Corp		220,129
	11,538	Lite-On Technology Corp GDR (a)		173,963
	86,000	Mega Financial Holding Co Ltd		58,477
	175,000	Pegatron Corp		422,236
	45,000	Pou Chen Corp		65,081

6 See accompanying notes to the financial statements.

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	26,000	Radiant Opto-Electronics Corp		42,587
	144,082	Shin Kong Financial Holding Co Ltd *		31,548
	11,000	Simplo Technology Co Ltd		36,165
	75,065	Taishin Financial Holding Co Ltd		28,355
	19,000	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		546,060
	31,000	Uni-President Enterprises Corp		58,492
	214,000	United Microelectronics Corp		77,593
	81,000	Yuanta Financial Holding Co Ltd		28,665
		Total Taiwan		3,640,074
		Thailand — 0.0%
	154,100	Krung Thai Bank Pcl NVDR		84,496
		Turkey — 0.7%
	127,096	Eregli Demir ve Celik Fabrikalari TAS		191,214
	42,062	KOC Holding AS		182,571
	12,798	TAV Havalimanlari Holding AS		49,894
	8,107	Tupras-Turkiye Petrol Rafineriler AS		158,725
	143,122	Turk Hava Yollari AO *		249,547
	13,365	Turk Telekomunikasyon AS		26,973
	14,368	Turkcell Iletisim Hizmetleri AS *		48,157
	113,118	Turkiye Halk Bankasi AS		339,495
	276,434	Turkiye Is Bankasi – Class C		449,434
	192,699	Turkiye Vakiflar Bankasi TAO – Class D		283,354
		Total Turkey		1,979,364
		United Kingdom — 7.8%
	75,490	AstraZeneca Plc		4,872,955
	3,750	Bellway Plc		114,777
	21,956	Berkeley Group Holdings Plc (The)		770,365
	6,119	Bovis Homes Group Plc		72,035
	44,642	British American Tobacco Plc		2,769,707
	1,600	British American Tobacco Plc Sponsored ADR		198,704
	24,856	Carillion Plc		84,932
	331,843	Centrica Plc		1,014,699
	26,309	Compass Group Plc		497,963
	14,985	Crest Nicholson Holdings Plc		91,528
	19,518	Direct Line Insurance Group Plc		94,791
	4,295	Galliford Try Plc		64,053
	65,804	GlaxoSmithKline Plc		1,416,447
	15,580	GlaxoSmithKline Plc Sponsored ADR		677,107
	5,499	Hammerson Plc (REIT)		41,891
	36,477	Henderson Group Plc		114,248
	75,393	Home Retail Group Plc		158,030
	43,200	HSBC Holdings Plc		320,483
	24,900	HSBC Holdings Plc		185,129
	7,129	Hunting Plc		43,495
	33,265	Imperial Brands Plc		1,744,860

Shares		Description	Value ($)
		United Kingdom — continued
	40,524	Inchcape Plc		373,469
	37,938	Indivior Plc		156,609
	7,054	Intermediate Capital Group Plc		55,156
	54,888	J Sainsbury Plc		173,212
	15,748	Jupiter Fund Management Plc		86,716
	196,303	Kingfisher Plc		957,382
	40,245	Legal & General Group Plc		111,322
	8,459	LG Group Holdings Plc		105,660
	2,294	Mondi Plc		46,679
	16,513	National Grid Plc		227,252
	47,845	Persimmon Plc		1,146,113
	982	Playtech Plc		11,750
	19,429	Reckitt Benckiser Group Plc		1,876,816
	67,954	Royal Mail Plc		458,562
	12,149	Royal Dutch Shell Plc A Shares (London)		296,918
	7,542	Sage Group Plc (The)		71,859
	12,049	WH Smith Plc		241,155
	22,486	WM Morrison Supermarkets Plc		58,183
	46,202	WPP Plc		1,066,710
		Total United Kingdom		22,869,722
		United States — 21.6%
	8,400	3M Co.		1,505,616
	3,600	Activision Blizzard, Inc.		148,932
	6,900	Aflac, Inc.		511,842
	10,400	AGCO Corp.		504,816
	300	Alphabet, Inc. – Class C *		230,115
	700	Altisource Portfolio Solutions SA *		22,806
	16,400	Amdocs Ltd.		985,968
	600	American National Insurance Co.		70,092
	3,700	Anthem, Inc.		462,796
	2,000	Apollo Commercial Real Estate Finance, Inc.		32,600
	6,700	Apple, Inc.		710,870
	1,700	AptarGroup, Inc.		132,566
	104	Ares Capital Corp.		1,681
	10,800	ARMOUR Residential REIT, Inc.		240,192
	15,900	Arrow Electronics, Inc. *		1,046,697
	23,800	Assured Guaranty Ltd.		660,926
	3,000	AT&T, Inc.		122,640
	1,500	Atlas Air Worldwide Holdings, Inc. *		55,710
	1,000	Atmos Energy Corp.		73,700
	14,800	Avery Dennison Corp.		1,146,112
	2,800	Avista Corp.		113,736
	23,600	Avnet, Inc.		983,648
	26,502	Bed Bath & Beyond, Inc.		1,228,898
	1,100	BGC Partners, Inc. – Class A		9,647
	900	Booz Allen Hamilton Holding Corp.		27,324
	800	CACI International, Inc. – Class A *		79,488
	8,700	California Resources Corp.		86,391

See accompanying notes to the financial statements. 7

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	15,100	Capital One Financial Corp.		1,081,160
	6,600	Cash America International, Inc.		287,298
	1,700	CatchMark Timber Trust, Inc. (REIT) – Class A		19,890
	300	Cheesecake Factory, Inc. (The)		15,423
	800	Chemed Corp.		107,944
	2,000	Chemical Financial Corp.		92,460
	1,100	Chemours Co. (The)		14,509
	13,000	Chimera Investment Corp. (REIT)		214,370
	7,000	Cintas Corp.		822,570
	63,400	Cisco Systems, Inc.		1,993,296
	33,800	Citigroup, Inc.		1,613,612
	800	Citrix Systems, Inc. *		69,760
	8,200	Coach, Inc.		313,076
	11,600	Convergys Corp.		346,028
	100	Cooper-Standard Holding, Inc. *		9,905
	12,700	Delta Air Lines, Inc.		466,725
	4,800	Deluxe Corp.		327,216
	63,900	Denbury Resources, Inc. *		196,812
	1,800	Douglas Dynamics, Inc.		57,744
	18,456	Dr Pepper Snapple Group, Inc.		1,729,327
	600	Drew Industries, Inc.		61,110
	19,300	Emerson Electric Co.		1,016,724
	200	Endurance Specialty Holdings Ltd.		13,170
	1,900	Ennis, Inc.		31,502
	100	Euronet Worldwide, Inc. *		7,761
	2,800	Everest Re Group Ltd.		541,464
	7,900	Expeditors International of Washington, Inc.		400,135
	9,500	Express, Inc. *		112,385
	1,200	F5 Networks, Inc. *		147,276
	1,800	First American Financial Corp.		77,562
	15,000	Fiserv, Inc. *		1,545,750
	21,200	Foot Locker, Inc.		1,391,568
	3,700	Franklin Resources, Inc.		135,050
	3,800	Gannett Co., Inc.		45,334
	443	Gentex Corp.		7,881
	6,700	Gilead Sciences, Inc.		525,146
	6,600	Goodyear Tire & Rubber Co. (The)		193,710
	11,900	Guess?, Inc.		197,897
	2,500	Hanover Insurance Group, Inc. (The)		195,500
	45	Hasbro, Inc.		3,678
	800	HCI Group, Inc.		25,432
	6,400	Helen of Troy Ltd. *		578,176
	13,200	Home Depot, Inc. (The)		1,770,384
	700	Honeywell International, Inc.		81,697
	17,600	Hormel Foods Corp.		673,376
	7,444	HP, Inc.		106,970
	400	IDACORP, Inc.		30,428
	10,800	Ingredion, Inc.		1,479,168
	57,000	Intel Corp.		2,045,730

Shares		Description	Value ($)
		United States — continued
	7,773	International Business Machines Corp.		1,234,974
	10,800	Jabil Circuit, Inc.		228,852
	500	Janus Capital Group, Inc.		7,435
	300	John B. Sanfilippo & Son, Inc.		15,426
	19,610	Johnson & Johnson		2,340,258
	1,700	Jones Lang LaSalle, Inc.		198,475
	29,000	JPMorgan Chase & Co.		1,957,500
	5,600	KAR Auction Services, Inc.		236,768
	11,300	Korn/Ferry International		269,392
	9,400	Lear Corp.		1,093,126
	200	Lincoln National Corp.		9,606
	20,500	LyondellBasell Industries NV – Class A		1,617,245
	6,800	Macy’s, Inc.		246,024
	100	ManpowerGroup, Inc.		7,146
	13,900	Marathon Oil Corp.		208,778
	400	Matson, Inc.		15,436
	20,900	MBIA, Inc. *		168,454
	3,400	Microsoft Corp.		195,364
	2,983	Murphy USA, Inc. *		218,117
	7,100	Nasdaq, Inc.		505,591
	1,000	Navigators Group, Inc. (The)		93,960
	1,000	Northwest Bancshares, Inc.		15,520
	2,400	Old Republic International Corp.		46,152
	1,200	Omega Protein Corp. *		30,252
	5,400	Omnicom Group, Inc.		465,102
	24,800	Paychex, Inc.		1,504,616
	44,300	PDL BioPharma, Inc.		128,913
	55,100	Pfizer, Inc.		1,917,480
	3,000	Philip Morris International, Inc.		299,790
	100	Pinnacle West Capital Corp.		7,504
	3,100	PRA Group, Inc. *		99,138
	1,700	Public Service Enterprise Group, Inc.		72,692
	4,638	QUALCOMM, Inc.		292,519
	1,400	RR Donnelley & Sons Co.		23,940
	3,700	Sanmina Corp. *		97,236
	2,400	SCANA Corp.		169,560
	3,500	SkyWest, Inc.		98,805
	6,600	Smith & Wesson Holding Corp. *		185,790
	5,000	Snap-on, Inc.		766,450
	300	Superior Industries International, Inc.		8,733
	600	Sykes Enterprises, Inc. *		17,538
	7,500	T. Rowe Price Group, Inc.		521,550
	21,210	Talen Energy Corp. *		292,910
	3,480	Tech Data Corp. *		258,355
	16,800	Tesoro Corp.		1,267,056
	700	Texas Roadhouse, Inc.		30,989
	1,422	Thor Industries, Inc.		115,395
	2,300	Tower International, Inc.		55,890
	16,000	Travelers Cos., Inc. (The)		1,899,360

8 See accompanying notes to the financial statements.

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	2,700	TrueBlue, Inc. *		58,995
	100	Tupperware Brands Corp.		6,553
	5,500	United Parcel Service, Inc. – Class B		600,710
	13,115	UnitedHealth Group, Inc.		1,784,296
	1,800	Universal Corp.		108,306
	30,400	Valero Energy Corp.		1,682,640
	39,300	Verizon Communications, Inc.		2,056,569
	3,600	Wabash National Corp. *		50,220
	2,000	Wal-Mart Stores, Inc.		142,880
	3,392	Walker & Dunlop, Inc. *		89,888
	14,900	Werner Enterprises, Inc.		343,892
		Total United States		62,899,009
		TOTAL COMMON STOCKS (COST $220,348,745)		221,047,314
		PREFERRED STOCKS — 0.9%
		Brazil — 0.4%
	108,200	Companhia Energetica de Minas Gerais		293,184
	11,200	Itau Unibanco Holding SA		124,340
	243,090	Itausa-Investimentos Itau SA		647,397
		Total Brazil		1,064,921
		Germany — 0.3%
	3,061	Jungheinrich AG		96,133
	16,086	Porsche Automobil Holding SE		812,786
		Total Germany		908,919
		South Korea — 0.2%
	582	Hyundai Motor Co 2nd Preference		50,001
	1,013	Hyundai Motor Co 2nd Preference		91,283
	354	Samsung Electronics Co Ltd		419,833
		Total South Korea		561,117
		TOTAL PREFERRED STOCKS (COST $2,605,738)		2,534,957
		RIGHTS/WARRANTS — 0.0%
		South Korea — 0.0%
	558	Hanwha Corp Rights, Expires 10/05/16 *		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 22.9%
		United States — 22.9%
		Affiliated Issuers — 22.9%
	2,959,087	GMO Quality Fund, Class VI		62,229,609
	179,157	GMO U.S. Treasury Fund		4,480,723
		TOTAL MUTUAL FUNDS (COST $66,129,759)		66,710,332
		SHORT-TERM INVESTMENTS — 0.2%
		TIME DEPOSITS — 0.2%
SGD	2,382	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/16		1,748
HKD	115,979	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/16		14,950
GBP	738	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 09/01/16		970
EUR	4,317	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.54)%, due 09/01/16		4,815
CHF	4,592	Brown Brothers Harriman (Grand Cayman) Time Deposit, (1.00)%, due 09/01/16		4,669
CAD	3,142	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 09/01/16		2,396
AUD	79,600	National Australia Bank (Melbourne) Time Deposit, 0.69%, due 09/01/16		59,824
JPY	2,819,166	Sumitomo (Tokyo) Time Deposit, (0.29)%, due 09/01/16		27,248
	572,085	Sumitomo (Tokyo) Time Deposit, 0.15%, due 09/01/16		572,085
		Total Time Deposits		688,705
		TOTAL SHORT-TERM INVESTMENTS (COST $688,705)		688,705
		TOTAL INVESTMENTS — 99.8% (Cost $289,772,947)		290,981,308
		Other Assets and Liabilities (net) — 0.2%		708,345
		TOTAL NET ASSETS — 100.0%		$291,689,653

Notes to Schedule of Investments:

* Non-income producing security.

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2).

For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.

See accompanying notes to the financial statements. 9

GMO International Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.5	%
Mutual Funds		0.9
Preferred Stocks		0.7
Short-Term Investments		0.3
Other		0.6
		100.0	%
Country Summary¤	% of Investments
Japan		26.9	%
United Kingdom		16.2
Germany		11.4
France		9.3
Switzerland		5.4
Other Developed		5.2	‡
Australia		5.1
Netherlands		4.5
Hong Kong		3.4
Italy		2.9
Spain		2.5
Canada		2.5
Norway		2.1
Israel		1.6
Sweden		1.0
		100.0	%
Industry Group Summary	% of Equity Investments#
Insurance		9.0	%
Telecommunication Services		8.3
Banks		7.9
Automobiles & Components		7.4
Pharmaceuticals, Biotechnology & Life Sciences		7.3
Energy		7.2
Materials		6.8
Capital Goods		6.4
Real Estate		5.3
Food, Beverage & Tobacco		4.5
Transportation		4.3
Utilities		3.6
Consumer Durables & Apparel		3.5
Food & Staples Retailing		3.4
Media		2.6
Retailing		2.5
Technology Hardware & Equipment		2.2
Household & Personal Products		1.7
Commercial & Professional Services		1.6
Software & Services		1.5
Diversified Financials		1.2
Health Care Equipment & Services		1.1
Consumer Services		0.7
Semiconductors & Semiconductor Equipment		0.0	^
		100.0	%

& In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

¤ 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.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

10

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.5%
		Australia — 5.1%
	365,842	Abacus Property Group (REIT)		828,856
	2,299,489	Adelaide Brighton Ltd		9,059,473
	2,530,773	BlueScope Steel Ltd		16,501,666
	227,255	BT Investment Management Ltd		1,508,808
	261,538	CIMIC Group Ltd		5,807,876
	121,645	Credit Corp Group Ltd		1,516,285
	486,967	CSR Ltd		1,260,649
	2,929,014	Dexus Property Group (REIT)		21,365,822
	2,355,670	Downer EDI Ltd		8,659,310
	125,824	Elders Ltd *		346,935
	8,784,659	Fairfax Media Ltd		6,493,842
	5,196,990	GPT Group (The) (REIT)		20,787,413
	1,520,033	Investa Office Fund (REIT)		5,203,219
	362,852	LendLease Group		3,760,005
	14,119,766	Mirvac Group (REIT)		24,574,873
	1,645,480	Nine Entertainment Co Holdings Ltd		1,234,684
	3,236,942	OZ Minerals Ltd		15,529,508
	583,876	Pact Group Holdings Ltd		2,695,153
	1,985,392	Primary Health Care Ltd		6,092,798
	16,472,091	Scentre Group (REIT)		61,452,146
	1,181,638	Shopping Centres Australasia Property Group (REIT)		2,048,349
	394,187	Sigma Pharmaceuticals Ltd		360,934
	1,170,415	Sonic Healthcare Ltd		20,204,178
	288,481	Southern Cross Media Group Ltd		327,853
	4,623,260	Star Entertainment Grp Ltd (The)		20,470,528
	4,988,527	Stockland (REIT)		18,160,840
	75,035	Tabcorp Holdings Ltd		279,856
	366,344	Tassal Group Ltd		1,125,296
	21,294,451	Telstra Corp Ltd		84,090,006
	69,894	Vicinity Centres (REIT)		173,682
	292,426	Woodside Petroleum Ltd		6,264,861
	809,900	WorleyParsons Ltd *		4,933,369
		Total Australia		373,119,073
		Austria — 0.6%
	1,167,625	Immofinanz AG (Entitlement Shares) * (a)		—
	76,643	Oesterreichische Post AG *		2,752,876
	912,236	OMV AG		25,561,075
	495,462	voestalpine AG		16,420,795
		Total Austria		44,734,746
		Belgium — 0.6%
	409,534	Ageas		14,200,983
	617,223	AGFA-Gevaert NV *		1,957,393
	501,880	bpost SA		12,772,137
	46,656	D’ieteren SA/NV		2,254,649
	7,450	Elia System Operator SA/NV		376,320

Shares		Description	Value ($)
		Belgium — continued
	91,088	Orange Belgium SA *		2,123,154
	296,378	Proximus SADP		9,077,245
		Total Belgium		42,761,881
		Canada — 2.5%
	66,000	AGF Management Ltd – Class B		249,626
	981,110	Air Canada *		6,703,329
	1,588,700	Bankers Petroleum Ltd *		2,289,647
	207,900	BCE Inc		9,713,309
	109,000	Canadian Imperial Bank of Commerce		8,652,509
	142,900	Canadian Tire Corp Ltd – Class A		14,637,606
	116,000	Cascades Inc		987,159
	379,500	Celestica Inc *		4,045,608
	100,500	CGI Group Inc – Class A *		4,891,654
	60,400	Chorus Aviation Inc		275,885
	599,500	CI Financial Corp		11,734,913
	81,500	Cogeco Communications Inc		3,943,248
	209,100	Corus Entertainment Inc – B Shares		1,959,615
	447,800	IAMGOLD Corp *		1,662,945
	6,700	Industrial Alliance Insurance & Financial Services Inc		238,797
	57,300	Linamar Corp		2,364,706
	47,100	Martinrea International Inc		300,615
	1,592,500	Metro Inc		54,087,197
	104,377	North West Co Inc (The)		2,333,639
	64,380	Power Corp of Canada		1,360,846
	1,051,700	Sun Life Financial Inc		33,185,409
	166,700	Toromont Industries Ltd		5,043,965
	486,900	Transcontinental Inc – Class A		7,128,626
	7,980	Uranium Participation Corp *		23,854
	139,900	WestJet Airlines Ltd		2,581,653
		Total Canada		180,396,360
		Denmark — 0.7%
	21,063	AP Moeller – Maersk A/S – Class B		31,509,449
	210,941	Carlsberg A/S – Class B		19,801,265
	22,933	Dfds A/S		1,209,256
	12,564	Per Aarsleff Holding A/S		300,507
	8,610	Schouw & Co		542,935
		Total Denmark		53,363,412
		Finland — 1.0%
	184,236	Metso Oyj		5,157,540
	656,866	Neste Oyj		27,359,926
	122,666	Nokian Renkaat Oyj		4,428,608
	11,953	Orion Oyj – Class B		452,408
	255,761	Sponda Oyj		1,335,468
	316,110	Stora Enso Oyj – R Shares		2,789,999
	31,693	Tieto Oyj		945,809
	1,381,201	UPM-Kymmene Oyj		27,762,107
		Total Finland		70,231,865

See accompanying notes to the financial statements. 11

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		France — 9.2%
	916,730	Air France-KLM *		5,045,932
	26,246	APERAM SA		1,086,833
	7,337,089	AXA SA		154,425,665
	1,219,626	BNP Paribas SA		62,286,884
	256,049	Christian Dior SE		44,370,918
	424,258	Cie Generale des Etablissements Michelin		45,224,355
	370,454	CNP Assurances		5,975,616
	15,826	Ipsen SA		1,028,668
	17,334	IPSOS		569,933
	4,612	Legrand SA		277,070
	239,460	M6-Metropole Television SA		4,252,964
	373,639	Rexel SA		6,018,753
	468,926	SCOR SE		13,835,748
	71,367	Societe BIC SA		10,428,486
	871,846	Societe Generale SA		31,830,870
	5,114,287	TOTAL SA		244,342,143
	2,343,228	Vivendi SA		45,385,291
		Total France		676,386,129
		Germany — 10.6%
	286,210	ADVA Optical Networking SE *		2,442,146
	754,908	Allianz SE (Registered)		112,222,360
	164,459	Aurubis AG		8,659,343
	1,864,915	BASF SE		151,273,605
	917,625	Bayerische Motoren Werke AG		79,735,056
	46,234	Bechtle AG		5,158,515
	5,679	Cewe Stiftung & Co KGAA		471,362
	3,218,579	Daimler AG (Registered)		222,793,016
	3,226,226	Deutsche Lufthansa AG (Registered)		37,529,611
	498,082	Deutsche Telekom AG (Registered)		8,308,671
	40,773	Duerr AG		3,442,934
	204,401	Evonik Industries AG		6,858,563
	32,676	Fraport AG Frankfurt Airport Services Worldwide		1,820,970
	63,314	Freenet AG		1,816,435
	183,044	Hannover Rueck SE		18,712,391
	159,296	HeidelbergCement AG		14,782,513
	6,881	Indus Holding AG		371,025
	57,960	Jenoptik AG		1,052,944
	357,814	K+S AG (Registered)		7,478,450
	207,203	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		37,416,933
	501,999	ProSiebenSat.1 Media SE		21,659,411
	216,646	RHOEN-KLINIKUM AG		6,404,850
	38,518	RTL Group SA		3,242,580
	6,606	Salzgitter AG		200,785
	299,592	Software AG		11,911,527
	237,684	STADA Arzneimittel AG		12,746,323
	25,091	Talanx AG		734,466
		Total Germany		779,246,785

Shares		Description	Value ($)
		Hong Kong — 3.4%
	8,098,100	BOC Hong Kong Holdings Ltd		28,273,508
	2,894,600	Champion (REIT)		1,844,099
	2,371,900	Dah Sing Banking Group Ltd		4,352,572
	458,600	Dah Sing Financial Holdings Ltd		3,093,673
	5,305,290	Esprit Holdings Ltd *		4,685,688
	4,370,000	Global Brands Group Holding Ltd *		404,890
	1,438,530	Henderson Land Development Co Ltd		8,393,135
	1,413,000	HKT Trust & HKT Ltd – Class SS		1,944,948
	3,137,300	Hongkong Land Holdings Ltd		20,333,764
	2,489,900	Hysan Development Co Ltd		12,005,556
	4,395,700	Kerry Properties Ltd		12,766,118
	4,928,791	Link (REIT)		35,802,353
	921,200	Luk Fook Holdings International Ltd		2,099,981
	3,787,200	Man Wah Holdings Ltd		2,569,718
	1,837,000	Pacific Textiles Holdings Ltd		2,413,984
	3,672,700	PCCW Ltd		2,327,383
	1,146,500	Sino Land Co Ltd		1,959,474
	17,527,100	SJM Holdings Ltd		10,995,796
	1,545,200	SmarTone Telecommunications Holdings Ltd		2,547,657
	779,131	Sun Hung Kai Properties Ltd		10,945,447
	163,200	Swire Properties Ltd		459,011
	1,317,000	Swire Pacific Ltd – Class A		14,529,146
	504,500	Techtronic Industries Co Ltd		2,043,595
	437,800	Television Broadcasts Ltd		1,561,244
	1,408,200	Value Partners Group Ltd		1,293,971
	3,477,900	Wharf Holdings Ltd (The)		24,510,619
	1,992,500	Wheelock & Co Ltd		11,377,402
	829,075	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		170,997
	6,372,600	Xinyi Glass Holdings Ltd *		5,478,046
	3,399,300	Yue Yuen Industrial Holdings Ltd		14,449,920
		Total Hong Kong		245,633,695
		Ireland — 0.2%
	32,100	ICON Plc *		2,464,959
	512,328	Smurfit Kappa Group Plc		12,645,509
		Total Ireland		15,110,468
		Israel — 1.6%
	3,796,190	Bank Hapoalim BM		20,382,350
	6,318,172	Bank Leumi Le-Israel BM *		23,676,050
	4,773,527	Bezeq The Israeli Telecommunication Corp Ltd		9,594,455
	581,100	Check Point Software Technologies Ltd *		44,593,614
	8,141,557	Israel Discount Bank Ltd – Class A *		14,702,534
	117,373	Mizrahi Tefahot Bank Ltd		1,416,793
	10,496	Teva Pharmaceutical Industries Ltd		531,665
	10,300	Teva Pharmaceutical Industries Ltd Sponsored ADR		519,017
		Total Israel		115,416,478

12 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Italy — 2.8%
	3,321,116	A2A SPA		4,407,679
	337,505	Amplifon SPA		3,549,997
	2,669,672	Banca Mediolanum SPA		18,547,212
	83,055	De’ Longhi SPA		2,060,271
	10,466,434	Enel SPA		46,250,507
	5,698,892	Eni SPA		86,031,124
	246,777	EXOR SPA		10,147,125
	3,396,569	Hera SPA		9,415,946
	1,908,511	Iren SPA		3,142,002
	51,762	La Doria SPA		646,287
	628,358	Recordati SPA		19,018,181
	2,430	Reply SPA		299,645
	443,238	Societa Cattolica di Assicurazioni SCRL		2,568,594
	597,863	Telecom Italia SPA *		542,676
	1,731,600	Telecom Italia SPA-Di RISP *		1,269,785
		Total Italy		207,897,031
		Japan — 26.7%
	19,600	ADEKA Corp		288,478
	65,000	Ain Holdings Inc		3,691,342
	382,200	Aisin Seiki Co Ltd		18,079,042
	457,000	Alfresa Holdings Corp		8,536,826
	141,400	Alpine Electronics Inc		1,704,135
	84,100	AOKI Holdings Inc		867,626
	272,600	Aoyama Trading Co Ltd		8,854,492
	1,837,113	Asahi Glass Co Ltd		11,697,433
	117,400	Asahi Group Holdings Ltd		3,841,173
	1,238,900	Asahi Kasei Corp		10,466,728
	123,500	Asatsu-DK Inc		3,031,074
	139,500	Autobacs Seven Co Ltd		1,933,997
	1,813,900	Calsonic Kansei Corp		14,292,503
	861,100	Canon Inc		24,692,631
	52,300	Cawachi Ltd		1,157,525
	247,400	Central Japan Railway Co		40,682,817
	237,000	Chiba Bank Ltd (The)		1,407,705
	498,300	Coca-Cola West Co Ltd		11,301,691
	248,500	Concordia Financial Group Ltd *		1,284,767
	441,600	Cosmo Energy Holdings Co Ltd		4,610,570
	21,200	Credit Saison Co Ltd		365,472
	401,900	Daicel Corp		5,135,726
	133,480	Daiichi Sankyo Co Ltd		3,066,635
	377,800	Daikyo Inc		599,840
	130,600	Daito Trust Construction Co Ltd		19,238,011
	558,600	Daiwa House Industry Co Ltd		14,431,046
	663,000	Daiwabo Holdings Co Ltd		1,410,643
	796,000	DCM Holdings Co Ltd		6,067,244
	1,930,200	Denka Co Ltd		8,160,215
	71,100	DIC Corp		2,166,494
	70,900	Doutor Nichires Holdings Co Ltd		1,253,579
	17,300	DTS Corp		356,182

Shares		Description	Value ($)
		Japan — continued
	199,106	FamilyMart Co Ltd		14,271,827
	394,000	Fuji Electric Co Ltd		1,799,011
	420,800	Fuji Heavy Industries Ltd		16,748,769
	310,900	Fuji Oil Holdings Inc		6,044,285
	1,647,140	FUJIFILM Holdings Corp		61,982,490
	158,700	Fujitsu General Ltd		3,228,340
	34,600	Fuyo General Lease Co Ltd		1,630,275
	170,800	Geo Holdings Corp		2,175,840
	275,500	Gunze Ltd		812,904
	1,242,700	Hanwa Co Ltd		6,940,934
	334,400	Haseko Corp		3,169,611
	245,600	Hiroshima Bank Ltd (The)		1,025,378
	60,500	Hitachi Capital Corp		1,260,785
	237,200	Hitachi Chemical Co Ltd		5,120,622
	124,200	Horiba Ltd		5,778,468
	192,100	Idemitsu Kosan Co Ltd		3,500,508
	907,700	Inpex Corp		7,867,637
	26,700	Isuzu Motors Ltd		307,952
	10,974,100	ITOCHU Corp		129,592,125
	33,400	Jafco Co Ltd		975,126
	1,664,500	Japan Airlines Co Ltd		50,804,078
	185,200	Japan Tobacco Inc		7,176,314
	1,055,900	K’s Holdings Corp		16,673,229
	1,227,600	Kaneka Corp		10,026,020
	927,000	Kanematsu Corp		1,362,875
	6,793,400	KDDI Corp		198,602,538
	262,600	Keihin Corp		4,038,010
	189,600	Kewpie Corp		5,212,523
	6,684,336	Kobe Steel Ltd		6,213,499
	66,300	Kohnan Shoji Co Ltd		1,206,092
	9,900	Koito Manufacturing Co Ltd		472,661
	68,400	Kokuyo Co Ltd		945,352
	65,500	Kuraray Co Ltd		937,302
	31,700	Mandom Corp		1,297,383
	5,776,200	Marubeni Corp		28,824,975
	918,300	Medipal Holdings Corp		14,544,000
	2,762,000	Mitsubishi Chemical Holdings Corp		17,477,816
	45,200	Mitsubishi Corp		941,799
	660,000	Mitsubishi Electric Corp		8,637,059
	132,500	Mitsubishi Tanabe Pharma Corp		2,459,648
	22,319,600	Mitsubishi UFJ Financial Group Inc		122,948,092
	538,200	Mitsubishi UFJ Lease & Finance Co Ltd		2,527,389
	4,109,600	Mitsui & Co Ltd		54,719,432
	3,188,838	Mitsui Chemicals Inc		15,288,447
	6,750,000	Mitsui Engineering & Shipbuilding Co Ltd		9,355,989
	18,000	Mitsui Sugar Co Ltd		82,304
	13,809,600	Mizuho Financial Group Inc		24,060,837
	87,400	Namura Shipbuilding Co Ltd		548,448
	113,100	NET One Systems Co Ltd		768,693
	334,300	NHK Spring Co Ltd		3,155,505

See accompanying notes to the financial statements. 13

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	34,200	Nifco Inc		1,724,219
	128,000	Nippon Corp		2,319,779
	428,781	Nippon Electric Glass Co Ltd		2,156,004
	1,025,900	Nippon Light Metal Holdings Co Ltd		2,182,877
	321,300	Nippon Paper Industries Co Ltd		5,952,837
	89,400	Nippon Signal Co Ltd		726,545
	4,051,300	Nippon Telegraph & Telephone Corp		178,131,898
	107,310	Nippon Television Holdings Inc		1,734,519
	438,513	Nipro Corp		5,465,363
	659,000	Nishi-Nippon City Bank Ltd (The)		1,372,425
	99,200	Nissan Chemical Industries Ltd		3,049,818
	3,515,900	Nissan Motor Co Ltd		34,545,528
	434,500	Nisshinbo Holdings Inc		4,422,336
	27,100	Nissin Electric Co Ltd		421,841
	184,400	NOK Corp		3,754,964
	88,900	Nomura Holdings Inc		419,695
	94,000	Nomura Real Estate Holdings Inc		1,533,058
	1,708,100	NTT DOCOMO Inc		43,077,078
	112,100	Okinawa Electric Power Co (The)		2,287,052
	206,800	Onward Holdings Co Ltd		1,455,536
	35,800	Open House Co Ltd		774,170
	616,900	Orient Corp *		1,230,440
	2,998,500	Osaka Gas Co Ltd		11,815,534
	996,400	Otsuka Holdings Co Ltd		43,207,493
	125,500	PanaHome Corp		929,027
	72,300	Pola Orbis Holdings Inc		5,774,604
	108,700	Press Kogyo Co Ltd		467,561
	3,200	Relo Group Inc		453,847
	298,900	Rengo Co Ltd		1,777,070
	946,200	Resona Holdings Inc		4,333,335
	968,800	Ricoh Co Ltd		8,750,507
	178,800	Sanwa Holdings Corp		1,587,813
	43,500	San–A Co Ltd		2,039,513
	1,319,700	Sekisui Chemical Co Ltd		18,478,171
	1,595,600	Sekisui House Ltd		25,743,154
	71,200	Shimamura Co Ltd		8,241,985
	304,400	Showa Denko KK		3,777,539
	111,800	Showa Shell Sekiyu KK		951,901
	19,200	Softbank Technology Corp		381,569
	15,611,900	Sojitz Corp		37,445,124
	1,051,200	Sumitomo Corp		11,406,339
	83,700	Sumitomo Dainippon Pharma Co Ltd		1,401,825
	808,900	Sumitomo Forestry Co Ltd		10,950,395
	1,409,800	Sumitomo Heavy Industries Ltd		6,934,800
	4,497,800	Sumitomo Mitsui Financial Group Inc		157,342,571
	174,400	Sumitomo Mitsui Trust Holdings Inc		625,787
	1,186,000	Sumitomo Osaka Cement Co Ltd		5,370,696
	778,000	Sumitomo Rubber Industries Ltd		11,565,690
	113,300	Sundrug Co Ltd		8,208,378
	229,200	Suzuken Co Ltd		6,654,957

Shares		Description	Value ($)
		Japan — continued
	163,000	T-Gaia Corp		2,232,180
	231,800	Takashimaya Co Ltd		1,697,981
	645,100	TIS Inc		15,316,975
	245,100	Toho Holdings Co Ltd		4,764,867
	253,200	Tokai Rika Co Ltd		5,022,388
	1,353,430	Tokyo Electric Power Co Holdings Inc *		5,454,775
	11,600	Tokyo Seimitsu Co Ltd		308,839
	69,000	Toppan Printing Co Ltd		615,767
	3,277,000	Tosoh Corp		20,217,794
	58,600	Towa Pharmaceutical Co Ltd		2,213,628
	28,500	Toyoda Gosei Co Ltd		657,814
	52,600	Toyota Boshoku Corp		1,206,986
	1,062,600	Toyota Tsusho Corp		24,332,467
	32,000	TPR Co Ltd		819,545
	223,300	TS Tech Co Ltd		5,193,700
	87,800	TSI Holdings Co Ltd		485,165
	364,000	Tsubakimoto Chain Co		2,753,451
	17,100	Tsumura & Co		450,575
	31,700	Tsuruha Holdings Inc		3,107,557
	3,685,100	Ube Industries Ltd		6,708,517
	6,800	UKC Holdings Corp		103,925
	226,800	Valor Holdings Co Ltd		6,123,722
	26,700	Warabeya Nichiyo Co Ltd		487,473
	30,500	Yahagi Construction Co Ltd		274,092
	3,225,600	Yamada Denki Co Ltd		15,090,059
	247,600	Yamaguchi Financial Group Inc		2,616,149
	386,400	Yokohama Rubber Co Ltd (The)		6,288,409
	506,000	Zeon Corp		4,362,049
		Total Japan		1,954,476,854
		Malta — 0.0%
	15,984,486	BGP Holdings Plc * (a)		—
		Netherlands — 4.4%
	116,182	Aalberts Industries NV		3,904,776
	253,300	AerCap Holdings NV *		10,124,401
	56,200	AVG Technologies NV *		1,397,132
	105,156	BinckBank NV		603,384
	55,344	Boskalis Westminster		1,984,497
	65,542	Corbion NV		1,791,239
	211,680	Heineken Holding NV		17,063,674
	240,067	Heineken NV		21,500,729
	3,479,299	ING Groep NV		43,544,641
	4,556,829	Koninklijke Ahold Delhaize NV		109,394,660
	3,884,808	PostNL NV *		17,036,846
	49,049	Randstad Holdings NV		2,320,625
	638,836	TomTom NV *		5,884,307
	600,548	Unilever NV CVA		27,631,889
	1,425,205	Wolters Kluwer NV		59,954,111
		Total Netherlands		324,136,911

14 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		New Zealand — 0.3%
	552,825	Air New Zealand Ltd		906,120
	238,583	Chorus Ltd		735,373
	882,085	Fletcher Building Ltd		6,776,741
	1,287,457	SKY Network Television Ltd		4,536,714
	4,549,718	Spark New Zealand Ltd		12,554,294
		Total New Zealand		25,509,242
		Norway — 2.1%
	257,405	Bakkafrost P/F		9,235,061
	502,105	BW LPG Ltd		1,323,477
	617,191	DNB ASA		7,484,858
	3,282,184	Orkla ASA		30,036,890
	99,392	Salmar ASA		2,750,618
	2,697,280	Statoil ASA		42,314,438
	1,427,598	Storebrand ASA *		6,029,336
	1,563,262	Telenor ASA		27,261,826
	678,018	Yara International ASA		24,010,655
		Total Norway		150,447,159
		Portugal — 0.3%
	175,898	Altri SGPS SA		696,256
	1,109,750	CTT-Correios de Portugal SA		8,151,320
	2,260,680	EDP – Energias de Portugal SA		7,595,014
	211,496	Navigator Co SA (The)		701,772
	733,470	REN-Redes Energeticas Nacionais SGPS SA		2,143,560
		Total Portugal		19,287,922
		Singapore — 0.6%
	1,649,500	Ascendas Real Estate Investment Trust		2,964,363
	5,756,500	CapitaLand Commercial Trust (REIT)		6,522,056
	4,568,100	CapitaLand Mall Trust (REIT)		7,238,218
	333,000	Fortune Real Estate Investment Trust		425,602
	55,118,800	Golden Agri-Resources Ltd		14,537,940
	1,386,700	Mapletree Greater China Commercial Trust (REIT)		1,118,738
	709,700	Mapletree Industrial Trust (REIT)		926,885
	984,900	Mapletree Logistics Trust (REIT)		772,788
	171,400	Venture Corp Ltd		1,157,155
	17,517,200	Yangzijiang Shipbuilding Holdings Ltd		9,820,162
		Total Singapore		45,483,907
		Spain — 2.5%
	737,755	Ebro Foods SA		16,515,265
	3,680,336	Endesa SA		75,000,956
	35,166	Gas Natural SDG SA		726,445
	6,604,493	Iberdrola SA		43,503,316
	3,358,613	Repsol SA		45,117,449
	16,416	Viscofan SA		897,896
		Total Spain		181,761,327

Shares		Description	Value ($)
		Sweden — 1.0%
	711,749	Axfood AB		12,632,151
	18,290	Bilia AB – Class A		465,610
	79,466	Castellum AB		1,201,431
	269,453	Fastighets AB Balder – B Shares *		7,519,784
	32,329	Industrivarden AB – C Shares		588,555
	146,715	Intrum Justitia AB		4,627,893
	739,275	Sandvik AB		8,019,284
	71,192	Securitas AB – B Shares		1,236,650
	26,523	Skanska AB – B Shares		580,606
	109,558	Swedish Match AB		3,901,336
	4,847,753	Telefonaktiebolaget LM Ericsson – B Shares		34,527,028
	59,471	Wihlborgs Fastigheter AB		1,291,740
		Total Sweden		76,592,068
		Switzerland — 5.3%
	368,845	Adecco Group AG (Registered)		21,249,078
	60,507	Ascom Holding AG (Registered)		1,107,965
	13,545	Autoneum Holding AG		3,828,488
	39,166	Baloise Holding AG (Registered)		4,666,168
	1,798	Banque Cantonale Vaudoise (Registered)		1,180,886
	5,696	BKW AG		260,877
	343	Bobst Group SA (Registered)		19,178
	42,569	Cembra Money Bank AG *		3,084,016
	10,622	dorma & kaba Holding AG – Class B (Registered)		8,343,003
	3,424	Emmi AG (Registered) *		2,284,647
	30,642	EMS-Chemie Holding AG (Registered)		16,317,285
	17,512	Flughafen Zuerich AG (Registered)		3,241,503
	2,709	Forbo Holdings AG (Registered) *		3,723,061
	12,266	Georg Fischer AG (Registered)		9,871,882
	6,798	Helvetia Holding AG (Registered)		3,400,487
	12,380	Implenia AG (Registered)		835,396
	8,534	Kardex AG (Registered) *		811,787
	5,758	Komax Holding AG (Registered)		1,399,460
	266,083	Kuehne & Nagel International AG (Registered)		37,175,925
	4,123	Kuoni Reisen Holding AG (Registered) *		1,550,109
	275,640	Logitech International SA (Registered)		5,778,918
	10,546	Mobilezone Holding AG (Registered)		151,226
	17,004	Nestle SA (Registered)		1,355,097
	89,857	Roche Holding AG		21,934,119
	1,446	Sika AG		6,894,256
	44,765	Swatch Group AG (The) (Registered)		2,275,024
	28,519	Swatch Group AG (The) – Class BR		7,346,092
	87,372	Swiss Life Holding AG (Registered) *		21,905,496
	2,300,510	Swiss Re AG		194,408,336
	1,647	Valora Holding AG (Registered)		448,877
	64,596	Vontobel Holding AG (Registered)		3,122,198
	5,161	Zehnder Group AG – Class RG *		204,491
		Total Switzerland		390,175,331

See accompanying notes to the financial statements. 15

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — 16.0%
	3,410,687	AstraZeneca Plc		220,163,254
	3,900,717	Balfour Beatty Plc *		14,466,924
	374,899	Bellway Plc		11,474,631
	842,534	Berkeley Group Holdings Plc (The)		29,561,799
	562,191	Bovis Homes Group Plc		6,618,269
	1,452,262	BP Plc		8,164,014
	1,507,978	British American Tobacco Plc		93,558,913
	779,716	Cairn Energy Plc *		1,901,717
	2,358,043	Carillion Plc		8,057,383
	15,844,206	Centrica Plc		48,447,909
	838,486	Compass Group Plc		15,870,427
	590,106	Crest Nicholson Holdings Plc		3,604,351
	4,336,509	Debenhams Plc		3,451,964
	2,843,623	Direct Line Insurance Group Plc		13,810,369
	7,618,407	Firstgroup Plc *		10,999,860
	278,815	Galliford Try Plc		4,158,071
	7,371,419	GlaxoSmithKline Plc		158,671,607
	571,200	GlaxoSmithKline Plc Sponsored ADR		24,824,352
	163,193	Halfords Group Plc		745,585
	5,910,593	Home Retail Group Plc		12,389,085
	337,461	Hunting Plc		2,058,869
	462,315	IG Group Holdings Plc		5,774,698
	975,673	Imperial Brands Plc		51,177,296
	2,029,966	Inchcape Plc		18,708,148
	1,940,985	Indivior Plc		8,012,416
	581,588	Intermediate Capital Group Plc		4,547,494
	3,758,999	J Sainsbury Plc		11,862,407
	1,085,990	Jupiter Fund Management Plc		5,980,005
	9,030,132	Kingfisher Plc		44,040,507
	3,981,565	Legal & General Group Plc		11,013,456
	5,048,751	Man Group Plc		7,211,005
	154,003	Mitie Group Plc		546,570
	408,731	National Express Group Plc		1,898,314
	30,089	Pearson Plc		342,163
	1,767,334	Persimmon Plc		42,335,966
	359,140	Playtech Plc		4,297,111
	934,038	Reckitt Benckiser Group Plc		90,226,869
	4,984,599	Royal Mail Plc		33,636,699
	1,865,040	Sage Group Plc (The)		17,769,676
	86,176	Savills Plc		837,193
	225,477	Spectris Plc		5,740,520
	109,117	Victrex Plc		2,180,847
	432,670	WH Smith Plc		8,659,691
	6,502,843	WM Morrison Supermarkets Plc		16,826,236
	3,747,551	WPP Plc		86,523,342
		Total United Kingdom		1,173,147,982
		TOTAL COMMON STOCKS (COST $7,361,693,984)		7,145,316,626

Shares / Par Value†		Description	Value ($)
		PREFERRED STOCKS — 0.7%
		Germany — 0.7%
	164,792	Jungheinrich AG		5,175,413
	851,984	Porsche Automobil Holding SE		43,048,624
		Total Germany		48,224,037
		TOTAL PREFERRED STOCKS (COST $82,944,960)		48,224,037
		MUTUAL FUNDS — 0.9%
		United States — 0.9%
		Affiliated Issuers
	2,488,085	GMO U.S. Treasury Fund		62,226,997
		TOTAL MUTUAL FUNDS (COST $62,226,997)		62,226,997
		SHORT-TERM INVESTMENTS — 0.3%
		Time Deposits — 0.3%
CAD	155,677	Bank of Montreal (Montreal) Time Deposit, 0.05%, due 09/01/16		118,711
EUR	127,506	BNP Paribas (Paris) Time Deposit, (0.54)%, due 09/01/16		142,226
GBP	250,389	BNP Paribas (Paris) Time Deposit, 0.05%, due 09/01/16		328,798
HKD	1,524,681	BNP Paribas (Paris) Time Deposit, 0.01%, due 09/01/16		196,541
NZD	5,701	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.25%, due 09/01/16		4,136
SGD	113,574	HSBC Bank (Hong Kong) Time Deposit, 0.01%, due 09/01/16		83,360
AUD	3,486,828	National Australia Bank (Melbourne) Time Deposit, 0.69%, due 09/01/16		2,620,526
JPY	99,299,260	Sumitomo (Tokyo) Time Deposit, (0.29)%, due 09/01/16		959,738
	20,732,802	Sumitomo (Tokyo) Time Deposit, 0.15%, due 09/01/16		20,732,802
		Total Time Deposits		25,186,838
		TOTAL SHORT-TERM INVESTMENTS (COST $25,186,838)		25,186,838
		TOTAL INVESTMENTS — 99.4% (Cost $7,532,052,779)		7,280,954,498
		Other Assets and Liabilities (net) — 0.6%		45,649,286
		TOTAL NET ASSETS — 100.0%		$7,326,603,784

16 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

Notes to Schedule of Investments:

* Non-income producing security.

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2).

For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.

See accompanying notes to the financial statements. 17

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.4	%
Preferred Stocks		0.9
Mutual Funds		0.3
Short-Term Investments		0.2
Other		0.2
		100.0	%
Country Summary¤	% of Investments
Japan		26.6	%
United Kingdom		18.1
France		10.5
Germany		10.4
Switzerland		6.0
Australia		4.9
Netherlands		4.4
Hong Kong		4.2
Other Developed		3.9	‡
Israel		2.3
Spain		2.1
Norway		2.0
Italy		1.9
Canada		1.6
Finland		1.1
		100.0	%
Industry Group Summary	% of Equity Investments#
Insurance		8.9	%
Automobiles & Components		8.8
Banks		8.7
Pharmaceuticals, Biotechnology & Life Sciences		8.6
Telecommunication Services		7.6
Energy		7.3
Capital Goods		6.1
Materials		5.3
Real Estate		5.1
Food, Beverage & Tobacco		4.9
Transportation		4.5
Food & Staples Retailing		3.4
Consumer Durables & Apparel		3.2
Media		2.9
Utilities		2.8
Technology Hardware & Equipment		2.4
Commercial & Professional Services		2.3
Software & Services		2.2
Household & Personal Products		2.0
Retailing		2.0
Diversified Financials		0.6
Health Care Equipment & Services		0.2
Consumer Services		0.2
		100.0	%

& In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

¤ 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.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

18

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.4%
		Australia — 4.9%
	69,011	Adelaide Brighton Ltd		271,888
	8,752	ASX Ltd		336,003
	518,419	BlueScope Steel Ltd		3,380,302
	85,834	CIMIC Group Ltd		1,906,083
	152,747	Dexus Property Group (REIT)		1,114,220
	95,435	Downer EDI Ltd		350,814
	383,339	Fairfax Media Ltd		283,374
	495,008	GPT Group (The) (REIT)		1,979,980
	107,738	LendLease Group		1,116,420
	315,133	Mirvac Group (REIT)		548,476
	90,791	OZ Minerals Ltd		435,578
	3,119,533	Scentre Group (REIT)		11,637,988
	13,675	Shopping Centres Australasia Property Group (REIT)		23,705
	90,358	Sonic Healthcare Ltd		1,559,796
	99,767	Star Entertainment Grp Ltd (The)		441,741
	645,371	Stockland (REIT)		2,349,487
	3,895,181	Telstra Corp Ltd		15,381,744
	125,613	Westfield Corp (REIT)		963,445
	130,603	Woodside Petroleum Ltd		2,798,006
		Total Australia		46,879,050
		Austria — 0.8%
	4,811	Oesterreichische Post AG *		172,802
	162,570	OMV AG		4,555,251
	83,689	voestalpine AG		2,773,654
		Total Austria		7,501,707
		Belgium — 0.3%
	50,434	Ageas		1,748,847
	40,867	bpost SA		1,040,007
	8,860	Proximus SADP		271,358
		Total Belgium		3,060,212
		Canada — 1.6%
	113,700	Air Canada *		776,843
	55,500	BCE Inc		2,593,019
	9,600	Canadian Tire Corp Ltd – Class A		983,352
	22,700	CGI Group Inc – Class A *		1,104,881
	72,600	CI Financial Corp		1,421,109
	236,400	Metro Inc		8,029,019
	15,800	Transcontinental Inc – Class A		231,325
		Total Canada		15,139,548
		Denmark — 0.9%
	3,533	AP Moeller – Maersk A/S – Class B		5,285,234
	9,671	Carlsberg A/S – Class B		907,828
	41,330	Novo Nordisk A/S – Class B		1,934,276
		Total Denmark		8,127,338

Shares		Description	Value ($)
		Finland — 1.1%
	91,894	Neste Oyj		3,827,589
	312,690	UPM – Kymmene Oyj		6,285,061
		Total Finland		10,112,650
		France — 10.5%
	2,024	Atos SE		199,558
	1,136,030	AXA SA		23,910,326
	233,213	BNP Paribas SA		11,910,300
	16,783	Capgemini SA		1,639,859
	40,971	Christian Dior SE		7,099,894
	71,398	Cie Generale des Etablissements Michelin		7,610,766
	11,197	M6-Metropole Television SA		198,866
	38,727	Renault SA		3,180,380
	5,827	Rexel SA		93,864
	65,997	SCOR SE		1,947,254
	10,220	Societe BIC SA		1,493,395
	163,055	Societe Generale		5,953,096
	657,691	TOTAL SA		31,422,098
	201,156	Vivendi SA		3,896,131
		Total France		100,555,787
		Germany — 9.5%
	135,774	Allianz SE (Registered)		20,183,756
	35,944	Aurubis AG		1,892,578
	125,690	BASF SE		10,195,413
	158,689	Bayerische Motoren Werke AG		13,788,940
	1,809	Bechtle AG		201,837
	417,100	Daimler AG (Registered)		28,872,048
	416,660	Deutsche Lufthansa AG (Registered)		4,846,867
	5,976	Duerr AG		504,623
	11,300	Hannover Rueck SE		1,155,187
	14,982	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		2,705,465
	110,387	ProSiebenSat.1 Media SE		4,762,793
	5,855	RTL Group SA		492,894
	16,097	Siemens AG (Registered)		1,920,320
		Total Germany		91,522,721
		Hong Kong — 4.2%
	1,945,500	BOC Hong Kong Holdings Ltd		6,792,471
	373,000	CK Hutchison Holdings Ltd		4,785,756
	119,600	Dah Sing Banking Group Ltd		219,473
	197,000	Henderson Land Development Co Ltd		1,149,401
	407,200	Hongkong Land Holdings Ltd		2,639,183
	176,000	Hysan Development Co Ltd		848,620
	203,000	Kerry Properties Ltd		589,558
	942,500	Link (REIT)		6,846,246
	123,000	Pacific Textiles Holdings Ltd		161,633
	272,000	Sino Land Co Ltd		464,873
	2,373,000	SJM Holdings Ltd		1,488,725

See accompanying notes to the financial statements. 19

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	347,000	Swire Pacific Ltd – Class A		3,828,105
	9,500	Techtronic Industries Co Ltd		38,482
	626,000	Wharf Holdings Ltd (The)		4,411,756
	348,000	Wheelock & Co Ltd		1,987,120
	460,750	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		95,030
	3,118,000	Xinyi Glass Holdings Ltd *		2,680,310
	241,000	Yue Yuen Industrial Holdings Ltd		1,024,455
		Total Hong Kong		40,051,197
		Ireland — 0.1%
	47,098	Smurfit Kappa Group Plc		1,162,494
		Israel — 2.3%
	520,493	Bank Hapoalim BM		2,794,610
	312,324	Bank Leumi Le-Israel BM *		1,170,370
	554,338	Bezeq Israeli Telecommunication Corp Ltd		1,114,180
	162,700	Check Point Software Technologies Ltd *		12,485,598
	102,794	Israel Discount Bank Ltd – Class A *		185,632
	89,926	Teva Pharmaceutical Industries Ltd		4,555,114
	1,200	Teva Pharmaceutical Industries Ltd Sponsored ADR		60,468
		Total Israel		22,365,972
		Italy — 1.9%
	196,993	Banca Mediolanum SPA		1,368,584
	1,667	De’ Longhi SPA		41,352
	1,069,704	Enel SPA		4,726,954
	748,755	Eni SPA		11,303,291
	4,126	EXOR SPA		169,655
	94,787	Hera SPA		262,768
	7,310	Recordati SPA		221,248
		Total Italy		18,093,852
		Japan — 26.5%
	72,000	Aisin Seiki Co Ltd		3,405,785
	6,000	Aoyama Trading Co Ltd		194,890
	206,000	Asahi Kasei Corp		1,740,371
	37,000	Calsonic Kansei Corp		291,539
	75,700	Canon Inc		2,170,749
	54,300	Central Japan Railway Co		8,929,171
	128,000	Chiba Bank Ltd (The)		760,279
	10,900	Coca-Cola West Co Ltd		247,217
	40,100	Daicel Corp		512,423
	180,100	Daiichi Sankyo Co Ltd		4,137,705
	15,301	Daito Trust Construction Co Ltd		2,253,911
	154,600	Daiwa House Industry Co Ltd		3,993,984
	31,300	DCM Holdings Co Ltd		238,574
	15,400	East Japan Railway Co		1,322,489
	154,200	Fuji Heavy Industries Ltd		6,137,501

Shares		Description	Value ($)
		Japan — continued
	327,000	FUJIFILM Holdings Corp		12,305,132
	127,874	Haseko Corp		1,212,054
	84,600	Inpex Corp		733,284
	1,851,300	ITOCHU Corp		21,861,829
	215,000	Japan Airlines Co Ltd		6,562,257
	77,200	Japan Tobacco Inc		2,991,422
	142,340	K’s Holdings Corp		2,247,625
	160,000	Kawasaki Kisen Kaisha Ltd		404,500
	902,024	KDDI Corp		26,370,338
	118,500	Konica Minolta Inc		1,070,491
	833,300	Marubeni Corp		4,158,418
	498,700	Mitsubishi Chemical Holdings Corp		3,155,752
	119,000	Mitsubishi Electric Corp		1,557,288
	41,700	Mitsubishi Tanabe Pharma Corp		774,093
	4,211,600	Mitsubishi UFJ Financial Group Inc		23,199,707
	523,800	Mitsui & Co Ltd		6,974,411
	538,000	Nippon Telegraph & Telephone Corp		23,655,360
	43,908	Nipro Corp		547,243
	897,300	Nissan Motor Co Ltd		8,816,435
	4,500	NOK Corp		91,634
	648,000	Osaka Gas Co Ltd		2,553,432
	294,000	Otsuka Holdings Co Ltd		12,748,899
	254,200	Resona Holdings Inc		1,164,166
	71,700	Ricoh Co Ltd		647,617
	212,800	Sekisui Chemical Co Ltd		2,979,582
	315,200	Sekisui House Ltd		5,085,386
	1,836,700	Sojitz Corp		4,405,323
	592,000	Sumitomo Chemical Co Ltd		2,715,961
	267,400	Sumitomo Corp		2,901,498
	22,300	Sumitomo Electric Industries Ltd		331,233
	8,000	Sumitomo Metal Mining Co Ltd		101,682
	816,700	Sumitomo Mitsui Financial Group Inc		28,569,896
	10,100	Toho Holdings Co Ltd		196,349
	85,000	Toppan Printing Co Ltd		758,554
	169,900	Toyota Tsusho Corp		3,890,538
	8,600	TS Tech Co Ltd		200,026
		Total Japan		254,276,003
		Malta — 0.0%
	15,998,662	BGP Holdings Plc * (a)		—
		Netherlands — 4.3%
	31,000	AerCap Holdings NV *		1,239,070
	14,939	Boskalis Westminster		535,675
	40,039	Heineken Holding NV		3,227,572
	882,270	Koninklijke Ahold Delhaize NV		21,180,436
	428,545	PostNL NV *		1,879,386
	64,213	Randstad Holdings NV		3,038,070
	26,178	Unilever NV CVA		1,204,479
	219,191	Wolters Kluwer NV		9,220,710
		Total Netherlands		41,525,398

20 See accompanying notes to the financial statements.

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		New Zealand — 0.5%
	386,424	Fletcher Building Ltd		2,968,756
	652,473	Spark New Zealand Ltd		1,800,406
		Total New Zealand		4,769,162
		Norway — 1.9%
	6,804	Bakkafrost P/F		244,111
	492,852	Orkla ASA		4,510,333
	472,096	Statoil ASA		7,406,156
	58,830	Telenor ASA		1,025,940
	154,832	Yara International ASA		5,483,066
		Total Norway		18,669,606
		Portugal — 0.0%
	30,788	CTT-Correios de Portugal SA		226,143
		Singapore — 0.3%
	9,631,500	Golden Agri-Resources Ltd		2,540,370
	474,900	Yangzijiang Shipbuilding Holdings Ltd		266,230
		Total Singapore		2,806,600
		Spain — 2.1%
	534,730	Endesa SA		10,897,174
	261,596	International Consolidated Airlines Group SA		1,317,318
	587,140	Repsol SA		7,887,262
		Total Spain		20,101,754
		Sweden — 0.7%
	2,026	Swedish Match AB		72,146
	874,404	Telefonaktiebolaget LM Ericsson – B Shares		6,227,745
		Total Sweden		6,299,891
		Switzerland — 6.0%
	109,306	Adecco Group AG (Registered)		6,297,094
	7,196	Baloise Holding AG (Registered)		857,319
	438	dorma & kaba Holding AG – Class B (Registered)		344,025
	5,124	EMS-Chemie Holding AG (Registered)		2,728,600
	233	Forbo Holdings AG (Registered) *		320,219
	797	Givaudan SA (Registered)		1,648,540
	458	Helvetia Holding AG (Registered)		229,100
	37,092	Kuehne & Nagel International AG (Registered)		5,182,328
	597	LafargeHolcim Ltd (Registered)		31,696
	24,868	Roche Holding AG		6,070,286
	174	SGS SA (Registered)		382,713
	304	Sika AG		1,449,415
	4,826	Swatch Group AG (The)		1,243,110
	304	Swatch Group AG (The) (Registered)		15,450
	20,128	Swiss Life Holding AG (Registered) *		5,046,397

Shares		Description	Value ($)
		Switzerland — continued
	305,344	Swiss Re AG		25,803,591
		Total Switzerland		57,649,883
		United Kingdom — 18.0%
	452,699	AstraZeneca Plc		29,222,173
	26,037	Bellway Plc		796,921
	117,543	Berkeley Group Holdings Plc (The)		4,124,205
	29,607	Bovis Homes Group Plc		348,542
	375,876	British American Tobacco Plc		23,320,333
	95,649	Carillion Plc		326,831
	2,616,757	Centrica Plc		8,001,436
	28,169	Crest Nicholson Holdings Plc		172,055
	193,859	Direct Line Insurance Group Plc		941,498
	11,542	Galliford Try Plc		172,130
	988,234	GlaxoSmithKline Plc		21,271,980
	7,686	Hammerson Plc (REIT)		58,551
	384,340	Henderson Group Plc		1,203,778
	768,824	Home Retail Group Plc		1,611,518
	35,089	IG Group Holdings Plc		438,291
	169,537	Imperial Brands Plc		8,892,780
	140,322	Inchcape Plc		1,293,206
	109,570	Indivior Plc		452,307
	32,070	Intermediate Capital Group Plc		250,758
	622,456	J Sainsbury Plc		1,964,307
	55,941	Jupiter Fund Management Plc		308,039
	2,069,938	Kingfisher Plc		10,095,214
	232,983	Legal & General Group Plc		644,457
	72,151	Mondi Plc		1,468,151
	241,767	Persimmon Plc		5,791,457
	183,421	Reckitt Benckiser Group Plc		17,718,233
	31,835	Redrow Plc		155,358
	796,313	Royal Mail Plc		5,373,620
	544,134	Sage Group Plc (The)		5,184,385
	98,720	WH Smith Plc		1,975,835
	500,064	WM Morrison Supermarkets Plc		1,293,926
	784,252	WPP Plc		18,106,786
		Total United Kingdom		172,979,061
		TOTAL COMMON STOCKS (COST $971,698,407)		943,876,029
		PREFERRED STOCKS — 0.9%
		Germany — 0.9%
	8,664	Jungheinrich AG		272,099
	156,908	Porsche Automobil Holding SE		7,928,170
		Total Germany		8,200,269
		TOTAL PREFERRED STOCKS (COST $12,808,706)		8,200,269

See accompanying notes to the financial statements. 21

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 0.3%
		United States — 0.3%
		Affiliated Issuers
	121,751	GMO U.S. Treasury Fund		3,044,984
		TOTAL MUTUAL FUNDS (COST $3,044,984)		3,044,984
		SHORT-TERM INVESTMENTS — 0.2%
		Time Deposits — 0.2%
CAD	7,097	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 09/01/16		5,412
EUR	11,196	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.54)%, due 09/01/16		12,488
GBP	2,518	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 09/01/16		3,306
HKD	94,961	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/16		12,241
AUD	435,936	National Australia Bank (Melbourne) Time Deposit, 0.69%, due 09/01/16		327,627
	1,913,822	Sumitomo (Tokyo) Time Deposit, 0.15%, due 09/01/16		1,913,822
		Total Time Deposits		2,274,896
		TOTAL SHORT-TERM INVESTMENTS (COST $2,274,896)		2,274,896
		TOTAL INVESTMENTS — 99.8% (Cost $989,826,993)		957,396,178
		Other Assets and Liabilities (net) — 0.2%		1,890,673
		TOTAL NET ASSETS — 100.0%		$959,286,851

Notes to Schedule of Investments:

* Non-income producing security.

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2).

For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.

22 See accompanying notes to the financial statements.

GMO Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.8	%
Mutual Funds		2.4
Short-Term Investments		0.1
Other		(0.3	)
		100.0	%
Country Summary¤	% of Investments
United States		86.4	%
United Kingdom		7.2
Switzerland		3.0
Netherlands		2.0
Other Developed		1.4	‡
		100.0	%
Industry Group Summary	% of Equity Investments#
Software & Services		22.3	%
Food, Beverage & Tobacco		13.4
Health Care Equipment & Services		12.1
Household & Personal Products		10.7
Technology Hardware & Equipment		9.8
Capital Goods		7.3
Pharmaceuticals, Biotechnology & Life Sciences		6.8
Semiconductors & Semiconductor Equipment		4.2
Diversified Financials		3.1
Food & Staples Retailing		2.1
Consumer Services		2.0
Consumer Durables & Apparel		1.9
Materials		1.9
Energy		1.1
Retailing		0.8
Telecommunication Services		0.5
		100.0	%

& In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

¤ 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.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

23

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.8%
		Capital Goods — 7.1%
	1,523,273	3M Co.		273,031,453
	1,723,225	Emerson Electric Co.		90,779,493
	493,619	Honeywell International, Inc.		57,610,273
	971,308	Illinois Tool Works, Inc.		115,439,956
	308,699	Rockwell Automation, Inc.		35,787,475
	525,861	United Technologies Corp.		55,967,386
	123,666	WW Grainger, Inc.		28,524,800
		Total Capital Goods		657,140,836
		Consumer Durables & Apparel — 1.9%
	390,267	Burberry Group Plc		6,687,529
	221,607	LVMH Moet Hennessy Louis Vuitton SE		37,497,837
	1,186,428	Nike, Inc. – Class B		68,385,710
	41,986	Swatch Group AG (The)		10,814,999
	802,911	VF Corp.		49,820,627
		Total Consumer Durables & Apparel		173,206,702
		Consumer Services — 2.0%
	4,013,881	Compass Group Plc		75,972,615
	905,036	McDonald’s Corp.		104,676,464
		Total Consumer Services		180,649,079
		Diversified Financials — 3.1%
	4,335,782	American Express Co.		284,340,583
		Energy — 1.0%
	1,200,706	Schlumberger Ltd.		94,855,774
		Food & Staples Retailing — 2.1%
	499,665	Costco Wholesale Corp.		80,990,700
	738,520	CVS Health Corp.		68,977,768
	592,852	Wal-Mart Stores, Inc.		42,353,347
		Total Food & Staples Retailing		192,321,815
		Food, Beverage & Tobacco — 13.1%
	3,775,413	British American Tobacco Plc		234,236,379
	6,980,757	Coca-Cola Co. (The)		303,174,276
	2,829,965	Nestle SA (Registered)		225,527,747
	1,059,805	PepsiCo, Inc.		113,134,184
	3,382,904	Philip Morris International, Inc.		338,053,597
		Total Food, Beverage & Tobacco		1,214,126,183
		Health Care Equipment & Services — 11.8%
	2,785,217	Abbott Laboratories		117,034,818
	230,446	Anthem, Inc.		28,824,186
	494,257	Becton Dickinson and Co.		87,587,283
	808,250	Cerner Corp.*		52,164,455
	450,406	Express Scripts Holding Co.*		32,744,516
	321,500	Humana, Inc.		57,455,265

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	63,115	Intuitive Surgical, Inc.*		43,323,398
	2,776,235	Medtronic Plc		241,615,732
	555,500	St Jude Medical, Inc.		43,284,560
	907,598	Stryker Corp.		104,972,785
	1,770,698	UnitedHealth Group, Inc.		240,903,463
	329,167	Zimmer Biomet Holdings, Inc.		42,663,335
		Total Health Care Equipment & Services		1,092,573,796
		Household & Personal Products — 10.5%
	305,701	Church & Dwight Co., Inc.		30,392,793
	1,597,267	Colgate-Palmolive Co.		118,740,829
	3,250,096	Procter & Gamble Co. (The)		283,765,881
	1,676,742	Reckitt Benckiser Group Plc		161,971,012
	4,057,595	Unilever NV CVA		186,694,436
	4,090,368	Unilever Plc		189,879,831
		Total Household & Personal Products		971,444,782
		Materials — 1.8%
	1,573,414	Monsanto Co.		167,568,591
		Pharmaceuticals, Biotechnology & Life Sciences — 6.7%
	680,653	Eli Lilly & Co.		52,920,771
	3,831,143	Johnson & Johnson		457,208,606
	542,250	Novartis AG (Registered)		42,709,231
	1,801,443	Pfizer, Inc.		62,690,216
		Total Pharmaceuticals, Biotechnology & Life Sciences		615,528,824
		Retailing — 0.7%
	275,862	Genuine Parts Co.		28,364,131
	519,549	TJX Cos, Inc. (The)		40,233,874
		Total Retailing		68,598,005
		Semiconductors & Semiconductor Equipment — 4.1%
	742,564	Analog Devices, Inc.		46,454,804
	4,527,349	QUALCOMM, Inc.		285,539,901
	677,900	Texas Instruments, Inc.		47,141,166
		Total Semiconductors & Semiconductor Equipment		379,135,871
		Software & Services — 21.8%
	1,580,833	Accenture Plc – Class A		181,795,795
	444,365	Alphabet, Inc. – Class A*		350,981,695
	200,896	Alphabet, Inc. – Class C*		154,097,277
	2,118,863	Cognizant Technology Solutions Corp. – Class A*		121,707,491
	472,082	Intuit, Inc.		52,613,539
	436,011	MasterCard, Inc. – Class A		42,131,743
	9,311,274	Microsoft Corp.		535,025,804
	10,985,899	Oracle Corp.		452,838,757
	667,886	Paychex, Inc.		40,520,643

24 See accompanying notes to the financial statements.

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Software & Services — continued
	449,791	SAP SE		39,500,607
	1,544,500	Teradata Corp.*		49,006,985
		Total Software & Services		2,020,220,336
		Technology Hardware & Equipment — 9.6%
	506,979	Amphenol Corp. – Class A		31,589,861
	3,116,117	Apple, Inc.		330,620,014
	13,778,811	Cisco Systems, Inc.		433,205,818
	3,094,900	EMC Corp.		89,721,151
		Total Technology Hardware & Equipment		885,136,844
		Telecommunication Services — 0.5%
	1,882,399	NTT DOCOMO, Inc.		47,472,738
		TOTAL COMMON STOCKS (COST $7,727,932,537)		9,044,320,759
		MUTUAL FUNDS — 2.4%
		Affiliated Issuers — 2.4%
	8,977,917	GMO U.S. Treasury Fund		224,537,698
		TOTAL MUTUAL FUNDS (COST $224,531,882)		224,537,698
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	11,805,637	State Street Institutional Treasury Money Market Fund-Premier Class, 0.19% (a)		11,805,637
		TOTAL SHORT-TERM INVESTMENTS (COST $11,805,637)		11,805,637
		TOTAL INVESTMENTS — 100.3% (Cost $7,964,270,056)		9,280,664,094
		Other Assets and Liabilities (net) — (0.3%)		(28,948,513	)
		TOTAL NET ASSETS — 100.0%		$9,251,715,581

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of August 31, 2016.

For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.

See accompanying notes to the financial statements. 25

GMO Resources Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		88.6	%
Preferred Stocks		9.3
Mutual Funds		1.3
Short-Term Investments		0.6
Other		0.2
		100.0	%
Country Summary¤	% of Equity Investments
United Kingdom		24.3	%
Russia		14.4
United States		14.1
Norway		7.1
Chile		5.4
Canada		4.5
France		3.1
Other Emerging		2.8	†
Japan		2.7
Brazil		2.5
Other Developed		2.0	‡
Singapore		1.9
Spain		1.7
Thailand		1.6
Poland		1.6
Australia		1.5
Israel		1.5
Argentina		1.4
Italy		1.3
South Africa		1.2
Ukraine		1.1
Czech Republic		1.1
Germany		1.0
Colombia		0.2
Kazakhstan		0.0	^
		100.0	%
Industry Group Summary	% of Equity Investments#
Energy		42.1	%
Materials		41.3
Food, Beverage & Tobacco		9.5
Utilities		3.6
Capital Goods		1.9
Semiconductors & Semiconductor Equipment		1.6
		100.0	%

& In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

¤ 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.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.0%.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

26

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 88.6%
		Argentina — 1.4%
	252,500	Adecoagro SA *		2,537,625
		Australia — 1.5%
	692,385	Beach Energy Ltd		292,020
	166,737	Sandfire Resources NL		685,520
	34,576	Woodside Petroleum Ltd		740,748
	176,499	WorleyParsons Ltd *		1,075,114
		Total Australia		2,793,402
		Austria — 0.9%
	57,771	OMV AG		1,618,757
		Brazil — 0.5%
	36,800	Cosan SA Industria e Comercio		428,718
	31,000	Sao Martinho SA		482,299
		Total Brazil		911,017
		Canada — 4.4%
	6,351	Agrium Inc		611,951
	38,700	Ensign Energy Services Inc		227,821
	265,734	First Quantum Minerals Ltd		2,014,180
	54,000	Potash Corp of Saskatchewan Inc		978,374
	271,498	Teck Resources Ltd – Class B		4,399,369
		Total Canada		8,231,695
		China — 0.5%
	3,710,000	Century Sunshine Group Holdings Ltd		148,055
	968,000	China Oilfield Services Ltd – Class H		755,484
		Total China		903,539
		Colombia — 0.2%
	859,306	Ecopetrol SA *		381,618
		Czech Republic — 1.1%
	118,151	CEZ AS		2,062,297
		France — 3.0%
	115,466	Electricite de France SA		1,482,309
	5,629	Technip SA		333,321
	79,834	TOTAL SA		3,814,180
		Total France		5,629,810
		Germany — 1.0%
	7,201	Aurubis AG		379,158
	71,204	K+S AG (Registered)		1,488,191
		Total Germany		1,867,349
		Greece — 0.1%
	37,959	Mytilineos Holdings SA *		165,428

Shares		Description	Value ($)
		Hungary — 0.7%
	19,670	MOL Hungarian Oil & Gas Plc		1,227,780
		India — 0.7%
	194,692	Cairn India Ltd		578,946
	194,065	Oil & Natural Gas Corp Ltd		686,212
		Total India		1,265,158
		Indonesia — 0.0%
	29,250,000	Energi Mega Persada Tbk PT *		52,921
		Israel — 1.5%
	538,096	Israel Chemicals Ltd		2,276,249
	2,644	Israel Corp Ltd (The)		486,406
		Total Israel		2,762,655
		Italy — 1.3%
	269,775	CNH Industrial NV		1,972,758
	1,026,327	Saipem SPA *		470,859
		Total Italy		2,443,617
		Japan — 2.7%
	24,200	Asahi Holdings Inc		415,729
	57,700	Inpex Corp		500,124
	20,400	Japan Petroleum Exploration Co Ltd		448,774
	709,000	Mitsubishi Materials Corp		2,002,850
	334,000	Mitsui Mining & Smelting Co Ltd		682,382
	9,000	Nittetsu Mining Co Ltd		31,954
	67,000	Sumitomo Metal Mining Co Ltd		851,584
		Total Japan		4,933,397
		Kazakhstan — 0.0%
	8,529	KazMunaiGas Exploration Production JSC GDR (Registered Shares) *		60,553
		Netherlands — 0.8%
	30,492	Fugro NV CVA *		483,033
	70,927	SBM Offshore NV		1,041,748
		Total Netherlands		1,524,781
		Norway — 7.0%
	188,523	Austevoll Seafood ASA		1,474,603
	10,365	Bakkafrost P/F		371,871
	72,141	Fred Olsen Energy ASA *		122,722
	150,384	Grieg Seafood ASA		947,814
	9,308	Leroy Seafood Group ASA		417,231
	47,346	Ocean Yield ASA		380,035
	159,209	Petroleum Geo-Services ASA *		336,236
	158,116	Prosafe SE *		10,554
	27,066	Salmar ASA		749,036
	164,098	Statoil ASA		2,574,340

See accompanying notes to the financial statements. 27

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Norway — continued
	121,681	Subsea 7 SA *		1,315,790
	57,850	TGS Nopec Geophysical Co ASA		1,006,635
	94,317	Yara International ASA		3,340,048
		Total Norway		13,046,915
		Poland — 1.6%
	152,361	KGHM Polska Miedz SA		2,856,022
		Russia — 12.3%
	21,612	Bashneft PJSC		1,045,169
	1,179,370	Gazprom Neft PAO		3,105,778
	425,430	Gazprom PJSC Sponsored ADR		1,720,150
	103,782	Lukoil PJSC Sponsored ADR		4,651,077
	28,588	Novatek OAO Sponsored GDR (Registered)		3,077,718
	60,035	PhosAgro PJSC GDR (Registered)		804,166
	327,998	Ros Agro Plc GDR (Registered)		4,525,656
	386,482	Rosneft PJSC GDR (Registered)		2,017,926
	9	Surgutneftegas OJSC		4
	58,495	Tatneft PAO Sponsored ADR		1,725,013
	61,027	TMK PJSC GDR (Registered)		201,760
		Total Russia		22,874,417
		Singapore — 1.9%
	1,045,400	Ezion Holdings Ltd *		168,066
	2,850,400	Ezra Holdings Ltd *		81,147
	464,700	First Resources Ltd		613,512
	9,430,800	Golden Agri-Resources Ltd		2,487,434
	595,700	Indofood Agri Resources Ltd		196,506
		Total Singapore		3,546,665
		South Africa — 1.2%
	74,940	Sasol Ltd		1,891,814
	42,896	Tongaat Hulett Ltd		360,635
		Total South Africa		2,252,449
		South Korea — 0.3%
	17,387	Poongsan Corp		487,827
	466	Poongsan Holdings Corp		18,891
		Total South Korea		506,718
		Spain — 1.7%
	111,102	Endesa SA		2,264,129
	127,772	Iberdrola SA		841,625
		Total Spain		3,105,754
		Sweden — 0.3%
	12,317	Boliden AB		260,615
	45,806	Tethys Oil AB		287,593
		Total Sweden		548,208

Shares		Description	Value ($)
		Thailand — 1.6%
	475,764	PTT Exploration & Production Pcl (Foreign Registered)		1,112,011
	189,394	PTT Pcl (Foreign Registered)		1,903,183
		Total Thailand		3,015,194
		Turkey — 0.4%
	320,871	Gubre Fabrikalari TAS		559,737
	595,184	Koza Anadolu Metal Madencilik Isletmeleri AS *		227,248
		Total Turkey		786,985
		Ukraine — 1.1%
	138,054	Kernel Holding SA		2,097,587
		United Arab Emirates — 0.1%
	1,360,017	Dana Gas PJSC *		210,756
		United Kingdom — 24.1%
	92,775	Amec Foster Wheeler Plc		658,976
	639,119	Anglo American Plc *		6,551,129
	493,289	BHP Billiton Plc		6,416,253
	516,658	BP Plc		2,904,436
	734,432	EnQuest Plc *		257,704
	2,855,439	Glencore Plc		6,533,967
	38,997	Hunting Plc		237,923
	21,070	John Wood Group Plc		192,646
	82,021	Petrofac Ltd		895,400
	338,006	Premier Oil Plc *		322,682
	328,545	Rio Tinto Plc		9,890,093
	216,893	Royal Dutch Shell Plc A Shares (London)		5,300,806
	184,474	Royal Dutch Shell Plc B Shares (London)		4,696,146
		Total United Kingdom		44,858,161
		United States — 12.7%
	9,632	Apache Corp.		478,710
	40,100	Atwood Oceanics, Inc.		316,790
	144,347	Chesapeake Energy Corp. *		916,604
	24,467	Chevron Corp.		2,460,891
	5,909	ConocoPhillips		242,564
	256,908	Denbury Resources, Inc. *		791,277
	14,800	Devon Energy Corp.		641,284
	34,000	Diamond Offshore Drilling, Inc.		627,980
	112,200	Ensco Plc – Class A		851,598
	395,044	Freeport-McMoRan, Inc.		4,065,003
	45,600	Joy Global, Inc.		1,243,968
	69,704	Mosaic Co. (The)		2,095,999
	18,300	Murphy Oil Corp.		488,976
	49,600	Nabors Industries Ltd.		493,024
	31,700	National Oilwell Varco, Inc.		1,063,218
	15,000	Newfield Exploration Co. *		650,400

28 See accompanying notes to the financial statements.

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares / Par Value†		Description	Value ($)
		United States — continued
	113,000	Noble Corp Plc		650,880
	45,500	Northern Oil and Gas, Inc. *		147,420
	26,200	Oasis Petroleum, Inc. *		248,376
	38,300	Rowan Cos., Plc – Class A		477,218
	26,258	SM Energy Co.		994,653
	169,400	SolarEdge Technologies, Inc. *		2,883,188
	15,300	Southwestern Energy Co. *		212,823
	29,700	Tidewater, Inc.		97,119
	24,300	Unit Corp. *		415,287
		Total United States		23,555,250
		TOTAL COMMON STOCKS (COST $159,046,771)		164,634,480
		PREFERRED STOCKS — 9.3%
		Brazil — 1.9%
	1,132,600	Bradespar SA		3,605,577
		Chile — 5.4%
	81,127	Sociedad Quimica y Minera de Chile SA – Class B		2,062,374
	311,878	Sociedad Quimica y Minera de Chile SA Sponsored ADR		7,952,889
		Total Chile		10,015,263
		Russia — 2.0%
	23,591	Bashneft PJSC – Class S		707,721
	4,873,884	Surgutneftegas OJSC		2,442,303
	218,631	Tatneft PJSC		585,537
		Total Russia		3,735,561
		TOTAL PREFERRED STOCKS (COST $13,670,393)		17,356,401
		MUTUAL FUNDS — 1.3%
		United States — 1.3%
		Affiliated Issuers
	99,963	GMO U.S. Treasury Fund		2,500,080
		TOTAL MUTUAL FUNDS (COST $2,500,000)		2,500,080
		SHORT-TERM INVESTMENTS — 0.6%
		Time Deposits — 0.6%
	940,602	BNP Paribas (Paris) Time Deposit, 0.15%, due 09/01/16		940,602
EUR	2,708	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.54)%, due 09/01/16		3,021
NOK	53,226	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.08%, due 09/01/16		6,388

Par Value†		Description	Value ($)
		Time Deposits — continued
	165,556	Citibank (New York) Time Deposit, 0.15%, due 09/01/16		165,556
		Total Time Deposits		1,115,567
		TOTAL SHORT-TERM INVESTMENTS (COST $1,115,567)		1,115,567
		TOTAL INVESTMENTS — 99.8% (Cost $176,332,731)		185,606,528
		Other Assets and Liabilities (net) — 0.2%		299,551
		TOTAL NET ASSETS — 100.0%		$185,906,079

Notes to Schedule of Investments:

* Non-income producing security.

† Denominated in U.S. Dollar, unless otherwise indicated.

For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.

See accompanying notes to the financial statements. 29

GMO Risk Premium Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Short-Term Investments		93.4	%
Written Options		(0.9	)
Other		7.5
		100.0	%

& In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

30

GMO Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 93.4%
		U.S. Government — 93.2%
	46,900,000	U.S. Treasury Bill, 0.20%, due 09/15/16 (a) (b)		46,896,060
	38,000,000	U.S. Treasury Bill, 0.20%, due 09/22/16 (a) (b)		37,995,478
	22,000,000	U.S. Treasury Bill, 0.22%, due 10/20/16 (a) (b)		21,993,510
	33,000,000	U.S. Treasury Bill, 0.36%, due 01/05/17 (a) (b)		32,959,311
	2,600,000	U.S. Treasury Bill, 0.45%, due 02/16/17 (b)		2,594,639
	25,000,000	U.S. Treasury Bill, 0.46%, due 03/02/17 (a) (b)		24,942,025
	24,900,000	U.S. Treasury Bill, 0.56%, due 07/20/17 (a) (b)		24,777,467
		Total U.S. Government		192,158,490

Shares		Description	Value ($)
		Money Market Funds — 0.2%
	411,293	State Street Institutional Treasury Money Market Fund-Premier Class, 0.19% (c)		411,293
		TOTAL SHORT-TERM INVESTMENTS (COST $192,542,667)		192,569,783
		TOTAL INVESTMENTS — 93.4% (Cost $192,542,667)		192,569,783
		Other Assets and Liabilities (net) — 6.6%		13,577,692
		TOTAL NET ASSETS — 100.0%		$206,147,475

A summary of outstanding financial instruments at August 31, 2016 is as follows:

Written Options

Index Options

Number of Contracts		Expiration Date	Description	Premiums		Value
Put	3,073	09/16/2016	Euro STOXX 50, Strike 2,975	$	2,287,950	$	(762,614	)
Put	470	09/16/2016	S&P 500 Index, Strike 2,185		1,219,640		(1,184,400	)
				$	3,507,590	$	(1,947,014	)

As of August 31, 2016, 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:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) 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 (Note 4).

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

(c) The rate disclosed is the 7 day net yield as of August 31, 2016.

For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.

See accompanying notes to the financial statements. 31

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.5	%
Mutual Funds		1.4
Preferred Stocks		1.4
Short-Term Investments		0.3
Other		0.4
		100.0	%
Country Summary¤	% of Investments
Japan		20.4	%
United Kingdom		17.3
Germany		11.7
France		8.4
Australia		5.3
Netherlands		4.0
Other Developed		3.8	‡
Switzerland		3.6
Other Emerging		3.5	†
Italy		3.0
Hong Kong		2.9
China		2.5
South Korea		2.0
Canada		1.9
Taiwan		1.7
Spain		1.5
United States		1.5
Finland		1.4
Israel		1.3
Norway		1.3
Singapore		1.0
		100.0	%

& In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

¤ 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.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

Industry Group Summary	% of Equity Investments#
Capital Goods		9.1	%
Insurance		9.0
Banks		7.8
Automobiles & Components		7.2
Telecommunication Services		6.6
Pharmaceuticals, Biotechnology & Life Sciences		6.5
Real Estate		6.4
Materials		6.2
Energy		5.6
Food, Beverage & Tobacco		5.6
Household & Personal Products		3.6
Transportation		3.1
Technology Hardware & Equipment		3.1
Utilities		3.0
Diversified Financials		2.6
Food & Staples Retailing		2.5
Media		2.0
Software & Services		1.9
Retailing		1.9
Consumer Durables & Apparel		1.9
Health Care Equipment & Services		1.2
Commercial & Professional Services		1.2
Consumer Services		1.1
Semiconductors & Semiconductor Equipment		0.9
		100.0	%

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

32

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.5%
		Australia — 5.3%
	20,206	Adelaide Brighton Ltd		79,607
	2,843	ASX Ltd		109,147
	107,381	BlueScope Steel Ltd		700,168
	5,751	BT Investment Management Ltd		38,182
	14,851	BWP Trust (REIT)		36,225
	6,414	Caltex Australia Ltd		163,212
	12,692	Challenger Ltd		87,512
	6,452	CIMIC Group Ltd		143,277
	3,146	CSL Ltd		255,287
	34,056	CSR Ltd		88,163
	50,717	Dexus Property Group (REIT)		369,957
	21,637	Genworth Mortgage Insurance Australia Ltd		47,424
	97,177	GPT Group (The) (REIT)		388,698
	56,225	Incitec Pivot Ltd		120,187
	30,400	Investa Office Fund (REIT)		104,062
	19,962	LendLease Group		206,854
	6,493	Macquarie Group Ltd		393,057
	234,334	Mirvac Group (REIT)		407,849
	53,267	Orora Ltd		123,949
	29,645	OZ Minerals Ltd		142,224
	31,324	Primary Health Care Ltd		96,128
	220,741	Scentre Group (REIT)		823,515
	20,186	Sonic Healthcare Ltd		348,459
	121,318	South32 Ltd *		174,811
	64,473	Spotless Group Holdings Ltd		51,033
	21,251	Star Entertainment Grp Ltd (The)		94,094
	72,592	Stockland (REIT)		264,273
	180,636	Telstra Corp Ltd		713,317
	60,546	Vicinity Centres (REIT)		150,453
	14,662	Wesfarmers Ltd		467,091
	38,314	Westfield Corp (REIT)		293,866
	23,321	Woodside Petroleum Ltd		499,623
	14,510	WorleyParsons Ltd *		88,385
		Total Australia		8,070,089
		Austria — 0.6%
	88,088	Immofinanz AG (Entitlement Shares) * (a)		—
	7,133	OMV AG		199,868
	6,670	Raiffeisen Bank International AG *		94,914
	17,701	voestalpine AG		586,653
		Total Austria		881,435
		Belgium — 0.4%
	6,832	Ageas		236,906
	2,283	Groupe Bruxelles Lambert SA		200,504
	3,798	Proximus SADP		116,323
		Total Belgium		553,733

Shares		Description	Value ($)
		Brazil — 0.3%
	37,800	Ambev SA		224,632
	4,900	BB Seguridade Participacoes SA		44,232
	7,100	BM&FBovespa SA – Bolsa de Valores Mercadorias e Futuros		39,378
	15,800	JBS SA		61,161
	13,800	Kroton Educacional SA		58,974
	10,400	MRV Engenharia e Participacoes SA		39,614
	6,200	Transmissora Alianca de Energia Eletrica SA		44,544
		Total Brazil		512,535
		Canada — 1.9%
	7,600	Alimentation Couche-Tard Inc – Class B		391,938
	1,300	Canadian Tire Corp Ltd – Class A		133,162
	900	CCL Industries Inc – Class B		171,744
	7,400	CGI Group Inc – Class A *		360,182
	12,900	CI Financial Corp		252,511
	6,600	Great-West Lifeco Inc		157,627
	1,600	Industrial Alliance Insurance & Financial Services Inc		57,026
	12,020	Metro Inc		408,244
	8,900	Power Corp of Canada		188,126
	2,900	Russel Metals Inc		48,186
	16,100	Sun Life Financial Inc		508,020
	2,200	Toromont Industries Ltd		66,567
	3,600	Transcontinental Inc – Class A		52,707
	2,500	Westshore Terminals Investment Corp		42,245
		Total Canada		2,838,285
		China — 2.5%
	7,500	AAC Technologies Holdings Inc		85,420
	24,500	Anhui Conch Cement Co Ltd – Class H		68,620
	16,000	ANTA Sports Products Ltd		43,208
	54,000	Beijing Capital International Airport Co Ltd – Class H		60,792
	127,000	Belle International Holdings Ltd		82,320
	38,000	China Communications Construction Co Ltd – Class H		41,292
	106,000	China Communications Services Corp Ltd – Class H		62,223
	32,500	China Galaxy Securities Co Ltd – Class H		30,371
	25,000	China Mengniu Dairy Co Ltd		47,267
	56,500	China Mobile Ltd		696,025
	106,000	China National Building Material Co Ltd – Class H		47,697
	28,000	China Overseas Land & Investment Ltd		92,220
	13,600	China Pacific Insurance Group Co Ltd – Class H		47,647
	200,000	China Petroleum & Chemical Corp – Class H		142,949
	90,000	China Resources Cement Holdings Ltd		35,200
	34,000	China Resources Land Ltd		95,410
	42,000	China Resources Power Holdings Co Ltd		72,342

See accompanying notes to the financial statements. 33

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		China — continued
	25,000	China Shenhua Energy Co Ltd – Class H		44,769
	62,000	China Southern Airlines Co Ltd – Class H		36,710
	238,000	China Telecom Corp Ltd – Class H		122,634
	118,000	China Travel International Investment Hong Kong Ltd		34,605
	50,000	China Unicom Hong Kong Ltd		56,534
	121,000	CNOOC Ltd		145,977
	122,000	Datang International Power Generation Co Ltd – Class H		31,870
	52,000	Dongfeng Motor Group Co Ltd – Class H		55,425
	75,000	Geely Automobile Holdings Ltd		59,995
	35,500	Great Wall Motor Co Ltd – Class H		34,369
	60,000	Guangdong Investment Ltd		92,649
	29,200	Guangzhou R&F Properties Co Ltd – Class H		49,211
	21,000	Haitian International Holdings Ltd		42,218
	85,000	Huabao International Holdings Ltd *		32,704
	58,000	Huadian Power International Corp Ltd – Class H		25,894
	58,000	Huaneng Power International Inc – Class H		35,340
	42,000	Jiangsu Expressway Co Ltd – Class H		58,940
	29,500	Kingboard Chemical Holdings Ltd		76,706
	41,000	Kingboard Laminates Holdings Ltd		35,413
	40,000	Kunlun Energy Co Ltd		29,334
	67,000	Lee & Man Paper Manufacturing Ltd		53,966
	10,000	Minth Group Ltd		37,782
	111,000	People’s Insurance Co Group of China Ltd (The) – Class H		44,459
	58,000	PICC Property & Casualty Co Ltd – Class H		95,457
	29,500	Ping An Insurance Group Co of China Ltd – Class H		152,054
	16,000	Shanghai Industrial Holdings Ltd		41,580
	20,900	Shanghai Pharmaceuticals Holding Co Ltd – Class H		57,279
	58,000	Shenzhen Expressway Co Ltd – Class H		61,231
	35,000	Shenzhen International Holdings Ltd		56,090
	29,000	Shimao Property Holdings Ltd		40,249
	48,000	Sino Biopharmaceutical Ltd		30,744
	63,500	Sinopec Engineering Group Co Ltd – Class H		52,544
	11,600	Sinopharm Group Co Ltd – Class H		59,283
	104,000	Skyworth Digital Holdings Ltd		76,851
	34,000	TravelSky Technology Ltd – Class H		73,698
	56,000	Zhejiang Expressway Co Ltd – Class H		62,372
		Total China		3,847,939
		Czech Republic — 0.1%
	1,996	CEZ AS		34,840
	1,235	Komercni Banka as		41,767
		Total Czech Republic		76,607

Shares		Description	Value ($)
		Denmark — 0.9%
	417	AP Moeller – Maersk A/S – Class B		623,816
	17,062	Novo Nordisk A/S – Class B		798,515
		Total Denmark		1,422,331
		Finland — 1.4%
	2,834	Amer Sports Oyj		85,369
	11,148	Fortum Oyj		171,968
	6,666	Neste Oyj		277,654
	75,944	Nokia Oyj		428,356
	7,065	Nokian Renkaat Oyj		255,068
	6,723	Sampo Oyj – A Shares		289,170
	32,440	UPM-Kymmene Oyj		652,043
		Total Finland		2,159,628
		France — 8.3%
	65,210	Air France-KLM *		358,933
	3,891	Atos SE		383,636
	125,509	AXA SA		2,641,621
	5,928	BNP Paribas SA		302,746
	16,919	Bouygues SA		537,816
	5,248	Capgemini SA		512,780
	1,878	Christian Dior SE		325,440
	4,564	Cie Generale des Etablissements Michelin		486,506
	15,143	Engie SA		242,009
	16,002	GDF Suez Strip – VVPR * (a)		—
	988	Gecina SA (REIT)		154,853
	1,013	IPSOS		33,307
	1,307	Nexity SA *		68,588
	27,195	Peugeot SA *		402,562
	1,978	Plastic Omnium SA		63,247
	7,881	Renault SA		647,212
	3,919	Schneider Electric SE		267,360
	477	SEB SA		63,519
	20,665	Societe Generale SA		754,474
	88,239	TOTAL SA		4,215,740
	8,850	Veolia Environnement SA		188,591
		Total France		12,650,940
		Germany — 11.0%
	25,194	Allianz SE (Registered)		3,745,264
	1,759	Axel Springer SE		89,530
	13,693	Bayerische Motoren Werke AG		1,189,824
	2,936	Continental AG		614,283
	36,031	Daimler AG (Registered)		2,494,099
	35,471	Deutsche Lufthansa AG (Registered)		412,622
	65,795	Deutsche Telekom AG (Registered)		1,097,548
	7,260	Duerr AG		613,046
	689	Fielmann AG		53,862
	9,412	Freenet AG		270,024

34 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	3,807	Fresenius SE & Co KGaA		277,526
	919	Grammer AG		53,227
	3,167	Hannover Rueck SE		323,759
	6,192	HeidelbergCement AG		574,612
	14,248	Infineon Technologies AG		239,087
	10,399	K+S AG (Registered)		217,343
	5,987	Leoni AG		221,511
	7,389	METRO AG		219,005
	5,339	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		964,122
	9,465	ProSiebenSat.1 Media SE		408,380
	1,776	RTL Group SA		149,510
	19,809	Siemens AG (Registered)		2,363,149
	1,476	Volkswagen AG		213,673
		Total Germany		16,805,006
		Hong Kong — 2.9%
	128,500	BOC Hong Kong Holdings Ltd		448,642
	58,500	CK Hutchison Holdings Ltd		750,581
	21,600	Dah Sing Banking Group Ltd		39,637
	46,000	First Pacific Co Ltd		34,429
	25,600	Henderson Land Development Co Ltd		149,364
	90,600	Hongkong Land Holdings Ltd		587,205
	16,000	Hysan Development Co Ltd		77,147
	29,000	Kerry Properties Ltd		84,223
	134,500	Link (REIT)		976,998
	80,000	Sino Land Co Ltd		136,727
	14,000	Sun Hung Kai Properties Ltd		196,676
	31,500	Swire Pacific Ltd – Class A		347,508
	58,000	Wharf Holdings Ltd (The)		408,757
	21,000	Wheelock & Co Ltd		119,912
		Total Hong Kong		4,357,806
		Hungary — 0.1%
	684	MOL Hungarian Oil & Gas Plc		42,695
	2,172	OTP Bank Plc		56,703
	1,622	Richter Gedeon Nyrt		33,274
		Total Hungary		132,672
		India — 0.3%
	12,073	Cairn India Ltd		35,901
	7,577	Indiabulls Housing Finance Ltd		92,511
	7,100	Infosys Ltd Sponsored ADR		112,606
	3,981	Reliance Industries Ltd		62,221
	1,026	Tata Consultancy Services Ltd		38,522
	10,807	Tata Motors Ltd		87,096
	5,018	UPL Ltd		47,758
		Total India		476,615

Shares		Description	Value ($)
		Ireland — 0.3%
	16,028	Smurfit Kappa Group Plc		395,610
		Israel — 1.3%
	39,597	Bank Hapoalim BM		212,602
	52,521	Bank Leumi Le-Israel BM *		196,812
	74,084	Bezeq The Israeli Telecommunication Corp Ltd		148,904
	5,900	Check Point Software Technologies Ltd *		452,766
	959	Frutarom Industries Ltd		50,616
	18,661	Teva Pharmaceutical Industries Ltd		945,255
		Total Israel		2,006,955
		Italy — 3.0%
	319,772	A2A SPA		424,391
	16,042	Azimut Holding SPA		246,360
	52,269	Banca Mediolanum SPA		363,132
	1,351	Brembo SPA		78,926
	2,247	Danieli & C Officine Meccaniche SPA – RSP		32,496
	108,082	Enel SPA		477,608
	25,550	Eni SPA		385,706
	16,001	EXOR SPA		657,939
	7,042	Ferrari NV		339,670
	59,190	Leonardo-Finmeccanica SPA *		675,921
	129,639	Mediaset SPA		410,521
	436,151	Telecom Italia SPA-Di RISP *		319,830
	49,122	Unipol Gruppo Finanziario SPA		136,766
		Total Italy		4,549,266
		Japan — 20.3%
	21,100	Acom Co Ltd *		101,066
	46,900	Aiful Corp *		150,643
	7,800	Asahi Group Holdings Ltd		255,206
	4,300	Asatsu-DK Inc		105,535
	8,900	Bridgestone Corp		306,097
	22,500	Canon Inc		645,203
	6,500	Central Japan Railway Co		1,068,869
	22,500	Concordia Financial Group Ltd *		116,327
	13,100	Daicel Corp		167,400
	21,000	Daiichi Sankyo Co Ltd		482,464
	5,900	Daito Trust Construction Co Ltd		869,099
	15,400	Daiwa House Industry Co Ltd		397,848
	6,400	East Japan Railway Co		549,606
	22,100	Fuji Heavy Industries Ltd		879,629
	22,700	FUJIFILM Holdings Corp		854,209
	38,000	Hanwa Co Ltd		212,244
	40,300	Haseko Corp		381,984
	7,800	Hoya Corp		302,529
	4,400	Idemitsu Kosan Co Ltd		80,178
	132,300	ITOCHU Corp		1,562,318

See accompanying notes to the financial statements. 35

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	10,800	Japan Airlines Co Ltd		329,639
	24,600	Japan Tobacco Inc		953,225
	16,300	JFE Holdings Inc		253,467
	19,520	K’s Holdings Corp		308,231
	5,200	Kao Corp		270,392
	88,100	KDDI Corp		2,575,571
	27,800	Kenedix Inc		127,804
	17,100	Konica Minolta Inc		154,476
	12,700	Kuraray Co Ltd		181,736
	1,900	Lawson Inc		133,375
	68,100	Leopalace21 Corp		452,021
	100,100	Marubeni Corp		499,529
	26,100	Medipal Holdings Corp		413,371
	75,800	Mitsubishi Chemical Holdings Corp		479,659
	31,000	Mitsubishi Corp		645,924
	35,000	Mitsubishi Electric Corp		458,026
	42,000	Mitsubishi Materials Corp		118,646
	180,000	Mitsubishi UFJ Financial Group Inc		991,535
	29,700	Mitsui & Co Ltd		395,456
	106,000	Mitsui OSK Lines Ltd		245,444
	357,100	Mizuho Financial Group Inc		622,185
	6,600	Nagase & Co Ltd		73,362
	6,100	Nexon Co Ltd		83,731
	43,400	Nippon Telegraph & Telephone Corp		1,908,258
	5,100	Nissan Chemical Industries Ltd		156,795
	77,000	Nissan Motor Co Ltd		756,565
	5,300	Nomura Real Estate Holdings Inc		86,438
	31,200	NTT DOCOMO Inc		786,842
	21,000	ORIX Corp		302,629
	13,800	Otsuka Holdings Co Ltd		598,418
	75,300	Resona Holdings Inc		344,853
	19,700	Sekisui House Ltd		317,837
	1,000	Shimamura Co Ltd		115,758
	225,500	Sojitz Corp		540,861
	42,000	Sumitomo Chemical Co Ltd		192,686
	47,700	Sumitomo Corp		517,582
	42,400	Sumitomo Mitsui Financial Group Inc		1,483,242
	60,000	Sumitomo Mitsui Trust Holdings Inc		215,294
	6,820	Suzuken Co Ltd		198,023
	3,500	Takeda Pharmaceutical Co Ltd		154,321
	44,200	Tokyo Electric Power Co Holdings Inc *		178,141
	137,000	Tosoh Corp		845,236
	25,700	Toyota Tsusho Corp		588,504
	20,360	USS Co Ltd		325,763
		Total Japan		30,869,305
		Malta — 0.0%
	1,718,063	BGP Holdings Plc * (a)		—

Shares		Description	Value ($)
		Mexico — 0.3%
	132,300	America Movil SAB de CV – Class L		79,000
	5,700	Arca Continental SAB de CV		35,588
	16,800	Gentera SAB de CV		32,829
	3,200	Gruma SAB de CV – Class B		42,542
	4,200	Grupo Aeroportuario del Pacifico SAB de CV – Class B		41,762
	2,330	Grupo Aeroportuario del Sureste SAB de CV – Class B		35,481
	12,900	Grupo Financiero Banorte SAB de CV – Class O		69,519
	20,200	OHL Mexico SAB de CV *		28,528
	58,700	Wal-Mart de Mexico SAB de CV		134,088
		Total Mexico		499,337
		Netherlands — 4.0%
	5,966	Heineken NV		534,323
	54,456	ING Groep NV		681,536
	50,664	Koninklijke Ahold Delhaize NV		1,216,278
	30,276	RELX NV		537,036
	10,191	TomTom NV *		93,869
	51,703	Unilever NV CVA		2,378,913
	14,998	Wolters Kluwer NV		630,921
		Total Netherlands		6,072,876
		New Zealand — 0.4%
	10,112	Fisher & Paykel Healthcare Corp Ltd		70,912
	42,712	Fletcher Building Ltd		328,141
	17,565	SKYCITY Entertainment Group Ltd		63,834
	81,592	Spark New Zealand Ltd		225,141
		Total New Zealand		688,028
		Norway — 1.3%
	62,932	Seadrill Ltd *		153,753
	33,768	Statoil ASA		529,746
	18,080	Subsea 7 SA *		195,507
	24,791	Telenor ASA		432,332
	17,924	Yara International ASA		634,743
		Total Norway		1,946,081
		Peru — 0.0%
	400	Credicorp Ltd		62,672
		Poland — 0.1%
	2,202	KGHM Polska Miedz SA *		41,277
	10,534	PGE Polska Grupa Energetyczna SA		31,123
	3,168	Polski Koncern Naftowy ORLEN SA		52,731
	23,236	Polskie Gornictwo Naftowe i Gazownictwo SA		31,733
	34,693	Tauron Polska Energia SA *		24,674
		Total Poland		181,538

36 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Portugal — 0.3%
	119,687	EDP – Energias de Portugal SA		402,102
		Russia — 0.4%
	42,749	Gazprom PJSC Sponsored ADR		172,848
	5,094	Lukoil PJSC Sponsored ADR		228,292
	7,004	MMC Norilsk Nickel PJSC ADR		105,436
	3,514	Tatneft PAO Sponsored ADR		103,628
		Total Russia		610,204
		Singapore — 1.0%
	107,000	Ascendas Real Estate Investment Trust		192,293
	61,900	CapitaLand Commercial Trust (REIT)		70,132
	55,600	CapitaLand Ltd		125,017
	66,000	CapitaLand Mall Trust (REIT)		104,578
	31,500	DBS Group Holdings Ltd		346,083
	77,400	Global Logistic Properties Ltd		102,914
	733,100	Golden Agri-Resources Ltd		193,360
	29,800	Oversea-Chinese Banking Corp Ltd		187,588
	11,100	Singapore Exchange Ltd		61,499
	11,300	United Overseas Bank Ltd		149,007
		Total Singapore		1,532,471
		South Africa — 0.9%
	8,698	AVI Ltd		52,686
	5,290	Barclays Africa Group Ltd		53,633
	4,867	Barloworld Ltd		27,553
	5,022	Bidvest Group Ltd (The)		51,941
	6,332	Clicks Group Ltd		52,094
	24,321	FirstRand Ltd		73,066
	5,920	Hyprop Investments Ltd (REIT)		51,820
	3,269	Imperial Holdings Ltd		35,095
	6,471	Liberty Holdings Ltd		49,568
	31,582	MMI Holdings Ltd		48,548
	1,534	Mondi Ltd		30,996
	13,643	MTN Group Ltd		111,569
	4,272	Nedbank Group Ltd		60,059
	12,771	Rand Merchant Investment Holdings Ltd		36,350
	76,433	Redefine Properties Ltd		57,405
	3,145	Resilient REIT Ltd		25,257
	12,187	RMB Holdings Ltd		48,793
	7,019	Sanlam Ltd		29,849
	7,201	Sasol Ltd		181,785
	16,950	Sibanye Gold Ltd		65,878
	2,434	SPAR Group Ltd (The)		31,804
	7,855	Standard Bank Group Ltd		71,226
	5,120	Steinhoff International Holdings NV		30,739
	9,872	Super Group Ltd *		27,212
		Total South Africa		1,304,926

Shares		Description	Value ($)
		South Korea — 1.6%
	2,596	BNK Financial Group Inc		20,558
	494	Coway Co Ltd		36,897
	1,206	Dongbu Insurance Co Ltd		72,920
	205	E-MART Inc		28,921
	406	GS Holdings Corp		17,946
	2,805	Hana Financial Group Inc		73,467
	1,573	Hankook Tire Co Ltd		78,671
	377	Hyundai Department Store Co Ltd		42,339
	7,353	Hanwha Life Insurance Co Ltd		37,312
	1,679	Hyundai Marine & Fire Insurance Co Ltd		50,839
	848	Hyundai Mobis Co Ltd		197,617
	1,560	Hyundai Motor Co		185,839
	503	Hyundai Steel Co		23,079
	5,572	Industrial Bank of Korea		58,618
	445	Kangwon Land Inc		15,734
	3,894	KB Financial Group Inc		135,862
	1,524	KB Insurance Co Ltd		36,800
	2,943	Kia Motors Corp		110,629
	522	Korea Investment Holdings Co Ltd		18,719
	3,227	Korean Reinsurance Co		34,578
	918	KT&G Corp		96,243
	3,008	LG Display Co Ltd		80,685
	273	Lotte Shopping Co Ltd		49,582
	2,187	Meritz Fire & Marine Insurance Co Ltd		30,520
	1,903	Mirae Asset Securities Co Ltd		40,012
	87	POSCO		17,909
	1,043	Samsung Card Co Ltd		41,298
	281	Samsung Electronics Co Ltd		407,582
	143	Samsung Fire & Marine Insurance Co Ltd		34,533
	400	Samsung Life Insurance Co Ltd		36,905
	3,051	Shinhan Financial Group Co Ltd		111,511
	272	Shinsegae Inc		49,547
	2,254	SK Hynix Inc		73,493
	588	SK Innovation Co Ltd		76,319
	8,161	Woori Bank		77,543
		Total South Korea		2,501,027
		Spain — 1.5%
	15,379	ACS Actividades de Construccion y Servicios SA		436,129
	8,890	Amadeus IT Group SA		408,609
	11,501	Ferrovial SA		226,814
	14,829	Gas Natural SDG SA		306,331
	9,768	Grifols SA		206,959
	110,588	Iberdrola SA		728,435
		Total Spain		2,313,277
		Sweden — 0.9%
	2,888	Fastighets AB Balder – B Shares *		80,597
	3,360	JM AB		85,272

See accompanying notes to the financial statements. 37

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Sweden — continued
	2,808	Modern Times Group MTG AB – B Shares		70,504
	18,366	Svenska Cellulosa AB SCA – Class B		564,491
	86,141	Telefonaktiebolaget LM Ericsson – B Shares		613,520
		Total Sweden		1,414,384
		Switzerland — 3.6%
	10,585	ABB Ltd (Registered) *		229,609
	6,825	Adecco Group AG (Registered)		393,187
	1,573	Baloise Holding AG (Registered)		187,404
	49	dorma & kaba Holding AG – Class B (Registered)		38,487
	133	EMS-Chemie Holding AG (Registered)		70,824
	107	Georg Fischer AG (Registered)		86,115
	190	Givaudan SA (Registered)		393,002
	112	Helvetia Holding AG (Registered)		56,024
	1,908	Kuehne & Nagel International AG (Registered)		266,577
	6,904	Logitech International SA (Registered)		144,746
	631	Pargesa Holding SA		43,530
	2,658	Roche Holding AG		648,819
	42	SGS SA (Registered)		92,379
	55	Sika AG		262,230
	884	Swatch Group AG (The) (Registered)		44,926
	1,935	Swiss Life Holding AG (Registered) *		485,134
	21,481	Swiss Re AG		1,815,287
	981	Zurich Insurance Group AG *		251,203
		Total Switzerland		5,509,483
		Taiwan — 1.7%
	49,000	Advanced Semiconductor Engineering Inc		59,622
	6,000	Asustek Computer Inc		50,677
	23,000	Cathay Financial Holding Co Ltd		29,011
	39,360	Chang Hwa Commercial Bank Ltd		19,752
	86,000	China Development Financial Holding Corp		21,691
	26,480	China Life Insurance Co Ltd		23,405
	16,000	Chunghwa Telecom Co Ltd		57,441
	134,000	Compal Electronics Inc		79,311
	85,000	CTBC Financial Holding Co Ltd		49,074
	87,635	First Financial Holding Co Ltd		44,983
	29,000	Foxconn Technology Co Ltd *		81,223
	64,000	Fubon Financial Holding Co Ltd		90,343
	122,000	Hon Hai Precision Industry Co Ltd		337,462
	110,564	Hua Nan Financial Holdings Co Ltd – Class C		56,911
	97,000	Inventec Corp		71,835
	50,249	Lite-On Technology Corp		75,919
	127,000	Mega Financial Holding Co Ltd		86,355
	10,000	Novatek Microelectronics Corp		34,067
	14,000	Pegatron Corp		33,779
	64,000	Pou Chen Corp		92,560
	206,000	Shin Kong Financial Holding Co Ltd *		45,106

Shares		Description	Value ($)
		Taiwan — continued
	44,000	Siliconware Precision Industries Co Ltd		65,518
	3,100	SinoPac Financial Holdings Co Ltd		905
	162,999	Taishin Financial Holding Co Ltd		61,571
	39,000	Taiwan Cement Corp		44,440
	25,900	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		744,366
	27,000	Uni-President Enterprises Corp		50,945
	212,000	United Microelectronics Corp		76,868
	2,123	Wistron Corp		1,557
	137,000	Yuanta Financial Holding Co Ltd		48,483
		Total Taiwan		2,535,180
		Thailand — 0.1%
	9,900	Kasikornbank Pcl NVDR		56,427
	153,300	Krung Thai Bank Pcl (Foreign Registered)		84,057
	8,100	PTT Pcl (Foreign Registered)		81,395
		Total Thailand		221,879
		Turkey — 0.3%
	19,275	Akbank TAS		50,947
	3,162	Arcelik AS		22,621
	28,711	Eregli Demir ve Celik Fabrikalari TAS		43,195
	9,799	Haci Omer Sabanci Holding AS		30,234
	10,322	KOC Holding AS		44,803
	1,997	Tupras-Turkiye Petrol Rafineriler AS		39,099
	14,346	Turkcell Iletisim Hizmetleri AS *		48,083
	22,477	Turkiye Garanti Bankasi AS		57,974
	25,560	Turkiye Is Bankasi – Class C		41,556
	20,914	Turkiye Sise ve Cam Fabrikalari AS		24,184
		Total Turkey		402,696
		United Kingdom — 17.2%
	23,644	3i Group Plc		190,830
	3,848	Associated British Foods Plc		153,672
	30,507	AstraZeneca Plc		1,969,257
	46,296	BAE Systems Plc		327,151
	55,298	Balfour Beatty Plc *		205,088
	12,846	Berkeley Group Holdings Plc (The)		450,725
	60,720	British American Tobacco Plc		3,767,228
	20,814	British Land Co Plc (The) (REIT)		181,281
	13,946	Bunzl Plc		432,005
	93,366	Cobham Plc		198,182
	33,668	Compass Group Plc		637,250
	2,445	CYBG Plc CDI *		8,550
	26,902	Direct Line Insurance Group Plc		130,652
	28,612	DS Smith Plc		153,534
	168,638	GlaxoSmithKline Plc		3,629,974
	20,460	Halfords Group Plc		93,476
	68,150	Home Retail Group Plc		142,848
	316,948	HSBC Holdings Plc		2,356,482
	35,481	Imperial Brands Plc		1,861,097

38 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	33,865	Inchcape Plc		312,100
	115,235	Kingfisher Plc		562,008
	110,901	Legal & General Group Plc		306,765
	57,947	Man Group Plc		82,764
	33,291	Marks & Spencer Group Plc		150,585
	10,758	Mondi Plc		218,907
	51,851	National Grid Plc		713,574
	6,162	Next Plc		447,194
	20,220	Pearson Plc		229,936
	22,504	Persimmon Plc		539,077
	13,059	Reckitt Benckiser Group Plc		1,261,483
	41,424	Royal Mail Plc		279,534
	46,897	Sage Group Plc (The)		446,824
	143,146	Tesco Plc *		312,693
	293,623	Thomas Cook Group Plc *		268,534
	22,685	TUI AG		316,817
	18,791	Unilever Plc		872,302
	41,227	William Hill Plc		172,412
	129,152	WM Morrison Supermarkets Plc		334,183
	61,520	WPP Plc		1,420,372
		Total United Kingdom		26,137,346
		TOTAL COMMON STOCKS (COST $126,433,700)		146,942,264
		PREFERRED STOCKS — 1.4%
		Brazil — 0.5%
	17,380	Banco Bradesco SA		156,405
	10,300	Bradespar SA		32,790
	11,900	Centrais Eletricas Brasileiras SA – Class B *		105,026
	7,000	Cia Energetica de Sao Paulo – Class B		29,242
	32,700	Companhia Energetica de Minas Gerais		88,605
	75,840	Itausa-Investimentos Itau SA		201,977
	21,000	Vale SA		94,101
		Total Brazil		708,146
		Germany — 0.5%
	1,092	Bayerische Motoren Werke AG		81,729
	14,682	Porsche Automobil Holding SE		741,845
		Total Germany		823,574
		Russia — 0.1%
	277,820	Surgutneftegas OJSC		139,216
		South Korea — 0.3%
	442	Hyundai Motor Co		37,973
	627	Hyundai Motor Co 2nd Preference		56,500
	301	Samsung Electronics Co Ltd		356,977
		Total South Korea		451,450
		TOTAL PREFERRED STOCKS (COST $1,554,339)		2,122,386

Shares /  Par Value†		Description	Value ($)
		MUTUAL FUNDS — 1.4%
		United States — 1.4%
		Affiliated Issuers
	88,304	GMO U.S. Treasury Fund		2,208,490
		TOTAL MUTUAL FUNDS (COST $2,208,483)		2,208,490
		SHORT-TERM INVESTMENTS — 0.3%
		Time Deposits — 0.3%
ZAR	29,002	Brown Brothers Harriman (Grand Cayman) Time Deposit, 6.44%, due 09/01/16		1,973
SGD	9,278	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/16		6,809
HKD	85,575	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/16		11,031
GBP	4,307	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 09/01/16		5,656
EUR	4,609	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.54)%, due 09/01/16		5,141
CAD	292	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 09/01/16		223
AUD	77,788	National Australia Bank (Melbourne) Time Deposit, 0.69%, due 09/01/16		58,461
	304,900	Sumitomo (Tokyo) Time Deposit, 0.15%, due 09/01/16		304,900
JPY	3,091,501	Sumitomo (Tokyo) Time Deposit, (0.29)%, due 09/01/16		29,880
		Total Time Deposits		424,074
		TOTAL SHORT-TERM INVESTMENTS (COST $424,074)		424,074
		TOTAL INVESTMENTS — 99.6% (Cost $130,620,596)		151,697,214
		Other Assets and Liabilities (net) — 0.4%		543,693
		TOTAL NET ASSETS — 100.0%		$152,240,907

Notes to Schedule of Investments:

* Non-income producing security.

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2).

For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.

See accompanying notes to the financial statements. 39

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.7	%
Mutual Funds		0.4
Short-Term Investments		0.2
Other		0.7
		100.0	%
Industry Group Summary	% of Equity Investments#
Software & Services		8.9	%
Energy		8.7
Technology Hardware & Equipment		8.6
Pharmaceuticals, Biotechnology & Life Sciences		7.9
Retailing		7.7
Insurance		6.8
Capital Goods		6.4
Health Care Equipment & Services		5.6
Food, Beverage & Tobacco		5.5
Semiconductors & Semiconductor Equipment		4.7
Banks		4.4
Diversified Financials		4.3
Transportation		4.1
Materials		3.8
Telecommunication Services		3.7
Commercial & Professional Services		2.4
Automobiles & Components		2.3
Media		1.4
Consumer Durables & Apparel		1.3
Utilities		0.6
Real Estate		0.5
Food & Staples Retailing		0.4
Household & Personal Products		0.0	^
Consumer Services		0.0	^
		100.0	%

& In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

40

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.7%
		Automobiles & Components — 2.3%
	6,000	Cooper-Standard Holding, Inc. *		594,300
	66,921	Drew Industries, Inc.		6,815,904
	71,900	Gentex Corp.		1,279,101
	254,283	Lear Corp.		29,570,570
	13,984	Superior Industries International, Inc.		407,074
	111,085	Thor Industries, Inc.		9,014,548
	80,365	Tower International, Inc.		1,952,869
		Total Automobiles & Components		49,634,366
		Banks — 4.3%
	4,236	American National Bankshares, Inc.		113,398
	100,348	Chemical Financial Corp.		4,639,088
	199,809	Citigroup, Inc.		9,538,882
	4,500	CNB Financial Corp.		90,675
	202,461	Essent Group Ltd. *		5,381,413
	5,300	Federal Agricultural Mortgage Corp. – Class C		217,194
	2,000	First Bancorp, Inc.		45,020
	3,800	German American Bancorp, Inc.		140,068
	1,007,898	JPMorgan Chase & Co.		68,033,115
	83,771	Northwest Bancshares, Inc.		1,300,126
	30,250	PennyMac Financial Services, Inc. – Class A *		500,638
	5,000	Territorial Bancorp, Inc.		142,800
	7,533	Trustmark Corp.		213,636
	6,300	Univest Corp. of Pennsylvania		147,042
	144,941	Walker & Dunlop, Inc. *		3,840,936
		Total Banks		94,344,031
		Capital Goods — 6.3%
	352,220	3M Co.		63,131,913
	232,844	AGCO Corp.		11,302,248
	18,400	Briggs & Stratton Corp.		349,784
	17,851	Douglas Dynamics, Inc.		572,660
	475,071	Emerson Electric Co.		25,026,740
	53,300	Honeywell International, Inc.		6,220,643
	181,563	Snap-on, Inc.		27,831,792
	30,719	Tutor Perini Corp. *		712,374
	117,300	Wabash National Corp. *		1,636,335
		Total Capital Goods		136,784,489
		Commercial & Professional Services — 2.4%
	184,929	ACCO Brands Corp. *		1,849,290
	213,637	Cintas Corp.		25,104,484
	133,155	Deluxe Corp.		9,077,176
	6,800	Heidrick & Struggles International, Inc.		127,092
	108,417	KAR Auction Services, Inc.		4,583,871
	345,180	Korn/Ferry International		8,229,091
	15,741	TRC Cos., Inc. *		119,947
	142,573	TrueBlue, Inc. *		3,115,220
		Total Commercial & Professional Services		52,206,171

Shares		Description	Value ($)
		Consumer Durables & Apparel — 1.3%
	6,500	Bassett Furniture Industries, Inc.		160,940
	8,475	Columbia Sportswear Co.		476,041
	4,100	CSS Industries, Inc.		104,427
	6,800	Culp, Inc.		215,628
	4,395	Flexsteel Industries, Inc.		208,543
	208,573	Helen of Troy Ltd. *		18,842,485
	230,263	Smith & Wesson Holding Corp. *		6,481,903
	30,127	Tupperware Brands Corp.		1,974,222
		Total Consumer Durables & Apparel		28,464,189
		Consumer Services — 0.0%
	12,300	Bridgepoint Education, Inc. *		89,175
		Diversified Financials — 3.9%
	129,188	BlackRock Capital Investment Corp.		1,126,519
	431,937	Capital One Financial Corp.		30,926,689
	239,637	Cash America International, Inc.		10,431,399
	8,404	Encore Capital Group, Inc. *		181,190
	329,366	Nasdaq, Inc.		23,454,153
	6,673	OneMain Holdings, Inc. *		206,930
	156,814	PRA Group, Inc. *		5,014,912
	26,612	Regional Management Corp. *		575,351
	193,805	T. Rowe Price Group, Inc.		13,477,200
		Total Diversified Financials		85,394,343
		Energy — 8.6%
	107,000	California Resources Corp.		1,062,510
	602,193	Chevron Corp.		60,568,572
	357,933	Denbury Resources, Inc. *		1,102,434
	35,778	Exterran Corp. *		505,543
	1,243,124	Marathon Oil Corp.		18,671,723
	611,605	Tesoro Corp.		46,127,249
	47,900	Unit Corp. *		818,611
	1,055,884	Valero Energy Corp.		58,443,179
		Total Energy		187,299,821
		Food & Staples Retailing — 0.4%
	108,300	Wal-Mart Stores, Inc.		7,736,952
		Food, Beverage & Tobacco — 5.5%
	22,000	Altria Group, Inc.		1,453,980
	563,411	Dr Pepper Snapple Group, Inc.		52,791,611
	215,513	Hormel Foods Corp.		8,245,527
	344,345	Ingredion, Inc.		47,161,491
	28,100	John B. Sanfilippo & Son, Inc.		1,444,902
	111,200	Omega Protein Corp. *		2,803,352
	22,200	Philip Morris International, Inc.		2,218,446
	53,400	Universal Corp.		3,213,078
		Total Food, Beverage & Tobacco		119,332,387

See accompanying notes to the financial statements. 41

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Health Care Equipment & Services — 5.5%
	162,652	Aetna, Inc.		19,049,802
	248,101	Anthem, Inc.		31,032,473
	56,277	Chemed Corp.		7,593,456
	8,921	Exactech, Inc. *		247,915
	10,300	Triple-S Management Corp. – Class B *		225,467
	458,143	UnitedHealth Group, Inc.		62,330,355
		Total Health Care Equipment & Services		120,479,468
		Household & Personal Products — 0.0%
	15,800	Central Garden & Pet Co. *		405,744
	13,900	Central Garden & Pet Co. – Class A *		337,075
	5,700	Nutraceutical International Corp. *		144,381
		Total Household & Personal Products		887,200
		Insurance — 6.7%
	267,799	Aflac, Inc.		19,865,330
	12,192	American Equity Investment Life Holding Co.		214,823
	9,200	American National Insurance Co.		1,074,744
	804,376	Assured Guaranty Ltd.		22,337,521
	89,804	Everest Re Group Ltd.		17,366,297
	284,976	First American Financial Corp.		12,279,616
	86,189	Hanover Insurance Group, Inc. (The)		6,739,980
	561,966	MBIA, Inc. *		4,529,446
	28,129	Navigators Group, Inc. (The)		2,643,001
	39,012	Selective Insurance Group, Inc.		1,556,579
	480,047	Travelers Cos., Inc. (The)		56,986,379
	2,372	W.R. Berkley Corp.		140,826
		Total Insurance		145,734,542
		Materials — 3.7%
	61,943	AptarGroup, Inc.		4,830,315
	357,447	Avery Dennison Corp.		27,680,696
	125,444	Chemours Co. (The)		1,654,606
	596,880	LyondellBasell Industries NV – Class A		47,087,863
		Total Materials		81,253,480
		Media — 1.4%
	172,498	Gannett Co., Inc.		2,057,901
	22,485	Meredith Corp.		1,192,604
	216,540	News Corp. – Class A		3,044,553
	245,600	Omnicom Group, Inc.		21,153,528
	42,775	Scripps Networks Interactive, Inc. – Class A		2,710,652
		Total Media		30,159,238
		Pharmaceuticals, Biotechnology & Life Sciences — 7.8%
	178,100	Gilead Sciences, Inc.		13,959,478
	682,547	Johnson & Johnson		81,455,159
	1,410,437	PDL BioPharma, Inc.		4,104,372
	2,020,338	Pfizer, Inc.		70,307,762
		Total Pharmaceuticals, Biotechnology & Life Sciences		169,826,771

Shares		Description	Value ($)
		Real Estate — 0.8%
	60,700	Apollo Commercial Real Estate Finance, Inc. REIT		989,410
	5,221	Ares Commercial Real Estate Corp. REIT		65,628
	341,139	ARMOUR Residential REIT, Inc.		7,586,931
	17,412	CatchMark Timber Trust, Inc. REIT – Class A		203,721
	75,243	Jones Lang LaSalle, Inc.		8,784,620
	18,480	Newcastle Investment Corp. REIT		85,932
		Total Real Estate		17,716,242
		Retailing — 7.6%
	857,276	Bed Bath & Beyond, Inc.		39,751,888
	731,295	Foot Locker, Inc.		48,002,204
	416,802	Guess?, Inc.		6,931,417
	502,900	Home Depot, Inc. (The)		67,448,948
	65,609	Murphy USA, Inc. *		4,797,330
		Total Retailing		166,931,787
		Semiconductors & Semiconductor Equipment — 4.6%
	1,976,816	Intel Corp.		70,947,926
	481,981	QUALCOMM, Inc.		30,398,542
		Total Semiconductors & Semiconductor Equipment		101,346,468
		Software & Services — 8.8%
	150,874	Accenture Plc – Class A		17,350,510
	170,273	Activision Blizzard, Inc.		7,044,194
	455,005	Amdocs Ltd.		27,354,901
	109,120	Booz Allen Hamilton Holding Corp.		3,312,883
	102,280	CA, Inc.		3,468,315
	7,600	CACI International, Inc. – Class A *		755,136
	4,670	Citrix Systems, Inc. *		407,224
	356,225	Convergys Corp.		10,626,192
	33,651	CSG Systems International, Inc.		1,471,222
	297,534	Fiserv, Inc. *		30,660,879
	272,399	International Business Machines Corp.		43,278,753
	204,400	Microsoft Corp.		11,744,824
	124,541	Net 1 UEPS Technologies, Inc. *		1,216,765
	524,602	Paychex, Inc.		31,827,603
	60,080	Sykes Enterprises, Inc. *		1,756,138
		Total Software & Services		192,275,539
		Technology Hardware & Equipment — 8.5%
	363,165	Apple, Inc.		38,531,806
	462,081	Arrow Electronics, Inc. *		30,418,792
	641,764	Avnet, Inc.		26,748,724
	2,202,829	Cisco Systems, Inc.		69,256,944
	18,841	ePlus, Inc. *		1,705,299
	26,214	F5 Networks, Inc. *		3,217,244
	26,802	Insight Enterprises, Inc. *		820,141
	162,941	Jabil Circuit, Inc.		3,452,720
	148,493	Sanmina Corp. *		3,902,396

42 See accompanying notes to the financial statements.

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Technology Hardware & Equipment — continued
	99,638	Tech Data Corp. *		7,397,125
		Total Technology Hardware & Equipment		185,451,191
		Telecommunication Services — 3.6%
	162,700	AT&T, Inc.		6,651,176
	2,800	FairPoint Communications, Inc. *		39,032
	15,255	United States Cellular Corp. *		567,791
	1,364,317	Verizon Communications, Inc.		71,394,709
	13,175	Vonage Holdings Corp. *		76,547
		Total Telecommunication Services		78,729,255
		Transportation — 4.1%
	152,178	Alaska Air Group, Inc.		10,276,580
	59,192	Atlas Air Worldwide Holdings, Inc. *		2,198,391
	1,047,385	Delta Air Lines, Inc.		38,491,399
	871,546	JetBlue Airways Corp. *		13,901,159
	43,045	Matson, Inc.		1,661,106
	138,866	SkyWest, Inc.		3,920,187
	72,500	United Parcel Service, Inc. – Class B		7,918,450
	461,274	Werner Enterprises, Inc.		10,646,204
		Total Transportation		89,013,476
		Utilities — 0.6%
	19,000	Avista Corp.		771,780
	25,434	IDACORP, Inc.		1,934,764
	697,734	Talen Energy Corp. *		9,635,707
		Total Utilities		12,342,251
		TOTAL COMMON STOCKS (COST $2,073,557,162)		2,153,432,832
		MUTUAL FUNDS — 0.4%
		Affiliated Issuers — 0.4%
	373,655	GMO U.S. Treasury Fund		9,345,101
		TOTAL MUTUAL FUNDS (COST $9,345,101)		9,345,101
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	4,034,745	State Street Institutional Treasury Money Market Fund-Premier Class, 0.19% (a)		4,034,745
		TOTAL SHORT-TERM INVESTMENTS (COST $4,034,745)		4,034,745
		TOTAL INVESTMENTS — 99.3% (Cost $2,086,937,008)		2,166,812,678
		Other Assets and Liabilities (net) — 0.7%		15,384,599
		TOTAL NET ASSETS — 100.0%		$2,182,197,277

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of August 31, 2016.

For a listing of definitions of acronyms and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 44.

See accompanying notes to the financial statements. 43

GMO Trust Funds

Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

Portfolio Abbreviations:

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

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Frank

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NZD - New Zealand Dollar

SGD - Singapore Dollar

ZAR - South African Rand

44 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2016 (Unaudited)

	Developed World Stock Fund		International Equity Fund		International Large/Mid Cap Equity Fund		Quality Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	66,710,332	$	62,226,997	$	3,044,984	$	224,537,698
Investments in unaffiliated issuers, at value (Note 2)(b)		224,270,976		7,218,727,501		954,351,194		9,056,126,396
Foreign currency, at value (Note 2)(c)		77,992		131,583		17,342		17
Cash		5,197		—		—		—
Receivable for investments sold		—		223,567,047		—		—
Receivable for Fund shares sold		—		177,362		3,168		282,696
Dividends receivable		581,471		17,967,397		2,608,881		17,607,194
Dividend withholding tax receivable		219,383		11,095,000		1,725,842		7,314,798
Receivable for foreign currency sold		43		845,918		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		121,786		326,040		87,219		107,184
Miscellaneous receivable		1,430		42,167		3,950		—
Total assets		291,988,610		7,535,107,012		961,842,580		9,305,975,983
Liabilities:
Payable for Fund shares repurchased		—		203,441,830		1,821,413		49,809,169
Accrued foreign capital gains tax payable (Note 2)		2,162		—		—		—
Payable to affiliate for (Note 5):
Management fee		123,481		3,451,149		338,504		2,748,088
Shareholder service fee		28,729		675,399		90,146		861,186
Payable for foreign currency purchased		—		—		3		—
Payable to agents unaffiliated with GMO		66		1,221		198		1,221
Payable to Trustees and related expenses		319		6,315		2,435		2,431
Accrued expenses		144,200		927,314		303,030		838,307
Total liabilities		298,957		208,503,228		2,555,729		54,260,402
Net assets	$	291,689,653	$	7,326,603,784	$	959,286,851	$	9,251,715,581
(a)      Cost of investments – affiliated issuers:	$	66,129,759	$	62,226,997	$	3,044,984	$	224,531,882
(b)      Cost of investments – unaffiliated issuers:	$	223,643,188	$	7,469,825,782	$	986,782,009	$	7,739,738,174
(c)      Cost of foreign currency:	$	79,066	$	161,045	$	17,568	$	16

See accompanying notes to the financial statements. 45

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)

	Developed World Stock Fund			International Equity Fund			International Large/Mid Cap Equity Fund			Quality Fund
Net assets consist of:
Paid-in capital	$	303,863,496		$	8,755,737,939		$	1,528,003,255		$	7,880,352,631
Accumulated undistributed net investment income		3,960,253			150,327,190			24,916,847			70,084,432
Accumulated net realized gain (loss)		(17,332,685	)		(1,328,058,101	)		(561,011,092	)		(14,685,779	)
Net unrealized appreciation (depreciation)		1,198,589			(251,403,244	)		(32,622,159	)		1,315,964,297
	$	291,689,653		$	7,326,603,784		$	959,286,851		$	9,251,715,581
Net assets attributable to:
Class II	$	—		$	56,062,455		$	—		$	—
Class III	$	17,283,048		$	782,753,843		$	338,219,657		$	3,658,868,449
Class IV	$	274,406,605		$	6,487,787,486		$	314,546,451		$	1,474,820,487
Class V	$	—		$	—		$	—		$	460,488,444
Class VI	$	—		$	—		$	306,520,743		$	3,657,538,201
Shares outstanding:
Class II		—			2,831,014			—			—
Class III		784,637			39,081,284			13,255,822			174,042,211
Class IV		12,466,733			324,395,479			12,332,222			70,054,922
Class V		—			—			—			21,873,853
Class VI		—			—			12,022,667			173,939,284
Net asset value per share:
Class II	$	—		$	19.80		$	—		$	—
Class III	$	22.03		$	20.03		$	25.51		$	21.02
Class IV	$	22.01		$	20.00		$	25.51		$	21.05
Class V	$	—		$	—		$	—		$	21.05
Class VI	$	—		$	—		$	25.50		$	21.03

46 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)

	Resources Fund		Risk Premium Fund		Tax-Managed International Equities Fund		U.S. Equity Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	2,500,080	$	—	$	2,208,490	$	9,345,101
Investments in unaffiliated issuers, at value (Note 2)(b)		183,106,448		192,569,783		149,488,724		2,157,467,577
Foreign currency, at value (Note 2)(c)		25,207		—		58,257		—
Cash		—		—		—		163
Receivable for investments sold		—		—		—		36,354,136
Receivable for Fund shares sold		—		—		—		5,864
Dividends receivable		544,859		131		454,552		7,479,846
Dividend withholding tax receivable		25,869		—		258,297		—
Receivable for foreign currency sold		—		—		52		—
Due from broker (Note 2)		—		17,493,152		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		15,200		11,088		30,756		76,065
Miscellaneous receivable		930		2,691		757		—
Total assets		186,218,593		210,076,845		152,499,885		2,210,728,752
Liabilities:
Payable for investments purchased		104,615		—		—		—
Payable for Fund shares repurchased		—		1,794,203		—		27,251,481
Payable to affiliate for (Note 5):
Management fee		83,827		84,531		81,202		668,684
Shareholder service fee		17,266		10,970		24,361		138,191
Written options outstanding, at value (Note 4)(d)		—		1,947,014		—		—
Payable to agents unaffiliated with GMO		33		33		33		627
Payable to Trustees and related expenses		119		203		455		4,528
Accrued expenses		106,654		92,416		152,927		467,964
Total liabilities		312,514		3,929,370		258,978		28,531,475
Net assets	$	185,906,079	$	206,147,475	$	152,240,907	$	2,182,197,277
(a)      Cost of investments – affiliated issuers:	$	2,500,000	$	—	$	2,208,483	$	9,345,101
(b)      Cost of investments – unaffiliated issuers:	$	173,832,731	$	192,542,667	$	128,412,113	$	2,077,591,907
(c)      Cost of foreign currency:	$	25,090	$	—	$	59,260	$	—
(d)      Premiums on written options:	$	—	$	3,507,590	$	—	$	—

See accompanying notes to the financial statements. 47

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)

	Resources Fund			Risk Premium Fund			Tax-Managed International Equities Fund			U.S. Equity Allocation Fund
Net assets consist of:
Paid-in capital	$	237,006,534		$	196,288,533		$	174,634,346		$	1,975,946,821
Accumulated undistributed net investment income		2,667,908			—			3,216,865			8,469,757
Distributions in excess of net investment income		—			(226,847	)		—			—
Accumulated net realized gain (loss)		(63,041,965	)		8,498,097			(46,659,043	)		117,905,029
Net unrealized appreciation (depreciation)		9,273,602			1,587,692			21,048,739			79,875,670
	$	185,906,079		$	206,147,475		$	152,240,907		$	2,182,197,277
Net assets attributable to:
Class III	$	15,073,654		$	7,511,889		$	152,240,907		$	145,937,718
Class IV	$	170,832,425		$	—		$	—		$	32,484,228
Class V	$	—		$	—		$	—		$	149,755,589
Class VI	$	—		$	198,635,586		$	—		$	1,854,019,742
Shares outstanding:
Class III		1,041,618			253,140			10,799,563			9,663,908
Class IV		11,842,319			—			—			2,154,498
Class V		—			—			—			9,940,723
Class VI		—			6,667,631			—			123,352,700
Net asset value per share:
Class III	$	14.47		$	29.67		$	14.10		$	15.10
Class IV	$	14.43		$	—		$	—		$	15.08
Class V	$	—		$	—		$	—		$	15.06
Class VI	$	—		$	29.79		$	—		$	15.03

48 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2016 (Unaudited)

	Developed World Stock Fund			International Equity Fund			International Large/Mid Cap Equity Fund			Quality Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	5,760,759		$	200,196,046		$	32,253,006		$	95,507,091
Dividends from affiliated issuers (Note 10)		151,911			377,027			58,910			247,447
Interest		1,017			—			433			—
Total investment income		5,913,687			200,573,073			32,312,349			95,754,538
Expenses:
Management fee (Note 5)		757,414			20,480,556			2,348,501			13,320,400
Shareholder service fee – Class II (Note 5)		—			81,891			—			—
Shareholder service fee – Class III (Note 5)		50,642			735,607			308,708			3,068,155
Shareholder service fee – Class IV (Note 5)		134,553			3,211,635			234,809			671,986
Shareholder service fee – Class V (Note 5)		—			—			—			141,417
Shareholder service fee – Class VI (Note 5)		—			—			83,227			651,579
Audit and tax fees		40,615			65,136			57,132			38,732
Custodian and fund accounting agent fees		240,366			1,482,456			386,732			481,068
Legal fees		9,292			139,932			27,692			121,808
Registration fees		1,104			7,912			4,232			14,720
Transfer agent fees		18,308			25,760			23,920			—
Trustees’ fees and related expenses (Note 5)		2,668			63,508			11,151			57,536
Miscellaneous		11,960			28,888			11,868			20,148
Total expenses		1,266,922			26,323,281			3,497,972			18,587,549
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(308,354	)		(1,711,168	)		(482,780	)		(662,124	)
Indirectly incurred fees waived or borne by GMO (Note 5)		(25,110	)		—			—			—
Shareholder service fee waived (Note 5)		(3,988	)		—			—			—
Net expenses		929,470			24,612,113			3,015,192			17,925,425
Net investment income (loss)		4,984,217			175,960,960			29,297,157			77,829,113
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		4,920,622			(294,085,989	)		(62,328,078	)		11,837,542
Investments in affiliated issuers		139,780			104,107			—			7,508
Realized gain distributions from affiliated issuers (Note 10)		596,866			5,157			686			1,105
Futures contracts		1,082,977			15,860,244			1,724,021			—
Swap contracts		87,056			—			—			—
Foreign currency, forward contracts and foreign currency related transactions		291,462			3,152,451			(22,064	)		127,008
Net realized gain (loss)		7,118,763			(274,964,030	)		(60,625,435	)		11,973,163
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		22,020,937			856,193,048			157,547,077			828,416,426
Investments in affiliated issuers		579,184			(75,879	)		—			5,816
Futures contracts		(22,545	)		(3,066,601	)		(49,665	)		—
Swap contracts		5,620			—			—			—
Foreign currency, forward contracts and foreign currency related transactions		(453,147	)		537,524			41,575			135,630
Net change in unrealized appreciation (depreciation)		22,130,049			853,588,092			157,538,987			828,557,872
Net realized and unrealized gain (loss)		29,248,812			578,624,062			96,913,552			840,531,035
Net increase (decrease) in net assets resulting from operations	$	34,233,029		$	754,585,022		$	126,210,709		$	918,360,148
(a)      Withholding tax:	$	529,358		$	23,494,441		$	3,856,461		$	1,452,425

See accompanying notes to the financial statements. 49

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2016 (Unaudited) — (Continued)

	Resources Fund			Risk Premium Fund			Tax-Managed International Equities Fund			U.S. Equity Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	3,659,896		$	132		$	4,629,701		$	43,648,314
Dividends from affiliated issuers (Note 10)		2,799			—			6,864			138,291
Interest		1,829			441,884			642			—
Total investment income		3,664,524			442,016			4,637,207			43,786,605
Expenses:
Management fee (Note 5)		451,171			498,594			516,374			5,992,871
Shareholder service fee – Class III (Note 5)		9,699			5,390			154,912			142,548
Shareholder service fee – Class IV (Note 5)		83,768			—			—			160,245
Shareholder service fee – Class V (Note 5)		—			—			—			7,652
Shareholder service fee – Class VI (Note 5)		—			58,963			—			917,897
Audit and tax fees		39,468			27,416			38,732			37,536
Custodian and fund accounting agent fees		116,244			21,620			141,888			296,332
Legal fees		6,348			6,992			7,452			75,440
Registration fees		2,300			1,564			1,472			8,648
Transfer agent fees		18,400			—			12,972			—
Trustees’ fees and related expenses (Note 5)		1,380			1,748			1,840			33,383
Miscellaneous		6,072			6,900			7,360			12,972
Total expenses		734,850			629,187			883,002			7,685,524
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(81,132	)		(60,996	)		(200,400	)		(423,752	)
Net expenses		653,718			568,191			682,602			7,261,772
Net investment income (loss)		3,010,806			(126,175	)		3,954,605			36,524,833
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(18,769,787	)		(802,650	)		5,454,305			227,253,840
Investments in affiliated issuers		—			—			3,078			15,729
Realized gain distributions from affiliated issuers (Note 10)		80			—			95			574
Futures contracts		—			—			959,999			3,190,647
Written options		—			23,528,005			—			—
Swap contracts		—			—			—			2,130,834
Foreign currency, forward contracts and foreign currency related transactions		74,287			(9,117	)		7,511			(43,458	)
Net realized gain (loss)		(18,695,420	)		22,716,238			6,424,988			232,548,166	*
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		54,531,869			33,204			8,426,092			177,561,308
Investments in affiliated issuers		80			—			(636	)		—
Futures contracts		—			—			(25,330	)		27,300
Written options		—			(1,106,436	)		—			—
Swap contracts		—			—			—			137,535
Foreign currency, forward contracts and foreign currency related transactions		4,025			—			1,080			73,685
Net change in unrealized appreciation (depreciation)		54,535,974			(1,073,232	)		8,401,206			177,799,828
Net realized and unrealized gain (loss)		35,840,554			21,643,006			14,826,194			410,347,994
Net increase (decrease) in net assets resulting from operations	$	38,851,360		$	21,516,831		$	18,780,799		$	446,872,827
(a)      Withholding tax:	$	496,917		$	—		$	550,412		$	—

* For the details related to in-kind redemption realized gain (loss) please refer to Note 6.

50 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Developed World Stock Fund						International Equity Fund
	Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016			Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	4,984,217		$	8,415,037		$	175,960,960		$	299,318,899
Net realized gain (loss)		7,118,763			(6,848,793	)		(274,964,030	)		(924,763,345	)
Change in net unrealized appreciation (depreciation)		22,130,049			(61,065,265	)		853,588,092			(1,542,419,667	)
Net increase (decrease) in net assets from operations		34,233,029			(59,499,021	)		754,585,022			(2,167,864,113	)
Distributions to shareholders from:
Net investment income
Class II		—			—			(192,882	)		(2,783,157	)
Class III		(188,917	)		(2,842,912	)		(4,078,894	)		(32,069,436	)
Class IV		(1,713,142	)		(6,609,777	)		(30,190,906	)		(262,231,822	)
Total distributions from net investment income		(1,902,059	)		(9,452,689	)		(34,462,682	)		(297,084,415	)
Net realized gains
Class III		—			(4,565,182	)		—			—
Class IV		—			(10,502,195	)		—			—
Total distributions from net realized gains		—			(15,067,377	)		—			—
Net share transactions (Note 9):
Class II		—			—			(31,166,190	)		(14,840,408	)
Class III		(85,156,752	)		(38,978,316	)		(351,697,019	)		(208,885,684	)
Class IV		1,517,917			17,097,354			(1,186,566,378	)		(2,151,296,529	)
Increase (decrease) in net assets resulting from net share transactions		(83,638,835	)		(21,880,962	)		(1,569,429,587	)		(2,375,022,621	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		27,614			44,525			—			—
Class IV		185,983			95,071			—			—
Increase in net assets resulting from purchase premium and redemption fees		213,597			139,596			—			—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(83,425,238	)		(21,741,366	)		(1,569,429,587	)		(2,375,022,621	)
Total increase (decrease) in net assets		(51,094,268	)		(105,760,453	)		(849,307,247	)		(4,839,971,149	)
Net assets:
Beginning of period		342,783,921			448,544,374			8,175,911,031			13,015,882,180
End of period	$	291,689,653		$	342,783,921		$	7,326,603,784		$	8,175,911,031
Accumulated undistributed net investment income	$	3,960,253		$	878,095		$	150,327,190		$	8,828,912

See accompanying notes to the financial statements. 51

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Large/Mid Cap Equity Fund						Quality Fund
	Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016			Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	29,297,157		$	52,557,744		$	77,829,113		$	158,368,071
Net realized gain (loss)		(60,625,435	)		(190,591,148	)		11,973,163			663,866,296
Change in net unrealized appreciation (depreciation)		157,538,987			(247,937,218	)		828,557,872			(1,095,864,748	)
Net increase (decrease) in net assets from operations		126,210,709			(385,970,622	)		918,360,148			(273,630,381	)
Distributions to shareholders from:
Net investment income
Class III		(2,425,920	)		(15,313,801	)		(10,784,897	)		(79,292,453	)
Class IV		(2,072,250	)		(29,419,761	)		(2,762,981	)		(35,006,780	)
Class V		—			—			(1,216,176	)		(4,512,211	)
Class VI		(2,119,909	)		(8,537,349	)		(9,633,181	)		(43,526,160	)
Total distributions from net investment income		(6,618,079	)		(53,270,911	)		(24,397,235	)		(162,337,604	)
Net realized gains
Class III		—			—			(56,342,800	)		(566,483,770	)
Class IV		—			—			(14,382,438	)		(243,748,776	)
Class V		—			—			(5,541,850	)		(29,840,319	)
Class VI		—			—			(42,947,930	)		(288,130,004	)
Total distributions from net realized gains		—			—			(119,215,018	)		(1,128,202,869	)
Net share transactions (Note 9):
Class III		(158,310,863	)		(2,029,751	)		(723,597,035	)		(568,842,100	)
Class IV		(385,292,967	)		(472,949,903	)		53,958,940			(575,289,746	)
Class V		—			—			152,854,505			50,179,833
Class VI		2,119,909			355,695,906			1,721,955,950			(372,760,331	)
Increase (decrease) in net assets resulting from net share transactions		(541,483,921	)		(119,283,748	)		1,205,172,360			(1,466,712,344	)
Total increase (decrease) in net assets		(421,891,291	)		(558,525,281	)		1,979,920,255			(3,030,883,198	)
Net assets:
Beginning of period		1,381,178,142			1,939,703,423			7,271,795,326			10,302,678,524
End of period	$	959,286,851		$	1,381,178,142		$	9,251,715,581		$	7,271,795,326
Accumulated undistributed net investment income	$	24,916,847		$	2,237,769		$	70,084,432		$	16,652,554

52 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Resources Fund						Risk Premium Fund
	Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016			Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	3,010,806		$	6,229,283		$	(126,175	)	$	(1,347,990	)
Net realized gain (loss)		(18,695,420	)		(37,815,633	)		22,716,238			1,850,460
Change in net unrealized appreciation (depreciation)		54,535,974			(25,967,335	)		(1,073,232	)		(3,496,288	)
Net increase (decrease) in net assets from operations		38,851,360			(57,553,685	)		21,516,831			(2,993,818	)
Distributions to shareholders from:
Net investment income
Class III		(32,583	)		(450,778	)		—			—
Class IV		(634,051	)		(5,429,594	)		—			—
Total distributions from net investment income		(666,634	)		(5,880,372	)		—			—
Net realized gains
Class III		—			—			(3,340	)		(385,514	)
Class IV†		—			—			—			(477,401	)
Class VI		—			—			(94,199	)		(27,007,381	)
Total distributions from net realized gains		—			—			(97,539	)		(27,870,296	)
Net share transactions (Note 9):
Class III		(1,787,108	)		(4,873,918	)		3,339			2,420,526
Class IV†		(35,425,742	)		109,707,099			—			(6,512,434	)
Class VI		—			—			(46,005,645	)		(179,700,552	)
Increase (decrease) in net assets resulting from net share transactions		(37,212,850	)		104,833,181			(46,002,306	)		(183,792,460	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		12,375			33,787			2,285			14,035
Class IV†		137,963			308,729			—			16,478
Class VI		—			—			66,897			897,087
Increase in net assets resulting from purchase premiums and redemption fees		150,338			342,516			69,182			927,600
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(37,062,512	)		—			(45,933,124	)		(182,864,860	)
Total increase (decrease) in net assets		1,122,214			41,741,640			(24,513,832	)		(213,728,974	)
Net assets:
Beginning of period		184,783,865			143,042,225			230,661,307			444,390,281
End of period	$	185,906,079		$	184,783,865		$	206,147,475		$	230,661,307
Accumulated undistributed net investment income	$	2,667,908		$	323,736		$	—		$	—
Distributions in excess of net investment income	$	—		$	—		$	(226,847	)	$	(100,672	)

See accompanying notes to the financial statements. 53

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Tax-Managed International Equities Fund						U.S. Equity Allocation Fund
	Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016			Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	3,954,605		$	9,430,122		$	36,524,833		$	90,905,365
Net realized gain (loss)		6,424,988			(30,155,203	)		232,548,166			399,793,966
Change in net unrealized appreciation (depreciation)		8,401,206			(57,099,819	)		177,799,828			(850,530,072	)
Net increase (decrease) in net assets from operations		18,780,799			(77,824,900	)		446,872,827			(359,830,741	)
Distributions to shareholders from:
Net investment income
Class III		(558,588	)		(10,648,298	)		(2,041,519	)		(2,736,725	)
Class IV		—			—			(3,164,103	)		(6,908,903	)
Class VI		—			—			(34,812,551	)		(77,939,183	)
Total distributions from net investment income		(558,588	)		(10,648,298	)		(40,018,173	)		(87,584,811	)
Net realized gains
Class III		—			—			(1,813,167	)		(18,059,938	)
Class IV		—			—			(2,803,368	)		(40,178,877	)
Class VI		—			—			(30,024,284	)		(471,741,711	)
Total distributions from net realized gains		—			—			(34,640,819	)		(529,980,526	)
Net share transactions (Note 9):
Class III		(81,958,687	)		(122,597,127	)		(65,896,655	)		(59,318,618	)
Class IV		—			—			(518,986,281	)		154,174,391
Class V		—			—			148,613,808			—
Class VI		—			—			(2,300,740,997	)		(1,320,602,585	)
Increase (decrease) in net assets resulting from net share transactions		(81,958,687	)		(122,597,127	)		(2,737,010,125	)		(1,225,746,812	)
Total increase (decrease) in net assets		(63,736,476	)		(211,070,325	)		(2,364,796,290	)		(2,203,142,890	)
Net assets:
Beginning of period		215,977,383			427,047,708			4,546,993,567			6,750,136,457
End of period	$	152,240,907		$	215,977,383		$	2,182,197,277		$	4,546,993,567
Accumulated undistributed net investment income	$	3,216,865		$	—		$	8,469,757		$	11,963,097
Distributions in excess of net investment income	$	—		$	(179,152	)	$	—		$	—

54 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

DEVELOPED WORLD STOCK FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
					2016				2015				2014				2013				2012								2016				2015				2014				2013				2012
Net asset value, beginning of period		$	20.01			$	24.93			$	24.28			$	19.41			$	18.35			$	19.24			$	20.02			$	24.94			$	24.30			$	19.42			$	18.36			$	19.26
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.33				0.49				0.52				0.51				0.44				0.43				0.32				0.48				0.53				0.52				0.44				0.44
Net realized and unrealized gain (loss)			1.80				(3.96	)			0.80				4.75				1.12				(0.78	)(b)			1.81				(3.93	)			0.80				4.76				1.13				(0.79	)(b)
Total from investment operations			2.13				(3.47	)			1.32				5.26				1.56				(0.35	)			2.13				(3.45	)			1.33				5.28				1.57				(0.35	)
Less distributions to shareholders:
From net investment income			(0.11	)			(0.55	)			(0.67	)			(0.39	)			(0.50	)			(0.54	)			(0.14	)			(0.57	)			(0.69	)			(0.40	)			(0.51	)			(0.55	)
From net realized gains			—				(0.90	)			—				—				—				—				—				(0.90	)			—				—				—				—
Total distributions			(0.11	)			(1.45	)			(0.67	)			(0.39	)			(0.50	)			(0.54	)			(0.14	)			(1.47	)			(0.69	)			(0.40	)			(0.51	)			(0.55	)
Net asset value, end of period		$	22.03			$	20.01			$	24.93			$	24.28			$	19.41			$	18.35			$	22.01			$	20.02			$	24.94			$	24.30			$	19.42			$	18.36
Total Return(c)			10.67	%**			(14.43	)%			5.60	%			27.29	%			8.68	%			(1.64	)%			10.65	%**			(14.36	)%			5.61	%			27.39	%			8.74	%			(1.61	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	17,283			$	94,769			$	158,907			$	170,532			$	145,072			$	147,629			$	274,407			$	248,015			$	289,637			$	274,238			$	215,262			$	197,989
Net expenses to average daily net assets(d)			0.60	%*			0.61	%			0.60	%			0.61	%			0.60	%			0.60	%(e)			0.54	%*			0.56	%			0.55	%			0.56	%			0.55	%			0.55	%(e)
Net investment income (loss) to average daily net assets(a)			3.10	%*			2.09	%			2.13	%			2.31	%			2.38	%			2.40	%			2.93	%*			2.08	%			2.16	%			2.37	%			2.40	%			2.42	%
Portfolio turnover rate			60	%**(f)			99	%(g)			75	%			64	%			50	%			56	%			60	%**(f)			99	%(g)			75	%			64	%			50	%			56	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.17	%*(i)			0.15	%			0.14	%			0.10	%			0.11	%			0.11	%			0.21	%*(i)			0.15	%			0.14	%			0.10	%			0.11	%			0.11	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.01			$	0.00	(h)		$	0.00	(h)		$	0.01			$	0.01			$	0.02			$	0.01			$	0.00	(h)		$	0.00	(h)		$	0.00	(h)		$	0.00	(h)

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

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

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

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

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

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 74% of the average value of its portfolio.

^(g)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 79% of the average value of its portfolio.

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

⁽ⁱ⁾  Ratios include indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 55

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND

	Class II Shares																								Class III Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
					2016				2015				2014				2013				2012								2016				2015				2014				2013				2012
Net asset value, beginning of period		$	18.17			$	23.43			$	26.16			$	20.94			$	20.18			$	23.07			$	18.38			$	23.70			$	26.44			$	21.16			$	20.39			$	23.31
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.44				0.57				0.66				0.80				0.56				0.63				0.42				0.59				0.69				0.86				0.56				0.65
Net realized and unrealized gain (loss)			1.26				(5.19	)			(1.42	)			4.88				0.85				(2.83	)(b)			1.31				(5.25	)			(1.45	)			4.90				0.88				(2.86	)(b)
Total from investment operations			1.70				(4.62	)			(0.76	)			5.68				1.41				(2.20	)			1.73				(4.66	)			(0.76	)			5.76				1.44				(2.21	)
Less distributions to shareholders:
From net investment income			(0.07	)			(0.64	)			(1.07	)			(0.46	)			(0.65	)			(0.69	)			(0.08	)			(0.66	)			(1.08	)			(0.48	)			(0.67	)			(0.71	)
From net realized gains			—				—				(0.90	)			—				—				—				—				—				(0.90	)			—				—				—
Total distributions			(0.07	)			(0.64	)			(1.97	)			(0.46	)			(0.65	)			(0.69	)			(0.08	)			(0.66	)			(1.98	)			(0.48	)			(0.67	)			(0.71	)
Net asset value, end of period		$	19.80			$	18.17			$	23.43			$	26.16			$	20.94			$	20.18			$	20.03			$	18.38			$	23.70			$	26.44			$	21.16			$	20.39
Total Return(c)			9.36	%**			(19.99	)%			(2.55	)%			27.41	%			7.23	%			(9.51	)%			9.44	%**			(19.95	)%			(2.50	)%			27.53	%			7.30	%			(9.47	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	56,062			$	81,206			$	118,737			$	139,401			$	169,056			$	292,379			$	782,754			$	1,043,305			$	1,523,128			$	1,555,509			$	1,540,203			$	1,812,184
Net expenses to average daily net assets(d)			0.72	%*			0.72	%			0.72	%			0.72	%(e)			0.72	%(e)			0.72	%(e)			0.65	%*			0.65	%			0.65	%			0.65	%(e)			0.65	%(e)			0.65	%(e)
Net investment income (loss) to average daily net assets(a)			4.50	%*			2.65	%			2.63	%			3.47	%			2.87	%			3.04	%			4.23	%*			2.70	%			2.73	%			3.62	%			2.82	%			3.09	%
Portfolio turnover rate			17	%**(f)			75	%(g)			70	%			48	%			40	%			37	%			17	%**(f)			75	%(g)			70	%			48	%			40	%			37	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.04	%			0.04	%			0.04	%			0.04	%			0.05	%			0.04	%*			0.04	%			0.04	%			0.04	%			0.04	%			0.05	%

	Class IV Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
					2016				2015				2014				2013				2012
Net asset value, beginning of period		$	18.36			$	23.66			$	26.41			$	21.14			$	20.37			$	23.30
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.43				0.62				0.67				0.89				0.54				0.62
Net realized and unrealized gain (loss)			1.30				(5.25	)			(1.42	)			4.88				0.91				(2.83	)(b)
Total from investment operations			1.73				(4.63	)			(0.75	)			5.77				1.45				(2.21	)
Less distributions to shareholders:
From net investment income			(0.09	)			(0.67	)			(1.10	)			(0.50	)			(0.68	)			(0.72	)
From net realized gains			—				—				(0.90	)			—				—				—
Total distributions			(0.09	)			(0.67	)			(2.00	)			(0.50	)			(0.68	)			(0.72	)
Net asset value, end of period		$	20.00			$	18.36			$	23.66			$	26.41			$	21.14			$	20.37
Total Return(c)			9.43	%**			(19.85	)%			(2.47	)%			27.60	%			7.39	%			(9.43	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	6,487,787			$	7,051,400			$	11,374,017			$	11,926,293			$	7,366,819			$	5,047,058
Net expenses to average daily net assets(d)			0.59	%*			0.59	%			0.59	%			0.59	%(e)			0.59	%(e)			0.59	%(e)
Net investment income (loss) to average daily net assets(a)			4.30	%*			2.80	%			2.66	%			3.74	%			2.70	%			3.00	%
Portfolio turnover rate			17	%**(f)			75	%(g)			70	%			48	%			40	%			37	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.04	%			0.04	%			0.04	%			0.04	%			0.05	%

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

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

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

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

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

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 29% of the average value of its portfolio.

^(g)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 59% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

56 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL LARGE/MID CAP EQUITY FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
					2016				2015				2014				2013				2012								2016				2015				2014				2013				2012
Net asset value, beginning of period		$	23.46			$	30.16			$	35.20			$	28.96			$	27.50			$	30.77			$	23.44			$	30.14			$	35.18			$	28.94			$	27.48			$	30.75
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.57				0.81				0.92				1.18				0.77				0.87				0.66				0.87				0.96				1.17				0.80				0.90
Net realized and unrealized gain (loss)			1.64				(6.71	)			(2.19	)			6.56				1.62				(3.15	)			1.57				(6.75	)			(2.21	)			6.60				1.60				(3.17	)
Total from investment operations			2.21				(5.90	)			(1.27	)			7.74				2.39				(2.28	)			2.23				(5.88	)			(1.25	)			7.77				2.40				(2.27	)
Less distributions to shareholders:
From net investment income			(0.16	)			(0.80	)			(1.46	)			(1.50	)			(0.93	)			(0.99	)			(0.16	)			(0.82	)			(1.48	)			(1.53	)			(0.94	)			(1.00	)
From net realized gains			—				—				(2.31	)			—				—				—				—				—				(2.31	)			—				—				—
Total distributions			(0.16	)			(0.80	)			(3.77	)			(1.50	)			(0.93	)			(0.99	)			(0.16	)			(0.82	)			(3.79	)			(1.53	)			(0.94	)			(1.00	)
Net asset value, end of period		$	25.51			$	23.46			$	30.16			$	35.20			$	28.96			$	27.50			$	25.51			$	23.44			$	30.14			$	35.18			$	28.94			$	27.48
Total Return(b)			9.46	%**			(19.82	)%			(3.33	)%			27.30	%			8.93	%			(7.25	)%			9.55	%**			(19.78	)%			(3.28	)%			27.40	%			9.00	%			(7.19	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	338,220			$	459,614			$	592,365			$	598,840			$	621,870			$	885,023			$	314,546			$	641,750			$	1,346,483			$	1,262,615			$	1,394,919			$	1,078,912
Net expenses to average daily net assets(c)			0.54	%*			0.53	%			0.53	%			0.53	%(d)			0.53	%(d)			0.53	%(d)			0.48	%*			0.47	%			0.47	%			0.47	%(d)			0.47	%(d)			0.47	%(d)
Net investment income (loss) to average daily net assets(a)			4.54	%*			2.90	%			2.80	%			3.70	%			2.87	%			3.10	%			5.22	%*			3.08	%			2.91	%			3.69	%			2.93	%			3.18	%
Portfolio turnover rate			17	%**(a)(e)			88	%(f)			82	%			54	%			47	%			34	%			17	%**(a)(e)			88	%(f)			82	%			54	%			47	%			34	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.08	%*			0.06	%			0.07	%			0.06	%			0.05	%			0.04	%			0.08	%*			0.06	%			0.07	%			0.06	%			0.05	%			0.05	%

	Class VI Shares
	Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 28/29,
				2016			2015			2014			2013			2012
Net asset value, beginning of period	$	23.44		$	30.11		$	35.15		$	28.91		$	27.46		$	30.72
Income (loss) from investment operations:
Net investment income (loss)†(a)		0.53			0.46			0.94			1.58			0.79			0.92
Net realized and unrealized gain (loss)		1.71			(6.34	)		(2.17	)		6.17			1.61			(3.17	)
Total from investment operations		2.24			(5.88	)		(1.23	)		7.75			2.40			(2.25	)
Less distributions to shareholders:
From net investment income		(0.18	)		(0.79	)		(1.50	)		(1.51	)		(0.95	)		(1.01	)
From net realized gains		—			—			(2.31	)		—			—			—
Total distributions		(0.18	)		(0.79	)		(3.81	)		(1.51	)		(0.95	)		(1.01	)
Net asset value, end of period	$	25.50		$	23.44		$	30.11		$	35.15		$	28.91		$	27.46
Total Return(b)		9.57	%**		(19.76	)%		(3.24	)%		27.39	%		9.01	%		(7.13	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	306,521		$	279,814		$	855		$	319,285		$	2,481,773		$	2,247,969
Net expenses to average daily net assets(c)		0.44	%*		0.44	%		0.44	%		0.44	%(d)		0.44	%(d)		0.44	%(d)
Net investment income (loss) to average daily net assets(a)		4.19	%*		1.76	%		2.89	%		5.24	%		2.89	%		3.25	%
Portfolio turnover rate		17	%**(a)(e)		88	%(f)		82	%		54	%		47	%		34	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.08	%*		0.06	%		0.07	%		0.05	%		0.05	%		0.05	%

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

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

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

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

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 29% of the average value of its portfolio.

^(f)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 70% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 57

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
					2016				2015				2014				2013				2012								2016				2015				2014				2013				2012
Net asset value, beginning of period		$	18.99			$	22.98			$	25.08			$	23.81			$	23.41			$	20.81			$	19.01			$	23.01			$	25.10			$	23.83			$	23.42			$	20.83
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.19				0.38				0.42				0.51				0.47				0.43				0.21				0.39				0.43				0.53				0.49				0.44
Net realized and unrealized gain (loss)			2.19				(1.04	)			2.91				3.70				2.24				2.58				2.18				(1.05	)			2.92				3.70				2.24				2.57
Total from investment operations			2.38				(0.66	)			3.33				4.21				2.71				3.01				2.39				(0.66	)			3.35				4.23				2.73				3.01
Less distributions to shareholders:
From net investment income			(0.06	)			(0.42	)			(0.49	)			(0.53	)			(0.51	)			(0.41	)			(0.06	)			(0.43	)			(0.50	)			(0.55	)			(0.52	)			(0.42	)
From net realized gains			(0.29	)			(2.91	)			(4.94	)			(2.41	)			(1.80	)			—				(0.29	)			(2.91	)			(4.94	)			(2.41	)			(1.80	)			—
Total distributions			(0.35	)			(3.33	)			(5.43	)			(2.94	)			(2.31	)			(0.41	)			(0.35	)			(3.34	)			(5.44	)			(2.96	)			(2.32	)			(0.42	)
Net asset value, end of period		$	21.02			$	18.99			$	22.98			$	25.08			$	23.81			$	23.41			$	21.05			$	19.01			$	23.01			$	25.10			$	23.83			$	23.42
Total Return(b)			12.54	%**			(2.89	)%			14.73	%			18.38	%			12.39	%			14.71	%			12.58	%**			(2.88	)%			14.81	%			18.43	%			12.47	%			14.70	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,658,868			$	3,968,156			$	5,336,063			$	5,747,512			$	6,682,281			$	6,539,510			$	1,474,820			$	1,294,033			$	2,201,876			$	2,134,444			$	2,079,055			$	2,035,597
Net expenses to average daily net assets(c)			0.48	%*			0.48	%			0.48	%			0.48	%(d)			0.48	%(d)			0.48	%(d)			0.44	%*			0.44	%			0.44	%			0.44	%(d)			0.44	%(d)			0.44	%(d)
Net investment income (loss) to average daily net assets(a)			1.89	%*			1.79	%			1.71	%			2.04	%			2.02	%			2.01	%			2.01	%*			1.83	%			1.77	%			2.07	%			2.09	%			2.04	%
Portfolio turnover rate			7	%**(e)			37	%(f)			60	%			48	%			34	%			40	%			7	%**(e)			37	%(f)			60	%			48	%			34	%			40	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.02	%			0.02	%			0.01	%			0.02	%			0.02	%			0.02	%*			0.02	%			0.02	%			0.01	%			0.02	%			0.02	%
	Class V Shares																								Class VI Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
					2016				2015				2014				2013				2012								2016				2015				2014				2013				2012
Net asset value, beginning of period		$	19.01			$	23.01			$	25.10			$	23.82			$	23.42			$	20.82			$	18.99			$	22.99			$	25.09			$	23.82			$	23.41			$	20.82
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.20				0.39				0.44				0.56				0.48				0.44				0.20				0.40				0.45				0.54				0.49				0.45
Net realized and unrealized gain (loss)			2.19				(1.05	)			2.92				3.68				2.25				2.58				2.19				(1.04	)			2.90				3.70				2.25				2.57
Total from investment operations			2.39				(0.66	)			3.36				4.24				2.73				3.02				2.39				(0.64	)			3.35				4.24				2.74				3.02
Less distributions to shareholders:
From net investment income			(0.06	)			(0.43	)			(0.51	)			(0.55	)			(0.53	)			(0.42	)			(0.06	)			(0.45	)			(0.51	)			(0.56	)			(0.53	)			(0.43	)
From net realized gains			(0.29	)			(2.91	)			(4.94	)			(2.41	)			(1.80	)			—				(0.29	)			(2.91	)			(4.94	)			(2.41	)			(1.80	)			—
Total distributions			(0.35	)			(3.34	)			(5.45	)			(2.96	)			(2.33	)			(0.42	)			(0.35	)			(3.36	)			(5.45	)			(2.97	)			(2.33	)			(0.43	)
Net asset value, end of period		$	21.05			$	19.01			$	23.01			$	25.10			$	23.82			$	23.42			$	21.03			$	18.99			$	22.99			$	25.09			$	23.82			$	23.41
Total Return(b)			12.62	%**			(2.89	)%			14.86	%			18.49	%			12.45	%			14.74	%			12.64	%**			(2.83	)%			14.83	%			18.50	%			12.53	%			14.76	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	460,488			$	277,186			$	267,809			$	653,307			$	455,097			$	578,367			$	3,657,538			$	1,732,420			$	2,496,930			$	3,675,950			$	4,140,416			$	9,816,202
Net expenses to average daily net assets(c)			0.42	%*			0.42	%			0.42	%			0.42	%(d)			0.41	%(d)			0.42	%(d)			0.39	%*			0.39	%			0.39	%			0.39	%(d)			0.38	%(d)			0.39	%(d)
Net investment income (loss) to average daily net assets(a)			1.93	%*			1.85	%			1.81	%			2.22	%			2.05	%			2.08	%			1.94	%*			1.88	%			1.83	%			2.13	%			2.10	%			2.09	%
Portfolio turnover rate			7	%**(e)			37	%(f)			60	%			48	%			34	%			40	%			7	%**(e)			37	%(f)			60	%			48	%			34	%			40	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.02	%			0.02	%			0.01	%			0.02	%			0.02	%			0.02	%*			0.02	%			0.02	%			0.01	%			0.02	%			0.02	%

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

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

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

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

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 15% of the average value of its portfolio.

^(f)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 17% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

58 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RESOURCES FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
					2016				2015				2014				2013				2012(a)								2016				2015				2014(b)
Net asset value, beginning of period		$	11.74			$	16.33			$	21.88			$	21.59			$	22.96			$	20.00			$	11.71			$	16.28			$	21.86			$	21.40
Income (loss) from investment operations:
Net investment income (loss)†(c)			0.21				0.47				0.87				0.51				0.32				0.03				0.23				0.46				0.75				0.45
Net realized and unrealized gain (loss)			2.57				(4.67	)			(3.77	)			0.45				(1.25	)(d)			2.93				2.54				(4.63	)			(3.65	)			0.70
Total from investment operations			2.78				(4.20	)			(2.90	)			0.96				(0.93	)			2.96				2.77				(4.17	)			(2.90	)			1.15
Less distributions to shareholders:
From net investment income			(0.05	)			(0.39	)			(1.03	)			(0.40	)			(0.20	)			—				(0.05	)			(0.40	)			(1.06	)			(0.42	)
From net realized gains			—				—				(1.62	)			(0.27	)			(0.24	)			—				—				—				(1.62	)			(0.27	)
Total distributions			(0.05	)			(0.39	)			(2.65	)			(0.67	)			(0.44	)			—				(0.05	)			(0.40	)			(2.68	)			(0.69	)
Net asset value, end of period		$	14.47			$	11.74			$	16.33			$	21.88			$	21.59			$	22.96			$	14.43			$	11.71			$	16.28			$	21.86
Total Return(e)			23.65	%**			(25.76	)%			(12.81	)%			4.54	%			(4.00	)%			14.80	%**			23.69	%**			(25.68	)%			(12.82	)%			5.48	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	15,074			$	13,864			$	23,734			$	81,646			$	104,241			$	8,101			$	170,832			$	170,919			$	119,308			$	138,358
Net expenses to average daily net assets			0.77	%*(f)			0.77	%(f)			0.76	%(f)			0.75	%(f)(g)			0.77	%(f)			0.75	%*			0.72	%*(f)			0.72	%(f)			0.71	%(f)			0.70	%*(f)(g)
Net investment income (loss) to average daily net assets(c)			3.08	%			3.36	%			4.01	%			2.36	%			1.48	%			0.78	%*			3.36	%*			3.31	%			3.58	%			2.23	%*
Portfolio turnover rate			23	%**(h)			130	%(i)			126	%			40	%			51	%			15	%**			23	%**(h)			130	%(i)			126	%			40	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.09	%*			0.10	%			0.08	%			0.10	%			0.73	%			7.69	%*			0.09	%*			0.11	%			0.09	%			0.11	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.03			$	0.07			$	0.06			$	0.22			$	0.06			$	0.01			$	0.02			$	0.03			$	0.03

^(a)  Period from December 28, 2011 (commencement of operations) through February 29, 2012.

^(b)  Period from March 20, 2013 (commencement of operations) through February 28, 2014.

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

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

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

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

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

^(h)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 30% of the average value of its portfolio.

⁽ⁱ⁾  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 92% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 59

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RISK PREMIUM FUND

	Class III Shares																				Class VI Shares
	Six Months Ended August 31, 2016 (Unaudited)(c)				Year Ended February 28/29,																Six Months Ended August 31, 2016 (Unaudited)(c)				Year Ended February 28/29,
					2016(c)				2015(c)				2014(c)				2013(a)(c)								2016(c)				2015(c)				2014(c)				2013(b)(c)
Net asset value, beginning of period		$	26.91			$	29.73			$	31.74			$	31.59			$	30.81			$	27.00			$	29.82			$	31.80			$	31.59			$	30.00
Income (loss) from investment operations:
Net investment income (loss)†(d)			(0.03	)			(0.12	)			(0.18	)			(0.18	)			(0.03	)			(0.02	)			(0.12	)			(0.15	)			(0.15	)			(0.03	)
Net realized and unrealized gain (loss)			2.80				(0.30	)			1.02				2.13				0.81				2.82				(0.30	)			1.02				2.16				1.62
Total from investment operations			2.77				(0.42	)			0.84				1.95				0.78				2.80				(0.42	)			0.87				2.01				1.59
Less distributions to shareholders:
From net realized gains			(0.01	)			(2.40	)			(2.85	)			(1.80	)			—				(0.01	)			(2.40	)			(2.85	)			(1.80	)			—
Total distributions			—				(2.40	)			(2.85	)			(1.80	)			—				—				(2.40	)			(2.85	)			(1.80	)			—
Net asset value, end of period		$	29.67			$	26.91			$	29.73			$	31.74			$	31.59			$	29.79			$	27.00			$	29.82			$	31.80			$	31.59
Total Return(f)			10.31	%**			(1.66	)%			3.19	%			6.42	%			2.53	%**			10.38	%**			(1.65	)%			3.29	%			6.61	%			5.30	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	7,512			$	6,807			$	4,832			$	7,489			$	6,793			$	198,636			$	223,854			$	432,465			$	730,196			$	616,464
Net expenses to average daily net assets			0.60	%*			0.60	%			0.61	%(g)			0.60	%(g)(h)			0.60	%*(g)(h)			0.51	%*			0.51	%			0.51	%(g)			0.51	%(g)(h)			0.51	%*(g)(h)
Net investment income (loss) to average daily net assets(d)			(0.21	)%*			(0.45	)%			(0.58	)%			(0.57	)%			(0.56	)%*			(0.11	)%*			(0.37	)%			(0.49	)%			(0.48	)%			(0.46	)%*
Portfolio turnover rate			0	%**			0	%			112	%			0	%			0	%**			0	%**			0	%			112	%			0	%			0	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.06	%*			0.05	%			0.04	%			0.05	%			0.08	%*			0.06	%*			0.05	%			0.03	%			0.05	%			0.10	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01	(c)		$	0.08	(c)		$	0.14	(c)		$	0.01	(c)		$	0.02	(c)		$	0.01	(c)		$	0.07	(c)		$	0.13	(c)		$	0.01	(c)		$	0.06	(c)

^(a)  Period from December 14, 2012 (commencement of operations) through February 28, 2013.

^(b)  Period from November 15, 2012 (commencement of operations) through February 28, 2013.

^(c)  Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

^(e)  Rounds to less than $0.01.

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

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

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

60 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

TAX-MANAGED INTERNATIONAL EQUITIES FUND

	Class III Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
					2016				2015				2014				2013				2012
Net asset value, beginning of period		$	12.92			$	16.80			$	18.03			$	14.56			$	13.80			$	15.41
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.27				0.40				0.47				0.57				0.39				0.43
Net realized and unrealized gain (loss)			0.95				(3.82	)			(1.05	)			3.37				0.83				(1.59	)
Total from investment operations			1.22				(3.42	)			(0.58	)			3.94				1.22				(1.16	)
Less distributions to shareholders:
From net investment income			(0.04	)			(0.46	)			(0.65	)			(0.47	)			(0.46	)			(0.45	)
Total distributions			(0.04	)			(0.46	)			(0.65	)			(0.47	)			(0.46	)			(0.45	)
Net asset value, end of period		$	14.10			$	12.92			$	16.80			$	18.03			$	14.56			$	13.80
Total Return(b)			9.47	%**			(20.63	)%			(3.10	)%			27.37	%			8.99	%			(7.35	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	152,241			$	215,977			$	427,048			$	485,665			$	479,005			$	505,282
Net expenses to average daily net assets(c)			0.66	%*			0.66	%			0.66	%			0.66	%			0.67	%(d)			0.65	%(d)
Net investment income (loss) to average daily net assets(a)			3.83	%*			2.59	%			2.71	%			3.54	%			2.83	%			3.02	%
Portfolio turnover rate			30	%**(e)			79	%(f)			69	%			49	%			54	%			48	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.19	%*			0.14	%			0.12	%			0.10	%			0.12	%			0.11	%

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

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

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

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

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 33% of the average value of its portfolio.

^(f)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 55% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 61

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. EQUITY ALLOCATION FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
					2016				2015				2014				2013				2012								2016				2015				2014				2013				2012
Net asset value, beginning of period		$	13.79			$	16.61			$	17.27			$	14.51			$	13.06			$	12.00			$	13.76			$	16.58			$	17.24			$	14.48			$	13.04			$	11.98
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.14				0.24				0.28				0.28				0.26				0.22				0.13				0.25				0.29				0.29				0.27				0.22
Net realized and unrealized gain (loss)			1.48				(1.20	)			1.66				2.77				1.47				1.08				1.50				(1.20	)			1.66				2.77				1.46				1.08
Total from investment operations			1.62				(0.96	)			1.94				3.05				1.73				1.30				1.63				(0.95	)			1.95				3.06				1.73				1.30
Less distributions to shareholders:
From net investment income			(0.16	)			(0.26	)			(0.31	)			(0.29	)			(0.28	)			(0.24	)			(0.16	)			(0.27	)			(0.32	)			(0.30	)			(0.29	)			(0.24	)
From net realized gains			(0.15	)			(1.60	)			(2.29	)			—				—				—				(0.15	)			(1.60	)			(2.29	)			—				—				—
Total distributions			(0.31	)			(1.86	)			(2.60	)			(0.29	)			(0.28	)			(0.24	)			(0.31	)			(1.87	)			(2.61	)			(0.30	)			(0.29	)			(0.24	)
Net asset value, end of period		$	15.10			$	13.79			$	16.61			$	17.27			$	14.51			$	13.06			$	15.08			$	13.76			$	16.58			$	17.24			$	14.48			$	13.04
Total Return(c)			11.84	%**			(6.17	)%			12.18	%			21.11	%			13.40	%			11.00	%			11.95	%**			(6.10	)%			12.27	%			21.21	%			13.40	%			11.05	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	145,938			$	194,615			$	286,934			$	488,982			$	188,363			$	259,751			$	32,484			$	513,751			$	431,841			$	288,782			$	44,849			$	52,486
Net expenses to average daily net assets(e)			0.46	%*			0.46	%			0.46	%			0.46	%(d)			0.46	%(d)			0.46	%(d)			0.41	%*			0.41	%			0.41	%			0.41	%(d)			0.41	%(d)			0.41	%(d)
Net investment income (loss) to average daily net assets(a)			1.84	%*			1.57	%			1.59	%			1.71	%			1.95	%			1.82	%			1.73	%*			1.65	%			1.63	%			1.75	%			2.01	%			1.88	%
Portfolio turnover rate			37	%**(f)			89	%(g)			67	%			74	%			79	%			61	%			37	%**(f)			89	%(g)			67	%			74	%			79	%			61	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.02	%			0.02	%			0.02	%			0.02	%			0.03	%			0.02	%*			0.02	%			0.02	%			0.02	%			0.02	%			0.03	%

	Class V Shares												Class VI Shares
	Period from August 9, 2016 through August 31, 2016 (Unaudited)(b)				Period from March 1, 2014 through July 30, 2014 (Unaudited)(b)				Period from January 21, 2014 (commencement of operations) through February 28, 2014				Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
																	2016				2015				2014				2013				2012
Net asset value, beginning of period		$	14.95			$	17.24			$	17.17			$	13.73			$	16.54			$	17.21			$	14.47			$	13.02			$	11.97
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.03				0.12				0.04				0.14				0.26				0.30				0.30				0.28				0.23
Net realized and unrealized gain (loss)			0.08				0.43				0.03				1.48				(1.19	)			1.65				2.74				1.46				1.07
Total from investment operations			0.11				0.55				0.07				1.62				(0.93	)			1.95				3.04				1.74				1.30
Less distributions to shareholders:
From net investment income			—				—				—				(0.17	)			(0.28	)			(0.33	)			(0.30	)			(0.29	)			(0.25	)
From net realized gains			—				—				—				(0.15	)			(1.60	)			(2.29	)			—				—				—
Total distributions			—				—				—				(0.32	)			(1.88	)			(2.62	)			(0.30	)			(0.29	)			(0.25	)
Net asset value, end of period		$	15.06			$	17.79				17.24			$	15.03			$	13.73			$	16.54			$	17.21			$	14.47			$	13.02
Total Return(c)			0.74	%**			3.19	%**			0.39	%**			11.86	%**			(6.02	)%			12.28	%			21.14	%			13.56	%			11.06	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	149,756			$	220,333			$	259,581			$	1,854,020			$	3,838,628			$	6,031,361			$	7,082,304			$	1,249,117			$	1,095,053
Net expenses to average daily net assets(e)			0.40	%*			0.40	%*			0.40	%*(d)			0.37	%*			0.37	%			0.37	%			0.37	%(d)			0.37	%(d)			0.37	%(d)
Net investment income (loss) to average daily net assets(a)			3.02	%*			1.69	%*			1.97	%*			1.90	%*			1.68	%			1.70	%			1.85	%			2.08	%			1.93	%
Portfolio turnover rate			37	%**(f)			34	%**(h)			74	%**			37	%**(f)			89	%(g)			67	%			74	%			79	%			61	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.02	%*			0.01	%*			0.02	%*			0.02	%			0.02	%			0.02	%			0.02	%			0.03	%

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

^(b)  The class was inactive from July 31, 2014 to August 8, 2016.

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

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

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

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 50% of the average value of its portfolio.

^(g)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 63% of the average value of its portfolio.

^(h)  Calculation represents portfolio turnover of the Fund for the period ended July 30, 2014.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

62 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

August 31, 2016 (Unaudited)

1. Organization

Each of Developed World Stock Fund, International Equity Fund, International Large/Mid Cap Equity Fund, Quality Fund, Resources Fund, Risk Premium Fund, Tax-Managed International Equities Fund and U.S. Equity Allocation Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

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

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

Fund Name	Benchmark	Investment Objective
Developed World Stock Fund	MSCI World Index	High total return
International Equity Fund	MSCI EAFE Index	High total return
International Large/Mid Cap Equity Fund	MSCI EAFE Index	High total return
Quality Fund	Not Applicable	Total return
Resources Fund	MSCI ACWI Commodity Producers Index	Total return
Risk Premium Fund	Not Applicable	Total return
Tax-Managed International Equities Fund	MSCI EAFE Index (after tax)	High after-tax total return
U.S. Equity Allocation Fund	S&P 500 Index	High total return

Developed World Stock Fund, International Large/Mid Cap Equity Fund, and Risk Premium Fund currently limit subscriptions.

International Equity Fund, Quality Fund, Risk Premium Fund, and U.S. Equity Allocation Fund are currently distributed in Switzerland. The distribution of shares in Switzerland will be exclusively made to, and directed at, qualified investors as defined in the Swiss Collective Investment Schemes Act of 23 June 2006, as amended and its implementing ordinance.

2. Significant accounting policies

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

Portfolio valuation

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event 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. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted 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 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

63

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

August 31, 2016, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets which 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 valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds, held either directly or through investments in the underlying funds, that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2016. 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 quoted price 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 the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

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 August 31, 2016 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%			54%
International Equity Fund		0%	§		95%
International Large/Mid Cap Equity Fund		0%	§		96%
Quality Fund		—			14%
Resources Fund		—			75%
Risk Premium Fund		—			(1)%
Tax-Managed International Equities Fund		0%	§		95%
U.S. Equity Allocation Fund		—			—

§ Represents the interest in securities that were determined to have a value of zero at August 31, 2016.

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 methodologies 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.

64

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

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 August 31, 2016, 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 relevant index and/or a security type conversion discount; and certain securities that are valued using a price from a comparable security related to the same issuer.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2016:

Description	Level 1		Level 2		Level 3		Total
Developed World Stock Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	6,255,302	$	—	$	6,255,302
Austria		—		770,267		—		770,267
Belgium		—		346,523		—		346,523
Brazil		—		1,030,678		—		1,030,678
Canada		7,677,101		—		—		7,677,101
China		—		3,405,025		—		3,405,025
Czech Republic		—		177,395		—		177,395
Denmark		—		872,817		—		872,817
Finland		—		901,001		—		901,001
France		—		14,787,725		—		14,787,725
Germany		—		14,416,142		—		14,416,142
Hong Kong		—		3,702,322		—		3,702,322
Hungary		—		102,239		—		102,239
India		—		145,023		—		145,023
Ireland		—		176,515		—		176,515
Israel		1,381,046		686,672		—		2,067,718
Italy		—		3,296,297		—		3,296,297
Japan		—		40,157,670		—		40,157,670
Mexico		285,301		—		—		285,301

65

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Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Description	Level 1		Level 2		Level 3			Total
Developed World Stock Fund (continued)
Asset Valuation Inputs (continued)
Netherlands	$	293,098	$	5,246,430	$	—		$	5,539,528
New Zealand		—		47,748		—			47,748
Norway		—		2,545,838		—			2,545,838
Poland		—		261,852		—			261,852
Portugal		—		308,431		—			308,431
Russia		—		3,268,057		—			3,268,057
Singapore		—		450,945		—			450,945
South Africa		43,636		1,351,397		3			1,395,036
South Korea		—		2,939,992		—			2,939,992
Spain		—		3,369,438		—			3,369,438
Sweden		—		1,681,542		—			1,681,542
Switzerland		—		7,193,181		—			7,193,181
Taiwan		546,060		2,920,051		173,963			3,640,074
Thailand		—		84,496		—			84,496
Turkey		—		1,979,364		—			1,979,364
United Kingdom		875,811		21,993,911		—			22,869,722
United States		62,899,009		—		—			62,899,009
TOTAL COMMON STOCKS		74,001,062		146,872,286		173,966			221,047,314
Preferred Stocks
Brazil		—		1,064,921		—			1,064,921
Germany		—		908,919		—			908,919
South Korea		—		561,117		—			561,117
TOTAL PREFERRED STOCKS		—		2,534,957		—			2,534,957
Rights/Warrants
South Korea		—		—		0	§		0	§
TOTAL RIGHTS/WARRANTS		—		—		0	§		0	§
Mutual Funds
United States		66,710,332		—		—			66,710,332
TOTAL MUTUAL FUNDS		66,710,332		—		—			66,710,332
Short-Term Investments		688,705		—		—			688,705
Total Investments		141,400,099		149,407,243		173,966			290,981,308
Total	$	141,400,099	$	149,407,243	$	173,966		$	290,981,308
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	373,119,073	$	—		$	373,119,073
Austria		—		44,734,746		0	§		44,734,746
Belgium		—		42,761,881		—			42,761,881
Canada		180,396,360		—		—			180,396,360
Denmark		—		53,363,412		—			53,363,412
Finland		—		70,231,865		—			70,231,865
France		—		676,386,129		—			676,386,129
Germany		—		779,246,785		—			779,246,785
Hong Kong		—		245,633,695		—			245,633,695
Ireland		2,464,959		12,645,509		—			15,110,468
Israel		45,112,631		70,303,847		—			115,416,478
Italy		—		207,897,031		—			207,897,031

66

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Description	Level 1		Level 2		Level 3			Total
International Equity Fund (continued)
Asset Valuation Inputs (continued)
Japan	$	—	$	1,954,476,854	$	—		$	1,954,476,854
Malta		—		—		0	§		0	§
Netherlands		11,521,533		312,615,378		—			324,136,911
New Zealand		—		25,509,242		—			25,509,242
Norway		—		150,447,159		—			150,447,159
Portugal		—		19,287,922		—			19,287,922
Singapore		—		45,483,907		—			45,483,907
Spain		—		181,761,327		—			181,761,327
Sweden		—		76,592,068		—			76,592,068
Switzerland		—		390,175,331		—			390,175,331
United Kingdom		24,824,352		1,148,323,630		—			1,173,147,982
TOTAL COMMON STOCKS		264,319,835		6,880,996,791		0	§		7,145,316,626
Preferred Stocks
Germany		—		48,224,037		—			48,224,037
TOTAL PREFERRED STOCKS		—		48,224,037		—			48,224,037
Mutual Funds
United States		62,226,997		—		—			62,226,997
TOTAL MUTUAL FUNDS		62,226,997		—		—			62,226,997
Short-Term Investments		25,186,838		—		—			25,186,838
Total Investments		351,733,670		6,929,220,828		0	§		7,280,954,498
Total	$	351,733,670	$	6,929,220,828	$	0	§	$	7,280,954,498
International Large/Mid Cap Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	46,879,050	$	—		$	46,879,050
Austria		—		7,501,707		—			7,501,707
Belgium		—		3,060,212		—			3,060,212
Canada		15,139,548		—		—			15,139,548
Denmark		—		8,127,338		—			8,127,338
Finland		—		10,112,650		—			10,112,650
France		—		100,555,787		—			100,555,787
Germany		—		91,522,721		—			91,522,721
Hong Kong		—		40,051,197		—			40,051,197
Ireland		—		1,162,494		—			1,162,494
Israel		12,546,066		9,819,906		—			22,365,972
Italy		—		18,093,852		—			18,093,852
Japan		—		254,276,003		—			254,276,003
Malta		—		—		0	§		0	§
Netherlands		1,239,070		40,286,328		—			41,525,398
New Zealand		—		4,769,162		—			4,769,162
Norway		—		18,669,606		—			18,669,606
Portugal		—		226,143		—			226,143
Singapore		—		2,806,600		—			2,806,600
Spain		—		20,101,754		—			20,101,754
Sweden		—		6,299,891		—			6,299,891
Switzerland		—		57,649,883		—			57,649,883

67

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Description	Level 1		Level 2		Level 3			Total
International Large/Mid Cap Equity Fund (continued)
Asset Valuation Inputs (continued)
United Kingdom	$	—	$	172,979,061	$	—		$	172,979,061
TOTAL COMMON STOCKS		28,924,684		914,951,345		0	§		943,876,029
Preferred Stocks
Germany		—		8,200,269		—			8,200,269
TOTAL PREFERRED STOCKS		—		8,200,269		—			8,200,269
Mutual Funds
United States		3,044,984		—		—			3,044,984
TOTAL MUTUAL FUNDS		3,044,984		—		—			3,044,984
Short-Term Investments		2,274,896		—		—			2,274,896
Total Investments		34,244,564		923,151,614		0	§		957,396,178
Total	$	34,244,564	$	923,151,614	$	0	§	$	957,396,178
Quality Fund
Asset Valuation Inputs
Common Stocks
France	$	—	$	37,497,837	$	—		$	37,497,837
Germany		—		39,500,607		—			39,500,607
Japan		—		47,472,738		—			47,472,738
Netherlands		—		186,694,436		—			186,694,436
Switzerland		—		279,051,977		—			279,051,977
United Kingdom		—		668,747,366		—			668,747,366
United States		7,785,355,798		—		—			7,785,355,798
TOTAL COMMON STOCKS		7,785,355,798		1,258,964,961		—			9,044,320,759
Mutual Funds
United States		224,537,698		—		—			224,537,698
TOTAL MUTUAL FUNDS		224,537,698		—		—			224,537,698
Short-Term Investments		11,805,637		—		—			11,805,637
Total Investments		8,021,699,133		1,258,964,961		—			9,280,664,094
Total	$	8,021,699,133	$	1,258,964,961	$	—		$	9,280,664,094
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	2,537,625	$	—	$	—		$	2,537,625
Australia		—		2,793,402		—			2,793,402
Austria		—		1,618,757		—			1,618,757
Brazil		—		911,017		—			911,017
Canada		8,231,695		—		—			8,231,695
China		—		903,539		—			903,539
Colombia		381,618		—		—			381,618
Czech Republic		—		2,062,297		—			2,062,297
France		—		5,629,810		—			5,629,810
Germany		—		1,867,349		—			1,867,349
Greece		—		165,428		—			165,428
Hungary		—		1,227,780		—			1,227,780

68

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
India	$	—		$	1,265,158		$	—	$	1,265,158
Indonesia		—			52,921			—		52,921
Israel		—			2,762,655			—		2,762,655
Italy		—			2,443,617			—		2,443,617
Japan		—			4,933,397			—		4,933,397
Kazakhstan		—			60,553			—		60,553
Netherlands		—			1,524,781			—		1,524,781
Norway		—			13,046,915			—		13,046,915
Poland		—			2,856,022			—		2,856,022
Russia		—			22,874,417			—		22,874,417
Singapore		—			3,546,665			—		3,546,665
South Africa		—			2,252,449			—		2,252,449
South Korea		—			506,718			—		506,718
Spain		—			3,105,754			—		3,105,754
Sweden		—			548,208			—		548,208
Thailand		—			3,015,194			—		3,015,194
Turkey		—			786,985			—		786,985
Ukraine		—			2,097,587			—		2,097,587
United Arab Emirates		—			210,756			—		210,756
United Kingdom		—			44,858,161			—		44,858,161
United States		23,555,250			—			—		23,555,250
TOTAL COMMON STOCKS		34,706,188			129,928,292			—		164,634,480
Preferred Stocks
Brazil		—			3,605,577			—		3,605,577
Chile		7,952,889			2,062,374			—		10,015,263
Russia		—			3,735,561			—		3,735,561
TOTAL PREFERRED STOCKS		7,952,889			9,403,512			—		17,356,401
Mutual Funds
United States		2,500,080			—			—		2,500,080
TOTAL MUTUAL FUNDS		2,500,080			—			—		2,500,080
Short-Term Investments		1,115,567			—			—		1,115,567
Total Investments		46,274,724			139,331,804			—		185,606,528
Total	$	46,274,724		$	139,331,804		$	—	$	185,606,528
Risk Premium Fund
Asset Valuation Inputs
Short-Term Investments	$	192,569,783		$	—		$	—	$	192,569,783
Total Investments		192,569,783			—			—		192,569,783
Total	$	192,569,783		$	—		$	—	$	192,569,783
Liability Valuation Inputs
Derivatives^
Written Options
	$	(1,184,400	)	$	(762,614	)	$	—	$	(1,947,014	)

69

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Description	Level 1		Level 2		Level 3			Total
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	8,070,089	$	—		$	8,070,089
Austria		—		881,435		0	§		881,435
Belgium		—		553,733		—			553,733
Brazil		—		512,535		—			512,535
Canada		2,838,285		—		—			2,838,285
China		—		3,847,939		—			3,847,939
Czech Republic		—		76,607		—			76,607
Denmark		—		1,422,331		—			1,422,331
Finland		—		2,159,628		—			2,159,628
France		—		12,650,940		0	§		12,650,940
Germany		—		16,805,006		—			16,805,006
Hong Kong		—		4,357,806		—			4,357,806
Hungary		—		132,672		—			132,672
India		112,606		364,009		—			476,615
Ireland		—		395,610		—			395,610
Israel		452,766		1,554,189		—			2,006,955
Italy		—		4,549,266		—			4,549,266
Japan		—		30,869,305		—			30,869,305
Malta		—		—		0	§		0	§
Mexico		499,337		—		—			499,337
Netherlands		—		6,072,876		—			6,072,876
New Zealand		—		688,028		—			688,028
Norway		—		1,946,081		—			1,946,081
Peru		62,672		—		—			62,672
Poland		—		181,538		—			181,538
Portugal		—		402,102		—			402,102
Russia		—		610,204		—			610,204
Singapore		—		1,532,471		—			1,532,471
South Africa		—		1,304,926		—			1,304,926
South Korea		—		2,501,027		—			2,501,027
Spain		—		2,313,277		—			2,313,277
Sweden		—		1,414,384		—			1,414,384
Switzerland		—		5,509,483		—			5,509,483
Taiwan		744,366		1,790,814		—			2,535,180
Thailand		—		221,879		—			221,879
Turkey		—		402,696		—			402,696
United Kingdom		—		26,137,346		—			26,137,346
TOTAL COMMON STOCKS		4,710,032		142,232,232		0	§		146,942,264
Preferred Stocks
Brazil		—		708,146		—			708,146
Germany		—		823,574		—			823,574
Russia		—		139,216		—			139,216
South Korea		—		451,450		—			451,450
TOTAL PREFERRED STOCKS		—		2,122,386		—			2,122,386
Mutual Funds
United States		2,208,490		—		—			2,208,490
TOTAL MUTUAL FUNDS		2,208,490		—		—			2,208,490
Short-Term Investments		424,074		—		—			424,074
Total Investments		7,342,596		144,354,618		0	§		151,697,214
Total	$	7,342,596	$	144,354,618	$	0	§	$	151,697,214

70

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
U.S. Equity Allocation Fund
Asset Valuation Inputs
Common Stocks	$	2,153,432,832	$	—	$	—	$	2,153,432,832
Mutual Funds		9,345,101		—		—		9,345,101
Short-Term Investments		4,034,745		—		—		4,034,745
Total Investments		2,166,812,678		—		—		2,166,812,678
Total	$	2,166,812,678	$	—	$	—	$	2,166,812,678

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. Excludes purchased options, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at August 31, 2016.

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

For all Funds for the period ended August 31, 2016, there were no significant 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 29, 2016		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)		Transfer into Level 3†		Transfer out of Level 3†		Balances as of August 31, 2016		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2016
Developed World Stock Fund
Common Stocks
South Africa	$	3	$	—	$	—		$	—	$	—		$	—	$	—	$	—	$	3	$	—
Taiwan		99,286		49,962		(14,437	)		—		(5,470	)		44,622		—		—		173,963		44,622
Total	$	99,289	$	49,962	$	(14,437	)	$	—	$	(5,470	)	$	44,622	$	—	$	—	$	173,966	$	44,622

† 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.

71

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

The net aggregate direct and indirect exposure to investments in securities using Level 3 inputs (based on each Fund’s net assets) as of August 31, 2016 were as follows:

Fund Name	Level 3 securities and derivatives
Developed World Stock Fund		< 1%
International Equity Fund		0%	§
International Large/Mid Cap Equity Fund		0%	§
Quality Fund		—
Resources Fund		—
Risk Premium Fund		—
Tax-Managed International Equities Fund		0%	§
U.S. Equity Allocation Fund		—

§ Represents the interest in securities that were determined to have a value of zero at August 31, 2016.

Cash

Cash and foreign currency, if any, on the Statements of Assets and Liabilities consist of cash balances held with the custodian.

Due to/from broker

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

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

Taxes and distributions

Each Fund has elected to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

The policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2016, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.

Certain Funds have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by member states of the European Union. Generally, the amount of such refunds that a Fund reasonably determines are collectible and free from significant contingencies are

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reflected in a Fund’s net asset value and are reflected as Dividends from unaffiliated issuers in the Statements of Operations. In certain circumstances, a Fund’s receipt of such refunds may cause the Fund and/or its shareholders to be liable for U.S. federal income taxes and interest charges.

Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

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

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

As of February 29, 2016, certain Funds elected to defer to March 1, 2016 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)			Post-October Capital Losses ($)
Developed World Stock Fund		—			(15,122,379)
International Equity Fund		—			(632,906,576)
International Large/Mid Cap Equity Fund		—			(143,186,428)
Quality Fund		—			(20,790,166)
Resources Fund		—			(9,712,516)
Risk Premium Fund		(100,672	)		(11,550,422)
Tax-Managed International Equities Fund		—			(7,603,672)
U.S. Equity Allocation Fund		—			(7,384,375)

As of February 29, 2016, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 29, 2016, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

	Short-Term ($)									Total Short- Term ($)			Long- Term ($)
Fund Name	Expiration Date 2/28/2018			Expiration Date 2/28/2019			No Expiration Date						No Expiration Date
Developed World Stock Fund		—			—			—			—			—
International Equity Fund		—			—			(67,723,306	)		(67,723,306	)		(108,001,919	)
International Large/Mid Cap Equity Fund		(215,593,848	)		(47,181,759	)		(1,648,399	)		(264,424,006	)		(48,007,869	)
Quality Fund		—			—			—			—			—
Resources Fund		—			—			(14,887,084	)		(14,887,084	)		(18,086,289	)
Risk Premium Fund		—			—			—			—			—
Tax-Managed International Equities Fund		(10,176,681	)		—			(21,738,493	)		(31,915,174	)		(4,911,918	)
U.S. Equity Allocation Fund		(75,916,756	)		—			—			(75,916,756	)		—

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As of August 31, 2016, 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		291,313,577		13,386,331		(13,718,600	)		(332,269	)
International Equity Fund		7,592,339,166		443,609,436		(754,994,104	)		(311,384,668	)
International Large/Mid Cap Equity Fund		997,730,174		52,371,178		(92,705,174	)		(40,333,996	)
Quality Fund		7,969,919,205		1,412,076,585		(101,331,696	)		1,310,744,889
Resources Fund		178,902,267		23,612,915		(16,908,654	)		6,704,261
Risk Premium Fund		192,542,667		34,063		(6,947	)		27,116
Tax-Managed International Equities Fund		131,620,011		25,682,285		(5,605,082	)		20,077,203
U.S. Equity Allocation Fund		2,091,783,054		141,930,405		(66,900,781	)		75,029,624

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

Security transactions and related investment income

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

Expenses and class allocations

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

Brown Brothers Harriman & Co. (“BBH”) serves as the Funds’ custodian and fund accounting agent except for Quality Fund, U.S. Equity Allocation Fund and Risk Premium Fund. For Quality Fund, U.S. Equity Allocation Fund and Risk Premium Fund, State Street Bank and Trust Company (“State Street”) serves as the custodian and fund accounting agent. State Street serves as the transfer agent for all Funds. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations. Prior

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to December 31, 2012 for Quality Fund, U.S. Equity Allocation Fund and Risk Premium Fund, State Street’s custodian fees may have been reduced by an earnings allowance calculated on the average daily cash balance the Funds maintained in a State Street custodial account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2013 for Quality Fund, U.S. Equity Allocation Fund and Risk Premium Fund, any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

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

Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. GMO also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

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

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

As of August 31, 2016, the premium on cash purchases and the fee on cash redemptions were as follows:

	Developed World Stock Fund	International Equity Fund	International Large/Mid Cap Equity Fund	Quality Fund	Resources Fund	Risk Premium Fund	Tax-Managed International Equities Fund	U.S. Equity Allocation Fund
Purchase Premium	0.25%	—	—	—	0.30%	0.15%	—	—
Redemption Fee	0.25%	—	—	—	0.30%	0.15%	—	—

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3. Investment and other risks

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

	Developed World Stock Fund	International Equity Fund	International Large/Mid Cap Equity Fund	Quality Fund	Resources Fund	Risk Premium Fund	Tax-Managed International Equities Fund	U.S. Equity Allocation Fund
Commodities Risk					X
Counterparty Risk	X	X	X	X	X	X	X	X
Credit Risk						X
Currency Risk	X	X	X	X	X	X	X
Derivatives and Short Sales Risk	X	X	X	X	X	X	X	X
Focused Investment Risk	X	X	X	X	X	X	X	X
Fund of Funds Risk	X
Illiquidity Risk	X	X	X	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X		X	X
Management and Operational Risk	X	X	X	X	X	X	X	X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X	X	X
Market Risk – Equities	X	X	X	X	X	X	X	X
Market Risk – Fixed Income Investments						X
Merger Arbitrage Risk					X
Non-Diversified Funds	X			X	X	X	X
Non-U.S. Investment Risk	X	X	X	X	X	X	X
Small Company Risk	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 or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the 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 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.

• 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 and Short Sales Risk” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.

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• 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. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws or other requirements. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (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 during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms 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. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty if the transaction is primarily designed to reduce the Fund’s overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty).

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 will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” 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. 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. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the Funds’ ability to exercise remedies, such as the

termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, with respect to counterparties who are subject to such proceedings in the European Union, the liabilities of such counterparties to the Funds could be reduced, eliminated, or converted to equity in such counterparties (sometimes referred to as a “bail in”).

• 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 in anticipation of such failure, or the downgrade of the credit rating of the investment. 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, a government or government entity, 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 term 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

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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 or quasi-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 ability and willingness 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.

Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led to a downgrade in the long-term credit rating of U.S. bonds by several major rating agencies and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the value of a Fund’s investments and increase the volatility of a Fund’s portfolio.

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 and Short Sales Risk” 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 many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or a change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.

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 or other low quality debt securities generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. 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 assessment of the eventual recovery value of a distressed or defaulted debt security proves incorrect, a Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.

• 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 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 currency in which the Fund is denominated. 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 on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”

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

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 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”).

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• DERIVATIVES AND SHORT SALES 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 their value may not change 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 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 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 cost 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 fundamental fair (or 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 a greater risk of not being able to recover what it is owed if the counterparty defaults. Even when derivatives are required by contract to be collateralized, a Fund typically will not receive the collateral for one or more days after the collateral is required to be posted.

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”) and counterparty risk (see “Counterparty Risk”). These derivatives are also subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. In addition, see “Commodities Risk” for a discussion of risks specific to commodity-related derivatives. 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.”

A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives may be unclear because there is little case or other law interpreting the terms of most derivatives or determining their tax treatment. In addition, the Securities and Exchange Commission recently proposed a rule under the 1940 Act regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.

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Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) are implementing similar requirements, which will affect a Fund when it enters into a derivatives transaction with a counterparty organized in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear.

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, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in margin requirements above those required at the outset 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 margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk”). 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. Also, such documentation typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks may be 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), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components 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.

The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. GMO expects that the Funds’ transactions will become subject to variation margin requirements under such rules in 2017 and initial margin requirements under such rules in 2020. Such requirements could increase the amount of margin a Fund needs to provide in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.

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 or otherwise limiting liquidity. The implementation of the clearing requirement has increased the costs of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they have historically posted for bilateral derivatives. The costs of derivatives transactions are expected to increase further as clearing members raise their fees to cover the costs of

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additional capital requirements and other regulatory changes applicable to the clearing members, which will take effect when rules imposing mandatory minimum margin requirements on bilateral swaps, as described above, become effective. 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. The Funds, particularly Risk Premium Fund, are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. 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 before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk 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 will likely constitute such a group. When applicable, these limits 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 taxes payable by shareholders. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to consist of amounts taxable to shareholders subject to U.S. income tax at ordinary income tax rates.

Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further,

thereby exacerbating any losses. A Fund that sells short a security or currency it does not own also may have to pay borrowing fees to a broker and may be required to pay the broker any dividends or interest it receives on a borrowed security.

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.

• FOCUSED INVESTMENT RISK. Funds with investments that are focused in particular countries, regions, sectors, industries or issuers that are subject to the same or similar risk factors and funds with investments whose prices are closely correlated are subject to greater overall risk than funds with investments that are more diversified or whose prices are not as closely correlated.

A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of particular securities than Funds investing in the securities of a larger number of issuers. 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 (or related) to a particular geographic region, country (e.g., Taiwan or Japan), or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) 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 the value of the currency of one country can spread to other countries. Furthermore, companies in a particular geographic region or

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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”.

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 are often 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 the supplies they purchase and the products they sell, which can affect their profitability, and are often capital-intensive and use significant amounts of leverage. Projects in the natural resources sector may have long setup times and companies cannot ensure that the market will be favorable at the time the project begins production. Companies in the natural resources sector may also 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 and cartels, 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 resources 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 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.

• FUND OF FUNDS RISK. Funds that invest in Underlying Funds (including underlying GMO Funds) are exposed to the risk that the Underlying Funds will not perform as expected. The Funds are also indirectly exposed to all of the risks to which the Underlying Funds are exposed.

Because a Fund bears the fees and expenses of an Underlying Fund in which it invests, absent reimbursement, the Fund will incur additional expenses when investing in an Underlying Fund. 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.

In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk because those underlying GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”

Investments in ETFs involve the risk that an 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 in “Derivatives and Short Sales Risk.”

A Fund’s investments in one or more Underlying Funds could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.

• 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, defaulted or other low quality debt securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float adjusted 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 price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, 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.

A Fund may buy securities that are less liquid than those in its benchmark.

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A Fund’s, and particularly Risk Premium Fund’s, ability to use options as part of its investment program depends on the liquidity of the options market. In addition, that market may not be liquid when a 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 a 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 a Fund receives a redemption request and is unable to close out an option it has sold, the Fund may temporarily be leveraged in relation to its assets.

• LARGE SHAREHOLDER RISK. To the extent 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, potentially at disadvantageous prices, 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. The 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 Fund shareholders. Additionally, redemptions by a large shareholder 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, to the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this 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.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO 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 developments in tax legislation and regulation.

For many Funds, GMO often uses quantitative models as part of its investment process. GMO’s models are not necessarily predictive of future market events and use simplifying assumptions that can limit their effectiveness. In addition, the data on which the models are based is subject to limitations (e.g., inaccuracies, staleness) that could adversely affect a Fund’s performance. The Funds also run the risk that GMO’s assessment of an investment (including a company’s fundamental fair (or intrinsic) value) 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 could prevent a Fund from benefiting from potential investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value (“NAV”) for a Fund or share class on a timely basis. 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 contractual limitations on their liability to the Funds for losses resulting from their errors.

The Funds and their service providers (including GMO) are susceptible to cyber-attacks and technological malfunctions that may have effects that are similar to those of a cyber-attack. 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

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operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other 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 or misappropriation 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, such plans and systems are subject to inherent limitations. 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.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or other economic inputs (e.g., the marked decline in oil prices that began in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries, which could significantly reduce the value of a 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 manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trading practices, which could disrupt the orderly functioning of markets or reduce the value of investments traded in them, including investments of the Funds. Instances of fraud and other deceptive practices committed by senior management of certain companies in which a Fund invests may undermine GMO’s due diligence efforts with respect to such companies, and if such fraud is discovered, negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively impact a Fund’s investment program. Financial fraud also may impact the rates or indices underlying a Fund’s investments.

While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce 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 adversely 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. Uncertainty surrounding the sovereign debt of several European Union countries, as well as the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or leaves the European Union or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could adversely 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 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.

• 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 price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the company’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from 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 their market prices can decline in a rapid or unpredictable manner. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as determined by GMO, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment of the equity’s fundamental fair (or intrinsic) value. 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.

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Because of Risk Premium Fund’s emphasis on selling put options on stock indices, GMO expects its net asset value 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 relative to those indices when those markets rise sharply because of 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 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 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 below investment grade securities 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 price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” 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. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.

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, are subject to additional interest rate risk.

The market price of inflation-indexed bonds (including TIPS typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases 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.

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.

Fixed income securities denominated in foreign currencies also are subject to currency risk. See “Currency Risk”.

In response to government intervention, economic or market developments, or other factors, fixed income markets may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling 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.

• MERGER ARBITRAGE RISK. Some Funds may engage in transactions in which a Fund purchases securities at prices below the value of the consideration GMO expects to be paid for them upon consummation of a proposed merger, exchange offer, tender offer, or other similar transaction (“merger arbitrage transactions”). The purchase price paid by the Fund may substantially exceed the market price of the securities before the announcement of the transaction.

If a Fund engages in a merger arbitrage transaction and that transaction later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market prices of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric, as the losses in failed transactions often far exceed the gains in successful transactions. A merger arbitrage transaction can fail for many reasons, including regulatory and antitrust restrictions, political motivations, industry weakness, stock specific events, failed financings, and general market declines.

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Merger arbitrage strategies depend for success on the overall volume of merger activity, which has historically been cyclical. When merger activity is low, GMO may be unable to identify enough opportunities to provide sufficient diversification.

Merger arbitrage strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust long or short investment exposure in connection with a merger arbitrage transaction may not perform as GMO expected or may otherwise reduce the Fund’s gains or increase its losses. Also, a Fund may be unable to hedge against market fluctuations or other risks. In addition, a Fund that sells securities short that GMO expects it to receive upon consummation of a transaction but it does not actually receive (and thus has an unintended “naked” short position) may be required to cover its short position at a time when the securities sold short have appreciated in value, thus resulting in a loss.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers. 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

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Non-U.S. securities markets often include securities of only a small 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 as much regulation as U.S. issuers, and 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 may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek 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 seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if eligible. The outcome of a Fund’s efforts to obtain a refund may be unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until the Fund determines there is a high likelihood the refund will be received.

Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, other government involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises), 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. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities 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 affect the market value of a Fund’s non-U.S. investments (see “Currency Risk”).

The Funds need a license to invest directly in many non-U.S. securities 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 to invest in a particular market is terminated or suspended, to obtain exposure to that 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 a GMO client could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.

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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 or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises); 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 enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may be predominantly based on only a few industries or dependent on revenues from particular commodities.

• SMALL COMPANY RISK. Companies with smaller market capitalizations may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, may have inexperienced managers or may depend on a smaller group of key employees as compared to larger companies. 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.

Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and 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.

4. Derivative financial instruments

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices that are used 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 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 currencies in which its 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.

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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 August 31, 2016, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use

Developed World Stock Fund

International Equity Fund

International Large/Mid Cap Equity Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities Fund

U.S. Equity Allocation

Forward currency contracts

Manage against anticipated currency rate changes

X

Futures contracts

Adjust exposure to certain securities markets

X

X

X

X

X

Maintain the diversity and liquidity of the portfolio

X

X

X

X

X

Options (Written)

Substitute for direct equity investment

X

Swap contracts

Substitute for direct investments in securities

X

X

Rights and/or Warrants

Received as a result of corporate actions

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 settled.

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

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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 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 value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. 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, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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

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

For the period ended August 31, 2016, 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		—		4,274		$	6,771,097			—		—	$	—
Options written		—		28,551			30,652,000			—		—		—
Options bought back		—		(5,291	)		(6,102,570	)		—		—		—
Options expired		—		(19,466	)		(23,878,007	)		—		—		—
Options exercised		—		(4,525	)		(3,934,930	)		—		—		—
Outstanding, end of period		—		3,543		$	3,507,590			—		—	$	—

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

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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 industry models and inputs provided by primary pricing sources.

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation 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 in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.

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

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

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contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

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

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

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

The risks referenced in the tables below 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 Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2016 and the Statements of Operations for the period ended August 31, 2016^:

	Credit Contracts		Commodity Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Developed World Stock Fund
Realized Gain (Loss) on
Swap Contracts	$	—	$	—	$	87,056		$	—		$	—	$	—	$	87,056
Forward Currency Contracts		—		—		—			295,101			—		—		295,101
Futures Contracts		—		—		1,082,977			—			—		—		1,082,977
Total	$	—	$	—	$	1,170,033		$	295,101		$	—	$	—	$	1,465,134
Change in Appreciation (Depreciation)
Swap Contracts	$	—	$	—	$	5,620		$	—		$	—	$	—	$	5,620
Forward Currency Contracts		—		—		—			(458,392	)		—		—		(458,392	)
Futures Contracts		—		—		(22,545	)		—			—		—		(22,545	)
Total	$	—	$	—	$	(16,925	)	$	(458,392	)	$	—	$	—	$	(475,317	)
International Equity Fund
Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	—	$	5,705		$	—		$	—	$	—	$	5,705
Futures Contracts		—		—		15,860,244			—			—		—		15,860,244
Total	$	—	$	—	$	15,865,949		$	—		$	—	$	—	$	15,865,949
Change in Appreciation (Depreciation)
Futures Contracts	$	—	$	—	$	(3,066,601	)	$	—		$	—	$	—	$	(3,066,601	)
Total	$	—	$	—	$	(3,066,601	)	$	—		$	—	$	—	$	(3,066,601	)

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	Credit Contracts		Commodity Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
International Large/Mid Cap Equity Fund
Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	—	$	(2	)	$	—	$	—	$	—	$	(2	)
Futures Contracts		—		—		1,724,021			—		—		—		1,724,021
Total	$	—	$	—	$	1,724,019		$	—	$	—	$	—	$	1,724,019
Change in Appreciation (Depreciation)
Futures Contracts	$	—	$	—	$	(49,665	)	$	—	$	—	$	—	$	(49,665	)
Total	$	—	$	—	$	(49,665	)	$	—	$	—	$	—	$	(49,665	)
Resources Fund
Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	—	$	33,221		$	—	$	—	$	—	$	33,221
Total	$	—	$	—	$	33,221		$	—	$	—	$	—	$	33,221
Risk Premium Fund
Liability Derivatives
Written Options and/or swaptions, at value	$	—	$	—	$	(1,947,014	)	$	—	$	—	$	—	$	(1,947,014	)
Total	$	—	$	—	$	(1,947,014	)	$	—	$	—	$	—	$	(1,947,014	)
Derivatives not subject to Master Agreements		—		—		—			—		—		—		—
Total subject to Master Agreements	$	—	$	—	$	(1,947,014	)	$	—	$	—	$	—	$	(1,947,014	)
Realized Gain (Loss) on
Written Options and/or Swaptions	$	—	$	—	$	23,528,005		$	—	$	—	$	—	$	23,528,005
Total	$	—	$	—	$	23,528,005		$	—	$	—	$	—	$	23,528,005
Change in Appreciation (Depreciation)
Written Options and/or Swaptions	$	—	$	—	$	(1,106,436	)	$	—	$	—	$	—	$	(1,106,436	)
Total	$	—	$	—	$	(1,106,436	)	$	—	$	—	$	—	$	(1,106,436	)
Tax-Managed International Equities Fund
Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	—	$	(3,469	)	$	—	$	—	$	—	$	(3,469	)
Forward Currency Contracts		—		—		—			—		—		—		—
Futures Contracts		—		—		959,999			—		—		—		959,999
Total	$	—	$	—	$	956,530		$	—	$	—	$	—	$	956,530
Change in Appreciation (Depreciation)
Futures Contracts		—		—		(25,330	)		—		—		—		(25,330	)
Total	$	—	$	—	$	(25,330	)	$	—	$	—	$	—	$	(25,330	)

92

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

	Credit Contracts		Commodity Contracts		Equity Contracts		Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
U.S. Equity Allocation Fund
Realized Gain (Loss) on
Swap Contracts	$	—	$	—	$	2,130,834	$	—	$	—	$	—	$	2,130,834
Futures Contracts		—		—		3,190,647		—		—		—		3,190,647
Total	$	—	$	—	$	5,321,481	$	—	$	—	$	—	$	5,321,481
Change in Appreciation (Depreciation)
Swap Contracts	$	—	$	—	$	137,535	$	—	$	—	$	—	$	137,535
Futures Contracts		—		—		27,300		—		—		—		27,300
Total	$	—	$	—	$	164,835	$	—	$	—	$	—	$	164,835

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

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions.

However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because the Funds do not presently have a legally enforceable right of set-off, these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be made by a Fund in such an event is represented by the unrealized amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.

For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2016, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2016:

Risk Premium Fund

Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Morgan Stanley & Co. LLC	$	1,947,014	$	—	$	—	$	1,947,014
Total	$	1,947,014	$	—	$	—	$	1,947,014

* The actual collateral received and/or pledged is more than the amount shown.

93

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts), market values (rights and/ or warrants) or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2016:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)			Swap Contracts ($)		Options (Contracts)		Rights and/or Warrants ($)
Developed World Stock Fund		19,957,751		2,829,496			191,092		—		3,803
International Equity Fund		—		25,610,393			—		—		191,258
International Large/Mid Cap Equity Fund		—		4,417,884			—		—		26,881
Resources Fund		—		—			—		—		3,856
Risk Premium Fund		—		—			—		4,759		—
Tax-Managed International Equities Fund		—		309,417			—		—		5,868
U.S. Equity Allocation Fund		—		11,865,078	*		4,677,310		—		—

* During the period ended August 31, 2016, the Fund did not hold this investment type at any month-end; therefore, the average amount outstanding was calculated using daily outstanding absolute values.

5. Fees and other transactions with affiliates

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

	Developed World Stock Fund	International Equity Fund	International Large/Mid Cap Equity Fund	Quality Fund	Resources Fund	Risk Premium Fund	Tax-Managed International Equities Fund	U.S. Equity Allocation Fund
Management Fee	0.45%	0.50%	0.38%	0.33%	0.50%	0.45%	0.50%	0.31%

In addition, each class of shares of certain Funds pays GMO a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholder service fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:

Fund Name	Class II		Class III		Class IV			Class V			Class VI
Developed World Stock Fund				0.15%		0.10%
International Equity Fund		0.22%		0.15%		0.09%
International Large/Mid Cap Equity Fund				0.15%		0.09%						0.055%
Quality Fund				0.15%		0.105%			0.085%			0.055%
Resources Fund				0.15%		0.10%			0.085%	*		0.055%	*
Risk Premium Fund				0.15%		0.10%	*		0.085%	*		0.055%
Tax-Managed International Equities Fund				0.15%
U.S. Equity Allocation Fund				0.15%		0.10%			0.085%			0.055%

* Class is offered but has no shareholders as of August 31, 2016.

94

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

For each Fund other than Resources Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO. For Resources Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.10% of the Fund’s average daily net assets.

“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

For each Fund that pays GMO a management fee, GMO has contractually agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.

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

These contractual waivers and reimbursements will continue through at least June 30, 2017 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.

The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2016 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Developed World Stock Fund		2,668		368
International Equity Fund		63,508		6,808
International Large/Mid Cap Equity Fund		11,151		1,196
Quality Fund		57,536		6,348
Resources Fund		1,380		184
Risk Premium Fund		1,748		184
Tax-Managed International Equities Fund		1,840		184
U.S. Equity Allocation Fund		33,383		3,588

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2016 these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:

Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Total Indirect Expenses
Developed World Stock Fund		0.016%		0.003%		0.019%
International Equity Fund		< 0.001%		0.000%		< 0.001%
International Large/Mid Cap Equity Fund		< 0.001%		0.000%		< 0.001%
Quality Fund		< 0.001%		0.000%		< 0.001%
Resources Fund		< 0.001%		0.000%		< 0.001%
Risk Premium Fund		0.000%		0.000%		0.000%
Tax-Managed International Equities Fund		< 0.001%		0.000%		< 0.001%
U.S. Equity Allocation Fund		< 0.001%		0.000%		< 0.001%

95

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to insure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 2016, the Funds did not engage in these transactions.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, for the period ended August 31, 2016 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Developed World Stock Fund		—		239,924,284		—		314,157,708
International Equity Fund		—		2,313,945,972		—		3,756,718,421
International Large/Mid Cap Equity Fund		—		358,413,644		—		879,451,689
Quality Fund		—		2,380,089,635		—		1,182,666,794
Resources Fund		—		53,524,434		—		88,705,914
Risk Premium Fund		—		—		—		—
Tax-Managed International Equities Fund		—		65,150,417		—		140,995,997
U.S. Equity Allocation Fund		—		1,882,268,584		—		4,658,838,291

Cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, in accordance with U.S. GAAP for the period ended August 31, 2016 are noted in the table below:

Fund Name	Purchases ($)		Sales ($)
U.S. Equity Allocation Fund		—		153,780,220

For the period ended August 31, 2016, the Funds had the following net realized gains/(losses) attributed to redemption in-kind transactions:

Fund Name	Net realized gains/(losses) attributed to redemption in-kind transactions ($)
U.S. Equity Allocation Fund		21,941,191

7. Guarantees

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

96

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

8. Principal shareholders and related parties as of August 31, 2016

Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund			Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund		Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers		Percentage of the Fund’s shares held by accounts for which GMO has investment discretion
Developed World Stock Fund		1			93.96%		0.06%		—
International Equity Fund		4	§		50.81%		0.22%		91.74%
International Large/Mid Cap Equity Fund		4			69.55%		—		—
Quality Fund		—			—		0.10%		21.74%
Resources Fund		2			80.46%		14.32%		6.83%
Risk Premium Fund		2	‡		83.99%		0.05%		99.70%
Tax-Managed International Equities Fund		3			40.45%		0.33%		—
U.S. Equity Allocation Fund		4	§		60.97%		0.02%		96.81%

‡ One of the shareholders is another fund of the Trust.

§ Three of the shareholders are other funds of the Trust.

9. Share transactions

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

	Six Months Ended August 31, 2016 (Unaudited)						Year Ended February 29, 2016
	Shares			Amount			Shares			Amount
Developed World Stock Fund
Class III:
Shares issued to shareholders in reinvestment of distributions		4,060		$	86,956			299,846		$	6,603,136
Shares repurchased		(3,955,340	)		(85,243,708	)		(1,939,204	)		(45,581,452	)
Purchase premiums		—			—			—			7
Redemption fees		—			27,614			—			44,518
Net increase (decrease)		(3,951,280	)	$	(85,129,138	)		(1,639,358	)	$	(38,933,791	)
Class IV:
Shares sold		—		$	—			331		$	8,160
Shares issued to shareholders in reinvestment of distributions		80,016			1,713,142			775,881			17,111,972
Shares repurchased		(425	)		(195,225	)		(1,079	)		(22,778	)
Purchase premiums		—			—			—			14
Redemption fees		—			185,983			—			95,057
Net increase (decrease)		79,591		$	1,703,900			775,133		$	17,192,425

97

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

	Six Months Ended August 31, 2016 (Unaudited)						Year Ended February 29, 2016
	Shares			Amount			Shares			Amount
International Equity Fund
Class II:
Shares sold		391,304		$	7,700,000			40,871		$	879,894
Shares issued to shareholders in reinvestment of distributions		6,979			133,724			122,349			2,473,073
Shares repurchased		(2,036,744	)		(38,999,914	)		(762,281	)		(18,193,375	)
Net increase (decrease)		(1,638,461	)	$	(31,166,190	)		(599,061	)	$	(14,840,408	)
Class III:
Shares sold		2,101,225		$	41,120,674			11,099,737		$	212,113,201
Shares issued to shareholders in reinvestment of distributions		201,936			3,911,496			1,420,943			29,100,091
Shares repurchased		(19,972,784	)		(396,729,189	)		(20,046,562	)		(450,098,976	)
Net increase (decrease)		(17,669,623	)	$	(351,697,019	)		(7,525,882	)	$	(208,885,684	)
Class IV:
Shares sold		9,872,924		$	190,619,462			24,271,645	(a)	$	515,469,914	(a)
Shares issued to shareholders in reinvestment of distributions		1,551,728			30,010,422			12,723,714			260,908,804
Shares repurchased		(71,182,329	)		(1,407,196,262	)		(133,552,246	)		(2,927,675,247	)
Net increase (decrease)		(59,757,677	)	$	(1,186,566,378	)		(96,556,887	)	$	(2,151,296,529	)
International Large/Mid Cap Equity Fund
Class III:
Shares sold		382,657		$	9,744,366			605,372		$	16,698,856
Shares issued to shareholders in reinvestment of distributions		89,127			2,192,533			477,071			12,391,865
Shares repurchased		(6,808,593	)		(170,247,762	)		(1,128,246	)		(31,120,472	)
Net increase (decrease)		(6,336,809	)	$	(158,310,863	)		(45,803	)	$	(2,029,751	)
Class IV:
Shares sold		815,187		$	20,401,948			4,154,261		$	120,506,310
Shares issued to shareholders in reinvestment of distributions		84,272			2,072,250			1,128,998			29,419,761
Shares repurchased		(15,945,925	)		(407,767,165	)		(22,578,254	)		(622,875,974	)
Net increase (decrease)		(15,046,466	)	$	(385,292,967	)		(17,294,995	)	$	(472,949,903	)
Class VI:
Shares sold		—		$	—			11,580,744		$	347,306,281
Shares issued to shareholders in reinvestment of distributions		86,246			2,119,909			332,833			8,537,330
Shares repurchased		—			—			(5,562	)		(147,705	)
Net increase (decrease)		86,246		$	2,119,909			11,908,015		$	355,695,906
Quality Fund
Class III:
Shares sold		11,603,293		$	237,668,411			37,113,339		$	737,344,467
Shares issued to shareholders in reinvestment of distributions		3,006,909			62,062,610			30,774,221			612,057,442
Shares repurchased		(49,582,269	)		(1,023,328,056	)		(91,043,451	)		(1,918,244,009	)
Net increase (decrease)		(34,972,067	)	$	(723,597,035	)		(23,155,891	)	$	(568,842,100	)
Class IV:
Shares sold		20,320,707		$	429,962,028			12,972,554		$	257,812,501
Shares issued to shareholders in reinvestment of distributions		829,483			17,145,419			13,099,210			260,671,560
Shares repurchased		(19,171,806	)		(393,148,507	)		(53,695,896	)		(1,093,773,807	)
Net increase (decrease)		1,978,384		$	53,958,940			(27,624,132	)	$	(575,289,746	)

98

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

	Six Months Ended August 31, 2016 (Unaudited)						Year Ended February 29, 2016
	Shares			Amount			Shares			Amount
Quality Fund (continued)
Class V:
Shares sold		8,400,829		$	175,100,716			14,581,336		$	281,324,249
Shares issued to shareholders in reinvestment of distributions		323,502			6,686,781			1,727,690			34,265,400
Shares repurchased		(1,429,519	)		(28,932,992	)		(13,369,451	)		(265,409,816	)
Net increase (decrease)		7,294,812		$	152,854,505			2,939,575		$	50,179,833
Class VI:
Shares sold		87,366,930		$	1,819,444,825			4,668,807		$	94,787,369
Shares issued to shareholders in reinvestment of distributions		2,511,389			51,835,067			16,573,784			329,071,123
Shares repurchased		(7,175,615	)		(149,323,942	)		(38,615,013	)		(796,618,823	)
Net increase (decrease)		82,702,704		$	1,721,955,950			(17,372,422	)	$	(372,760,331	)
Resources Fund
Class III:
Shares sold		339,293		$	5,006,738			80,942		$	1,025,701
Shares issued to shareholders in reinvestment of distributions		2,264			32,583			23,071			276,260
Shares repurchased		(480,753	)		(6,826,429	)		(376,930	)		(6,175,879	)
Purchase premiums		—			1,414			—			31,664
Redemption fees		—			10,961			—			2,123
Net increase (decrease)		(139,196	)	$	(1,774,733	)		(272,917	)	$	(4,840,131	)
Class IV:
Shares sold		92,528		$	1,248,774			6,912,543		$	105,688,092
Shares issued to shareholders in reinvestment of distributions		40,692			583,934			426,392			5,037,059
Shares repurchased		(2,889,192	)		(37,258,450	)		(68,102	)		(1,018,052	)
Purchase premiums		—			17,039			—			289,355
Redemption fees		—			120,924			—			19,374
Net increase (decrease)		(2,755,972	)	$	(35,287,779	)		7,270,833		$	110,015,828
Risk Premium Fund
Class III:#
Shares sold		—		$	—			144,920		$	3,932,767
Shares issued to shareholders in reinvestment of distributions		117			3,339			13,688			385,514
Shares repurchased		—			—			(68,020	)		(1,897,755	)
Purchase premiums		—			630			—			3,273
Redemption fees		—			1,655			—			10,762
Net increase (decrease)		117		$	5,624			90,588		$	2,434,561
Class IV:‡
Shares sold		—		$	—			—		$	—
Shares issued to shareholders in reinvestment of distributions		—			—			50,801			477,401
Shares repurchased		—			—			(764,691	)		(6,989,835	)
Purchase premiums		—			—			—			2,962
Redemption fees		—			—			—			13,516
Net increase (decrease)		—		$	—			(713,890	)	$	(6,495,956	)

99

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

	Six Months Ended August 31, 2016 (Unaudited)						Year Ended February 29, 2016
	Shares			Amount			Shares			Amount
Risk Premium Fund (continued)
Class VI#:
Shares sold		389		$	10,630			7,288,864		$	201,620,443
Shares issued to shareholders in reinvestment of distributions		3,271			94,199			948,606			27,005,743
Shares repurchased		(1,628,160	)		(46,110,474	)		(14,450,027	)		(408,326,738	)
Purchase premium fees		—			17,112			—			299,048
Redemption fees		—			49,785			—			598,039
Net increase (decrease)		(1,624,500	)	$	(45,938,748	)		(6,212,557	)	$	(178,803,465	)
Tax-Managed International Equities Fund
Class III:
Shares sold		31,833		$	428,920			213,044		$	3,126,326
Shares issued to shareholders in reinvestment of distributions		25,432			344,090			326,791			4,756,977
Shares repurchased		(5,967,989	)		(82,731,697	)		(9,254,256	)		(130,480,430	)
Net increase (decrease)		(5,910,724	)	$	(81,958,687	)		(8,714,421	)	$	(122,597,127	)
U.S. Equity Allocation Fund
Class III:
Shares sold		208,513		$	3,047,824			3,690,778		$	52,394,646
Shares issued to shareholders in reinvestment of distributions		265,319			3,852,425			1,411,262			20,777,207
Shares repurchased		(4,922,636	)		(72,796,904	)		(8,265,441	)		(132,490,471	)
Net increase (decrease)		(4,448,804	)	$	(65,896,655	)		(3,163,401	)	$	(59,318,618	)
Class IV:
Shares sold		353,392		$	5,084,358			15,005,109		$	210,258,173
Shares issued to shareholders in reinvestment of distributions		391,745			5,676,391			3,184,478			46,544,031
Shares repurchased		(35,938,357	)(b)		(529,747,030	)(b)		(6,893,844	)		(102,627,813	)
Net increase (decrease)		(35,193,220	)	$	(518,986,281	)		11,295,743		$	154,174,391
Class V:*
Shares sold		9,940,723		$	148,613,808			—		$	—
Shares issued to shareholders in reinvestment of distributions		—			—			—			—
Shares repurchased		—			—			—			—
Net increase (decrease)		9,940,723		$	148,613,808			—		$	—
Class VI:
Shares sold		77,498		$	1,154,157			23,204,175		$	356,309,707
Shares issued to shareholders in reinvestment of distributions		4,483,392			64,785,018			37,541,140			549,608,080
Shares repurchased		(160,888,801	)		(2,366,680,172	)		(145,656,187	)(c)		(2,226,520,372	)(c)
Net increase (decrease)		(156,327,911	)	$	(2,300,740,997	)		(84,910,872	)	$	(1,320,602,585	)

^(a)  42,664,021 shares and $928,795,727 were redeemed in-kind.

^(b)  10,797,603 shares and $157,105,130 were redeemed in-kind.

^(c)  42,205,856 shares and $640,262,842 were redeemed in-kind.

# Shares were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

‡ Class IV liquidated on February 25, 2016.

* The class was inactive from July 31, 2014 to August 8, 2016.

100

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

10. Investments in affiliated issuers

A summary of the Funds’ transactions in the shares of other funds of GMO Trust during the period ended August 31, 2016 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 Quality Fund, Class VI	$	—	$	64,900,000	$	3,380,173	$	133,842	$	596,713	$	62,229,609
GMO U.S. Treasury Fund		21,471,541		48,750,000		65,750,000		18,069		153		4,480,723
Totals	$	21,471,541	$	113,650,000	$	69,130,173	$	151,911	$	596,866	$	66,710,332
International Equity Fund
GMO U.S. Treasury Fund	$	296,198,769	$	954,000,000	$	1,188,000,000	$	377,027	$	5,157	$	62,226,997
International Large/Mid Cap Equity Fund
GMO U.S. Treasury Fund	$	50,481,592	$	159,500,000	$	206,950,000	$	58,910	$	686	$	3,044,984
Quality Fund
GMO U.S. Treasury Fund	$	117,824,375	$	773,700,000	$	667,000,000	$	247,447	$	1,105	$	224,537,698
Resources Fund
GMO U.S. Treasury Fund	$	2,000,000	$	13,300,000	$	12,800,000	$	2,799	$	80	$	2,500,080
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	14,106,048	$	5,950,000	$	17,850,000	$	6,864	$	95	$	2,208,490
U.S. Equity Allocation Fund
GMO U.S. Treasury Fund	$	159,329,373	$	500,400,000	$	650,400,000	$	138,291	$	574	$	9,345,101

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2016 through August 31, 2016. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2017.

11. Subsequent events

Subsequent to August 31, 2016, GMO Developed World Stock Fund received redemption requests in the amount of $137,228,495.

101

GMO Trust Funds

Board Review of Investment Management Agreements

August 31, 2016 (Unaudited)

GMO Developed World Stock Fund

Approval of renewal of management agreement for GMO Developed World Stock Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016 In approving the management agreement the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its other pooled investment vehicles and/or separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and/or accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that charge advisory fees, the Manager offsets against fees payable by the Fund to the Manager the management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

102

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO International Equity Fund

Approval of renewal of management agreement for GMO International Equity Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee structure.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

103

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO International Large/Mid Cap Equity Fund

Approval of renewal of management agreement for GMO International Large/Mid Cap Equity Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to fees received by the Manager for providing sub-advisory services to funds managed by third parties. The Trustees considered differences in the services that the Manager provides to the Fund and to those other funds. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

104

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Quality Fund

Approval of renewal of management agreement for GMO Quality Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its other pooled investment vehicles and/or separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and/or accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee structure.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

105

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Resources Fund

Approval of renewal of management agreement for GMO Resources Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

106

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Risk Premium Fund

Approval of renewal of management agreement for GMO Risk Premium Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. The Trustees noted that the Fund is not a standalone investment and its investment strategies are intended to complement the strategies pursued by the Manager in other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

107

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Tax-Managed International Equities Fund

Approval of renewal of management agreement for GMO Tax-Managed International Equities Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

108

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO U.S. Equity Allocation Fund

Approval of renewal of management agreement for GMO U.S. Equity Allocation Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to fees received by the Manager for providing sub-advisory services to funds managed by third parties. The Trustees considered differences in the services that the Manager provides to the Fund and to those other funds. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

109

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

110

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2016 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2016.

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2016 through August 31, 2016.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Actual						Hypothetical
	Beginning Account Value March 1, 2016		Ending Account Value August 31, 2016		Expenses Paid During the Period*		Beginning Account Value March 1, 2016		Ending Account Value August 31, 2016		Expenses Paid During the Period*		Annualized Expense Ratio
Developed World Stock Fund
Class III		$1,000.00		$1,106.70		$3.29		$1,000.00		$1,022.08		$3.16		0.62%
Class IV		$1,000.00		$1,106.50		$2.97		$1,000.00		$1,022.38		$2.85		0.56%
International Equity Fund
Class II		$1,000.00		$1,093.60		$3.80		$1,000.00		$1,021.58		$3.67		0.72%
Class III		$1,000.00		$1,094.40		$3.43		$1,000.00		$1,021.93		$3.31		0.65%
Class IV		$1,000.00		$1,094.30		$3.11		$1,000.00		$1,022.23		$3.01		0.59%
International Large/Mid Cap Equity Fund
Class III		$1,000.00		$1,094.60		$2.85		$1,000.00		$1,022.48		$2.75		0.54%
Class IV		$1,000.00		$1,095.50		$2.54		$1,000.00		$1,022.79		$2.45		0.48%
Class VI		$1,000.00		$1,095.70		$2.32		$1,000.00		$1,022.99		$2.24		0.44%
Quality Fund
Class III		$1,000.00		$1,125.40		$2.57		$1,000.00		$1,022.79		$2.45		0.48%
Class IV		$1,000.00		$1,125.80		$2.36		$1,000.00		$1,022.99		$2.24		0.44%
Class V		$1,000.00		$1,126.20		$2.25		$1,000.00		$1,023.09		$2.14		0.42%
Class VI		$1,000.00		$1,126.40		$2.09		$1,000.00		$1,023.24		$1.99		0.39%
Resources Fund
Class III		$1,000.00		$1,236.50		$4.34		$1,000.00		$1,021.32		$3.92		0.77%
Class IV		$1,000.00		$1,236.90		$4.06		$1,000.00		$1,021.58		$3.67		0.72%
Risk Premium Fund
Class III		$1,000.00		$1,103.10		$3.18		$1,000.00		$1,022.18		$3.06		0.60%
Class VI		$1,000.00		$1,103.80		$2.70		$1,000.00		$1,022.63		$2.60		0.51%
Tax-Managed International Equities Fund
Class III		$1,000.00		$1,094.70		$3.48		$1,000.00		$1,021.88		$3.36		0.66%

111

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses — (Continued)

August 31, 2016 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value March 1, 2016		Ending Account Value August 31, 2016		Expenses Paid During the Period*		Beginning Account Value March 1, 2016		Ending Account Value August 31, 2016		Expenses Paid During the Period*		Annualized Expense Ratio
U.S. Equity Allocation Fund
Class III		$1,000.00		$1,118.40		$2.46		$1,000.00		$1,022.89		$2.35		0.46%
Class IV		$1,000.00		$1,119.50		$2.19		$1,000.00		$1,023.14		$2.09		0.41%
Class V		$1,000.00		$1,007.40		$0.24		$1,000.00		$1,002.77		$0.24		0.40%
Class VI		$1,000.00		$1,118.60		$1.98		$1,000.00		$1,023.34		$1.89		0.37%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2016, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

112

GMO Trust

Semiannual Report

August 31, 2016

Emerging Countries Fund

Emerging Domestic Opportunities Fund

Emerging Markets Fund

Taiwan Fund

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

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

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

An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market risk-equities, management and operational risk, non-U.S. investment risk, small company risk and derivatives risk.

The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.

TABLE OF CONTENTS

Emerging Countries Fund
Investment Concentration Summary	1
Schedule of Investments	2
Emerging Domestic Opportunities Fund
Investment Concentration Summary	6
Schedule of Investments	7
Emerging Markets Fund
Investment Concentration Summary	11
Schedule of Investments	12
Taiwan Fund
Investment Concentration Summary	20
Schedule of Investments	21
Portfolio, Counterparty and Currency Abbreviations	23
Fund Financial Statements:
Statements of Assets and Liabilities	24
Statements of Operations	26
Statements of Changes in Net Assets	27
Financial Highlights	29
Notes to Financial Statements	37
Board Review of Investment Management Agreements	72
Fund Expenses	77

GMO Emerging Countries Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		85.0	%
Investment Funds		7.0
Preferred Stocks		5.9
Mutual Funds		1.1
Short-Term Investments		0.1
Rights/Warrants		0.0	^
Other		0.9
		100.0	%

Country Summary¤	% of Investments
Taiwan		20.6	%
China		19.5
South Korea		16.5
India		12.4
Russia		10.7
United States		7.5	*
Brazil		3.2
Turkey		2.1
Thailand		1.8
Mexico		1.4
Indonesia		0.7
Greece		0.7
Czech Republic		0.7
South Africa		0.7
Philippines		0.5
Malaysia		0.3
Egypt		0.2
United Kingdom		0.2	*
Chile		0.1
Qatar		0.1
Switzerland		0.1
Poland		0.0	^
		100.0	%

^&  Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, rather than notional amounts.

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

* Includes companies that derive more than 50% of their revenues or profits from emerging markets.

^ Rounds to 0.0%.

Industry Group Summary	% of Equity Investments#
Banks		23.1	%
Technology Hardware & Equipment		18.2
Telecommunication Services		12.9
Automobiles & Components		8.9
Energy		6.8
Materials		6.4
Software & Services		5.6
Semiconductors & Semiconductor Equipment		4.7
Diversified Financials		2.6
Insurance		2.5
Food, Beverage & Tobacco		1.5
Capital Goods		1.3
Utilities		0.9
Transportation		0.7
Consumer Durables & Apparel		0.7
Health Care Equipment & Services		0.7
Real Estate		0.6
Food & Staples Retailing		0.5
Consumer Services		0.5
Pharmaceuticals, Biotechnology & Life Sciences		0.3
Media		0.3
Household & Personal Products		0.2
Retailing		0.1
		100.0	%

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

1

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 85.0%
		Brazil — 1.3%
	396	Banco Bradesco SA		3,569
	21,600	CCR SA		114,114
	700	Cielo SA		7,281
	1,955	Localiza Rent a Car SA		24,404
	5,000	LPS Brasil Consultoria de Imoveis SA *		7,107
	2,000	Multiplus SA		25,920
	1,125	Raia Drogasil SA		20,791
	8,900	Tim Participacoes SA		22,903
	8,900	Tim Participacoes SA ADR		114,810
		Total Brazil		340,899
		Chile — 0.1%
	3,500	Enersis Americas SA Sponsored ADR		29,155
	344,016	Itau CorpBanca		2,947
	800	Latam Airlines Group SA Sponsored ADR *		6,496
		Total Chile		38,598
		China — 19.3%
	459,002	Agricultural Bank of China Ltd – Class H		188,316
	9,400	AIA Group Ltd		59,203
	5,521	Alibaba Group Holding Ltd Sponsored ADR *		536,586
	10,500	Anhui Conch Cement Co Ltd – Class H		29,409
	100	Baidu Inc Sponsored ADR *		17,107
	536,500	Bank of China Ltd – Class H		240,724
	125,000	Belle International Holdings Ltd		81,024
	113,000	China Cinda Asset Management Co Ltd – Class H		38,201
	569,160	China Communications Services Corp Ltd – Class H		334,100
	819,320	China Construction Bank Corp – Class H		612,680
	300	China Lodging Group Ltd Sponsored ADR		13,389
	1,000	China Machinery Engineering Corp – Class H		607
	70,834	China Mobile Ltd		872,606
	1,300	China Mobile Ltd Sponsored ADR		78,923
	11,200	China Overseas Property Holdings Ltd		2,274
	154,000	China Telecom Corp Ltd – Class H		79,352
	123,000	Country Garden Holdings Co Ltd		62,337
	170,000	Geely Automobile Holdings Ltd		135,990
	3,500	Hengan International Group Co Ltd		29,565
	201,500	Industrial & Commercial Bank of China Ltd – Class H		128,170
	1,500	New Oriental Education & Technology Group Inc Sponsored ADR		59,220
	1,400	People’s Insurance Co Group of China Ltd – Class H		561
	108,000	PICC Property & Casualty Co Ltd – Class H		177,747
	5,500	Ping An Insurance Group Co of China Ltd – Class H		28,349
	8,400	Qingdao Haier Co Ltd – Class A		13,158
	700	Qinqin Foodstuffs Group Cayman Co Ltd *		252

Shares		Description	Value ($)
		China — continued
	3,600	SAIC Motor Corp Ltd – Class A		11,876
	14,000	Shanghai Industrial Holdings Ltd		36,382
	1,000	Shenzhou International Group Holdings Ltd		6,559
	10,000	Sinopharm Group Co Ltd Class H		51,106
	22,000	Sunac China Holdings Ltd		15,233
	500	TAL Education Group ADR *		29,880
	20,360	Tencent Holdings Ltd		527,627
	14,000	Tong Ren Tang Technologies Co Ltd – Class H		24,766
	2,000	Tsingtao Brewery Co Ltd – Class H		6,689
	137,000	Want Want China Holdings Ltd		89,972
	2,000	Weibo Corp Sponsored ADR *		95,540
	4,750	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		980
	38,000	Xinyi Glass Holdings Ltd		32,666
	165,000	Yangzijiang Shipbuilding Holdings Ltd		92,499
	12,000	Zhejiang Expressway Co Ltd – Class H		13,365
		Total China		4,854,990
		Czech Republic — 0.7%
	1,186	CEZ AS		20,701
	282	Philip Morris CR AS		148,581
		Total Czech Republic		169,282
		Egypt — 0.2%
	4,601	Alexandria Mineral Oils Co		19,685
	23,615	Telecom Egypt Co		26,754
		Total Egypt		46,439
		Greece — 0.7%
	46,588	Alpha Bank AE *		89,356
	46,032	Eurobank Ergasias SA *		27,433
	157,572	National Bank of Greece SA *		37,112
	159,022	Piraeus Bank SA *		25,843
		Total Greece		179,744
		India — 12.2%
	544	Aditya Birla Nuvo Ltd		11,175
	17,622	Asian Paints Ltd		305,110
	4,547	Aurobindo Pharma Ltd		53,610
	4,213	Axis Bank Ltd		37,433
	43	Bajaj Finance Ltd		7,093
	4,230	Berger Paints India Ltd		16,483
	1,014	Bharat Financial Inclusion Ltd *		12,403
	3,455	Cairn India Ltd		10,274
	3,451	Fortis Healthcare Ltd *		9,162
	40,400	HDFC Bank Ltd (a)		932,431
	9,197	Hero MotoCorp Ltd		486,501
	7	Housing Development Finance Corp Ltd		147

2 See accompanying notes to the financial statements.

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		India — continued
	4,392	ICICI Bank Ltd		16,883
	3,100	ICICI Bank Ltd Sponsored ADR		23,777
	1,704	Indiabulls Housing Finance Ltd		20,805
	4,032	Indiabulls Real Estate Ltd *		4,933
	3,078	IndusInd Bank Ltd		54,406
	1,400	Infosys Ltd Sponsored ADR		22,204
	4,181	Kajaria Ceramics Ltd		78,757
	3,624	LIC Housing Finance Ltd		30,883
	1,209	Max Financial Services Ltd		10,401
	1,985	Mphasis Ltd *		16,724
	4,725	Muthoot Finance Ltd		26,470
	736	Reliance Capital Ltd		5,845
	3,087	Sun TV Network Ltd		21,791
	5,692	UltraTech Cement Ltd		342,221
	25,698	Yes Bank Ltd		528,219
		Total India		3,086,141
		Indonesia — 0.7%
	16,500	Bank Central Asia Tbk PT		18,700
	194,816	Bank Danamon Indonesia Tbk PT		59,885
	7,300	Bank Mandiri Persero Tbk PT		6,176
	1,900	Gudang Garam Tbk PT		9,215
	114,000	Indosat Tbk PT *		53,273
	20,800	Perusahaan Gas Negara Persero Tbk PT		4,725
	9,300	Semen Indonesia Persero Tbk PT		6,928
	66,200	Telekomunikasi Indonesia Persero Tbk PT		20,920
		Total Indonesia		179,822
		Malaysia — 0.3%
	14,300	AirAsia Berhad		10,561
	4,922	Hong Leong Bank Berhad		15,828
	36,800	Media Prima Berhad		12,762
	5,400	Public Bank Berhad		26,334
		Total Malaysia		65,485
		Mexico — 1.4%
	13,776	Cemex SAB de CV CPO *		11,412
	37,464	Cemex SAB de CV Sponsored ADR *		310,577
	2,500	Grupo Financiero Banorte SAB de CV – Class O		13,473
	400	Grupo Televisa SAB Sponsored ADR		10,932
	2,600	Wal-Mart de Mexico SAB de CV		5,939
		Total Mexico		352,333
		Philippines — 0.5%
	6,840	BDO Unibank Inc		16,765
	445	GT Capital Holdings Inc		14,636
	19,100	Manila Water Co Inc		11,475
	40,200	Megaworld Corp		4,056
	16,500	Puregold Price Club Inc		15,895

Shares		Description	Value ($)
		Philippines — continued
	12,840	Robinsons Retail Holdings Inc		23,134
	3,120	San Miguel Corp		5,661
	8,600	Semirara Mining & Power Corp		20,463
	9,350	SM Prime Holdings Inc		5,983
		Total Philippines		118,068
		Poland — 0.0%
	1,010	Powszechny Zaklad Ubezpieczen SA		7,157
		Qatar — 0.1%
	4,225	Qatar Gas Transport Co Ltd Nakilat		28,975
		Russia — 8.9%
	44,716	Gazprom Neft PAO		117,756
	6,614	Gazprom Neft PAO Sponsored ADR		86,220
	624	Global Ports Investments Plc GDR (Registered Shares) *		1,562
	4,168	Lenta Ltd 144A GDR *		32,510
	3,326	Lukoil PJSC Sponsored ADR		149,058
	282	Mail.Ru Group Ltd GDR (Registered Shares) *		4,742
	2,201	MegaFon PJSC GDR (Registered Shares)		22,367
	63,333	Mobile TeleSystems PJSC Sponsored ADR		514,897
	36,039	Moscow Exchange MICEX-RTS OAO		70,068
	6,709	Rosneft PJSC GDR (Registered)		35,030
	43,710	Sberbank of Russia PJSC Sponsored ADR		400,122
	1,448	Sistema PJSC FC Sponsored GDR (Registered Shares)		12,270
	58,435	Surgutneftegas Sponsored ADR		275,246
	15,984	Tatneft PAO Sponsored ADR		471,367
	1,800	VimpelCom Ltd Sponsored ADR		7,686
	1,901	Yandex NV – Class A *		41,898
		Total Russia		2,242,799
		South Africa — 0.7%
	158,017	African Bank Investments Ltd * (b)		11
	1,951	Bidvest Group Ltd (The)		20,178
	15,933	FirstRand Ltd		47,866
	6,075	Kumba Iron Ore Ltd *		55,318
	4,045	MTN Group Ltd		33,079
	2,437	Truworths International Ltd		12,631
		Total South Africa		169,083
		South Korea — 14.0%
	4,048	BNK Financial Group Inc		32,057
	16	CJ O Shopping Co Ltd		2,270
	5,389	DGB Financial Group Inc		44,105
	1,015	Dongbu Insurance Co Ltd		61,371
	18	GS Home Shopping Inc		2,539
	6,363	Hana Financial Group Inc		166,656
	415	Hankook Tire Co Ltd		20,756

See accompanying notes to the financial statements. 3

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	313	Hyundai Marine & Fire Insurance Co Ltd		9,477
	2,914	Hyundai Mobis Co Ltd		679,075
	1,128	Hyundai Motor Co		134,376
	66	Hyundai Wia Corp		5,374
	6,707	Industrial Bank of Korea		70,559
	2,421	KB Financial Group Inc		84,469
	325	KB Insurance Co Ltd		7,848
	7,214	Kia Motors Corp		271,178
	330	KT&G Corp		34,597
	3,403	Kwangju Bank		28,582
	387	LG Chem Ltd		93,544
	89	Lotte Chemical Corp		21,324
	233	Samsung Electro-Mechanics Co Ltd		11,096
	748	Samsung Electronics Co Ltd		1,084,951
	196	Samsung Electronics Co Ltd GDR		141,832
	2,114	Shinhan Financial Group Co Ltd		77,265
	5,460	SK Hynix Inc		178,027
	27,773	Woori Bank		263,890
		Total South Korea		3,527,218
		Switzerland — 0.1%
	400	Luxoft Holding Inc *		20,524
		Taiwan — 20.4%
	10,000	Advanced Semiconductor Engineering Inc		12,168
	4,200	Advanced Semiconductor Engineering Inc ADR		25,452
	5,894	Advantech Co Ltd		48,115
	59,000	Asustek Computer Inc		498,328
	28,000	Catcher Technology Co Ltd *		200,845
	164,000	Cathay Financial Holding Co Ltd		206,862
	23,000	Cheng Shin Rubber Industry Co Ltd		48,797
	96,884	Chunghwa Telecom Co Ltd		347,821
	828,577	Compal Electronics Inc		490,415
	306,000	CTBC Financial Holding Co Ltd		176,668
	4,210	Delta Electronics Inc		21,844
	64,257	E.Sun Financial Holding Co Ltd		36,103
	17,914	Far EasTone Telecommunications Co Ltd		41,683
	42,845	First Financial Holding Co Ltd		21,993
	19,000	Formosa Chemicals & Fibre Co		49,265
	8,000	Formosa Petrochemical Corp		23,359
	24,000	Formosa Plastics Corp		59,131
	10,656	Foxconn Technology Co Ltd *		29,845
	214,000	Fubon Financial Holding Co Ltd		302,085
	244,523	Hon Hai Precision Industry Co Ltd		676,370
	938	Largan Precision Co Ltd		104,888
	92,366	Lite-On Technology Corp		139,551
	31,176	MediaTek Inc		244,677
	99,000	Mega Financial Holding Co Ltd		67,316
	12,000	Nan Ya Plastics Corp		22,874
	34,000	Pegatron Corp		82,034

Shares		Description	Value ($)
		Taiwan — continued
	37,000	Pou Chen Corp		53,511
	6,100	Powertech Technology Inc		15,904
	466	President Chain Store Corp		3,704
	830,200	ProMOS Technologies Inc * (b) (c)		—
	80,715	Quanta Computer Inc		148,956
	1,629	Siliconware Precision Industries Co Ltd		2,426
	260,437	Taishin Financial Holding Co Ltd		98,377
	23,308	Taiwan Mobile Co Ltd		81,850
	38,000	Taiwan Semiconductor Manufacturing Co Ltd		211,029
	13,200	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		379,368
	17,000	Uni-President Enterprises Corp		32,077
	154,872	Wistron Corp		113,564
	1,000	Wowprime Corp		4,325
	22,577	Yuanta Financial Holding Co Ltd		7,990
		Total Taiwan		5,131,570
		Thailand — 1.2%
	105,900	Bangkok Dusit Medical Services Pcl (Foreign Registered)		71,863
	6,500	Berli Jucker Pcl (Foreign Registered)		8,450
	250,860	Chularat Hospital Pcl (Foreign Registered)		18,834
	7,500	CP ALL Pcl (Foreign Registered)		13,477
	6,600	Intouch Holdings Pcl (Foreign Registered) (a)		11,866
	8,400	Intouch Holdings Pcl NVDR		13,650
	2,300	Kasikornbank Pcl NVDR		13,109
	12,200	PTT Global Chemical Pcl (Foreign Registered)		21,444
	117,433	Quality Houses Pcl (Foreign Registered)		9,221
	26,180	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		41,202
	312,533	Sansiri Pcl (Foreign Registered)		16,688
	18,900	Thai Beverage Pcl		13,801
	12,000	Tisco Financial Group Pcl (Foreign Registered) (a)		19,577
	74,400	TTW Pcl (Foreign Registered)		23,632
		Total Thailand		296,814
		Turkey — 2.1%
	576	Arcelik AS		4,121
	58,440	Eregli Demir ve Celik Fabrikalari TAS		87,922
	20,443	Haci Omer Sabanci Holding AS		63,076
	2,353	Koza Altin Isletmeleri AS *		10,999
	34,892	Turk Telekomunikasyon AS		70,418
	1,100	Turk Traktor ve Ziraat Makineleri AS		32,111
	52,133	Turkcell Iletisim Hizmetleri AS *		174,733
	2,300	Turkcell Iletisim Hizmetleri AS ADR *		19,090
	3,285	Turkiye Garanti Bankasi AS		8,473
	5,561	Turkiye Halk Bankasi AS		16,690
	24,081	Turkiye Vakiflar Bankasi TAO – Class D		35,410
		Total Turkey		523,043

4 See accompanying notes to the financial statements.

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — 0.1%
	210	British American Tobacco Plc		13,029
	558	Unilever Plc		25,903
		Total United Kingdom		38,932
		TOTAL COMMON STOCKS (COST $21,580,638)		21,417,916
		PREFERRED STOCKS — 5.9%
		Brazil — 1.8%
	181	Banco Bradesco SA		1,629
	28,300	Banco do Estado do Rio Grande do Sul SA – Class B		94,649
	1,600	Companhia Energetica de Minas Gerais		4,335
	25,745	Companhia Energetica de Minas Gerais Sponsored ADR		68,739
	2,600	Itau Unibanco Holding SA		28,865
	2,600	Itau Unibanco Holding SA Sponsored ADR		28,808
	89,811	Itausa-Investimentos Itau SA		239,184
		Total Brazil		466,209
		Russia — 1.7%
	51,322	Sberbank		80,077
	510,141	Surgutneftegas OJSC		255,632
	39	Transneft		92,479
		Total Russia		428,188
		South Korea — 2.4%
	2,345	Hyundai Motor Co		211,311
	323	Samsung Electronics Co Ltd (Non-Voting)		383,068
	7	Samsung Electronics Co Ltd GDR (Registered Shares)		4,168
		Total South Korea		598,547
		TOTAL PREFERRED STOCKS (COST $1,619,724)		1,492,944
		INVESTMENT FUNDS — 7.0%
		Thailand — 0.6%
	201,000	BTS Rail Mass Transit Growth Infrastructure Fund		72,579
	208,400	Digital Telecommunications Infrastructure Fund (Foreign Registered)		89,099
		Total Thailand		161,678
		United States — 6.4%
	43,864	iShares MSCI Emerging Markets ETF		1,602,352
		TOTAL INVESTMENT FUNDS (COST $1,671,473)		1,764,030

Shares / Par Value†		Description	Value ($)
		RIGHTS/WARRANTS — 0.0%
		Thailand — 0.0%
	78,133	Sansiri PCL Warrants, Expires 11/24/17 *		406
		TOTAL RIGHTS/WARRANTS (COST $0)		406
		MUTUAL FUNDS — 1.1%
		United States — 1.1%
		Affiliated Issuers
	10,635	GMO U.S. Treasury Fund		265,993
		TOTAL MUTUAL FUNDS (COST $265,993)		265,993
		SHORT-TERM INVESTMENTS — 0.1%
		Time Deposits — 0.1%
GBP	4,837	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 09/01/16		6,352
HKD	12,147	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/16		1,566
SGD	7,426	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/16		5,451
	15,427	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.15%, due 09/01/16		15,427
ZAR	8,599	Brown Brothers Harriman (Grand Cayman) Time Deposit, 6.44%, due 09/01/16		585
		Total Time Deposits		29,381
		TOTAL SHORT-TERM INVESTMENTS (COST $29,381)		29,381
		TOTAL INVESTMENTS — 99.1% (Cost $25,167,209)		24,970,670
		Other Assets and Liabilities (net) — 0.9%		217,539
		TOTAL NET ASSETS — 100.0%		$25,188,209

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* 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) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2).

(c) Bankrupt issuer.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 23.

See accompanying notes to the financial statements. 5

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		80.4	%
Investment Funds		12.5
Fully Funded Total Return Swaps		1.7
Preferred Stocks		1.6
Short-Term Investments		1.3
Mutual Funds		1.0
Rights/Warrants		0.4
Swap Contracts		0.0	^
Forward Currency Contracts		0.0	^
Futures Contracts		(0.1	)
Other		1.2
		100.0	%

Country Summary¤	% of Investments
India		26.1	%
China		23.5
Thailand		10.6
United States		9.5	*
Philippines		8.2
Brazil		5.8
Indonesia		4.1
Mexico		4.1
Taiwan		3.1
Russia		2.6
United Kingdom		2.5	*
Vietnam		2.3
Qatar		1.2
Malaysia		0.9
Chile		0.3
South Africa		0.1
Turkey		0.1
Singapore		(5.0	)
		100.0	%

& Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

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

* Includes companies that derive more than 50% of their revenues or profits from emerging markets.

^ Rounds to 0.0%.

Industry Group Summary	% of Equity Investments#
Banks		22.3	%
Telecommunication Services		9.1
Materials		8.1
Food, Beverage & Tobacco		7.3
Software & Services		6.7
Insurance		5.7
Energy		5.2
Diversified Financials		5.0
Capital Goods		4.9
Food & Staples Retailing		4.6
Real Estate		3.1
Automobiles & Components		3.0
Transportation		2.9
Health Care Equipment & Services		2.8
Media		2.7
Consumer Services		2.2
Household & Personal Products		1.5
Utilities		1.1
Pharmaceuticals, Biotechnology & Life Sciences		0.8
Consumer Durables & Apparel		0.8
Retailing		0.2
		100.0	%

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

6

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 80.4%
		Brazil — 2.7%
	780,500	Cielo SA		8,118,727
	1,227,200	EDP-Energias do Brasil SA		5,434,460
	430,800	Engie Brasil Energia SA		5,202,899
	5,332,821	LPS Brasil Consultoria de Imoveis SA *		7,580,097
	178,500	Ouro Fino Saude Animal Participacoes SA		1,989,967
	1,134,100	Raia Drogasil SA		20,959,708
	4,632,000	Rumo Logistica Operadora Multimodal SA *		10,327,759
		Total Brazil		59,613,617
		Chile — 0.3%
	825,200	Latam Airlines Group SA Sponsored ADR *		6,700,624
		China — 17.0%
	9,900,200	AIA Group Ltd		62,353,152
	226,300	Alibaba Group Holding Ltd Sponsored ADR *		21,994,097
	62,900	Baidu Inc Sponsored ADR *		10,760,303
	29,928,000	Bank of China Ltd – Class H		13,428,490
	179,142	China Lodging Group Ltd Sponsored ADR		7,995,108
	6,218,500	China Mobile Ltd		76,605,849
	5,819,500	Ping An Insurance Group Co of China Ltd – Class H		29,995,806
	4,765,000	Qingdao Haier Co Ltd – Class A		7,464,149
	3,725,356	SAIC Motor Corp Ltd – Class A		12,289,170
	515,931	TAL Education Group ADR *		30,832,037
	3,052,600	Tencent Holdings Ltd		79,107,774
	7,183,440	Tong Ren Tang Technologies Co Ltd – Class H		12,707,472
	1,824,000	Tsingtao Brewery Co Ltd – Class H		6,100,069
		Total China		371,633,476
		India — 26.4%
	561,446	Aditya Birla Nuvo Ltd		11,533,648
	120,361	Amara Raja Batteries Ltd		1,719,956
	3,920,946	Asian Paints Ltd		67,887,919
	44,693	Bajaj Finance Ltd		7,371,901
	4,467,978	Berger Paints India Ltd		17,410,024
	1,047,986	Bharat Financial Inclusion Ltd *		12,818,177
	1,178,365	CMI Ltd (a)		3,231,994
	807,074	Equitas Holdings Ltd * (b)		2,192,775
	3,568,347	Fortis Healthcare Ltd *		9,473,341
	2,610,671	Gateway Distriparks Ltd		10,975,636
	2,110,969	Gayatri Projects Ltd (a)		21,395,454
	1,819,966	HDFC Bank Ltd (b)		42,004,790
	660,100	Hero MotoCorp Ltd		34,917,810
	1,751,721	Indiabulls Housing Finance Ltd		21,387,443
	4,210,660	Indiabulls Real Estate Ltd *		5,151,993
	4,824,950	Indian Oil Corp Ltd		41,461,768
	3,164,584	IndusInd Bank Ltd		55,936,541

Shares		Description	Value ($)
		India — continued
	3,736,661	LIC Housing Finance Ltd		31,842,910
	1,262,930	Max Financial Services Ltd		10,864,693
	146,802	Multi Commodity Exchange of India Ltd		2,162,327
	4,632,262	Muthoot Finance Ltd		25,950,087
	1,937,512	Narayana Hrudayalaya Ltd *		8,852,358
	844,415	RBL Bank Ltd *		3,782,026
	769,098	Reliance Capital Ltd		6,108,062
	1,607,271	Sangam India Ltd		6,443,232
	3,183,419	Sun TV Network Ltd		22,471,838
	259,078	Supreme Industries Ltd		3,712,188
	1,745,513	Techno Electric & Engineering Co Ltd		16,991,810
	870,706	Ujjivan Financial Services Ltd		5,492,928
	167,262	UltraTech Cement Ltd		10,056,328
	2,568,381	Yes Bank Ltd		52,792,737
		Total India		574,394,694
		Indonesia — 4.2%
	16,992,100	Bank Central Asia Tbk PT		19,257,215
	7,552,000	Bank Mandiri Persero Tbk PT		6,389,277
	4,508,800	Gudang Garam Tbk PT		21,868,366
	57,133,700	Malindo Feedmill Tbk PT *		7,828,507
	21,416,200	Perusahaan Gas Negara Persero Tbk PT		4,865,034
	11,780,100	Semen Indonesia Persero Tbk PT		8,776,067
	68,165,600	Telekomunikasi Indonesia Persero Tbk PT		21,540,619
		Total Indonesia		90,525,085
		Malaysia — 0.9%
	15,338,300	AirAsia Berhad		11,328,031
	22,234,644	Media Prima Berhad		7,710,474
		Total Malaysia		19,038,505
		Mexico — 3.2%
	45,407,804	Cemex SAB de CV CPO *		37,617,204
	2,592,500	Grupo Financiero Banorte SAB de CV – Class O		13,971,115
	400,500	Grupo Televisa SAB Sponsored ADR		10,945,665
	2,691,200	Wal-Mart de Mexico SAB de CV		6,147,504
		Total Mexico		68,681,488
		Philippines — 6.3%
	7,079,220	BDO Unibank Inc		17,351,222
	4,033,280	Cebu Air Inc		10,256,332
	23,074,900	Century Pacific Food Inc		8,469,734
	8,265,654	Concepcion Industrial Corp		10,204,195
	458,079	GT Capital Holdings Inc		15,066,325
	41,553,800	Megaworld Corp		4,192,848
	3,036,720	Philippine Seven Corp		9,135,763
	12,478,300	Puregold Price Club Inc		12,021,033
	10,916,270	Robinsons Retail Holdings Inc		19,667,726
	10,734,302	Semirara Mining & Power Corp		25,541,956

See accompanying notes to the financial statements. 7

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Philippines — continued
	9,688,800	SM Prime Holdings Inc		6,199,784
		Total Philippines		138,106,918
		Qatar — 1.2%
	3,772,012	Qatar Gas Transport Co Ltd Nakilat		25,868,859
		Russia — 2.6%
	1,099,002	Global Ports Investments Plc GDR (Registered Shares) *		2,751,755
	5,099,812	Sberbank of Russia PJSC Sponsored ADR		46,683,781
	996,379	Sollers PAO PJSC *		7,427,147
		Total Russia		56,862,683
		South Africa — 0.1%
	596,013	Truworths International Ltd		3,089,046
		Taiwan — 3.1%
	5,784,000	Chunghwa Telecom Co Ltd		20,765,023
	30,278,037	E.Sun Financial Holding Co Ltd		17,011,796
	8,686,000	Fubon Financial Holding Co Ltd		12,261,245
	5,092,000	Taiwan Mobile Co Ltd		17,881,495
		Total Taiwan		67,919,559
		Thailand — 6.9%
	29,609,750	Bangkok Dusit Medical Services Pcl (Foreign Registered)		20,093,066
	6,064,900	Berli Jucker Pcl (Foreign Registered)		7,884,344
	5,903,300	Carabao Group Pcl (Foreign Registered)		12,097,149
	162,030,840	Chularat Hospital Pcl (Foreign Registered)		12,164,743
	7,832,800	CP ALL Pcl (Foreign Registered)		14,074,575
	7,582,900	CPN Retail Growth Leasehold Property Fund		4,490,538
	7,920,400	Intouch Holdings Pcl (Foreign Registered) (b)		14,240,210
	7,433,100	Intouch Holdings Pcl NVDR		12,078,747
	7,806,860	Major Cineplex Group Pcl (Foreign Registered)		7,324,008
	126,138,100	Quality Houses Pcl (Foreign Registered)		9,904,138
	19,406,300	Thai Beverage Pcl		14,170,523
	6,364,300	Tisco Financial Group Pcl (Foreign Registered) (b)		10,382,830
	78,529,200	WHA Corp Pcl (Foreign Registered) *		8,167,010
	14,575,300	WHA Premium Growth Freehold & Leasehold Real Estate Investment Trust (Foreign Registered)		4,294,841
		Total Thailand		151,366,722
		Turkey — 0.7%
	514,070	Turk Traktor ve Ziraat Makineleri AS		15,006,516

Shares		Description	Value ($)
		United Kingdom — 2.5%
	217,672	British American Tobacco Plc		13,504,942
	1,857,200	HSBC Holdings Plc		13,777,804
	577,699	Unilever Plc		26,817,510
		Total United Kingdom		54,100,256
		Vietnam — 2.3%
	2,293,300	Bank for Foreign Trade of Vietnam JSC *		5,546,870
	5,660,271	Vietnam Dairy Products JSC		39,551,083
	2,232,970	Vingroup JSC *		4,808,359
		Total Vietnam		49,906,312
		TOTAL COMMON STOCKS (COST $1,612,605,975)		1,752,814,360
		PREFERRED STOCKS — 1.6%
		Brazil — 1.6%
	1,671,900	Companhia Energetica de Minas Gerais		4,530,263
	2,656,000	Itau Unibanco Holding SA		29,486,436
		Total Brazil		34,016,699
		TOTAL PREFERRED STOCKS (COST $28,783,403)		34,016,699
		INVESTMENT FUNDS — 12.5%
		Brazil — 1.6%
	1,021,200	iShares MSCI Brazil Capped ETF		34,230,624
		China — 4.5%
	1,308,600	Hang Seng Investment Index ETF		16,369,718
	2,239,700	iShares China Large-Cap ETF		82,980,885
		Total China		99,350,603
		Mexico — 0.9%
	412,900	iShares MSCI Mexico Capped ETF		20,839,063
		Thailand — 3.8%
	98,939,192	Digital Telecommunication Infrastructure Fund		42,300,139
	62,326,700	Jasmine Broadband Internet Infrastructure Fund		20,875,216
	51,564,800	TICON Industrial Growth Leasehold Property Fund (a)		18,911,707
		Total Thailand		82,087,062
		United States — 1.7%
	1,009,412	iShares MSCI Emerging Markets ETF		36,873,821
		TOTAL INVESTMENT FUNDS (COST $257,893,828)		273,381,173

8 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares /Cost/ Par Value†		Description	Value ($)
		RIGHTS/WARRANTS — 0.4%
		China — 0.4%
	767,900	Jiangsu Yanghe Brewery Joint Stock Co Ltd Warrants, Expires 05/14/18 *		8,082,250
		TOTAL RIGHTS/WARRANTS (COST $7,979,008)		8,082,250
		MUTUAL FUNDS — 1.0%
		United States — 1.0%
		Affiliated Issuers
	882,003	GMO U.S. Treasury Fund		22,058,883
		TOTAL MUTUAL FUNDS (COST $22,058,883)		22,058,883
		FULLY FUNDED TOTAL RETURN SWAPS — 1.7%
		China — 1.7%
	8,414,783	Total Return on Hangzhou Robam Appliances, Expires 7/14/2017, (OTC) (CP-GS)		7,835,327
	3,708,807	Total Return on Jiangsu Yanghe Brewery, Expires 7/12/2017, (OTC) (CP-GS)		3,346,652
	12,170,791	Total Return on Wuliangye Yibin Co Ltd, Expires 4/3/2017, (OTC) (CP-GS)		14,701,970
	10,878,519	Total Return on Zhejiang Supor Cookware Co, Expires 7/19/2017, (OTC) (CP-GS)		10,379,525
		Total China		36,263,474
		TOTAL FULLY FUNDED TOTAL RETURN SWAPS (COST $35,172,899)		36,263,474
		SHORT-TERM INVESTMENTS — 1.3%
		TIME DEPOSITS — 0.1%
HKD	2,168,144	BNP Paribas (Paris) Time Deposit, 0.01%, due 09/01/16		279,488
	1,790,646	Sumitomo (Tokyo) Time Deposit, 0.15%, due 09/01/16		1,790,646
		Total Time Deposits		2,070,134
		U.S. GOVERNMENT — 1.2%
	1,000,000	U.S. Treasury Bill, 0.00%, due 09/01/16 (c) (d)		1,000,000
	3,060,000	U.S. Treasury Bill, 0.22%, due 10/20/16 (c) (e)		3,059,097
	2,900,000	U.S. Treasury Bill, 0.27%, due 11/03/16 (c) (e)		2,898,605
	4,837,000	U.S. Treasury Bill, 0.27%, due 11/17/16 (c) (e)		4,834,195

Shares / Par Value†		Description	Value ($)
		U.S. GOVERNMENT (continued)
	10,000,000	U.S. Treasury Bill, 0.36%, due 01/12/17 (c) (e)		9,986,710
	5,000,000	U.S. Treasury Bill, 0.46%, due 02/23/17 (c) (e)		4,988,880
		Total U.S. Government		26,767,487
		TOTAL SHORT-TERM INVESTMENTS (COST $28,836,405)		28,837,621
		TOTAL INVESTMENTS — 98.9% (Cost $1,993,330,401)		2,155,454,460
		Other Assets and Liabilities (net) — 1.1%		24,221,298
		TOTAL NET ASSETS — 100.0%		$2,179,675,758

A summary of outstanding financial instruments at August 31, 2016 is as follows:

Forward Currency Contracts

Settlement Date	Counter party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/30/2017	BCLY		GBP	68,332,500		USD	90,520,969	$	148,648
06/30/2017	BCLY		USD	90,790,236		GBP	68,332,500		(417,915	)
								$	(269,267	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
3,103	Mini MSCI Emerging Markets	September 2016	$	137,757,685	$	207,725
290	Mini MSCI Emerging Markets	December 2016		12,897,750		(24,910	)
			$	150,655,435	$	182,815
Sales
4,224	Bist 30 Index	October 2016	$	13,463,106	$	204,797
6,193	SGX CNX Nifty Index 50	September 2016		109,448,584		(2,000,529	)
			$	122,911,690	$	(1,795,732	)

+ Buys - Fund is long the futures contract. Sales - Fund is short the futures contract.

See accompanying notes to the financial statements. 9

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

Swap Contracts

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	21,115,716	USD	8/30/2017	GS	Total return on MSCI Daily TR Net Emerging Markets Philippines USD	1 Month LIBOR minus 0.10%		(350,211	)
	21,170,159	USD	8/30/2017	GS	Total return on MSCI Daily TR Net Emerging Markets Philippines USD	1 Month LIBOR minus 0.10%		(295,767	)
							$	(645,978	)
						Premiums to (Pay) Receive	$	—

As of August 31, 2016, 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:

* Non-income producing security.

(a) Affiliated company (Note 10).

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

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

(d) Rate rounds to 0.00%.

(e) 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 (Note 4).

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 23.

10 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		92.3	%
Preferred Stocks		5.4
Mutual Funds		1.4
Investment Funds		0.6
Short-Term Investments		0.2
Rights/Warrants		0.0	^
Swap Contracts		0.0	^
Other		0.1
		100.0	%

Country Summary¤	% of Investments
Taiwan		21.5	%
China		19.4
South Korea		16.8
India		13.7
Russia		10.7
Brazil		5.3
Turkey		2.3
Thailand		1.7
Mexico		1.6
South Africa		1.5
United States		1.5
Greece		0.8
Philippines		0.7
Indonesia		0.5
United Arab Emirates		0.3
Poland		0.3
Chile		0.3
Egypt		0.3
Vietnam		0.2
United Kingdom		0.2
Qatar		0.2
Malaysia		0.1
Czech Republic		0.1
Sri Lanka		0.0	^
		100.0	%

& In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

¤ 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.

^ Rounds to 0.0%.

Industry Group Summary	% of Equity Investments#
Banks		22.2	%
Technology Hardware & Equipment		17.4
Telecommunication Services		10.1
Automobiles & Components		8.6
Materials		6.6
Energy		4.6
Utilities		4.5
Software & Services		3.8
Capital Goods		3.6
Semiconductors & Semiconductor Equipment		3.0
Diversified Financials		3.0
Consumer Durables & Apparel		2.7
Insurance		2.3
Real Estate		2.0
Food, Beverage & Tobacco		1.3
Health Care Equipment & Services		0.9
Retailing		0.9
Consumer Services		0.6
Transportation		0.5
Media		0.4
Pharmaceuticals, Biotechnology & Life Sciences		0.4
Food & Staples Retailing		0.4
Household & Personal Products		0.2
		100.0	%

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

11

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 92.3%
		Brazil — 4.1%
	3,642,200	AES Tiete Energia SA		18,835,854
	116,400	Banco do Brasil SA		836,630
	1,087,900	BTG Pactual Group		5,777,742
	1,471,900	Cia Hering		8,131,641
	158,300	Cielo SA		1,646,630
	1,472,800	Cyrela Brazil Realty SA Empreendimentos e Participacoes		4,820,852
	1,043,500	Direcional Engenharia SA		1,903,324
	5,076,323	EDP-Energias do Brasil SA		22,479,691
	2,747,600	Engie Brasil Energia SA		33,183,575
	2,282,500	Equatorial Energia SA		35,744,465
	469,700	Ez Tec Empreendimentos e Participacoes SA		2,413,082
	565,371	Grendene SA		3,146,202
	1,197,700	LPS Brasil Consultoria de Imoveis SA *		1,702,416
	4,247,500	MRV Engenharia e Participacoes SA		16,178,698
	760,500	Multiplus SA		9,855,978
	49,500	Ouro Fino Saude Animal Participacoes SA		551,839
	230,300	Raia Drogasil SA		4,256,257
	950,000	Rumo Logistica Operadora Multimodal SA *		2,118,172
	4,535,951	Transmissora Alianca de Energia Eletrica SA		32,588,277
	3,422,300	Via Varejo SA		6,570,748
		Total Brazil		212,742,073
		Chile — 0.3%
	532,478	Empresa Nacional de Electricidad SA		399,023
	20,822,071	Enersis Americas SA		3,448,696
	1,093,200	Enersis Americas SA Sponsored ADR		9,106,356
	169,800	Latam Airlines Group SA Sponsored ADR *		1,378,776
		Total Chile		14,332,851
		China — 19.3%
	148,000	AAC Technologies Holdings Inc		1,685,615
	134,767,290	Agricultural Bank of China Ltd – Class H		55,291,479
	2,024,100	AIA Group Ltd		12,748,128
	3,034,705	Aier Eye Hospital Group Co Ltd – Class A		16,155,615
	483,318	Alibaba Group Holding Ltd Sponsored ADR *		46,973,676
	140,000	Autohome Inc ADR *		3,425,800
	12,800	Baidu Inc Sponsored ADR *		2,189,696
	124,325,682	Bank of China Ltd – Class H		55,784,089
	26,584,000	Belle International Holdings Ltd		17,231,468
	142,900	Changyou.com Ltd ADR *		3,541,062
	70,748,200	China Communications Services Corp Ltd – Class H		41,529,569

Shares		Description	Value ($)
		China — continued
	195,677,106	China Construction Bank Corp – Class H		146,325,501
	754,000	China High Speed Transmission Equipment Group Co Ltd		693,733
	1,397,734	China International Travel Service Corp Ltd – Class A		9,765,935
	4,661,000	China Lesso Group Holdings Ltd		3,267,480
	36,200	China Lodging Group Ltd Sponsored ADR		1,615,606
	22,165,000	China Machinery Engineering Corp – Class H		13,460,730
	10,908,737	China Mobile Ltd		134,384,991
	489,700	China Mobile Ltd Sponsored ADR		29,729,687
	6,118,000	China Telecom Corp Ltd – Class H		3,152,423
	2,143,500	China ZhengTong Auto Services Holdings Ltd		744,106
	863,604	CKH Food & Health Ltd *		1,849,443
	1,784,400	Dongfang Electrical Machinery Co Ltd –Class H		1,391,686
	5,277,000	FIH Mobile Ltd		1,767,500
	248,400	Fuyao Glass Industry Group Co Ltd – Class H		652,029
	35,425,000	Geely Automobile Holdings Ltd		28,337,849
	40,422,000	GOME Electrical Appliances Holding Ltd		4,782,260
	545,000	Haier Electronics Group Co Ltd		910,171
	607,000	Haitian International Holdings Ltd		1,220,313
	950,490	Hangzhou Robam Appliances Co Ltd		5,348,992
	13,804,000	Harbin Electric Co Ltd – Class H		6,265,860
	358,000	Hengan International Group Co Ltd		3,024,065
	10,020,000	Hua Han Health Industry Holdings Ltd		695,766
	14,035,000	Huabao International Holdings Ltd *		5,400,096
	56,278,947	Industrial & Commercial Bank of China Ltd – Class H		35,797,939
	688,000	Jiangsu Expressway Co Ltd – Class H		965,487
	226,800	Jiangsu Yanghe Brewery Joint-Stock Co Ltd – Class A		2,386,219
	179,603	Kweichow Moutai Co Ltd – Class A		8,332,784
	5,260,000	Lianhua Supermarket Holdings Co Ltd – Class H *		2,267,789
	12,529,800	Lonking Holdings Ltd		2,030,414
	3,825,955	Midea Group Co Ltd		15,695,397
	71,700	New Oriental Education & Technology Group Inc Sponsored ADR		2,830,716
	24,931,500	Parkson Retail Group Ltd		2,052,154
	12,890,000	Peak Sport Products Co Ltd		3,996,638
	22,902,000	PICC Property & Casualty Co Ltd – Class H		37,692,177
	1,181,500	Ping An Insurance Group Co of China Ltd – Class H		6,089,878
	1,728,942	Qingdao Haier Co Ltd – Class A		2,708,307
	71,600	Qinqin Foodstuffs Group Cayman Co Ltd *		25,751
	19,843,000	Real Nutriceutical Group Ltd		1,632,771
	2,927,665	SAIC Motor Corp Ltd – Class A		9,675,614

12 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		China — continued
	756,400	SAIC Motor Corp Ltd – Class A		2,495,205
	794,000	Shenzhen Expressway Co Ltd – Class H		838,231
	6,836,000	Shougang Fushan Resources Group Ltd		1,266,909
	12,025,000	Sinopec Engineering Group Co Ltd – Class H		9,950,214
	2,134,800	Sinopharm Group Co Ltd – Class H		10,910,208
	1,524,000	Skyworth Digital Holdings Ltd		1,126,159
	44,400	Sohu.com Inc *		1,888,776
	1,290,000	Sun Art Retail Group Ltd		829,159
	239,000	Sunny Optical Technology Group Co Ltd		1,274,465
	442,000	Suofeiya Home Collection Co Ltd – Class A		3,779,091
	107,706	TAL Education Group ADR *		6,436,510
	2,927,306	Tencent Holdings Ltd		75,860,794
	1,869,880	Tong Ren Tang Technologies Co Ltd – Class H		3,307,809
	374,000	Tsingtao Brewery Co Ltd – Class H		1,250,782
	14,589,000	Universal Health International Group Holding Ltd *		731,913
	29,215,000	Want Want China Holdings Ltd		19,186,443
	425,700	Weibo Corp Sponsored ADR *		20,335,689
	957,000	WH Group Ltd		751,331
	1,206,000	Xinyi Glass Holdings Ltd *		1,036,708
	3,093,000	XTEP International Holdings Ltd		1,595,756
	101,400	Xunlei Ltd ADR *		547,560
	45,055,080	Yangzijiang Shipbuilding Holdings Ltd		25,257,928
	5,916,000	Zhejiang Expressway Co Ltd – Class H		6,589,112
	1,080,199	Zhejiang Supor Cookware Co Ltd – Class A		6,068,061
		Total China		998,837,267
		Czech Republic — 0.1%
	55,786	CEZ AS		973,731
	7,487	Philip Morris CR AS		3,944,757
		Total Czech Republic		4,918,488
		Egypt — 0.3%
	11,788,662	Telecom Egypt Co		13,355,602
		Greece — 0.8%
	10,466,666	Alpha Bank AE *		20,075,084
	10,341,896	Eurobank Ergasias SA *		6,163,395
	35,399,812	National Bank of Greece SA *		8,337,581
	35,717,726	Piraeus Bank SA *		5,804,524
	80,300	Tsakos Energy Navigation Ltd		396,682
		Total Greece		40,777,266
		India — 13.4%
	114,210	Aditya Birla Nuvo Ltd		2,346,188
	385,290	Apollo Tyres Ltd		1,050,397

Shares		Description	Value ($)
		India — continued
	3,490,952	Asian Paints Ltd		60,442,931
	1,422,392	Aurobindo Pharma Ltd		16,770,397
	8,988	Bajaj Finance Ltd		1,482,528
	1,086,563	Berger Paints India Ltd		4,233,926
	213,048	Bharat Financial Inclusion Ltd *		2,605,843
	1,194,324	Cairn India Ltd		3,551,501
	301,113	CMI Ltd		825,886
	245,461	Dewan Housing Finance Corp Ltd		1,060,689
	165,099	Equitas Holdings Ltd * (a)		448,565
	725,420	Fortis Healthcare Ltd *		1,925,864
	532,416	Gateway Distriparks Ltd		2,238,353
	3,380,000	Gayatri Projects Ltd (b) (c)		34,257,554
	8,246,263	HDFC Bank Ltd (a)		190,323,635
	1,990,048	Hero MotoCorp Ltd		105,269,076
	947,531	IDBI Bank Ltd *		1,027,894
	4,834,341	IDFC Ltd * (a)		4,865,975
	8,126,895	IFCI Ltd		3,443,505
	355,218	Indiabulls Housing Finance Ltd		4,336,995
	856,555	Indiabulls Real Estate Ltd *		1,048,046
	989,035	Indian Oil Corp Ltd		8,498,977
	155,949	Indraprastha Gas Ltd		1,860,314
	641,684	IndusInd Bank Ltd		11,342,275
	2,987,560	Jai Balaji Industries Ltd *		467,472
	705,728	Karnataka Bank Ltd (The)		1,589,436
	1,709,182	Kiri Industries Ltd * (c)		7,496,385
	157,928	KPIT Technologies Ltd		299,813
	759,988	LIC Housing Finance Ltd		6,476,432
	1,866,109	Manappuram Finance Ltd		2,370,657
	256,921	Max Financial Services Ltd		2,210,232
	337,789	Mphasis Ltd *		2,846,007
	106,729	Multi Commodity Exchange of India Ltd		1,572,070
	1,000,203	Muthoot Finance Ltd		5,603,171
	342,597	Narayana Hrudayalaya Ltd *		1,565,302
	3,190,775	NMDC Ltd		5,145,266
	786,672	Reliance Capital Ltd		6,247,632
	532,104	Sangam India Ltd		2,133,100
	2,640,442	South Indian Bank Ltd (The)		884,518
	649,006	Sun TV Network Ltd		4,581,350
	63,845	Supreme Industries Ltd		914,800
	357,997	Techno Electric & Engineering Co Ltd		3,484,945
	177,009	Ujjivan Financial Services Ltd (a)		1,116,677
	1,212,878	UltraTech Cement Ltd		72,922,117
	4,983,047	Yes Bank Ltd		102,425,883
		Total India		697,610,579
		Indonesia — 0.5%
	52,639,500	Bakrie Telecom Tbk PT *		39,683
	3,459,500	Bank Central Asia Tbk PT		3,920,665
	1,537,600	Bank Mandiri Persero Tbk PT		1,300,867
	17,344,169	Gajah Tunggal Tbk PT *		1,972,242

See accompanying notes to the financial statements. 13

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Indonesia — continued
	503,800	Gudang Garam Tbk PT		2,443,507
	6,739,018	Harum Energy Tbk PT *		532,863
	10,847,391	Indo Tambangraya Megah Tbk PT		9,287,845
	12,104,500	Malindo Feedmill Tbk PT *		1,658,569
	4,360,300	Perusahaan Gas Negara Persero Tbk PT		990,512
	1,947,600	Semen Indonesia Persero Tbk PT		1,450,944
	13,878,300	Telekomunikasi Indonesia Persero Tbk PT		4,385,602
		Total Indonesia		27,983,299
		Malaysia — 0.1%
	3,649,500	AirAsia Berhad		2,695,322
	5,662,965	Media Prima Berhad		1,963,789
	255,200	Public Bank Berhad		1,244,516
		Total Malaysia		5,903,627
		Mexico — 1.6%
	3,224,004	Cemex SAB de CV CPO *		2,670,863
	8,910,792	Cemex SAB de CV Sponsored ADR *		73,870,466
	525,300	Grupo Financiero Banorte SAB de CV – Class O		2,830,868
	81,300	Grupo Televisa SAB Sponsored ADR		2,221,929
	546,400	Wal-Mart de Mexico SAB de CV		1,248,141
		Total Mexico		82,842,267
		Philippines — 0.7%
	1,437,326	BDO Unibank Inc		3,522,897
	825,690	Cebu Air Inc		2,099,668
	4,285,000	Century Pacific Food Inc		1,572,826
	2,658,250	Concepcion Industrial Corp		3,281,688
	3,450,277	First Gen Corp *		1,884,081
	93,008	GT Capital Holdings Inc		3,059,055
	9,514,450	Lopez Holding Corp		1,613,076
	5,109,600	Manila Water Co Inc		3,069,690
	8,436,900	Megaworld Corp		851,297
	640,510	Philippine Seven Corp		1,926,930
	2,531,888	Puregold Price Club Inc		2,439,107
	2,139,840	Robinsons Retail Holdings Inc		3,855,327
	2,331,795	Semirara Mining & Power Corp		5,548,438
	1,967,150	SM Prime Holdings Inc		1,258,763
	160,300	Universal Robina Corp		642,798
		Total Philippines		36,625,641
		Poland — 0.3%
	4,432,914	Energa SA		9,186,131
	18,672	KRUK SA		1,075,151
	5,114,891	Synthos SA *		5,082,269
		Total Poland		15,343,551

Shares		Description	Value ($)
		Qatar — 0.2%
	65,543	Doha Bank QSC		675,340
	23,500	Industries Qatar QSC		722,062
	9,930	Qatar Electricity & Water Co QSC		590,437
	941,691	Qatar Gas Transport Co Ltd Nakilat		6,458,217
	31,292	Qatar Navigation QSC		777,297
		Total Qatar		9,223,353
		Russia — 8.4%
	297,813	Bashneft PJSC *		14,402,415
	589,056	Etalon Group Ltd GDR (Registered)		1,705,954
	675,463	Gazprom Neft PJSC Sponsored ADR		8,805,325
	355,104	Global Ports Investments Plc GDR (Registered) *		889,133
	479,432	Globaltrans Investment Plc Sponsored GDR (Registered)		2,016,568
	342,118	Lukoil PJSC Sponsored ADR		15,332,303
	232,567	M Video PJSC		1,232,673
	1,621,768	MegaFon PJSC GDR (Registered)		16,480,655
	13,320,515	Mobile TeleSystems PJSC Sponsored ADR		108,295,787
	4,537,477	Moscow Exchange MICEX-RTS PJSC		8,821,885
	435,200	QIWI Plc Sponsored ADR		6,319,104
	1,172,097	Rosneft PJSC GDR (Registered)		6,119,831
	6,476,405	Rostelecom PJSC *		8,144,934
	12,897	Rostelecom PJSC Sponsored ADR		96,336
	4,504,662	Sberbank of Russia PJSC		9,895,869
	10,505,266	Sberbank of Russia PJSC Sponsored ADR		96,165,415
	3,416,643	Sistema JSFC Sponsored GDR (Registered)		28,952,390
	259,132	Sollers PJSC *		1,931,606
	12,288,793	Surgutneftegas Sponsored ADR		57,883,767
	951,708	Tatneft PAO Sponsored ADR		28,065,798
	3,472,118	VimpelCom Ltd Sponsored ADR		14,825,944
		Total Russia		436,383,692
		South Africa — 1.5%
	9,364,130	African Bank Investments Ltd * (d)		637
	111,022	Barclays Africa Group Ltd		1,125,599
	1,558,098	Barloworld Ltd		8,820,674
	438,937	Bidvest Group Ltd (The)		4,539,766
	1,782,747	FirstRand Ltd		5,355,802
	1,004,360	Grindrod Ltd		783,309
	3,043,628	Kumba Iron Ore Ltd *		27,714,628
	557,680	Lewis Group Ltd		1,575,343
	861,357	MTN Group Ltd		7,043,993
	5,990,890	Murray & Roberts Holdings Ltd		5,206,090
	350,195	Reunert Ltd		1,448,652
	311,835	RMB Holdings Ltd		1,248,488
	100,816	SPAR Group Ltd (The)		1,317,307
	1,209,764	Wilson Bayly Holmes-Ovcon Ltd		12,230,246
		Total South Africa		78,410,534

14 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		South Korea — 14.6%
	1,713,372	BNK Financial Group Inc		13,568,383
	4,619	CJ O Shopping Co Ltd		655,445
	900,073	Daou Data Corp		9,726,281
	1,134,433	Daou Technology Inc		21,377,784
	1,418,626	DGB Financial Group Inc		11,610,536
	171,378	Dongbu Insurance Co Ltd		10,362,208
	244,932	Grand Korea Leisure Co Ltd		5,724,628
	47,860	GS Home Shopping Inc		6,750,862
	3,334	Halla Holdings Corp		226,962
	1,536,612	Hana Financial Group Inc		40,246,139
	288,038	Hankook Tire Co Ltd		14,405,714
	998,592	Hankook Tire Worldwide Co Ltd		19,133,296
	395,662	Hanon Systems		4,141,916
	105,416	Hyundai Home Shopping Network Corp		11,619,424
	294,769	Hyundai Marine & Fire Insurance Co Ltd		8,925,323
	515,468	Hyundai Mobis Co Ltd		120,123,943
	237,275	Hyundai Motor Co		28,266,015
	51,441	Hyundai Wia Corp		4,188,906
	1,333,659	Industrial Bank of Korea		14,030,330
	7,226	Innocean Worldwide Inc		449,458
	125,941	JB Financial Group Co Ltd		666,474
	23,724	Kangwon Land Inc		838,831
	583,383	KB Financial Group Inc		20,354,251
	307,564	KB Insurance Co Ltd		7,426,810
	1,517,192	Kia Motors Corp		57,031,925
	40,908	KT&G Corp		4,288,784
	40,725	LF Corp		794,700
	19,855	LG Chem Ltd		4,799,287
	10,016	Loen Entertainment Inc *		669,393
	10,117	Lotte Chemical Corp		2,424,000
	727,175	Meritz Securities Co Ltd		2,193,577
	303,481	Mirae Asset Life Insurance Co Ltd		1,163,260
	51,578	Neowiz Games Corp *		590,343
	194,303	Partron Co Ltd		1,842,715
	10,473	S&T Motiv Co Ltd		488,004
	13,027	Samsung Card Co Ltd		515,811
	131,734	Samsung Electronics Co Ltd		191,076,059
	21,237	Samsung Electronics Co Ltd GDR		15,367,762
	2,180	Samsung Fire & Marine Insurance Co Ltd		526,448
	295,230	Seoyeon Co Ltd		3,452,800
	191,128	Seoyon E-Hwa Co Ltd		2,781,375
	545,222	Shinhan Financial Group Co Ltd		19,927,365
	89,173	Silicon Works Co Ltd		2,277,137
	336,818	SK Hynix Inc		10,982,175
	13,154	Spigen Korea Co Ltd		627,570
	6,399,267	Woori Bank		60,803,765
		Total South Korea		759,444,174
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd * (c)		1,501,033

Shares		Description	Value ($)
		Taiwan — 21.8%
	14,914,000	AcBel Polytech Inc		10,968,164
	256,000	Actron Technology Corp		910,698
	1,047,522	Advantech Co Ltd		8,551,323
	15,116,940	AmTRAN Technology Co Ltd		11,281,257
	7,382,120	Asustek Computer Inc		62,351,174
	343,067	Bizlink Holding Inc		2,007,090
	2,613,300	Casetek Holdings Ltd		9,157,587
	2,860,000	Catcher Technology Co Ltd *		20,514,923
	16,198,000	Cathay Financial Holding Co Ltd		20,431,426
	6,207,000	Chailease Holding Co Ltd		10,700,213
	904,180	Chang Hwa Commercial Bank Ltd		453,752
	144,000	Chaun-Choung Technology Corp		836,190
	4,951,000	Cheng Shin Rubber Industry Co Ltd		10,504,119
	846,000	Chimei Materials Technology Corp		394,115
	1,478,000	Chin-Poon Industrial Co Ltd		3,516,281
	9,029,000	China Development Financial Holding Corp		2,277,287
	4,839,120	China Life Insurance Co Ltd		4,277,157
	5,124,919	Chong Hong Construction Co Ltd		8,444,074
	8,275,529	Chunghwa Telecom Co Ltd		29,709,812
	38,200	Chunghwa Telecom Co Ltd Sponsored ADR		1,369,470
	74,704,111	Compal Electronics Inc		44,215,609
	4,278,400	Coretronic Corp		4,815,043
	53,684,000	CTBC Financial Holding Co Ltd		30,994,273
	2,120,000	CTCI Corp		3,002,548
	1,737,000	Dynapack International Technology Corp		2,299,960
	8,274,333	E.Sun Financial Holding Co Ltd		4,648,956
	452,000	Eclat Textile Co Ltd		5,703,409
	870,000	Elan Microelectronics Corp *		1,123,075
	9,836,000	Elitegroup Computer Systems Co Ltd		4,520,374
	4,005,084	Far EasTone Telecommunications Co Ltd		9,319,215
	1,629,400	Faraday Technology Corp		1,621,061
	3,495,000	Farglory Land Development Co Ltd		4,076,102
	1,909,215	First Financial Holding Co Ltd		980,006
	1,623,000	FLEXium Interconnect Inc		4,504,461
	3,968,000	Formosa Chemicals & Fibre Corp		10,288,587
	5,221,000	Formosa Plastics Corp		12,863,469
	3,379,000	Formosan Rubber Group Inc		1,622,298
	20,823,243	Foxconn Technology Co Ltd *		58,321,521
	34,954,200	Fubon Financial Holding Co Ltd		49,341,698
	8,975,200	Gigabyte Technology Co Ltd		12,343,279
	719,000	Grand Pacific Petrochemical		362,852
	166,000	Green Seal Holding Ltd *		739,586
	44,000	Hermes Microvision Inc		1,883,001
	24,766,754	Highwealth Construction Corp		38,457,569
	36,397,500	Hon Hai Precision Industry Co Ltd		100,678,341
	3,979,000	Huaku Development Co Ltd		6,714,242
	2,148,500	IEI Integration Corp		2,960,019
	31,671,600	Inventec Co Ltd		23,454,799

See accompanying notes to the financial statements. 15

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	5,023,000	KEE TAI Properties Co Ltd		1,945,968
	1,222,000	King’s Town Bank Co Ltd		1,038,345
	3,059,000	Kinsus Interconnect Technology Corp		6,439,227
	112,000	Largan Precision Co Ltd		12,523,994
	35,703,141	Lite-On Technology Corp		53,941,986
	1,518,000	Lotes Co Ltd		3,898,354
	971,000	Lung Yen Life Service Corp		1,636,602
	496,785	Makalot Industrial Co Ltd		2,342,089
	10,285,000	Mega Financial Holding Co Ltd		6,993,413
	2,594,695	Mercuries Life Insurance Co Ltd *		1,233,070
	1,175,000	Merry Electronics Co Ltd		4,394,467
	2,262,000	Micro-Star International Co Ltd		5,448,073
	644,000	MIN AIK Technology Co Ltd		775,981
	228,000	Nien Made Enterprise Co Ltd		2,587,127
	2,119,810	Novatek Microelectronics Corp		7,221,483
	10,707,470	Pegatron Corp		25,834,755
	383,580	Phison Electronics Corp		2,768,870
	7,673,000	Pou Chen Corp		11,097,033
	194,811	Powertech Technology Inc		507,899
	29,191,550	Quanta Computer Inc		53,871,899
	12,830,870	Radiant Opto-Electronics Corp		21,016,365
	9,872,720	Realtek Semiconductor Corp		39,432,487
	12,720,626	Ruentex Development Co Ltd *		14,882,397
	9,041,000	Ruentex Industries Ltd		14,010,469
	627,000	Sercomm Corp		1,397,327
	16,030,000	Shin Kong Financial Holding Co Ltd *		3,509,928
	973,000	Shin Zu Shing Co Ltd		3,185,082
	5,106,780	Simplo Technology Co Ltd		16,789,497
	10,566,150	SinoPac Financial Holdings Co Ltd		3,084,945
	881,000	Sitronix Technology Corp		2,938,756
	2,138,000	Soft-World International Corp		4,484,584
	718,000	Syncmold Enterprise Corp		1,206,775
	5,822,585	Taishin Financial Holding Co Ltd		2,199,402
	1,252,000	Taiwan Mobile Co Ltd		4,396,628
	547,000	Taiwan PCB Techvest Co Ltd		546,654
	4,066,000	Taiwan Semiconductor Manufacturing Co Ltd		22,580,047
	971,000	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		27,906,540
	6,058,269	Taiwan Surface Mounting Technology Corp		5,182,752
	3,645,000	Teco Electric and Machinery Co Ltd		3,060,498
	700,000	Test Research Inc		861,644
	2,021,000	Tong Hsing Electronic Industries Ltd		8,052,729
	511,000	Tong Yang Industry Co Ltd		1,028,754
	7,647,160	Tripod Technology Corp		16,333,349
	759,000	Uni-President Enterprises Corp		1,432,123
	3,913,000	United Integrated Services Co Ltd		6,115,306
	4,336,000	Wan Hai Lines Ltd		2,088,370
	31,392,673	Wistron Corp		23,019,439

Shares		Description	Value ($)
		Taiwan — continued
	448,093	Wistron NeWeb Corp		1,346,879
	238,000	Xxentria Technology Materials Corp		605,446
	12,161,000	Yuanta Financial Holding Co Ltd		4,303,636
	2,974,670	Yungtay Engineering Co Ltd		4,348,816
		Total Taiwan		1,128,359,724
		Thailand — 1.3%
	174,300	Bangkok Bank Pcl NVDR		852,638
	17,419,260	Bangkok Dusit Medical Services Pcl (Foreign Registered)		11,820,645
	1,390,000	Berli Jucker Pcl (Foreign Registered)		1,806,994
	1,387,500	Carabao Group Pcl (Foreign Registered)		2,843,290
	30,078,300	Chularat Hospital Pcl (Foreign Registered)		2,258,180
	1,666,800	CP ALL Pcl (Foreign Registered)		2,995,034
	1,702,500	CPN Retail Growth Leasehold Property Fund		1,008,208
	454,801	Glow Energy Pcl (Foreign Registered)		1,049,883
	2,160,651	Intouch Holdings Pcl (Foreign Registered) (a)		3,884,668
	973,400	Intouch Holdings Pcl NVDR		1,581,770
	633,100	Kasikornbank Pcl NVDR		3,608,458
	1,654,500	Krung Thai Bank Pcl (Foreign Registered)		907,195
	2,151,700	Major Cineplex Group Pcl (Foreign Registered)		2,018,618
	515,000	PTT Global Chemical Pcl (Foreign Registered)		905,231
	31,905,600	Quality Houses Pcl (Foreign Registered)		2,505,170
	4,225,002	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		6,649,325
	40,505,223	Sansiri Pcl (Foreign Registered)		2,162,765
	241,400	Siam Commercial Bank Pcl (The) (Foreign Registered)		1,114,193
	3,943,000	Thai Beverage Pcl		2,879,187
	2,229,200	Thanachart Capital Pcl (Foreign Registered)		2,575,956
	2,225,300	Tisco Financial Group Pcl (Foreign Registered) (a)		3,630,393
	21,055,950	TTW Pcl (Foreign Registered)		6,688,175
	15,955,600	WHA Corp Pcl (Foreign Registered) *		1,659,377
	3,047,600	WHA Premium Growth Freehold & Leasehold Real Estate Investment Trust (Foreign Registered)		898,023
		Total Thailand		68,303,376
		Turkey — 2.3%
	1,599,274	Enka Insaat ve Sanayi AS		2,361,996
	3,265,546	Eregli Demir ve Celik Fabrikalari TAS		4,912,978
	1,469,455	Goodyear Lastikleri TAS		1,674,532
	3,867,030	Koza Altin Isletmeleri AS *		18,076,358
	12,145,804	Koza Anadolu Metal Madencilik Isletmeleri AS *		4,637,398
	1,255,269	Soda Sanayii AS		1,739,866

16 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Turkey — continued
	46,469	Tekfen Holding AS		115,278
	4,541,368	Turk Telekomunikasyon AS		9,165,304
	136,190	Turk Traktor ve Ziraat Makineleri AS		3,975,602
	11,180,041	Turkcell Iletisim Hizmetleri AS *		37,471,799
	213,200	Turkcell Iletisim Hizmetleri AS ADR *		1,769,560
	3,590,107	Turkiye Garanti Bankasi AS		9,259,837
	1,667,815	Turkiye Halk Bankasi AS		5,005,518
	1,021,378	Turkiye Is Bankasi – Class C		1,660,583
	10,069,987	Turkiye Vakiflar Bankasi TAO – Class D		14,807,421
	575,254	Yapi ve Kredi Bankasi AS *		707,448
		Total Turkey		117,341,478
		United Arab Emirates — 0.3%
	7,430,433	DAMAC Properties Dubai Co PJSC		4,849,978
	20,208,202	Dana Gas PJSC *		3,131,575
	995,966	Dubai Islamic Bank PJSC		1,478,641
	2,221,031	Emaar Properties PJSC		4,289,258
	396,792	First Gulf Bank PJSC		1,263,757
	6,026,441	Union Properties PJSC *		1,204,591
		Total United Arab Emirates		16,217,800
		United Kingdom — 0.2%
	44,195	British American Tobacco Plc		2,741,974
	10,277	British American Tobacco Plc Sponsered ADR		1,276,300
	117,293	Unilever Plc		5,444,888
		Total United Kingdom		9,463,162
		Vietnam — 0.2%
	466,510	Bank for Foreign Trade of Vietnam JSC *		1,128,361
	1,197,862	Vietnam Dairy Products JSC		8,370,048
	454,240	Vingroup JSC *		978,136
		Total Vietnam		10,476,545
		TOTAL COMMON STOCKS (COST $4,528,459,455)		4,786,397,382
		PREFERRED STOCKS — 5.4%
		Brazil — 1.2%
	5,301,000	Banco do Estado do Rio Grande do Sul SA – Class B		17,729,097
	1,066,564	Companhia de Transmissao de Energia Eletrica Paulista		22,195,312
	345,000	Companhia Energetica de Minas Gerais		934,829
	5,476,620	Companhia Energetica de Minas Gerais Sponsored ADR		14,622,575
	470,000	Itau Unibanco Holding SA		5,217,856
	69,400	Itau Unibanco Holding SA Sponsored ADR		768,952
		Total Brazil		61,468,621

Shares		Description	Value ($)
		Russia — 2.1%
	29,753,191	Sberbank		46,423,666
	110,717,223	Surgutneftegas OJSC *		55,480,401
	12,100	Surgutneftegaz Sponsored ADR		61,105
	3,738	Transneft *		8,863,721
		Total Russia		110,828,893
		South Korea — 2.1%
	100,558	Hyundai Motor Co		8,639,138
	261,070	Hyundai Motor Co 2nd Preference		23,525,371
	63,558	Samsung Electronics Co Ltd (Non-Voting)		75,377,872
	713	Samsung Electronics Co Ltd GDR (Registered)		424,479
		Total South Korea		107,966,860
		TOTAL PREFERRED STOCKS (COST $304,023,220)		280,264,374
		INVESTMENT FUNDS — 0.6%
		India — 0.1%
	10,189	Fire Capital Mauritius Private Fund * (d) (e)		5,780,295
	1,371,900	TDA India Technology Fund II LP * (d) (e)		119,774
		Total India		5,900,069
		Poland — 0.0%
	1,749,150	Templeton EE FD * (d) (e)		141,979
		Russia — 0.1%
	5,452,004	NCH Eagle Fund LP * (d) (e)		2,332,002
		Thailand — 0.3%
	20,427,300	Digital Telecommunication Infrastructure Fund		8,733,421
	14,473,400	Jasmine Broadband Internet Infrastructure Fund		4,847,607
	10,457,700	TICON Industrial Growth Leasehold Property Fund		3,835,426
		Total Thailand		17,416,454
		United States — 0.1%
	82,651	iShares MSCI Emerging Markets ETF		3,019,241
		TOTAL INVESTMENT FUNDS (COST $33,330,480)		28,809,745
		RIGHTS/WARRANTS — 0.0%
		Brazil — 0.0%
	116,773	AES Tiete Energia SA Rights, Expires 09/21/16*		149,347

See accompanying notes to the financial statements. 17

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Thailand — 0.0%
	42,563,506	Sansiri Pcl Warrants, Expires 11/24/17 *		221,330
		TOTAL RIGHTS/WARRANTS (COST $171,130)		370,677
		MUTUAL FUNDS — 1.4%
		United States — 1.4%
		Affiliated Issuers
	2,982,936	GMO U.S. Treasury Fund		74,603,230
		TOTAL MUTUAL FUNDS (COST $74,603,230)		74,603,230
		SHORT-TERM INVESTMENTS — 0.2%
		Time Deposits — 0.2%
HKD	443,278	BNP Paribas (Paris) Time Deposit, 0.01%, due 09/01/16		57,141

Par Value†		Description	Value ($)
		Time Deposits — continued
ZAR	1,831,038	HSBC Bank (London) Time Deposit, 6.44%, due 09/01/16		124,543
	9,537,782	Sumitomo (Tokyo) Time Deposit, 0.15%, due 09/01/16		9,537,782
		Total Time Deposits		9,719,466
		TOTAL SHORT-TERM INVESTMENTS (COST $9,719,466)		9,719,466
		TOTAL INVESTMENTS — 99.9% (Cost $4,950,306,981)		5,180,164,874
		Other Assets and Liabilities (net) — 0.1%		6,827,724
		TOTAL NET ASSETS — 100.0%		$5,186,992,598

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of August 31, 2016
Fire Capital Mauritius Private Fund	12/12/06-10/26/09	$	10,189,080	0.11%	$	5,780,295
Gayatri Projects Ltd	8/7/15		10,789,949	0.66%		34,257,554
NCH Eagle Fund LP	4/6/09		5,452,004	0.05%		2,332,002
TDA India Technology Fund II LP	2/23/00-3/23/04		—	0.00%		119,774
Templeton EE FD	12/05/97-6/24/02		471,720	0.00%		141,979
					$	42,631,604

A summary of outstanding financial instruments at August 31, 2016 is as follows:

Swap Contracts

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	22,654,371	USD	9/29/2016	MSCI	Depreciation of Total Return on Asustek Computer, Inc. + (Daily Fed Funds Rate minus 0.50%)	Appreciation of Total Return on Asustek Computer, Inc.	$	(221,654	)
	2,563,350	USD	9/26/2016	MSCI	Depreciation of Total Return on Ez Tec Empreendimentos e Participacoes SA + (Daily Fed Funds Rate minus 0.50%)	Appreciation of Total Return on Ez Tec Empreendimentos e Participacoes SA		5,725
							$	(215,929	)
					Premiums to (Pay) Receive		$	—

18 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

As of August 31, 2016, 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:

† Denominated in U.S. Dollar, unless otherwise indicated.

* 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) The security is restricted as to resale.

(c) Affiliated company (Note 10).

(d) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2).

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 23.

See accompanying notes to the financial statements. 19

GMO Taiwan Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		93.9	%
Investment Funds		4.4
Mutual Funds		1.1
Short-Term Investments		0.1
Other		0.5
		100.0	%
Industry Sector Summary	% of Equity Investments#
Technology Hardware Storage		21.9	%
Electronic Equipment, Instruments & Components		17.7
Semiconductors & Semiconductor Equipment		13.3
Real Estate Management & Development		7.0
Commerical Banks		6.5
Diversified Financial Services		5.1
Mutual Funds		4.5
Diversified Telecommunication Services		4.2
Textiles, Apparel & Luxury Goods		3.4
Insurance Premiums		3.1
Wireless Telecommunication Services		2.8
Electrical Equipment		1.6
Chemicals		1.6
Household Durables		1.5
Machinery		1.2
Construction & Engineering		1.0
Auto Components		0.9
Communications Equipment		0.5
Software		0.5
Capital Markets		0.5
Building Products		0.3
Marine		0.3
Diversified Consumer Services		0.3
Food Products		0.2
Construction Materials		0.1
		100.0	%

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

20

GMO Taiwan Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 93.9%
		Taiwan — 93.9%
	1,296,000	AcBel Polytech Inc		953,114
	64,000	Actron Technology Corp		227,675
	1,618,850	AmTRAN Technology Co Ltd		1,208,093
	782,323	Asustek Computer Inc		6,607,690
	60,849	Bizlink Holding Inc		355,993
	85,000	Catcher Technology Co Ltd *		609,709
	1,646,000	Cathay Financial Holding Co Ltd		2,076,190
	669,000	Chailease Holding Co Ltd		1,153,285
	403,860	Chang Hwa Commercial Bank Ltd		202,672
	52,000	Chaun-Choung Technology Corp		301,957
	239,000	Cheng Shin Rubber Industry Co Ltd		507,066
	413,000	Chimei Materials Technology Corp		192,399
	210,000	Chin-Poon Industrial Co Ltd		499,607
	1,489,000	China Development Financial Holding Corp		375,554
	654,160	China Life Insurance Co Ltd		578,193
	554,989	Chong Hong Construction Co Ltd		914,428
	1,284,132	Chunghwa Telecom Co Ltd		4,610,137
	1,700	Chunghwa Telecom Co Ltd Sponsored ADR		60,945
	4,976,486	Compal Electronics Inc		2,945,465
	541,600	Coretronic Corp		609,533
	5,259,000	CTBC Financial Holding Co Ltd		3,036,266
	297,000	CTCI Corp		420,640
	31,000	Delta Electronics Inc		160,843
	273,000	Dynapack International Technology Corp		361,479
	2,657,503	E.Sun Financial Holding Co Ltd		1,493,125
	58,000	Eclat Textile Co Ltd		731,853
	217,000	Elan Microelectronics Corp *		280,123
	435,767	Far EasTone Telecommunications Co Ltd		1,013,963
	292,400	Faraday Technology Corp		290,904
	459,000	Farglory Land Development Co Ltd		535,316
	484,880	First Financial Holding Co Ltd		248,890
	211,000	FLEXium Interconnect Inc		585,608
	184,000	Formosa Chemicals & Fibre Corp		477,092
	221,000	Formosa Plastics Corp		544,498
	647,000	Formosan Rubber Group Inc		310,632
	1,389,578	Foxconn Technology Co Ltd *		3,891,915
	3,244,000	Fubon Financial Holding Co Ltd		4,579,263
	384,000	Grand Pacific Petrochemical		193,790
	48,000	Green Seal Holding Ltd *		213,856
	8,000	Hermes Microvision Inc		342,364
	2,388,622	Highwealth Construction Corp		3,709,028
	3,431,963	Hon Hai Precision Industry Co Ltd		9,493,079
	460,000	Huaku Development Co Ltd		776,213
	1,292,000	Inventec Corp		956,807
	851,000	KEE TAI Properties Co Ltd		329,687
	346,000	King’s Town Bank Co Ltd		293,999
	353,000	Kinsus Interconnect Technology Corp		743,069
	11,000	Largan Precision Co Ltd		1,230,035

Shares		Description	Value ($)
		Taiwan — continued
	2,485,834	Lite-On Technology Corp		3,755,715
	196,000	Lotes Co Ltd		503,345
	177,000	Lung Yen Life Service Corp		298,330
	78,657	Makalot Industrial Co Ltd		370,828
	20,596	MediaTek Inc		161,643
	1,161,000	Mega Financial Holding Co Ltd		789,436
	603,910	Mercuries Life Insurance Co Ltd *		286,995
	179,000	Merry Electronics Co Ltd		669,455
	175,000	MIN AIK Technology Co Ltd		210,864
	38,000	Nien Made Enterprise Co Ltd		431,188
	239,995	Novatek Microelectronics Corp		817,583
	421,000	Pegatron Corp		1,015,780
	54,000	Phison Electronics Corp		389,799
	826,000	Pou Chen Corp		1,194,598
	76,475	Powertech Technology Inc		199,381
	2,050,856	Quanta Computer Inc		3,784,777
	980,670	Radiant Opto-Electronics Corp		1,606,292
	962,870	Realtek Semiconductor Corp		3,845,785
	1,313,036	Ruentex Development Co Ltd *		1,536,176
	939,600	Ruentex Industries Ltd		1,456,060
	132,000	Sercomm Corp		294,174
	2,270,000	Shin Kong Financial Holding Co Ltd *		497,039
	139,000	Shin Zu Shing Co Ltd		455,012
	516,000	Simplo Technology Co Ltd		1,696,447
	1,520,400	SinoPac Financial Holdings Co Ltd		443,904
	130,000	Sitronix Technology Corp		433,642
	272,000	Soft-World International Corp		570,536
	127,000	Sunspring Metal Corp		175,343
	159,000	Syncmold Enterprise Corp		267,239
	136,500	Synnex Technology International Corp		143,942
	968,004	Taishin Financial Holding Co Ltd		365,650
	129,550	Taiwan Cement Corp		147,622
	616,000	Taiwan Mobile Co Ltd		2,163,197
	224,000	Taiwan PCB Techvest Co Ltd		223,858
	121,000	Taiwan Semiconductor Manufacturing Co Ltd		671,959
	146,100	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		4,198,914
	753,022	Taiwan Surface Mounting Technology Corp		644,198
	522,000	Teco Electric and Machinery Co Ltd		438,294
	182,000	Test Research Inc		224,027
	230,000	Tong Hsing Electronic Industries Ltd		916,441
	147,000	Tong Yang Industry Co Ltd		295,943
	789,000	Tripod Technology Corp		1,685,202
	147,000	Uni-President Enterprises Corp		277,368
	468,000	United Integrated Services Co Ltd		731,399
	81,000	Vanguard International Semiconductor Corp		151,698
	686,000	Wan Hai Lines Ltd		330,402
	1,134,403	Wistron Corp		831,828
	99,786	Wistron NeWeb Corp		299,937
	86,000	Xxentria Technology Materials Corp		218,775

See accompanying notes to the financial statements. 21

GMO Taiwan Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Taiwan — continued
	1,587,000	Yuanta Financial Holding Co Ltd		561,621
	391,152	Yungtay Engineering Co Ltd		571,844
		Total Taiwan		106,485,527
		TOTAL COMMON STOCKS (COST $103,798,336)		106,485,527
		INVESTMENT FUNDS — 4.4%
		Taiwan — 4.4%
	330,302	iShares MSCI Taiwan ETF		4,967,742
		TOTAL INVESTMENT FUNDS (COST $5,007,193)		4,967,742
		MUTUAL FUNDS — 1.1%
		United States — 1.1%
		Affiliated Issuers
	49,111	GMO U.S. Treasury Fund		1,228,253
		TOTAL MUTUAL FUNDS (COST $1,228,253)		1,228,253
		SHORT-TERM INVESTMENTS — 0.1%
		Time Deposit — 0.1%
	158,035	Sumitomo (Tokyo) Time Deposit, 0.15%, due 09/01/16		158,035
		TOTAL SHORT-TERM INVESTMENTS (COST $158,035)		158,035
		TOTAL INVESTMENTS — 99.5% (Cost $110,191,817)		112,839,557
		Other Assets and Liabilities (net) — 0.5%		538,251
		TOTAL NET ASSETS — 100.0%		$113,377,808

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 23.

22 See accompanying notes to the financial statements.

GMO Taiwan Fund

Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

Portfolio Abbreviations:

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

ADR - American Depositary Receipt

BBA - British Bankers 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

OTC - Over-the-Counter

PJSC - Private Joint-Stock Company

Counterparty Abbreviations:

BCLY - Barclays Bank plc

GS - Goldman Sachs International

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

GBP - British Pound

HKD - Hong Kong Dollar

SGD - Singapore Dollar

USD - United States Dollar

ZAR - South African Rand

See accompanying notes to the financial statements. 23

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2016 (Unaudited)

	Emerging Countries Fund		Emerging Domestic Opportunities Fund		Emerging Markets Fund		Taiwan Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	265,993	$	65,598,038	$	117,858,202	$	1,228,253
Investments in unaffiliated issuers, at value (Note 2)(b)		24,704,677		2,089,856,422		5,062,306,672		111,611,304
Foreign currency, at value (Note 2)(c)		97,875		3,641,712		28,817,906		1,276,568
Receivable for investments sold		71,387		136,510,105		56,358,267		—
Dividends receivable		34,374		2,033,397		12,025,199		422,863
Dividend withholding tax receivable		—		443,643		—		—
Foreign capital gains tax refund receivable		221,895		1,033,832		3,134,991		—
Unrealized appreciation on open forward currency contracts (Note 4)		—		148,648		—		—
Due from broker (Note 2)		—		653,117		—		—
Receivable for open OTC swap contracts		—		—		5,725		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		11,533		16,350		180,123		—
Miscellaneous receivable		57		6,995		89,497		390
Total assets		25,407,791		2,299,942,259		5,280,776,582		114,539,378
Liabilities:
Due to custodian		47		—		9,730		—
Foreign taxes payable		980		—		126,725		—
Payable for investments purchased		58,193		105,533,879		52,062,038		965,548
Payable for Fund shares repurchased		749		—		28,668,499		—
Accrued foreign capital gains tax payable (Note 2)		5,373		8,888,222		6,068,404		—
Payable to affiliate for (Note 5):
Management fee		14,714		1,473,848		3,548,375		83,240
Shareholder service fee		3,398		271,535		381,212		15,416
Payable for foreign currency purchased		65		62,121		24,632		—
Payable for futures variation margin		—		2,382,010		—		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		417,915		—		—
Payable for open OTC swap contracts (Note 4)		—		645,978		221,654		—
Miscellaneous payable		—		—		981,036		—
Payable to agents unaffiliated with GMO		—		297		759		—
Payable to Trustees and related expenses		58		840		2,375		93
Accrued expenses		136,005		589,856		1,688,545		97,273
Total liabilities		219,582		120,266,501		93,783,984		1,161,570
Net assets	$	25,188,209	$	2,179,675,758	$	5,186,992,598	$	113,377,808
(a)     Cost of investments — affiliated issuers:	$	265,993	$	48,693,041	$	93,459,269	$	1,228,253
(b)     Cost of investments — unaffiliated issuers:	$	24,901,216	$	1,944,637,360	$	4,856,847,712	$	108,963,564
(c)     Cost of foreign currency:	$	97,939	$	3,636,656	$	28,822,133	$	1,277,765

24 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)

	Emerging Countries Fund			Emerging Domestic Opportunities Fund			Emerging Markets Fund			Taiwan Fund
Net assets consist of:
Paid-in capital	$	52,032,329		$	2,192,934,813		$	7,086,740,321		$	122,757,625
Accumulated undistributed net investment income		145,296			9,374,643			45,867,764			2,416,163
Accumulated net realized loss		(26,787,912	)		(173,213,608	)		(2,169,848,630	)		(14,440,719	)
Net unrealized appreciation (depreciation)		(201,504	)		150,579,910			224,233,143			2,644,739
	$	25,188,209		$	2,179,675,758		$	5,186,992,598		$	113,377,808
Net assets attributable to:
Class II	$	—		$	667,631,746		$	520,355,255		$	—
Class III	$	25,188,209		$	162,631,723		$	240,350,706		$	113,377,808
Class IV	$	—		$	738,899,544		$	258,633,970		$	—
Class V	$	—		$	599,448,187		$	412,349,881		$	—
Class VI	$	—		$	11,064,558		$	3,755,302,786		$	—
Shares outstanding:
Class II		—			28,809,789			18,016,065			—
Class III		985,147			7,016,520			8,300,850			5,732,246
Class IV		—			31,875,029			9,012,408			—
Class V		—			25,873,558			14,404,551			—
Class VI		—			474,880			130,862,686			—
Net asset value per share:
Class II	$	—		$	23.17		$	28.88		$	—
Class III	$	25.57		$	23.18		$	28.95		$	19.78
Class IV	$	—		$	23.18		$	28.70		$	—
Class V	$	—		$	23.17		$	28.63		$	—
Class VI	$	—		$	23.30		$	28.70		$	—

See accompanying notes to the financial statements. 25

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2016 (Unaudited)

	Emerging Countries Fund			Emerging Domestic Opportunities Fund			Emerging Markets Fund			Taiwan Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax)(a)	$	521,809		$	25,694,152		$	122,751,521		$	3,410,510
Interest		62			2,308,202			16,156			1,653
Dividends from affiliated issuers (Note 10)		279			811,460			117,772			1,369
Total investment income		522,150			28,813,814			122,885,449			3,413,532
Expenses:
Management fee (Note 5)		77,046			7,822,997			19,460,672			366,669
Shareholder service fee – Class II (Note 5)		—			700,937			558,052			—
Shareholder service fee – Class III (Note 5)		17,780			151,975			166,754			67,902
Shareholder service fee – Class IV (Note 5)		—			467,985			136,957			—
Shareholder service fee – Class V (Note 5)		—			146,406			153,797			—
Shareholder service fee – Class VI (Note 5)		—			2,859			1,055,205			—
Audit and tax fees		34,776			39,468			63,756			33,396
Custodian and fund accounting agent fees		75,208			1,108,696			3,517,016			109,644
Legal fees		5,796			37,720			125,028			4,784
Registration fees		4,416			4,232			22,203			368
Transfer agent fees		12,788			35,420			37,168			12,788
Trustees’ fees and related expenses (Note 5)		221			15,409			38,840			644
Miscellaneous		7,096			11,224			23,001			3,501
Total expenses		235,127			10,545,328			25,358,449			599,696
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(87,820	)		(299,635	)		(1,004,272	)		—
Net expenses		147,307			10,245,693			24,354,177			599,696
Net investment income (loss)		374,843			18,568,121			98,531,272			2,813,836
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		(2,239,692	)		91,590,481			(449,339,364	)		(5,212,390	)
Investments in affiliated issuers		193			1,457,283			(1,594	)		988
Realized gain distributions from affiliated issuers (Note 10)		16			524			2,720			38
Futures contracts		—			(4,936,801	)		—			—
Written options		(415	)		220,020			53,298			—
Swap contracts		—			(2,487,402	)		(3,709,306	)		—
Foreign currency, forward contracts and foreign currency related transactions		6,275			(8,997,107	)		1,093,720			(55,348	)
Net realized gain (loss)		(2,233,623	)		76,846,998			(451,900,526	)		(5,266,712	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		7,311,120			280,118,568			1,564,309,006			17,235,138
Investments in affiliated issuers		—			3,657,655			11,182,589			—
Futures contracts		—			(4,387,207	)		—			—
Written options		(1,260	)		(1,716,561	)		(363,121	)		—
Swap contracts		—			(779,700	)		(381,375	)		—
Foreign currency, forward contracts and foreign currency related transactions		5,592			1,735,664			806,246			(3,052	)
Net changed in unrealized appreciation (depreciation)		7,315,452			278,628,419			1,575,553,345			17,232,086
Net realized and unrealized gain (loss)		5,081,829			355,475,417			1,123,652,819			11,965,374
Net increase (decrease) in net assets resulting from operations	$	5,456,672		$	374,043,538		$	1,222,184,091		$	14,779,210
(a)      Withholding tax:	$	86,845		$	2,783,349		$	17,986,567		$	820,761
(b)      Foreign capital gains tax on net realized gain (loss):	$	—		$	730,442		$	(37,980	)	$	—
(c)      Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	8,907,747		$	6,068,553		$	—

26 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Emerging Countries Fund						Emerging Domestic Opportunities Fund
	Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016			Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	374,843		$	669,599		$	18,568,121		$	37,658,910
Net realized gain (loss)		(2,233,623	)		(4,392,663	)		76,846,998			(201,193,676	)
Change in net unrealized appreciation (depreciation)		7,315,452			(4,195,093	)		278,628,419			(284,441,903	)
Net increase (decrease) in net assets from operations		5,456,672			(7,918,157	)		374,043,538			(447,976,669	)
Distributions to shareholders from:
Net investment income
Class II		—			—			(2,918,229	)		(10,957,179	)
Class III		—			(645,110	)		(683,158	)		(5,170,992	)
Class IV		—			—			(4,879,900	)		(10,726,064	)
Class V		—			—			(1,591,910	)		(5,385,781	)
Class VI		—			—			(31,485	)		(8,108,215	)
Total distributions from net investment income		—			(645,110	)		(10,104,682	)		(40,348,231	)
Net realized gains
Class III		—			(346,793	)		—			—
Total distributions from net realized gains		—			(346,793	)		—			—
Return of capital
Class III		—			(36,830	)		—			—
Total distributions from return of capital		—			(36,830	)		—			—
Net share transactions (Note 9):
Class II		—			—			(915,843	)		(46,500,485	)
Class III		(1,098,419	)		(8,725,604	)		(118,348,168	)		(31,379,384	)
Class IV		—			—			(163,136,711	)		183,384,511
Class V		—			—			221,037,092			130,232,888
Class VI		—			—			54,773			(496,894,808	)
Increase (decrease) in net assets resulting from net share transactions		(1,098,419	)		(8,725,604	)		(61,308,857	)		(261,157,278	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class II		—			—			280,884			1,063,973
Class III		—			—			83,760			475,127
Class IV		—			—			413,499			986,392
Class V		—			—			138,683			472,320
Class VI		—			—			4,594			648,745
Increase in net assets resulting from purchase premiums and redemption fees		—			—			921,420			3,646,557
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(1,098,419	)		—			(60,387,437	)		(257,510,721	)
Total increase (decrease) in net assets		4,358,253			(17,672,494	)		303,551,419			(745,835,621	)
Net assets:
Beginning of period		20,829,956			38,502,450			1,876,124,339			2,621,959,960
End of period	$	25,188,209		$	20,829,956		$	2,179,675,758		$	1,876,124,339
Accumulated undistributed net investment income	$	145,296		$	—		$	9,374,643		$	911,204
Distributions in excess of net investment income	$	—		$	(229,547	)	$	—		$	—

See accompanying notes to the financial statements. 27

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Emerging Markets Fund						Taiwan Fund
	Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016			Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	98,531,272		$	166,310,707		$	2,813,836		$	2,939,946
Net realized gain (loss)		(451,900,526	)		(855,974,919	)		(5,266,712	)		(6,384,991	)
Change in net unrealized appreciation (depreciation)		1,575,553,345			(882,990,000	)		17,232,086			(19,892,086	)
Net increase (decrease) in net assets from operations		1,222,184,091			(1,572,654,212	)		14,779,210			(23,337,131	)
Distributions to shareholders from:
Net investment income
Class II		(486,528	)		(14,843,763	)		—			—
Class III		(256,846	)		(9,750,759	)		(386,985	)		(2,538,791	)
Class IV		(297,309	)		(15,521,572	)		—			—
Class V		(550,549	)		(9,715,352	)		—			—
Class VI		(5,437,976	)		(139,438,918	)		—			—
Total distributions from net investment income		(7,029,208	)		(189,270,364	)		(386,985	)		(2,538,791	)
Net realized gains
Class III		—			—			—			(4,888,939	)
Total distributions from net realized gains		—			—			—			(4,888,939	)
Net share transactions (Note 9):
Class II		(137,493,028	)		(305,210,826	)		—			—
Class III		(394,058	)		(2,035,123	)		7,249,683			4,424,325
Class IV		(74,205,587	)		(429,527,732	)		—			—
Class V		64,107,296			199,756,734			—			—
Class VI		(809,216,618	)		(289,122,093	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(957,201,995	)		(826,139,040	)		7,249,683			4,424,325
Purchase premiums and redemption fees (Notes 2 and 9):
Class II		778,575			2,353,882			—			—
Class III		333,262			1,067,882			187,799			143,473
Class IV		403,727			2,040,543			—			—
Class V		531,516			1,030,442			—			—
Class VI		5,794,231			16,113,225			—			—
Increase in net assets resulting from purchase premiums and redemption fees		7,841,311			22,605,974			187,799			143,473
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(949,360,684	)		(803,533,066	)		7,437,482			4,567,798
Total increase (decrease) in net assets		265,794,199			(2,565,457,642	)		21,829,707			(26,197,063	)
Net assets:
Beginning of period		4,921,198,399			7,486,656,041			91,548,101			117,745,164
End of period	$	5,186,992,598		$	4,921,198,399		$	113,377,808		$	91,548,101
Accumulated undistributed net investment income	$	45,867,764		$	—		$	2,416,163		$	—
Distributions in excess of net investment income	$	—		$	(45,634,300	)	$	—		$	(10,688	)

28 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING COUNTRIES FUND

	Class III Shares
	Six Months Ended August  31, 2016 (Unaudited)(a)				Year Ended February 28/29,
					2016(a)				2015(a)				2014(a)				2013(a)				2012(a)
Net asset value, beginning of period		$	20.16			$	27.39			$	27.63			$	31.83			$	33.09			$	34.50
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.37				0.57				0.66				0.78				0.60				0.72
Net realized and unrealized gain (loss)			5.04				(6.84	)			0.15				(4.14	)			(1.29	)			(1.50	)(c)
Total from investment operations			5.41				(6.27	)			0.81				(3.36	)			(0.69	)			(0.78	)
Less distributions to shareholders:
From net investment income			—				(0.60	)			(1.05	)			(0.84	)			(0.57	)			(0.63	)
From net realized gains			—				(0.33	)			—				—				—				—
Return of capital			—				(0.03	)			—				—				—				—
Total distributions			—				(0.96	)			(1.05	)			(0.84	)			(0.57	)			(0.63	)
Net asset value, end of period		$	25.57			$	20.16			$	27.39			$	27.63			$	31.83			$	33.09
Total Return(d)			26.84	%			(23.10	)%			3.02	%			(10.61	)%			(2.05	)%			(1.96	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	25,188			$	20,830			$	38,502			$	46,055			$	134,535			$	157,638
Net expenses to average daily net assets(e)			1.24	%*			1.31	%			1.23	%			1.24	%(f)			1.18	%(f)			1.17	%(f)
Net investment income (loss) to average daily net assets(b)			3.16	%*			2.27	%			2.27	%			2.66	%			1.94	%			2.14	%
Portfolio turnover rate			39	%(g)**			59	%(h)			74	%			122	%			108	%			113	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.74	%*			0.77	%			0.28	%			0.43	%			0.21	%			0.14	%

^(a)  Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

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

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

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

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

^(g)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 44% of the average value of its portfolio.

^(h)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 57% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 29

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND

	Class II Shares																								Class III Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,																Period from March 24, 2011 (commencement of operations) through February 29, 2012				Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,												Period from June 29, 2012 (commencement of operations) through February 28, 2013
					2016				2015				2014				2013												2016				2015				2014
Net asset value, beginning of period		$	19.36			$	23.99			$	22.55			$	24.60			$	21.39			$	20.89			$	19.35			$	23.98			$	22.54			$	24.59			$	21.02
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.18	^			0.34				0.28				0.26				0.24				0.20				0.19	^			0.36				0.29				0.30				0.05
Net realized and unrealized gain (loss)			3.73				(4.60	)			1.55				(1.22	)			3.27				0.39	(b)			3.74				(4.60	)			1.55				(1.24	)			3.84
Total from investment operations			3.91				(4.26	)			1.83				(0.96	)			3.51				0.59				3.93				(4.24	)			1.84				(0.94	)			3.89
Less distributions to shareholders:
From net investment income			(0.10	)			(0.37	)			(0.23	)			(0.30	)			(0.15	)			(0.09	)*			(0.10	)			(0.39	)			(0.24	)			(0.32	)			(0.17	)
From net realized gains			—				—				(0.16	)			(0.79	)			(0.15	)			—				—				—				(0.16	)			(0.79	)			(0.15	)
Total distributions			(0.10	)			(0.37	)			(0.39	)			(1.09	)			(0.30	)			(0.09	)*			(0.10	)			(0.39	)			(0.40	)			(1.11	)			(0.32	)
Net asset value, end of period		$	23.17			$	19.36			$	23.99			$	22.55			$	24.60			$	21.39			$	23.18			$	19.35			$	23.98			$	22.54			$	24.59
Total Return(c)			20.24	%**			(17.91	)%			8.18	%			(4.01	)%			16.47	%			2.86	%**			20.33	%**			(17.86	)%			8.23	%			(3.95	)%			18.57	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	667,632			$	556,539			$	738,035			$	621,278			$	352,479			$	112,056			$	162,632			$	242,740			$	336,488			$	384,757			$	104,740
Net expenses to average daily net assets(d)			1.06	%*			1.07	%			1.07	%			1.07	%(e)			1.07	%(e)			1.02	%*			0.99	%*			1.00	%			1.00	%			1.00	%(e)			1.00	%*(e)
Net investment income (loss) to average daily net assets(a)			1.69	%*^			1.51	%			1.21	%			1.09	%			1.05	%			1.05	%*			1.79	%*^			1.61	%			1.26	%			1.23	%			0.31	%*
Portfolio turnover rate			145	%(f)**			250	%(g)			204	%			274	%			247	%			459	%**††			145	%(f)**			250	%(g)			204	%			274	%			247	%**†††
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.04	%			0.03	%			0.03	%			0.03	%			0.42	%*			0.03	%*			0.04	%			0.03	%			0.03	%			0.04	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.04			$	0.03			$	0.10			$	0.24			$	0.45			$	0.01			$	0.03			$	0.03			$	0.09			$	0.31

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

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

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

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

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

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 165% of the average value of its portfolio.

^(g)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 189% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

†† Calculation represents portfolio turnover of the Fund for the year ended February 29, 2012.

††† Calculation represents portfolio turnover of the Fund for the year ended February 28, 2013.

* Annualized.

** Not annualized.

^ Net investment income per share class may appear skewed due to timing of purchases and redemptions of Fund shares and their impact on class allocations.

30 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND (continued)

	Class IV Shares																				Class V Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,												Period from May 2, 2012 (commencement of operations) through February 28, 2013				Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,								Period from November 29, 2013 (commencement of operations) through February 28, 2014
					2016				2015				2014												2016				2015
Net asset value, beginning of period		$	19.36			$	24.00			$	22.56			$	24.60			$	22.00			$	19.35			$	23.98			$	22.54			$	24.52
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.20	^			0.36				0.30				0.31				0.14				0.20	^			0.37				0.31				0.01
Net realized and unrealized gain (loss)			3.73				(4.60	)			1.56				(1.23	)			2.78				3.73				(4.59	)			1.55				(1.20	)
Total from investment operations			3.93				(4.24	)			1.86				(0.92	)			2.92				3.93				(4.22	)			1.86				(1.19	)
Less distributions to shareholders:
From net investment income			(0.11	)			(0.40	)			(0.26	)			(0.33	)			(0.17	)			(0.11	)			(0.41	)			(0.26	)			(0.34	)
From net realized gains			—				—				(0.16	)			(0.79	)			(0.15	)			—				—				(0.16	)			(0.45	)
Total distributions			(0.11	)			(0.40	)			(0.42	)			(1.12	)			(0.32	)			(0.11	)			(0.41	)			(0.42	)			(0.79	)
Net asset value, end of period		$	23.18			$	19.36			$	24.00			$	22.56			$	24.60			$	23.17			$	19.35			$	23.98			$	22.54
Total Return(b)			20.35	%**			(17.84	)%			8.29	%			(3.88	)%			13.34	%**			20.36	%**			(17.79	)%			8.32	%			(4.95	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	738,900			$	745,300			$	686,589			$	659,592			$	518,430			$	599,448			$	322,379			$	255,379			$	235,753
Net expenses to average daily net assets(c)			0.95	%*			0.96	%			0.95	%			0.95	%(d)			0.95	%*(d)			0.93	%*			0.94	%			0.93	%			0.94	%*(d)
Net investment income (loss) to average daily net assets(a)			1.83	%*^			1.61	%			1.29	%			1.29	%			0.71	%*			1.83	%*^			1.65	%			1.32	%			0.09	%*
Portfolio turnover rate			145	%(e)**			250	%(f)			204	%			274	%			247	%**†††			145	%(e)**			250	%(f)			204	%			274	%**††††
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.04	%			0.03	%			0.03	%			0.04	%*			0.03	%*			0.04	%			0.03	%			0.06	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.03			$	0.03			$	0.10			$	0.28			$	0.01			$	0.04			$	0.03			$	0.02

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

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

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

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

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 165% of the average value of its portfolio.

^(f)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 189% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

††† Calculation represents portfolio turnover of the Fund for the year ended February 28, 2013.

†††† Calculation represents portfolio turnover of the Fund for the year ended February 28, 2014.

* Annualized.

** Not annualized.

^ Net investment income per share class may appear skewed due to timing of purchases and redemptions of Fund shares and their impact on class allocations.

See accompanying notes to the financial statements. 31

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,																Period from September 19, 2011 (commencement of operations) through February 29, 2012
					2016				2015				2014				2013
Net asset value, beginning of period		$	19.41			$	24.06			$	22.61			$	24.65			$	21.41			$	20.34
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.09	^			0.40				0.31				0.36				0.34				0.10
Net realized and unrealized gain (loss)			3.87				(4.64	)			1.57				(1.28	)			3.22				1.06	(b)
Total from investment operations			3.96				(4.24	)			1.88				(0.92	)			3.56				1.16
Less distributions to shareholders:
From net investment income			(0.07	)			(0.41	)			(0.27	)			(0.33	)			(0.17	)			(0.09	)
From net realized gains			—				—				(0.16	)			(0.79	)			(0.15	)			—
Total distributions			(0.07	)			(0.41	)			(0.43	)			(1.12	)			(0.32	)			(0.09	)
Net asset value, end of period		$	23.30			$	19.41			$	24.06			$	22.61			$	24.65			$	21.41
Total Return(c)			20.40	%**			(17.81	)%			8.37	%			(3.84	)%			16.69	%			5.78	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	11,065			$	9,167			$	605,469			$	546,120			$	654,063			$	418,017
Net expenses to average daily net assets(d)			0.90	%*			0.91	%			0.90	%			0.90	%(e)			0.90	%(e)			0.87	%*(e)
Net investment income (loss) to average daily net assets(a)			0.87	%*			1.79	%			1.34	%			1.47	%			1.50	%			1.10	%*
Portfolio turnover rate			145	%(f)**^			250	%(g)			204	%			274	%			247	%			459	%**††
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.04	%			0.03	%			0.03	%			0.03	%			0.13	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.03			$	0.03			$	0.11			$	0.07			$	0.18

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

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

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

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

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

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 165% of the average value of its portfolio.

^(g)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 189% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

†† Calculation represents portfolio turnover of the Fund for the period from March 1, 2011 through February 29, 2012.

* Annualized.

** Not annualized.

^ Net investment income per share class may appear skewed due to the timing of purchases and redemptions of Fund shares and their impact on class allocations.

32 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND

	Class II Shares																								Class III Shares
	Six Months Ended August 31, 2016 (Unaudited)(a)				Year Ended February 28/29,												Period from August 12, 2009 through February  28, 2013(a)				Year Ended February 29, 2012(a)				Six Months Ended August 31, 2016 (Unaudited)(a)				Year Ended February 28/29,
					2016(a)				2015(a)				2014(a)																2016(a)				2015(a)				2014(a)				2013(a)				2012(a)
Net asset value, beginning of period		$	22.80			$	30.48			$	30.60			$	35.22			$	36.30			$	43.38			$	22.83			$	30.57			$	30.69			$	35.31			$	36.39			$	43.47
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.48				0.72				0.84				0.75				0.66				0.72				0.50				0.66				0.81				0.81				0.72				0.78
Net realized and unrealized gain (loss)			5.63				(7.59	)			0.00	(c)			(4.56	)			(1.05	)			(1.95	)			5.65				(7.56	)			0.06				(4.62	)			(1.08	)			(1.98	)
Total from investment operations			6.11				(6.87	)			0.84				(3.81	)			(0.39	)			(1.23	)			6.15				(6.90	)			0.87				(3.81	)			(0.36	)			(1.20	)
Less distributions to shareholders:
From net investment income			(0.03	)			(0.81	)			(0.96	)			(0.81	)			(0.69	)			(0.63	)			(0.03	)			(0.84	)			(0.99	)			(0.81	)			(0.72	)			(0.66	)
From net realized gains			—				—				—				—				—				(5.22	)			—				—				—				—				—				(5.22	)
Total distributions			(0.03	)			(0.81	)			(0.96	)			(0.81	)			(0.69	)			(5.85	)			(0.03	)			(0.84	)			(0.99	)			(0.81	)			(0.72	)			(5.88	)
Net asset value, end of period		$	28.88			$	22.80			$	30.48			$	30.60			$	35.22			$	36.30			$	28.95			$	22.83			$	30.57			$	30.69			$	35.31			$	36.39
Total Return(d)			26.79	%**			(22.76	)%			2.84	%			(10.92	)%			(1.00	)%			(1.94	)%			26.95	%**			(22.80	)%			2.91	%			(10.87	)%			(0.96	)%			(1.89	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	520,355			$	532,366			$	1,000,299			$	1,308,100			$	2,004,694			$	2,100,382			$	240,351			$	189,907			$	283,712			$	447,963			$	970,102			$	1,334,720
Net expenses to average daily net assets(f)			1.09	%*			1.09	%			1.07	%			1.06	%(e)			1.06	%(e)			1.05	%(e)			1.04	%*			1.04	%			1.02	%			1.01	%(e)			1.01	%(e)			1.00	%(e)
Net investment income (loss) to average daily net assets(b)			3.62	%*			2.57	%			2.66	%			2.33	%			1.97	%			1.88	%			3.77	%*			2.45	%			2.55	%			2.45	%			2.12	%			2.00	%
Portfolio turnover rate			32	%(g)**			104	%(h)			94	%			98	%			119	%			108	%			32	%(g)**			104	%(h)			94	%			98	%			119	%			108	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.03	%			0.03	%			0.03	%			0.03	%			0.03	%			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.04	(a)		$	0.10	(a)		$	0.11	(a)		$	0.10	(a)		$	0.07	(a)		$	0.06	(a)		$	0.04	(a)		$	0.10	(a)		$	0.11	(a)		$	0.09	(a)		$	0.03	(a)		$	0.04	(a)

^(a)  Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

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

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

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

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

^(g)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 42% of the average value of its portfolio.

^(h)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 76% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 33

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class IV Shares																								Class V Shares
	Six Months Ended August 31, 2016 (Unaudited)(a)				Year Ended February 28/29,																				Six Months Ended August 31, 2016 (Unaudited)(a)				Year Ended February 28/29,																Period from February 11, 2005 (commencement of operations) through February 29, 2012(a)
					2016(a)				2015(a)				2014(a)				2013(a)				2012(a)								2016(a)				2015(a)				2014(a)				2013(a)
Net asset value, beginning of period		$	22.65			$	30.30			$	30.45			$	35.04			$	36.09			$	43.20			$	22.59			$	30.24			$	30.39			$	34.98			$	36.03			$	43.17
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.47				0.69				0.84				0.84				0.66				0.78				0.54				0.72				0.87				0.78				0.75				0.78
Net realized and unrealized gain (loss)			5.61				(7.50	)			0.00	(c)			(4.59	)			(0.96	)			(2.01	)			5.54				(7.50	)			0.00	(c)			(4.50	)			(1.05	)			(2.01	)
Total from investment operations			6.08				(6.81	)			0.84				(3.75	)			(0.30	)			(1.23	)			6.08				(6.78	)			0.87				(3.72	)			(0.30	)			(1.23	)
Less distributions to shareholders:
From net investment income			(0.03	)			(0.84	)			(0.99	)			(0.84	)			(0.75	)			(0.66	)			(0.04	)			(0.87	)			(1.02	)			(0.87	)			(0.75	)			(0.69	)
From net realized gains			—				—				—				—				—				(5.22	)			—				—				—				—				—				(5.22	)
Total distributions			(0.03	)			(0.84	)			(0.99	)			(0.84	)			(0.75	)			(5.88	)			(0.04	)			(0.87	)			(1.02	)			(0.87	)			(0.75	)			(5.91	)
Net asset value, end of period		$	28.70			$	22.65			$	30.30			$	30.45			$	35.04			$	36.09			$	28.63			$	22.59			$	30.24			$	30.39			$	34.98			$	36.03
Total Return(d)			26.87	%**			(22.69	)%			2.88	%			(10.81	)%			(0.81	)%			(1.90	)%			26.92	%**			(22.67	)%			2.93	%			(10.74	)%			(0.78	)%			(1.92	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	258,634			$	268,085			$	837,963			$	748,429			$	1,481,411			$	1,816,285			$	412,350			$	269,570			$	170,125			$	406,384			$	677,796			$	662,263
Net expenses to average daily net assets(f)			0.99	%*			0.99	%			0.97	%			0.96	%(e)			0.96	%(e)			0.95	%(e)			0.94	%*			0.94	%			0.92	%			0.91	%(e)			0.91	%(e)			0.90	%(e)
Net investment income (loss) to average daily net assets(b)			3.58	%*			2.55	%			2.64	%			2.57	%			1.99	%			2.00	%			4.06	%*			2.69	%			2.77	%			2.39	%			2.25	%			2.03	%
Portfolio turnover rate			32	%(g)**			104	%(h)			94	%			98	%			119	%			108	%			32	%(g)**			104	%(h)			94	%			98	%			119	%			108	%
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%			0.04	%*			0.04	%			0.04	%			0.04	%			0.04	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.04	(a)		$	0.10	(a)		$	0.11	(a)		$	0.10	(a)		$	0.07	(a)		$	0.05	(a)		$	0.04	(a)		$	0.10	(a)		$	0.10	(a)		$	0.10	(a)		$	0.01	(a)		$	0.01	(a)

^(a)  Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

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

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

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

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

^(g)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 42% of the average value of its portfolio.

^(h)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 76% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

34 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2016 (Unaudited)(a)				Year Ended February 28/29,
					2016(a)				2015(a)				2014(a)				2013(a)				2012(a)
Net asset value, beginning of period		$	22.62			$	30.30			$	30.45			$	35.04			$	36.12			$	43.23
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.50				0.69				0.90				0.78				0.72				0.81
Net realized and unrealized gain (loss)			5.62				(7.50	)			(0.03	)(c)			(4.47	)			(1.02	)			(2.01	)
Total from investment operations			6.12				(6.81	)			0.87				(3.69	)			(0.30	)			(1.20	)
Less distributions to shareholders:
From net investment income			(0.04	)			(0.87	)			(1.02	)			(0.90	)			(0.78	)			(0.69	)
From net realized gains			—				—				—				—				—				(5.22	)
Total distributions			(0.04	)			(0.87	)			(1.02	)			(0.90	)			(0.78	)			(5.91	)
Net asset value, end of period		$	28.70			$	22.62			$	30.30			$	30.45			$	35.04			$	36.12
Total Return(d)			27.07	%**			(22.71	)%			2.96	%			(10.69	)%			(0.82	)%			(1.81	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,755,303			$	3,661,271			$	5,194,557			$	5,220,293			$	5,673,002			$	5,082,437
Net expenses to average daily net assets(f)			0.91	%*			0.91	%			0.89	%			0.88	%(e)			0.88	%(e)			0.87	%(e)
Net investment income (loss) to average daily net assets(b)			3.81	%*			2.61	%			2.79	%			2.43	%			2.12	%			2.11	%
Portfolio turnover rate			32	%(g)**			104	%(h)			94	%			98	%			119	%			108	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.04	%			0.04	%			0.04	%			0.04	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.04	(a)		$	0.09	(a)		$	0.11	(a)		$	0.10	(a)		$	0.07	(a)		$	0.07	(a)

^(a)  Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

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

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

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

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

^(g)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 42% of the average value of its portfolio.

^(h)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 76% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 35

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

TAIWAN FUND

	Class III Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
					2016				2015				2014				2013				2012
Net asset value, beginning of period		$	16.97			$	22.52			$	21.30			$	20.43			$	21.60			$	23.85
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.58				0.56				0.46				0.17				0.34				0.73
Net realized and unrealized gain (loss)			2.31				(4.70	)			1.38				0.90				(0.87	)(b)			(1.04	)
Total from investment operations			2.89				(4.14	)			1.84				1.07				(0.53	)			(0.31	)
Less distributions to shareholders:
From net investment income			(0.08	)			(0.48	)			(0.51	)			(0.20	)			(0.23	)			(1.09	)
From net realized gains			—				(0.93	)			(0.11	)			—				(0.41	)			(0.85	)
Total distributions			(0.08	)			(1.41	)			(0.62	)			(0.20	)			(0.64	)			(1.94	)
Net asset value, end of period		$	19.78			$	16.97			$	22.52			$	21.30			$	20.43			$	21.60
Total Return(c)			17.09	%**			(19.02	)%			8.75	%			5.26	%			(2.25	)%			0.15	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	113,378			$	91,548			$	117,745			$	151,393			$	56,283			$	74,971
Net expenses to average daily net assets(d)			1.32	%*			1.33	%			1.27	%			1.35	%(e)			1.38	%(e)			1.36	%
Net investment income (loss) to average daily net assets(a)			6.22	%*			2.88	%			2.01	%			0.82	%			1.71	%			3.16	%
Portfolio turnover rate			55	%(f)**			90	%(g)			134	%			201	%			156	%			105	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			—				—				—				—				0.00	%(h)			—
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.04			$	0.03			$	0.06			$	0.03			$	0.04			$	0.08

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

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

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

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

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

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 61% of the average value of its portfolio.

^(g)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 77% of the average value of its portfolio.

^(h)  Ratio is less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

36 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

August 31, 2016 (Unaudited)

1. Organization

Each of Emerging Countries Fund, Emerging Domestic Opportunities Fund, Emerging Markets Fund, and Taiwan Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

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

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

Fund Name	Benchmark	Investment Objective
Emerging Countries Fund	S&P/IFCI Composite Index	Total return in excess of benchmark
Emerging Domestic Opportunities Fund	Not Applicable	Total Return
Emerging Markets Fund	S&P/IFCI Composite Index	Total return in excess of benchmark
Taiwan Fund	MSCI Taiwan Index	Total return in excess of benchmark

Taiwan Fund currently limits subscriptions.

2. Significant accounting policies

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

Portfolio valuation

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event 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. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted 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 or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2016, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets which 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 valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2016. These securities listed on foreign exchanges (including the

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August 31, 2016 (Unaudited)

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 quoted price 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 the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

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 August 31, 2016 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%		81%
Emerging Domestic Opportunities Fund		—		80%
Emerging Markets Fund		<1%		90%
Taiwan Fund		<1%		90%

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 methodologies 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 August 31, 2016, 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.

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August 31, 2016 (Unaudited)

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2016:

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.

Description	Level 1		Level 2		Level 3			Total
Emerging Countries Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	114,810	$	226,089	$	—		$	340,899
Chile		35,651		2,947		—			38,598
China		830,645		4,024,345		—			4,854,990
Czech Republic		—		169,282		—			169,282
Egypt		—		46,439		—			46,439
Greece		—		179,744		—			179,744
India		45,981		3,040,160		—			3,086,141
Indonesia		—		179,822		—			179,822
Malaysia		—		65,485		—			65,485
Mexico		352,333		—		—			352,333
Philippines		—		118,068		—			118,068
Poland		—		7,157		—			7,157
Qatar		—		28,975		—			28,975
Russia		564,481		1,678,318		—			2,242,799
South Africa		—		169,072		11			169,083
South Korea		—		3,527,218		—			3,527,218
Switzerland		20,524		—		—			20,524
Taiwan		404,820		4,726,750		0	§		5,131,570
Thailand		—		296,814		—			296,814
Turkey		19,090		503,953		—			523,043
United Kingdom		—		38,932		—			38,932
TOTAL COMMON STOCKS		2,388,335		19,029,570		11			21,417,916
Preferred Stocks
Brazil		97,547		368,662		—			466,209
Russia		—		428,188		—			428,188
South Korea		—		598,547		—			598,547
TOTAL PREFERRED STOCKS		97,547		1,395,397		—			1,492,944
Investment Funds
Thailand		—		161,678		—			161,678
United States		1,602,352		—		—			1,602,352
TOTAL INVESTMENT FUNDS		1,602,352		161,678		—			1,764,030
Rights/Warrants
Thailand		406		—		—			406
TOTAL RIGHTS/WARRANTS		406		—		—			406

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Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Emerging Countries Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	265,993	$	—	$	—	$	265,993
TOTAL MUTUAL FUNDS		265,993		—		—		265,993
Short-Term Investments		29,381		—		—		29,381
Total Investments		4,384,014		20,586,645		11		24,970,670
Total	$	4,384,014	$	20,586,645	$	11	$	24,970,670
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	59,613,617	$	—	$	59,613,617
Chile		6,700,624		—		—		6,700,624
China		71,581,545		300,051,931		—		371,633,476
India		—		574,394,694		—		574,394,694
Indonesia		—		90,525,085		—		90,525,085
Malaysia		—		19,038,505		—		19,038,505
Mexico		68,681,488		—		—		68,681,488
Philippines		—		138,106,918		—		138,106,918
Qatar		—		25,868,859		—		25,868,859
Russia		—		56,862,683		—		56,862,683
South Africa		—		3,089,046		—		3,089,046
Taiwan		—		67,919,559		—		67,919,559
Thailand		—		151,366,722		—		151,366,722
Turkey		—		15,006,516		—		15,006,516
United Kingdom		—		54,100,256		—		54,100,256
Vietnam		—		49,906,312		—		49,906,312
TOTAL COMMON STOCKS		146,963,657		1,605,850,703		—		1,752,814,360
Preferred Stocks
Brazil		—		34,016,699		—		34,016,699
TOTAL PREFERRED STOCKS		—		34,016,699		—		34,016,699
Investment Funds
Brazil		34,230,624		—		—		34,230,624
China		82,980,885		16,369,718		—		99,350,603
Mexico		20,839,063		—		—		20,839,063
Thailand		—		82,087,062		—		82,087,062
United States		36,873,821		—		—		36,873,821
TOTAL INVESTMENT FUNDS		174,924,393		98,456,780		—		273,381,173
Rights/Warrants
China		—		8,082,250		—		8,082,250
TOTAL RIGHTS/WARRANTS		—		8,082,250		—		8,082,250
Mutual Funds
United States		22,058,883		—		—		22,058,883
TOTAL MUTUAL FUNDS		22,058,883		—		—		22,058,883
Fully Funded Total Return Swaps		—		36,263,474		—		36,263,474
Short-Term Investments		28,837,621		—		—		28,837,621
Total Investments		372,784,554		1,782,669,906		—		2,155,454,460

40

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Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Description	Level 1		Level 2			Level 3		Total
Emerging Domestic Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	148,648		$	—	$	148,648
Futures Contracts
Equity Risk		—		412,522			—		412,522
Total	$	372,784,554	$	1,783,231,076		$	—	$	2,156,015,630
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(417,915	)	$	—	$	(417,915	)
Futures Contracts
Equity Risk		—		(2,025,439	)		—		(2,025,439	)
Swap Contracts
Equity Risk		—		(645,978	)		—		(645,978	)
Total	$	—	$	(3,089,332	)	$	—	$	(3,089,332	)
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	212,742,073		$	—	$	212,742,073
Chile		10,485,132		3,847,719			—		14,332,851
China		119,514,778		879,322,489			—		998,837,267
Czech Republic		—		4,918,488			—		4,918,488
Egypt		—		13,355,602			—		13,355,602
Greece		396,682		40,380,584			—		40,777,266
India		—		663,353,025			34,257,554		697,610,579
Indonesia		—		27,943,616			39,683		27,983,299
Malaysia		—		5,903,627			—		5,903,627
Mexico		82,842,267		—			—		82,842,267
Philippines		—		36,625,641			—		36,625,641
Poland		—		15,343,551			—		15,343,551
Qatar		—		9,223,353			—		9,223,353
Russia		129,440,835		306,942,857			—		436,383,692
South Africa		—		78,409,897			637		78,410,534
South Korea		—		759,444,174			—		759,444,174
Sri Lanka		—		1,501,033			—		1,501,033
Taiwan		29,276,010		1,099,083,714			—		1,128,359,724
Thailand		—		68,303,376			—		68,303,376
Turkey		1,769,560		115,571,918			—		117,341,478
United Arab Emirates		—		16,217,800			—		16,217,800
United Kingdom		1,276,300		8,186,862			—		9,463,162
Vietnam		—		10,476,545			—		10,476,545
TOTAL COMMON STOCKS		375,001,564		4,377,097,944			34,297,874		4,786,397,382

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Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Description	Level 1		Level 2			Level 3		Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil	$	15,391,527	$	46,077,094		$	—	$	61,468,621
Russia		61,105		110,767,788			—		110,828,893
South Korea		—		107,966,860			—		107,966,860
TOTAL PREFERRED STOCKS		15,452,632		264,811,742			—		280,264,374
Investment Funds
India		—		—			5,900,069		5,900,069
Poland		—		—			141,979		141,979
Russia		—		—			2,332,002		2,332,002
Thailand		—		17,416,454			—		17,416,454
United States		3,019,241		—			—		3,019,241
TOTAL INVESTMENT FUNDS		3,019,241		17,416,454			8,374,050		28,809,745
Rights/Warrants
Brazil		149,347		—			—		149,347
Thailand		221,330		—			—		221,330
TOTAL RIGHTS/WARRANTS		370,677		—			—		370,677
Mutual Funds
United States		74,603,230		—			—		74,603,230
TOTAL MUTUAL FUNDS		74,603,230		—			—		74,603,230
Short-Term Investments		9,719,466		—			—		9,719,466
Total Investments		478,166,810		4,659,326,140			42,671,924		5,180,164,874
Derivatives^
Swap Contracts
Equity Risk		—		5,725			—		5,725
Total	$	478,166,810	$	4,659,331,865		$	42,671,924	$	5,180,170,599
Liability Valuation Inputs
Derivatives^
Swap Contracts
Equity Risk	$	—	$	(221,654	)	$	—	$	(221,654	)
Total	$	—	$	(221,654	)	$	—	$	(221,654	)
Taiwan Fund
Asset Valuation Inputs
Common Stocks
Taiwan	$	4,259,859	$	102,225,668		$	—	$	106,485,527
TOTAL COMMON STOCKS		4,259,859		102,225,668			—		106,485,527
Investment Funds
Taiwan		4,967,742		—			—		4,967,742
TOTAL INVESTMENT FUNDS		4,967,742		—			—		4,967,742
Mutual Funds
United States		1,228,253		—			—		1,228,253
TOTAL MUTUAL FUNDS		1,228,253		—			—		1,228,253
Short-Term Investments		158,035		—			—		158,035
Total Investments		10,613,889		102,225,668			—		112,839,557
Total	$	10,613,889	$	102,225,668		$	—	$	112,839,557

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Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

^ 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. Excludes purchased and options fully funded total return swaps, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at August 31, 2016.

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

For all Funds for the period ended August 31, 2016, there were no significant 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 29, 2016		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3†		Transfer out of Level 3†		Balances as of August 31, 2016		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August  31, 2016
Emerging Countries Fund
Common Stocks
South Africa	$	10	$	—	$	—		$	—	$	—		$	1		$	—	$	—	$	11	$	1
Total	$	10	$	—	$	—		$	—	$	—		$	1		$	—	$	—	$	11	$	1
Emerging Markets Fund
Common Stocks
India	$	27,968,473	$	—	$	—		$	—	$	—		$	6,289,081		$	—	$	—	$	34,257,554	$	6,289,081
Indonesia		39,366		—		—			—		—			317			—		—		39,683		317
South Africa		590		—		—			—		—			47			—		—		637		47
Total Common Stocks	$	28,008,429	$	—	$	—		$	—	$	—		$	6,289,445		$	—	$	—	$	34,297,874	$	6,289,445
Investment Funds
China	$	369,539	$	—	$	(381,966	)	$	—	$	(37,678	)	$	50,105		$	—	$	—	$	—	$	—
India		7,348,647		—		—			—		—			(1,448,578	)		—		—		5,900,069		(1,448,578	)
Poland		185,987		—		—			—		—			(44,008	)		—		—		141,979		(44,008	)
Russia		3,053,171		—		—			—		—			(721,169	)		—		—		2,332,002		(721,169	)
Total Investment Funds	$	10,957,344	$	—	$	(381,966	)	$	—	$	(37,678	)	$	(2,163,650	)	$	—	$	—	$	8,374,050	$	(2,213,755	)
Total	$	38,965,773	$	—	$	(381,966	)	$	—	$	(37,678	)	$	4,125,795		$	—	$	—	$	42,671,924	$	4,075,690

† 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.

43

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

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 August 31, 2016 were as follows:

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

Cash

Cash and foreign currency, if any, on the Statements of Assets and Liabilities consist of cash balances held with the custodian.

Due to/from broker

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

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

Taxes and distributions

Each Fund has elected to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

The policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2016, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.

Certain Funds have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by member states of the European Union. Generally, the amount of such refunds that a Fund reasonably determines are collectible and free from significant contingencies are reflected in a Fund’s net asset value and are reflected as Dividends from unaffiliated issuers in the Statements of Operations. In certain circumstances, a Fund’s receipt of such refunds may cause the Fund and/or its shareholders to be liable for U.S. federal income taxes and interest charges.

Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

44

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

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

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

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

As of February 29, 2016, certain Funds elected to defer to March 1, 2016 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)		Post- October Capital Losses ($)
Emerging Countries Fund		(75,441)		(1,855,182)
Emerging Domestic Opportunities Fund		—		(143,689,864)
Emerging Markets Fund		(20,216,128)		(457,668,763)
Taiwan Fund		(60,118)		(4,835,338)

As of February 29, 2016, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses and losses realized subsequent to February 29, 2016, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

	Short-Term ($)		Long-Term ($)
Fund Name	No Expiration Date		No Expiration Date
Emerging Countries Fund		(6,037,575)		(15,509,912)
Emerging Domestic Opportunities Fund		(68,958,572)		—
Emerging Markets Fund		(301,002,474)		(847,847,943)
Taiwan Fund		(1,362,771)		—

As of August 31, 2016, 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		25,813,589		2,762,320		(3,605,239)		(842,919	)
Emerging Domestic Opportunities Fund		2,006,453,697		218,146,916		(69,146,153)		149,000,763
Emerging Markets Fund		5,032,073,316		558,215,905		(410,124,347)		148,091,558
Taiwan Fund		115,173,096		4,354,822		(6,688,361)		(2,333,539	)

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such

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

Security transactions and related investment income

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

Expenses and class allocations

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

Brown Brothers Harriman & Co. (“BBH”) serves as the Funds’ custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Funds’ transfer agent. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

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

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

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

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August 31, 2016 (Unaudited)

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

As of August 31, 2016, the premium on cash purchases and the fee on cash redemptions were as follows:

	Emerging Countries Fund	Emerging Domestic Opportunities Fund	Emerging Markets Fund	Taiwan Fund
Purchase Premium	—	0.80%	0.80%	0.15%
Redemption Fee	—	0.80%	0.80%	0.45%

Other matters

Emerging Markets Fund (“EMF”)

Indian regulators alleged in 2002 that EMF violated some conditions under which it was granted permission to operate in India and have restricted 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 0.08% of the Fund’s total net assets as of August 31, 2016. 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 GMO Trust’s Board of Trustees. Any costs in respect of this matter will be borne by EMF.

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August 31, 2016 (Unaudited)

3. Investment and other risks

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

	Emerging Countries Fund	Emerging Domestic Opportunities Fund	Emerging Markets Fund	Taiwan Fund
Counterparty Risk	X	X	X	X
Credit Risk		X
Currency Risk	X	X	X	X
Derivatives and Short Sales Risk	X	X	X	X
Focused Investment Risk	X	X	X	X
Fund of Funds Risk	X	X	X	X
Illiquidity Risk	X	X	X	X
Large Shareholder Risk	X	X	X	X
Leveraging Risk	X	X	X	X
Management and Operational Risk	X	X	X	X
Market Disruption and Geopolitical Risk	X	X	X	X
Market Risk – Equities	X	X	X	X
Market Risk – Fixed Income Investments		X
Non-Diversified Funds	X	X	X	X
Non-U.S. Investment Risk	X	X	X	X
Small Company Risk	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 or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the 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 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.

• 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. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws or other requirements. The Funds are not subject to

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August 31, 2016 (Unaudited)

any limits on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (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 during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms 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. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty if the transaction is primarily designed to reduce the Fund’s overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty).

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 will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” 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. 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. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, with respect to counterparties who are subject to such proceedings in the European Union, the liabilities of such counterparties to the Funds could be reduced, eliminated, or converted to equity in such counterparties (sometimes referred to as a “bail in”).

• 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 in anticipation of such failure, or the downgrade of the credit rating of the investment. 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, a government or government entity, 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 term 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 or quasi-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

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governmental entity’s ability and willingness 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.

Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led to a downgrade in the long-term credit rating of U.S. bonds by several major rating agencies and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the value of a Fund’s investments and increase the volatility of a Fund’s portfolio.

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 and Short Sales Risk” 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 many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or a change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.

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 or other low quality debt securities generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. 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 assessment of the eventual recovery value of a distressed or defaulted debt security proves incorrect, a Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.

• 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 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 currency in which the Fund is denominated. 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 on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”

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

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 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”).

• DERIVATIVES AND SHORT SALES 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 their value may not change 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 OTC contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, and indices.

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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 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 cost 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 fundamental fair (or 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 a greater risk of not being able to recover what it is owed if the counterparty defaults. Even when derivatives are required by contract to be collateralized, a Fund typically will not receive the collateral for one or more days after the collateral is required to be posted.

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”) and counterparty risk (see “Counterparty Risk”). These derivatives are also subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. 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.”

A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives may be unclear because there is little case or other law interpreting the terms of most derivatives or determining their tax treatment. In addition, the Securities and Exchange Commission recently proposed a rule under the 1940 Act regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.

Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) are implementing similar requirements, which will affect a Fund when it enters into a derivatives transaction with a counterparty organized in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear.

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

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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, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in margin requirements above those required at the outset 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 margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk”). 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. Also, such documentation typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks may be 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), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components 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.

The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. GMO expects that the Funds’ transactions will become subject to variation margin requirements under such rules in 2017 and initial margin requirements under such rules in 2020. Such requirements could increase the amount of margin a Fund needs to provide in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.

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 or otherwise limiting liquidity. The implementation of the clearing requirement has increased the costs of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they have historically posted for bilateral derivatives. The costs of derivatives transactions are expected to increase further as clearing members raise their fees to cover the costs of additional capital requirements and other regulatory changes applicable to the clearing members, which will take effect when rules imposing mandatory minimum margin requirements on bilateral swaps, as described above, become effective. 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. The Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration;

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changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. 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 before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk 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 will likely constitute such a group. When applicable, these limits 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 taxes payable by shareholders. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to consist of amounts taxable to shareholders subject to U.S. income tax at ordinary income tax rates. See the Funds’ Prospectus and Statement of Additional Information for more information.

Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own also may have to pay borrowing fees to a broker and may be required to pay the broker any dividends or interest it receives on a borrowed security.

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.

• FOCUSED INVESTMENT RISK. Funds with investments that are focused in particular countries, regions, sectors, industries or issuers that are subject to the same or similar risk factors and funds with investments whose prices are closely correlated are subject to greater overall risk than funds with investments that are more diversified or whose prices are not as closely correlated.

A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of particular securities than Funds investing in the securities of a larger number of issuers. 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 (or related) to a particular geographic region, country (e.g., Taiwan or Japan), or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) 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 the value of the currency of 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”.

• FUND OF FUNDS RISK. Funds that invest in Underlying Funds (including underlying GMO Funds) are exposed to the risk that the Underlying Funds will not perform as expected. The Funds are also indirectly exposed to all of the risks to which the Underlying Funds are exposed.

Because a Fund bears the fees and expenses of an Underlying Fund in which it invests, absent reimbursement, the Fund will incur additional expenses when investing in an Underlying Fund. 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.

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In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk because those underlying GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”

Investments in ETFs involve the risk that an 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 in “Derivatives and Short Sales Risk.”

A Fund’s investments in one or more Underlying Funds could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.

• 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, defaulted or other low quality debt securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float adjusted 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 price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, 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.

A Fund may buy securities that are less liquid than those in its benchmark.

A Fund’s ability to use options as part of its investment program depends on the liquidity of the options market. In addition, that market may not be liquid when a 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 a 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 a Fund receives a redemption request and is unable to close out an option it has sold, the Fund may temporarily be leveraged in relation to its assets.

• LARGE SHAREHOLDER RISK. To the extent 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, potentially at disadvantageous prices, 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. The 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 Fund shareholders. Additionally, redemptions by a large shareholder 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, to the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this 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.

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• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO 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 many Funds, GMO often uses quantitative models as part of its investment process. GMO’s models are not necessarily predictive of future market events and use simplifying assumptions that can limit their effectiveness. In addition, the data on which the models are based is subject to limitations (e.g. inaccuracies, staleness) that could adversely affect a Fund’s performance. The Funds also run the risk that GMO’s assessment of an investment (including a company’s fundamental fair (or intrinsic) value) 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 could prevent a Fund from benefiting from potential investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value (“NAV”) for a Fund or share class on a timely basis. 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 contractual limitations on their liability to the Funds for losses resulting from their errors.

The Funds and their service providers (including GMO) are susceptible to cyber-attacks and technological malfunctions that may have effects that are similar to those of a cyber-attack. 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 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 or misappropriation 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, such plans and systems are subject to inherent limitations. 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.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or other economic inputs (e.g., the marked decline in oil prices that began in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries, which could significantly reduce the value of a 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 manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trading practices, which could disrupt the orderly functioning of markets or reduce the value of investments traded in them, including investments of the Funds. Instances of fraud and other deceptive practices committed by senior management of certain companies in which a Fund invests may undermine GMO’s due diligence efforts with respect to such companies, and if such fraud is discovered, negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively impact a Fund’s investment program. Financial fraud also may impact the rates or indices underlying a Fund’s investments.

While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce 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 adversely 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. Uncertainty surrounding the sovereign debt of several European Union countries, as well as the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or leaves the European Union or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could adversely 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,

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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 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.

• 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 price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the company’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from 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 their market prices can decline in a rapid or unpredictable manner. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as determined by GMO, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment of the equity’s fundamental fair (or intrinsic) value. 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 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 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 below investment grade securities 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 price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” 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. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.

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, are subject to additional interest rate risk.

The market price of inflation-indexed bonds (including TIPS) typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases 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.

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.

Fixed income securities denominated in foreign currencies also are subject to currency risk. See “Currency Risk”.

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In response to government intervention, economic or market developments, or other factors, fixed income markets may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling 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.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of 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 are not diversified investment companies within the meaning of the 1940 Act.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Non-U.S. securities markets often include securities of only a small 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 as much regulation as U.S. issuers, and 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 may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek 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 seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if eligible. The outcome of a Fund’s efforts to obtain a refund may be unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until the Fund determines there is a high likelihood the refund will be received. For information on possible special Singapore tax consequences of an investment in the Funds, see the Funds’ Prospectus and Statement of Additional Information for more information.

Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, other government involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises), 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. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities 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 affect the market value of a Fund’s non-U.S. investments (see

“Currency Risk”).

The Funds need a license to invest directly in many non-U.S. securities 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 to invest in a particular market is terminated or suspended, to obtain exposure to that 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 a GMO client 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 or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises); 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

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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 enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may be predominantly based on only a few industries or dependent on revenues from particular commodities.

• SMALL COMPANY RISK. Companies with smaller market capitalizations may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, may have inexperienced managers or may depend on a smaller group of key employees as compared to larger companies. 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.

Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and 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.

4. Derivative financial instruments

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices that are used, 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 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 currencies in which its 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.

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For Funds that held derivatives during the period ended August 31, 2016, 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
Forward currency contracts
Hedge foreign currency exposure in the underlying funds’ investments relative to the U.S. dollar				X
Futures contracts
Adjust exposure to certain securities markets				X
Options (Written)
Substitute for direct equity investment		X		X		X
Income enhancement on securities held in the portfolio				X
Swap contracts
Substitute for direct equity investment				X		X
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 settled.

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 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 value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the

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

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

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

For the period ended August 31, 2016, 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
Emerging Countries Fund
Outstanding, beginning of period		—		—	$	—		—		8		$	3,828
Options written		—		—		—		—		22			17,772
Options bought back		—		—		—		—		(30	)		(21,600	)
Options expired		—		—		—		—		—			—
Options exercised		—		—		—		—		—			—
Outstanding, end of period		—		—	$	—		—		—		$	—
Emerging Domestic Opportunities Fund
Outstanding, beginning of period		—		—	$	—		—		9,647		$	4,967,831
Options written		—		—		—		—		16,582			12,785,715
Options bought back		—		—		—		—		(26,229	)		(17,753,546	)
Options expired		—		—		—		—		—			—
Options exercised		—		—		—		—		—			—
Outstanding, end of period		—		—	$	—		—		—		$	—
Emerging Markets Fund
Outstanding, beginning of period		—		—	$	—		—		1,732		$	989,969
Options written		—		—		—		—		5,695			4,257,657
Options bought back		—		—		—		—		(7,427	)		(5,247,626	)
Options expired		—		—		—		—		—			—
Options exercised		—		—		—		—		—			—
Outstanding, end of period		—		—	$	—		—		—		$	—

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

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation 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 in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.

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

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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.

The risks referenced in the tables below 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 Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2016 and the Statements of Operations for the period ended August 31, 2016^:

	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Emerging Countries Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	406		$	—	$	—	$	—	$	406
Total	$	—	$	406		$	—	$	—	$	—	$	406
Derivatives not subject to Master Agreements	$	—	$	406		$	—	$	—	$	—	$	406
Total subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—
Net Realized Gain (Loss) on
Written Options	$	—	$	(415	)	$	—	$	—	$	—	$	(415	)
Total	$	—	$	(415	)	$	—	$	—	$	—	$	(415	)
Change in Net Unrealized Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	854		$	—	$	—	$	—	$	854
Written Options		—		(1,260	)		—		—		—		(1,260	)
Total	$	—	$	(406	)	$	—	$	—	$	—	$	(406	)

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	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Emerging Domestic Opportunities Fund
Asset Derivatives
Investments, at value (rights and/or warrants, fully funded total return swaps)	$	—	$	44,345,724		$	—		$	—	$	—	$	44,345,724
Unrealized Appreciation on Forward Currency Contracts		—		—			148,648			—		—		148,648
Unrealized Appreciation on Futures Contracts¤		—		412,522			—			—		—		412,522
Total	$	—	$	44,758,246		$	148,648		$	—	$	—	$	44,906,894
Derivatives not subject to Master Agreements	$	—	$	8,082,250		$	—		$	—	$	—	$	8,082,250
Total subject to Master Agreements	$	—	$	36,675,996		$	148,648		$	—	$	—	$	36,824,644
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(417,915	)	$	—	$	—	$	(417,915	)
Unrealized Depreciation on Futures Contracts¤		—		(2,025,439	)		—			—		—		(2,025,439	)
Unrealized Depreciation on Swap Contracts¤		—		(645,978	)		—			—		—		(645,978	)
Total	$	—	$	(2,671,417	)	$	(417,915	)	$	—	$	—	$	(3,089,332	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	(2,671,417	)	$	(417,915	)	$	—	$	—	$	(3,089,332	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—		$	(7,467,329	)	$	—	$	—	$	(7,467,329	)
Futures Contracts		—		(4,936,801	)		—			—		—		(4,936,801	)
Written Options		—		220,020			—			—		—		220,020
Swap Contracts		—		(2,487,402	)		—			—		—		(2,487,402	)
Total	$	—	$	(7,204,183	)	$	(7,467,329	)	$	—	$	—	$	(14,671,512	)
Change in Net Unrealized Appreciation (Depreciation) on
Investments (rights and/or warrants, fully funded total return swaps)	$	—	$	1,193,817		$	—		$	—	$	—	$	1,193,817
Forward Currency Contracts		—		—			1,762,081			—		—		1,762,081
Futures Contracts		—		(4,387,207	)		—			—		—		(4,387,207	)
Written Options		—		(1,716,561	)		—			—		—		(1,716,561	)
Swap Contracts		—		(779,700	)		—			—		—		(779,700	)
Total	$	—	$	(5,689,651	)	$	1,762,081		$	—	$	—	$	(3,927,570	)
Emerging Markets Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	370,677		$	—		$	—	$	—	$	370,677
Unrealized Appreciation on Swap Contracts¤		—		5,725			—			—		—		5,725
Total	$	—	$	376,402		$	—		$	—	$	—	$	376,402
Derivatives not subject to Master Agreements	$	—	$	370,677		$	—		$	—	$	—	$	370,677
Total subject to Master Agreements	$	—	$	5,725		$	—		$	—	$	—	$	5,725
Liability Derivatives
Unrealized Depreciation on Swap Contracts¤	$	—	$	(221,654	)	$	—		$	—	$	—	$	(221,654	)
Total	$	—	$	(221,654	)	$	—		$	—	$	—	$	(221,654	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	(221,654	)	$	—		$	—	$	—	$	(221,654	)

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	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Emerging Markets Fund (continued)
Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	29,339		$	—	$	—	$	—	$	29,339
Written Options		—		53,298			—		—		—		53,298
Swap Contracts		—		(3,709,306	)		—		—		—		(3,709,306	)
Total	$	—	$	(3,626,669	)	$	—	$	—	$	—	$	(3,626,669	)
Change in Net Unrealized Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	125,003		$	—	$	—	$	—	$	125,003
Written Options		—		(363,121	)		—		—		—		(363,121	)
Swap Contracts		—		(381,375	)		—		—		—		(381,375	)
Total	$	—	$	(619,493	)	$	—	$	—	$	—	$	(619,493	)

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

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

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because the Funds do not presently have a legally enforceable right of set-off, these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be made by a Fund in such an event is represented by the unrealized amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.

For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2016, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2016:

Emerging Domestic Opportunities Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Barclays Bank plc	$	148,648	$	—		$	148,648		$	—
Goldman Sachs International		36,263,474		(35,617,496	)		(645,978	)		—	*
Total	$	36,412,122	$	(35,617,496	)	$	(497,330	)	$	—

64

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank plc	$	417,915	$	(269,267	)	$	(148,648	)	$	—	*
Goldman Sachs International		645,978		—			645,978			—
Total	$	1,063,893	$	(269,267	)	$	497,330		$	—

Emerging Markets Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Morgan Stanley & Co. International PLC	$	5,725	$	—	$	5,725		$	—
Total	$	5,725	$	—	$	5,725		$	—
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Morgan Stanley & Co. International PLC	$	221,654	$	—	$	(5,725	)	$	215,929	*
Total	$	221,654	$	—	$	(5,725	)	$	215,929

* The actual collateral received and/or pledged is more than the amount shown.

The average derivative activity of notional amounts (forward currency contracts, futures contracts, swap contracts), market values (rights and/or warrants), and number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2016:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)			Options (Contracts)		Rights and/or Warrants ($)
Emerging Countries Fund		—		—		—			2		350
Emerging Domestic Opportunities Fund		1,074,043,147		150,864,463		24,857,341	*		3,138		5,435,773
Emerging Markets Fund		—		—		27,509,231			705		248,778

* Includes fully funded total return swap average derivative activity for the period ended August 31, 2016.

65

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

5. Fees and other transactions with affiliates

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

	Emerging Countries Fund	Emerging Domestic Opportunities Fund	Emerging Markets Fund	Taiwan Fund
Management Fee	0.65%	0.75%	0.75%	0.81%

In addition, each class of shares of the Funds pays GMO directly or indirectly a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholderservice fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:

Fund Name	Class II		Class III		Class IV		Class V		Class VI
Emerging Countries Fund				0.15%
Emerging Domestic Opportunities Fund		0.22%		0.15%		0.105%		0.085%		0.055%
Emerging Markets Fund		0.22%		0.15%		0.105%		0.085%		0.055%
Taiwan Fund				0.15%

For each Fund, other than Emerging Countries Fund and Taiwan Fund, GMO has contractually agreed to reimburse each Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO. For Emerging Countries Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.35% of the Fund’s average daily net assets.

Subject to the exclusions noted below, “Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses; provided, however, that in the case of Emerging Markets Fund, “Specified Operating Expenses” does not include custody expenses, and in the case of Emerging Domestic Opportunities Fund, “Specified Operating Expenses” only includes custody expenses to the

extent that they exceed 0.10% of the Fund’s average daily net assets.

For each Fund that pays GMO a management fee, GMO has contractually agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.

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

66

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

In addition, for Emerging Markets Fund only, GMO has contractually agreed to waive the shareholder service fees charged to holders of each class of shares of the Fund to the extent necessary to prevent the shareholder service fees borne by each class of shares of the Fund from exceeding the percentage of the class’s average daily net assets as follows: 0.20% for Class II shares, 0.15% for Class III shares, 0.10% of Class IV shares, 0.05% for Class V shares, and 0.02% for Class VI shares.

These contractual waivers and reimbursements will continue through at least June 30, 2017 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.

The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2016 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Emerging Countries Fund		221		2
Emerging Domestic Opportunities Fund		15,409		1,564
Emerging Markets Fund		38,840		4,140
Taiwan Fund		644		5

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2016 these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:

Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Total Indirect Expenses
Emerging Countries Fund		<0.001%		0.000%		<0.001%
Emerging Domestic Opportunities Fund		<0.001%		0.000%		<0.001%
Emerging Markets Fund		<0.001%		0.000%		<0.001%
Taiwan Fund		<0.001%		0.000%		<0.001%

The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to insure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 2016, the Funds did not engage in these transactions.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, for the period ended August 31, 2016 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Emerging Countries Fund		$        —		$10,096,499		$        —		$10,461,443
Emerging Domestic Opportunities Fund		—		3,326,027,901		—		3,388,178,831
Emerging Markets Fund		—		2,138,567,162		—		2,973,123,579
Taiwan Fund		—		64,861,839		—		55,029,089

67

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

7. Guarantees

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

8. Principal shareholders and related parties as of August 31, 2016

Fund Name*	Number of shareholders that held more than 10% of the outstanding shares of the  Fund			Percentage of outstanding shares of the Fund held by those shareholders owning greater  than 10% of the outstanding shares of the Fund		Percentage of the shares of the Fund held by senior management of GMO and GMO  Trust officers		Percentage of the Fund’s shares held by accounts for which GMO has investment discretion
Emerging Countries Fund		4	†		90.62%		0.36%		42.46%
Emerging Domestic Opportunities Fund		3			34.68%		0.30%		—
Emerging Markets Fund		1	‡		12.13%		0.76%		69.61%
Taiwan Fund		1			100.00%		—		100.00%

* With the exception of Taiwan Fund, each Fund’s outstanding shares were owned by more than 10 shareholders as of August 31, 2016.

† One of the shareholders is another fund managed by GMO.

‡ One of the shareholders is another fund of the Trust.

9. Share transactions

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

	Six Months Ended August 31, 2016 (Unaudited)						Year Ended February 29, 2016
	Shares			Amount			Shares			Amount
Emerging Countries Fund
Class III:#
Shares sold		5,684		$	132,380			60,670		$	1,588,367
Shares issued to shareholders in reinvestment of distributions		—			—			47,190			1,028,733
Shares repurchased		(53,572	)		(1,230,799	)		(480,602	)		(11,342,704	)
Net increase (decrease)		(47,888	)	$	(1,098,419	)		(372,742	)	$	(8,725,604	)
Emerging Domestic Opportunities Fund
Class II:
Shares sold		4,099,503		$	85,171,754			4,409,709		$	89,770,584
Shares issued to shareholders in reinvestment of distributions		122,402			2,674,485			453,085			9,906,715
Shares repurchased		(4,163,193	)		(88,762,082	)		(6,874,283	)		(146,177,784	)
Purchase premiums		—			53,434			—			155,838
Redemption fees		—			227,450			—			908,135
Net increase (decrease)		58,712		$	(634,959	)		(2,011,489	)	$	(45,436,512	)

68

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

	Six Months Ended August 31, 2016 (Unaudited)						Year Ended February 29, 2016
	Shares			Amount			Shares			Amount
Emerging Domestic Opportunities Fund (continued)
Class III:
Shares sold		2,728,117		$	58,277,437			1,908,289		$	37,860,727
Shares issued to shareholders in reinvestment of distributions		31,266			683,158			237,017			5,170,993
Shares repurchased		(8,287,396	)		(177,308,763	)		(3,630,072	)		(74,411,104	)
Purchase premiums		—			17,874			—			74,988
Redemption fees		—			65,886			—			400,139
Net increase (decrease)		(5,528,013	)	$	(118,264,408	)		(1,484,766	)	$	(30,904,257	)
Class IV:
Shares sold		6,037,293		$	129,016,957			11,894,352		$	234,416,398
Shares issued to shareholders in reinvestment of distributions		223,336			4,879,900			492,028			10,726,065
Shares repurchased		(12,878,800	)		(297,033,568	)		(2,501,335	)		(61,757,952	)
Purchase premiums		—			81,708			—			147,157
Redemption fees		—			331,791			—			839,235
Net increase (decrease)		(6,618,171	)	$	(162,723,212	)		9,885,045		$	184,370,903
Class V:
Shares sold		11,691,697		$	271,831,955			16,616,084		$	334,463,505
Shares issued to shareholders in reinvestment of distributions		69,186			1,511,012			247,046			5,385,781
Shares repurchased		(2,550,388	)		(52,305,875	)		(10,847,820	)		(209,616,398	)
Purchase premiums		—			26,278			—			71,574
Redemption fees		—			112,405			—			400,746
Net increase (decrease)		9,210,495		$	221,175,775			6,015,310		$	130,705,208
Class VI:
Shares sold		3,996		$	82,352			14,135		$	305,152
Shares issued to shareholders in reinvestment of distributions		1,433			31,445			344,877			7,625,003
Shares repurchased		(2,726	)		(59,024	)		(25,054,992	)		(504,824,963	)
Purchase premiums		—			889			—			105,213
Redemption fees		—			3,705			—			543,532
Net increase (decrease)		2,703		$	59,367			(24,695,980	)	$	(496,246,063	)
Emerging Markets Fund
Class II:#
Shares sold		114,511		$	3,003,077			8,660,478		$	208,458,170
Shares issued to shareholders in reinvestment of distributions		14,337			379,793			430,140			10,635,137
Shares repurchased		(5,475,520	)		(140,875,898	)		(18,541,178	)		(524,304,133	)
Purchase premiums		—			6,575			—			829,154
Redemption fees		—			772,000			—			1,524,728
Net increase (decrease)		(5,346,672	)	$	(136,714,453	)		(9,450,560	)	$	(302,856,944	)
Class III:#
Shares sold		—		$	—			2,521,243		$	77,353,683
Shares issued to shareholders in reinvestment of distributions		5,123			136,004			207,018			5,115,848
Shares repurchased		(18,732	)		(530,062	)		(3,695,910	)		(84,504,654	)
Purchase premiums		—			2,996			—			330,713
Redemption fees		—			330,266			—			737,169
Net increase (decrease)		(13,609	)	$	(60,796	)		(967,649	)	$	(967,241	)

69

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

	Six Months Ended August 31, 2016 (Unaudited)						Year Ended February 29, 2016
	Shares			Amount			Shares			Amount
Emerging Markets Fund (continued)
Class IV:#
Shares sold		106,383		$	3,000,000			4,020,625		$	115,714,945
Shares issued to shareholders in reinvestment of distributions		3,597			94,633			377,883			9,288,060
Shares repurchased		(2,940,262	)		(77,300,220	)		(20,209,744	)		(554,530,737	)
Purchase premiums		—			3,220			—			711,055
Redemption fees		—			400,507			—			1,329,488
Net increase (decrease)		(2,830,282	)	$	(73,801,860	)		(15,811,236	)	$	(427,487,189	)
Class V:#
Shares sold		2,732,827		$	71,344,104			7,056,847		$	218,105,434
Shares issued to shareholders in reinvestment of distributions		19,698			517,072			349,642			8,560,034
Shares repurchased		(287,517	)		(7,753,880	)		(1,092,476	)		(26,908,734	)
Purchase premiums		—			5,151			—			300,601
Redemption fees		—			526,365			—			729,841
Net increase (decrease)		2,465,008		$	64,638,812			6,314,013		$	200,787,176
Class VI:#
Shares sold		591,279		$	14,966,960			34,257,356		$	929,371,388
Shares issued to shareholders in reinvestment of distributions		203,946			5,365,816			5,625,667			138,033,181
Shares repurchased		(31,724,085	)		(829,549,394	)		(49,515,650	)		(1,356,526,662	)
Purchase premium fees		—			51,658			—			5,336,294
Redemption fees		—			5,742,573			—			10,776,931
Net increase (decrease)		(30,928,860	)	$	(803,422,387	)		(9,632,627	)	$	(273,008,868	)
Taiwan Fund
Class III:
Shares sold		1,967,931		$	36,433,013			983,694		$	21,651,474
Shares issued to shareholders in reinvestment of distributions		21,240			386,985			386,535			7,427,731
Shares repurchased		(1,652,382	)		(29,570,315	)		(1,202,843	)		(24,654,880	)
Purchase premiums		—			54,732			—			32,526
Redemption fees		—			133,067			—			110,947
Net increase (decrease)		336,789		$	7,437,482			167,386		$	4,567,798

# Shares were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

10. Investments in affiliated companies and other funds of the Trust

An affiliated company for the purposes of this disclosure 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 Fund’s transactions involving companies that are or were affiliates during the period ended August 31, 2016 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Value, end of period
Emerging Domestic Opportunities Fund
CMI Ltd	$	5,234,567	$	—	$	—	$	—	$	3,231,994
Gayatri Projects Ltd		17,467,627		—		—		—		21,395,454
TICON Industrial Growth Leasehold Property Fund		15,379,869		1,794,433		—		562,716		18,911,707
iShares MSCI Philippines ETF*		—		53,269,902		54,726,961		194,999		—	#
Totals	$	38,082,063	$	55,064,335	$	54,726,961	$	757,715	$	43,539,155

70

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Value, end of period
Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	1,882,313	$	340,023	$	—	$	—	$	1,501,033
Gayatri Projects Ltd		27,968,473		—		—		—		34,257,554
Kiri Industries Ltd		1,878,798		—		—		—		7,496,385
Totals	$	31,729,584	$	340,023	$	—	$	—	$	43,254,972

* Security not an affiliate at the beginning of the period.

# No longer an affiliate as of August 31, 2016.

A summary of the Funds’ transactions in the shares of other funds of GMO Trust during the period ended August 31, 2016 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	$	5,506	$	1,125,295	$	865,000	$	279	$	16	$	265,993
Emerging Domestic Opportunities Fund
GMO U.S. Treasury Fund	$	35,814,390	$	436,054,270	$	449,810,000	$	53,745	$	524	$	22,058,883
Emerging Markets Fund
GMO U.S. Treasury Fund	$	64,084,435	$	51,620,389	$	501,100,000	$	117,772	$	2,720	$	74,603,230
Taiwan Fund
GMO U.S. Treasury Fund	$	20,834	$	6,201,432	$	4,995,000	$	1,369	$	38	$	1,228,253

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2016 through August 31, 2016. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2017.

71

GMO Trust Funds

Board Review of Investment Management Agreements

August 31, 2016 (Unaudited)

GMO Emerging Countries Fund

Approval of renewal of management agreement and approval of initial sub-advisory agreement for GMO Emerging Countries Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016, and approved a sub-advisory agreement among the Manager, GMO Singapore Pte. Limited (“GMO Singapore”), and the Trust, on behalf of the Fund, for an initial two-year term beginning on the date of the agreement’s execution. In approving the management agreement and sub-advisory agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement and the approval of the Fund’s initial sub-advisory agreement. In deciding whether to approve the management and sub-advisory agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. The Trustees also received before and at their June meeting materials provided by the Manager for purposes of considering the proposed sub-advisory agreement between the Manager, GMO Singapore and the Trust, on behalf of the Fund. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager. In addition, the Trustees reviewed the fees payable by the Manager to GMO Singapore under the Fund’s sub-advisory agreement and considered the level of service that GMO Singapore would provide the Fund. The Trustees considered that GMO Singapore’s sub-advisory fees would be paid by the Manager out of the Manager’s management fees, not directly by the Fund.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

72

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement and sub-advisory agreement, that the fees charged (or to be charged, in the case of the sub-advisory agreement) to the Fund under these agreements were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year and approved the Fund’s initial sub-advisory agreement for an initial period ending on the second anniversary of the agreement’s execution.

GMO Emerging Domestic Opportunities Fund

Approval of renewal of management agreement and sub-advisory agreement for GMO Emerging Domestic Opportunities Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, and the sub-advisory agreement among the Manager, GMO Singapore Pte. Limited (“GMO Singapore”), and the Trust, on behalf of the Fund, in each case for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement and sub-advisory agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement and sub-advisory agreement. In deciding whether to approve the management and sub-advisory agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its other pooled investment vehicles and/or separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and/or accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager. In addition, the Trustees reviewed the fees payable by the Manager to GMO Singapore under the Fund’s sub-advisory agreement and considered the level of service that GMO Singapore provided the Fund. The Trustees considered that GMO Singapore’s sub-advisory fees were paid by the Manager out of the Manager’s management fees, not directly by the Fund.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

73

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement and sub-advisory agreement, that the fees charged to the Fund under these agreements were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement and sub-advisory agreement for another year.

GMO Emerging Markets Fund

Approval of renewal of management agreement and approval of initial sub-advisory agreement for GMO Emerging Markets Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016, and approved a sub-advisory agreement among the Manager, GMO Singapore Pte. Limited (“GMO Singapore”), and the Trust, on behalf of the Fund, for an initial two-year term beginning on the date of the agreement’s execution. In approving the management agreement and sub-advisory agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement and the approval of the Fund’s initial sub-advisory agreement. In deciding whether to approve the management and sub-advisory agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. The Trustees also received before and at their June meeting materials provided by the Manager for purposes of considering the proposed sub-advisory agreement between the Manager, GMO Singapore and the Trust, on behalf of the Fund. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its other pooled investment vehicles and/or separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and/or accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager. In addition, the Trustees reviewed the fees payable by the Manager to

74

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

GMO Singapore under the Fund’s sub-advisory agreement and considered the level of service that GMO Singapore would provide the Fund. The Trustees considered that GMO Singapore’s sub-advisory fees would be paid by the Manager out of the Manager’s management fees, not directly by the Fund.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement and sub-advisory agreement, that the fees charged (or to be charged, in the case of the sub-advisory agreement) to the Fund under these agreements were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year and approved the Fund’s initial sub-advisory agreement for an initial period ending on the second anniversary of the agreement’s execution.

GMO Taiwan Fund

Approval of renewal of management agreement and approval of initial sub-advisory agreement for GMO Taiwan Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016, and approved a sub-advisory agreement among the Manager, GMO Singapore Pte. Limited (“GMO Singapore”), and the Trust, on behalf of the Fund, for an initial two-year term beginning on the date of the agreement’s execution. In approving the management agreement and sub-advisory agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement and the approval of the Fund’s initial sub-advisory agreement. In deciding whether to approve the management and sub-advisory agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. The Trustees also received before and at their June meeting materials provided by the Manager for purposes of considering the proposed sub-advisory agreement between the Manager, GMO Singapore and the Trust, on behalf of the Fund. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.

75

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2016 (Unaudited)

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager. In addition, the Trustees reviewed the fees payable by the Manager to GMO Singapore under the Fund’s sub-advisory agreement and considered the level of service that GMO Singapore would provide the Fund. The Trustees considered that GMO Singapore’s sub-advisory fees would be paid by the Manager out of the Manager’s management fees, not directly by the Fund.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement and sub-advisory agreement, that the fees charged (or to be charged, in the case of the sub-advisory agreement) to the Fund under these agreements were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year and approved the Fund’s initial sub-advisory agreement for an initial period ending on the second anniversary of the agreement’s execution.

76

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2016 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2016.

As a shareholder of the Funds, you may incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and /or indirect management fees, direct and/or indirect shareholder services fees, and distribution (12b-1) and/or administration fees for Funds with Class M shares, if applicable, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2016 through August 31, 2016.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Actual						Hypothetical
	Beginning Account Value March 1, 2016		Ending Account Value August 31, 2016		Expenses Paid During the Period*		Beginning Account Value March 1, 2016		Ending Account Value August 31, 2016		Expenses Paid During the Period*		Annualized Expense Ratio
Emerging Countries Fund
Class III		$1,000.00		$1,268.40		$7.09		$1,000.00		$1,018.95		$6.31		1.24%
Emerging Domestic Opportunities Fund
Class II		$1,000.00		$1,202.40		$5.88		$1,000.00		$1,019.86		$5.40		1.06%
Class III		$1,000.00		$1,203.30		$5.50		$1,000.00		$1,020.21		$5.04		0.99%
Class IV		$1,000.00		$1,203.50		$5.28		$1,000.00		$1,020.42		$4.84		0.95%
Class V		$1,000.00		$1,203.60		$5.17		$1,000.00		$1,020.52		$4.74		0.93%
Class VI		$1,000.00		$1,204.00		$5.00		$1,000.00		$1,020.67		$4.58		0.90%
Emerging Markets Fund
Class II		$1,000.00		$1,267.90		$6.23		$1,000.00		$1,019.71		$5.55		1.09%
Class III		$1,000.00		$1,269.50		$5.95		$1,000.00		$1,019.96		$5.30		1.04%
Class IV		$1,000.00		$1,268.70		$5.66		$1,000.00		$1,020.21		$5.04		0.99%
Class V		$1,000.00		$1,269.20		$5.38		$1,000.00		$1,020.47		$4.79		0.94%
Class VI		$1,000.00		$1,270.70		$5.21		$1,000.00		$1,020.62		$4.63		0.91%
Taiwan Fund
Class III		$1,000.00		$1,170.90		$7.22		$1,000.00		$1,018.55		$6.72		1.32%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2016, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

77

GMO Trust

Semiannual Report

August 31, 2016

Alpha Only Fund

Benchmark-Free Allocation Fund

Benchmark-Free Fund

Global Asset Allocation Fund

Global Developed Equity Allocation Fund

Global Equity Allocation Fund

Implementation Fund

International Developed Equity Allocation Fund

International Equity Allocation Fund

SGM Major Markets Fund

Special Opportunities Fund

Strategic Opportunities Allocation Fund

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

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

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

An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market risk-equities, management and operational risk, market risk-asset backed securities, credit risk, non-U.S. investment risk, small company risk and derivatives risk.

The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.

TABLE OF CONTENTS

Alpha Only Fund
Investment Concentration Summary	1
Schedule of Investments	2
Benchmark-Free Allocation Fund
Investment Concentration Summary	15
Schedule of Investments	16
Benchmark-Free Fund
Investment Concentration Summary	17
Schedule of Investments	18
Global Asset Allocation Fund
Investment Concentration Summary	31
Schedule of Investments	32
Global Developed Equity Allocation Fund
Investment Concentration Summary	33
Schedule of Investments	34
Global Equity Allocation Fund
Investment Concentration Summary	35
Schedule of Investments	36
Implementation Fund
Investment Concentration Summary	37
Schedule of Investments	38
International Developed Equity Allocation Fund
Investment Concentration Summary	58
Schedule of Investments	59
International Equity Allocation Fund
Investment Concentration Summary	60
Schedule of Investments	61
SGM Major Markets Fund
Investment Concentration Summary	62
Schedule of Investments	63
Special Opportunities Fund
Investment Concentration Summary	65
Schedule of Investments	66
Strategic Opportunities Allocation Fund
Investment Concentration Summary	69
Schedule of Investments	70
Portfolio, Counterparty and Currency Abbreviations	71
Fund Financial Statements:
Statements of Assets and Liabilities	72
Statements of Operations	77
Statements of Changes in Net Assets	80
Financial Highlights	86
Notes to Financial Statements	99
Board Review of Investment Management Agreements	152
Fund Expenses	165

GMO Alpha Only Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		87.8	%
Short-Term Investments		6.3
Mutual Funds		4.4
Preferred Stocks		0.9
Rights/Warrants		0.0	^
Futures Contracts		(3.6	)
Other		4.2
		100.0	%

& In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. The Fund’s investment program involves having both long and short investment exposures. The additional short exposures that the Fund has to futures contracts based on notional amounts are (83.3)% of net assets.

^ Rounds to 0.0%

1

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 87.8%
		Australia — 1.0%
	4,176	AGL Energy Ltd		58,149
	430	ASX Ltd		16,508
	11,897	AusNet Services		15,363
	17,174	Australia & New Zealand Banking Group Ltd		346,509
	2,333	Bank of Queensland Ltd		18,472
	3,082	Bendigo & Adelaide Bank Ltd		25,390
	18,882	BHP Billiton Ltd		289,804
	1,945	Coca Cola Amatil Ltd		14,272
	5,991	Dexus Property Group (REIT)		43,702
	3,415	GPT Group (The) (REIT)		13,660
	2,243	Harvey Norman Holdings Ltd		9,054
	10,712	Incitec Pivot Ltd		22,898
	15,049	Insurance Australia Group Ltd		62,792
	2,221	LendLease Group		23,015
	1,264	Macquarie Group Ltd		76,517
	22,909	Mirvac Group (REIT)		39,872
	15,534	National Australia Bank Ltd		318,588
	2,291	Orica Ltd		25,369
	10,829	Origin Energy Ltd		42,657
	8,428	QBE Insurance Group Ltd		62,707
	2,625	Rio Tinto Ltd		93,907
	3,990	Santos Ltd		13,213
	33,062	Scentre Group (REIT)		123,344
	32,952	South32 Ltd *		47,481
	14,716	Stockland (REIT)		53,574
	7,963	Suncorp Group Ltd		75,976
	8,974	Tatts Group Ltd		25,664
	20,827	Vicinity Centres (REIT)		51,754
	19,640	Westpac Banking Corp		434,114
	4,590	Woodside Petroleum Ltd		98,335
	7,734	Woolworths Ltd		137,598
		Total Australia		2,680,258
		Austria — 0.0%
	1,730	Erste Group Bank AG *		48,594
	912	OMV AG		25,555
	796	Raiffeisen Bank International AG *		11,327
	704	voestalpine AG		23,332
		Total Austria		108,808
		Belgium — 0.1%
	1,246	Ageas		43,206
	499	Groupe Bruxelles Lambert SA		43,825
	1,552	KBC Groep NV *		92,019
	942	Proximus SADP		28,851
	451	Solvay SA		49,577
	323	Umicore SA		19,091
		Total Belgium		276,569

Shares		Description	Value ($)
		Brazil — 0.4%
	16,550	Banco Bradesco SA		149,141
	17,000	Banco do Brasil SA		122,188
	8,300	Banco Santander Brasil SA		58,294
	13,900	BB Seguridade Participacoes SA		125,475
	6,500	Cia Siderurgica Nacional SA *		17,311
	6,100	EDP-Energias do Brasil SA		27,013
	8,700	Embraer SA		38,607
	2,500	Fibria Celulose SA		17,040
	59,000	Petroleo Brasileiro SA *		269,311
	3,500	Sul America SA		17,699
	16,800	Tim Participacoes SA		43,233
	1,900	Transmissora Alianca de Energia Eletrica SA		13,651
	25,500	Vale SA		133,770
	4,000	WEG SA		20,476
		Total Brazil		1,053,209
		Chile — 0.1%
	50,170	AES Gener SA		19,923
	491,760	Banco de Chile		54,503
	369	Banco de Credito e Inversiones		16,316
	1,319,705	Banco Santander Chile		69,313
	65,664	Empresa Nacional de Electricidad SA		49,207
	15,946	Empresas CMPC SA		31,634
	387,486	Enersis Americas SA		64,178
	387,548	Enersis Chile SA		41,322
	3,078,012	Itau CorpBanca		26,369
		Total Chile		372,765
		China — 3.7%
	457,000	Agricultural Bank of China Ltd – Class H		187,495
	64,000	Alibaba Health Information Technology Ltd *		39,734
	200,000	Alibaba Pictures Group Ltd *		41,163
	40,000	Aluminum Corp of China Ltd – Class H *		14,972
	24,500	Anhui Conch Cement Co Ltd – Class H		68,620
	1,523,000	Bank of China Ltd – Class H		683,360
	173,000	Bank of Communications Co Ltd – Class H		133,183
	20,000	Beijing Capital International Airport Co Ltd – Class H		22,515
	123,000	Belle International Holdings Ltd		79,727
	60,000	Brilliance China Automotive Holdings Ltd		68,502
	173,000	China Cinda Asset Management Co Ltd – Class H		58,486
	162,000	China CITIC Bank Corp Ltd – Class H		106,659
	53,000	China Coal Energy Co Ltd – Class H *		25,298
	88,000	China Communications Construction Co Ltd – Class H		95,623
	48,000	China Communications Services Corp Ltd – Class H		28,176
	27,000	China Conch Venture Holdings Ltd		51,857
	1,613,000	China Construction Bank Corp – Class H		1,206,186
	51,000	China COSCO Holdings Co Ltd – Class H *		16,934

2 See accompanying notes to the financial statements.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		China — continued
	68,000	China Everbright Bank Co Ltd – Class H		32,102
	18,000	China Everbright Ltd		37,250
	83,000	China Evergrande Group		57,167
	74,000	China Jinmao Holdings Group Ltd		23,022
	149,000	China Life Insurance Co Ltd – Class H		355,089
	27,000	China Mengniu Dairy Co Ltd		51,048
	71,000	China Merchants Bank Co Ltd – Class H		172,354
	24,000	China Merchants Holdings International Co Ltd – Class H		68,209
	117,000	China Minsheng Banking Corp Ltd – Class H		125,482
	117,500	China Mobile Ltd		1,447,485
	58,000	China National Building Material Co Ltd – Class H		26,098
	38,000	China Oilfield Services Ltd – Class H		29,657
	488,000	China Petroleum & Chemical Corp – Class H		348,797
	66,000	China Power International Development Ltd		24,864
	39,000	China Railway Construction Corp Ltd – Class H		47,596
	79,000	China Railway Group Ltd – Class H		58,359
	23,283	China Resources Beer Holdings Co Ltd		53,660
	39,079	China Resources Power Holdings Co Ltd		67,311
	67,500	China Shenhua Energy Co Ltd – Class H		120,878
	75,000	China Shipping Container Lines Co Ltd – Class H *		15,635
	31,800	China Taiping Insurance Holdings Co Ltd *		63,576
	274,000	China Telecom Corp Ltd – Class H		141,184
	50,000	Chongqing Rural Commercial Bank Co Ltd – Class H		28,943
	86,000	CITIC Ltd		135,144
	43,500	CITIC Securities Co Ltd – Class H		96,906
	342,000	CNOOC Ltd		412,597
	36,000	COSCO Pacific Ltd		38,939
	112,000	Country Garden Holdings Co Ltd		56,763
	54,000	CRRC Corp Ltd – Class H		48,171
	28,000	CSPC Pharmaceutical Group Ltd		27,156
	3,400	Ctrip.com International Ltd ADR *		160,990
	54,000	Dongfeng Motor Group Co Ltd – Class H		57,556
	35,000	Far East Horizon Ltd		32,628
	256,000	GCL-Poly Energy Holdings Ltd		36,172
	27,000	GF Securities Co Ltd – Class H		58,646
	235,000	GOME Electrical Appliances Holding Ltd		27,802
	62,000	Great Wall Motor Co Ltd – Class H		60,025
	20,000	Guangzhou R&F Properties Co Ltd – Class H		33,706
	13,000	Haitian International Holdings Ltd		26,135
	5,000	Hengan International Group Co Ltd		42,236
	32,000	Huadian Power International Corp Ltd – Class H		14,286
	84,000	Huaneng Power International Inc – Class H		51,182
	1,414,000	Industrial & Commercial Bank of China Ltd – Class H		899,418
	24,000	Jiangsu Expressway Co Ltd – Class H		33,680
	26,000	Jiangxi Copper Co Ltd – Class H		29,980

Shares		Description	Value ($)
		China — continued
	64,000	Kunlun Energy Co Ltd		46,935
	29,000	Longfor Properties Co Ltd		46,624
	418,000	PetroChina Co Ltd – Class H		277,169
	102,500	Ping An Insurance Group Co of China Ltd – Class H		528,322
	1,000	Qinqin Foodstuffs Group Cayman Co Ltd *		360
	56,000	Shanghai Electric Group Co Ltd – Class H *		24,809
	10,000	Shanghai Industrial Holdings Ltd		25,987
	27,500	Shimao Property Holdings Ltd		38,167
	71,500	Shui On Land Ltd		20,252
	67,000	Sino-Ocean Land Holdings Ltd		31,020
	24,500	Sinopec Engineering Group Co Ltd – Class H		20,273
	41,000	Sinotrans Ltd – Class H		20,290
	41,000	SOHO China Ltd		24,441
	2,500	SouFun Holdings Ltd ADR *		11,250
	46,500	Sun Art Retail Group Ltd		29,888
	37,000	Sunac China Holdings Ltd		25,620
	38,000	Tingyi Cayman Islands Holding Corp		35,121
	8,000	Tsingtao Brewery Co Ltd – Class H		26,755
	56,000	Want Want China Holdings Ltd		36,777
	19,000	Weichai Power Co Ltd – Class H		23,923
	36,000	Yanzhou Coal Mining Co Ltd – Class H		20,559
	28,000	Zhejiang Expressway Co Ltd – Class H		31,186
	114,000	Zijin Mining Group Co Ltd – Class H		37,993
		Total China		10,088,095
		Colombia — 0.1%
	97,005	Ecopetrol SA *		43,080
	5,782	Grupo Argos SA		38,361
	70,069	Grupo Aval Acciones y Valores SA		29,468
	3,035	Grupo de Inversiones Suramericana SA		39,455
		Total Colombia		150,364
		Czech Republic — 0.0%
	3,198	CEZ AS		55,820
		Denmark — 0.1%
	24	AP Moeller – Maersk A/S – Class A		34,249
	43	AP Moeller – Maersk A/S – Class B		64,326
	281	Carlsberg A/S – Class B		26,378
	4,483	Danske Bank A/S		131,588
	5,026	TDC A/S *		27,796
	786	Tryg A/S		15,705
		Total Denmark		300,042
		Egypt — 0.0%
	10,230	Commercial International Bank Egypt SAE		55,966
	15,874	Talaat Moustafa Group		10,166
		Total Egypt		66,132

See accompanying notes to the financial statements. 3

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Finland — 0.2%
	338	Elisa Oyj		11,893
	2,749	Fortum Oyj		42,406
	765	Metso Oyj		21,416
	794	Neste Oyj		33,072
	36,641	Nokia Oyj		206,670
	709	Nokian Renkaat Oyj		25,597
	222	Orion Oyj – Class B		8,403
	2,767	Sampo Oyj – A Shares		119,014
	3,409	Stora Enso Oyj – R Shares		30,088
	3,304	UPM-Kymmene Oyj		66,410
	916	Wartsila Oyj Abp		37,694
		Total Finland		602,663
		France — 1.8%
	10,515	ArcelorMittal *		62,377
	425	Arkema SA		38,027
	11,349	AXA SA		238,865
	6,230	BNP Paribas SA		318,169
	1,256	Bouygues SA		39,925
	3,517	Carrefour SA		88,747
	351	Casino Guichard-Perrachon SA		17,398
	173	Christian Dior SE		29,979
	2,950	Cie de Saint-Gobain		129,494
	1,155	Cie Generale des Etablissements Michelin		123,119
	1,167	CNP Assurances		18,824
	6,963	Credit Agricole SA		66,082
	1,642	Electricite de France SA		21,079
	9,040	Engie SA		144,473
	1,054	Eutelsat Communications		20,533
	204	Fonciere Des Regions (REIT)		19,093
	215	Gecina SA (REIT)		33,698
	226	ICADE (REIT)		17,473
	244	Imerys SA		17,222
	1,397	Klepierre (REIT)		65,607
	802	Lagardere SCA		19,597
	3,920	LVMH Moet Hennessy Louis Vuitton SE		663,299
	5,808	Natixis SA		25,757
	12,289	Orange SA		187,333
	1,541	Peugeot SA *		22,811
	367	Renault SA		30,139
	1,868	Rexel SA		30,091
	6,910	Sanofi		533,220
	3,282	Schneider Electric SE		223,903
	951	SCOR SE		28,059
	2,020	SES SA		46,460
	4,491	Societe Generale SA		163,965
	3,945	STMicroelectronics NV		29,648
	1,848	Suez		28,022
	677	Technip SA		40,089
	13,204	TOTAL SA		630,839

Shares		Description	Value ($)
		France — continued
	610	Unibail-Rodamco SE (REIT)		167,852
	2,784	Veolia Environnement SA		59,326
	2,970	Vinci SA		225,652
	7,192	Vivendi SA		139,300
	195	Wendel SA		22,192
		Total France		4,827,738
		Germany — 1.4%
	2,687	Allianz SE (Registered)		399,441
	138	Axel Springer SE		7,024
	5,400	BASF SE		438,024
	2,049	Bayerische Motoren Werke AG		178,043
	5,859	Daimler AG (Registered)		405,565
	8,537	Deutsche Bank AG (Registered) *		125,497
	12,382	E.ON SE		113,870
	865	Evonik Industries AG		29,025
	264	Fraport AG Frankfurt Airport Services Worldwide		14,712
	374	Hannover Rueck SE		38,234
	1,184	K+S AG (Registered)		24,746
	1,180	Linde AG		201,489
	1,033	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		186,540
	263	RTL Group SA		22,140
	3,029	RWE AG *		49,437
	9,878	SAP AG		867,486
	4,440	Siemens AG (Registered)		529,677
	4,719	Telefonica Deutschland Holding AG		19,379
	219	Volkswagen AG		31,704
	1,225	Vonovia SE		47,596
		Total Germany		3,729,629
		Greece — 0.0%
	36,824	Eurobank Ergasias SA *		21,946
	663	FF Group *		16,057
	108,392	National Bank of Greece SA *		25,529
	4,426	OPAP SA		37,153
	129,807	Piraeus Bank SA *		21,095
		Total Greece		121,780
		Hong Kong — 0.5%
	7,359	Bank of East Asia Ltd (The)		29,680
	23,000	BOC Hong Kong Holdings Ltd		80,302
	8,000	Cathay Pacific Airways Ltd		11,497
	16,500	CK Hutchison Holdings Ltd		211,702
	16,000	First Pacific Co Ltd		11,975
	14,000	Hang Lung Properties Ltd		31,822
	4,700	Hang Seng Bank Ltd		82,315
	18,000	HK Electric Investments & HK Electric Investments Ltd		16,864
	7,200	Hongkong Land Holdings Ltd		46,665
	2,600	Hong Kong Exchanges and Clearing Ltd		63,434

4 See accompanying notes to the financial statements.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	4,000	Hysan Development Co Ltd		19,287
	1,500	Jardine Matheson Holdings Ltd		89,718
	4,500	Kerry Properties Ltd		13,069
	26,000	Li & Fung Ltd		13,351
	4,500	MTR Corp Ltd		24,572
	33,000	New World Development Co Ltd		41,266
	10,000	NWS Holdings Ltd		17,840
	8,500	Power Assets Holdings Ltd		81,193
	14,800	Sands China Ltd		58,022
	20,000	Sino Land Co Ltd		34,182
	12,000	SJM Holdings Ltd		7,528
	8,000	Sun Hung Kai Properties Ltd		112,386
	3,500	Swire Pacific Ltd – Class A		38,612
	7,200	Swire Properties Ltd		20,251
	8,000	Wharf Holdings Ltd (The)		56,380
	6,000	Wheelock & Co Ltd		34,261
	5,000	Yue Yuen Industrial Holdings Ltd		21,254
		Total Hong Kong		1,269,428
		Hungary — 0.0%
	725	MOL Hungarian Oil & Gas Plc		45,254
	2,323	OTP Bank Plc		60,645
		Total Hungary		105,899
		India — 1.2%
	892	ACC Ltd		22,816
	13,527	Ambuja Cements Ltd		56,850
	11,842	Axis Bank Ltd		105,217
	1,662	Bajaj Auto Ltd		73,811
	11,630	Bharat Heavy Electricals Ltd		24,029
	1,808	Bharat Petroleum Corp Ltd		16,228
	17,977	Bharti Airtel Ltd		89,343
	52	Bosch Ltd		18,820
	9,161	Cairn India Ltd		27,242
	13,764	Coal India Ltd		68,837
	510	Container Corp Of India Ltd		10,660
	5,647	GAIL India Ltd		32,250
	3,952	HCL Technologies Ltd		45,882
	22,091	Hindalco Industries Ltd		52,401
	10,395	Housing Development Finance Corp Ltd		218,637
	10,600	ICICI Bank Ltd Sponsored ADR		81,302
	14,129	Idea Cellular Ltd		19,696
	5,833	Indiabulls Housing Finance Ltd		71,217
	33,600	Infosys Ltd Sponsored ADR		532,896
	29,410	ITC Ltd		114,518
	6,235	Larsen & Toubro Ltd		140,604
	2,985	LIC Housing Finance Ltd		25,438
	5,521	Mahindra & Mahindra Financial Services Ltd		29,373
	2,452	Mahindra & Mahindra Ltd		52,711
	162	Nestle India Ltd		15,701

Shares		Description	Value ($)
		India — continued
	32,246	NTPC Ltd		76,585
	16,950	Oil & Natural Gas Corp Ltd		59,935
	5,230	Power Finance Corp Ltd		9,674
	5,230	Power Finance Corp Ltd Bonus Shares *		9,673
	24,922	Reliance Industries Ltd		389,518
	2,919	Shriram Transport Finance Co Ltd		53,663
	30,770	State Bank of India		115,436
	31,110	Tata Motors Ltd		250,723
	7,273	Tata Motors Ltd – Class A DVR		37,316
	21,968	Tata Power Co Ltd		25,826
	5,964	Tata Steel Ltd		32,929
	835	United Spirits Ltd *		28,804
	17,620	Vedanta Ltd		44,729
	12,234	Wipro Ltd		88,895
		Total India		3,170,185
		Indonesia — 0.4%
	267,400	Adaro Energy Tbk PT		23,139
	375,500	Astra International Tbk PT		230,349
	62,300	Bank Danamon Indonesia Tbk PT		19,151
	173,400	Bank Mandiri Persero Tbk PT		146,703
	138,600	Bank Negara Indonesia Persero Tbk PT		61,267
	206,200	Bank Rakyat Indonesia Persero Tbk PT		180,740
	131,900	Global Mediacom Tbk PT		8,839
	65,200	Hanjaya Mandala Sampoerna Tbk PT		19,551
	27,400	Indocement Tunggal Prakarsa Tbk PT		36,495
	81,500	Indofood Sukses Makmur Tbk PT		48,517
	202,600	Perusahaan Gas Negara Persero Tbk PT		46,024
	55,100	Semen Indonesia Persero Tbk PT		41,049
	353,000	Telekomunikasi Indonesia Persero Tbk PT		111,549
	31,100	United Tractors Tbk PT		43,893
		Total Indonesia		1,017,266
		Ireland — 0.0%
	61,128	Bank of Ireland *		13,824
		Israel — 0.1%
	6,575	Bank Hapoalim BM		35,302
	8,666	Bank Leumi Le-Israel BM *		32,474
	11,958	Bezeq The Israeli Telecommunication Corp Ltd		24,035
	3,463	Israel Chemicals Ltd		14,649
	944	Mizrahi Tefahot Bank Ltd		11,395
	2,828	Teva Pharmaceutical Industries Ltd		143,250
		Total Israel		261,105
		Italy — 0.4%
	7,227	Assicurazioni Generali SPA		92,052
	2,563	Atlantia SPA		65,942
	44,847	Enel SPA		198,176
	14,938	Eni SPA		225,506

See accompanying notes to the financial statements. 5

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	28,196	Intesa Sanpaolo SPA		66,998
	6,328	Intesa Sanpaolo SPA – RSP		14,015
	3,489	Mediobanca SPA		25,913
	1,657	Poste Italiane SPA		11,555
	38,692	Saipem SPA *		17,751
	13,000	Snam SPA		72,155
	12,685	Telecom Italia SPA *		11,514
	37,300	Telecom Italia SPA – RSP *		27,352
	2,923	Tenaris SA		40,221
	9,330	Terna Rete Elettrica Nazionale SPA		48,247
	19,919	UniCredit SPA		51,230
	6,906	UnipolSai SPA		11,556
		Total Italy		980,183
		Japan — 3.2%
	400	Aeon Mall Co Ltd		5,638
	1,200	Aisin Seiki Co Ltd		56,763
	1,200	Ajinomoto Co Inc		25,468
	7,000	Aozora Bank Ltd		24,792
	6,000	Asahi Glass Co Ltd		38,204
	8,000	Asahi Kasei Corp		67,587
	2,000	Bank of Kyoto Ltd (The)		14,493
	200	Benesse Holdings Inc		4,614
	4,000	Bridgestone Corp		137,572
	1,600	Brother Industries Ltd		26,912
	6,600	Canon Inc		189,260
	4,000	Chiba Bank Ltd (The)		23,759
	4,000	Chubu Electric Power Co Inc		54,094
	1,100	Chugoku Bank Ltd (The)		13,568
	1,800	Chugoku Electric Power Co Inc (The)		21,621
	7,300	Concordia Financial Group Ltd *		37,742
	900	Credit Saison Co Ltd		15,515
	6,600	Dai-ichi Life Insurance Co Ltd (The)		92,180
	3,500	Daiichi Sankyo Co Ltd		80,411
	3,200	Daiwa House Industry Co Ltd		82,670
	10,000	Daiwa Securities Group Inc		58,585
	3,000	Dai Nippon Printing Co Ltd		30,543
	1,600	Eisai Co Ltd		93,349
	900	Electric Power Development Co Ltd		21,967
	1,200	FANUC Corp		204,477
	4,000	Fuji Electric Co Ltd		18,264
	1,300	Fuji Heavy Industries Ltd		51,743
	2,500	FUJIFILM Holdings Corp		94,076
	12,000	Fujitsu Ltd		61,112
	5,000	Fukuoka Financial Group Inc		21,204
	2,500	Hachijuni Bank Ltd (The)		13,247
	400	Hankyu Hanshin Holdings Inc		12,921
	900	Hino Motors Ltd		9,996
	3,000	Hiroshima Bank Ltd (The)		12,525
	200	Hisamitsu Pharmaceutical Co Inc		8,957

Shares		Description	Value ($)
		Japan — continued
	200	Hitachi Chemical Co Ltd		4,318
	700	Hitachi Construction Machinery Co Ltd		13,126
	400	Hitachi High-Technologies Corp.		14,848
	30,000	Hitachi Ltd		144,208
	1,100	Hokuriku Electric Power Co		13,151
	9,600	Honda Motor Co Ltd		295,739
	500	Idemitsu Kosan Co Ltd		9,111
	5,900	Inpex Corp		51,139
	1,200	Isetan Mitsukoshi Holdings Ltd		10,947
	3,700	Isuzu Motors Ltd		42,675
	8,600	ITOCHU Corp		101,557
	1,600	Iyo Bank Ltd (The)		10,329
	700	Japan Airlines Co Ltd		21,365
	2,500	Japan Post Bank Co Ltd		29,433
	2,800	Japan Post Holdings Co Ltd		36,685
	5	Japan Prime Realty Investment Corp (REIT)		22,115
	8	Japan Real Estate Investment Corp (REIT)		47,042
	16	Japan Retail Fund Investment Corp (REIT)		35,972
	3,000	JFE Holdings Inc		46,650
	4,000	Joyo Bank Ltd (The)		15,913
	1,100	JSR Corp		16,108
	1,400	JTEKT Corp		21,823
	13,900	JX Holdings Inc		51,911
	1,500	J Front Retailing Co Ltd		16,961
	1,000	Kamigumi Co Ltd		8,670
	2,000	Kaneka Corp		16,334
	4,400	Kansai Electric Power Co Inc (The) *		37,734
	6,000	Kawasaki Heavy Industries Ltd		17,610
	5,700	Komatsu Ltd		124,733
	2,900	Konica Minolta Inc		26,198
	800	Kuraray Co Ltd		11,448
	200	Kurita Water Industries Ltd		4,561
	2,000	Kyocera Corp		95,099
	500	Kyowa Hakko Kirin Co Ltd		7,097
	2,700	Kyushu Electric Power Co Inc *		25,151
	2,200	Kyushu Financial Group Inc		13,062
	200	Lawson Inc		14,039
	10,200	Marubeni Corp		50,901
	300	Maruichi Steel Tube Ltd		10,367
	3,600	Mazda Motor Corp		59,706
	100	McDonald’s Holdings Co Ltd		2,761
	500	Medipal Holdings Corp		7,919
	4,200	Mitsubishi Chemical Holdings Corp		26,577
	9,000	Mitsubishi Corp		187,526
	12,000	Mitsubishi Electric Corp		157,037
	2,000	Mitsubishi Gas Chemical Co Inc		13,549
	13,000	Mitsubishi Heavy Industries Ltd		56,720
	7,000	Mitsubishi Materials Corp		19,774
	4,000	Mitsubishi Motors Corp		18,291
	600	Mitsubishi Tanabe Pharma Corp		11,138

6 See accompanying notes to the financial statements.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	74,900	Mitsubishi UFJ Financial Group Inc		412,589
	3,300	Mitsubishi UFJ Lease & Finance Co Ltd		15,497
	10,600	Mitsui & Co Ltd		141,139
	4,000	Mitsui Chemicals Inc		19,177
	2,000	Mitsui Fudosan Co Ltd		43,187
	7,000	Mitsui OSK Lines Ltd		16,209
	139,100	Mizuho Financial Group Inc		242,358
	2,000	MS&AD Insurance Group Holdings Inc		57,244
	2,000	Nagoya Railroad Co Ltd		9,807
	10,000	NEC Corp		25,486
	1,100	NHK Spring Co Ltd		10,383
	4,100	Nippon Telegraph & Telephone Corp		180,273
	4	Nippon Building Fund Inc (REIT)		24,481
	2,000	Nippon Electric Glass Co Ltd		10,056
	5,000	Nippon Express Co Ltd		23,731
	4,700	Nippon Steel & Sumitomo Metal Corp		99,989
	10,000	Nippon Yusen KK		18,235
	15,360	Nissan Motor Co Ltd		150,920
	700	Nisshin Seifun Group Inc		9,903
	200	Nissin Foods Holdings Co Ltd		11,098
	600	NOK Corp		12,218
	22,500	Nomura Holdings Inc		106,222
	800	Nomura Real Estate Holdings Inc		13,047
	22	Nomura Real Estate Master Fund Inc (REIT)		36,325
	2,900	NSK Ltd		29,984
	500	NTT Urban Development Corp		4,595
	8,359	NTT DOCOMO Inc		210,808
	600	Omron Corp		20,375
	8,200	ORIX Corp		118,170
	12,000	Osaka Gas Co Ltd		47,286
	4,800	Panasonic Corp		49,364
	13,700	Resona Holdings Inc		62,742
	4,400	Ricoh Co Ltd		39,742
	400	Rohm Co Ltd		20,033
	300	Sankyo Co Ltd		10,424
	1,400	SBI Holdings Inc		16,650
	1,300	Sega Sammy Holdings Inc		17,788
	1,700	Seiko Epson Corp		32,582
	2,600	Sekisui Chemical Co Ltd		36,405
	3,700	Sekisui House Ltd		59,695
	1,100	Shikoku Electric Power Co Inc		10,495
	900	Shin-Etsu Chemical Co Ltd		66,161
	12,000	Shinsei Bank Ltd		19,177
	3,000	Shizuoka Bank Ltd (The)		24,754
	1,300	Showa Shell Sekiyu KK		11,069
	700	Sompo Japan Nipponkoa Holdings Inc		22,486
	1,100	Sony Financial Holdings Inc		15,147
	3,000	Sumitomo Chemical Co Ltd		13,763
	7,000	Sumitomo Corp		75,955
	3,000	Sumitomo Heavy Industries Ltd		14,757

Shares		Description	Value ($)
		Japan — continued
	7,900	Sumitomo Mitsui Financial Group Inc		276,359
	21,000	Sumitomo Mitsui Trust Holdings Inc		75,353
	1,100	Sumitomo Rubber Industries Ltd		16,353
	4,700	Sumitomo Electric Industries Ltd		69,811
	3,000	Sumitomo Metal Mining Co Ltd		38,131
	300	Suntory Beverage & Food Ltd		11,919
	350	Suzuken Co Ltd		10,162
	3,600	T&D Holdings Inc		41,175
	200	Taisho Pharmaceutical Holdings Co Ltd		18,346
	2,000	Takashimaya Co Ltd		14,650
	1,100	Takeda Pharmaceutical Co Ltd		48,501
	6,000	Teijin Ltd		22,404
	800	THK Co Ltd		15,709
	3,000	Tobu Railway Co Ltd		14,568
	1,300	Tokio Marine Holdings Inc		51,207
	4,500	Tokyo Electric Power Co Holdings Inc *		18,137
	900	Tokyo Electron Ltd		82,856
	14,000	Tokyo Gas Co Ltd		60,073
	1,700	Tokyu Fudosan Holdings Corp		9,483
	2,000	TonenGeneral Sekiyu KK		18,457
	3,000	Toppan Printing Co Ltd		26,772
	400	Toyoda Gosei Co Ltd		9,232
	1,000	Toyota Industries Corp		47,971
	16,538	Toyota Motor Corp		999,482
	200	Toyo Suisan Kaisha Ltd		8,203
	18	United Urban Investment Corp (REIT)		32,099
	1,000	West Japan Railway Co		57,305
	2,600	Yamada Denki Co Ltd		12,163
	1,000	Yamaguchi Financial Group Inc		10,566
	1,200	Yamaha Motor Co Ltd		24,656
	700	Yokohama Rubber Co Ltd (The)		11,392
		Total Japan		8,716,433
		Malaysia — 0.4%
	24,900	AirAsia Berhad		18,390
	21,500	Alliance Financial Group Berhad		20,878
	38,800	AMMB Holdings Berhad		41,888
	1,300	British American Tobacco Malaysia Berhad		15,766
	18,000	CIMB Group Holdings Berhad		21,287
	45,500	DiGi.Com Berhad		56,279
	30,300	Felda Global Ventures Holdings Berhad		16,920
	33,400	Gamuda Berhad		40,103
	44,500	Genting Berhad		85,494
	13,000	Hong Leong Bank Berhad		41,805
	4,500	Hong Leong Financial Group Berhad		17,800
	57,400	IJM Corp Berhad		48,478
	15,400	IOI Properties Group Berhad		9,557
	56,600	Malayan Banking Berhad		108,940
	36,700	Maxis Berhad		56,722
	7,800	MISC Berhad		14,519

See accompanying notes to the financial statements. 7

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Malaysia — continued
	17,500	Public Bank Berhad		85,341
	16,041	RHB Bank Berhad		19,711
	12,300	RHB Capital Berhad *		—
	65,300	SapuraKencana Petroleum Berhad *		25,200
	45,100	Sime Darby Berhad		87,626
	33,600	Tenaga Nasional Berhad		122,044
	11,600	UMW Holdings Berhad		15,876
	85,600	YTL Corp Berhad		35,390
	43,900	YTL Power International Berhad		16,122
		Total Malaysia		1,022,136
		Mexico — 0.6%
	55,800	Alfa SA de CV – Class A		90,791
	405,864	America Movil SAB de CV – Series L		242,353
	8,000	Arca Continental SAB de CV		49,948
	280,200	Cemex SAB de CV CPO *		232,126
	9,900	Coca-Cola Femsa SAB de CV – Series L		73,897
	48,300	Fibra Uno Administracion SA de CV (REIT)		93,484
	10,600	Gentera SAB de CV		20,714
	4,160	Grupo Aeroportuario del Sureste SAB de CV – Class B		63,349
	6,700	Grupo Comercial Chedraui SA de CV		16,349
	49,500	Grupo Financiero Banorte SAB de CV – Class O		266,758
	36,200	Grupo Financiero Santander Mexico SAB de CV – Class B		69,179
	75,600	Grupo Mexico SAB de CV – Series B		189,014
	30,300	Kimberly-Clark de Mexico SAB de CV – Class A		72,469
	15,400	OHL Mexico SAB de CV *		21,749
		Total Mexico		1,502,180
		Netherlands — 0.7%
	1,493	ABN AMRO Group NV		30,708
	11,673	Aegon NV		47,882
	1,173	Altice NV – Class A *		19,594
	570	Boskalis Westminster		20,439
	22,753	ING Groep NV		284,762
	1,539	Koninklijke Ahold Delhaize NV		36,946
	1,154	Koninklijke DSM NV		80,551
	12,885	Koninklijke KPN NV		42,127
	1,202	NN Group NV		35,888
	756	Randstad Holdings NV		35,768
	29,444	Unilever NV CVA		1,354,752
		Total Netherlands		1,989,417
		New Zealand — 0.0%
	2,258	Contact Energy Ltd		8,518
	4,274	Fletcher Building Ltd		32,836
	4,347	Mercury NZ Ltd		9,996
	8,689	Meridian Energy Ltd		18,274
		Total New Zealand		69,624

Shares		Description	Value ($)
		Norway — 0.1%
	6,049	DNB ASA		73,358
	1,358	Gjensidige Forsikring ASA		23,281
	8,324	Norsk Hydro ASA		35,328
	4,960	Orkla ASA		45,391
	6,904	Statoil ASA		108,309
	1,106	Yara International ASA		39,167
		Total Norway		324,834
		Peru — 0.1%
	1,900	Cia de Minas Buenaventura SAA ADR *		23,484
	700	Credicorp Ltd		109,676
	400	Southern Copper Corp		10,328
		Total Peru		143,488
		Philippines — 0.2%
	38,520	Aboitiz Equity Ventures Inc		61,944
	29,200	Aboitiz Power Corp		28,492
	40,700	Alliance Global Group Inc		14,226
	15,570	Bank of the Philippine Islands		35,239
	20,760	BDO Unibank Inc		50,883
	51,300	DMCI Holdings Inc		12,639
	120,700	Energy Development Corp		14,832
	655	Globe Telecom Inc		27,675
	10,170	International Container Terminal Services Inc		18,316
	224,000	Megaworld Corp		22,602
	259,700	Metro Pacific Investments Corp		38,549
	12,500	Metropolitan Bank & Trust Co		22,393
	1,925	PLDT Inc		75,372
	32,400	Robinsons Land Corp		22,165
	9,040	Security Bank Corp		41,381
	4,770	SM Investments Corp		69,532
		Total Philippines		556,240
		Poland — 0.2%
	647	Bank Handlowy w Warszawie SA		12,050
	1,313	Bank Pekao SA		44,136
	4,375	Enea SA *		11,051
	4,103	Energa SA		8,502
	644	Grupa Lotos SA *		4,792
	2,775	KGHM Polska Miedz SA *		52,018
	14,055	Orange Polska SA		19,352
	16,675	PGE Polska Grupa Energetyczna SA		49,267
	6,358	Polski Koncern Naftowy ORLEN SA		105,829
	11,123	Powszechny Zaklad Ubezpieczen SA		78,815
	10,490	Synthos SA *		10,423
	20,839	Tauron Polska Energia SA *		14,821
		Total Poland		411,056
		Portugal — 0.0%
	14,334	EDP-Energias de Portugal SA		48,157

8 See accompanying notes to the financial statements.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Qatar — 0.1%
	968	Barwa Real Estate Co		9,705
	3,186	Commercial Bank QSC (The)		36,718
	2,520	Doha Bank QSC		25,965
	1,560	Industries Qatar QSC		47,933
	7,354	Masraf Al Rayan QSC		76,718
	1,594	Ooredoo QSC		44,928
	193	Qatar Electricity & Water Co QSC		11,476
	3,513	Qatar Gas Transport Co Ltd		24,092
	2,089	Qatar National Bank SAQ		93,489
		Total Qatar		371,024
		Russia — 0.4%
	113,211	Gazprom PAO Sponsored ADR		457,748
	7,557	Lukoil PJSC Sponsored ADR		338,673
	1,860	MegaFon PJSC GDR (Registered Shares)		18,902
	10,200	Mobile TeleSystems PJSC Sponsored ADR		82,926
	7,575	Rosneft PJSC GDR (Registered)		39,551
	8,970	Rostelecom PJSC		11,281
	2,318,000	RusHydro PJSC		28,275
	2,151	Severstal PJSC GDR (Registered Shares)		25,324
	142,700	Surgutneftegas OJSC		68,115
	3,062	Tatneft PAO Sponsored ADR		90,298
		Total Russia		1,161,093
		Singapore — 0.2%
	14,000	CapitaLand Commercial Trust (REIT)		15,862
	11,200	DBS Group Holdings Ltd		123,052
	47,900	Golden Agri-Resources Ltd		12,634
	38,400	Hutchison Port Holdings Trust – Class U		16,493
	9,000	Keppel Corp Ltd		34,123
	32,000	Noble Group Ltd *		2,784
	18,800	Oversea-Chinese Banking Corp Ltd		118,344
	6,700	Sembcorp Industries Ltd		13,330
	5,200	Sembcorp Marine Ltd		4,849
	16,200	Suntec Real Estate Investment Trust		19,901
	2,500	United Overseas Bank Ltd		32,966
	3,200	UOL Group Ltd		13,039
	11,900	Wilmar International Ltd		26,832
	13,000	Yangzijiang Shipbuilding Holdings Ltd		7,288
		Total Singapore		441,497
		South Africa — 0.9%
	8,241	Barclays Africa Group Ltd		83,552
	3,353	Brait SE *		26,586
	4,506	Coronation Fund Managers Ltd		21,378
	2,839	Exxaro Resources Ltd		14,559
	66,699	FirstRand Ltd		200,380
	13,635	Fortress Income Fund Ltd (REIT)		31,592
	18,878	Fortress Income Fund Ltd – Class A (REIT)		21,122

Shares		Description	Value ($)
		South Africa — continued
	4,255	Foschini Group Ltd (The)		37,878
	15,421	Gold Fields Ltd		78,064
	37,621	Growthpoint Properties Ltd (REIT)		65,139
	4,820	Hyprop Investments Ltd (REIT)		42,191
	12,377	Impala Platinum Holdings Ltd *		47,586
	3,589	Imperial Holdings Ltd		38,531
	2,269	Liberty Holdings Ltd		17,381
	12,273	Life Healthcare Group Holdings Ltd		32,129
	21,806	MMI Holdings Ltd		33,520
	2,345	Mondi Ltd		47,384
	31,831	MTN Group Ltd		260,307
	3,919	Nedbank Group Ltd		55,096
	1,061	Pioneer Foods Group Ltd		12,286
	88,008	Redefine Properties Ltd (REIT)		66,099
	13,989	RMB Holdings Ltd		56,007
	28,175	Sanlam Ltd		119,817
	5,365	Sappi Ltd *		26,433
	10,611	Sasol Ltd		267,868
	14,591	Sibanye Gold Ltd		56,709
	24,046	Standard Bank Group Ltd		218,040
	55,688	Steinhoff International Holdings NV		334,333
	4,698	Telkom SA SOC Ltd		19,452
	2,124	Tiger Brands Ltd		55,151
	8,757	Truworths International Ltd		45,386
	7,277	Tsogo Sun Holdings Ltd		15,056
	7,372	Vodacom Group Ltd		76,730
		Total South Africa		2,523,742
		South Korea — 2.1%
	5,258	BNK Financial Group Inc		41,639
	552	Daelim Industrial Co Ltd		39,981
	3,353	DGB Financial Group Inc		27,442
	842	Dongbu Insurance Co Ltd		50,911
	414	Dongsuh Cos Inc		11,436
	616	Doosan Heavy Industries & Construction Co		15,231
	985	GS Engineering & Construction Corp *		25,284
	1,013	GS Holdings Corp		44,776
	5,870	Hana Financial Group Inc		153,744
	312	Hanwha Corp		10,234
	4,306	Hanwha Life Insurance Co Ltd		21,850
	453	Hyosung Corp		53,515
	151	Hyundai Department Store Co Ltd		16,958
	1,542	Hyundai Engineering & Construction Co Ltd		53,098
	831	Hyundai Heavy Industries Co Ltd *		102,184
	621	Hyundai Marine & Fire Insurance Co Ltd		18,803
	1,306	Hyundai Mobis Co Ltd		304,348
	2,678	Hyundai Motor Co		319,024
	1,590	Hyundai Steel Co		72,953
	323	Hyundai Wia Corp		26,302

See accompanying notes to the financial statements. 9

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	5,517	Industrial Bank of Korea		58,040
	7,661	KB Financial Group Inc		267,293
	115	KCC Corp		42,460
	5,224	Kia Motors Corp		196,373
	5,092	Korea Electric Power Corp		264,482
	549	Korea Gas Corp		20,857
	503	Korea Investment Holdings Co Ltd		18,038
	59	Korea Zinc Co Ltd		25,270
	253	Korean Air Lines Co Ltd *		7,146
	19	KT Corp		537
	2,178	KT&G Corp		228,341
	177	Kumho Petrochemical Co Ltd		10,899
	1,882	LG Corp		110,997
	4,613	LG Display Co Ltd		123,737
	4,243	LG Uplus Corp		44,264
	40	Lotte Confectionery Co Ltd		6,069
	219	Lotte Shopping Co Ltd		39,775
	3,563	Mirae Asset Daewoo Co Ltd		25,328
	2,791	NH Investment & Securities Co Ltd		25,206
	331	OCI Co Ltd *		25,864
	701	Paradise Co Ltd		10,512
	1,384	POSCO		284,897
	903	Posco Daewoo Corp		18,462
	893	S-Oil Corp		56,406
	690	Samsung Card Co Ltd		27,321
	556	Samsung Electro-Mechanics Co Ltd		26,479
	663	Samsung Electronics Co Ltd		961,661
	1,281	Samsung Life Insurance Co Ltd		118,189
	1,137	Samsung Securities Co Ltd		35,647
	8,464	Shinhan Financial Group Co Ltd		309,352
	68	Shinsegae Inc		12,387
	595	SK Holdings Co Ltd		112,723
	11,654	SK Hynix Inc		379,986
	1,284	SK Innovation Co Ltd		166,656
	2,205	SK Networks Co Ltd		12,477
	401	SK Telecom Co Ltd		78,485
	6,703	Woori Bank		63,690
		Total South Korea		5,626,019
		Spain — 0.6%
	1,209	ACS Actividades de Construccion y Servicios SA		34,286
	11,835	Banco de Sabadell SA		16,051
	4,111	Banco Popular Espanol SA		5,562
	39,956	Banco Bilbao Vizcaya Argentaria SA		248,319
	84,874	Banco Santander SA		380,700
	28,608	Bankia SA		24,118
	10,575	CaixaBank SA		28,516
	1,330	Enagas SA		39,085

Shares		Description	Value ($)
		Spain — continued
	1,966	Endesa SA		40,065
	2,021	Ferrovial SA		39,857
	2,168	Gas Natural SDG SA		44,786
	32,561	Iberdrola SA		214,477
	7,318	Mapfre SA		19,848
	2,748	Red Electrica Corp SA		59,218
	6,955	Repsol SA		93,429
	26,274	Telefonica SA		265,100
	22	Zardoya Otis SA Bonus Shares *		207
	562	Zardoya Otis SA		5,297
		Total Spain		1,558,921
		Sweden — 0.4%
	1,865	Alfa Laval AB		28,957
	342	ICA Gruppen AB		11,691
	1,114	Industrivarden AB – C Shares		20,281
	18,800	Nordea Bank AB		183,558
	3,300	Sandvik AB		35,797
	9,402	Skandinaviska Enskilda Banken AB – Class A		91,774
	2,352	Skanska AB – B Shares		51,487
	2,464	SKF AB – B Shares		41,486
	9,268	Svenska Handelsbanken AB – A Shares		119,442
	5,605	Swedbank AB – A Shares		128,919
	2,167	Tele2 AB – B Shares		18,012
	18,836	Telefonaktiebolaget LM Ericsson – B Shares		134,155
	16,075	Telia Co AB		72,541
	9,791	Volvo AB – B Shares		105,103
		Total Sweden		1,043,203
		Switzerland — 2.3%
	3,256	ABB Ltd (Registered) *		70,629
	1,026	Adecco Group AG (Registered)		59,108
	540	Aryzta AG *		21,532
	310	Baloise Holding AG (Registered)		36,933
	3,454	Credit Suisse Group AG (Registered) *		45,033
	1,386	Julius Baer Group Ltd *		58,140
	47,735	Nestle SA (Registered)		3,804,137
	13,977	Novartis AG (Registered)		1,100,871
	210	Pargesa Holding SA		14,487
	482	Swatch Group AG (The)		124,156
	199	Swiss Life Holding AG (Registered) *		49,892
	411	Swiss Prime Site AG (Registered) *		36,162
	1,923	Swiss Re AG		162,506
	161	Swisscom AG (Registered)		77,011
	23,229	UBS Group AG (Registered)		336,628
	885	Zurich Insurance Group AG *		226,621
		Total Switzerland		6,223,846

10 See accompanying notes to the financial statements.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Taiwan — 1.7%
	58,000	Acer Inc *		25,983
	82,000	Advanced Semiconductor Engineering Inc		99,776
	47,000	Asia Cement Corp		41,946
	38,000	Asia Pacific Telecom Co Ltd *		12,787
	14,000	Asustek Computer Inc		118,247
	172,000	AU Optronics Corp		67,080
	1,000	Casetek Holdings Ltd		3,504
	5,000	Catcher Technology Co Ltd *		35,865
	162,000	Cathay Financial Holding Co Ltd		204,340
	7,000	Chailease Holding Co Ltd		12,067
	97,520	Chang Hwa Commercial Bank Ltd		48,939
	22,000	Cheng Shin Rubber Industry Co Ltd		46,676
	53,000	China Airlines Ltd		15,373
	271,000	China Development Financial Holding Corp		68,351
	65,520	China Life Insurance Co Ltd		57,911
	234,000	China Steel Corp		162,021
	33,000	Chunghwa Telecom Co Ltd		118,473
	84,000	Compal Electronics Inc		49,718
	304,000	CTBC Financial Holding Co Ltd		175,513
	26,250	Eva Airways Corp		12,148
	64,000	Far Eastern New Century Corp		47,117
	20,000	Far EasTone Telecommunications Co Ltd		46,537
	190,190	First Financial Holding Co Ltd		97,625
	15,000	Formosa Taffeta Co Ltd		14,467
	18,180	Foxconn Technology Co Ltd *		50,918
	132,000	Fubon Financial Holding Co Ltd		186,333
	16,000	Highwealth Construction Corp		24,845
	267,750	Hon Hai Precision Industry Co Ltd		740,618
	7,000	HTC Corp *		18,716
	135,936	Hua Nan Financial Holdings Co Ltd – Class C		69,971
	168,000	Innolux Corp		59,174
	19,000	Inotera Memories Inc *		16,058
	46,000	Inventec Corp		34,066
	41,435	Lite-On Technology Corp		62,602
	28,000	MediaTek Inc		219,751
	216,000	Mega Financial Holding Co Ltd		146,872
	4,000	Merida Industry Co Ltd		16,298
	93,000	Nan Ya Plastics Corp		177,272
	14,000	Nanya Technology Corp		16,517
	11,000	Novatek Microelectronics Corp		37,473
	1,000	OBI Pharma Inc *		12,514
	25,000	Pegatron Corp		60,319
	3,000	Phison Electronics Corp		21,655
	13,000	Powertech Technology Inc		33,893
	54,000	Quanta Computer Inc		99,655
	9,000	Realtek Semiconductor Corp		35,947
	17,000	Ruentex Development Co Ltd *		19,889
	10,000	Ruentex Industries Ltd		15,497
	162,000	Shin Kong Financial Holding Co Ltd *		35,472
	43,000	Siliconware Precision Industries Co Ltd		64,029

Shares		Description	Value ($)
		Taiwan — continued
	5,000	Simplo Technology Co Ltd		16,438
	200,550	SinoPac Financial Holdings Co Ltd		58,554
	28,350	Synnex Technology International Corp		29,896
	171,577	Taishin Financial Holding Co Ltd		64,811
	42,000	Taiwan Business Bank *		11,219
	66,000	Taiwan Cement Corp		75,207
	75,970	Taiwan Cooperative Financial Holding Co Ltd		33,356
	16,000	Taiwan Fertilizer Co Ltd		21,109
	16,000	Taiwan Mobile Co Ltd		56,187
	38,000	Teco Electric and Machinery Co Ltd		31,906
	4,000	Transcend Information Inc		11,515
	240,000	United Microelectronics Corp		87,020
	49,393	Wistron Corp		36,219
	30,000	WPG Holdings Ltd		35,626
	190,000	Yuanta Financial Holding Co Ltd		67,239
	17,000	Yulon Motor Co Ltd		14,675
	3,000	Zhen Ding Technology Holding Ltd		5,999
		Total Taiwan		4,515,794
		Thailand — 0.4%
	20,800	Advanced Info Service Pcl (Foreign Registered)		99,376
	4,900	Bangkok Bank Pcl NVDR		23,970
	31,000	Banpu Pcl (Foreign Registered)		14,052
	19,600	BEC World Pcl (Foreign Registered)		12,677
	117,000	BTS Group Holdings Pcl (Foreign Registered)		30,571
	2,600	Electricity Generating Pcl (Foreign Registered)		14,821
	10,300	Glow Energy Pcl (Foreign Registered)		23,777
	28,900	Indorama Ventures Pcl (Foreign Registered)		26,679
	200,400	IRPC Pcl (Foreign Registered)		27,997
	11,500	Kasikornbank Pcl NVDR		65,546
	69,900	Krung Thai Bank Pcl (Foreign Registered)		38,328
	27,800	PTT Exploration & Production Pcl (Foreign Registered)		64,977
	41,500	PTT Global Chemical Pcl (Foreign Registered)		72,946
	20,000	PTT Pcl (Foreign Registered)		200,976
	2,100	Siam Cement Pcl (The) (Foreign Registered) (a)		32,137
	31,200	Siam Commercial Bank Pcl (The) (Foreign Registered)		144,005
	16,300	Thai Oil Pcl (Foreign Registered)		33,287
	171,000	TMB Bank Pcl (Foreign Registered)		11,164
		Total Thailand		937,286
		Turkey — 0.2%
	6,114	Akbank TAS		16,160
	37,654	Emlak Konut Gayrimenkul Yatirim Ortakligi AS		37,044

See accompanying notes to the financial statements. 11

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Turkey — continued
	27,751	Eregli Demir ve Celik Fabrikalari TAS		41,751
	18,196	Haci Omer Sabanci Holding AS		56,143
	8,085	KOC Holding AS		35,093
	5,973	Petkim Petrokimya Holding AS		9,265
	2,506	Tupras-Turkiye Petrol Rafineriler AS		49,065
	7,180	Turk Hava Yollari AO *		12,519
	9,008	Turk Telekomunikasyon AS		18,180
	17,440	Turkcell Iletisim Hizmetleri AS *		58,453
	12,386	Turkiye Halk Bankasi AS		37,173
	31,213	Turkiye Is Bankasi – Class C		50,747
	14,863	Turkiye Vakiflar Bankasi TAO – Class D		21,855
	17,229	Yapi ve Kredi Bankasi AS *		21,188
		Total Turkey		464,636
		United Arab Emirates — 0.1%
	38,989	Abu Dhabi Commercial Bank PJSC		68,091
	61,451	Aldar Properties PJSC		46,102
	24,597	Dubai Islamic Bank PJSC		36,517
	45,622	Emaar Properties PJSC		88,105
	17,917	First Gulf Bank PJSC		57,065
	13,483	National Bank of Abu Dhabi PJSC		33,478
		Total United Arab Emirates		329,358
		United Kingdom — 8.8%
	6,020	3i Group Plc		48,587
	5,710	Aberdeen Asset Management Plc		24,056
	1,307	Admiral Group Plc		35,216
	8,677	Anglo American Plc *		88,941
	1,592	Antofagasta Plc		10,348
	7,436	AstraZeneca Plc		480,001
	25,043	Aviva Plc		141,331
	19,592	BAE Systems Plc		138,447
	98,843	Barclays Plc		223,393
	2,230	Barratt Developments Plc		14,467
	288	Berkeley Group Holdings Plc (The)		10,105
	13,073	BHP Billiton Plc		170,042
	109,058	BP Plc		613,079
	73,384	British American Tobacco Plc		4,552,936
	6,047	British Land Co Plc (The) (REIT)		52,667
	6,663	Burberry Group Plc		114,176
	31,360	Centrica Plc		95,892
	7,047	Cobham Plc		14,958
	68,988	Compass Group Plc		1,305,769
	8,510	Direct Line Insurance Group Plc		41,330
	6,217	Dixons Carphone Plc		30,260
	9,606	G4S PLC		29,100
	28,641	GlaxoSmithKline Plc		616,505
	75,734	Glencore Plc *		173,299
	4,973	Hammerson Plc (REIT)		37,884
	115,955	HSBC Holdings Plc		862,116

Shares		Description	Value ($)
		United Kingdom — continued
	3,427	ICAP Plc		21,537
	1,683	IMI Plc		23,357
	5,637	Imperial Brands Plc		295,679
	5,826	Intu Properties Plc (REIT)		24,197
	4,966	Investec Plc		29,209
	1,346	Investec Plc		7,969
	8,335	J Sainsbury Plc		26,303
	430	Johnson Matthey Plc		18,852
	14,204	Kingfisher Plc		69,274
	4,861	Land Securities Group Plc (REIT)		69,832
	23,712	Legal & General Group Plc		65,590
	384,611	Lloyds Banking Group Plc		299,769
	10,114	Marks & Spencer Group Plc		45,749
	4,798	Meggitt Plc		29,509
	22,027	National Grid Plc		303,136
	30,506	Old Mutual Plc		77,925
	5,082	Pearson Plc		57,791
	1,270	Persimmon Plc		30,422
	34,112	Reckitt Benckiser Group Plc		3,295,175
	7,263	Rio Tinto Plc		218,636
	5,689	Rolls-Royce Holdings Plc *		57,520
	21,497	Royal Bank of Scotland Group Plc *		56,909
	26,063	Royal Dutch Shell Plc A Shares (London)		636,973
	21,554	Royal Dutch Shell Plc B Shares (London)		548,699
	5,570	Royal Mail Plc		37,587
	6,295	RSA Insurance Group Plc		41,075
	861	Schroders Plc		31,493
	4,628	Segro Plc (REIT)		27,548
	950	Severn Trent Plc		29,731
	2,446	Smiths Group Plc		43,084
	6,228	SSE PLC		123,123
	12,193	Standard Life Plc		58,412
	20,268	Standard Chartered Plc *		170,834
	2,887	Tate & Lyle Plc		27,821
	1,110	TUI AG		15,502
	136,411	Unilever Plc		6,332,369
	4,331	United Utilities Group Plc		55,305
	156,152	Vodafone Group Plc		471,213
	1,324	Weir Group Plc (The)		26,215
	5,473	William Hill Plc		22,888
	13,722	Wm Morrison Supermarkets Plc		35,506
		Total United Kingdom		23,784,623
		United States — 52.6%
	27,218	3M Co.		4,878,554
	50,800	Abbott Laboratories		2,134,616
	33,500	Accenture Plc – Class A		3,852,500
	9,010	Alphabet, Inc. – Class A *		7,116,548
	4,695	Alphabet, Inc. – Class C *		3,601,300
	81,747	American Express Co.		5,360,968
	7,100	Amphenol Corp. – Class A		442,401

12 See accompanying notes to the financial statements.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	10,359	Analog Devices, Inc.		648,059
	2,800	Anthem, Inc.		350,224
	57,300	Apple, Inc.		6,079,530
	216	Ball Corp.		17,105
	7,479	Becton, Dickinson and Co.		1,325,354
	13,650	Cerner Corp. *		880,971
	4,300	Church & Dwight Co., Inc.		427,506
	247,324	Cisco Systems, Inc.		7,775,867
	133,842	Coca-Cola Co. (The)		5,812,758
	51,338	Cognizant Technology Solutions Corp. – Class A *		2,948,855
	30,110	Colgate-Palmolive Co.		2,238,377
	9,800	Costco Wholesale Corp.		1,588,482
	10,800	CVS Health Corp.		1,008,720
	61,000	EMC Corp.		1,768,390
	28,748	Emerson Electric Co.		1,514,445
	8,839	Express Scripts Holding Co. *		642,595
	2,200	Genuine Parts Co.		226,204
	7,000	Honeywell International, Inc.		816,970
	5,891	Humana, Inc.		1,052,781
	21,167	Illinois Tool Works, Inc.		2,515,698
	6,631	Intuit, Inc.		739,025
	900	Intuitive Surgical, Inc. *		617,778
	81,700	Johnson & Johnson		9,750,078
	10,257	MasterCard, Inc. – Class A		991,134
	16,224	McDonald’s Corp.		1,876,468
	52,967	Medtronic Plc		4,609,718
	187,100	Microsoft Corp.		10,750,766
	34,237	Monsanto Co.		3,646,241
	26,194	NIKE, Inc – Class B		1,509,822
	192,382	Oracle Corp.		7,929,986
	8,200	Paychex, Inc.		497,494
	17,666	PepsiCo, Inc.		1,885,846
	23,100	Pfizer, Inc.		803,880
	67,800	Philip Morris International, Inc.		6,775,254
	41,530	Procter & Gamble Co. (The)		3,625,984
	82,909	QUALCOMM, Inc.		5,229,071
	4,165	Rockwell Automation, Inc.		482,848
	21,494	Schlumberger Ltd.		1,698,026
	8,574	St Jude Medical, Inc.		668,086
	14,126	Stryker Corp.		1,633,813
	12,000	Texas Instruments, Inc.		834,480
	6,516	TJX Cos., Inc. (The)		504,599
	2,900	United Technologies Corp.		308,647
	34,708	UnitedHealth Group, Inc.		4,722,023
	13,912	VF Corp.		863,240
	4,855	Wal-Mart Stores, Inc.		346,841
	2,100	WW Grainger, Inc.		484,386
	6,228	Zimmer Biomet Holdings, Inc.		807,211
		Total United States		141,618,523
		TOTAL COMMON STOCKS (COST $220,738,944)		236,634,892

Shares		Description	Value ($)
		PREFERRED STOCKS — 0.9%
		Brazil — 0.7%
	53,180	Banco Bradesco SA		478,574
	2,300	Centrais Eletricas Brasileiras SA – Class B *		20,299
	14,900	Cia Energetica de Minas Gerais		40,374
	3,800	Cia Energetica de Sao Paulo – Class B		15,874
	2,000	Cia Paranaense de Energia – Class B		20,414
	17,000	Gerdau SA		47,801
	54,400	Itau Unibanco Holding SA		603,939
	77,110	Itausa-Investimentos Itau SA		205,359
	77,700	Petroleo Brasileiro SA *		309,193
	38,200	Vale SA		171,174
		Total Brazil		1,913,001
		Chile — 0.0%
	3,383	Embotelladora Andina SA –Class B		12,109
	963	Sociedad Quimica y Minera de Chile SA – Class B		24,481
		Total Chile		36,590
		Colombia — 0.0%
	1,905	Grupo de Inversiones Suramericana SA		24,483
		Germany — 0.1%
	338	Bayerische Motoren Werke AG		25,297
	947	Porsche Automobil Holding SE		47,850
	1,148	Volkswagen AG		158,888
		Total Germany		232,035
		Russia — 0.0%
	137,245	Surgutneftegas OJSC *		68,774
		South Korea — 0.1%
	473	Hyundai Motor Co		40,636
	745	Hyundai Motor Co		67,133
	153	LG Chem Ltd		24,650
	82	Samsung Electronics Co Ltd		97,250
		Total South Korea		229,669
		TOTAL PREFERRED STOCKS (COST $1,806,349)		2,504,552
		RIGHTS/WARRANTS — 0.0%
		South Korea — 0.0%
	80	Hanwha Corp Rights, Expires 10/05/16*		0
		TOTAL RIGHTS/WARRANTS (COST $0)		0

See accompanying notes to the financial statements. 13

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 4.4%
		United States — 4.4%
		Affiliated Issuers
	473,760	GMO U.S. Treasury Fund		11,848,744
		TOTAL MUTUAL FUNDS (COST $11,848,744)		11,848,744
		SHORT-TERM INVESTMENTS — 6.3%
		Time Deposits † — 0.3%
AUD	8,666	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.69%, due 09/01/16		6,514
DKK	1,492	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.20)%, due 09/01/16		224
EUR	5,119	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.54)%, due 09/01/16		5,710
HKD	56,887	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/16		7,333
JPY	714,962	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.29)%, due 09/01/16		6,910
NOK	9,382	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.08%, due 09/01/16		1,126
NZD	13,534	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.25%, due 09/01/16		9,820
SGD	7,669	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/16		5,629
ZAR	127,979	Brown Brothers Harriman (Grand Cayman) Time Deposit, 6.44%, due 09/01/16		8,705
	813,040	Citibank (New York) Time Deposit, 0.15%, due 09/01/16		813,040
		Total Time Deposits		865,011
		U.S. Government — 6.0%
	2,000,000	U.S. Treasury Bill, 0.33%, due 12/08/16 (b) (c)		1,998,240
	3,000,000	U.S. Treasury Bill, 0.41%, due 01/26/17 (b) (c)		2,994,990
	5,500,000	U.S. Treasury Bill, 0.44%, due 02/02/17 (b) (c)		5,489,819
	5,000,000	U.S. Treasury Bill, 0.44%, due 02/09/17 (b) (c)		4,990,200
	500,000	U.S. Treasury Bill, 0.45%, due 02/16/17 (b)		498,969
		Total U.S. Government		15,972,218
		TOTAL SHORT-TERM INVESTMENTS (COST $16,837,589)		16,837,229
		TOTAL INVESTMENTS — 99.4% (Cost $251,231,626)		267,825,417
		Other Assets and Liabilities (net) — 0.6%		1,635,291
		TOTAL NET ASSETS — 100.0%		$269,460,708

A summary of outstanding financial instruments at August 31, 2016 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Sales
464	Russell 2000 Mini	September 2016	$	57,480,320	$	(3,756,548	)
1,540	S&P 500 E-Mini Index	September 2016		167,051,500		(5,978,072	)
			$	224,531,820	$	(9,734,620	)

+ Buys - Fund is long the futures contract. Sales - Fund is short the futures contract.

As of August 31, 2016, 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:

† Denominated in U.S. Dollar, unless otherwise indicated.

* 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) 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 (Note 4).

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.

14 See accompanying notes to the financial statements.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		49.2	%
Debt Obligations		31.2
Short-Term Investments		16.1
Preferred Stocks		1.4
Forward Currency Contracts		0.4
Investment Funds		0.1
Futures Contracts		0.1
Swap Contracts		0.1
Loan Participations		0.1
Options Purchased		0.1
Rights/Warrants		0.0	^
Loan Assignments		0.0	^
Written Options/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Securities Sold Short		(1.6	)
Other		2.8
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		5.5	%
Other Emerging		4.9	†
Mexico		1.8
New Zealand		1.0
Sweden		1.0
Other Developed		(1.0	)‡
Euro Region		0.0	±^
		13.2	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		17.4	%
Other Developed		5.1	‡
China		4.4
Other Emerging		4.0	†
Japan		3.3
South Korea		2.9
United Kingdom		2.6
Taiwan		2.5
Brazil		1.8
Germany		1.7
France		1.2
South Africa		1.2
Netherlands		1.1
		49.2	%

& The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

¤ The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency

options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

± “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

^ Rounds to 0.0%.

15

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		United States — 100.0%
		Affiliated Issuers — 100.0%
	28,956,293	GMO Debt Opportunities Fund, Class VI		733,462,905
	22,552,829	GMO Emerging Country Debt Fund, Class IV		678,163,582
	952,958,711	GMO Implementation Fund		12,159,753,156
	21,349,554	GMO SGM Major Markets Fund, Class VI		750,650,316
	37,582,317	GMO Special Opportunities Fund, Class VI		757,283,678
		TOTAL MUTUAL FUNDS (COST $15,079,971,943)		15,079,313,637
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	9,339,107	State Street Institutional Treasury Money Market Fund-Premier Class, 0.19% (a)		9,339,107
		TOTAL SHORT-TERM INVESTMENTS (COST $9,339,107)		9,339,107
		TOTAL INVESTMENTS — 100.1% (Cost $15,089,311,050)		15,088,652,744
		Other Assets and Liabilities (net) — (0.1%)		(8,341,911	)
		TOTAL NET ASSETS — 100.0%		$15,080,310,833

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2016.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.

16 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		52.5	%
Debt Obligations		29.6
Short-Term Investments		14.4
Preferred Stocks		1.6
Forward Currency Contracts		0.3
Investment Funds		0.2
Futures Contracts		0.1
Loan Participations		0.1
Rights/Warrants		0.1
Loan Assignments		0.0	^
Options Purchased		0.0	^
Written/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Swap Contracts		(0.1	)
Other		1.2
		100.0	%
Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		16.3	%
Other Emerging		11.5	†
Mexico		3.0
Russia		1.7
Brazil		1.4
Venezuela		1.3
Argentina		1.2
Turkey		1.2
Indonesia		1.1
Other Developed		0.0	‡^
		38.7	%
Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		16.8	%
Other Developed		5.7	‡
China		4.4
Japan		4.0
Taiwan		3.9
South Korea		3.5
United Kingdom		3.0
Other Emerging		2.3	†
Germany		2.0
India		2.0
Russia		1.6
France		1.6
Brazil		1.5
Netherlands		1.1
South Africa		1.0
		54.4	%

& The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

¤ The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through the use of certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

# “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

^ Rounds to 0.0%.

17

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 37.8%
		Australia — 0.8%
	97,731	Abacus Property Group (REIT)		221,420
	277,097	Adelaide Brighton Ltd		1,091,700
	4,960	ASX Ltd		190,422
	127,569	BlueScope Steel Ltd		831,801
	35,810	BT Investment Management Ltd		237,752
	21,672	CIMIC Group Ltd		481,262
	3,986	Credit Corp Group Ltd		49,685
	50,154	CSR Ltd		129,838
	298,189	Dexus Property Group (REIT)		2,175,152
	293,587	Downer EDI Ltd		1,079,209
	795,070	Fairfax Media Ltd		587,736
	5,919	Flight Centre Travel Group Ltd		163,697
	457,132	GPT Group (The) (REIT)		1,828,480
	235,316	Investa Office Fund (REIT)		805,509
	14,541	IOOF Holdings Ltd		97,218
	74,116	LendLease Group		768,017
	1,636,275	Mirvac Group (REIT)		2,847,871
	111,599	Nine Entertainment Co Holdings Ltd		83,738
	368,163	OZ Minerals Ltd		1,766,293
	13,425	Pact Group Holdings Ltd		61,969
	15,737	Premier Investments Ltd		194,170
	1,636,733	Scentre Group (REIT)		6,106,129
	178,590	Shopping Centres Australasia Property Group (REIT)		309,582
	158,229	Sonic Healthcare Ltd		2,731,413
	428,326	Star Entertainment Grp Ltd (The)		1,896,510
	551,408	Stockland (REIT)		2,007,412
	1,593,590	Telstra Corp Ltd		6,292,954
	166,095	Westfield Corp (REIT)		1,273,939
	101,384	WorleyParsons Ltd *		617,563
		Total Australia		36,928,441
		Austria — 0.1%
	13,785	Oesterreichische Post AG *		495,132
	94,528	OMV AG		2,648,698
	29,796	voestalpine AG		987,510
		Total Austria		4,131,340
		Belgium — 0.1%
	49,159	Ageas		1,704,634
	93,967	AGFA-Gevaert NV *		297,996
	46,735	bpost SA		1,189,340
	7,290	D’Ieteren SA NV		352,289
	2,104	Groupe Bruxelles Lambert SA		184,784
	2,134	Melexis NV		139,953
	9,564	Orange Belgium SA *		222,925
	14,831	Proximus SADP		454,233
	15,431	Umicore SA		912,079
		Total Belgium		5,458,233

Shares		Description	Value ($)
		Brazil — 0.3%
	427,500	Ambev SA		2,540,482
	200,000	Banco do Brasil SA		1,437,508
	242,700	BB Seguridade Participacoes SA		2,190,854
	616,750	BM&FBovespa SA – Bolsa de Valores Mercadorias e Futuros		3,420,659
	396,978	EDP-Energias do Brasil SA		1,757,954
	18,800	Grendene SA		104,619
	191,100	Transmissora Alianca de Energia Eletrica SA		1,372,947
		Total Brazil		12,825,023
		Canada — 0.8%
	80,000	Air Canada *		546,591
	3,300	Alimentation Couche-Tard Inc – Class B		170,184
	27,300	Bank of Montreal		1,810,702
	22,800	BCE Inc		1,064,760
	150,900	BCE Inc		7,050,208
	16,900	Canadian Imperial Bank of Commerce		1,341,536
	12,800	Canadian National Railway Co		822,522
	17,900	Canadian Tire Corp Ltd – Class A		1,833,542
	5,700	Cascades Inc		48,507
	38,500	Celestica Inc *		410,424
	33,300	CGI Group Inc – Class A *		1,620,817
	123,400	CI Financial Corp		2,415,493
	8,100	Cogeco Communications Inc		391,906
	17,600	Corus Entertainment Inc – B Shares		164,941
	48,100	IAMGOLD Corp *		177,970
	176,700	IAMGOLD Corp *		656,191
	900	Laurentian Bank of Canada		33,738
	6,600	Linamar Corp		272,375
	20,100	Magna International Inc		809,426
	169,700	Metro Inc		5,763,640
	1,900	National Bank of Canada		66,777
	21,700	Power Corp of Canada		458,688
	26,300	Royal Bank of Canada		1,635,076
	133,000	Sun Life Financial Inc		4,196,691
	40,400	Toromont Industries Ltd		1,222,413
	56,100	Toronto-Dominion Bank (The)		2,503,410
	56,000	Transcontinental Inc – Class A		819,887
	13,930	WestJet Airlines Ltd		257,058
		Total Canada		38,565,473
		China — 2.3%
	388,000	Agile Group Holdings Ltd		220,089
	737,500	Anhui Conch Cement Co Ltd – Class H		2,065,604
	152,000	Anhui Expressway Co Ltd – Class H		124,835
	522,000	ANTA Sports Products Ltd		1,409,647
	1,094,000	Beijing Capital International Airport Co Ltd – Class H		1,231,591
	948,000	Beijing Capital Land Ltd – Class H		369,555
	5,187,000	Belle International Holdings Ltd		3,362,155

18 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		China — continued
	12,300	Changyou.com Ltd ADR *		304,794
	2,158,000	China BlueChemical Ltd – Class H		410,926
	1,932,000	China Communications Services Corp Ltd – Class H		1,134,094
	1,372,000	China Everbright Ltd		2,839,313
	3,982,000	China Jinmao Holdings Group Ltd		1,238,854
	1,123,000	China Lesso Group Holdings Ltd		787,251
	1,486,000	China Machinery Engineering Corp – Class H		902,442
	168,500	China Mobile Ltd		2,075,754
	132,400	China Mobile Ltd Sponsored ADR		8,038,004
	6,226,000	China National Building Material Co Ltd – Class H		2,801,505
	1,063,000	China National Materials Co Ltd – Class H		256,834
	56,000	China Overseas Land & Investment Ltd		184,441
	5,986,000	China Petroleum & Chemical Corp – Class H		4,278,477
	957,500	China Railway Construction Corp Ltd – Class H		1,168,541
	724,000	China Resources Land Ltd		2,031,677
	2,096,000	China Resources Power Holdings Co Ltd		3,610,217
	7,302,000	China Telecom Corp Ltd – Class H		3,762,501
	3,080,000	China Travel International Investment Hong Kong Ltd		903,256
	1,181,500	China ZhengTong Auto Services Holdings Ltd		410,152
	1,734,000	CIFI Holdings Group Co Ltd		541,969
	3,702,000	CNOOC Ltd		4,466,174
	3,276,000	Country Garden Holdings Co Ltd		1,660,307
	3,488,000	Datang International Power Generation Co Ltd – Class H		911,172
	1,172,000	Dongfeng Motor Group Co Ltd – Class H		1,249,184
	463,000	Far East Horizon Ltd		431,617
	1,549,000	Greentown China Holdings Ltd *		1,261,871
	2,238,000	Guangdong Investment Ltd		3,455,828
	1,836,400	Guangzhou R&F Properties Co Ltd – Class H		3,094,904
	2,771,000	Huabao International Holdings Ltd *		1,066,167
	2,666,000	Huadian Power International Corp Ltd – Class H		1,190,241
	1,200,000	Huaneng Power International Inc – Class H		731,174
	1,328,000	Jiangsu Expressway Co Ltd – Class H		1,863,614
	669,000	Kingboard Chemical Holdings Ltd		1,739,540
	1,808,500	KWG Property Holding Ltd		1,211,078
	2,083,000	Lee & Man Paper Manufacturing Ltd		1,677,781
	520,500	Longfor Properties Co Ltd		836,815
	2,585,000	People’s Insurance Co Group of China Ltd (The) – Class H		1,035,384
	2,372,000	PICC Property & Casualty Co Ltd – Class H		3,903,841
	2,016,000	Poly Property Group Co Ltd *		575,193
	355,000	Shanghai Industrial Holdings Ltd		922,551
	298,200	Shanghai Pharmaceuticals Holding Co Ltd – Class H		817,253
	1,300,000	Shenzhen Expressway Co Ltd – Class H		1,372,418
	956,500	Shenzhen International Holdings Ltd		1,532,859
	1,335,500	Shimao Property Holdings Ltd		1,853,516
	1,469,000	Sino Biopharmaceutical Ltd		940,880

Shares		Description	Value ($)
		China — continued
	2,825,500	Sino-Ocean Group Holding Ltd		1,308,164
	1,831,500	Sinopec Engineering Group Co Ltd – Class H		1,515,493
	605,500	Sinotruk Hong Kong Ltd		295,906
	3,590,000	Skyworth Digital Holdings Ltd		2,652,827
	2,067,500	SOHO China Ltd		1,232,461
	53,545	Sohu.com Inc *		2,277,804
	706,000	Tianjin Port Development Holdings Ltd		109,010
	764,000	Tianneng Power International Ltd		627,546
	1,453,000	TravelSky Technology Ltd – Class H		3,149,519
	520,000	Xinhua Winshare Publishing and Media Co Ltd – Class H *		528,155
	1,145,500	XTEP International Holdings Ltd		590,992
	5,344,000	Yuexiu Property Co Ltd		811,026
	1,274,000	Yuexiu Real Estate Investment Trust		835,311
	496,000	Yuexiu Transport Infrastructure Ltd		343,708
	1,926,000	Zhejiang Expressway Co Ltd – Class H		2,145,135
		Total China		104,688,897
		Czech Republic — 0.1%
	94,952	CEZ AS		1,657,363
	21,015	Komercni Banka as		710,720
		Total Czech Republic		2,368,083
		Denmark — 0.1%
	849	AP Moeller – Maersk A/S – Class B		1,270,071
	21,180	Carlsberg A/S – Class B		1,988,189
	902	Dfds A/S		47,562
	18,400	Novo Nordisk A/S Sponsored ADR		859,648
		Total Denmark		4,165,470
		Finland — 0.2%
	1,567	Cramo Oyj		40,902
	11,479	Fortum Oyj		177,074
	14,464	Metso Oyj		404,908
	78,420	Neste Oyj		3,266,366
	67,702	Sponda Oyj		353,509
	79,067	Stora Enso Oyj – R Shares		697,848
	9,631	Tieto Oyj		287,416
	142,244	UPM-Kymmene Oyj		2,859,100
		Total Finland		8,087,123
		France — 1.6%
	62,974	Air France-KLM *		346,626
	4,334	Alten SA		297,849
	10,720	APERAM SA		443,910
	704,237	AXA SA		14,822,266
	132,830	BNP Paribas SA		6,783,692
	23,601	Capgemini SA		2,306,043
	22,965	Christian Dior SE		3,979,621

See accompanying notes to the financial statements. 19

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		France — continued
	33,001	Cie Generale des Etablissements Michelin		3,517,786
	34,051	CNP Assurances		549,260
	2,901	Euler Hermes Group		240,049
	5,026	Ipsen SA		326,683
	9,758	Legrand SA		586,221
	23,769	LVMH Moet Hennessy Louis Vuitton SE		4,021,922
	24,898	M6-Metropole Television SA		442,205
	5,671	Nexity SA *		297,601
	55,149	Rexel SA		888,366
	60,901	SCOR SE		1,796,894
	96,201	Societe Generale SA		3,512,271
	9,260	Societe BIC SA		1,353,114
	11,900	Suez		180,443
	514,648	TOTAL SA		24,588,021
	35,130	Vivendi SA		680,423
		Total France		71,961,266
		Germany — 1.7%
	56,930	ADVA Optical Networking SE *		485,767
	78,843	Allianz SE (Registered)		11,720,566
	9,175	Aurubis AG		483,096
	182,410	BASF SE		14,796,287
	59,321	Bayerische Motoren Werke AG		5,154,567
	2,049	Bechtle AG (Registered)		228,615
	295,619	Daimler AG (Registered Shares)		20,463,014
	3,414	Deutsche EuroShop AG		157,000
	297,918	Deutsche Lufthansa AG (Registered)		3,465,581
	202,271	Deutsche Telekom AG (Registered)		3,374,148
	161	Duerr AG		13,595
	38,882	Evonik Industries AG		1,304,663
	12,197	Fraport AG Frankfurt Airport Services Worldwide		679,715
	22,800	Freenet AG		654,116
	18,948	Hannover Rueck SE		1,937,033
	16,556	HeidelbergCement AG		1,536,381
	634	Indus Holding AG		34,186
	10,573	Jenoptik AG		192,077
	64,192	K+S AG (Registered)		1,341,637
	4,971	Leoni AG		183,920
	20,112	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		3,631,846
	57,288	ProSiebenSat.1 Media SE		2,471,765
	17,203	RHOEN-KLINIKUM AG		508,584
	6,971	RTL Group SA		586,843
	1,641	SAF-Holland SA		18,833
	16,603	SAP AG		1,458,074
	37,776	Software AG		1,501,942
	27,001	STADA Arzneimittel AG		1,447,987
	2,276	Talanx AG		66,623
		Total Germany		79,898,461

Shares		Description	Value ($)
		Hong Kong — 0.6%
	900,900	BOC Hong Kong Holdings Ltd		3,145,380
	389,400	Champion (REIT)		248,080
	70,500	CK Hutchison Holdings Ltd		904,546
	184,500	Dah Sing Banking Group Ltd		338,568
	37,000	Dah Sing Financial Holdings Ltd		249,598
	388,200	Esprit Holdings Ltd *		342,862
	11,800	Hang Seng Bank Ltd		206,664
	170,170	Henderson Land Development Co Ltd		992,860
	381,000	Hongkong Land Holdings Ltd		2,469,372
	222,100	Hysan Development Co Ltd		1,070,900
	403,300	Kerry Properties Ltd		1,171,275
	507,900	Link (REIT)		3,689,343
	89,800	Luk Fook Holdings International Ltd		204,709
	562,800	Man Wah Holdings Ltd		381,875
	29,700	New World Development Co Ltd		37,140
	276,000	Pacific Textiles Holdings Ltd		362,689
	364,300	PCCW Ltd		230,856
	524,000	Shun Tak Holdings Ltd		172,585
	203,500	Sino Land Co Ltd		347,800
	1,372,900	SJM Holdings Ltd		861,301
	246,300	SmarTone Telecommunications Holdings Ltd		406,088
	233,800	Sun Hung Kai Properties Ltd		3,284,486
	152,000	Swire Pacific Ltd – Class A		1,676,864
	81,600	Swire Properties Ltd		229,505
	115,000	Techtronic Industries Co Ltd		465,834
	52,100	Television Broadcasts Ltd		185,795
	188,600	Texwinca Holdings Ltd		134,818
	110,800	Value Partners Group Ltd		101,812
	344,100	Wharf Holdings Ltd (The)		2,425,054
	214,500	Wheelock & Co Ltd		1,224,819
	55,425	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		11,432
	443,400	Xinyi Glass Holdings Ltd *		381,157
	136,900	Yue Yuen Industrial Holdings Ltd		581,941
		Total Hong Kong		28,538,008
		Hungary — 0.0%
	328,360	Magyar Telekom Telecommunications Plc		512,002
	6,821	MOL Hungarian Oil & Gas Plc		425,759
	31,656	OTP Bank Plc		826,428
		Total Hungary		1,764,189
		India — 0.5%
	162,931	Bharat Petroleum Corp Ltd		1,462,403
	310,405	Canara Bank *		1,295,208
	629,161	Housing Development & Infrastructure Ltd *		870,413
	131,824	Indiabulls Housing Finance Ltd		1,609,490
	633,124	Infosys Ltd Sponsored ADR		10,041,347
	10,028	Mindtree Ltd		83,862
	16,554	NIIT Technologies Ltd		98,872

20 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		India — continued
	384,928	Power Finance Corp Ltd Bonus Shares *		666,741
	384,928	Power Finance Corp		711,955
	541,645	Rural Electrification Corp Ltd		1,930,450
	389,600	Syndicate Bank *		446,616
	50,812	Tata Consultancy Services Ltd		1,907,753
	190,800	Wipro Ltd ADR		1,969,056
		Total India		23,094,166
		Ireland — 0.0%
	58,821	Smurfit Kappa Group Plc		1,451,846
		Israel — 0.4%
	408,286	Bank Hapoalim BM		2,192,152
	610,629	Bank Leumi Le-Israel BM *		2,288,204
	527,456	Bezeq The Israeli Telecommunication Corp Ltd		1,060,149
	104,100	Check Point Software Technologies Ltd *		7,988,634
	2,211	Frutarom Industries Ltd		116,697
	30,343	Harel Insurance Investments & Financial Services Ltd		109,760
	619,638	Israel Discount Bank Ltd – Class A *		1,118,981
	25,398	Mizrahi Tefahot Bank Ltd		306,576
	62,731	Teva Pharmaceutical Industries Ltd		3,177,578
	29,100	Teva Pharmaceutical Industries Ltd Sponsored ADR		1,466,349
		Total Israel		19,825,080
		Italy — 0.3%
	474,276	A2A SPA		629,443
	17,658	ACEA SPA		230,186
	49,125	Amplifon SPA		516,714
	6,949	ASTM SPA		79,483
	266,138	Banca Mediolanum SPA		1,848,961
	9,774	De’ Longhi SPA		242,455
	339,887	Enel SPA		1,501,938
	242,089	Eni SPA		3,654,602
	11,450	ERG SPA		127,750
	38,543	EXOR SPA		1,584,834
	351,814	Hera SPA		975,297
	111,416	Iren SPA		183,425
	5,884	Italmobiliare SPA – RSP		242,822
	11,157	MARR SPA		214,900
	64,176	Poste Italiane SPA		447,525
	67,453	Recordati SPA		2,041,564
	2,156	Reply SPA		265,858
	78,587	Snam SPA		436,191
	58,879	Societa Cattolica di Assicurazioni SCRL		341,208
	26,703	Societa Iniziative Autostradali e Servizi SPA		259,347
	134,589	Telecom Italia SPA-Di RISP *		98,694
		Total Italy		15,923,197

Shares		Description	Value ($)
		Japan — 4.0%
	3,800	Adastria Co Ltd		84,656
	36,700	Aisin Seiki Co Ltd		1,736,004
	40,800	Alfresa Holdings Corp		762,149
	10,000	Alpine Electronics Inc		120,519
	24,800	AOKI Holdings Inc		255,852
	14,100	Aoyama Trading Co Ltd		457,991
	18,200	Asahi Glass Co Ltd		115,885
	175,100	Asahi Kasei Corp		1,479,314
	5,700	Asatsu-DK Inc		139,896
	11,200	Autobacs Seven Co Ltd		155,274
	17,900	Bridgestone Corp		615,634
	6,600	Brother Industries Ltd		111,011
	119,100	Calsonic Kansei Corp		938,440
	167,800	Canon Inc		4,811,778
	1,600	Cawachi Ltd		35,412
	27,000	Central Glass Co Ltd		103,756
	37,000	Central Japan Railway Co		6,084,329
	8,800	Century Tokyo Leasing Corp		330,899
	53,000	Chiba Bank Ltd (The)		314,803
	16,800	Coca-Cola West Co Ltd		381,032
	12,700	Concordia Financial Group Ltd *		65,660
	31,800	Cosmo Energy Holdings Co Ltd		332,011
	22,800	Daicel Corp		291,352
	6,600	Daiichikosho Co Ltd		255,833
	22,700	Daiichi Sankyo Co Ltd		521,521
	36,200	Daikyo Inc		57,475
	7,400	Daito Trust Construction Co Ltd		1,090,055
	52,300	Daiwa House Industry Co Ltd		1,351,134
	61,500	DCM Holdings Co Ltd		468,763
	185,800	Denka Co Ltd		785,497
	6,700	Descente Ltd		74,959
	2,900	Doutor Nichires Holdings Co Ltd		51,275
	1,700	DTS Corp		35,001
	4,200	Exedy Corp		104,280
	63,400	Fuji Heavy Industries Ltd		2,523,459
	6,500	Fuji Oil Holdings Inc		126,368
	166,300	FujiFilm Holdings Corp		6,257,929
	14,300	Fujitsu General Ltd		290,896
	5,300	Fuyo General Lease Co Ltd		249,724
	22,500	Gunze Ltd		66,390
	4,400	H2O Retailing Corp		59,975
	65,300	Hanwa Co Ltd		364,724
	31,600	Haseko Corp		299,521
	7,800	Hitachi Capital Corp		162,547
	25,200	Hitachi Chemical Co Ltd		544,012
	46,100	Hokuhoku Financial Group Inc		63,839
	2,500	Honda Motor Co Ltd		77,015
	4,300	Horiba Ltd		200,060
	26,400	Hyakugo Bank Ltd (The)		97,076
	21,700	Idemitsu Kosan Co Ltd		395,424

See accompanying notes to the financial statements. 21

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	27,300	Isuzu Motors Ltd		314,872
	908,000	ITOCHU Corp		10,722,485
	3,600	Jafco Co Ltd		105,103
	153,500	Japan Airlines Co Ltd		4,685,144
	90,600	K’s Holdings Corp		1,430,622
	107,400	Kaneka Corp		877,154
	296,000	Kanematsu Corp		435,179
	11,100	Kawasaki Kisen Kaisha Ltd		28,062
	689,100	KDDI Corp		20,145,582
	13,300	Keihin Corp		204,515
	523,900	Kobe Steel Ltd		486,997
	5,100	Kohnan Shoji Co Ltd		92,776
	1,800	Koito Manufacturing Co Ltd		85,938
	3,100	Kokuyo Co Ltd		42,845
	53,500	Konica Minolta Inc		483,301
	71,700	Kuraray Co Ltd		1,026,023
	240,900	Marubeni Corp		1,202,163
	73,900	Medipal Holdings Corp		1,170,424
	257,200	Mitsubishi Chemical Holdings Corp		1,627,550
	303,000	Mitsubishi Electric Corp		3,965,195
	7,600	Mitsubishi Tanabe Pharma Corp		141,082
	2,341,200	Mitsubishi UFJ Financial Group Inc		12,896,559
	36,300	Mitsubishi UFJ Lease & Finance Co Ltd		170,465
	166,400	Mitsui & Co Ltd		2,215,620
	151,000	Mitsui Chemicals Inc		723,948
	434,000	Mitsui Engineering & Shipbuilding Co Ltd		601,555
	2,468,000	Mizuho Financial Group Inc		4,300,062
	24,700	NET One Systems Co Ltd		167,876
	28,700	NHK Spring Co Ltd		270,903
	13,300	Nichiha Corp		246,067
	2,300	Nifco Inc		115,956
	20,000	Nippon Corp		362,465
	15,800	Nippon Electric Glass Co Ltd		79,446
	111,700	Nippon Light Metal Holdings Co Ltd		237,672
	3,900	Nippon Signal Co Ltd		31,695
	338,200	Nippon Telegraph & Telephone Corp		14,870,338
	5,400	Nippon Television Holdings Inc		87,284
	11,300	Nipro Corp		140,836
	28,000	Nishi-Nippon City Bank Ltd (The)		58,312
	381,300	Nissan Motor Co Ltd		3,746,468
	29,000	Nisshinbo Holdings Inc		295,161
	11,600	Nissin Electric Co Ltd		180,567
	21,100	NOK Corp		429,662
	12,900	Nomura Real Estate Holdings Inc		210,388
	4,900	NTT DOCOMO Inc		123,574
	22,200	Onward Holdings Co Ltd		156,252
	10,100	Open House Co Ltd		218,411
	91,000	Orient Corp *		181,504
	93,600	ORIX Corp		1,348,862
	343,500	Osaka Gas Co Ltd		1,353,554

Shares		Description	Value ($)
		Japan — continued
	131,100	Otsuka Holdings Co Ltd		5,684,966
	21,500	PanaHome Corp		159,156
	7,700	Pola Orbis Holdings Inc		614,999
	18,100	Rengo Co Ltd		107,611
	269,300	Resona Holdings Inc		1,233,319
	40,100	Ricoh Co Ltd		362,196
	3,800	San–A Co Ltd		178,164
	89,500	Sekisui Chemical Co Ltd		1,253,160
	144,700	Sekisui House Ltd		2,334,566
	2,800	Shimamura Co Ltd		324,123
	31,500	Showa Denko KK		390,908
	1,167,800	Sojitz Corp		2,800,964
	296,000	Sumitomo Chemical Co Ltd		1,357,980
	58,100	Sumitomo Forestry Co Ltd		786,522
	147,200	Sumitomo Heavy Industries Ltd		724,076
	11,500	Sumitomo Metal Mining Co Ltd		146,167
	506,800	Sumitomo Mitsui Financial Group Inc		17,728,938
	175,600	Sumitomo Mitsui Trust Holdings Inc		630,092
	182,000	Sumitomo Osaka Cement Co Ltd		824,170
	61,500	Sumitomo Rubber Industries Ltd		914,254
	9,000	Sundrug Co Ltd		652,033
	24,300	Suzuken Co Ltd		705,565
	12,400	T-Gaia Corp		169,810
	35,200	Takashimaya Co Ltd		257,847
	44,800	TIS Inc		1,063,712
	9,100	Toei Co Ltd		68,561
	35,200	Toho Holdings Co Ltd		684,305
	12,300	Tokai Rika Co Ltd		243,978
	2,100	Token Corp		154,955
	1,200	Tokyo Seimitsu Co Ltd		31,949
	194,100	Tokyo Electric Power Co Holdings Inc *		782,288
	4,600	Topre Corp		90,483
	281,000	Tosoh Corp		1,733,658
	8,200	Toyoda Gosei Co Ltd		189,266
	5,000	Toyota Boshoku Corp		114,733
	73,200	Toyota Tsusho Corp		1,676,206
	6,700	TPR Co Ltd		171,592
	24,100	TS Tech Co Ltd		560,538
	4,100	TSI Holdings Co Ltd		22,656
	1,900	Tsuruha Holdings Inc		186,257
	189,900	Ube Industries Ltd		345,702
	5,600	UKC Holdings Corp		85,585
	33,700	UNY Group Holdings Co Ltd		333,069
	9,200	Valor Holdings Co Ltd		248,405
	18,000	Wacoal Holdings Corp		192,742
	11,800	West Japan Railway Co		676,201
	16,400	Yamaguchi Financial Group Inc		173,283
	23,600	Yokohama Rubber Co Ltd (The)		384,075
	8,000	Yuasa Trading Co Ltd		154,961
		Total Japan		182,103,629

22 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Mexico — 0.3%
	383,778	Alpek SA de CV		662,803
	190,000	Arca Continental SAB de CV		1,186,272
	475,060	Bolsa Mexicana de Valores SAB de CV		861,626
	5,501	Controladora Comercial Mexicana SAB de CV *		9,539
	123,881	Gruma SAB de CV – Class B		1,646,903
	99,800	Grupo Aeroportuario del Centro Norte SAB de CV		614,349
	198,200	Grupo Aeroportuario del Pacifico SAB de CV – Class B		1,970,761
	55,900	Grupo Aeroportuario del Sureste SAB de CV – Class B		851,252
	106,200	Grupo Financiero Interacciones SA de CV – Class O		544,365
	171,042	Grupo Herdez SAB de CV		365,973
	720,600	OHL Mexico SAB de CV *		1,017,679
	2,068,938	Wal-Mart de Mexico SAB de CV		4,726,072
		Total Mexico		14,457,594
		Netherlands — 0.9%
	14,502	Aalberts Industries NV		487,399
	29,300	AerCap Holdings NV *		1,171,121
	9,000	AVG Technologies NV *		223,740
	9,946	Boskalis Westminster		356,638
	6,090	Corbion NV		166,437
	20,927	Heineken Holding NV		1,686,940
	18,688	Heineken NV		1,673,723
	407,401	ING Groep NV		5,098,767
	355,676	Koninklijke Ahold Delhaize NV		8,538,627
	494,269	PostNL NV *		2,167,618
	40,206	Randstad Holdings NV		1,902,240
	3,840	RELX NV		68,114
	55,549	TomTom NV *		511,661
	23,200	Unilever NV (Registered Shares)		1,069,752
	226,822	Unilever NV CVA		10,436,331
	134,000	Wolters Kluwer NV		5,636,975
		Total Netherlands		41,196,083
		New Zealand — 0.1%
	221,295	Air New Zealand Ltd		362,718
	41,707	Chorus Ltd		128,552
	124,623	Fletcher Building Ltd		957,433
	50,358	Nuplex Industries Ltd		195,420
	122,566	SKY Network Television Ltd		431,895
	157,711	Spark New Zealand Ltd		435,181
		Total New Zealand		2,511,199
		Norway — 0.3%
	23,458	Bakkafrost P/F		841,615
	56,039	BW LPG Ltd		147,711
	88,461	DNB ASA		1,072,792
	315,786	Orkla ASA		2,889,914

Shares		Description	Value ($)
		Norway — continued
	8,236	Salmar ASA		227,926
	183,595	Statoil ASA		2,880,205
	105,079	Storebrand ASA*		443,792
	53,973	Subsea 7 SA*		583,634
	129,492	Telenor ASA		2,258,219
	38,069	Yara International ASA		1,348,138
		Total Norway		12,693,946
		Poland — 0.1%
	35,475	Asseco Poland SA		517,592
	197,873	Bank Millennium SA *		293,257
	152,122	Enea SA *		384,244
	88,484	KGHM Polska Miedz SA		1,658,641
	42,077	Polski Koncern Naftowy ORLEN SA		700,373
	1,693,334	Tauron Polska Energia SA *		1,204,311
		Total Poland		4,758,418
		Portugal — 0.0%
	102,571	CTT-Correios de Portugal SA		753,403
	8,900	Navigator Co SA (The)		29,531
	11,146	REN – Redes Energeticas Nacionais SGPS SA		32,574
		Total Portugal		815,508
		Russia — 0.3%
	442,400	Aeroflot PJSC *		669,177
	2,533,056	Gazprom PJSC Sponsored ADR		10,241,959
	58,353	Lukoil PJSC Sponsored ADR		2,615,138
	223,980	Novolipetsk Steel PJSC		312,979
	415,490	Tatneft PJSC		2,033,201
		Total Russia		15,872,454
		Singapore — 0.1%
	169,700	Ascendas Real Estate Investment Trust		304,972
	680,700	CapitaLand Commercial Trust (REIT)		771,226
	467,300	CapitaLand Mall Trust (REIT)		740,443
	86,400	CapitaLand Retail China Trust (REIT)		103,373
	44,500	DBS Group Holdings Ltd		488,911
	31,000	Fortune Real Estate Investment Trust		39,621
	116,600	Frasers Centrepoint Trust (REIT)		184,781
	4,050,800	Golden Agri-Resources Ltd		1,068,422
	435,000	Mapletree Greater China Commercial Trust (REIT)		350,941
	295,400	Mapletree Industrial Trust (REIT)		385,799
	321,200	Mapletree Logistics Trust (REIT)		252,025
	94,000	SATS Ltd		324,830
	143,300	Starhill Global (REIT)		84,642
	62,700	UOL Group Ltd		255,475
	17,900	Venture Corp Ltd		120,846
	1,583,400	Yangzijiang Shipbuilding Holdings Ltd		887,656
		Total Singapore		6,363,963

See accompanying notes to the financial statements. 23

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		South Africa — 0.8%
	58,855	AECI Ltd		412,149
	100,553	African Rainbow Minerals Ltd		597,815
	331,625	AVI Ltd		2,008,751
	166,385	Barclays Africa Group Ltd		1,686,897
	314,823	Barloworld Ltd		1,782,269
	36,499	Bidvest Group Ltd (The)		377,496
	178,359	Clicks Group Ltd		1,467,383
	73,926	Hyprop Investments Ltd (REIT)		647,096
	340,380	KAP Industrial Holdings Ltd		173,808
	221,559	Liberty Holdings Ltd		1,697,159
	700,656	MMI Holdings Ltd		1,077,041
	146,748	Mondi Ltd		2,965,229
	176,844	MTN Group Ltd		1,446,192
	310,733	Nedbank Group Ltd		4,368,519
	61,732	Reunert Ltd		255,367
	241,769	RMB Holdings Ltd		967,966
	831,566	SA Corporate Real Estate Fund Nominees Pty Ltd		295,605
	22,259	Santam Ltd		336,010
	159,923	Sasol Ltd		4,037,156
	837,175	Sibanye Gold Ltd		3,253,749
	194,291	Super Group Ltd *		535,557
	352,758	Telkom SA SOC Ltd		1,460,561
	302,522	Truworths International Ltd		1,567,925
	520,532	Vodacom Group Ltd		5,417,853
	14,762	Wilson Bayly Holmes-Ovcon Ltd		149,238
		Total South Africa		38,984,791
		South Korea — 1.4%
	187,393	BNK Financial Group Inc		1,483,985
	6,030	Crown Confectionery Co Ltd		157,615
	16,616	Daekyo Co Ltd		120,198
	29,859	Daishin Securities Co Ltd		273,704
	77,716	Daou Technology Inc		1,464,515
	124,222	DGB Financial Group Inc		1,016,676
	24,515	Dongbu Insurance Co Ltd		1,482,275
	6,565	DuzonBizon Co Ltd		119,941
	7,050	E-MART Inc		994,605
	18,196	GS Holdings Corp		804,281
	39,023	Hana Financial Group Inc		1,022,070
	21,889	Hanwha Corp		717,947
	322,563	Hanwha Life Insurance Co Ltd		1,636,788
	6,966	Hyundai Department Store Co Ltd		782,324
	41,617	Hyundai Marine & Fire Insurance Co Ltd		1,260,123
	7,158	Hyundai Mobis Co Ltd		1,668,089
	76,399	Hyundai Motor Co		9,101,227
	229,556	Industrial Bank of Korea		2,414,968
	85,263	JB Financial Group Co Ltd		451,208
	108,297	KB Financial Group Inc		3,778,485
	201,479	Kia Motors Corp		7,573,683
	11,282	Kolon Industries Inc		828,123

Shares		Description	Value ($)
		South Korea — continued
	3,295	Korea Petrochemical Ind Co Ltd		575,130
	64,558	Korean Reinsurance Co		691,743
	8,657	KT&G Corp		907,597
	3,943	LG Chem Ltd		953,089
	51,971	LG Display Co Ltd		1,394,041
	20,974	LG International Corp		623,570
	4,739	Lotte Shopping Co Ltd		860,700
	42,303	Meritz Fire & Marine Insurance Co Ltd		590,347
	7,963	NCSoft Corp		1,921,270
	40,466	Samsung Card Co Ltd		1,602,270
	4,630	Samsung Electronics Co Ltd		6,715,667
	22,115	Seah Besteel Corp		476,921
	32,193	Shinhan Financial Group Co Ltd		1,176,624
	7,382	Shinsegae Inc		1,344,697
	17,852	SK Innovation Co Ltd		2,317,089
	29,916	SKC Co Ltd		734,201
	4,799	Ssangyong Cement Industrial Co Ltd*		75,588
	33,945	Tongyang Life Insurance Co Ltd		366,143
	329,407	Woori Bank		3,129,916
		Total South Korea		65,609,433
		Spain — 0.4%
	59,798	Ebro Foods SA		1,338,629
	403,481	Endesa SA		8,222,472
	421,346	Iberdrola SA		2,775,375
	402,274	International Consolidated Airlines Group SA		2,025,729
	60,768	Red Electrica Corp SA		1,309,513
	355,684	Repsol SA		4,778,028
		Total Spain		20,449,746
		Sweden — 0.2%
	59,245	Axfood AB		1,051,482
	14,715	Bilia AB – A Shares		374,601
	8,525	Fabege AB		158,007
	30,210	Fastighets AB Balder – B Shares *		843,088
	20,291	Industrivarden AB – C Shares		369,401
	27,128	Intrum Justitia AB		855,710
	3,701	Investor AB – B Shares		130,504
	35,310	Ratos AB – B Shares		166,551
	230,769	Sandvik AB		2,503,266
	1,216	Securitas AB – B Shares		21,123
	17,092	Skanska AB – B Shares		374,155
	17,594	Svenska Cellulosa AB – Class B		540,762
	367,694	Telefonaktiebolaget LM Ericsson – B Shares		2,618,815
	19,732	Wihlborgs Fastigheter AB		428,589
		Total Sweden		10,436,054
		Switzerland — 0.9%
	35,418	Adecco Group AG (Registered)		2,040,423
	12,678	Ascom Holding AG (Registered)		232,151

24 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	1,042	Autoneum Holding AG		294,521
	5,099	Baloise Holding AG (Registered)		607,485
	219	Banque Cantonale Vaudoise (Registered)		143,834
	3,339	Cembra Money Bank AG *		241,902
	581	dorma & kaba Holding AG – Class B (Registered)		456,344
	2,261	EMS-Chemie Holding AG (Registered)		1,204,012
	1,001	Flughafen Zuerich AG (Registered)		185,287
	139	Forbo Holdings AG (Registered) *		191,032
	968	Georg Fischer AG (Registered)		779,063
	296	Givaudan SA (Registered)		612,255
	518	Helvetia Holding AG (Registered)		259,113
	146	Komax Holding AG (Registered)		35,485
	21,080	Kuehne & Nagel International AG (Registered)		2,945,201
	22,408	Logitech International SA (Registered)		469,794
	79,289	Nestle SA (Registered)		6,318,760
	14,586	Novartis AG (Registered)		1,148,837
	5,169	Roche Holding AG		1,261,753
	152	Sika AG		724,707
	8,304	Swiss Life Holding AG (Registered) *		2,081,939
	201,208	Swiss Re AG		17,003,400
	7,645	Vontobel Holding AG (Registered)		369,515
		Total Switzerland		39,606,813
		Taiwan — 1.5%
	362,000	Catcher Technology Co Ltd *		2,596,644
	62,230	Chunghwa Telecom Co Ltd Sponsored ADR		2,230,946
	1,502,000	Compeq Manufacturing Co Ltd		752,002
	2,650,000	CTBC Financial Holding Co Ltd		1,529,967
	549,000	Foxconn Technology Co Ltd *		1,537,633
	5,241,000	Fubon Financial Holding Co Ltd		7,398,245
	5,023,000	Hon Hai Precision Industry Co Ltd		13,894,004
	2,733,000	Inventec Corp		2,023,956
	721,000	Mega Financial Holding Co Ltd		490,252
	780,150	Mercuries Life Insurance Co Ltd		370,748
	2,922,000	Pegatron Corp		7,050,136
	5,767,000	Shin Kong Financial Holding Co Ltd *		1,262,742
	2,594,044	Taishin Financial Holding Co Ltd		979,864
	1,455,000	Taiwan Semiconductor Manufacturing Co Ltd		8,080,169
	557,782	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		16,030,655
	154,000	Transcend Information Inc		443,342
	1,490,000	United Microelectronics Corp		540,248
		Total Taiwan		67,211,553
		Thailand — 0.1%
	221,800	Bangkok Bank Pcl (Foreign Registered)(a)		1,084,998
	3,090,600	Bangkok Expressway & Metro Pcl		687,047
	218,600	Thai Oil Pcl (Foreign Registered)		446,410
	555,800	Thanachart Capital PCL (Foreign Registered)		642,255
		Total Thailand		2,860,710

Shares		Description	Value ($)
		Turkey — 0.4%
	2,187,034	Eregli Demir ve Celik Fabrikalari TAS		3,290,366
	285,047	Turk Hava Yollari AO *		497,008
	357,192	Turk Telekomunikasyon AS		720,878
	909,490	Turkiye Halk Bankasi AS		2,729,599
	2,932,903	Turkiye IS Bankasi – Class C		4,768,388
	363,358	Turkiye Sinai Kalkinma Bankasi AS		167,011
	667,616	Turkiye Sise ve Cam Fabrikalari AS		771,995
	2,242,587	Turkiye Vakiflar Bankasi TAO – Class D		3,297,612
		Total Turkey		16,242,857
		United Kingdom — 3.0%
	322,013	AstraZeneca Plc		20,786,243
	43,400	AstraZeneca Plc Sponsored ADR		1,423,954
	379,745	Balfour Beatty Plc *		1,408,391
	19,572	Beazley Plc		100,229
	41,919	Bellway Plc		1,283,025
	84,973	Berkeley Group Holdings Plc (The)		2,981,427
	53,898	Bovis Homes Group Plc		634,502
	2,341,639	BP Plc		13,163,706
	230,198	British American Tobacco Plc		14,282,079
	1,800	British American Tobacco Plc Sponsered ADR		223,542
	20,084	Burberry Group Plc		344,155
	76,800	Cairn Energy Plc *		187,314
	190,132	Carillion Plc		649,676
	619,550	Centrica Plc		1,894,439
	115,921	Compass Group Plc		2,194,091
	98,765	Crest Nicholson Holdings Plc		603,253
	283,039	Debenhams Plc		225,305
	278,357	Direct Line Insurance Group Plc		1,351,871
	22,407	Electrocomponents Plc		89,686
	295,645	EnQuest Plc *		103,738
	606,623	Firstgroup Plc *		875,874
	29,980	Galliford Try Plc		447,102
	342,459	GlaxoSmithKline Plc		7,371,509
	31,900	GlaxoSmithKline Plc Sponsored ADR		1,386,374
	17,100	Halfords Group Plc		78,125
	256,973	Henderson Group Plc		804,855
	344,469	Home Retail Group Plc		722,034
	53,118	HSBC Holdings Plc		394,928
	52,032	Hunting Plc		317,450
	104,823	IG Group Holdings Plc		1,309,325
	77,704	Imperial Brands Plc		4,075,828
	176,550	Inchcape Plc		1,627,081
	267,966	Indivior Plc		1,106,167
	94,830	Intermediate Capital Group Plc		741,484
	139,536	J Sainsbury Plc		440,338
	149,551	Jupiter Fund Management Plc		823,502
	971,458	Kingfisher Plc		4,737,858
	1,066,379	Legal & General Group Plc		2,949,720
	87,089	Lookers Plc		156,232

See accompanying notes to the financial statements. 25

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	258,883	Man Group Plc		369,756
	8,938	Micro Focus International Plc		234,693
	13,100	Mitie Group Plc		46,493
	74,063	Mondi Plc		1,507,055
	107,261	National Express Group Plc		498,163
	179,880	Persimmon Plc		4,308,970
	72,614	Playtech Plc		868,826
	96,127	Reckitt Benckiser Group Plc		9,285,738
	15,065	Redrow Plc		73,518
	143,943	Royal Dutch Shell Plc A Shares (London)		3,517,926
	409,962	Royal Mail Plc		2,766,471
	372,561	Sage Group Plc (The)		3,549,671
	6,662	Savills Plc		64,721
	18,262	Tullett Prebon Plc		91,503
	126,759	Unilever Plc		5,884,306
	6,525	Victrex Plc		130,411
	65,405	WH Smith Plc		1,309,050
	94,583	Wm Morrison Supermarkets Plc		244,735
	398,895	WPP Plc		9,209,670
		Total United Kingdom		138,258,088
		United States — 13.1%
	99,515	3M Co.		17,837,069
	85,374	Abbott Laboratories		3,587,415
	92,282	Accenture Plc – Class A		10,612,430
	31,500	ACCO Brands Corp. *		315,000
	52,100	Activision Blizzard, Inc.		2,155,377
	33,200	Aetna, Inc.		3,888,384
	74,800	Aflac, Inc.		5,548,664
	28,800	AGCO Corp.		1,397,952
	33,200	Alaska Air Group, Inc.		2,241,996
	5,400	Altisource Portfolio Solutions SA *		175,932
	28,775	Alphabet, Inc. – Class C *		22,071,864
	1,000	Altria Group, Inc.		66,090
	34,700	Amdocs Ltd.		2,086,164
	30,500	Ameren Corp.		1,507,310
	13,600	American Capital Ltd. *		229,704
	137,347	American Express Co.		9,007,216
	300	American National Insurance Co.		35,046
	2,900	American Water Works Co., Inc.		214,571
	10,604	Amphenol Corp. – Class A		660,735
	15,281	Analog Devices, Inc.		955,979
	33,292	Anthem, Inc.		4,164,163
	14,400	Apollo Commercial Real Estate Finance, Inc.		234,720
	7,000	Apollo Education Group, Inc. *		62,090
	180,298	Apple, Inc.		19,129,618
	5,900	AptarGroup, Inc.		460,082
	22,900	Ares Capital Corp.		370,064
	40,333	ARMOUR Residential REIT, Inc.		897,006
	40,900	Arrow Electronics, Inc. *		2,692,447

Shares		Description	Value ($)
		United States — continued
	56,500	Assured Guaranty Ltd.		1,569,005
	27,200	AT&T, Inc.		1,111,936
	7,100	Atlas Air Worldwide Holdings, Inc. *		263,694
	8,700	Atmos Energy Corp.		641,190
	15,100	AutoNation, Inc. *		714,985
	37,700	Avery Dennison Corp.		2,919,488
	1,300	Avista Corp.		52,806
	65,700	Avnet, Inc.		2,738,376
	11,834	Becton, Dickinson and Co.		2,097,103
	90,600	Bed Bath & Beyond, Inc.		4,201,122
	4,100	Best Buy Co., Inc.		157,768
	26,400	BGC Partners, Inc. – Class A		231,528
	20,300	BlackRock Capital Investment Corp.		177,016
	5,500	Briggs & Stratton Corp.		104,555
	14,900	Broadridge Financial Solutions, Inc.		1,032,570
	13,000	CA, Inc.		440,830
	6,400	Cadence Design Systems, Inc. *		162,816
	15,900	California Resources Corp.		157,887
	64,800	Capital One Financial Corp.		4,639,680
	14,500	Cash America International, Inc.		631,185
	3,700	Central Garden & Pet Co. – Class A *		89,725
	22,870	Cerner Corp. *		1,476,030
	7,700	Cheesecake Factory, Inc. (The)		395,857
	4,100	Chemed Corp.		553,213
	5,800	Chemical Financial Corp.		268,134
	11,300	Chemours Co. (The)		149,047
	48,600	Chevron Corp.		4,888,188
	24,900	Chimera Investment Corp. (REIT)		410,601
	6,459	Church & Dwight Co., Inc.		642,154
	25,500	Cintas Corp.		2,996,505
	629,408	Cisco Systems, Inc.		19,788,587
	99,900	Citigroup, Inc.		4,769,226
	12,600	Citrix Systems, Inc. *		1,098,720
	168,892	Coca-Cola Co. (The)		7,334,980
	105,396	Cognizant Technology Solutions Corp. – Class A *		6,053,946
	48,590	Colgate-Palmolive Co.		3,612,181
	4,100	Columbia Sportswear Co.		230,297
	20,900	Comcast Corp. – Class A		1,363,934
	17,700	Consolidated Edison, Inc.		1,331,925
	25,400	Convergys Corp.		757,682
	10,400	Cooper Tire & Rubber Co.		353,496
	800	Cooper-Standard Holding, Inc. *		79,240
	15,032	Costco Wholesale Corp.		2,436,537
	34,095	CVS Health Corp.		3,184,473
	100,000	Delta Air Lines, Inc.		3,675,000
	11,300	Deluxe Corp.		770,321
	82,400	Denbury Resources, Inc. *		253,792
	2,900	Dillard’s, Inc. – Class A		174,696
	1,500	Discover Financial Services		90,000
	6,500	Douglas Dynamics, Inc.		208,520

26 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	10,100	Dow Chemical Co. (The)		541,764
	76,100	Dr Pepper Snapple Group, Inc.		7,130,570
	5,700	Drew Industries, Inc.		580,545
	12,400	DTE Energy Co.		1,151,960
	18,285	Eli Lilly & Co.		1,421,659
	235,110	EMC Corp.		6,815,839
	105,872	Emerson Electric Co.		5,577,337
	2,100	Encore Capital Group, Inc. *		45,276
	500	Endurance Specialty Holdings Ltd.		32,925
	6,300	Ennis, Inc.		104,454
	1,400	ePlus, Inc. *		126,714
	7,100	Equifax, Inc.		936,490
	11,100	Essent Group Ltd. *		295,038
	9,100	Everest Re Group Ltd.		1,759,758
	18,500	Expeditors International of Washington, Inc.		937,025
	46,300	Express, Inc. *		547,729
	9,400	F5 Networks, Inc. *		1,153,662
	16,500	First American Financial Corp.		710,985
	32,800	Fiserv, Inc. *		3,380,040
	90,000	Foot Locker, Inc.		5,907,600
	23,100	Franklin Resources, Inc.		843,150
	1,100	G-III Apparel Group Ltd. *		34,727
	22,900	Gannett Co., Inc.		273,197
	9,500	General Dynamics Corp.		1,446,090
	17,600	Gentex Corp.		313,104
	26,700	Genworth Financial, Inc. – Class A *		126,291
	83,800	Gilead Sciences, Inc.		6,568,244
	28,000	Goodyear Tire & Rubber Co. (The)		821,800
	44,700	Guess?, Inc.		743,361
	6,929	Hanover Insurance Group, Inc. (The)		541,848
	10,100	Hasbro, Inc.		825,574
	15,700	Helen of Troy Ltd. *		1,418,338
	81,300	Home Depot, Inc. (The)		10,903,956
	38,810	Honeywell International, Inc.		4,529,515
	20,000	Hormel Foods Corp.		765,200
	7,400	Hornbeck Offshore Services, Inc. *		40,478
	55,800	HP, Inc.		801,846
	7,338	Humana, Inc.		1,311,374
	800	ICF International, Inc. *		33,480
	9,800	Iconix Brand Group, Inc. *		82,320
	6,700	IDACORP, Inc.		509,669
	34,016	Illinois Tool Works, Inc.		4,042,802
	37,900	Ingredion, Inc.		5,190,784
	5,100	Insight Enterprises, Inc. *		156,060
	319,600	Intel Corp.		11,470,444
	40,200	International Business Machines Corp.		6,386,976
	41,800	Interpublic Group of Cos., Inc. (The)		967,252
	10,271	Intuit, Inc.		1,144,703
	1,792	Intuitive Surgical, Inc. *		1,230,065
	55,400	Jabil Circuit, Inc.		1,173,926

Shares		Description	Value ($)
		United States — continued
	1,900	Jack Henry & Associates, Inc.		165,813
	95,200	JetBlue Airways Corp. *		1,518,440
	2,400	John B. Sanfilippo & Son, Inc.		123,408
	243,096	Johnson & Johnson		29,011,077
	9,500	Jones Lang LaSalle, Inc.		1,109,125
	158,100	JPMorgan Chase & Co.		10,671,750
	22,500	KAR Auction Services, Inc.		951,300
	3,800	Knight Transportation, Inc.		106,780
	2,900	Knoll, Inc.		76,734
	22,729	Korn/Ferry International		541,859
	28,000	Lear Corp.		3,256,120
	700	LHC Group, Inc. *		24,892
	24,800	Lincoln National Corp.		1,191,144
	89,400	LyondellBasell Industries NV – Class A		7,052,766
	20,800	Macy’s, Inc.		752,544
	2,500	Maiden Holdings Ltd.		34,525
	132,200	Marathon Oil Corp.		1,985,644
	7,200	Marathon Petroleum Corp.		306,072
	2,300	Marriott Vacations Worldwide Corp.		177,330
	15,228	MasterCard, Inc. – Class A		1,471,482
	4,100	Matson, Inc.		158,219
	54,300	MBIA, Inc. *		437,658
	35,697	McDonald’s Corp.		4,128,715
	89,811	Medtronic Plc		7,816,251
	4,400	Meredith Corp.		233,376
	354,416	Microsoft Corp.		20,364,743
	54,042	Monsanto Co.		5,755,473
	18,100	Murphy Oil Corp.		483,632
	11,916	Murphy USA, Inc. *		871,298
	37,800	Nasdaq, Inc.		2,691,738
	3,400	Navigant Consulting, Inc. *		66,776
	1,000	Navigators Group, Inc. (The)		93,960
	11,600	Net 1 UEPS Technologies, Inc. *		113,332
	3,300	New Jersey Resources Corp.		111,012
	36,883	News Corp. – Class A		518,575
	45,077	Nike, Inc. – Class B		2,598,238
	23,200	Northwest Bancshares, Inc.		360,064
	130	NVR, Inc. *		219,284
	3,600	Oil States International, Inc. *		111,672
	20,600	Old Republic International Corp.		396,138
	10,400	Omega Protein Corp. *		262,184
	53,600	Omnicom Group, Inc.		4,616,568
	405,559	Oracle Corp.		16,717,142
	52,933	Paychex, Inc.		3,211,445
	112,340	PDL BioPharma, Inc.		326,909
	28,737	PepsiCo, Inc.		3,067,675
	382,260	Pfizer, Inc.		13,302,648
	151,443	Philip Morris International, Inc.		15,133,699
	4,000	Phillips 66		313,800
	7,100	Pinnacle West Capital Corp.		532,784

See accompanying notes to the financial statements. 27

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	11,000	PRA Group, Inc. *		351,780
	77,858	Procter & Gamble Co. (The)		6,797,782
	22,200	Progressive Corp. (The)		722,832
	13,300	Public Service Enterprise Group, Inc.		568,708
	307,184	QUALCOMM, Inc.		19,374,095
	10,000	Rent-A-Center, Inc.		122,200
	5,850	Rockwell Automation, Inc.		678,190
	16,600	Sanmina Corp. *		436,248
	7,700	Santander Consumer USA Holdings, Inc. *		96,866
	14,700	SCANA Corp.		1,038,555
	35,984	Schlumberger Ltd.		2,842,736
	700	Scholastic Corp.		28,182
	2,200	Selective Insurance Group, Inc.		87,780
	14,600	SkyWest, Inc.		412,158
	29,700	Smith & Wesson Holding Corp. *		836,055
	18,900	Snap-on, Inc.		2,897,181
	7,300	Southwest Airlines Co.		269,224
	1,700	Spok Holdings, Inc.		28,135
	3,800	SPX FLOW, Inc. *		111,758
	12,316	St Jude Medical, Inc.		959,663
	8,700	Starz – Class A *		271,353
	22,970	Stryker Corp.		2,656,710
	5,200	Sykes Enterprises, Inc. *		151,996
	40,200	T. Rowe Price Group, Inc.		2,795,508
	72,400	Talen Energy Corp. *		999,844
	13,100	Tech Data Corp. *		972,544
	63,436	Teradata Corp. *		2,012,824
	54,500	Tesoro Corp.		4,110,390
	20,500	Texas Instruments, Inc.		1,425,570
	12,500	Texas Roadhouse, Inc.		553,375
	13,400	Thor Industries, Inc.		1,087,410
	8,674	TJX Cos., Inc. (The)		671,715
	7,300	Tower International, Inc.		177,390
	77,600	Travelers Cos., Inc. (The)		9,211,896
	13,400	TrueBlue, Inc. *		292,790
	9,900	Tupperware Brands Corp.		648,747
	6,400	Unit Corp. *		109,376
	58,000	United Parcel Service, Inc. – Class B		6,334,760
	3,600	United States Cellular Corp. *		133,992
	17,275	United Technologies Corp.		1,838,578
	142,906	UnitedHealth Group, Inc.		19,442,361
	8,100	Universal Corp.		487,377
	500	US Concrete, Inc. *		26,510
	170,700	Valero Energy Corp.		9,448,245
	5,300	Vera Bradley, Inc. *		79,288
	220,600	Verizon Communications, Inc.		11,543,998
	24,273	VF Corp.		1,506,140
	900	W.R. Berkley Corp.		53,433
	3,600	Wabash National Corp. *		50,220
	7,500	Wal-Mart Stores, Inc.		535,800
	11,900	Walker & Dunlop, Inc. *		315,350

Shares / Par Value†		Description	Value ($)
		United States — continued
	34,000	Werner Enterprises, Inc.		784,720
	5,200	WESCO International, Inc. *		323,232
	9,000	Western Refining, Inc.		226,440
	40,100	Whiting Petroleum Corp. *		292,329
	28,800	WPX Energy, Inc. *		345,600
	3,061	WW Grainger, Inc.		706,050
	7,800	Wyndham Worldwide Corp.		552,162
	85,600	Xerox Corp.		843,160
	10,673	Zimmer Biomet Holdings, Inc.		1,383,327
		Total United States		599,548,030
		TOTAL COMMON STOCKS (COST $1,677,718,877)		1,739,655,165
		DEBT OBLIGATIONS — 18.5%
		U.S. Government — 18.5%
	22,000,000	U.S. Treasury Bond, 7.50%, due 11/15/16		22,320,936
	15,000,000	U.S. Treasury Note, 2.75%, due 05/31/17		15,236,130
	12,500,000	U.S. Treasury Note, 0.88%, due 11/15/17		12,521,000
	25,000,000	U.S. Treasury Note, 0.63%, due 11/30/17		24,963,875
	95,000,000	U.S. Treasury Note, 0.75%, due 02/28/18		94,951,740
	35,000,000	U.S. Treasury Note, USBM + 0.19%, 0.53%, due 04/30/18		35,036,645
	12,500,000	U.S. Treasury Note, 1.00%, due 05/15/18		12,541,013
	50,000,000	U.S. Treasury Note, 0.75%, due 07/31/18		49,939,450
	12,500,000	U.S. Treasury Note, 1.38%, due 07/31/18		12,630,863
	22,000,000	U.S. Treasury Note, 0.75%, due 08/31/18		21,972,500
	25,000,000	U.S. Treasury Note, 1.50%, due 01/31/19		25,371,100
	25,000,000	U.S. Treasury Note, 0.75%, due 02/15/19		24,921,875
	12,500,000	U.S. Treasury Note, 1.38%, due 02/28/19		12,652,350
	20,000,000	U.S. Treasury Note, 1.50%, due 03/31/19		20,313,280
	12,500,000	U.S. Treasury Note, 0.88%, due 04/15/19		12,493,650
	20,000,000	U.S. Treasury Note, 3.13%, due 05/15/19		21,183,600
	35,000,000	U.S. Treasury Note, 0.88%, due 06/15/19		34,956,250
	25,000,000	U.S. Treasury Note, 1.63%, due 06/30/19		25,491,200
	40,000,000	U.S. Treasury Note, 3.63%, due 08/15/19		43,118,760
	77,500,000	U.S. Treasury Note, 1.63%, due 08/31/19		79,050,000
	32,500,000	U.S. Treasury Note, 1.00%, due 09/30/19		32,543,160
	35,000,000	U.S. Treasury Note, 1.75%, due 09/30/19		35,835,345
	32,500,000	U.S. Treasury Note, 1.25%, due 10/31/19		32,780,572
	12,500,000	U.S. Treasury Note, 1.50%, due 10/31/19		12,701,662
	19,000,000	U.S. Treasury Note, 3.38%, due 11/15/19		20,427,964
	37,500,000	U.S. Treasury Note, 1.38%, due 01/31/20		37,938,000
	25,000,000	U.S. Treasury Note, 3.63%, due 02/15/20		27,192,375
	12,500,000	U.S. Treasury Note, 1.25%, due 02/29/20		12,590,825
	25,000,000	U.S. Treasury Note, 1.13%, due 04/30/20		25,062,500
	10,000,000	U.S. Treasury Note, 3.50%, due 05/15/20		10,875,780
		Total U.S. Government		849,614,400
		TOTAL DEBT OBLIGATIONS (COST $851,188,439)		849,614,400

28 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		PREFERRED STOCKS — 1.0%
		Brazil — 0.6%
	313,500	Centrais Eletricas Brasileiras SA – Class B *		2,766,862
	1,494,900	Cia Energetica de Minas Gerais		4,050,655
	265,800	Cia Energetica de Sao Paulo – Class B		1,110,381
	340,600	Itau Unibanco Holding SA		3,781,280
	214,300	Itau Unibanco Holding SA Sponsored ADR		2,374,444
	3,514,210	Itausa – Investimentos Itau SA		9,359,038
	972,100	Vale SA		4,355,966
		Total Brazil		27,798,626
		Chile — 0.0%
	7,082	Sociedad Quimica y Minera de Chile SA – Class B		180,035
		Germany — 0.1%
	14,046	Jungheinrich AG		441,125
	80,301	Porsche Automobil Holding SE		4,057,409
		Total Germany		4,498,534
		Russia — 0.1%
	7,830,400	Surgutneftegas OJSC		3,942,273
	673	Transneft PJSC		1,594,871
		Total Russia		5,537,144
		South Korea — 0.2%
	24,521	Hyundai Motor Co 2nd Preference		2,209,619
	4,795	Samsung Electronics Co Ltd		5,686,722
		Total South Korea		7,896,341
		TOTAL PREFERRED STOCKS (COST $34,154,980)		45,910,680
		RIGHTS/WARRANTS — 0.0%
		South Korea — 0.0%
	5,657	Hanwha Corp, Expires 10/05/16 *		—
		TOTAL RIGHTS/WARRANTS (COST $—)		—
		MUTUAL FUNDS — 34.5%
		Affiliated Issuers — 34.5%
	10,107,387	GMO Debt Opportunities Fund, Class VI		256,020,121
	9,496,327	GMO Emerging Country Debt Fund, Class IV		285,554,548
	17,810,668	GMO Emerging Markets Fund, Class VI		511,166,184
	6,078,055	GMO SGM Major Markets Fund, Class VI		213,704,403
	14,920,167	GMO Special Opportunities Fund, Class VI		300,641,375
	815,285	GMO U.S. Treasury Fund		20,390,282
		TOTAL MUTUAL FUNDS (COST $1,543,159,680)		1,587,476,913

Shares / Principal Amount		Description	Value ($)
		SHORT-TERM INVESTMENTS — 8.1%
		Money Market Funds — 0.1%
	3,917,018	State Street Institutional Treasury Money Market Fund-Premier Class, 0.19%(b)		3,917,018
		REPURCHASE AGREEMENTS — 8.0%
	100,658,882	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 8/26/16, maturing on 9/02/16 with a maturity value of $100,665,733 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 2/28/17 and a market value of $101,221,887.		100,658,882
	104,997,147	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 8/31/16, maturing on 9/7/16 with a maturity value of $105,004,292 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 8/15/23 and a market value of $107,127,189.		104,997,147
	105,801,053	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 8/30/16, maturing on 9/6/16 with a maturity value of $105,808,253 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 8/15/19 and a market value of $107,964,359.		105,801,053
	53,377,045	Mizuho Securities USA Inc. Repurchase Agreement, dated 08/29/2016, maturing on 09/02/16 with a maturity value of $53,379,002 and an effective yield of 0.33%, collateralized by a U.S. Treasury Note with maturity date 2/15/24 and a market value of $54,586,969.		53,377,045
		Total Repurchase Agreements		364,834,127
		TOTAL SHORT-TERM INVESTMENTS (COST $368,751,145)		368,751,145
		TOTAL INVESTMENTS — 99.9% (Cost $4,474,973,121)		4,591,408,303
		Other Assets and Liabilities (net) — 0.1%		6,739,428
		TOTAL NET ASSETS — 100.0%		$4,598,147,731

See accompanying notes to the financial statements. 29

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* 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) The rate disclosed is the 7 day net yield as of August 31, 2016.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.

30 See accompanying notes to the financial statements.

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		53.0	%
Debt Obligations		24.8
Short-Term Investments		19.8
Preferred Stocks		0.9
Forward Currency Contracts		0.2
Swap Contracts		0.1
Futures Contracts		0.1
Loan Participations		0.1
Investment Funds		0.1
Rights/Warrants		0.0	^
Options Purchased		0.0	^
Loan Assignments		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Written/Credit Linked Options		(0.0	)^
Other		0.9
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		11.6	%
Other Emerging		6.5	†
Other Developed		0.6	‡
Euro Region		0.0	#^
		18.7	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		16.8	%
Japan		6.3
Other Developed		4.8	‡
United Kingdom		4.6
Taiwan		3.0
Germany		2.7
China		2.7
South Korea		2.3
Other Emerging		2.3	†
France		2.2
India		1.9
Switzerland		1.6
Russia		1.4
Australia		1.2
Netherlands		1.2
		55.0	%

& The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”), except for GMO Alpha Only Fund. Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

¤ The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures

(both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

# “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

^ Rounds to 0.0%.

31

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	3,703,442	GMO Alpha Only Fund, Class IV		80,290,618
	23,970,865	GMO Asset Allocation Bond Fund, Class VI		535,748,824
	5,095,224	GMO Debt Opportunities Fund, Class VI		129,062,028
	4,206,883	GMO Emerging Country Debt Fund, Class IV		126,500,968
	12,856,424	GMO Emerging Markets Fund, Class VI		368,979,370
	31,791,348	GMO International Equity Fund, Class IV		635,826,967
	10,704,161	GMO Quality Fund, Class VI		225,108,513
	2,505,401	GMO Risk Premium Fund, Class VI		74,635,898
	2,344,726	GMO SGM Major Markets Fund, Class VI		82,440,581
	15,397,959	GMO U.S. Equity Allocation Fund, Class VI		231,431,325
	9,941,680	GMO U.S. Treasury Fund		248,641,428
		TOTAL MUTUAL FUNDS (COST $2,909,805,478)		2,738,666,520
		DEBT OBLIGATIONS — 0.0%
		Asset-Backed Securities — 0.0%
	41,917	ACE Securities Corp., Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + .28%, 0.80%, due 02/25/36¿		24,017
	186,665	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .65%, 1.82%, due 05/28/39		103,268
	63,826	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .44%, 0.96%, due 10/25/30		58,136
	16,846	Equity One ABS, Inc., Series 04-1, Class AV2, Variable Rate, 1 mo. LIBOR + .60%, 1.12%, due 04/25/34¿		14,250
	51,318	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .23%, 0.99%, due 10/25/34¿		47,723
	29,539	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 0.77%, due 02/26/34		26,007
		Total Asset-Backed Securities		273,401
		TOTAL DEBT OBLIGATIONS (COST $293,464)		273,401

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	425,467	State Street Institutional Treasury Money Market Fund-Premier Class, 0.19% (a)		425,467
		TOTAL SHORT-TERM INVESTMENTS (COST $425,467)		425,467
		TOTAL INVESTMENTS — 100.0% (Cost $2,910,524,409)		2,739,365,388
		Other Assets and Liabilities (net) — (0.0%)		(151,760	)
		TOTAL NET ASSETS — 100.0%		$2,739,213,628

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

¿ These securities are primarily backed by subprime mortgages.

(a) The rate disclosed is the 7 day net yield as of August 31, 2016.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.

32 See accompanying notes to the financial statements.

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.2	%
Short-Term Investments		1.5
Preferred Stocks		0.8
Investment Funds		0.1
Rights/Warrants		0.0	^
Swap Contracts		(0.0	)^
Other		0.4
		100.0	%

Country/Region Summary¤	% of Investments
United States		40.4	%
Japan		12.7
United Kingdom		9.2
Germany		5.4
France		4.5
Other Developed		3.6	‡
Switzerland		3.2
Netherlands		2.6
Australia		2.4
Other Emerging		2.4	†
Taiwan		2.3
China		1.9
Korea		1.7
Hong Kong		1.6
India		1.4
Italy		1.3
Canada		1.2
Spain		1.2
Russia		1.0
		100.0	%

& The table above shows indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

¤ The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.0%.

33

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares/ Par Value†		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	4,018,710	GMO Emerging Markets Fund, Class VI		115,336,964
	26,679,611	GMO International Equity Fund, Class IV		533,592,211
	11,845,659	GMO Quality Fund, Class VI		249,114,210
	16,673,957	GMO U.S. Equity Allocation Fund, Class VI		250,609,576
		TOTAL MUTUAL FUNDS (COST $1,270,691,487)		1,148,652,961
		SHORT-TERM INVESTMENTS — 0.1%
		Time Deposits — 0.1%
	1,061,199	State Street Eurodollar Time Deposit, 0.01%, due 09/01/16		1,061,199
		TOTAL SHORT-TERM INVESTMENTS (COST $1,061,199)		1,061,199
		TOTAL INVESTMENTS — 100.0% (Cost $1,271,752,686)		1,149,714,160
		Other Assets and Liabilities (net) — (0.0%)		(89,107	)
		TOTAL NET ASSETS — 100.0%		$1,149,625,053

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

For a listing of definitions of acronyms, counterparty abbreviations and

currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.

34 See accompanying notes to the financial statements.

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.6	%
Preferred Stocks		1.5
Short-Term Investments		1.5
Investment Funds		0.1
Rights/Warrants		0.0	^
Swap Contracts		0.0	^
Other		0.3
		100.0	%

Country/Region Summary¤	% of Investments
United States		34.2	%
Japan		11.3
United Kingdom		8.1
Taiwan		5.0
Germany		4.8
China		4.1
France		4.0
Korea		3.7
Other Developed		3.2	‡
Other Emerging		3.1	†
India		3.0
Switzerland		2.8
Netherlands		2.3
Russia		2.3
Australia		2.2
Hong Kong		1.5
Brazil		1.2
Italy		1.2
Canada		1.0
Spain		1.0
		100.0	%

& The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

¤ The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.0%.

35

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares/ Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	21,926,485	GMO Emerging Markets Fund, Class VI		629,290,118
	59,007,006	GMO International Equity Fund, Class IV		1,180,140,124
	24,924,994	GMO Quality Fund, Class VI		524,172,625
	34,904,769	GMO U.S. Equity Allocation Fund, Class VI		524,618,677
		TOTAL MUTUAL FUNDS (COST $3,197,909,242)		2,858,221,544
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	828,785	State Street Eurodollar Time Deposit, 0.01%, due 09/01/2016		828,785
		TOTAL SHORT-TERM INVESTMENTS (COST $828,785)		828,785
		TOTAL INVESTMENTS — 100.0% (Cost $3,198,738,027)		2,859,050,329
		Other Assets and Liabilities (net) — 0.00%		469,505
		TOTAL NET ASSETS — 100.0%		$2,859,519,834

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

For a listing of definitions of acronyms, counterparty abbreviations and

currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.

36 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary^(a)

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		56.8	%
Debt Obligations		27.6
Short-Term Investments		13.0
Preferred Stocks		1.7
Swap Contracts		0.2
Options Purchased		0.1
Forward Currency Contracts		0.0	^
Rights/warrants		0.0	^
Written Options		0.0	^
Securities Sold Short		(2.0	)
Other		2.6
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Mexico		1.0	%
New Zealand		1.0
Sweden		1.0
United States		1.0
Other Emerging		0.0	^†
Other Developed		0.0	^‡
Euro Region		0.0	^§
United Kingdom		(1.0	)
		3.0	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		18.1	%
China		5.4
Other Developed		5.2	‡
Japan		4.1
South Korea		3.6
United Kingdom		3.3
Taiwan		3.2
Other Emerging		2.3	†
Brazil		2.2
Germany		1.9
France		1.5
South Africa		1.5
Russia		1.2
Netherlands		1.1
India		1.1
Switzerland		1.0
		56.7	%

Industry Group Summary	% of Equity Investments#
Technology Hardware & Equipment		8.5	%
Banks		8.4
Software & Services		7.2
Insurance		6.7
Energy		6.5
Capital Goods		5.6
Materials		5.3
Utilities		5.1
Telecommunication Services		5.0
Food, Beverage & Tobacco		5.0
Automobiles & Components		4.5
Pharmaceuticals, Biotechnology & Life Sciences		4.4
Semiconductors & Semiconductor Equipment		3.4
Diversified Financials		3.3
Real Estate		3.1
Transportation		3.1
Consumer Durables & Apparel		3.0
Health Care Equipment & Services		3.0
Retailing		2.6
Household & Personal Products		1.9
Food & Staples Retailing		1.6
Media		1.4
Commercial & Professional Services		0.9
Consumer Services		0.5
		100.0	%

(a) GMO Implementation SPC Ltd. is a 100% owned subsidiary of GMO Implementation Fund. As such, the holdings of GMO Implementation SPC Ltd. have been included with GMO Implementation Fund.

& In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

¤ The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the table may not total to 100%.

§ “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

37

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 56.8%
		Australia — 0.7%
	817,031	Adelaide Brighton Ltd		3,218,919
	109,100	BT Investment Management Ltd		724,344
	358,240	BWP Trust (REIT)		873,834
	124,248	CIMIC Group Ltd		2,759,129
	12,223	Credit Corp Group Ltd		152,358
	935,610	Dexus Property Group (REIT)		6,824,846
	582,055	Downer EDI Ltd		2,139,600
	21,982	Elders Ltd *		60,611
	3,258,149	Fairfax Media Ltd		2,408,505
	17,620	Flight Centre Travel Group Ltd		487,303
	1,558,631	GPT Group (The) (REIT)		6,234,359
	382,640	Investa Office Fund (REIT)		1,309,812
	161,796	LendLease Group		1,676,590
	2,987,084	Mirvac Group (REIT)		5,198,899
	492,136	Nine Entertainment Co Holdings Ltd		369,274
	69,470	Nufarm Ltd		439,423
	1,021,741	OZ Minerals Ltd		4,901,888
	52,752	Premier Investments Ltd		650,878
	4,327,462	Scentre Group (REIT)		16,144,381
	571,474	Shopping Centres Australasia Property Group (REIT)		990,640
	338,273	Sonic Healthcare Ltd		5,839,406
	984,510	Star Entertainment Grp Ltd (The)		4,359,140
	1,110,202	Stockland (REIT)		4,041,713
	41,650	Tassal Group Ltd		127,936
	3,755,265	Telstra Corp Ltd		14,829,227
	634,047	Westfield Corp (REIT)		4,863,105
	122,744	Woodside Petroleum Ltd		2,629,635
		Total Australia		94,255,755
		Austria — 0.1%
	24,664	Oesterreichische Post AG *		885,885
	306,283	OMV AG		8,582,126
	113,749	voestalpine AG		3,769,911
		Total Austria		13,237,922
		Belgium — 0.1%
	113,083	Ageas		3,921,259
	231,456	AGFA-Gevaert NV *		734,014
	140,243	bpost SA		3,568,987
	8,968	Groupe Bruxelles Lambert SA		787,613
	18,268	Melexis NV		1,198,063
	60,079	Proximus SADP		1,840,054
		Total Belgium		12,049,990
		Brazil — 0.8%
	866,200	Ambev SA		5,147,522
	395,330	Banco Bradesco SA		3,562,524

Shares		Description	Value ($)
		Brazil — continued
	1,363,300	Banco do Brasil SA		9,798,772
	6,804,100	BM&FBovespa SA – Bolsa de Valores Mercadorias e Futuros		37,737,344
	1,637,000	Centrais Eletricas Brasileiras SA *		11,421,284
	198,273	Cia de Saneamento de Minas Gerais-COPASA		2,026,201
	120,600	Cosan Ltd – A Shares		849,024
	2,427,013	EDP-Energias do Brasil SA		10,747,642
	118,800	Grendene SA		661,104
	1,884,200	JBS SA		7,293,602
	2,455,600	MRV Engenharia e Participacoes SA		9,353,363
	1,289,600	Transmissora Alianca de Energia Eletrica SA		9,265,056
		Total Brazil		107,863,438
		Canada — 0.9%
	250,600	Air Canada *		1,712,198
	98,100	Alimentation Couche-Tard Inc – Class B		5,059,099
	102,200	Bank of Montreal		6,778,524
	341,700	BCE Inc		15,964,587
	48,600	BCE Inc		2,269,620
	62,800	Canadian Imperial Bank of Commerce		4,985,115
	48,000	Canadian National Railway Co		3,084,459
	33,000	Canadian Tire Corp Ltd – Class A		3,380,273
	106,700	Celestica Inc *		1,137,461
	146,000	CGI Group Inc – Class A *		7,106,283
	17,100	Chorus Aviation Inc		78,107
	301,200	CI Financial Corp		5,895,840
	33,400	Cogeco Communications Inc		1,616,006
	68,800	Corus Entertainment Inc – B Shares		644,770
	362,400	IAMGOLD Corp *		1,345,804
	114,600	IAMGOLD Corp *		424,020
	39,300	Linamar Corp		1,621,867
	5,400	Medical Facilities Corp		84,290
	497,500	Metro Inc		16,896,942
	14,900	National Bank of Canada		523,670
	95,000	Power Corp of Canada		2,008,083
	32,600	Royal Bank of Canada		2,026,749
	430,000	Sun Life Financial Inc		13,568,248
	115,200	Toromont Industries Ltd		3,485,692
	135,100	Toronto-Dominion Bank (The)		6,028,711
	132,400	Transcontinental Inc – Class A		1,938,447
	15,460	WestJet Airlines Ltd		285,292
		Total Canada		109,950,157
		Chile — 0.0%
	165,805	Empresa Nacional de Telecomunicaciones SA *		1,563,372
	130,558	Enersis Americas SA		21,624

38 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Chile — continued
	130,558	Enersis Chile SA		13,921
		Total Chile		1,598,917
		China — 5.4%
	6,364,000	Agile Property Holdings Ltd		3,609,910
	2,680,000	Air China Ltd – Class H		1,978,732
	6,661,000	Anhui Conch Cement Co Ltd – Class H		18,656,255
	448,000	Anhui Expressway Co Ltd – Class H		367,936
	3,298,000	ANTA Sports Products Ltd		8,906,160
	6,344,000	Beijing Capital International Airport Co Ltd – Class H		7,141,877
	1,992,000	Beijing Capital Land Ltd – Class H		776,532
	26,749,000	Belle International Holdings Ltd		17,338,402
	12,800	Changyou.com Ltd ADR *		317,184
	2,164,000	China BlueChemical Ltd – Class H		412,069
	14,902,000	China Communications Construction Co Ltd – Class H		16,192,796
	14,406,000	China Communications Services Corp Ltd – Class H		8,456,393
	6,964,000	China Everbright Ltd		14,411,790
	2,904,000	China Foods Ltd		1,304,733
	3,972,000	China High Speed Transmission Equipment Group Co Ltd – Class H		3,654,517
	14,572,000	China Jinmao Holdings Group Ltd		4,533,545
	4,781,000	China Lesso Group Holdings Ltd		3,351,601
	5,187,000	China Machinery Engineering Corp – Class H		3,150,046
	4,229,000	China Mengniu Dairy Co Ltd		7,995,634
	5,128,500	China Mobile Ltd		63,178,075
	38,000	China Mobile Ltd Sponsored ADR		2,306,980
	43,930,000	China National Building Material Co Ltd – Class H		19,767,127
	33,628,000	China Petroleum & Chemical Corp – Class H		24,035,523
	13,130,000	China Power International Development Ltd		4,946,396
	12,085,000	China Railway Construction Corp Ltd – Class H		14,748,629
	1,780,000	China Railway Group Ltd – Class H		1,314,921
	1,230,395	China Resources Beer Holdings Co Ltd		2,835,657
	8,784,000	China Resources Cement Holdings Ltd		3,435,474
	9,714,963	China Resources Power Holdings Co Ltd		16,733,360
	4,824,000	China Shanshui Cement Group Ltd * (a)		—
	324,000	China Shineway Pharmaceutical Group Ltd		339,427
	7,128,000	China Southern Airlines Co Ltd – Class H		4,220,419
	70,406,000	China Telecom Corp Ltd – Class H		36,278,092
	12,372,000	China Travel International Investment Hong Kong Ltd		3,628,275

Shares		Description	Value ($)
		China — continued
	5,174,500	China ZhengTong Auto Services Holdings Ltd		1,796,303
	1,034,000	Chinasoft International Ltd *		476,889
	3,272,000	CIFI Holdings Group Co Ltd		1,022,677
	656,313	CKH Food & Health Ltd *		1,405,520
	22,142,000	CNOOC Ltd		26,712,596
	17,447,000	Country Garden Holdings Co Ltd		8,842,303
	694,000	Dah Chong Hong Holdings Ltd		302,739
	12,196,000	Datang International Power Generation Co Ltd – Class H		3,185,966
	4,606,000	Digital China Holdings Ltd		4,140,153
	7,936,000	Dongfeng Motor Group Co Ltd – Class H		8,458,639
	1,637,000	Far East Horizon Ltd		1,526,041
	824,500	Fosun International Ltd		1,138,366
	44,356,000	GOME Electrical Appliances Holding Ltd		5,247,674
	6,297,000	Greentown China Holdings Ltd *		5,129,762
	10,674,000	Guangdong Investment Ltd		16,482,355
	8,806,400	Guangzhou R&F Properties Co Ltd – Class H		14,841,516
	1,488,000	Haitian International Holdings Ltd		2,991,474
	689,500	Hopewell Highway Infrastructure Ltd		401,546
	630,000	Hopson Development Holdings Ltd		615,647
	15,384,000	Huabao International Holdings Ltd *		5,919,134
	14,868,000	Huadian Power International Corp Ltd – Class H		6,637,851
	16,802,000	Huaneng Power International Inc – Class H		10,237,660
	7,934,000	Jiangsu Expressway Co Ltd – Class H		11,133,969
	1,482,000	Ju Teng International Holdings Ltd		438,768
	2,439,000	Kingboard Chemical Holdings Ltd		6,341,911
	315,500	Kingboard Laminates Holdings Ltd		272,508
	471,000	Kingsoft Corp Ltd		960,281
	9,709,000	KWG Property Holding Ltd		6,501,716
	11,400,000	Lee & Man Paper Manufacturing Ltd		9,182,286
	6,020,000	Longfor Properties Co Ltd		9,678,441
	300,000	Minth Group Ltd		1,133,461
	28,605,000	People’s Insurance Co Group of China Ltd (The) – Class H		11,457,314
	15,016,000	PICC Property & Casualty Co Ltd – Class H		24,713,352
	12,421,000	Poly Property Group Co Ltd *		3,543,884
	3,149,000	Pou Sheng International Holdings Ltd *		1,086,067
	65,500	Qunar Cayman Islands Ltd ADR *		1,946,660
	2,638,000	Shanghai Industrial Holdings Ltd		6,855,465
	1,070,000	Shanghai Jin Jiang International Hotels Group Co Ltd – Class H		344,234
	2,480,500	Shanghai Pharmaceuticals Holding Co Ltd – Class H		6,798,105
	6,262,000	Shenzhen Expressway Co Ltd – Class H		6,610,831

See accompanying notes to the financial statements. 39

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		China — continued
	6,813,000	Shenzhen International Holdings Ltd		10,918,318
	7,480,500	Shimao Property Holdings Ltd		10,382,050
	12,531,500	Shui On Land Ltd		3,549,549
	14,580,500	Sino-Ocean Land Holdings Ltd		6,750,554
	3,778,000	Sinofert Holdings Ltd		476,396
	7,616,000	Sinopec Engineering Group Co Ltd – Class H		6,301,935
	19,809,532	Skyworth Digital Holdings Ltd		14,638,232
	8,908,000	SOHO China Ltd		5,310,161
	328,450	Sohu.com Inc *		13,972,263
	1,682,000	Tianjin Development Holdings Ltd		794,969
	1,650,000	Tianjin Port Development Holdings Ltd		254,768
	3,052,000	Tianneng Power International Ltd		2,506,897
	9,409,000	TravelSky Technology Ltd – Class H		20,394,924
	1,023,000	Xinhua Winshare Publishing and Media Co Ltd – Class H *		1,039,043
	4,512,000	XTEP International Holdings Ltd		2,327,852
	1,584,500	Yingde Gases Group Co Ltd		691,544
	16,806,000	Yuexiu Property Co Ltd		2,550,542
	6,519,000	Yuexiu Real Estate Investment Trust		4,274,251
	10,874,000	Zhejiang Expressway Co Ltd – Class H		12,111,213
		Total China		676,081,992
		Czech Republic — 0.2%
	920,159	CEZ AS		16,061,139
	256,634	Komercni Banka as		8,679,280
	80,000	O2 Czech Republic AS		747,725
		Total Czech Republic		25,488,144
		Denmark — 0.3%
	4,732	AP Moeller – Maersk A/S – Class B		7,078,890
	65,453	Carlsberg A/S – Class B		6,144,141
	37,700	Novo Nordisk A/S Sponsored ADR		1,761,344
	436,839	Novo Nordisk A/S – Class B		20,444,399
		Total Denmark		35,428,774
		Finland — 0.1%
	240,528	Neste Oyj		10,018,521
	12,225	Orion Oyj – Class B		462,703
	244,312	Sponda Oyj		1,275,686
	332,580	UPM-Kymmene Oyj		6,684,846
		Total Finland		18,441,756
		France — 1.8%
	168,075	Air France-KLM *		925,130
	5,926	Aubay		154,682
	1,996,596	AXA SA		42,022,894
	464,295	BNP Paribas SA		23,711,770
	70,655	Capgemini SA		6,903,669

Shares		Description	Value ($)
		France — continued
	73,844	Christian Dior SE		12,796,479
	89,320	Cie Generale des Etablissements Michelin		9,521,184
	64,441	CNP Assurances		1,039,467
	106,240	Legrand SA		6,382,468
	21,606	LVMH Moet Hennessy Louis Vuitton SE		3,655,924
	82,459	M6-Metropole Television SA		1,464,525
	15,093	Nexity SA *		792,046
	165,573	Orange SA		2,523,983
	67,639	Renault SA		5,554,723
	134,386	Rexel SA		2,164,753
	165,251	SCOR SE		4,875,759
	328,872	Societe Generale SA		12,007,022
	20,233	Societe BIC SA		2,956,540
	1,459,465	TOTAL SA		69,727,961
	1,003,731	Vivendi SA		19,440,972
		Total France		228,621,951
		Germany — 1.7%
	174,206	ADVA Optical Networking SE *		1,486,448
	352,730	Allianz SE (Registered)		52,435,795
	28,656	Axel Springer SE		1,458,533
	557,970	BASF SE		45,260,043
	102,171	Bayerische Motoren Werke AG		8,877,924
	12,181	Bechtle AG		1,359,083
	835,318	Daimler AG (Registered)		57,821,467
	923,900	Deutsche Lufthansa AG (Registered)		10,747,421
	203,655	Evonik Industries AG		6,833,527
	7,777	Fraport AG Frankfurt Airport Services Worldwide		433,397
	53,287	Hannover Rueck SE		5,447,470
	173,931	K+S AG (Registered)		3,635,224
	197,906	ProSiebenSat.1 Media SE		8,538,912
	7,162	RHOEN-KLINIKUM AG		211,735
	5,193	RTL Group SA		437,164
	46,883	SAP AG		4,117,261
	79,777	Software AG		3,171,866
	98,324	STADA Arzneimittel AG		5,272,837
		Total Germany		217,546,107
		Hong Kong — 0.6%
	2,625,500	BOC Hong Kong Holdings Ltd		9,166,604
	867,000	Champion (REIT)		552,350
	992,000	CK Hutchison Holdings Ltd		12,727,800
	807,600	Dah Sing Banking Group Ltd		1,481,992
	142,800	Dah Sing Financial Holdings Ltd		963,315
	36,300	Hang Seng Bank Ltd		635,753
	1,227,900	Hongkong Land Holdings Ltd		7,958,376
	697,000	Hysan Development Co Ltd		3,360,724

40 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	1,380,000	Kerry Properties Ltd		4,007,833
	1,508,500	Link (REIT)		10,957,619
	334,000	Luk Fook Holdings International Ltd		761,391
	1,549,600	Man Wah Holdings Ltd		1,051,445
	829,000	Pacific Textiles Holdings Ltd		1,089,380
	67,300	Power Assets Holdings Ltd		642,857
	720,000	Sino Land Co Ltd		1,230,546
	4,691,000	SJM Holdings Ltd		2,942,942
	312,000	Sun Hung Kai Properties Ltd		4,383,061
	466,500	Swire Pacific Ltd – Class A		5,146,429
	191,900	Television Broadcasts Ltd		684,337
	871,000	Wharf Holdings Ltd (The)		6,138,397
	570,000	Wheelock & Co Ltd		3,254,762
	232,500	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		47,953
	1,860,000	Xinyi Glass Holdings Ltd *		1,598,901
		Total Hong Kong		80,784,767
		Hungary — 0.2%
	2,744,536	Magyar Telekom Telecommunications Plc		4,279,476
	162,782	MOL Hungarian Oil & Gas Plc		10,160,665
	440,734	OTP Bank Plc		11,506,033
	75,563	Richter Gedeon Nyrt		1,550,126
		Total Hungary		27,496,300
		India — 1.1%
	988,998	Allahabad Bank *		1,241,834
	419,341	Andhra Bank		376,541
	487,102	Bank of India *		848,700
	1,202,314	Cairn India Ltd		3,575,257
	1,732,603	Canara Bank *		7,229,525
	70,399	Dewan Housing Finance Corp Ltd		304,209
	3,013,260	Firstsource Solutions Ltd *		1,976,003
	296,164	HCL Technologies Ltd		3,438,439
	1,010,294	Hexaware Technologies Ltd		3,056,749
	1,093,844	IDBI Bank Ltd *		1,186,616
	110,425	IFCI Ltd		46,789
	1,216,633	Indiabulls Housing Finance Ltd		14,854,343
	2,310,514	Infosys Ltd Sponsored ADR		36,644,752
	318,328	Jammu & Kashmir Bank Ltd (The)		333,566
	161,103	Karnataka Bank Ltd (The)		362,835
	132,817	KPIT Technologies Ltd		252,142
	271,419	Mindtree Ltd		2,269,816
	165,231	Mphasis Ltd *		1,392,136
	247,991	NIIT Ltd *		345,253
	542,040	NIIT Technologies Ltd		3,237,437
	16,268	Oracle Financial Services Software Ltd		835,321
	764,457	Oriental Bank of Commerce		1,429,116

Shares		Description	Value ($)
		India — continued
	1,283,356	Power Finance Corp Ltd		2,373,669
	1,283,356	Power Finance Corp Ltd Bonus Shares *		2,222,925
	2,682,518	Rural Electrification Corp Ltd		9,560,630
	393,705	Sonata Software Ltd		905,813
	2,450,060	Syndicate Bank *		2,808,615
	425,575	Tata Consultancy Services Ltd		15,978,354
	1,889,515	Union Bank of India		3,995,341
	610,820	Wipro Ltd		4,438,354
	928,400	Wipro Ltd ADR		9,581,088
	37,878	Zensar Technologies Ltd		610,075
		Total India		137,712,243
		Indonesia — 0.0%
	7,657,900	Bank Tabungan Negara Persero Tbk PT		1,158,498
	670,400	Indo Tambangraya Megah Tbk PT		574,015
		Total Indonesia		1,732,513
		Ireland — 0.0%
	5,400	ICON Plc *		414,666
	169,757	Smurfit Kappa Group Plc		4,190,016
		Total Ireland		4,604,682
		Israel — 0.4%
	1,137,801	Bank Hapoalim BM		6,109,033
	1,166,645	Bank Leumi Le-Israel BM *		4,371,758
	1,159,014	Bezeq The Israeli Telecommunication Corp Ltd		2,329,535
	272,400	Check Point Software Technologies Ltd *		20,903,976
	609,827	Israel Discount Bank Ltd – Class A *		1,101,264
	63,270	Mizrahi Tefahot Bank Ltd		763,723
	220,392	Teva Pharmaceutical Industries Ltd		11,163,741
	37,500	Teva Pharmaceutical Industries Ltd Sponsored ADR		1,889,625
		Total Israel		48,632,655
		Italy — 0.6%
	681,429	A2A SPA		904,369
	111,682	Amplifon SPA		1,174,711
	754,004	Banca Mediolanum SPA		5,238,350
	33,753	De’ Longhi SPA		837,280
	4,200,357	Enel SPA		18,561,101
	1,875,190	Eni SPA		28,308,078
	1,089,802	Hera SPA		3,021,142
	623,059	Iren SPA		1,025,748
	243,225	Italcementi SPA *		2,867,982
	5,263	La Doria SPA		65,712
	182,852	Poste Italiane SPA		1,275,100
	198,329	Recordati SPA		6,002,718

See accompanying notes to the financial statements. 41

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	687	Reply SPA		84,714
	300,228	Saras SPA		448,532
	194,208	Societa Cattolica di Assicurazioni SCRL		1,125,448
	2,506,010	Telecom Italia SPA-Di RISP *		1,837,658
		Total Italy		72,778,643
		Japan — 4.2%
	105,300	Aisin Seiki Co Ltd		4,980,960
	20,400	Alfresa Holdings Corp		381,075
	45,700	AOKI Holdings Inc		471,468
	46,200	Aoyama Trading Co Ltd		1,500,650
	8,800	Asahi Breweries Ltd		287,924
	140,000	Asahi Kasei Corp		1,182,776
	38,900	Autobacs Seven Co Ltd		539,301
	69,300	Bridgestone Corp		2,383,431
	312,000	Calsonic Kansei Corp		2,458,383
	73,622	Canon Inc		2,111,160
	5,100	Cawachi Ltd		112,875
	81,200	Central Japan Railway Co		13,352,636
	23,200	Century Tokyo Leasing Corp		872,371
	16,000	Chiba Bank Ltd (The)		95,035
	56,000	Coca-Cola West Co Ltd		1,270,107
	35,100	Concordia Financial Group Ltd *		181,470
	249,000	Daicel Corp		3,181,875
	205,800	Daiichi Sanyko Co Ltd		4,728,149
	243,700	Daiwa House Industry Co Ltd		6,295,818
	168,200	DCM Holdings Co Ltd		1,282,048
	445,000	Denka Co Ltd		1,881,304
	16,100	Exedy Corp		399,742
	215,800	Fuji Heavy Industries Ltd		8,589,312
	453,822	FUJIFILM Holdings Corp		17,077,485
	40,000	Fujitsu General Ltd		813,696
	118,600	Haseko Corp		1,124,150
	23,900	Hitachi Capital Corp		498,062
	19,100	Horiba Ltd		888,637
	76,000	Idemitsu Kosan Co Ltd		1,384,896
	541,992	Inpex Corp		4,697,800
	3,556,600	ITOCHU Corp		41,999,550
	461,000	Japan Airlines Co Ltd		14,070,694
	149,000	Juroku Bank Ltd (The)		413,884
	209,300	K’s Holdings Corp		3,304,959
	252,000	Kaneka Corp		2,058,127
	549,000	Kanematsu Corp		807,139
	1,709,200	KDDI Corp		49,967,825
	68,000	Keihin Corp		1,045,638
	291,100	Konica Minolta Inc		2,629,700
	74,100	Kuraray Co Ltd		1,060,366
	2,187,900	Marubeni Corp		10,918,278
	210,704	Medipal Holdings Corp		3,337,119

Shares		Description	Value ($)
		Japan — continued
	724,300	Mitsubishi Chemical Holdings Corp		4,583,338
	834,000	Mitsubishi Electric Corp		10,914,101
	22,000	Mitsubishi Tanabe Pharma Corp		408,394
	7,182,400	Mitsubishi UFJ Financial Group Inc		39,564,432
	834,274	Mitsui & Co Ltd		11,108,378
	8,165,100	Mizuho Financial Group Inc		14,226,271
	95,700	NHK Spring Co Ltd		903,325
	12,200	Nifco Inc		615,072
	68,000	Nippon Corp		1,232,382
	89,300	Nippon Paper Industries Co Ltd		1,654,491
	1,171,700	Nippon Telegraph & Telephone Corp		51,518,555
	834,436	Nissan Motor Co Ltd		8,198,761
	65,000	Nomura Real Estate Holdings Inc		1,060,093
	711,429	NTT DOCOMO Inc		17,941,724
	86,000	Onward Holdings Co Ltd		605,300
	300,900	Orient Corp *		600,161
	276,000	ORIX Corp		3,977,413
	562,000	Osaka Gas Co Ltd		2,214,549
	333,200	Otsuka Holdings Co Ltd		14,448,746
	69,000	PanaHome Corp		510,779
	4,300	Pola Orbis Holdings Inc		343,441
	318,400	Sekisui Chemical Co Ltd		4,458,170
	382,500	Sekisui House Ltd		6,171,191
	21,300	Shimamura Co Ltd		2,465,649
	3,610,600	Sojitz Corp		8,660,012
	935,000	Sumitomo Chemical Co Ltd		4,289,564
	785,000	Sumitomo Corp		8,517,858
	150,600	Sumitomo Forestry Co Ltd		2,038,730
	1,347,100	Sumitomo Mitsui Financial Group Inc		47,124,412
	599,000	Sumitomo Mitsui Trust Holdings Inc		2,149,347
	106,000	Sumitomo Osaka Cement Co Ltd		480,011
	164,600	Sumitomo Rubber Industries Ltd		2,446,930
	5,300	Sundrug Co Ltd		383,975
	84,500	Suzuken Co Ltd		2,453,507
	101,137	TIS Inc		2,401,353
	83,500	Toho Holdings Co Ltd		1,623,281
	63,100	Tokai Rika Co Ltd		1,251,629
	5,800	Token Corp		427,972
	345,000	Toppan Printing Co Ltd		3,078,834
	19,600	Topre Corp		385,535
	537,000	Tosoh Corp		3,313,075
	30,800	Toyoda Gosei Co Ltd		710,901
	27,000	Toyota Boshoku Corp		619,556
	210,400	Toyota Tsusho Corp		4,817,947
	71,300	TS Tech Co Ltd		1,658,354
	126,000	Tsubakimoto Chain Co		953,118
	303,400	UNY Group Holdings Co Ltd		2,998,606
	46,600	Valor Holdings Co Ltd		1,258,225
	55,000	Wacoal Holdings Corp		588,933

42 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	3,000	Warabeya Nichiyo Co Ltd		54,772
	446,067	Yamada Denki Co Ltd		2,086,797
	97,000	Yamaguchi Financial Group Inc		1,024,904
	81,800	Yokohama Rubber Co Ltd (The)		1,331,242
		Total Japan		525,491,971
		Malaysia — 0.0%
	593,000	Ta Ann Holdings Berhad		522,452
		Mexico — 0.5%
	1,636,803	Alpek SA de CV		2,826,838
	609,700	Arca Continental SAB de CV		3,806,684
	2,891,700	Bolsa Mexicana de Valores SAB de CV		5,244,734
	242,100	Controladora Comercial Mexicana SAB de CV *		419,823
	1,634,693	Gentera SAB de CV		3,194,347
	934,355	Gruma SAB de CV – Class B		12,421,534
	808,600	Grupo Aeroportuario del Pacifico SAB de CV – Class B		8,040,145
	10,900	Grupo Aeroportuario del Sureste SAB de CV ADR		1,661,814
	116,860	Grupo Aeroportuario del Sureste SAB de CV – Class B		1,779,559
	433,391	Grupo Financiero Interacciones SA de CV – Class O		2,221,496
	443,613	Grupo Herdez SAB de CV		949,185
	1,099,800	Macquarie Mexico Real Estate Management SA de CV (REIT) *		1,424,556
	5,138,500	OHL Mexico SAB de CV *		7,256,931
	3,698,200	Wal-Mart de Mexico SAB de CV		8,447,792
		Total Mexico		59,695,438
		Netherlands — 1.1%
	116,700	AerCap Holdings NV *		4,664,499
	74,440	Heineken Holding NV		6,000,659
	62,502	Heineken NV		5,597,765
	315,528	ING Groep NV		3,948,944
	694,533	Koninklijke Ahold Delhaize NV		16,673,484
	1,176,425	NN Group NV		35,124,615
	1,491,525	PostNL NV *		6,541,087
	102,445	Randstad Holdings NV		4,846,914
	93,100	Unilever NV		4,292,841
	838,808	Unilever NV CVA		38,594,484
	417,720	Wolters Kluwer NV		17,572,218
		Total Netherlands		143,857,510
		New Zealand — 0.0%
	77,354	Air New Zealand Ltd		126,789
	193,730	Fletcher Building Ltd		1,488,357

Shares		Description	Value ($)
		New Zealand — continued
	436,388	SKY Network Television Ltd		1,537,734
		Total New Zealand		3,152,880
		Norway — 0.3%
	72,668	Bakkafrost P/F		2,607,149
	231,172	BW LPG Ltd		609,336
	937,678	Orkla ASA		8,581,155
	7,631	Salmar ASA		211,184
	935,617	Statoil ASA		14,677,789
	94,800	Statoil ASA Sponsored ADR		1,483,620
	393,948	Storebrand ASA *		1,663,804
	389,523	Telenor ASA		6,792,917
	227,127	Yara International ASA		8,043,249
		Total Norway		44,670,203
		Poland — 0.4%
	369,344	Asseco Poland SA		5,388,853
	453,330	Bank Millennium SA *		671,857
	1,250,391	Enea SA *		3,158,355
	882,415	KGHM Polska Miedz SA *		16,540,950
	14,251	mBank SA *		1,422,547
	3,057,476	PGE Polska Grupa Energetyczna SA		9,033,415
	2,572,448	Polskie Gornictwo Naftowe i Gazownictwo SA		3,513,117
	10,429,075	Tauron Polska Energia SA *		7,417,232
		Total Poland		47,146,326
		Portugal — 0.0%
	333,206	CTT – Correios de Portugal SA		2,447,459
	49,697	EDP – Energias de Portugal SA		166,963
	34,178	REN-Redes Energeticas Nacionais SGPS SA		99,885
		Total Portugal		2,714,307
		Russia — 1.2%
	4,311,900	Aeroflot PJSC *		6,522,209
	16,693,437	Gazprom PAO Sponsored ADR		67,496,924
	759,165	Lukoil PJSC Sponsored ADR		34,022,605
	12,378,900	Magnitogorsk Iron & Steel Works OJSC		5,749,192
	355,220	Novolipetsk Steel PJSC		496,368
	2,099,349	Rosneft PJSC GDR (Registered)		10,961,255
	497,603,311	RusHydro PJSC		6,047,948
	513,619	Tatneft PAO Sponsored ADR		15,146,579
		Total Russia		146,443,080
		Singapore — 0.3%
	1,024,900	Ascendas Real Estate Investment Trust		1,841,875
	2,235,100	CapitaLand Commercial Trust (REIT)		2,532,344
	1,937,000	CapitaLand Mall Trust (REIT)		3,069,202

See accompanying notes to the financial statements. 43

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Singapore — continued
	386,900	DBS Group Holdings Ltd		4,250,781
	94,000	Fortune Real Estate Investment Trust		120,140
	328,300	InterOil Corp *		16,112,964
	726,300	SATS Ltd		2,509,828
	93,800	Sino Grandness Food Industry Group Ltd		33,330
	230,500	UOL Group Ltd		939,186
	4,013,100	Yangzijiang Shipbuilding Holdings Ltd		2,249,748
		Total Singapore		33,659,398
		South Africa — 1.5%
	295,155	AECI Ltd		2,066,906
	2,691,606	African Bank Investments Ltd * (a)		183
	255,551	African Rainbow Minerals Ltd		1,519,321
	86,387	Astral Foods Ltd		766,557
	1,437,468	AVI Ltd		8,707,170
	1,228,474	Barclays Africa Group Ltd		12,454,906
	1,406,085	Barloworld Ltd		7,960,095
	487,590	Bidvest Group Ltd (The)		5,042,967
	772,756	Clicks Group Ltd		6,357,565
	215,656	DataTec Ltd		733,677
	3,261	Distell Group Ltd		38,004
	90,374	EOH Holdings Ltd		884,019
	2,730,824	FirstRand Ltd		8,204,048
	484,392	Hyprop Investments Ltd (REIT)		4,240,028
	881,041	Imperial Holdings Ltd		9,458,619
	74,387	JSE Ltd		789,466
	131,533	Kumba Iron Ore Ltd *		1,197,710
	325,555	Lewis Group Ltd		919,632
	723,143	Liberty Holdings Ltd		5,539,330
	3,844,497	MMI Holdings Ltd		5,909,718
	296,545	Mondi Ltd		5,992,066
	1,151,517	Nedbank Group Ltd		16,188,896
	193,563	Omnia Holdings Ltd		2,274,529
	39,374	Pioneer Foods Group Ltd		455,940
	6,146,567	Redefine Properties Ltd		4,616,390
	2,229,777	RMB Holdings Ltd		8,927,317
	1,828,684	SA Corporate Real Estate Fund Nominees Pty Ltd		650,059
	6,876	Sanlam Ltd		29,241
	70,539	Santam Ltd		1,064,821
	372,489	Sasol Ltd		9,403,251
	2,613,062	Sibanye Gold Ltd		10,155,879
	196,118	Sibanye Gold Ltd Sponsored ADR		3,026,101
	466,311	SPAR Group Ltd (The)		6,093,028
	385,196	Standard Bank Group Ltd		3,492,804
	821,362	Super Group Ltd *		2,264,061
	1,369,993	Telkom SA SOC Ltd		5,672,325
	1,835,780	Truworths International Ltd		9,514,565

Shares		Description	Value ($)
		South Africa — continued
	204,264	Tsogo Sun Holdings Ltd		422,618
	1,460,353	Vodacom Group Ltd		15,199,792
	27,890	Vukile Property Fund Ltd		32,411
	230,181	Wilson Bayly Holmes-Ovcon Ltd		2,327,040
		Total South Africa		190,593,055
		South Korea — 3.4%
	707,630	BNK Financial Group Inc		5,603,798
	59,566	Coway Co Ltd		4,448,992
	15,350	Crown Confectionery Co Ltd		401,224
	628	Dae Han Flour Mills Co Ltd		97,950
	79,198	Daelim Industrial Co Ltd		5,736,295
	75,037	Daishin Securities Co Ltd		687,831
	486,387	Daou Technology Inc		9,165,696
	323,059	DGB Financial Group Inc		2,644,028
	128,139	Dongbu Insurance Co Ltd		7,747,799
	45,727	E-MART Inc		6,451,108
	115,032	Eugene Investment & Securities		260,815
	64,793	GS Holdings		2,863,915
	7,421	GS Home Shopping Inc		1,046,764
	250,094	Hana Financial Group Inc		6,550,329
	165,121	Hankook Tire Co Ltd		8,258,232
	10,666	Hansol Paper Co Ltd		207,385
	140,861	Hanwha Corp		4,620,163
	93,157	Hanwha General Insurance Co Ltd		535,744
	1,075,733	Hanwha Life Insurance Co Ltd		5,458,613
	58,900	Harim Holdings Co Ltd *		229,830
	61,081	Hyundai Department Store Co Ltd		6,859,767
	10,329	Hyundai Home Shopping Network Corp		1,138,508
	200,871	Hyundai Marine & Fire Insurance Co Ltd		6,082,181
	180,587	Hyundai Mobis Co Ltd		42,083,704
	397,781	Hyundai Motor Co		47,386,681
	18,367	Hyundai Steel Co		842,725
	846,699	Industrial Bank of Korea		8,907,418
	464,157	JB Financial Group Co Ltd		2,456,297
	3,630	Kangnam Jevisco Co Ltd		123,672
	701,293	KB Financial Group Inc		24,468,127
	1,136,150	Kia Motors Corp		42,708,373
	22,364	Kolon Industries Inc		1,641,565
	7,201	Korea Electric Terminal Co Ltd		493,194
	7,955	Korea Petrochemical Ind Co Ltd		1,388,515
	240,515	Korean Reinsurance Co		2,577,134
	186,524	KT Hitel Co Ltd *		1,241,013
	204,765	KT&G Corp		21,467,493
	6,150	Kukdo Chemical Co Ltd		314,836
	12,141	Kyobo Securities Co Ltd		105,229
	16,231	LF Corp		316,729
	454,683	LG Display Co Ltd		12,196,162
	137,105	LG International Corp		4,076,218

44 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	1,423	Lotte Chilsung Beverage Co Ltd		1,911,075
	1,929	Lotte Food Co Ltd		1,165,179
	46,585	LOTTE Himart Co Ltd		1,836,501
	56,917	Lotte Shopping Co Ltd		10,337,297
	185,834	Meritz Fire & Marine Insurance Co Ltd		2,593,350
	50,089	NCSoft Corp		12,085,207
	51,964	Poongsan Corp		1,457,953
	24,042	Samjin Pharmaceutical Co Ltd		692,228
	187,930	Samsung Card Co Ltd		7,441,174
	29,684	Samsung Electronics Co Ltd		43,055,695
	8	Samsung Electronics Co Ltd GDR		5,789
	75,147	Seah Besteel Corp		1,620,581
	31,817	Shinsegae Inc		5,795,752
	113,550	SK Innovation Co Ltd		14,738,149
	77,437	SKC Co Ltd		1,900,466
	50,544	Soulbrain Co Ltd		2,796,728
	122,466	Tongyang Life Insurance Co Ltd		1,320,964
	4,408	Unid Co Ltd		174,148
	1,225,697	Woori Bank		11,646,167
		Total South Korea		424,466,455
		Spain — 0.6%
	1,334,531	Abengoa Yield Plc		25,235,981
	81,037	Ebro Foods SA		1,814,082
	1,144,185	Endesa SA		23,317,156
	285,312	Iberdrola SA		1,879,329
	1,000,998	International Consolidated Airlines Group SA		5,040,720
	968,786	Repsol SA		13,014,042
	9,548	Viscofan SA		522,241
		Total Spain		70,823,551
		Sweden — 0.3%
	181,853	Axfood AB		3,227,532
	11,034	Bonava AB – B Shares *		133,017
	108,238	Fastighets AB Balder – B Shares *		3,020,660
	87,189	Industrivarden AB – C Shares		1,587,290
	54,085	Intrum Justitia AB		1,706,026
	889,005	Meda AB – A Shares		16,200,263
	11,034	NCC AB – Class B		274,949
	539,513	Sandvik AB		5,852,364
	50,940	Svenska Cellulosa AB SCA – Class B		1,565,672
	466,110	Telefonaktiebolaget LM Ericsson – B Shares		3,319,761
	7,563	Tethys Oil AB		47,484
	56,021	Wihlborgs Fastigheter AB		1,216,804
		Total Sweden		38,151,822

Shares		Description	Value ($)
		Switzerland — 1.0%
	191,293	Adecco Group AG (Registered)		11,020,346
	3,766	Ascom Holding AG (Registered)		68,960
	11,535	Cembra Money Bank AG *		835,680
	1,154	dorma & kaba Holding AG – Class B (Registered)		906,404
	221	Emmi AG (Registered) *		147,461
	6,712	EMS-Chemie Holding AG (Registered)		3,574,229
	6,289	Flughafen Zuerich AG (Registered)		1,164,105
	673	Forbo Holdings AG (Registered) *		924,924
	2,537	Georg Fischer AG (Registered)		2,041,820
	727	Givaudan SA (Registered)		1,503,749
	2,818	Helvetia Holding AG (Registered)		1,409,616
	448	Komax Holding AG (Registered)		108,885
	58,789	Kuehne & Nagel International AG (Registered)		8,213,731
	63,777	Logitech International SA (Registered)		1,337,113
	223,893	Nestle SA (Registered)		17,842,653
	41,188	Novartis AG (Registered)		3,244,090
	19,143	Roche Holding AG		4,672,808
	413	Sika AG		1,969,105
	20,309	Swiss Life Holding AG (Registered) *		5,091,774
	543,404	Swiss Re AG		45,921,215
	200,725	Syngenta AG ADR		17,513,256
	9,109	UBS Group AG (Registered)		132,005
	3,520	Vontobel Holding AG (Registered)		170,136
	7,310	Zurich Insurance Group AG *		1,871,860
		Total Switzerland		131,685,925
		Taiwan — 3.2%
	8,467,000	Advanced Semiconductor Engineering Inc		10,302,514
	2,450,000	Asustek Computer Inc		20,693,277
	6,114,000	AU Optronics Corp		2,384,456
	1,094,000	BES Engineering Corp		186,385
	4,954,440	Chang Hwa Commercial Bank Ltd		2,486,326
	3,567,200	China Life Insurance Co Ltd		3,152,943
	1,470	Chunghwa Telecom Co Ltd		5,277
	12,211,000	Compal Electronics Inc		7,227,398
	957,000	CTBC Financial Holding Co Ltd		552,520
	4,997,286	E.Sun Financial Holding Co Ltd		2,807,738
	1,731,980	Far Eastern New Century Corp		1,275,083
	4,207,507	Foxconn Technology Co Ltd *		11,784,337
	13,691,000	Fubon Financial Holding Co Ltd		19,326,344
	174,000	Grape King Bio Ltd		1,304,781
	30,377,876	Hon Hai Precision Industry Co Ltd		84,027,538
	5,752,854	Hua Nan Financial Holdings Co Ltd – Class C		2,961,178
	20,874,000	Innolux Corp		7,352,302
	10,312,000	Inventec Corp		7,636,675

See accompanying notes to the financial statements. 45

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	43,000	Kinik Co		71,886
	7,007,475	Lite-On Technology Corp		10,587,217
	2,889,600	Mercuries Life Insurance Co Ltd *		1,373,216
	1,413,000	Novatek Microelectronics Corp		4,813,618
	12,795,000	Pegatron Corp		30,871,490
	607,000	Phison Electronics Corp		4,381,623
	10,094,000	Pou Chen Corp		14,598,377
	3,869,808	Powertech Technology Inc		10,089,116
	729,020	Radiant Opto-Electronics Corp		1,194,100
	21,854,000	Shin Kong Financial Holding Co Ltd *		4,785,150
	4,110,000	Siliconware Precision Industries Co Ltd		6,120,013
	10,673,223	Taishin Financial Holding Co Ltd		4,031,662
	6,088,000	Taiwan Business Bank *		1,626,180
	3,323,000	Taiwan Cement Corp		3,786,544
	352,030	Taiwan Cooperative Financial Holding Co Ltd		154,567
	381,000	Taiwan Semiconductor Co Ltd		437,134
	3,101,400	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		89,134,236
	1,701,000	Teco Electric and Machinery Co Ltd		1,428,232
	207,060	Topco Scientific Co Ltd		547,928
	160,000	Transcend Information Inc		460,615
	1,707,000	Uni-President Enterprises Corp		3,220,860
	1,005,000	United Integrated Services Co Ltd		1,570,632
	33,972,000	United Microelectronics Corp		12,317,662
	6,235,859	Wistron Corp		4,572,593
	1,907,000	WPG Holdings Ltd		2,264,601
		Total Taiwan		399,906,324
		Thailand — 0.2%
	817,800	Bangkok Bank Pcl NVDR		4,000,852
	7,925,000	Krung Thai Bank Pcl (Foreign Registered)		4,345,433
	562,200	PTT Pcl (Foreign Registered)		5,649,437
	175,300	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		275,888
	5,346,300	Thanachart Capital Pcl (Foreign Registered)		6,177,926
		Total Thailand		20,449,536
		Turkey — 0.9%
	133,721	Aksa Akrilik Kimya Sanayii		383,701
	7,969,425	Eregli Demir ve Celik Fabrikalari TAS		11,989,904
	1,456,883	KOC Holding AS		6,323,615
	811,942	Soda Sanayii AS		1,125,391
	526,592	TAV Havalimanlari Holding AS		2,052,953
	3,176,907	Turk Telekomunikasyon AS		6,411,572
	1,852,607	Turkcell Iletisim Hizmetleri AS *		6,209,326
	5,806,593	Turkiye Halk Bankasi AS		17,426,986

Shares		Description	Value ($)
		Turkey — continued
	19,707,327	Turkiye Is Bankasi – Class C		32,040,671
	4,032,300	Turkiye Sise ve Cam Fabrikalari AS		4,662,733
	14,004,388	Turkiye Vakiflar Bankasi TAO – Class D		20,592,751
		Total Turkey		109,219,603
		United Kingdom — 3.3%
	292,227	ARM Holdings Plc Sponsored ADR		19,368,806
	976,373	AstraZeneca Plc		63,025,798
	100	AstraZeneca Plc Sponsored ADR		3,281
	713,545	Balfour Beatty Plc *		2,646,382
	119,874	Beazley Plc		613,877
	94,669	Bellway Plc		2,897,557
	280,249	Berkeley Group Holdings Plc (The)		9,833,027
	181,920	Bovis Homes Group Plc		2,141,611
	507,066	British American Tobacco Plc		31,459,685
	17,900	British American Tobacco Plc Sponsered ADR		2,223,001
	56,712	Burberry Group Plc		971,804
	768,161	Carillion Plc		2,624,787
	5,773,805	Centrica Plc		17,654,941
	83,699	Cobham Plc		177,662
	327,101	Compass Group Plc		6,191,195
	217,708	Crest Nicholson Holdings Plc		1,329,753
	1,747,306	Debenhams Plc		1,390,894
	454,615	Direct Line Insurance Group Plc		2,207,886
	398,675	DS Smith Plc		2,139,322
	67,130	Galliford Try Plc		1,001,133
	95,491	GlaxoSmithKline Plc		2,055,466
	175,700	GlaxoSmithKline Plc Sponsored ADR		7,635,922
	1,158,034	Henderson Group Plc		3,627,034
	1,870,150	Home Retail Group Plc		3,919,982
	374,000	HSBC Holdings Plc		2,774,550
	305,225	HSBC Holdings Plc		2,269,320
	54,926	IG Group Holdings Plc		686,071
	242,850	Imperial Brands Plc		12,738,273
	588,326	Inchcape Plc		5,422,000
	163,254	Indivior Plc		673,914
	155,182	Intermediate Capital Group Plc		1,213,382
	1,653,210	J Sainsbury Plc		5,217,085
	301,543	Jupiter Fund Management Plc		1,660,445
	2,880,372	Kingfisher Plc		14,047,744
	420,826	Ladbrokes Plc		849,422
	555	Land Securities Group Plc (REIT)		7,973
	891,313	Legal & General Group Plc		2,465,468
	580,330	Man Group Plc		828,870
	72,262	Micro Focus International Plc		1,897,444
	219,553	Mondi Plc		4,467,528
	45,660	National Express Group Plc		212,064

46 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	137,528	Old Mutual Plc		351,303
	547,193	Persimmon Plc		13,107,841
	275,255	Playtech Plc		3,293,424
	422,064	Reckitt Benckiser Group Plc		40,770,812
	1,451,949	Royal Mail Plc		9,797,920
	633,124	SABMiller Plc		36,582,326
	1,010,161	Sage Group Plc (The)		9,624,570
	19,774	Savills Plc		192,103
	79,730	Spectris Plc		2,029,881
	318,759	Tate & Lyle Plc		3,071,797
	8,266,583	TIG Finco Plc *		5,427,629
	357,834	Unilever Plc		16,611,087
	100,702	WH Smith Plc		2,015,502
	1,869,494	Wm Morrison Supermarkets Plc		4,837,346
	806,353	WPP Plc		18,617,043
		Total United Kingdom		410,902,943
		United States — 19.4%
	257,463	3M Co.		46,147,668
	240,997	Abbott Laboratories		10,126,694
	225,672	Accenture Plc – Class A		25,952,280
	98,925	ACCO Brands Corp.*		989,250
	191,000	Activision Blizzard, Inc.		7,901,670
	59,500	Aetna, Inc.		6,968,640
	218,000	Aflac, Inc.		16,171,240
	78,700	AGCO Corp.		3,820,098
	58,300	Alaska Air Group, Inc.		3,936,999
	172,000	Alcoa, Inc.		1,733,760
	538,667	Alere, Inc.*		21,078,040
	81,173	Alphabet, Inc. – Class C *		62,263,750
	14,500	Altisource Portfolio Solutions SA *		472,410
	24,800	Altria Group, Inc.		1,639,032
	124,200	Amdocs Ltd.		7,466,904
	102,200	Ameren Corp.		5,050,724
	387,821	American Express Co.		25,433,301
	1,654,893	American International Group, Inc.		99,012,248
	29,877	Amphenol Corp. – Class A		1,861,636
	43,031	Analog Devices, Inc.		2,692,019
	127,260	Anthem, Inc.		15,917,681
	45,525	Apollo Commercial Real Estate Finance, Inc.		742,058
	610,300	Apple, Inc.		64,752,830
	16,800	AptarGroup, Inc.		1,310,064
	7,100	Argan, Inc.		339,451
	122,300	ARMOUR Residential REIT, Inc.		2,719,952
	135,100	Arrow Electronics, Inc. *		8,893,633
	156,500	Assured Guaranty Ltd.		4,346,005
	181,200	AT&T, Inc.		7,407,456
	21,600	Atlas Air Worldwide Holdings, Inc. *		802,224

Shares		Description	Value ($)
		United States — continued
	24,200	Atmos Energy Corp.		1,783,540
	35,900	Atwood Oceanics, Inc.		283,610
	10,200	AutoNation, Inc. *		482,970
	101,100	Avery Dennison Corp.		7,829,184
	209,000	Avnet, Inc.		8,711,120
	33,381	Becton, Dickinson and Co.		5,915,447
	295,800	Bed Bath & Beyond, Inc.		13,716,246
	20,200	Best Buy Co., Inc.		777,296
	29,100	BlackRock Capital Investment Corp.		253,752
	41,500	Broadridge Financial Solutions, Inc.		2,875,950
	69,200	CA, Inc.		2,346,572
	7,600	CACI International, Inc. – Class A *		755,136
	64,500	California Resources Corp.		640,485
	174,702	Capital One Financial Corp.		12,508,663
	33,100	Cash America International, Inc.		1,440,843
	5,200	Central Garden & Pet Co. – Class A *		126,100
	64,403	Cerner Corp. *		4,156,570
	25,600	Cheesecake Factory, Inc. (The)		1,316,096
	12,600	Chemed Corp.		1,700,118
	29,700	Chemical Financial Corp.		1,373,031
	94,100	Chimera Investment Corp. (REIT)		1,551,709
	18,284	Church & Dwight Co., Inc.		1,817,795
	77,000	Cintas Corp.		9,048,270
	1,666,637	Cisco Systems, Inc.		52,399,067
	164,600	Citigroup, Inc.		7,858,004
	37,200	Citrix Systems, Inc. *		3,243,840
	68,800	Coach, Inc.		2,626,784
	477,103	Coca-Cola Co. (The)		20,720,583
	297,759	Cognizant Technology Solutions Corp. – Class A *		17,103,277
	137,376	Colgate-Palmolive Co.		10,212,532
	9,400	Columbia Sportswear Co.		527,998
	44,000	Comcast Corp. – Class A		2,871,440
	55,000	Consolidated Edison, Inc.		4,138,750
	97,700	Convergys Corp.		2,914,391
	600	Cooper Tire & Rubber Co.		20,394
	7,100	Cooper-Standard Holding, Inc. *		703,255
	42,388	Costco Wholesale Corp.		6,870,671
	3,600	CSS Industries, Inc.		91,692
	58,552	CVS Health Corp.		5,468,757
	410,500	Delta Air Lines, Inc.		15,085,875
	32,200	Deluxe Corp.		2,195,074
	349,400	Denbury Resources, Inc. *		1,076,152
	76,000	Depomed, Inc. *		1,542,040
	10,400	Dillard’s, Inc. – Class A		626,496
	18,300	Douglas Dynamics, Inc.		587,064
	80,500	Dow Chemical Co. (The)		4,318,020
	230,300	Dr Pepper Snapple Group, Inc.		21,579,110
	16,500	Drew Industries, Inc.		1,680,525

See accompanying notes to the financial statements. 47

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	50,400	DTE Energy Co.		4,682,160
	51,736	Eli Lilly & Co.		4,022,474
	3,729,834	EMC Corp.		108,127,888
	472,157	Emerson Electric Co.		24,873,231
	15,200	Ennis, Inc.		252,016
	442,816	EnPro Industries, Inc.		23,867,782
	119,500	Ensco Plc – Class A		907,005
	897,061	Envision Healthcare Holdings, Inc. *		19,250,929
	5,200	ePlus, Inc. *		470,652
	11,900	Equifax, Inc.		1,569,610
	46,200	Essent Group Ltd. *		1,227,996
	29,000	Everest Re Group Ltd.		5,608,020
	22,700	Expeditors International of Washington, Inc.		1,149,755
	115,300	Express, Inc. *		1,363,999
	35,900	F5 Networks, Inc. *		4,406,007
	6,400	Fabrinet *		248,448
	53,200	First American Financial Corp.		2,292,388
	4,000	First Defiance Financial Corp.		181,960
	95,500	Fiserv, Inc. *		9,841,275
	1,188,000	FMC Technologies, Inc. *		33,501,600
	297,700	Foot Locker, Inc.		19,541,028
	143,100	Franklin Resources, Inc.		5,223,150
	60,500	Gannett Co., Inc.		721,765
	26,200	General Dynamics Corp.		3,988,164
	35,800	Gentex Corp.		636,882
	275,800	Gilead Sciences, Inc.		21,617,204
	95,600	Goodyear Tire & Rubber Co. (The)		2,805,860
	14,600	Group 1 Automotive, Inc.		866,364
	124,600	Guess?, Inc.		2,072,098
	4,143	Hanover Insurance Group, Inc. (The)		323,983
	3,400	Hartford Financial Services Group, Inc. (The)		139,638
	43,900	Hasbro, Inc.		3,588,386
	5,100	Hawaiian Holdings, Inc. *		239,598
	49,800	Helen of Troy Ltd. *		4,498,932
	227,800	Home Depot, Inc. (The)		30,552,536
	72,498	Honeywell International, Inc.		8,461,242
	4,500	Hooker Furniture Corp.		104,670
	186,500	Hormel Foods Corp.		7,135,490
	25,100	Hornbeck Offshore Services, Inc. *		137,297
	177,200	HP, Inc.		2,546,364
	70,120	Humana, Inc.		12,531,145
	23,900	IDACORP, Inc.		1,818,073
	97,525	Illinois Tool Works, Inc.		11,590,846
	26,500	Imperva, Inc. *		1,192,765
	1,057,700	Ingram Micro, Inc. – Class A		36,977,192
	125,700	Ingredion, Inc.		17,215,872
	895,300	Intel Corp.		32,132,317

Shares		Description	Value ($)
		United States — continued
	156,900	International Business Machines Corp.		24,928,272
	167,000	Interpublic Group of Cos , Inc. (The)		3,864,380
	29,000	Intuit, Inc.		3,232,050
	5,067	Intuitive Surgical, Inc. *		3,478,090
	937,851	ITC Holdings Corp.		42,409,622
	110,900	Jabil Circuit, Inc.		2,349,971
	287,800	JetBlue Airways Corp. *		4,590,410
	2,600	John B. Sanfilippo & Son, Inc.		133,692
	683,875	Johnson & Johnson		81,613,642
	20,400	Jones Lang LaSalle, Inc.		2,381,700
	168,000	JPMorgan Chase & Co.		11,340,000
	33,600	KAR Auction Services, Inc.		1,420,608
	5,200	Kelly Services, Inc. – Class A		99,424
	346,840	KLA-Tencor Corp.		24,022,138
	68,500	Korn/Ferry International		1,633,040
	90,300	Lear Corp.		10,500,987
	1,040,800	Liberty SiriusXM Group – Class C *		34,585,784
	91,800	LifeLock, Inc. *		1,527,552
	124,000	Lincoln National Corp.		5,955,720
	210,400	LinkedIn Corp. – Class A *		40,554,600
	3,400	Lowe’s Cos., Inc.		260,304
	281,400	LyondellBasell Industries NV – Class A		22,199,646
	113,700	Macy’s, Inc.		4,113,666
	570,800	Marathon Oil Corp.		8,573,416
	39,400	Marathon Petroleum Corp.		1,674,894
	43,057	MasterCard, Inc. – Class A		4,160,598
	88,500	MBIA, Inc. *		713,310
	48,400	McDermott International Inc *		253,132
	100,724	McDonald’s Corp.		11,649,738
	2,403,068	Media General, Inc. *		42,462,212
	253,573	Medtronic Plc		22,068,458
	20,900	Meredith Corp.		1,108,536
	947,288	Microsoft Corp.		54,431,168
	336,355	Monsanto Co.		35,821,807
	13,600	Movado Group, Inc.		308,720
	79,600	Murphy Oil Corp.		2,126,912
	41,280	Murphy USA, Inc. *		3,018,394
	105,900	Nasdaq, Inc.		7,541,139
	4,600	Navigators Group, Inc. (The)		432,216
	33,000	Net 1 UEPS Technologies, Inc. *		322,410
	4,900	New Jersey Resources Corp.		164,836
	142,706	News Corp. – Class A		2,006,446
	127,220	NIKE, Inc. – Class B		7,332,961
	20,700	Norfolk Southern Corp.		1,943,730
	1,019,244	NorthStar Asset Management Group, Inc.		12,669,203
	54,300	Northwest Bancshares, Inc.		842,736
	4,200	Oil States International, Inc. *		130,284
	39,500	Old Republic International Corp.		759,585
	39,700	Omega Protein Corp. *		1,000,837

48 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	164,700	Omnicom Group, Inc.		14,185,611
	958,603	Oracle Corp.		39,513,616
	96,200	Pandora Media, Inc. *		1,346,800
	209,202	Paychex, Inc.		12,692,285
	377,000	PDL BioPharma, Inc.		1,097,070
	81,110	PepsiCo, Inc.		8,658,493
	1,072,044	Pfizer, Inc.		37,307,131
	476,253	Philip Morris International, Inc.		47,591,962
	25,100	Phillips 66		1,969,095
	31,900	Pinnacle West Capital Corp.		2,393,776
	698,179	PJT Partners, Inc. – Class A		17,224,076
	22,200	PPL Corp.		772,116
	24,600	PRA Group, Inc. *		786,708
	366,500	PrivateBancorp, Inc.		16,840,675
	219,899	Procter & Gamble Co. (The)		19,199,382
	9,400	Progressive Corp. (The)		306,064
	89,500	Public Service Enterprise Group, Inc.		3,827,020
	594,965	QUALCOMM, Inc.		37,524,443
	13,300	Quality Systems, Inc.		156,541
	45,700	Rent-A-Center, Inc.		558,454
	1,886,738	Rite Aid Corp. *		14,207,137
	16,500	Rockwell Automation, Inc.		1,912,845
	112,300	RR Donnelley & Sons Co.		1,920,330
	55,800	Sanmina Corp. *		1,466,424
	52,100	SCANA Corp.		3,680,865
	101,607	Schlumberger Ltd.		8,026,953
	9,500	Selective Insurance Group, Inc.		379,050
	44,500	SkyWest, Inc.		1,256,235
	87,700	Smith & Wesson Holding Corp. *		2,468,755
	54,700	Snap-on, Inc.		8,384,963
	13,900	SPX Corp. *		263,266
	21,500	SPX FLOW, Inc. *		632,315
	428,198	St Jude Medical, Inc.		33,365,188
	64,723	Stryker Corp.		7,485,862
	19,000	Superior Industries International, Inc.		553,090
	9,436	Sykes Enterprises, Inc. *		275,814
	109,900	T. Rowe Price Group, Inc.		7,642,446
	163,900	Talen Energy Corp. *		2,263,459
	32,500	Tech Data Corp. *		2,412,800
	159,742	Teradata Corp. *		5,068,614
	159,600	Tesoro Corp.		12,037,032
	57,700	Texas Instruments, Inc.		4,012,458
	42,500	Texas Roadhouse, Inc.		1,881,475
	29,000	Thor Industries, Inc.		2,353,350
	24,405	TJX Cos., Inc. (The)		1,889,923
	1,344,259	TopBuild Corp. *		45,866,117
	16,900	Tower International, Inc.		410,670
	217,425	Travelers Cos., Inc. (The)		25,810,522
	4,500	Triple-S Management Corp – Class B *		98,505

Shares		Description	Value ($)
		United States — continued
	32,000	TrueBlue, Inc. *		699,200
	32,000	Tupperware Brands Corp.		2,096,960
	70,000	Twitter, Inc. *		1,344,700
	669,820	Under Armour, Inc. – Class C *		23,879,083
	25,000	Unit Corp. *		427,250
	147,100	United Parcel Service, Inc. – Class B		16,066,262
	48,690	United Technologies Corp.		5,182,077
	401,620	UnitedHealth Group, Inc.		54,640,401
	32,700	Universal Corp.		1,967,559
	478,200	Valero Energy Corp.		26,468,370
	26,500	Vera Bradley, Inc. *		396,440
	617,900	Verizon Communications, Inc.		32,334,707
	14,600	Vertex Pharmaceuticals, Inc. *		1,379,846
	68,502	VF Corp.		4,250,549
	2,000	Viacom, Inc. – Class A		90,380
	44,500	Wabash National Corp. *		620,775
	23,700	Waddell & Reed Financial, Inc. – Class A		440,820
	31,100	Wal-Mart Stores, Inc.		2,221,784
	22,000	Walker & Dunlop, Inc. *		583,000
	111,300	Werner Enterprises, Inc.		2,568,804
	27,300	WESCO International, Inc. *		1,696,968
	573,300	Westar Energy, Inc.		31,497,102
	3,300	Western Refining, Inc.		83,028
	217,747	WhiteWave Foods Co. (The) *		12,069,716
	34,200	Whiting Petroleum Corp. *		249,318
	8,796	WW Grainger, Inc.		2,028,885
	32,300	Wyndham Worldwide Corp.		2,286,517
	324,200	Xerox Corp.		3,193,370
	30,075	Zimmer Biomet Holdings, Inc.		3,898,021
		Total United States		2,449,678,716
		TOTAL COMMON STOCKS (COST $7,125,139,322)		7,167,538,201
		PREFERRED STOCKS — 1.7%
		Brazil — 1.3%
	3,329,920	Banco Bradesco SA		29,966,393
	826,300	Banco do Estado do Rio Grande do Sul SA – Class B		2,763,545
	2,482,550	Bradespar SA		7,903,076
	2,678,575	Centrais Eletricas Brasileiras SA – Class B *		23,640,341
	1,588,400	Cia Energetica de Sao Paulo – Class B		6,635,549
	7,671,827	Companhia Energetica de Minas Gerais		20,787,962
	994,339	Companhia Energetica de Minas Gerais Sponsored ADR		2,654,885
	3,289,700	Itau Unibanco Holding SA		36,521,660
	12,495,780	Itausa-Investimentos Itau SA		33,278,740
	1,560,700	Vale SA		6,993,475
		Total Brazil		171,145,626

See accompanying notes to the financial statements. 49

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares / Par Value †		Description	Value ($)
		Germany — 0.1%
	86,142	Jungheinrich AG		2,705,352
	256,581	Porsche Automobil Holding SE		12,964,397
		Total Germany		15,669,749
		Russia — 0.0%
	698,600	Surgutneftegas OJSC		351,716
		South Korea — 0.3%
	58,928	Hyundai Motor Co		5,062,621
	96,056	Hyundai Motor Co 2nd Preference		8,655,729
	17,355	Samsung Electronics Co Ltd		20,582,494
		Total South Korea		34,300,844
		TOTAL PREFERRED STOCKS (COST $175,587,783)		221,467,935
		RIGHTS/WARRANTS — 0.0%
		South Korea — 0.0%
	38,445	Hanwha Corp Rights, Expires 10/05/16 *		—
		United States — 0.0%
	2,279,800	Safeway Casa Ley CVR, Expires 01/30/17 *		569,950
	2,279,800	Safeway PDC, LLC CVR, Expires 01/30/19 *		113,990
		Total United States		683,940
		TOTAL RIGHTS/WARRANTS (COST $2,425,023)		683,940
		DEBT OBLIGATIONS — 27.6%
		Canada — 0.9%
		Corporate Debt — 0.9%
	68,982,800	Nortel Networks Ltd, 0.00%, due 07/15/11 (b)		63,119,262
	26,379,600	Nortel Networks Ltd, 10.13%, due 07/15/13 (b)		24,664,926
	27,976,000	Nortel Networks Ltd, 10.75%, due 07/15/16 (b)		26,087,620
		Total Corporate Debt		113,871,808
		Total Canada		113,871,808
		Denmark — 0.3%
		Bank Loans — 0.3%
	6,982,688	O.W. Bunker & Trading A/S, Ancillary Revolver, 0.00% (b)		6,843,034
	11,454,089	O.W. Bunker & Trading A/S, Term Loan A, 1.75% (b)		11,225,007

Par Value †		Description	Value ($)
		Denmark — continued
		Bank Loans — continued
	15,849,007	O.W. Bunker & Trading A/S, Term Loan B, 2.25% (b)		15,532,027
		Total Bank Loans		33,600,068
		Total Denmark		33,600,068
		Puerto Rico — 0.1%
		Municipal Obligations — 0.1%
	1,410,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.25%, due 07/01/42		983,475
	3,012,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/38		2,172,405
	6,647,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/44		4,777,531
	12,751,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/47		9,164,781
		Total Municipal Obligations		17,098,192
		Total Puerto Rico		17,098,192
		United Kingdom — 0.3%
		Corporate Debt — 0.3%
GBP	29,952,343	TWRFIN, Reg S, 8.75%, due 04/02/20		31,072,201
		United States — 26.0%
		Bank Loans — 0.4%
	55,800,201	Sears Roebuck Acceptance Corp., Term Loan, 4.50%, due 06/30/18		54,335,446
		U.S. Government — 25.6%
	55,000,000	U.S. Treasury Note, USBM + 0.19%, 0.53%, due 04/30/18		55,057,585
	25,000,000	U.S. Treasury Note, 0.63%, due 08/31/17		24,984,375
	105,000,000	U.S. Treasury Note, 0.63%, due 11/30/17		104,848,275
	425,000,000	U.S. Treasury Note, 0.75%, due 02/28/18		424,784,100
	100,000,000	U.S. Treasury Note, 0.75%, due 07/31/18		99,878,900
	81,165,000	U.S. Treasury Note, 0.75%, due 08/31/18		81,063,544
	145,000,000	U.S. Treasury Note, 0.75%, due 02/15/19 (c)		144,546,875
	50,000,000	U.S. Treasury Note, 0.88%, due 04/15/19		49,974,600
	55,000,000	U.S. Treasury Note, 1.00%, due 05/15/18		55,180,455
	190,000,000	U.S. Treasury Note, 1.00%, due 09/30/19		190,252,320
	105,000,000	U.S. Treasury Note, 1.25%, due 10/31/19		105,906,465
	105,000,000	U.S. Treasury Note, 1.25%, due 02/29/20		105,762,930
	55,000,000	U.S. Treasury Note, 1.38%, due 07/31/18		55,575,795
	50,000,000	U.S. Treasury Note, 1.38%, due 02/28/19		50,609,400
	90,000,000	U.S. Treasury Note, 1.38%, due 01/31/20		91,051,200

50 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value † / Number of Contracts		Description	Value ($)
		United States — continued
		U.S. Government — continued
	40,000,000	U.S. Treasury Note, 1.50%, due 01/31/19		40,593,760
	30,000,000	U.S. Treasury Note, 1.50%, due 03/31/19		30,469,920
	280,000,000	U.S. Treasury Note, 1.50%, due 10/31/19 (c)		284,517,240
	25,000,000	U.S. Treasury Note, 1.63%, due 06/30/19		25,491,200
	100,000,000	U.S. Treasury Note, 1.63%, due 07/31/19		101,988,300
	280,000,000	U.S. Treasury Note, 1.63%, due 08/31/19		285,600,000
	100,000,000	U.S. Treasury Note, 1.63%, due 07/31/20		101,976,600
	50,000,000	U.S. Treasury Note, 1.75%, due 09/30/19		51,193,350
	35,000,000	U.S. Treasury Note, 2.75%, due 05/31/17		35,550,970
	75,000,000	U.S. Treasury Note, 3.13%, due 05/15/19		79,438,500
	72,000,000	U.S. Treasury Note, 3.38%, due 11/15/19		77,411,232
	40,000,000	U.S. Treasury Note, 3.50%, due 05/15/20		43,503,120
	290,000,000	U.S. Treasury Note, 3.63%, due 08/15/19 (c)		312,611,010
	110,000,000	U.S. Treasury Note, 3.63%, due 02/15/20		119,646,450
		Total U.S. Government		3,229,468,471
		Total United States		3,283,803,917
		TOTAL DEBT OBLIGATIONS (COST $3,498,536,975)		3,479,446,186
		OPTIONS PURCHASED — 0.1%
		Currency Options — 0.0%
EUR	31,901,000	EUR Call/USD Put, Expires 03/06/17, Strike 1.15, (OTC) (CP-GS)		606,920
USD	35,445,000	USD Call/CHF Put, Expires 03/06/17, Strike 1.00, (OTC) (CP-BCLY)		560,740
		Total Currency Options		1,167,660

Number of Contracts		Description	Value ($)
		Equity Options — 0.1%
	3,900	Alcoa, Inc., Put, Expires 01/20/17, Strike 10.00		351,000
	2,000	Depomed, Inc., Put, Expires 12/16/16, Strike 19.00		540,000
	300	F5 Networks, Inc., Put, Expires 01/20/17, Strike 120.00		216,000
	1,120	Humana, Inc., Put, Expires 01/20/17, Strike 175.00		1,590,400
	900	Imperva, Inc., Put, Expires 01/20/17, Strike 40.00		291,600
	2,400	LifeLock, Inc., Put, Expires 01/20/17, Strike 16.00		276,000
	400	Norfolk Southern Corp., Put, Expires 01/20/17, Strike 95.00		234,000
	2,800	Pandora Media, Inc., Put, Expires 01/20/17, Strike 13.00		378,000
	2,300	RR Donnelley & Sons Co., Put, Expires 12/16/16, Strike 17.00		241,500
	2,413	Sears Holdings Corp., Put, Expires 01/19/18, Strike 10.00		735,965
	3,860	Sears Holdings Corp., Put, Expires 01/19/18, Strike 8.00		799,020
	1,964	Sears Holdings Corp., Put, Expires 06/15/18, Strike 10.00		707,040
	2,750	Sears Holdings Corp., Put, Expires 06/15/18, Strike 8.00		687,500
	2,000	Twitter, Inc., Put, Expires 01/20/17, Strike 18.00		370,000
	400	Vertex Pharmaceuticals, Inc., Put, Expires 01/20/17, Strike 90.00		320,000
		Total Equity Options		7,738,025

	Principal Amount	Expiration Date	Description	Floating Rate Index	Pay/Receive Fixed Rate	Exercise Rate	Counterparty	Value ($)
			Options on Interest Rate Swaps — 0.0%
EUR	179,430,000	05/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay	2.05%	MSCI	553,402
EUR	58,570,000	08/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay	2.05%	MSCI	357,039
					Total Options on Interest Rate Swaps			910,441
					TOTAL OPTIONS PURCHASED (COST $18,879,662)			9,816,126

See accompanying notes to the financial statements. 51

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 13.0%
		Money Market Funds — 0.1%
	7,425,205	State Street Institutional Treasury Money Market Fund-Premier Class, 0.19% (d) (e)		7,425,205
		Repurchase Agreements — 11.4%
	49,483,675	Barclays Bank plc Repurchase Agreement, dated 08/30/16, maturing on 09/06/16 with a maturity value of $49,486,754 and an effective yield of 0.32%, collateralized by a U.S. Treasury Note with maturity date 01/31/21 and a market value of $50,479,683.		49,483,675
	100,512,249	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 08/25/16, maturing on 09/01/16 with a maturity value of $100,519,089 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 04/30/19 and a market value of $102,449,854.		100,512,249
	124,609,630	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 08/26/16, maturing on 09/02/16 with a maturity value of $124,618,110 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 04/30/20 and a market value of $126,990,269.		124,609,630
	100,074,511	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 08/30/16, maturing on 09/06/16 with a maturity value of $100,081,322 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 07/31/20 and a market value of $102,117,904.		100,074,511
	209,389,117	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 08/31/16, maturing on 09/07/16 with a maturity value of $209,403,367 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 05/15/19 and a market value of $213,687,223.		209,389,117
	52,525,869	Mizuho Securities USA Inc. Repurchase Agreement, dated 8/30/16, maturing on 9/6/16 with a maturity value of $52,529,138 and an effective yield of 0.32%, collateralized by a U.S. Treasury Note with maturity date 08/15/23 and a market value of $53,563,595.		52,525,869
	229,198,665	Nomura Securities International Inc. Repurchase Agreement, dated 08/25/16, maturing on 09/01/16 with a maturity value of $229,214,263 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 02/15/25 and a market value of $233,355,355.		229,198,665

Par Value†		Description	Value ($)
		Repurchase Agreements — continued
	196,566,230	Nomura Securities International Inc. Repurchase Agreement, dated 08/29/16, maturing on 09/02/16 with a maturity value of $196,573,874 and an effective yield of 0.35%, collateralized by U.S. Treasury Notes with maturity dates 02/28/18 and a market value of $199,902,544.		196,566,230
	132,621,229	Nomura Securities International Inc. Repurchase Agreement, dated 08/26/16, maturing on 09/02/16 with a maturity value of $132,630,255 and an effective yield of 0.35%, collateralized by U.S. Treasury Notes with maturity dates 05/15/24 and a market value of $135,095,486.		132,621,229
	149,922,524	Nomura Securities International Inc. Repurchase Agreement, dated 08/30/16, maturing on 09/06/16 with a maturity value of $149,932,727 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 11/15/22 and a market value of $152,889,927.		149,922,524
	99,922,052	Nomura Securities International Inc. Repurchase Agreement, dated 08/31/16, maturing on 09/07/16 with a maturity value of $99,928,852 and an effective yield of 0.35%, collateralized by a U.S. Treasury Note with maturity date 11/15/22 and a market value of $101,926,618.		99,922,052
		TOTAL REPURCHASE AGREEMENTS (COST $1,444,825,751)		1,444,825,751
		U.S. Government — 1.5%
	50,000,000	U.S. Treasury Bill, 0.22%, due 10/20/16(d)(f)		49,985,250
	100,000,000	U.S. Treasury Note, 0.63%, due 05/31/17		100,000,000
	40,000,000	U.S. Treasury Note, 4.50%, due 05/15/17		41,093,640
		Total U.S. Government		191,078,890
		TOTAL SHORT-TERM INVESTMENTS (COST $1,643,280,527)		1,643,329,846
		TOTAL INVESTMENTS — 99.2% (Cost $12,463,849,292)		12,522,282,234

52 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (2.0)%
			Common Stocks — (2.0)%
			Canada — (0.3)%
	(134,032	)	Canadian Imperial Bank of Commerce		(10,626,057	)
	(705,258	)	Fortis Inc		(22,183,844	)
			Total Canada		(32,809,901	)
			France — (0.3)%
	(593,952	)	Technip SA		(35,170,921	)
			United States — (1.4)%
	(342,709	)	Abbott Laboratories		(14,400,632	)
	(299,577	)	Amsurg Corp. *		(19,448,539	)
	(695,102	)	Colony Capital, Inc. – Class A (REIT)		(12,838,534	)
	(97,697	)	Great Plains Energy, Inc.		(2,653,450	)
	(173,421	)	Lam Research Corp.		(16,183,648	)

Shares			Description	Value ($)
			United States — continued
	(300,153	)	Nexstar Broadcasting Group, Inc. – Class A		(15,824,066	)
	(9,747,569	)	Sirius XM Holdings, Inc. *		(40,354,936	)
	(665,100	)	Under Armour, Inc. – Class A *		(26,357,913	)
	(383,206	)	VMware, Inc. – Class A *		(28,100,496	)
			Total United States		(176,162,214	)
			TOTAL COMMON STOCKS (PROCEEDS $232,618,111)		(244,143,036	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $232,618,111)		(244,143,036	)
			Other Assets and Liabilities (net) — 2.8%		341,649,034
			TOTAL NET ASSETS — 100.0%		$12,619,788,232

A summary of outstanding financial instruments at August 31, 2016 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
09/12/2016	BBH		AUD	382,717		USD	282,064	$	(5,497	)
09/12/2016	BCLY		AUD	47,105,990		USD	34,878,311		(515,482	)
09/12/2016	BOA		AUD	4,277,379		USD	3,150,018		(63,855	)
09/08/2016	GS		CAD	16,553,975		USD	12,732,123		108,510
09/19/2016	MSCI		CHF	94,604,147		USD	98,671,896		2,390,528
11/21/2016	BOA		EUR	125,269,355		USD	142,316,635		2,105,388
11/21/2016	GS		EUR	13,292,000		USD	14,880,460		3,016
11/21/2016	JPM		EUR	2,352,291		USD	2,633,000		132
11/07/2017	GS		EUR	193,938,000		USD	212,934,227		(7,926,466	)
12/22/2017	JPM		EUR	55,095,000		USD	60,857,937		(2,033,466	)
11/21/2016	BCLY		GBP	2,261,493		USD	2,971,060		(3,598	)
11/21/2016	BOA		GBP	73,617,744		USD	96,879,479		46,262
11/21/2016	MSCI		GBP	303,312		USD	399,000		39
09/12/2016	BOA		HKD	69,997,541		USD	9,028,600		4,558
09/12/2016	SSB		HKD	42,957,499		USD	5,540,102		2,046
09/12/2016	BOA		JPY	2,267,255,009		USD	22,119,000		198,485
09/12/2016	GS		JPY	3,994,170,000		USD	37,847,457		(769,400	)
09/12/2016	MSCI		JPY	2,320,197,100		USD	22,876,035		443,660

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
09/19/2016	BOA		SEK	51,855,408		USD	6,133,576	$	71,291
09/19/2016	GS		SEK	1,178,067		USD	137,529		(195	)
09/19/2016	MSCI		SEK	158,070,000		USD	18,657,492		177,926
09/19/2016	SSB		SEK	58,893,516		USD	6,923,014		37,922
09/08/2016	GS		USD	30,138,255		CAD	38,531,568		(755,124	)
09/12/2016	BBH		USD	40,879		HKD	316,800		(38	)
09/12/2016	BCLY		USD	12,839,645		AUD	17,180,000		68,806
09/12/2016	BOA		USD	43,750,934		JPY	4,646,918,000		1,176,890
09/12/2016	GS		USD	26,330,837		AUD	34,586,086		(344,061	)
09/12/2016	MSCI		USD	12,820,451		HKD	99,443,520		(251	)
09/12/2016	SSB		USD	1,701,995		HKD	13,194,720		(940	)
09/19/2016	BCLY		USD	12,406,000		CHF	12,190,880		1,010
09/19/2016	MSCI		USD	14,463,737		SEK	123,311,166		(47,739	)
11/21/2016	GS		USD	28,232,319		EUR	24,910,286		(350,782	)
11/07/2017	GS		USD	214,049,371		EUR	193,938,000		6,811,322
12/22/2017	JPM		USD	61,316,438		EUR	55,095,000		1,574,965
								$	2,405,862

Written Options

Equity Options

Number of Contracts			Expiration Date	Description	Premiums		Value
Call	USD	1,837	01/20/2017	Monsanto Co., Strike 105.00	$	1,573,649	$	(1,460,415	)

See accompanying notes to the financial statements. 53

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2016 (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)
	26,458,000	USD	12/20/2018	GS	(Pay)	5.00%	15.35%	Sears Roebuck Acceptance Corp.	NA	$	4,504,118
	6,000,000	USD	12/20/2018	GS	(Pay)	0.00%	1.00%	Sears Roebuck Acceptance Corp.	NA		(167,575	)
	22,882,000	EUR	6/20/2021	BOA	(Pay)	1.00%	1.29%	Assicurazioni Generali SpA	NA		291,285
	12,166,000	EUR	6/20/2021	CSI	(Pay)	1.00%	1.29%	Assicurazioni Generali SpA	NA		154,872
	8,286,000	EUR	6/20/2021	BCLY	(Pay)	1.00%	1.29%	Assicurazioni Generali SpA	NA		105,480
	17,147,000	EUR	6/20/2021	JPM	(Pay)	1.00%	1.29%	Assicurazioni Generali SpA	NA		218,279
	5,020,000	EUR	6/20/2021	BCLY	(Pay)	1.00%	1.29%	Assicurazioni Generali SpA	NA		63,904
	7,530,000	EUR	6/20/2021	JPM	(Pay)	1.00%	1.29%	Assicurazioni Generali SpA	NA		95,856
	41,033,800	USD	6/20/2021	GS	(Pay)	1.00%	1.15%	MetLife, Inc.	NA		195,445
	44,690,000	USD	6/20/2021	JPM	(Pay)	1.00%	1.15%	MetLife, Inc.	NA		212,860
	40,589,000	USD	6/20/2021	MSCI	(Pay)	1.00%	1.05%	Prudential Financial	NA		9,969
	45,272,000	USD	6/20/2021	JPM	(Pay)	1.00%	1.05%	Prudential Financial	NA		11,119
										$	5,695,612
	Premiums to (Pay) Receive									$	(9,186,820	)

^ 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 a 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 August 31, 2016, implied credit spreads in absolute terms, calculated using a model, 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)
67,981,538,000	JPY		3/10/2018	GS	3 Month JPY LIBOR plus a spread of (0.59)%	3 Month USD LIBOR	$	(3,315,255	)(a)

54 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

Forward Starting Cross-Currency Basis Swaps

Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	33,334,890,000	JPY	3/3/2017	3/3/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	(477,846	)
	6,405,594,000	JPY	1/17/2018	1/17/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(58,196	)
	6,405,594,000	JPY	1/23/2018	1/23/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(56,863	)
	793,835,000	EUR	3/6/2017	3/6/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		3,086,816
	7,604,760,000	JPY	5/16/2018	5/16/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,923	)
	7,604,760,000	JPY	5/21/2018	5/21/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,347	)
	65,181,000	EUR	10/12/2016	10/12/2023	GS	3 Month EURIBOR	3 Month USD LIBOR		(264,979	)
	80,058,000	EUR	10/28/2016	10/28/2023	GS	3 Month EURIBOR	3 Month USD LIBOR		(255,633	)
	79,025,000	EUR	11/14/2016	11/14/2023	GS	3 Month EURIBOR	3 Month USD LIBOR		(125,509	)
	42,433,000	EUR	11/30/2016	11/30/2023	GS	3 Month EURIBOR	3 Month USD LIBOR		(87,658	)
	42,433,000	EUR	11/30/2016	11/30/2023	GS	3 Month EURIBOR	3 Month USD LIBOR		(105,218	)
	548,210,000	EUR	1/29/2020	1/29/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		10,643,066
	37,217,000	EUR	9/5/2017	9/5/2025	GS	3 Month EURIBOR	3 Month USD LIBOR		(55,166	)
								$	12,231,544
							Premiums to (Pay) Receive	$	(2,054,723	)

¹  For JPY LIBOR, Fund pays 3 Month JPY LIBOR adjusted by a spread. Spreads range from (0.71)% to (0.81)%.

For EURIBOR, Fund pays 3 Month EURIBOR adjusted by a spread. Spreads range from (0.24)% to (0.52)%.

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	12,136,000	GBP	6/15/2021	JPMF (g)	Receive	1.05%	6 Month GBP LIBOR	$	439,556
	13,938,000	GBP	6/16/2021	JPMF (g)	Receive	1.07%	6 Month GBP LIBOR		521,029
	25,540,000	GBP	6/16/2021	JPMF (g)	Receive	1.21%	6 Month GBP LIBOR		1,167,778
	1,943,401,000	SEK	12/15/2021	JPMF (h)	Receive	0.08%	3 Month SEK STIBOR		951,465
	31,643,000	EUR	12/17/2025	JPMF (h)	(Pay)	0.94%	6 Month EURIBOR		(682,714	)
	46,593,000	GBP	12/17/2025	JPMF (g)	Receive	1.86%	6 Month GBP LIBOR		3,108,251
	408,192,000	MXN	1/5/2026	JPMF (g)	Receive	6.24%	TIIE		252,715
	368,508,000	MXN	1/5/2026	JPMF (g)	Receive	6.26%	TIIE		250,598
	363,241,000	MXN	1/8/2026	JPMF (g)	Receive	6.29%	TIIE		291,647
	539,832,000	MXN	1/27/2026	JPMF (g)	Receive	6.05%	TIIE		(102,801	)
	33,061,000	GBP	3/11/2026	JPMF (g)	(Pay)	2.12%	6 Month GBP LIBOR		(5,933,968	)
	248,772,000	MXN	4/30/2026	JPMF (g)	Receive	6.08%	TIIE		(30,490	)
	207,171,000	MXN	5/11/2026	JPMF (g)	Receive	6.30%	TIIE		163,284
	206,109,000	MXN	5/11/2026	JPMF (g)	Receive	6.31%	TIIE		171,057
	203,840,000	MXN	5/12/2026	JPMF (g)	Receive	6.36%	TIIE		211,688
	12,175,000	GBP	6/17/2026	JPMF (g)	Receive	1.95%	6 Month GBP LIBOR		835,784
	367,130,000	MXN	7/22/2026	JPMF (g)	Receive	6.26%	TIIE		210,688
	44,380,000	NZD	9/16/2026	JPMF (h)	Receive	2.73%	3 Month NZD Bank Bill Rate		953,708
	29,522,000	NZD	9/16/2026	JPMF (h)	Receive	2.86%	3 Month NZD Bank Bill Rate		886,911

See accompanying notes to the financial statements. 55

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

Interest Rate Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	15,516,000	NZD	9/16/2026	JPMF (h)	Receive	2.88%	3 Month NZD Bank Bill Rate	$	483,687
	28,990,000	NZD	9/16/2026	JPMF (h)	Receive	2.66%	3 Month NZD Bank Bill Rate		491,507
	16,174,000	NZD	9/16/2026	JPMF (h)	Receive	2.79%	3 Month NZD Bank Bill Rate		407,503
	90,635,000	USD	9/16/2026	JPMF (h)	(Pay)	1.80%	3 Month USD LIBOR		(508,321	)
	87,574,000	USD	9/16/2026	JPMF (h)	(Pay)	1.80%	3 Month USD LIBOR		(461,674	)
	19,957,000	USD	9/16/2026	JPMF (h)	(Pay)	1.69%	3 Month USD LIBOR		(6,058	)
	33,262,000	USD	9/16/2026	JPMF (h)	(Pay)	1.69%	3 Month USD LIBOR		(12,028	)
	33,262,000	USD	9/16/2026	JPMF (h)	(Pay)	1.70%	3 Month USD LIBOR		(27,472	)
	9,226,000	GBP	2/17/2027	JPMF (g)	(Pay)	1.39%	6 Month GBP LIBOR		(810,255	)
	8,323,000	GBP	5/12/2027	JPMF (g)	(Pay)	1.56%	6 Month GBP LIBOR		(890,910	)
	3,626,000	EUR	8/21/2027	JPMF (h)	(Pay)	0.56%	6 Month EURIBOR		(57,539	)
	4,823,000	EUR	11/20/2027	JPMF (h)	(Pay)	0.64%	6 Month EURIBOR		(100,813	)
	233,528,000	EUR	12/18/2030	JPMF (h)	Receive	1.61%	6 Month EURIBOR		5,201,535
	3,039,000	GBP	12/18/2030	JPMF (g)	Receive	2.61%	6 Month GBP LIBOR		276,725
	47,244,000	GBP	12/18/2030	JPMF (g)	Receive	2.52%	6 Month GBP LIBOR		4,030,600
	118,580,000	EUR	12/17/2031	JPMF (h)	(Pay)	1.19%	6 Month EURIBOR		195,015
	9,353,000	GBP	12/17/2031	JPMF (g)	(Pay)	1.55%	6 Month GBP LIBOR		(1,253,862	)
	2,321,000	GBP	2/9/2032	JPMF (g)	(Pay)	1.61%	6 Month GBP LIBOR		(336,980	)
	13,002,000	GBP	3/17/2032	JPMF (g)	(Pay)	1.72%	6 Month GBP LIBOR		(2,138,412	)
	17,061,000	GBP	6/16/2032	JPMF (g)	(Pay)	1.67%	6 Month GBP LIBOR		(2,611,526	)
	85,733,000	GBP	9/14/2032	JPMF (g)	Receive	1.46%	6 Month GBP LIBOR		9,417,691
	445,480,000	EUR	12/20/2045	JPMF (h)	Receive	1.29%	6 Month EURIBOR		22,601,418
	27,989,000	EUR	12/20/2045	JPMF (h)	Receive	1.11%	6 Month EURIBOR		673,588
	10,150,000	EUR	12/20/2045	JPMF (h)	(Pay)	0.99%	6 Month EURIBOR		(66,305	)
	25,852,000	EUR	12/20/2045	JPMF (h)	Receive	1.22%	6 Month EURIBOR		1,048,775
	24,639,000	EUR	12/20/2045	JPMF (h)	Receive	1.20%	6 Month EURIBOR		905,176
	14,157,000	EUR	12/20/2045	JPMF (h)	Receive	1.13%	6 Month EURIBOR		374,079
	161,179,000	GBP	12/20/2045	JPMF (g)	Receive	1.87%	6 Month GBP LIBOR		28,066,345
	25,346,000	GBP	3/11/2046	JPMF (g)	Receive	2.34%	6 Month GBP LIBOR		13,633,037
	66,762,000	GBP	12/19/2046	JPMF (g)	(Pay)	1.54%	6 Month GBP LIBOR		(8,170,355	)
	38,421,000	GBP	2/9/2047	JPMF (g)	(Pay)	1.61%	6 Month GBP LIBOR		(5,205,121	)
	41,186,000	GBP	2/17/2047	JPMF (g)	(Pay)	1.63%	6 Month GBP LIBOR		(6,924,853	)
	35,290,000	GBP	5/12/2047	JPMF (g)	(Pay)	1.69%	6 Month GBP LIBOR		(6,461,201	)
	13,295,000	EUR	8/23/2047	JPMF (h)	(Pay)	1.00%	6 Month EURIBOR		(54,274	)
	79,797,000	GBP	9/14/2047	JPMF (g)	(Pay)	1.42%	6 Month GBP LIBOR		(16,579,974	)
	12,539,000	EUR	11/22/2047	JPMF (h)	(Pay)	1.07%	6 Month EURIBOR		(240,321	)
	8,297,000	EUR	11/22/2047	JPMF (h)	(Pay)	0.97%	6 Month EURIBOR		10,173
	27,330,000	EUR	3/14/2048	JPMF (h)	(Pay)	0.86%	6 Month EURIBOR		58,206
	511,743,000	EUR	3/18/2048	JPMF (h)	(Pay)	1.20%	6 Month EURIBOR		(24,444,091	)
	43,694,000	EUR	3/18/2048	JPMF (h)	Receive	0.84%	6 Month EURIBOR		(212,041	)
								$	13,966,860
							Premiums to (Pay) Receive	$	(10,437,592	)

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

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

56 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	10,451,252	USD	5/1/2017	MSCI	Total return on Industrial Select Sector SPDR Fund	1 Month USD LIBOR minus 0.77%	$	86,681

As of August 31, 2016, 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:

* Non-income producing security.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 4).

(b) Security is in default.

(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 (Note 2).

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

(e) The rate disclosed is the 7 day net yield as of August 31, 2016.

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

(g) Swap was cleared through the CME Group Inc.

(h) Swap was cleared through the LCH.Clearnet Group Ltd.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.

See accompanying notes to the financial statements. 57

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.9	%
Short-Term Investments		2.0
Preferred Stocks		1.1
Investment Funds		0.1
Rights/Warrants		0.0	^
Swap Contracts		0.0	^
Other		(0.1	)
		100.0	%

Country/Region Summary¤	% of Investments
Japan		24.4	%
United Kingdom		14.6
Germany		10.3
France		8.4
Other Developed		5.0	‡
Switzerland		4.9
Australia		4.7
Netherlands		4.1
Hong Kong		3.1
Italy		2.6
Spain		2.3
Canada		2.3
Taiwan		2.3
Norway		1.9
China		1.9
Korea		1.7
Other Emerging		1.7	†
Israel		1.4
India		1.4
Russia		1.0
		100.0	%

& The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

¤ The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.0%.

58

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares / Par Value†	Description	Value ($)
	MUTUAL FUNDS — 99.9%
	Affiliated Issuers — 99.9%
3,292,803	GMO Emerging Markets Fund, Class VI		94,503,456
42,547,393	GMO International Equity Fund, Class IV		850,947,867
	TOTAL MUTUAL FUNDS (COST $1,064,106,310)		945,451,323
	SHORT-TERM INVESTMENTS — 0.7%
	Time Deposits — 0.7%
6,980,636	State Street Eurodollar Time Deposit, 0.01%, due 09/01/16		6,980,636
	TOTAL SHORT-TERM INVESTMENTS (COST $6,980,636)		6,980,636
	TOTAL INVESTMENTS — 100.6% (Cost $1,071,086,946)		952,431,959
	Other Assets and Liabilities (net) — (0.6%)		(5,897,464	)
	TOTAL NET ASSETS — 100.0%		$946,534,495

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

For a listing of definitions of acronyms, counterparty abbreviations and

currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.

See accompanying notes to the financial statements. 59

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.8	%
Preferred Stocks		2.2
Short-Term Investments		1.4
Investment Funds		0.2
Rights/Warrants		0.0	^
Swap Contracts		0.0	^
Other		0.4
		100.0	%

Country/Region Summary¤	% of Investments
Japan		18.1	%
United Kingdom		10.9
Germany		7.7
Taiwan		7.5
France		6.3
China		6.2
Korea		5.6
India		4.6
Other Developed		3.8	‡
Other Emerging		3.7	†
Switzerland		3.6
Australia		3.5
Russia		3.4
Netherlands		3.1
Hong Kong		2.4
Italy		1.9
Brazil		1.8
Spain		1.7
Canada		1.7
Norway		1.4
Israel		1.1
		100.0	%

& The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

¤ The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.0%.

60

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares/ Par Value†	Description	Value ($)
	MUTUAL FUNDS — 100.0%
	Affiliated Issuers — 100.0%
13,681,050	GMO Emerging Markets Fund, Class VI		392,646,145
39,668,821	GMO International Equity Fund, Class IV		793,376,420
	TOTAL MUTUAL FUNDS (COST $1,333,602,123)		1,186,022,565
	SHORT-TERM INVESTMENTS — 0.0%
	Time Deposits — 0.0%
430,648	State Street Eurodollar Time Deposit, 0.01%, due 09/01/2016		430,648
	TOTAL SHORT-TERM INVESTMENTS (COST $430,648)		430,648
	TOTAL INVESTMENTS — 100.0% (Cost $1,334,032,771)		1,186,453,213
	Other Assets and Liabilities (net) — (0.0%)		(74,481	)
	TOTAL NET ASSETS — 100.0%		$1,186,378,732

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

For a listing of definitions of acronyms, counterparty abbreviations and

currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.

See accompanying notes to the financial statements. 61

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Mutual Fund		49.5	%
Short-Term Investments		46.5
Futures Contracts		2.0	#
Debt Obligations		1.5
Forward Currency Contracts		0.6
Other		(0.1	)
		100.0	%

(a) GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO SGM Major Markets Fund. As such, the holdings of GMO Alternative Asset SPC Ltd. have been included with GMO SGM Major Markets Fund.

& The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts. The exposure the Fund has to futures contracts based on notional amounts is 53.3% of net assets.

# Some or all is comprised of commodity exposure. See Consolidated Schedule of Investments.

62

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares / Par Value†	Description	Value ($)
	DEBT OBLIGATIONS — 2.0%
	U.S. Government — 2.0%
11,700,000	U.S. Treasury Note, 0.88%, due 03/31/18 (a)		11,715,081
13,500,000	U.S. Treasury Note, USBM + .19%, 0.53%, due 04/30/18		13,514,135
	Total U.S. Government		25,229,216
	TOTAL DEBT OBLIGATIONS (COST $25,223,583)		25,229,216
	MUTUAL FUNDS — 65.6%
	United States — 65.6%
	Affiliated Issuers — 65.6%
33,473,556	GMO U.S. Treasury Fund		837,173,643
	TOTAL MUTUAL FUNDS (COST $836,799,449)		837,173,643
	SHORT-TERM INVESTMENTS — 32.6%
	Money Market Funds — 3.7%
5,240,006	SSgA USD Liquidity Fund-Class S2 Shares (a)		5,240,006
41,685,808	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.20% (b)		41,685,808
	Total Money Market Funds		46,925,814
	U.S. Government — 28.9%
7,000,000	Federal Home Loan Bank Discount Notes, due 11/02/16		6,996,262
30,000,000	U.S. Treasury Bill, 0.00%, due 09/01/16 (a) (c)		30,000,000
55,000,000	U.S. Treasury Bill, 0.20%, due 09/15/16 (a) (c)		54,995,380
10,420,000	U.S. Treasury Bill, 0.22%, due 10/20/16 (c) (d)		10,416,926
60,000,000	U.S. Treasury Bill, 0.23%, due 10/06/16 (a) (c)		59,986,380
30,000,000	U.S. Treasury Bill, 0.24%, due 10/27/16 (c) (d)		29,988,660
30,000,000	U.S. Treasury Bill, 0.27%, due 11/03/16 (a) (c)		29,985,570
18,000,000	U.S. Treasury Bill, 0.36%, due 01/05/17 (a) (c)		17,977,806
80,000,000	U.S. Treasury Bill, 0.44%, due 02/02/17 (a) (c) (d)		79,851,920
13,000,000	U.S. Treasury Note, 0.50%, due 11/30/16 (d)		13,005,421
6,500,000	U.S. Treasury Note, 0.63%, due 05/31/17 (d)		6,500,000
22,400,000	U.S. Treasury Note, 0.75%, due 01/15/17		22,428,896
6,500,000	U.S. Treasury Note, 0.75%, due 06/30/17 (d)		6,505,076
	Total U.S. Government		368,638,297
	TOTAL SHORT-TERM INVESTMENTS (COST $415,565,275)		415,564,111
	TOTAL INVESTMENTS — 100.2% (Cost $1,277,588,307)		1,277,966,970
	Other Assets and Liabilities (net) — (0.2%)		(2,905,432	)
	TOTAL NET ASSETS — 100.0%		$1,275,061,538

A summary of outstanding financial instruments at August 31, 2016 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
09/12/2016	JPM		AUD	1,959,632		USD	1,480,383	$	7,984
10/12/2016	MSCI		AUD	2,268,329		USD	1,701,225		(1,862	)
10/12/2016	SSB		AUD	2,304,239		USD	1,742,500		12,452
10/12/2016	UBS		AUD	3,091,617		USD	2,327,581		6,360
10/11/2016	JPM		CAD	5,000,000		USD	3,792,357		(21,146	)
10/11/2016	SSB		CAD	12,360,000		USD	9,542,610		115,629
09/12/2016	UBS		CHF	100,722,981		USD	102,709,645		248,409
09/06/2016	JPM		EUR	12,322,249		USD	13,782,352		35,596
09/06/2016	MSCI		EUR	4,726,517		USD	5,228,168		(44,756	)
09/06/2016	UBS		EUR	8,175,000		USD	9,061,849		(58,218	)
09/23/2016	JPM		GBP	61,000,000		USD	89,773,395		9,631,440
10/24/2016	JPM		GBP	52,492,423		USD	69,159,397		149,012
10/24/2016	MSCI		GBP	1,053,140		USD	1,377,270		(7,265	)
10/24/2016	UBS		GBP	52,492,423		USD	69,038,822		28,437
10/05/2016	UBS		JPY	214,000,000		USD	2,027,168		(44,258	)
09/12/2016	JPM		NZD	1,000,000		USD	728,833		3,534
09/06/2016	SSB		USD	97,104,787		EUR	87,263,239		246,473
09/06/2016	UBS		USD	1,612,904		EUR	1,451,181		6,040
09/12/2016	JPM		USD	4,409,525		CHF	4,280,000		(55,662	)
09/12/2016	JPM		USD	57,675,116		NZD	80,160,886		465,459
09/12/2016	SSB		USD	525,036		NZD	730,312		4,659
09/12/2016	UBS		USD	7,350,270		CHF	7,050,000		(178,602	)
09/23/2016	JPM		USD	1,327,644		GBP	1,000,000		(13,842	)
09/30/2016	JPM		USD	58,870,857		JPY	6,000,000,000		(807,088	)
10/05/2016	MSCI		USD	169,654,687		JPY	17,399,530,199		(1,234,872	)
10/11/2016	JPM		USD	35,248,843		CAD	46,405,278		144,494
10/12/2016	JPM		USD	2,862,938		AUD	3,832,093		14,241
10/12/2016	UBS		USD	2,869,509		AUD	3,832,092		7,669
10/17/2016	MSCI		USD	51,270,393		NZD	71,397,289		436,350
10/31/2016	SSB		USD	24,142,476		JPY	2,462,054,552		(286,313	)
11/02/2016	SSB		USD	71,020,646		EUR	63,490,654		(15,224	)
11/16/2016	JPM		USD	50,583,866		NZD	70,546,072		444,626
								$	9,239,756

See accompanying notes to the financial statements. 63

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
104	Australian Government Bond 10 Yr.	September 2016	$	10,777,949	$	195,650
58	Canadian Government Bond 10 Yr.	December 2016		6,488,060		9,178
2,242	Euro STOXX 50 Futures	September 2016		75,713,145		3,938,336
2,983	FTSE 100 Index	September 2016		265,260,463		25,524,250
126	Hang Seng Index	September 2016		18,582,902		95,302
2,495	Mini MSCI Emerging Markets	September 2016		110,765,525		6,342,221
308	MSCI Singapore	September 2016		7,003,350		(162,279	)
633	MSCI Taiwan Index	September 2016		21,197,503		(262,520	)
786	S&P 500 E-Mini Index	September 2016		85,261,350		3,082,285
269	S&P TSX 60 Index	September 2016		34,857,952		587,014
260	Silver	December 2016		24,319,100		(2,005,508	)

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
919	Soybean(a)	November 2016	$	43,330,850	$	(7,377,204	)
508	SPI 200	September 2016		51,545,927		1,096,024
3,230	U.S. Treasury Note 10 Yr. (CBT)	December 2016		422,877,656		(962,971	)
113	UK Gilt Long Bond	December 2016		19,465,927		51,691
			$	1,197,447,659	$	30,151,469
Sales
2,675	Corn(a)	December 2016	$	42,198,125	$	7,670,615
1,017	Crude Oil(a)	October 2016		45,459,900		(1,721,810	)
977	FTSE/JSE TOP 40	September 2016		30,744,867		334,620
59	Gold 100 OZ(a)	December 2016		7,737,260		185,130
180	Japanese Government Bond 10 Yr. (OSE)	September 2016		263,487,013		1,215,288
781	Nikkei 225(a)	September 2016		127,631,080		(3,497,878	)
			$	517,258,245	$	4,185,965

+ Buys - Fund is long the futures contract. Sales - Fund is short the futures contract.

As of August 31, 2016, 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:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) All or a portion of this security or derivative is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO SGM Major Markets Fund.

(b) The rate disclosed is the 7 day net yield as of August 31, 2016.

(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 (Note 4).

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.

64 See accompanying notes to the financial statements.

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary^(a)

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		67.4	%
Short-Term Investments		23.4
Debt Obligations		4.3
Investment Funds		2.8
Forward Currency Contracts		(0.0	)^
Rights/Warrants		0.0	^
Written Options		(0.1	)
Futures Contracts		(0.3	)+
Other		2.5
		100.0	%

Country Summary¤	Debt Obligations as a % of Total Net Assets
United States		27.3
Jamaica		1.2
Other Developed		0.1	‡
Other Emerging		0.8	†
		29.4	%

Country Summary¤	Equity Investments as a % of Total Net Assets
United States		56.6
Romania		5.7
Netherlands		3.3
Germany		3.2
Other Developed		1.4	‡
		70.2	%

Industry Group Summary	% of Equity Investments #
Diversified Financials		31.1	%
Software & Services		25.7
Media		17.6
Capital Goods		8.9
Automobiles & Components		5.2
Utilities		4.4
Retailing		3.0
Insurance		2.4
Energy		1.1
Transportation		0.6
		100.0	%

(a) GMO Special Opportunities SPC Ltd. is a 100% owned subsidiary of GMO Special Opportunities Fund. As such, the holdings of GMO Special Opportunities SPC Ltd. have been included with GMO Special Opportunities Fund.

& In the table above, derivative financial instruments, if any, are based on market values and unrealized appreciation/depreciation rather than notional amounts.

¤ The table excludes short-term investments. The table excludes exposure through forward currency contracts, and includes exposure through derivative financial instruments, if any. The table takes into account the market values of securities and options and the notional amounts of swap contracts and other derivatives, if any. The table is not normalized, thus, due

to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the table may not total to 100%.

+ Some or all is comprised of commodity exposure. See Consolidated Schedule of Investments.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

65

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 67.4%
		Canada — 1.0%
	350,000	Alignvest Acquisition Corp – Class A *		2,594,174
	6,000,000	Jagercor Energy Corp * (a)		137,258
	500,000	MEG Energy Corp *		2,066,494
	3,000,000	Newalta Corp		5,764,831
		Total Canada		10,562,757
		Germany — 3.2%
	635,000	Brenntag AG		34,529,009
		Ireland — 0.4%
	60,000	Ryanair Holdings Plc Sponsored ADR		4,356,600
		Netherlands — 3.3%
	970,000	InterXion Holding NV *		36,181,000
		Romania — 2.9%
	9,200,000	Electrica SA		31,895,966
		United States — 56.6%
	2,630,000	Ally Financial, Inc.		52,705,200
	29,000	Amazon.com, Inc. *		22,305,640
	285,000	AMETEK, Inc.		13,893,750
	745,000	Berkshire Hathaway, Inc. – Class B *		112,115,050
	1,230,000	Cimpress NV *		122,102,100
	650,000	CommerceHub, Inc. – Series A *		9,613,500
	1,410,000	CommerceHub, Inc. – Series C *		20,769,300
	1,200,000	General Motors Co.		38,304,000
	300,000	HEICO Corp. – Class A		17,064,000
	1,597,544	Interactive Brokers Group, Inc. – Class A		57,319,879
	775,000	Liberty Global Plc LiLAC – Class A *		21,800,750
	1,550,000	Liberty Global Plc LiLAC – Class C *		44,268,000
	1,615,000	Liberty Global Plc – Class A *		51,114,750
	450,000	Live Nation Entertainment, Inc. *		12,024,000
	300,000	Quinpario Acquisition Corp. 2 *		2,964,000
	1,170,000	Trupanion, Inc. *		17,585,100
		Total United States		615,949,019
		TOTAL COMMON STOCKS (COST $674,655,436)		733,474,351
		RIGHTS/WARRANTS — 0.0%
		Canada — 0.0%
	3,000,000	Jagercor Energy Corp Warrants, Expires 11/17/16 * (a)		—
		TOTAL RIGHTS/WARRANTS (COST $—)		—

Shares / Par Value†		Description	Value ($)
		INVESTMENT FUNDS — 2.8%
		Romania — 2.8%
	151,243,100	Fondul Proprietatea SA Fund *		30,067,828
		TOTAL INVESTMENT FUNDS (COST $35,367,956)		30,067,828
		DEBT OBLIGATIONS — 4.3%
		Convertible Debt — 0.1%
		United States — 0.1%
	2,000,000	Cobalt International Energy, Inc., 2.63%, due 12/01/19		912,500
		Corporate Debt — 3.4%
		Canada — 0.1%
CAD	2,650,000	Newalta Corp, Reg S, 5.88%, due 04/01/21		1,555,971
		Jamaica — 1.1%
	13,500,000	Digicel Group Ltd, 144A, 7.13%, due 04/01/22		10,935,000
	1,220,000	Digicel Group Ltd, 144A, 8.25%, due 09/30/20		1,098,000
		Total Jamaica		12,033,000
		United States — 2.2%
	7,500,000	Pacific Drilling SA, 144A, 5.38%, due 06/01/20		2,175,000
	7,500,000	Pacific Drilling V Ltd., 144A, 7.25%, due 12/01/17		2,925,000
	8,000,000	Weatherford International Ltd., 6.50%, due 08/01/36		5,920,000
	7,500,000	Weatherford International LLC, 6.80%, due 06/15/37		5,587,500
	3,000,000	Weatherford International Ltd., 7.00%, due 03/15/38		2,257,500
	2,000,000	Weatherford International Ltd., 6.75%, due 09/15/40		1,470,000
	5,000,000	Weatherford International Ltd., 5.95%, due 04/15/42		3,512,500
		Total United States		23,847,500
		Total Corporate Debt		37,436,471
		Municipal Obligations — 0.8%
		Puerto Rico — 0.8%
	125,000	Puerto Rico Commonwealth Industrial Development Co., 5.15%, due 07/01/18		78,060
	75,000	Puerto Rico Commonwealth Industrial Development Co., 6.70%, due 07/01/21		44,812
	8,880,000	Puerto Rico Commonwealth Industrial Development Co., 5.20%, due 07/01/23		5,172,600
	4,230,000	Puerto Rico Commonwealth Industrial Development Co., 5.25%, due 07/01/28		2,442,825

66 See accompanying notes to the financial statements.

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Municipal Obligations — continued
		Puerto Rico — continued
	1,220,000	Puerto Rico Commonwealth Industrial Development Co., (Capital Appreciation), due 07/01/17		768,600
	370,000	Puerto Rico Commonwealth Industrial Development Co., (Capital Appreciation), due 07/01/18		229,319
		Total Puerto Rico		8,736,216
		Total Municipal Obligations		8,736,216
		TOTAL DEBT OBLIGATIONS (COST $48,703,925)		47,085,187
		SHORT-TERM INVESTMENTS — 23.4%
		Money Market Funds — 0.4%
	4,465,322	State Street Institutional Treasury Money Market Fund-Premier Class, 0.19% (b) (c)		4,465,322
		U.S. Government — 23.0%
	2,000,000	U.S. Treasury Bill, 0.00%, due 09/01/16 (b) (d) (e)		2,000,000
	41,700,000	U.S. Treasury Bill, 0.20%, due 09/22/16 (d)		41,695,038

Shares / Par Value†		Description	Value ($)
		U.S. Government — continued
	75,000,000	U.S. Treasury Bill, 0.23%, due 10/06/16 (d)		74,982,975
	45,000,000	U.S. Treasury Bill, 0.27%, due 11/03/16 (d)		44,978,355
	20,000,000	U.S. Treasury Bill, 0.27%, due 11/17/16 (d) (f)		19,988,400
	34,000,000	U.S. Treasury Bill, 0.31%, due 11/25/16 (d)		33,975,350
	3,000,000	U.S. Treasury Bill, 0.36%, due 01/05/17 (b) (d) (f)		2,996,301
	29,000,000	U.S. Treasury Bill, 0.36%, due 01/12/17 (d)		28,961,459
		Total U.S. Government		249,577,878
		TOTAL SHORT-TERM INVESTMENTS (COST $254,028,989)		254,043,200
		TOTAL INVESTMENTS — 97.9% (Cost $1,012,756,306)		1,064,670,566
		Other Assets and Liabilities (net) — 2.1%		22,888,437
		TOTAL NET ASSETS — 100.0%		$1,087,559,003

A summary of outstanding financial instruments at August 31, 2016 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
09/08/2016	BOA		CAD	8,100,000		USD	6,328,674	$	151,833
11/21/2016	BOA		EUR	10,000,000		USD	11,360,850		168,069
09/26/2016	BOA		RON	143,600,000		USD	35,851,600		(136,480	)
09/08/2016	BOA		USD	1,968,133		CAD	2,600,000		14,556
11/21/2016	GS		USD	11,289,098		EUR	10,000,000		(96,317	)
								$	101,661

Futures Contracts ^(b)

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
25	Natural Gas	December 2019	$	203,375	$	(57,562	)
25	Natural Gas	January 2020		201,125		(59,813	)
25	Natural Gas	February 2020		197,000		(63,938	)
25	Natural Gas	March 2020		179,750		(81,188	)
25	Natural Gas	April 2020		179,313		(81,625	)
25	Natural Gas	May 2020		181,313		(79,625	)
25	Natural Gas	June 2020		183,625		(77,313	)
25	Natural Gas	July 2020		185,375		(75,563	)
25	Natural Gas	August 2020		185,563		(75,375	)
25	Natural Gas	September 2020		187,563		(73,375	)
25	Natural Gas	October 2020		192,312		(68,625	)
25	Natural Gas	November 2020		201,875		(59,062	)
133	Uranium Futures	January 2017		841,225		(324,779	)
133	Uranium Futures	February 2017		844,550		(321,454	)
133	Uranium Futures	March 2017		846,212		(319,792	)
133	Uranium Futures	April 2017		847,875		(318,129	)
133	Uranium Futures	May 2017		856,187		(309,817	)
133	Uranium Futures	June 2017		857,850		(308,154	)
			$	7,372,088	$	(2,755,189	)

+ Buys - Fund is long the futures contract.

- Sales - Fund is short the futures contract.

See accompanying notes to the financial statements. 67

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

Written Options

Equity Options

Number of Contracts		Expiration Date	Description	Premiums		Value
Put	80	10/21/2016	Amazon.com, Inc., Strike 600.00	$	456,173	$	(5,120	)
Put	80	10/21/2016	Amazon.com, Inc., Strike 615.00		419,738		(7,120	)
Put	80	02/17/2017	Amazon.com, Inc., Strike 730.00		595,720		(331,600	)
Put	80	02/17/2017	Amazon.com, Inc., Strike 745.00		567,800		(378,400	)
Put	550	10/21/2016	Cimpress NV, Strike 90.00		556,711		(82,500	)
Put	500	01/20/2017	Cimpress NV, Strike 95.00		500,819		(360,000	)
Put	2,400	01/20/2017	Yelp, Inc., Strike 26.00		1,102,659		(192,000	)
				$	4,199,620	$	(1,356,740	)

As of August 31, 2016, 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:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) Affiliated company (Note 10).

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

(c) The rate disclosed is the 7 day net yield as of August 31, 2016.

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

(e) Rate rounds to 0.00%.

(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 (Note 4).

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.

68 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2016 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		65.9	%
Short-Term Investments		19.5
Debt Obligations		12.7
Preferred Stocks		1.1
Investment Funds		0.1
Loan Participations		0.1
Rights/Warrants		0.0	^
Loan Assignments		0.0	^
Options Purchased		0.0	^
Forward Currency Contracts		0.0	^
Written/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Swap Contracts		(0.1	)
Other		0.7
		100.0	%

Country/Region Summary¤	Debt Olbigations as a % of Total Net Assets
United States		8.7	%
Other Emerging		6.4	†
Other Developed		0.0	‡
Euro Region		0.0	#
		15.1	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		18.6	%
Japan		8.2
United Kingdom		5.6
Other Developed		5.1	‡
Taiwan		3.8
Germany		3.5
China		3.4
South Korea		2.9
France		2.9
Other Emerging		2.9	†
India		2.4
Switzerland		1.9
Russia		1.9
Australia		1.6
Netherlands		1.6
Hong Kong		1.1
		67.4	%

& The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

¤ The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures

(both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

# “Euro Region is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

^ Rounds to 0.00%.

69

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2016 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 95.5%
		Affiliated Issuers — 95.5%
	3,394,622	GMO Debt Opportunities Fund, Class VI		85,985,781
	3,359,086	GMO Emerging Country Debt Fund, Class IV		101,007,705
	12,518,699	GMO Emerging Markets Fund, Class VI		359,286,665
	31,210,143	GMO International Equity Fund, Class IV		624,202,867
	9,762,986	GMO Quality Fund, Class VI		205,315,586
	13,901,884	GMO U.S. Equity Allocation Fund, Class VI		208,945,311
	14,695,593	GMO U.S. Treasury Fund		367,536,768
		TOTAL MUTUAL FUNDS (COST $2,034,468,041)		1,952,280,683
		DEBT OBLIGATIONS — 4.2%
		Asset-Backed Securities — 0.0%
	497,773	Bayview Financial Revolving Asset Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.82%, due 05/28/39		275,383
		U.S. Government — 4.2%
	24,817,292	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)		28,864,173
	14,402,271	U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/27 (a)		17,499,666
	22,649,691	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a)		28,620,082
	7,915,312	U.S. Treasury Inflation Indexed Bond, 3.88%, due 04/15/29 (a)		11,357,943
		Total U.S. Government		86,341,864
		TOTAL DEBT OBLIGATIONS (COST $82,524,643)		86,617,247

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	305,738	State Street Institutional Treasury Money Market Fund-Premier Class, 0.19% (b)		305,738
		TOTAL SHORT-TERM INVESTMENTS (COST $305,738)		305,738
		TOTAL INVESTMENTS — 99.7% (Cost $2,117,298,422)		2,039,203,668
		Other Assets and Liabilities (net) — 0.3%		6,389,980
		TOTAL NET ASSETS — 100.0%		$2,045,593,648

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

(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 August 31, 2016.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 71.

70 See accompanying notes to the financial statements.

GMO Trust Funds

Schedule of Investments — (Continued)

August 31, 2016 (Unaudited)

Portfolio Abbreviations:

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

ADR - American Depositary Receipt

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

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.

CVA - Certificaaten van aandelen (Share Certificates)

CVR - Contingent Value Right

CP - Counterparty

EURIBOR - Euro Interbank Offered Rate

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

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

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

NVDR - Non-Voting Depository Receipt

OJSC - Open Joint-Stock Company

OTC - Over-the-Counter

PJSC - Private Joint-Stock Company

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

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

SPDR - Standard and Poor’s Depositary Receipt

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

USBM - U.S. Treasury 3 Month Bill Money Market Yield.

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

The rates shown on variable rate notes are the current interest rates at August 31, 2016, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CSI - Credit Suisse International

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

JPMF - J.P. Morgan Securities LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

UBS - UBS Securities LLC

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

RON - Romanian Leu

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

ZAR - South African Rand

See accompanying notes to the financial statements. 71

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2016 (Unaudited)

	Alpha Only Fund			Benchmark-Free Allocation Fund			Benchmark- Free Fund			Global Asset Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	11,848,744		$	15,079,313,637		$	1,587,476,913		$	2,738,666,520
Investments in unaffiliated issuers, at value (Note 2)(b)		255,976,673			9,339,107			3,003,931,390			698,868
Foreign currency, at value (Note 2)(c)		140,708			—			2,611,415			—
Cash		10,504,586			—			—			—
Receivable for investments sold		—			12,447,482			—			151,110
Receivable for Fund shares sold		—			5,000,000			—			—
Dividends receivable		564,537			1,141			6,751,526			92,050
Dividend withholding tax receivable		410,302			—			611,544			—
Receivable for variation margin on open futures contracts (Note 4)		329,440			—			—			—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		42,686			2,059,177			191,698			22,473
Miscellaneous receivable		4,719			23,318			5,545			234
Total assets		279,822,395			15,108,183,862			4,601,580,031			2,739,631,255
Liabilities:
Payable for investments purchased		4,719			—			36,602			91,916
Payable for Fund shares repurchased		—			16,665,471			2,218,070			156,234
Accrued foreign capital gains tax payable (Note 2)		4,935			—			308,607			—
Payable to affiliate for (Note 5):
Management fee		122,687			9,061,362			—			—
Supplemental support fee – Class MF		—			651,397			—			—
Shareholder service fee		24,889			989,122			—			—
Due to broker (Note 2)		10,064,060			—			—			—
Payable to agents unaffiliated with GMO		33			2,673			660			495
Payable to Trustees and related expenses		2,223			11,930			2,166			3,356
Accrued expenses		138,141			491,074			866,195			165,626
Total liabilities		10,361,687			27,873,029			3,432,300			417,627
Net assets	$	269,460,708		$	15,080,310,833		$	4,598,147,731		$	2,739,213,628
Net assets consist of:
Paid-in capital	$	632,493,972		$	15,669,024,632		$	5,043,729,834		$	3,160,607,743
Accumulated undistributed net investment income		2,447,187			—			31,830,253			5,982,530
Distributions in excess of net investment income		—			(46,775,648	)		—			—
Accumulated net realized gain (loss)		(372,280,882	)		(541,279,845	)		(593,529,962	)		(256,217,624	)
Net unrealized appreciation (depreciation)		6,800,431			(658,306	)		116,117,606			(171,159,021	)
	$	269,460,708		$	15,080,310,833		$	4,598,147,731		$	2,739,213,628
Net assets attributable to:
Class III	$	7,697,814		$	5,374,584,606		$	4,598,147,731		$	2,739,213,628
Class IV	$	261,762,894		$	2,662,767,900		$	—		$	—
Class MF	$	—		$	7,042,958,327		$	—		$	—
Shares outstanding:
Class III		355,288			212,084,132			246,445,224			91,380,524
Class IV		12,075,362			105,068,162			—			—
Class MF		—			277,724,998			—			—
Net asset value per share:
Class III	$	21.67		$	25.34		$	18.66		$	29.98
Class IV	$	21.68		$	25.34		$	—		$	—
Class MF	$	—		$	25.36		$	—		$	—
(a)      Cost of investments – affiliated issuers:	$	11,848,744		$	15,079,971,943		$	1,543,159,680		$	2,909,805,478
(b)      Cost of investments – unaffiliated issuers:	$	239,382,882		$	9,339,107		$	2,931,813,441		$	718,931
(c)      Cost of foreign currency:	$	140,695		$	—		$	2,620,461		$	—

72 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)

	Global Developed Equity Allocation Fund		Global Equity Allocation Fund		Consolidated Implementation Fund		International Developed Equity Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	1,148,652,961	$	2,858,221,544	$	—	$	945,451,323
Investments in unaffiliated issuers, at value (Note 2)(b)		1,061,199		828,785		11,077,456,483		6,980,636
Investments in Repurchase Agreements, at value (Note 2)(c)		—		—		1,444,825,751		—
Foreign currency, at value (Note 2)(d)		—		—		21,296,474		—
Cash		—		—		1,593,750		—
Receivable for investments sold		—		59,564,374		36,024,307		97,673,363
Receivable for Fund shares sold		—		—		—		17,087
Dividends and interest receivable		—		—		17,517,054		2
Dividend withholding tax receivable		—		—		14,348,624		—
Unrealized appreciation on open forward currency contracts (Note 4)		—		—		15,222,756		—
Receivable for variation margin on open cleared swap contracts (Note 4)		—		—		2,303,292		—
Due from broker (Note 2)		—		—		300,532,313		—
Receivable for open OTC swap contracts (Note 4)		—		—		19,679,750		—
Interest receivable for open OTC swap contracts		—		—		1,891,238		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		9,867		14,916		634,359		8,712
Miscellaneous receivable		—		106,342		22,068		82,825
Total assets		1,149,724,027		2,918,735,961		12,953,348,219		1,050,213,948
Liabilities:
Investments sold short, at value (Note 2)(e)		—		—		244,143,036		—
Payable for investments purchased		—		—		56,864,778		—
Payable for Fund shares repurchased		—		59,079,141		8,473,605		103,595,030
Payable for closed swap contracts		—		—		187,065		—
Accrued foreign capital gains tax payable (Note 2)		—		—		847,117		—
Payable for variation margin on open cleared swap contracts (Note 4)		—		—		52,925		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		—		12,816,894		—
Interest and dividend payable for short sales		—		—		262,689		—
Payable for open OTC swap contracts (Note 4)		—		—		4,981,168		—
Written options outstanding, at value (Note 4)(f)		—		—		1,460,415		—
Payable to agents unaffiliated with GMO		231		429		2,211		165
Payable to Trustees and related expenses		1,530		1,595		10,309		601
Accrued expenses		97,213		134,962		3,457,775		83,657
Total liabilities		98,974		59,216,127		333,559,987		103,679,453
Net assets	$	1,149,625,053	$	2,859,519,834	$	12,619,788,232	$	946,534,495
(a)        Cost of investments – affiliated issuers:	$	1,270,691,487	$	3,197,909,242	$	—	$	1,064,106,310
(b)        Cost of investments – unaffiliated issuers:	$	1,061,199	$	828,785	$	11,019,023,541	$	6,980,636
(c)        Cost of repurchase agreements:	$	—	$	—	$	1,444,825,751	$	—
(d)        Cost of foreign currency:	$	—	$	—	$	21,321,088	$	—
(e)        Proceeds from securities sold short:	$	—	$	—	$	232,618,111	$	—
(f)        Premiums on written options:	$	—	$	—	$	1,573,649	$	—

See accompanying notes to the financial statements. 73

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)

	Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund			International Developed Equity Allocation Fund
Net assets consist of:
Paid-in capital	$	1,345,824,409		$	3,413,417,844		$	13,741,367,263		$	1,200,975,865
Accumulated undistributed net investment income		5,772,285			13,148,280			149,267,249			2,286,528
Accumulated net realized gain (loss)		(79,933,115	)		(227,358,593	)		(1,324,914,774	)		(138,072,911	)
Net unrealized appreciation (depreciation)		(122,038,526	)		(339,687,697	)		54,068,494			(118,654,987	)
	$	1,149,625,053		$	2,859,519,834		$	12,619,788,232		$	946,534,495
Net assets attributable to:
Core Class	$	—		$	—		$	12,619,788,232		$	—
Class III	$	1,149,625,053		$	2,859,519,834		$	—		$	946,534,495
Shares outstanding:
Core Class		—			—			989,117,787			—
Class III		61,166,559			130,030,104			—			65,429,039
Net asset value per share:
Core Class	$	—		$	—		$	12.76		$	—
Class III	$	18.79		$	21.99		$	—		$	14.47

74 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)

	International Equity Allocation Fund		Consolidated SGM Major Markets Fund		Consolidated Special Opportunities Fund		Strategic Opportunities Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	1,186,022,565	$	837,173,643	$	137,258	$	1,952,280,683
Investments in unaffiliated issuers, at value (Note 2)(b)		430,648		440,793,327		1,064,533,308		86,922,985
Foreign currency, at value (Note 2)(c)		—		—		23		—
Cash		—		7		—		—
Receivable for investments sold		—		—		27,386,848		26,288,124
Receivable for Fund shares sold		—		4,000,000		—		8,466,525
Dividends and interest receivable		—		482,786		1,398,615		431,428
Dividend withholding tax receivable		—		—		22,205		—
Unrealized appreciation on open forward currency contracts (Note 4)		—		12,008,864		334,458		—
Receivable for variation margin on open futures contracts (Note 4)		—		1,741,572		16,125		—
Due from broker (Note 2)		—		—		294		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		9,636		41,337		—		15,510
Miscellaneous receivable		—		—		12,156		40,235
Total assets		1,186,462,849		1,296,241,536		1,093,841,290		2,074,445,490
Liabilities:
Payable for investments purchased		—		12,053,258		—		139,700
Payable for Fund shares repurchased		—		—		2,431,320		28,595,814
Accrued foreign capital gains tax payable (Note 2)		—		—		801,696		—
Payable to affiliate for (Note 5):
Management fee		—		984,116		1,090,378		—
Shareholder service fee		—		66,262		54,519		—
Payable for variation margin on open futures contracts (Note 4)		—		4,981,056		—		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		2,769,108		232,797		—
Due to broker (Note 2)		—		86,343		—		—
Written options outstanding, at value (Note 4)(d)		—		—		1,356,740		—
Payable to agents unaffiliated with GMO		165		198		165		330
Payable to Trustees and related expenses		794		1,617		43		363
Accrued expenses		83,158		238,040		314,629		115,635
Total liabilities		84,117		21,179,998		6,282,287		28,851,842
Net assets	$	1,186,378,732	$	1,275,061,538	$	1,087,559,003	$	2,045,593,648
(a)      Cost of investments – affiliated issuers:	$	1,333,602,123	$	836,799,449	$	317,181	$	2,034,468,041
(b)      Cost of investments – unaffiliated issuers:	$	430,648	$	440,788,858	$	1,012,439,125	$	82,830,381
(c)      Cost of foreign currency:	$	—	$	—	$	22	$	—
(d)      Premiums on written options:	$	—	$	—	$	4,199,620	$	—

See accompanying notes to the financial statements. 75

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2016 (Unaudited) — (Continued)

	International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Consolidated Special Opportunities Fund			Strategic Opportunities Allocation Fund
Net assets consist of:
Paid-in capital	$	1,420,258,845		$	1,187,328,923		$	1,040,358,207		$	2,163,929,745
Accumulated undistributed net investment income		1,625,524			—			9,244,629			7,477,007
Distributions in excess of net investment income		—			(19,702,418	)		—			—
Accumulated net realized gain (loss)		(87,926,079	)		63,467,149			(14,092,394	)		(47,718,350	)
Net unrealized appreciation (depreciation)		(147,579,558	)		43,967,884			52,048,561			(78,094,754	)
	$	1,186,378,732		$	1,275,061,538		$	1,087,559,003		$	2,045,593,648
Net assets attributable to:
Class III	$	1,186,378,732		$	48,754,183		$	—		$	2,045,593,648
Class VI	$	—		$	1,226,307,355		$	1,087,559,003		$	—
Shares outstanding:
Class III		44,237,363			1,386,574			—			105,836,512
Class VI		—			34,874,895			53,973,262			—
Net asset value per share:
Class III	$	26.82		$	35.16		$	—		$	19.33
Class VI	$	—		$	35.16		$	20.15		$	—

76 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2016 (Unaudited)

	Alpha Only Fund			Benchmark- Free Allocation Fund			Benchmark- Free Fund			Global Asset Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax)(a)	$	3,752,518		$	6,526		$	33,798,697		$	458
Dividends from affiliated issuers (Note 10)		36,306			25,452,718			9,867,718			13,144,587
Interest		30,814			100			3,759,947			15,603
Total investment income		3,819,638			25,459,344			47,426,362			13,160,648
Expenses:
Management fee (Note 5)		717,755			52,897,244			—			—
Shareholder service fee – Class III (Note 5)		5,838			4,294,345			—			—
Shareholder service fee – Class IV (Note 5)		139,659			1,352,013			—			—
Supplemental support fee – Class MF (Note 5)		—			3,923,128			—			—
Audit and tax fees		55,476			50,232			42,320			36,064
Custodian and fund accounting agent fees		154,736			54,280			900,864			32,476
Legal fees		21,117			272,044			81,880			54,648
Registration fees		3,680			10,212			—			2,484
Transfer agent fees		18,584			—			—			—
Trustees’ fees and related expenses (Note 5)		1,748			128,111			34,384			25,320
Miscellaneous		27,416			50,968			27,486			10,028
Total expenses		1,146,009			63,032,577			1,086,934			161,020
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(249,361	)		(421,176	)		(856,153	)		(132,940	)
Indirectly incurred fees waived or borne by GMO (Note 5)		—			(10,201,683	)		—			—
Supplemental support fee waived – Class MF (Note 5)		—			(475,076	)		—			—
Shareholder service fee waived (Note 5)		—			(1,031,176	)		—			—
Net expenses		896,648			50,903,466			230,781			28,080
Net investment income (loss)		2,922,990			(25,444,122	)		47,195,581			13,132,568
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		1,896,712			—			16,785,035			(40,341	)
Investments in affiliated issuers		—			53,417,448			(2,440,503	)		(143,089,965	)
Realized gain distributions from affiliated issuers (Note 10)		433			14,872,143			5,588,005			5,694,385
Futures contracts		(24,582,661	)		—			6,495,210			—
Swap contracts		—			—			299,633			—
Foreign currency, forward contracts and foreign currency related transactions		(93,290	)		—			5,443,123			—
Net realized gain (loss)		(22,778,806	)		68,289,591			32,170,503			(137,435,921	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		28,259,967			—			189,379,688			32,944
Investments in affiliated issuers		—			1,210,348,124			180,770,416			394,457,997
Futures contracts		(9,272,630	)		—			(197,030	)		—
Swap contracts		—			—			19,340			—
Foreign currency, forward contracts and foreign currency related transactions		131,547			—			(7,231,027	)		—
Net change in unrealized appreciation (depreciation)		19,118,884			1,210,348,124			362,741,387			394,490,941
Net realized and unrealized gain (loss)		(3,659,922	)		1,278,637,715			394,911,890			257,055,020
Net increase (decrease) in net assets resulting from operations	$	(736,932	)	$	1,253,193,593		$	442,107,471		$	270,187,588
(a)    Withholding tax:	$	209,667		$	—		$	3,128,866		$	—

See accompanying notes to the financial statements. 77

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2016 (Unaudited) — (Continued)

	Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund			International Developed Equity Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax)(a)	$	—		$	42		$	147,746,504		$	—
Interest		29			—			34,281,861			66
Dividends from affiliated issuers (Note 10)		8,042,856			18,011,461			—			4,216,282
Total investment income		8,042,885			18,011,503			182,028,365			4,216,348
Expenses:
Audit and tax fees		7,636			7,544			96,968			7,544
Custodian, fund accounting agent and transfer agent fees		26,588			28,612			2,999,660			28,244
Dividend expense on short sales		—			—			3,914,655			—
Legal fees		24,104			47,748			270,781			17,020
Registration fees		828			2,024			—			552
Trustees’ fees and related expenses (Note 5)		11,282			22,733			107,614			7,933
Interest expense (Note 2)		—			—			98,097			—
Miscellaneous		5,520			8,740			107,836			4,508
Total expenses		75,958			117,401			7,595,611			65,801
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(63,480	)		(92,276	)		(3,344,476	)		(56,396	)
Net expenses		12,478			25,125			4,251,135			9,405
Net investment income (loss)		8,030,407			17,986,378			177,777,230			4,206,943
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		—			—			(114,758,384	)		—
Investments in affiliated issuers		(59,532,004	)		(189,410,416	)		—			3,702,966
Realized gain distributions from affiliated issuers (Note 10)		6,577,808			14,043,100			—			—
Investments in securities sold short		—			—			(28,345,694	)		—
Futures contracts		—			—			(847,692	)		—
Written options		—			—			(22,539,855	)		—
Swap contracts		—			—			87,390,798			—
Foreign currency, forward contracts and foreign currency related transactions		—			—			21,897,974			—
Net realized gain (loss)		(52,954,196	)		(175,367,316	)		(57,202,853	)		3,702,966
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		—			—			1,030,295,589			—
Investments in affiliated issuers		205,762,377			541,664,918			—			98,008,926
Investments in securities sold short		—			—			(13,546,062	)		—
Futures contracts		—			—			(4,701	)		—
Written options		—			—			34,839,607			—
Swap contracts		—			—			(91,538,900	)		—
Foreign currency, forward contracts and foreign currency related transactions		—			—			(23,273,457	)		—
Net change in unrealized appreciation (depreciation)		205,762,377			541,664,918			936,772,076			98,008,926
Net realized and unrealized gain (loss)		152,808,181			366,297,602			879,569,223			101,711,892
Net increase (decrease) in net assets resulting from operations	$	160,838,588		$	384,283,980		$	1,057,346,453		$	105,918,835
(a)    Withholding tax:	$	—		$	—		$	14,179,799		$	—

78 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2016 (Unaudited) — (Continued)

	International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Consolidated Special Opportunities Fund			Strategic Opportunities Allocation Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	4,005,689		$	1,914,399		$	—		$	10,358,216
Interest		55			542,145			9,957,276			1,380,219
Dividends from unaffiliated issuers (Net of withholding tax)(a)		—			27,723			8,032,082			277,881
Total investment income		4,005,744			2,484,267			17,989,358			12,016,316
Expenses:
Management fee (Note 5)		—			5,588,929			6,262,218			—
Shareholder service fee – Class III (Note 5)		—			19,072			—			—
Shareholder service fee – Class VI (Note 5)		—			354,643			313,111			—
Audit and tax fees		7,544			44,896			62,928			29,440
Custodian, fund accounting agent and transfer agent fees		27,048			128,616			180,320			24,380
Legal fees		19,504			43,792			118,036			33,120
Registration fees		2,760			—			276			1,104
Trustees’ fees and related expenses (Note 5)		9,160			9,938			8,489			16,056
Miscellaneous		5,152			18,216			16,744			6,716
Total expenses		71,168			6,208,102			6,962,122			110,816
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(61,088	)		(222,824	)		—			(93,104	)
Net expenses		10,080			5,985,278			6,962,122			17,712
Net investment income (loss)		3,995,664			(3,501,011	)		11,027,236			11,998,604
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		—			45,955			(8,527,408	)		8,825,445
Investments in affiliated issuers		(20,023,367	)		49,980			505,519			(47,867,355	)
Realized gain distributions from affiliated issuers (Note 10)		—			26,758			—			5,256,716
Futures contracts		—			10,040,570			—			—
Written options		—			—			419,205			—
Swap contracts		—			—			135,530			—
Foreign currency, forward contracts and foreign currency related transactions		—			48,326,183			(3,300,267	)		—
Net realized gain (loss)		(20,023,367	)		58,489,446			(10,767,421	)		(33,785,194	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		—			55,188			112,139,215			(1,506,182	)
Investments in affiliated issuers		180,398,301			326,092			(17,953	)		240,260,409
Futures contracts		—			35,500,394			(1,475,238	)		—
Written options		—			—			2,462,375			—
Swap contracts		—			—			(899,007	)		—
Foreign currency, forward contracts and foreign currency related transactions		—			(5,975,114	)		855,765			—
Net change in unrealized appreciation (depreciation)		180,398,301			29,906,560			113,065,157			238,754,227
Net realized and unrealized gain (loss)		160,374,934			88,396,006			102,297,736			204,969,033
Net increase (decrease) in net assets resulting from operations	$	164,370,598		$	84,894,995		$	113,324,972		$	216,967,637
(a)    Withholding tax:	$	—		$	—		$	262,053		$	—

See accompanying notes to the financial statements. 79

GMO Trust Funds

Statements of Changes in Net Assets

	Alpha Only Fund						Benchmark-Free Allocation Fund
	Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016			Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016*
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,922,990		$	29,576,303		$	(25,444,122	)	$	154,045,787
Net realized gain (loss)		(22,778,806	)		2,134,877			68,289,591			(56,381,264	)
Change in net unrealized appreciation (depreciation)		19,118,884			(70,370,476	)		1,210,348,124			(1,488,947,168	)
Accumulated deconsolidation impact (Note 2)		—			—			—			(1,054,490,449	)
Net increase (decrease) in net assets from operations		(736,932	)		(38,659,296	)		1,253,193,593			(2,445,773,094	)
Distributions to shareholders from:
Net investment income
Class III		(110,579	)		(615,633	)		(891,816	)		(85,487,336	)
Class IV		(3,819,031	)		(61,976,715	)		(929,691	)		(48,744,018	)
Class MF		—			—			(3,213,650	)		(157,879,410	)
Total distributions from net investment income		(3,929,610	)		(62,592,348	)		(5,035,157	)		(292,110,764	)
Net realized gains
Class III		—			—			—			(44,107,021	)
Class IV		—			—			—			(24,797,845	)
Class MF		—			—			—			(79,692,381	)
Total distributions from net realized gains		—			—			—			(148,597,247	)
Net share transactions (Note 9):
Class III		116,332			(18,040,112	)		(941,021,886	)		724,704,303
Class IV		(20,006,710	)		(2,946,773,242	)		(48,725,658	)		(396,090,776	)
Class MF		—			—			(1,589,564,016	)		(2,706,440,865	)
Increase (decrease) in net assets resulting from net share transactions		(19,890,378	)		(2,964,813,354	)		(2,579,311,560	)		(2,377,827,338	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			1,972,596			3,249,006
Class IV		—			—			940,514			1,652,987
Class MF		—			—			2,707,556			5,469,002
Increase in net assets resulting from purchase premiums and redemption fees		—			—			5,620,666			10,370,995
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(19,890,378	)		(2,964,813,354	)		(2,573,690,894	)		(2,367,456,343	)
Total increase (decrease) in net assets		(24,556,920	)		(3,066,064,998	)		(1,325,532,458	)		(5,253,937,448	)
Net assets:
Beginning of period		294,017,628			3,360,082,626			16,405,843,291			21,659,780,739
End of period	$	269,460,708		$	294,017,628		$	15,080,310,833		$	16,405,843,291
Accumulated undistributed net investment income	$	2,447,187		$	3,453,807		$	—		$	—
Distributions in excess of net investment income	$	—		$	—		$	(46,775,648	)	$	(16,296,369	)

* Amounts are consolidated through July 31, 2015 (Note 2 – Basis of presentation and principles of consolidation).

80 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Benchmark-Free Fund						Global Asset Allocation Fund
	Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016			Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	47,195,581		$	144,244,953		$	13,132,568		$	132,943,879
Net realized gain (loss)		32,170,503			(598,780,463	)		(137,435,921	)		(26,556,395	)
Change in net unrealized appreciation (depreciation)		362,741,387			(88,185,945	)		394,490,941			(564,399,527	)
Net increase (decrease) in net assets from operations		442,107,471			(542,721,455	)		270,187,588			(458,012,043	)
Distributions to shareholders from:
Net investment income
Class III		(25,699,579	)		(147,265,835	)		(10,218,888	)		(137,881,813	)
Total distributions from net investment income		(25,699,579	)		(147,265,835	)		(10,218,888	)		(137,881,813	)
Net realized gains
Class III		—			(143,010,501	)		—			(193,655,005	)
Total distributions from net realized gains		—			(143,010,501	)		—			(193,655,005	)
Net share transactions (Note 9):
Class III		(123,659,306	)		84,996,794			(839,790,772	)		(763,046,770	)
Increase (decrease) in net assets resulting from net share transactions		(123,659,306	)		84,996,794			(839,790,772	)		(763,046,770	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		280,766			757,147			1,243,947			1,464,987
Increase in net assets resulting from purchase premiums and redemption fees		280,766			757,147			1,243,947			1,464,987
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(123,378,540	)		85,753,941			(838,546,825	)		(761,581,783	)
Total increase (decrease) in net assets		293,029,352			(747,243,850	)		(578,578,125	)		(1,551,130,644	)
Net assets:
Beginning of period		4,305,118,379			5,052,362,229			3,317,791,753			4,868,922,397
End of period	$	4,598,147,731		$	4,305,118,379		$	2,739,213,628		$	3,317,791,753
Accumulated undistributed net investment income	$	31,830,253		$	10,334,251		$	5,982,530		$	3,068,850

See accompanying notes to the financial statements. 81

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Global Developed Equity Allocation Fund						Global Equity Allocation Fund
	Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016			Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	8,030,407		$	40,484,945		$	17,986,378		$	86,029,002
Net realized gain (loss)		(52,954,196	)		82,146,162			(175,367,317	)		66,387,365
Change in net unrealized appreciation (depreciation)		205,762,377			(373,116,972	)		541,664,919			(712,669,060	)
Net increase (decrease) in net assets from operations		160,838,588			(250,485,865	)		384,283,980			(560,252,693	)
Distributions to shareholders from:
Net investment income
Class III		(3,218,161	)		(40,963,522	)		(7,337,936	)		(87,088,321	)
Total distributions from net investment income		(3,218,161	)		(40,963,522	)		(7,337,936	)		(87,088,321	)
Net realized gains
Class III		(39,709,256	)		(137,293,847	)		(55,809,080	)		(278,611,210	)
Total distributions from net realized gains		(39,709,256	)		(137,293,847	)		(55,809,080	)		(278,611,210	)
Net share transactions (Note 9):
Class III		(401,420,142	)		90,912,790			(341,557,098	)		4,118,970
Increase (decrease) in net assets resulting from net share transactions		(401,420,142	)		90,912,790			(341,557,098	)		4,118,970
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		358,018			151,021			772,456			744,974
Increase in net assets resulting from purchase premiums and redemption fees		358,018			151,021			772,456			744,974
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(401,062,124	)		91,063,811			(340,784,642	)		4,863,944
Total increase (decrease) in net assets		(283,150,953	)		(337,679,423	)		(19,647,678	)		(921,088,280	)
Net assets:
Beginning of period		1,432,776,006			1,770,455,429			2,879,167,512			3,800,255,792
End of period	$	1,149,625,053		$	1,432,776,006		$	2,859,519,834		$	2,879,167,512
Accumulated undistributed net investment income	$	5,772,285		$	960,039		$	13,148,280		$	2,499,838

82 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Consolidated Implementation Fund						International Developed Equity Allocation Fund
	Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016			Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	177,777,230		$	259,945,732		$	4,206,943		$	34,048,299
Net realized gain (loss)		(57,202,853	)		(1,363,176,491	)		3,702,966			2,634,243
Change in net unrealized appreciation (depreciation)		936,772,076			(1,181,832,408	)		98,008,926			(276,145,346	)
Net increase (decrease) in net assets from operations		1,057,346,453			(2,285,063,167	)		105,918,835			(239,462,804	)
Distributions to shareholders from:
Net investment income
Class III		—			—			(2,100,973	)		(34,075,093	)
Total distributions from net investment income		—			—			(2,100,973	)		(34,075,093	)
Net share transactions (Note 9):
Core Class		(2,097,449,117	)		13,998,781			—			—
Class III		—			—			(100,273,500	)		35,666,797
Increase (decrease) in net assets resulting from net share transactions		(2,097,449,117	)		13,998,781			(100,273,500	)		35,666,797
Purchase premiums and redemption fees (Notes 2 and 9):
Core Class		4,687,549			10,401,407			—			—
Class III		—			—			167,196			200,552
Increase in net assets resulting from purchase premiums and redemption fees		4,687,549			10,401,407			167,196			200,552
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(2,092,761,568	)		24,400,188			(100,106,304	)		35,867,349
Total increase (decrease) in net assets		(1,035,415,115	)		(2,260,662,979	)		3,711,558			(237,670,548	)
Net assets:
Beginning of period		13,655,203,347			15,915,866,326			942,822,937			1,180,493,485
End of period	$	12,619,788,232		$	13,655,203,347		$	946,534,495		$	942,822,937
Accumulated undistributed net investment income	$	149,267,249		$	—		$	2,286,528		$	180,558
Distributions in excess of net investment income	$	—		$	(28,509,981	)	$	—		$	—

See accompanying notes to the financial statements. 83

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Equity Allocation Fund						Consolidated SGM Major Markets Fund
	Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016			Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	3,995,664		$	41,758,274		$	(3,501,011	)	$	(10,628,660	)
Net realized gain (loss)		(20,023,367	)		(8,872,666	)		58,489,446			(6,534,870	)
Change in net unrealized appreciation (depreciation)		180,398,301			(351,588,187	)		29,906,560			(7,724,502	)
Net increase (decrease) in net assets from operations		164,370,598			(318,702,579	)		84,894,995			(24,888,032	)
Distributions to shareholders from:
Net investment income
Class III		(3,101,494	)		(41,811,574	)		(220,335	)		—
Class VI		—			—			(11,884,761	)		—
Total distributions from net investment income		(3,101,494	)		(41,811,574	)		(12,105,096	)		—
Net realized gains
Class III		—			(58,512,714	)		(8,085	)		—
Class VI		—			—			(405,683	)		—
Total distributions from net realized gains		—			(58,512,714	)		(413,768	)		—
Net share transactions (Note 9):
Class III		(110,124,864	)		(41,855,340	)		23,534,727			(1,442,809,396	)
Class VI		—			—			(141,894,401	)		1,289,299,894
Increase (decrease) in net assets resulting from net share transactions		(110,124,864	)		(41,855,340	)		(118,359,674	)		(153,509,502	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		434,891			642,512			—			—
Increase in net assets resulting from purchase premiums and redemption fees		434,891			642,512			—			—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(109,689,973	)		(41,212,828	)		(118,359,674	)		(153,509,502	)
Total increase (decrease) in net assets		51,579,131			(460,239,695	)		(45,983,543	)		(178,397,534	)
Net assets:
Beginning of period		1,134,799,601			1,595,039,296			1,321,045,081			1,499,442,615
End of period	$	1,186,378,732		$	1,134,799,601		$	1,275,061,538		$	1,321,045,081
Accumulated undistributed net investment income	$	1,625,524		$	731,354		$	—		$	—
Distributions in excess of net investment income	$	—		$	—		$	(19,702,418	)	$	(4,096,311	)

84 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Consolidated Special Opportunities Fund						Strategic Opportunities Allocation Fund
	Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016			Six Months Ended August 31, 2016 (Unaudited)			Year Ended February 29, 2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	11,027,236		$	6,735,991		$	11,998,604		$	85,266,872
Net realized gain (loss)		(10,767,421	)		40,207,442			(33,785,194	)		1,485,381
Change in net unrealized appreciation (depreciation)		113,065,157			(72,176,731	)		238,754,227			(394,050,705	)
Net increase (decrease) in net assets from operations		113,324,972			(25,233,298	)		216,967,637			(307,298,452	)
Distributions to shareholders from:
Net investment income
Class III		—			—			(5,760,245	)		(86,263,190	)
Class VI		(3,688,182	)		(8,063,110	)		—			—
Total distributions from net investment income		(3,688,182	)		(8,063,110	)		(5,760,245	)		(86,263,190	)
Net realized gains
Class III		—			—			(1,162,716	)		(106,172,024	)
Class VI		(20,678,991	)		(9,220,808	)		—			—
Total distributions from net realized gains		(20,678,991	)		(9,220,808	)		(1,162,716	)		(106,172,024	)
Net share transactions (Note 9):
Class III		—			—			(132,617,413	)		17,977,573
Class VI		(140,960,890	)		334,243,331			—			—
Increase (decrease) in net assets resulting from net share transactions		(140,960,890	)		334,243,331			(132,617,413	)		17,977,573
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			250,797			478,138
Class VI		826,641			3,145,391			—			—
Increase in net assets resulting from purchase premiums and redemption fees		826,641			3,145,391			250,797			478,138
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(140,134,249	)		337,388,722			(132,366,616	)		18,455,711
Total increase (decrease) in net assets		(51,176,450	)		294,871,506			77,678,060			(481,277,955	)
Net assets:
Beginning of period		1,138,735,453			843,863,947			1,967,915,588			2,449,193,543
End of period	$	1,087,559,003		$	1,138,735,453		$	2,045,593,648		$	1,967,915,588
Accumulated undistributed net investment income	$	9,244,629		$	1,905,575		$	7,477,007		$	1,238,648

See accompanying notes to the financial statements. 85

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

ALPHA ONLY FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
					2016				2015				2014				2013				2012								2016				2015				2014				2013				2012
Net asset value, beginning of period		$	22.04			$	22.93			$	23.98			$	24.22			$	24.13			$	23.49			$	22.05			$	22.95			$	23.99			$	24.24			$	24.14			$	23.50
Income (loss) from investment operations:
Net investment income (loss)†			0.22				0.37				0.34				0.53	(a)			0.51	(a)			0.46	(a)			0.23				0.39				0.35				0.58	(a)			0.60	(a)			0.47	(a)
Net realized and unrealized gain (loss)			(0.27	)			(0.40	)			(0.96	)			(0.76	)			(0.35	)			0.52				(0.28	)			(0.41	)			(0.95	)			(0.80	)			(0.42	)			0.52
Total from investment operations			(0.05	)			(0.03	)			(0.62	)			(0.23	)			0.16				0.98				(0.05	)			(0.02	)			(0.60	)			(0.22	)			0.18				0.99
Less distributions to shareholders:
From net investment income			(0.32	)			(0.86	)			(0.43	)			(0.01	)			(0.07	)			(0.34	)			(0.32	)			(0.88	)			(0.44	)			(0.03	)			(0.08	)			(0.35	)
Total distributions			(0.32	)			(0.86	)			(0.43	)			(0.01	)			(0.07	)			(0.34	)			(0.32	)			(0.88	)			(0.44	)			(0.03	)			(0.08	)			(0.35	)
Net asset value, end of period		$	21.67			$	22.04			$	22.93			$	23.98			$	24.22			$	24.13			$	21.68			$	22.05			$	22.95			$	23.99			$	24.24			$	24.14
Total Return(b)			(0.24	)%**			(0.06	)%			(2.60	)%			(0.94	)%			0.67	%			4.13	%			(0.22	)%**			(0.03	)%			(2.51	)%			(0.93	)%			0.73	%			4.19	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	7,698			$	7,712			$	26,695			$	35,392			$	51,886			$	37,752			$	261,763			$	286,305			$	3,333,388			$	3,523,518			$	3,389,131			$	2,086,001
Net expenses to average daily net assets			0.67	%*(c)			0.66	%(c)			0.65	%			0.30	%(c)(d)			0.23	%(c)(d)			0.24	%(c)(d)			0.62	%*(c)			0.60	%(c)			0.60	%			0.26	%(c)(d)			0.18	%(c)(d)			0.19	%(c)(d)
Net investment income (loss) to average daily net assets(a)			2.02	%*			1.66	%			1.44	%			2.19	%(a)			2.10	%(a)			1.89	%(a)			2.04	%*			1.76	%			1.46	%			2.42	%(a)			2.47	%(a)			1.91	%(a)
Portfolio turnover rate			10	%**(e)			85	%(f)			123	%			66	%			104	%			125	%			10	%**(e)			85	%(f)			123	%			66	%			104	%			125	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.17	%*			0.06	%			0.04	%			0.37	%(g)			0.44	%(g)			0.44	%(g)			0.17	%*			0.05	%			0.04	%			0.36	%(g)			0.44	%(g)			0.43	%(g)

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

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

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

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

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 45% of the average value of its portfolio.

^(f)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 31% of the average value of its portfolio.

^(g) Ratios include indirect fees waived or borne by the Fund

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

86 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
					2016(a)				2015(b)				2014(b)				2013(b)				2012(b)								2016(a)				2015(b)				2014(b)				2013(b)(c)
Net asset value, beginning of period		$	23.46			$	27.04			$	27.07			$	25.77			$	24.03			$	22.72			$	23.46			$	27.03			$	27.06			$	25.75			$	24.91
Income (loss) from investment operations:
Net investment income (loss)(d)†			(0.04	)			0.19				0.38				0.48				0.30				0.21				(0.04	)			0.20				0.36				0.46				0.03
Net realized and unrealized gain (loss)			1.92				(3.26	)			0.86				1.57				1.62				1.44	(e)			1.93				(3.26	)			0.89				1.61				0.96
Total from investment operations			1.88				(3.07	)			1.24				2.05				1.92				1.65				1.89				(3.06	)			1.25				2.07				0.99
Less distributions to shareholders:
From net investment income			(0.00	)(f)			(0.34	)			(0.52	)			(0.39	)			(0.18	)			(0.34	)			(0.01	)			(0.34	)			(0.53	)			(0.40	)			(0.15	)
From net realized gains			—				(0.17	)			(0.75	)			(0.36	)			—				—				—				(0.17	)			(0.75	)			(0.36	)			—
Total distributions			(0.00	)			(0.51	)			(1.27	)			(0.75	)			(0.18	)			(0.34	)			(0.01	)			(0.51	)			(1.28	)			(0.76	)			(0.15	)
Net asset value, end of period		$	25.34			$	23.46			$	27.04			$	27.07			$	25.77			$	24.03			$	25.34			$	23.46			$	27.03			$	27.06			$	25.75
Total Return(g)			8.03	%**			(11.51	)%			4.71	%			8.03	%			8.03	%			7.36	%			8.05	%**			(11.46	)%			4.75	%			8.12	%			3.99	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	5,374,585			$	5,872,663			$	6,040,891			$	3,109,509			$	970,749			$	114,452			$	2,662,768			$	2,508,115			$	3,363,711			$	2,511,906			$	705,982
Net operating expenses to average daily net assets(h)			0.66	%*			0.66	%			0.64	%			0.59	%(i)			0.54	%(i)			0.01	%(i)(j)			0.61	%*			0.61	%			0.59	%			0.54	%(i)			0.48	%*(i)
Interest and/or dividend expenses to average daily net assets(l)			0.00	%*			0.02	%			0.05	%			—				—				—				0.00	%*			0.02	%			0.05	%			—				—
Total net expenses to average daily net assets(h)			0.66	%*			0.68	%			0.69	%			0.59	%			0.54	%			0.01	%			0.61	%*			0.63	%			0.64	%			0.54	%			0.48	%
Net investment income (loss) to average daily net assets(d)			(0.36	)%*			0.73	%			1.41	%			1.79	%			1.23	%			0.93	%			(0.28	)%*			0.80	%			1.32	%			1.73	%			0.60	%*
Portfolio turnover rate			2	%**			53	%(k)			84	%			52	%			42	%			33	%			2	%**			53	%(k)			84	%			52	%			42	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(n)			0.14	%*			0.16	%			0.20	%			0.27	%			0.41	%			0.05	%			0.14	%*			0.16	%			0.20	%			0.27	%			0.40	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.01			$	0.01			$	0.03			$	0.07			$	0.00	(m)		$	0.01			$	0.01			$	0.01			$	0.03			$	0.01

^(a)  The amounts shown, where applicable, are consolidated through the period ended July 31, 2015 (Note 2 – Basis of presentation and principles of consolidation).

^(b) Consolidated financial highlights (Note 2 – Basis of presentation and principles of consolidation).

^(c)  Period from December 11, 2012 (commencement of operations) through February 28, 2013.

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

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

^(f)  Distributions from net investment income were less than $0.01 per share.

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

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

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

^(j) Effective January 1, 2012, the Fund pays GMO a management fee of 0.65% of the Fund’s average daily net assets (Note 5).

^(k) Had the Fund not been consolidated for the year ended February 29, 2016, the portfolio turnover would have been 23%.

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

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

⁽ⁿ⁾  Ratios include indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 87

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class MF Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
					2016(b)				2015(c)				2014(c)				2013(a)(c)
Net asset value, beginning of period		$	23.47			$	27.04			$	27.07			$	25.76			$	24.10
Income (loss) from investment operations:
Net investment income (loss)(d)			(0.04	)			0.19				0.37				0.49				0.33
Net realized and unrealized gain (loss)			1.94				(3.24	)			0.88				1.58				1.52
Total from investment operations			1.90				(3.05	)			1.25				2.07				1.85
Less distributions to shareholders:
From net investment income			(0.01	)			(0.35	)			(0.53	)			(0.40	)			(0.19	)
From net realized gains			—				(0.17	)			(0.75	)			(0.36	)			—
Total distributions			(0.01	)			(0.52	)			(1.28	)			(0.76	)			(0.19	)
Net asset value, end of period		$	25.36			$	23.47			$	27.04			$	27.07			$	25.76
Total Return(e)			8.10	%**			(11.45	)%			4.78	%			8.11	%			7.71	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	7,042,958			$	8,025,066			$	12,255,179			$	9,103,523			$	2,947,886
Net operating expenses to average daily net assets(f)			0.60	%*(h)			0.58	%(h)			0.55	%(h)			0.53	%(g)			0.49	%(g)
Interest and/or dividend expenses to average daily net assets(i)			0.00	%*			0.02	%			0.05	%			—				—
Total net expenses to average daily net assets(f)			0.60	%*(h)			0.60	%(h)			0.60	%(h)			0.53	%			0.49	%
Net investment income (loss) to average daily net assets(d)			(0.29	)%*			0.77	%			1.37	%			1.83	%			1.34	%
Portfolio turnover rate			2	%**			53	%(j)			84	%			52	%			42	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(k)			0.16	%*			0.19	%			0.23	%			0.27	%			0.41	%
Redemption fees consisted of the following per share amounts:†		$	0.01			$	0.01			$	0.01			$	0.03			$	0.06

^(a)  Period from March 1, 2012 (commencement of operations) through February 28, 2013.

^(b)  The amounts shown, where applicable, are consolidated through the period ended July 31, 2015 (Note 2 – Basis of presentation and principles of consolidation).

^(c)  Consolidated financial highlights (Note 2 – Basis of presentation and principles of consolidation).

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

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

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

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

^(h)  Class MF net expenses include a supplemental support fee reduction (Note 5).

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

^(j) Had the Fund not been consolidated for the year ended February 29, 2016, the portfolio turnover would have been 23%.

^(k) Ratios include indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

88 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE FUND

	Class III Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,																Period from June 15, 2011 (commencement of operations) through February 28, 2012
					2016				2015				2014				2013
Net asset value, beginning of period		$	17.00			$	20.30			$	22.09			$	21.33			$	20.76			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.19				0.58				0.61				0.59				0.52				0.41
Net realized and unrealized gain (loss)			1.57				(2.70	)			0.61				1.45				1.34				0.83
Total from investment operations			1.76				(2.12	)			1.22				2.04				1.86				1.24
Less distributions to shareholders:
From net investment income			(0.10	)			(0.60	)			(0.79	)			(0.74	)			(0.68	)			(0.40	)
From net realized gains			—				(0.58	)			(2.22	)			(0.54	)			(0.61	)			(0.08	)
Total distributions			(0.10	)			(1.18	)			(3.01	)			(1.28	)			(1.29	)			(0.48	)
Net asset value, end of period		$	18.66			$	17.00			$	20.30			$	22.09			$	21.33			$	20.76
Total Return(b)			10.39	%**			(10.82	)%			5.76	%			9.66	%			9.25	%			6.35	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	4,598,148			$	4,305,118			$	5,052,362			$	4,367,658			$	3,941,582			$	3,515,321
Net expenses to average daily net assets(c)			0.01	%*			0.00	%(d)			0.00	%(d)			0.00	%(d)(e)			0.00	%(d)(e)			0.00	%*(d)(e)
Net investment income (loss) to average daily net assets(a)			2.08	%*			3.09	%			2.90	%			2.67	%			2.51	%			2.91	%*
Portfolio turnover rate			44	%(f)**			101	%(g)			60	%			51	%			31	%			23	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.01	%			0.00	%(h)			0.00	%(h)			0.01	%			0.02	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†(i)		$	0.00			$	0.00			$	0.00			$	0.00			$	0.00			$	0.00

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

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

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

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

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

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 50% of the average value of its portfolio.

^(g)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 67% of the average value of its portfolio.

^(h)  Fees and expenses reimbursed by GMO were less than 0.01%.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 89

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2016 (Unaudited)(a)				Year Ended February 28/29,
					2016(a)				2015(a)				2014(a)				2013(a)				2012(a)
Net asset value, beginning of period		$	27.60			$	33.81			$	35.40			$	32.70			$	31.20			$	30.66
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.12				1.02				0.96				0.81				0.87				0.72
Net realized and unrealized gain (loss)			2.37				(4.53	)			0.60				2.73				1.50				0.63
Total from investment operations			2.49				(3.51	)			1.56				3.54				2.37				1.35
Less distributions to shareholders:
From net investment income			(0.11	)			(1.14	)			(1.29	)			(0.84	)			(0.87	)			(0.81	)
From net realized gains			—				(1.56	)			(1.86	)			—				—				—
Total distributions			(0.11	)			(2.70	)			(3.15	)			(0.84	)			(0.87	)			(0.81	)
Net asset value, end of period		$	29.98			$	27.60			$	33.81			$	35.40			$	32.70			$	31.20
Total Return(c)			9.03	%**			(10.98	)%			4.55	%			10.88	%			7.65	%			4.51	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,739,214			$	3,317,792			$	4,868,922			$	5,362,913			$	4,764,133			$	3,612,740
Net expenses to average daily net assets(d)(e)			0.00	%*			0.00	%			0.00	%			0.00	%(f)			0.00	%(f)			0.00	%(f)
Net investment income (loss) to average daily net assets(b)			0.84	%*			3.33	%			2.75	%			2.33	%			2.70	%			2.37	%
Portfolio turnover rate			9	%**(g)			20	%(h)			38	%			46	%			29	%			40	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01	(a)		$	0.01	(a)		$	0.01	(a)		$	0.01	(a)		$	0.01	(a)		$	0.01	(a)

^(a)  Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

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

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

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

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

^(g)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 9% of the average value of its portfolio.

^(h)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 14% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

90 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL DEVELOPED EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
					2016				2015				2014				2013				2012
Net asset value, beginning of period		$	17.40			$	22.84			$	25.00			$	21.13			$	19.49			$	19.32
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.11				0.51				0.80				0.61				0.57				0.40
Net realized and unrealized gain (loss)			1.97				(3.64	)			0.02	(b)			3.96				1.73				0.18
Total from investment operations			2.08				(3.13	)			0.82				4.57				2.30				0.58
Less distributions to shareholders:
From net investment income			(0.05	)			(0.52	)			(0.82	)			(0.70	)			(0.66	)			(0.41	)
From net realized gains			(0.64	)			(1.79	)			(2.16	)			—				—				—
Total distributions			(0.69	)			(2.31	)			(2.98	)			(0.70	)			(0.66	)			(0.41	)
Net asset value, end of period		$	18.79			$	17.40			$	22.84			$	25.00			$	21.13			$	19.49
Total Return(c)			12.05	%**			(14.81	)%			3.32	%			21.68	%			11.95	%			3.14	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,149,625			$	1,432,776			$	1,770,455			$	1,591,060			$	1,531,772			$	1,235,143
Net expenses to average daily net assets(d)(e)			0.00	%*			0.00	%			0.00	%			0.00	%(f)			0.00	%(f)			0.00	%(f)
Net investment income (loss) to average daily net assets(a)			1.17	%*			2.49	%			3.34	%			2.62	%			2.86	%			2.11	%
Portfolio turnover rate			21	%**			14	%			16	%			36	%			31	%			27	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.00	(g)		$	0.00	(g)			—				—				—

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

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

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

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

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

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

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 91

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2016 (Unaudited)(a)				Year Ended February 28/29,
					2016(a)				2015(a)				2014(a)				2013(a)				2012(a)
Net asset value, beginning of period		$	19.71			$	26.22			$	28.29			$	25.80			$	25.47			$	25.80
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.13				0.60				0.96				0.84				0.75				0.57
Net realized and unrealized gain (loss)			2.61				(4.47	)			(0.03	)(c)			3.63				1.71				0.00	(c)
Total from investment operations			2.74				(3.87	)			0.93				4.47				2.46				0.57
Less distributions to shareholders:
From net investment income			(0.05	)			(0.60	)			(0.90	)			(0.87	)			(0.78	)			(0.60	)
From net realized gains			(0.41	)			(2.04	)			(2.10	)			(1.11	)			(1.35	)			(0.30	)
Total distributions			(0.46	)			(2.64	)			(3.00	)			(1.98	)			(2.13	)			(0.90	)
Net asset value, end of period		$	21.99			$	19.71			$	26.22			$	28.29			$	25.80			$	25.47
Total Return(d)			13.98	%**			(15.96	)%			3.37	%			17.60	%			10.01	%			2.47	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,859,520			$	2,879,168			$	3,800,256			$	2,948,319			$	2,220,674			$	1,636,875
Net expenses to average daily net assets(f)(g)			0.00	%*			0.00	%			0.00	%			0.00	%(e)			0.00	%(e)			0.00	%(e)
Net investment income (loss) to average daily net assets(b)			1.21	%*			2.58	%			3.54	%			3.02	%			2.90	%			2.27	%
Portfolio turnover rate			20	%**			15	%			21	%			51	%			24	%			28	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01	(a)*		$	0.01	(a)		$	0.01	(a)		$	0.01	(a)		$	0.01	(a)		$	0.01	(a)

^(a)  Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

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

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

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

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

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

92 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED IMPLEMENTATION FUND

	Core Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,												Period from March 1, 2012 (commencement of operations) through February 28, 2013
					2016				2015				2014
Net asset value, beginning of period		$	11.80			$	13.59			$	12.71			$	11.30			$	10.00
Income (loss) from investment operations:
Net investment income (loss)†			0.16				0.21				0.25				0.32				0.24
Net realized and unrealized gain (loss)			0.80				(2.00	)			0.63				1.09				1.06
Total from investment operations			0.96				(1.79	)			0.88				1.41				1.30
Net asset value, end of period		$	12.76			$	11.80			$	13.59			$	12.71			$	11.30
Total Return(a)			8.14	%**			(13.17	)%			6.92	%			12.48	%			13.00	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	12,619,788			$	13,655,203			$	15,915,866			$	10,160,905			$	2,471,328
Net operating expenses to average daily net assets(b)			0.00	%*			0.00	%			0.00	%			0.00	%(c)			0.00	%
Interest and/or dividend expenses to average daily net assets(d)			0.06	%*			0.07	%			0.07	%			—				—
Total net expenses to average daily net assets(d)			0.06	%*			0.07	%			0.07	%			—				—
Net investment income (loss) to average daily net assets			2.62	%*			1.62	%			1.89	%			2.61	%			2.21	%
Portfolio turnover rate			76	%**			127	%			115	%			65	%			66	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%*			0.05	%			0.04	%			0.08	%			0.23	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(e)		$	0.01				—				—				—

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

^(b)  Ratio is less than 0.01%.

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

^(d)  Interest expense and dividend expense incurred as a result of entering into repurchase agreements, securities sold short and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 93

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
					2016				2015				2014				2013				2012
Net asset value, beginning of period		$	13.05			$	16.88			$	17.99			$	14.86			$	13.87			$	15.23
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.06				0.48				0.74				0.54				0.50				0.36
Net realized and unrealized gain (loss)			1.39				(3.83	)			(1.11	)			3.16				0.97				(1.35	)
Total from investment operations			1.45				(3.35	)			(0.37	)			3.70				1.47				(0.99	)
Less distributions to shareholders:
From net investment income			(0.03	)			(0.48	)			(0.74	)			(0.57	)			(0.48	)			(0.37	)
Total distributions			(0.03	)			(0.48	)			(0.74	)			(0.57	)			(0.48	)			(0.37	)
Net asset value, end of period		$	14.47			$	13.05			$	16.88			$	17.99			$	14.86			$	13.87
Total Return(b)			11.11	%			(20.09	)%			(1.86	)%			25.02	%			10.71	%			(6.32	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	946,534			$	942,823			$	1,180,493			$	1,150,492			$	966,794			$	810,338
Net expenses to average daily net assets(c)(d)			0.00	%*			0.00	%			0.00	%			0.00	%(e)			0.00	%(e)			0.00	%(e)
Net investment income (loss) to average daily net assets(a)			0.82	%*			3.07	%			4.24	%			3.28	%			3.59	%			2.53	%
Portfolio turnover rate			6	%**			14	%			7	%			52	%			17	%			26	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(f)		$	0.00	(f)		$	0.00	(f)			—				—				—

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

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

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

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

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

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

94 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2016 (Unaudited)(a)				Year Ended February 28/29,
					2016(a)				2015(a)				2014(a)				2013(a)				2012(a)
Net asset value, beginning of period		$	23.40			$	31.71			$	34.11			$	31.29			$	29.94			$	32.40
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.09				0.84				1.32				1.05				0.96				0.69
Net realized and unrealized gain (loss)			3.40				(7.11	)			(1.83	)			3.96				1.35				(2.43	)
Total from investment operations			3.49				(6.27	)			(0.51	)			5.01				2.31				(1.74	)
Less distributions to shareholders:
From net investment income			(0.07	)			(0.87	)			(1.35	)			(1.02	)			(0.96	)			(0.72	)
From net realized gains			—				(1.17	)			(0.54	)			(1.17	)			—				—
Total distributions			(0.07	)			(2.04	)			(1.89	)			(2.19	)			(0.96	)			(0.72	)
Net asset value, end of period		$	26.82			$	23.40			$	31.71			$	34.11			$	31.29			$	29.94
Total Return(c)			14.92	%**			(20.70	)%			(1.30	)%			16.22	%			7.79	%			(5.21	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,186,379			$	1,134,800			$	1,595,039			$	1,790,318			$	1,385,150			$	1,166,993
Net expenses to average daily net assets(d)(e)			0.00	%*			0.00	%			0.00	%			0.00	%(f)			0.00	%(f)			0.00	%(f)
Net investment income (loss) to average daily net assets(b)			0.67	%*			2.92	%			3.94	%			3.15	%			3.26	%			2.33	%
Portfolio turnover rate			4	%**			14	%			18	%			40	%			21	%			29	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01	(a)		$	0.01	(a)		$	0.01	(a)		$	0.02	(a)		$	0.02	(a)		$	0.02	(a)

^(a)  Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

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

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

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

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 95

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND

	Class III Shares																								Class VI Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2016 (Unaudited)				Period from December 2, 2015 (commencement of operations) through February 29, 2016
					2016				2015				2014				2013				2012
Net asset value, beginning of period		$	33.25			$	33.80			$	32.18			$	30.47			$	30.05			$	32.55			$	33.26			$	33.08
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.11	)			(0.26	)			(0.25	)			(0.22	)			(0.18	)			0.00	(b)			(0.09	)			(0.05	)
Net realized and unrealized gain (loss)			2.34				(0.29	)			1.87	(c)			1.93				0.60				(2.50	)			2.34				0.23
Total from investment operations			2.23				(0.55	)			1.62				1.71				0.42				(2.50	)			2.25				0.18
Less distributions to shareholders:
From net investment income			(0.31	)			—				—				—				—				—				(0.34	)			—
From net realized gains			(0.01	)			—				—				—				—				—				(0.01	)			—
Total distributions			(0.32	)			—				—				—				—				—				(0.35	)			—
Net asset value, end of period		$	35.16			$	33.25			$	33.80			$	32.18			$	30.47			$	30.05			$	35.16			$	33.26
Total Return(d)			6.73	%**			(1.63	)%			5.03	%			5.61	%			1.40	%			(7.68	)%			6.80	%**			0.57	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	48,754			$	24,020			$	1,499,443			$	1,662,189			$	959,752			$	44,320			$	1,226,307			$	1,297,025
Net expenses to average daily net assets(e)			1.00	%*			0.85	%			0.80	%			0.75	%			0.75	%(f)			0.69	%(f)			0.91	%*			0.91	%*
Net investment income (loss) to average daily net assets(a)			(0.63	)%*			(0.79	)%			(0.76	)%			(0.70	)%			(0.61	)%			(0.01	)%			(0.53	)%*			(0.59	)%*
Portfolio turnover rate			7	%(g)**			29	%(h)			45	%			97	%			17	%			48	%			7	%(g)**			29	%(h)**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.03	%			0.08	%			0.13	%			0.17	%			1.64	%			0.03	%*			0.13	%

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

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

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

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

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

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

^(g)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 7% of the average value of its portfolio.

^(h)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 1% of the average value of its portfolio.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

96 See accompanying notes to the financial statements.

GMO Trust Funds

Consolidated Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SPECIAL OPPORTUNITIES FUND

	Class VI Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 29, 2016				Period from July 28, 2014 (commencement of operations) through February 28, 2015
Net asset value, beginning of period		$	18.65			$	19.81			$	20.00
Income (loss) from investment operations:
Net investment income (loss)†			0.19				0.16				(0.03	)
Net realized and unrealized gain (loss)			1.76				(0.85	)			(0.15	)(a)
Total from investment operations			1.95				(0.69	)			(0.18	)
Less distributions to shareholders:
From net investment income			(0.07	)			(0.21	)			(0.01	)
From net realized gains			(0.38	)			(0.26	)			—
Total distributions			(0.45	)			(0.47	)			(0.01	)
Net asset value, end of period		$	20.15			$	18.65			$	19.81
Total Return(b)			10.47	%**			(3.64	)%			(0.89	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,087,559			$	1,138,735			$	843,864
Net expenses to average daily net assets			1.22	%*			1.29	%			1.36	%*
Net investment income (loss) to average daily net assets			1.94	%*			0.80	%			(0.25	)%*
Portfolio turnover rate			53	%**			69	%			64	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			—				—				0.02	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02			$	0.07			$	0.13

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

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 97

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

STRATEGIC OPPORTUNITIES ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2016 (Unaudited)				Year Ended February 28/29,
					2016				2015				2014				2013				2012
Net asset value, beginning of period		$	17.43			$	21.89			$	23.43			$	21.47			$	21.26			$	20.78
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.11				0.75				0.76				0.68				0.65				0.48
Net realized and unrealized gain (loss)			1.85				(3.47	)			0.44				2.96				1.57				0.51
Total from investment operations			1.96				(2.72	)			1.20				3.64				2.22				0.99
Less distributions to shareholders:
From net investment income			(0.05	)			(0.80	)			(0.87	)			(0.78	)			(0.75	)			(0.51	)
From net realized gains			(0.01	)			(0.94	)			(1.87	)			(0.90	)			(1.26	)			—
Total distributions			(0.06	)			(1.74	)			(2.74	)			(1.68	)			(2.01	)			(0.51	)
Net asset value, end of period		$	19.33			$	17.43			$	21.89			$	23.43			$	21.47			$	21.26
Total Return(b)			11.28	%**			(13.00	)%			5.36	%			17.24	%			10.81	%			4.93	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,045,594			$	1,967,916			$	2,449,194			$	2,455,863			$	2,168,928			$	2,022,555
Net expenses to average daily net assets(c)(d)			0.00	%*			0.00	%			0.00	%			0.00	%(e)			0.00	%(e)			0.00	%(e)
Net investment income (loss) to average daily net assets(a)			1.16	%*			3.80	%			3.31	%			2.99	%			3.01	%			2.33	%
Portfolio turnover rate			14	%(f)**			65	%(g)			30	%			53	%			34	%			35	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(h)		$	0.00	(h)		$	0.00	(h)		$	0.00	(h)		$	0.00	(h)			—

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

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

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

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

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

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2016, including transactions in USTF, was 24% of the average value of its portfolio.

^(g)  The portfolio turnover rate includes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during its fiscal year ended February 29, 2016, excluding transactions in USTF, was 39% of the average value of its portfolio.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

98 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

August 31, 2016 (Unaudited)

1. Organization

Each of Alpha Only Fund, Benchmark-Free Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, Global Equity Allocation Fund, Implementation Fund, International Developed Equity Allocation Fund, International Equity Allocation Fund, SGM Major Markets Fund, Special Opportunities Fund, and Strategic Opportunities Allocation Fund, (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

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

Many of the Funds may invest primarily in other GMO Funds and Implementation Fund, Special Opportunities Fund, and SGM Major Markets Fund may also invest in their wholly-owned subsidiaries, GMO Implementation SPC Ltd., GMO Special Opportunities SPC Ltd. and GMO Alternative Asset SPC Ltd., respectively. These GMO Funds and wholly-owned subsidiaries are referenced herein as “underlying funds.” As a result, the Funds are exposed to all of the risks of the underlying funds in which they invest. Several of the underlying funds themselves invest a substantial portion of their assets in other GMO Funds. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements.

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

Fund Name	Benchmark	Investment Objective
Alpha Only Fund	Citigroup 3-Month Treasury Bill Index	Total return greater than benchmark
Benchmark-Free Allocation Fund	Not Applicable	Positive total return, not “relative” return
Benchmark-Free Fund	Not Applicable	Positive total return
Global Asset Allocation Fund	GMO Global Asset Allocation Index (65% MSCI ACWI, 35% Barclays U.S. Aggregate Index)	Total return greater than benchmark
Global Developed Equity Allocation Fund	MSCI World Index	Total return greater than benchmark
Global Equity Allocation Fund	MSCI ACWI	Total return greater than benchmark
Implementation Fund	Not Applicable	Positive total return, not “relative” return
International Developed Equity Allocation Fund	MSCI EAFE Index	Total return greater than benchmark
International Equity Allocation Fund	MSCI ACWI ex USA	Total return greater than benchmark
SGM Major Markets Fund	Citigroup 3-Month Treasury Bill Index	Long-term total return
Special Opportunities Fund	Not Applicable	Positive total return
Strategic Opportunities Allocation Fund	GMO Strategic Opportunities Allocation Index (75% MSCI World Index (MSCI Standard Index Series), 25% Barclays U.S. Aggregate Index)	Total return greater than benchmark

Alpha Only Fund, Benchmark-Free Fund, Implementation Fund, Special Opportunities Fund and Strategic Opportunities Allocation Fund currently limit subscriptions.

Alpha Only Fund, Benchmark-Free Allocation Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, and SGM Major Markets Fund are currently distributed in Switzerland. The distribution of shares in Switzerland will be exclusively made to, and directed at, qualified investors as defined in the Swiss Collective Investment Schemes Act of 23 June 2006, as amended, and its implementing ordinance.

2. Significant accounting policies

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

99

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

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

Basis of presentation and principles of consolidation: Benchmark-Free Allocation Fund, Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund

Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund include the accounts of their wholly-owned subsidiaries Implementation SPC Ltd., Special Opportunities SPC Ltd. and Alternative Asset SPC Ltd. (each a “wholly-owned subsidiary”), respectively, and the accompanying financial statements have been consolidated for those accounts. The consolidated financial statements include all of the assets and liabilities of each wholly-owned subsidiary. Prior to August 1, 2015, Benchmark-Free Allocation Fund (“BFAF”) included the accounts of its wholly-owned subsidiary, Implementation Fund. Effective August 1, 2015, BFAF was no longer the sole shareholder of Implementation Fund, thus consolidation was no longer required. The accompanying financial statements for BFAF include the accounts of Implementation Fund through July 31, 2015. Accumulated deconsolidation impact shown in BFAF’s Statement of Changes resulted from income and gain/loss related to the deconsolidation of Implementation Fund. All interfund accounts and transactions have been eliminated in consolidation.

Portfolio valuation

Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. 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 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. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted 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 or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2016, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets which 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 valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds, held either directly or through investments in the underlying funds, that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2016. 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 are described in the disclosures of the underlying funds.

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a specific relevant pricing source determined 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. Alternative pricing sources are often but not always available for securities held 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 quoted price 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 the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

100

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

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 August 31, 2016 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		< 1%		35%		—
Benchmark-Free Allocation Fund		< 1%		28%		1%
Benchmark-Free Fund		< 1%		34%		< 1%
Global Asset Allocation Fund		< 1%		36%		< 1%
Global Developed Equity Allocation Fund		< 1%		56%		—
Global Equity Allocation Fund		< 1%		61%		—
Consolidated Implementation Fund		< 1%		35%		< 1%
International Developed Equity Allocation Fund		< 1%		94%		—
International Equity Allocation Fund		< 1%		93%		—
Consolidated SGM Major Markets Fund		—		2%		—
Consolidated Special Opportunities Fund		—		6%		—
Strategic Opportunities Allocation Fund		< 1%		46%		< 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 methodologies 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). Other than Funds with investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes) or as disclosed in the Asset and Liability Valuation Inputs table below, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at August 31, 2016.

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).

101

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

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 vendor prices or 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 relevant index; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2016:

Description	Level 1		Level 2		Level 3		Total
Alpha Only Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	2,680,258	$	—	$	2,680,258
Austria		—		108,808		—		108,808
Belgium		—		276,569		—		276,569
Brazil		—		1,053,209		—		1,053,209
Chile		—		372,765		—		372,765
China		172,240		9,915,855		—		10,088,095
Colombia		150,364		—		—		150,364
Czech Republic		—		55,820		—		55,820
Denmark		—		300,042		—		300,042
Egypt		—		66,132		—		66,132
Finland		—		602,663		—		602,663
France		—		4,827,738		—		4,827,738
Germany		—		3,729,629		—		3,729,629
Greece		—		121,780		—		121,780
Hong Kong		—		1,269,428		—		1,269,428
Hungary		—		105,899		—		105,899
India		614,198		2,546,314		9,673		3,170,185
Indonesia		—		1,017,266		—		1,017,266
Ireland		—		13,824		—		13,824
Israel		—		261,105		—		261,105
Italy		—		980,183		—		980,183
Japan		—		8,716,433		—		8,716,433
Malaysia		—		1,022,136		—		1,022,136
Mexico		1,502,180		—		—		1,502,180
Netherlands		—		1,989,417		—		1,989,417
New Zealand		—		69,624		—		69,624
Norway		—		324,834		—		324,834
Peru		143,488		—		—		143,488
Philippines		—		556,240		—		556,240

102

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Description	Level 1			Level 2		Level 3			Total
Alpha Only Fund (continued)
Asset Valuation Inputs (continued)
Poland	$	—		$	411,056	$	—		$	411,056
Portugal		—			48,157		—			48,157
Qatar		—			371,024		—			371,024
Russia		82,926			1,078,167		—			1,161,093
Singapore		—			441,497		—			441,497
South Africa		—			2,523,742		—			2,523,742
South Korea		—			5,626,019		—			5,626,019
Spain		—			1,558,921		—			1,558,921
Sweden		—			1,043,203		—			1,043,203
Switzerland		—			6,223,846		—			6,223,846
Taiwan		—			4,515,794		—			4,515,794
Thailand		—			937,286		—			937,286
Turkey		—			464,636		—			464,636
United Arab Emirates		—			329,358		—			329,358
United Kingdom		—			23,784,623		—			23,784,623
United States		141,618,523			—		—			141,618,523
TOTAL COMMON STOCKS		144,283,919			92,341,300		9,673			236,634,892
Preferred Stocks
Brazil		—			1,913,001		—			1,913,001
Chile		—			36,590		—			36,590
Colombia		24,483			—		—			24,483
Germany		—			232,035		—			232,035
Russia		—			68,774		—			68,774
South Korea		—			229,669		—			229,669
TOTAL PREFERRED STOCKS		24,483			2,480,069		—			2,504,552
Rights/Warrants
South Korea		—			—		0	§		0	§
TOTAL RIGHTS/WARRANTS		—			—		0	§		0	§
Mutual Funds
United States		11,848,744			—		—			11,848,744
TOTAL MUTUAL FUNDS		11,848,744			—		—			11,848,744
Short-Term Investments		16,837,229			—		—			16,837,229
Total Investments		172,994,375			94,821,369		9,673			267,825,417
Total	$	172,994,375		$	94,821,369	$	9,673		$	267,825,417
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(9,734,620	)	$	—	$	—		$	(9,734,620	)
Total Futures Contracts	$	(9,734,620	)	$	—	$	—		$	(9,734,620	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	15,079,313,637		$	—	$	—		$	15,079,313,637
Short-Term Investments		9,339,107			—		—			9,339,107
Total Investments		15,088,652,744			—		—			15,088,652,744
Total	$	15,088,652,744		$	—	$	—		$	15,088,652,744

103

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	36,928,441	$	—	$	36,928,441
Austria		—		4,131,340		—		4,131,340
Belgium		—		5,458,233		—		5,458,233
Brazil		—		12,825,023		—		12,825,023
Canada		38,565,473		—		—		38,565,473
China		10,620,602		94,068,295		—		104,688,897
Czech Republic		—		2,368,083		—		2,368,083
Denmark		859,648		3,305,822		—		4,165,470
Finland		—		8,087,123		—		8,087,123
France		—		71,961,266		—		71,961,266
Germany		—		79,898,461		—		79,898,461
Hong Kong		—		28,538,008		—		28,538,008
Hungary		—		1,764,189		—		1,764,189
India		12,010,403		10,417,022		666,741		23,094,166
Ireland		—		1,451,846		—		1,451,846
Israel		9,454,983		10,370,097		—		19,825,080
Italy		—		15,923,197		—		15,923,197
Japan		—		181,770,560		333,069		182,103,629
Mexico		14,448,055		—		9,539		14,457,594
Netherlands		2,464,613		38,731,470		—		41,196,083
New Zealand		—		2,511,199		—		2,511,199
Norway		—		12,693,946		—		12,693,946
Poland		—		4,758,418		—		4,758,418
Portugal		—		815,508		—		815,508
Russia		—		15,872,454		—		15,872,454
Singapore		—		6,363,963		—		6,363,963
South Africa		—		38,984,791		—		38,984,791
South Korea		—		65,609,433		—		65,609,433
Spain		—		20,449,746		—		20,449,746
Sweden		—		10,436,054		—		10,436,054
Switzerland		—		39,606,813		—		39,606,813
Taiwan		18,261,601		48,949,952		—		67,211,553
Thailand		—		2,860,710		—		2,860,710
Turkey		—		16,242,857		—		16,242,857
United Kingdom		3,033,870		135,224,218		—		138,258,088
United States		599,548,030		—		—		599,548,030
TOTAL COMMON STOCKS		709,267,278		1,029,378,538		1,009,349		1,739,655,165
Mutual Funds
United States		1,587,476,913		—		—		1,587,476,913
TOTAL MUTUAL FUNDS		1,587,476,913		—		—		1,587,476,913
Preferred Stocks
Brazil		2,374,444		25,424,182		—		27,798,626
Chile		—		180,035		—		180,035
Germany		—		4,498,534		—		4,498,534
Russia		—		5,537,144		—		5,537,144
South Korea		—		7,896,341		—		7,896,341
TOTAL PREFERRED STOCKS		2,374,444		43,536,236		—		45,910,680

104

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations
United States	$	849,614,400	$	—	$	—	$	849,614,400
TOTAL DEBT OBLIGATIONS		849,614,400		—		—		849,614,400
Short-Term Investments		3,917,018		364,834,127		—		368,751,145
Total Investments		3,152,650,053		1,437,748,901		1,009,349		4,591,408,303
Total	$	3,152,650,053	$	1,437,748,901	$	1,009,349	$	4,591,408,303
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,738,666,520	$	—	$	—	$	2,738,666,520
Debt Obligations
Asset-Backed Securities		—		273,401		—		273,401
TOTAL DEBT OBLIGATIONS		—		273,401		—		273,401
Short-Term Investments		425,467		—		—		425,467
Total Investments		2,739,091,987		273,401		—		2,739,365,388
Total	$	2,739,091,987	$	273,401	$	—	$	2,739,365,388
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,148,652,961	$	—	$	—	$	1,148,652,961
Short-Term Investments		1,061,199		—		—		1,061,199
Total Investments		1,149,714,160		—		—		1,149,714,160
Total	$	1,149,714,160	$	—	$	—	$	1,149,714,160
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,858,221,544	$	—	$	—	$	2,858,221,544
Short-Term Investments		828,785		—		—		828,785
Total Investments		2,859,050,329		—		—		2,859,050,329
Total	$	2,859,050,329	$	—	$	—	$	2,859,050,329
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	94,255,755	$	—	$	94,255,755
Austria		—		13,237,922		—		13,237,922
Belgium		—		12,049,990		—		12,049,990
Brazil		849,024		107,014,414		—		107,863,438
Canada		109,950,157		—		—		109,950,157
Chile		—		1,598,917		—		1,598,917
China		18,543,087		657,538,905		—		676,081,992
Czech Republic		—		25,488,144		—		25,488,144
Denmark		1,761,344		33,667,430		—		35,428,774
Finland		—		18,441,756		—		18,441,756
France		—		228,621,951		—		228,621,951
Germany		—		217,546,107		—		217,546,107

105

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Description	Level 1		Level 2		Level 3			Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Hong Kong	$	—	$	80,784,767	$	—		$	80,784,767
Hungary		—		27,496,300		—			27,496,300
India		46,225,840		89,263,478		2,222,925			137,712,243
Indonesia		—		1,732,513		—			1,732,513
Ireland		414,666		4,190,016		—			4,604,682
Israel		22,793,601		25,839,054		—			48,632,655
Italy		—		72,778,643		—			72,778,643
Japan		—		522,493,365		2,998,606			525,491,971
Malaysia		—		522,452		—			522,452
Mexico		59,275,615		—		419,823			59,695,438
Netherlands		8,957,340		134,900,170		—			143,857,510
New Zealand		—		3,152,880		—			3,152,880
Norway		1,483,620		43,186,583		—			44,670,203
Poland		—		47,146,326		—			47,146,326
Portugal		—		2,714,307		—			2,714,307
Russia		—		146,443,080		—			146,443,080
Singapore		16,112,964		17,546,434		—			33,659,398
South Africa		3,026,101		187,566,771		183			190,593,055
South Korea		—		424,466,455		—			424,466,455
Spain		25,235,981		45,587,570		—			70,823,551
Sweden		—		21,951,559		16,200,263			38,151,822
Switzerland		17,513,256		114,172,669		—			131,685,925
Taiwan		89,134,236		310,772,088		—			399,906,324
Thailand		—		20,449,536		—			20,449,536
Turkey		—		109,219,603		—			109,219,603
United Kingdom		29,231,010		376,244,304		5,427,629			410,902,943
United States		2,449,678,716		—		—			2,449,678,716
TOTAL COMMON STOCKS		2,900,186,558		4,240,082,214		27,269,429			7,167,538,201
Preferred Stocks
Brazil		2,654,885		168,490,741		—			171,145,626
Germany		—		15,669,749		—			15,669,749
Russia		—		351,716		—			351,716
South Korea		—		34,300,844		—			34,300,844
TOTAL PREFERRED STOCKS		2,654,885		218,813,050		—			221,467,935
Rights/Warrants
South Korea		—		—		0	§		0	§
United States		—		—		683,940			683,940
TOTAL RIGHTS/WARRANTS		—		—		683,940			683,940
Debt Obligations
Canada		—		113,871,808		—			113,871,808
Denmark		—		—		33,600,068			33,600,068
Puerto Rico		—		17,098,192		—			17,098,192
United Kingdom		—		31,072,201		—			31,072,201
United States		3,229,468,471		—		54,335,446			3,283,803,917
TOTAL DEBT OBLIGATIONS		3,229,468,471		162,042,201		87,935,514			3,479,446,186
Options Purchased		7,738,025		2,078,101		—			9,816,126
Short-Term Investments		198,504,095		1,444,825,751		—			1,643,329,846
Total Investments		6,338,552,034		6,067,841,317		115,888,883			12,522,282,234

106

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Description	Level 1			Level 2			Level 3			Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	15,222,756		$	—		$	15,222,756
Swap Contracts
Credit Risk		—			5,863,187			—			5,863,187
Interest Rate Risk		—			112,021,101			—			112,021,101
Equity Risk±		—			86,681			—			86,681
Total	$	6,338,552,034		$	6,201,035,042		$	115,888,883		$	12,655,475,959
Liability Valuation Inputs
Common Stocks
Canada	$	(32,809,901	)	$	—		$	—		$	(32,809,901	)
France		—			(35,170,921	)		—			(35,170,921	)
United States		(176,162,214	)		—			—			(176,162,214	)
Total Common Stocks		(208,972,115	)		(35,170,921	)		—			(244,143,036	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(12,816,894	)		—			(12,816,894	)
Written Options
Equity Risk		(1,460,415	)		—			—			(1,460,415	)
Swap Contracts
Credit Risk		—			(167,575	)		—			(167,575	)
Interest Rate Risk		—			(85,822,697	)		(3,315,255	)		(89,137,952	)
Total	$	(210,432,530	)	$	(133,978,087	)	$	(3,315,255	)	$	(347,725,872	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	945,451,323		$	—		$	—		$	945,451,323
Short-Term Investments		6,980,636			—			—			6,980,636
Total Investments		952,431,959			—			—			952,431,959
Total	$	952,431,959		$	—		$	—		$	952,431,959
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,186,022,565		$	—		$	—		$	1,186,022,565
Short-Term Investments		430,648			—			—			430,648
Total Investments		1,186,453,213			—			—			1,186,453,213
Total	$	1,186,453,213		$	—		$	—		$	1,186,453,213
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	13,514,135		$	11,715,081		$	—		$	25,229,216
TOTAL DEBT OBLIGATIONS		13,514,135			11,715,081			—			25,229,216
Mutual Funds		837,173,643			—			—			837,173,643
Short-Term Investments		415,564,111			—			—			415,564,111
Total Investments		1,266,251,889			11,715,081			—			1,277,966,970

107

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Description	Level 1			Level 2			Level 3			Total
Consolidated SGM Major Markets Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	12,008,864		$	—		$	12,008,864
Futures Contracts
Equity Risk		10,011,520			30,988,532			—			41,000,052
Interest Rate Risk		1,471,807			—			—			1,471,807
Physical Commodity Contract Risk		7,855,745			—			—			7,855,745
Total	$	1,285,590,961		$	54,712,477		$	—		$	1,340,303,438
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(2,769,108	)	$	—		$	(2,769,108	)
Futures Contracts
Equity Risk		—			(3,922,677	)		—			(3,922,677	)
Interest Rate Risk		(11,104,522	)		—			—			(11,104,522	)
Physical Commodity Contract Risk		(962,971	)		—			—			(962,971	)
Total	$	(12,067,493	)	$	(6,691,785	)	$	—		$	(18,759,278	)
Consolidated Special Opportunities Fund
Asset Valuation Inputs
Common Stocks
Canada	$	10,562,757		$	—		$	—		$	10,562,757
Germany		—			34,529,009			—			34,529,009
Ireland		4,356,600			—			—			4,356,600
Netherlands		36,181,000			—			—			36,181,000
Romania		—			31,895,966			—			31,895,966
United States		615,949,019			—			—			615,949,019
TOTAL COMMON STOCKS		667,049,376			66,424,975			—			733,474,351
Rights/Warrants
Canada		—			—			0	§		0	§
TOTAL RIGHTS/WARRANTS		—			—			0	§		0	§
Investment Funds
Romania		—			30,067,828			—			30,067,828
TOTAL INVESTMENT FUNDS		—			30,067,828			—			30,067,828
Debt Obligations
Canada		—			1,555,971			—			1,555,971
Jamaica		—			12,033,000			—			12,033,000
Puerto Rico		—			8,736,216			—			8,736,216
United States		—			24,760,000			—			24,760,000
TOTAL DEBT OBLIGATIONS		—			47,085,187			—			47,085,187
Short-Term Investments		254,043,200			—			—			254,043,200
Total Investments		921,092,576			143,577,990			0	§		1,064,670,566
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			334,458			—			334,458
Total	$	921,092,576		$	143,912,448		$	0	§	$	1,065,005,024

108

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Consolidated Special Opportunities Fund (continued)
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(232,797	)	$	—	$	(232,797	)
Futures Contracts
Physical Commodity Contract Risk		(2,755,189	)		—			—		(2,755,189	)
Written Options
Equity Risk		(286,740	)		(1,070,000	)		—		(1,356,740	)
Total	$	(3,041,929	)	$	(1,302,797	)	$	—	$	(4,344,726	)
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,952,280,683		$	—		$	—	$	1,952,280,683
Debt Obligations
Asset-Backed Securities		—			275,383			—		275,383
U.S. Government		—			86,341,864			—		86,341,864
TOTAL DEBT OBLIGATIONS		—			86,617,247			—		86,617,247
Short-Term Investments		305,738			—			—		305,738
Total Investments		1,952,586,421			86,617,247			—		2,039,203,668
Total	$	1,952,586,421		$	86,617,247		$	—	$	2,039,203,668

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. The tables exclude purchased options, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at August 31, 2016.

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

For all Funds for the period ended August 31, 2016, there were no significant transfers between Level 1 and Level 2.

109

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

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

	Balance as of February 29, 2016			Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3†			Transfer out of Level 3†		Balance as of August 31, 2016			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August  31, 2016
Alpha Only Fund
Common Stocks
China	$	13,765		$	—	$	(12,564	) $		—	$	(3,663	)	$	2,462		$	—		$	—	$	—		$	—
India		—			0		—			—		—			9,673			—			—		9,673			—
Total	$	13,765		$	0	$	(12,564	) $		—	$	(3,663	)	$	12,135		$	—		$	—	$	9,673		$	—
Benchmark-Free Fund
Common Stocks
India	$	—		$	0	$	—		$	—	$	—		$	666,741		$	—		$	—	$	666,741		$	—
Japan		—			—		—			—		—			—			333,069	‡		—		333,069			—
Mexico		—			—		—			—		—			—			9,539	‡		—		9,539			—
Total	$	—		$	0	$	—		$	—	$	—		$	666,741		$	342,608		$	—	$	1,009,349		$	—
Global Asset Allocation Fund
Debt Obligations
Asset-Backed Securities	$	500		$	—	$	0		$	1,681	$	(55,127	)	$	52,946		$	—		$	—	$	—		$	—
Total	$	500		$	—	$	0		$	1,681	$	(55,127	)	$	52,946		$	—		$	—	$	—		$	—
Consolidated Implementation Fund
Common Stocks
India	$	—		$	0	$	—		$	—	$	—		$	2,222,925		$	—		$	—	$	2,222,925		$	—
Japan		—			—		—			—		—			—			2,998,606	‡		—		2,998,606			—
Mexico		—			—		—			—		—			—			419,823	‡		—		419,823			—
South Africa		170			—		—			—		—			13			—			—		183			13
Sweden		—			—		—			—		—			—			16,200,263	‡		—		16,200,263			—
United Kingdom		7,478,801			—		—			—		—			(2,051,172	)		—			—		5,427,629			(2,051,172	)
Rights/Warrants
United States		911,920			—		—			—		—			(227,980	)		—			—		683,940			(227,980	)
Debt Obligations
Asset-Backed Securities
United States		1,599			—		0			562		(171,213	)		169,052			—			—		—			—
Bank Loans
Denmark		27,420,461			2,919,530		—			1,202,959		—			2,057,118			—			—		33,600,068			2,057,118
United States		52,371,322			—		(286,891	)		85,001		6,276			2,159,738			—			—		54,335,446			2,159,738
Purchased Options
United States		32,065,424			—		(26,567,491	)		—		(16,106,763	)		10,608,830			—			—		—			—
Total Investments	$	120,249,697		$	2,919,530	$	(26,854,382	)	$	1,288,522	$	(16,271,700	)	$	14,938,524		$	19,618,692		$	—	$	115,888,883		$	1,937,717
Derivatives
Swap Contracts		(8,456,355	)	$	—	$	8,078,587		$	—	$	(8,078,587	)	$	7,536,248		$	(2,395,148	)‡	$	—	$	(3,315,255	)	$	(3,315,255	)
Total	$	111,793,342		$	2,919,530	$	(18,775,795	)	$	1,288,522	$	(24,350,287	)	$	22,474,772		$	17,223,544		$	—	$	112,573,628		$	(1,377,538	)

† 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.

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Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

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 August 31, 2016 were as follows:

Fund Name	Level 3 securities and derivatives
Alpha Only Fund		< 1%
Benchmark-Free Allocation Fund		1%
Benchmark-Free Fund		< 1%
Global Asset Allocation Fund		< 1%
Global Developed Equity Allocation Fund		< 1%
Global Equity Allocation Fund		< 1%
Consolidated Implementation Fund		1%
International Developed Equity Allocation Fund		< 1%
International Equity Allocation Fund		< 1%
Consolidated SGM Major Markets Fund		—
Consolidated Special Opportunities Fund		0%	*
Strategic Opportunities Allocation Fund		1%

* Represents the interest in securities that were determined to have a value of zero at August 31, 2016.

Cash

Cash and foreign currency, if any, on the Statements of Assets and Liabilities consist of cash balances held with the custodian.

Due to/from broker

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

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

Loan assignments and participations

Certain Funds may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of goods or services, or to other parties by corporate, governmental or other borrower. Such “loans” may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other receivables. 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. Unless, under the terms of the loan or other indebtedness a Fund has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. 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. 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 brokers. 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.

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August 31, 2016 (Unaudited)

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 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. As of August 31, 2016, the Funds listed below had entered into repurchase agreements. The value of related collateral for each broker listed below exceeds the value of the repurchase agreements at period end.

Fund Name	Counterparty	Gross Value		Weighted Average Maturity (days)
Benchmark-Free Fund	Daiwa Capital Markets America Inc.	$	311,457,082		4.0
	Mizuho Securities USA Inc.	$	53,377,045		0.3
Implementation Fund	Barclays Bank plc	$	49,483,675		0.2
	Daiwa Capital Markets America Inc.	$	534,585,506		2.6
	Mizuho Securities USA Inc.	$	52,525,869		0.3
	Nomura Securities International Inc.	$	808,230,700		3.5

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 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 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. 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 on the Statements of Assets and Liabilities. 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.

Municipal obligations

Municipal obligations are issued by or on behalf of states, territories and possessions of the United States and their political subdivisions, agencies and instrumentalities and the District of Columbia to obtain funds for various public purposes. Municipal notes are generally used to provide for short-term capital needs, such as to finance working capital needs of municipalities or to provide various interim or construction financing, and generally have maturities of one year or less. Municipal bonds, which meet longer-term capital needs and generally have maturities of more than one year when issued, have two principal classifications: “general obligation” bonds and “revenue” bonds. Issuers of general obligation bonds include states, counties, cities, towns and regional districts. The basic security behind general obligation bonds is the issuer’s pledge of its full faith, credit, and taxing power for the payment of principal and interest. Revenue bonds have been issued to fund a wide variety of capital projects. The principal security for a revenue bond is generally the net revenues derived from a particular facility or group of facilities or, in some

112

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August 31, 2016 (Unaudited)

cases, from the proceeds of a special excise or other specific revenue source. Although the principal security behind these bonds varies widely, many provide additional security in the form of a debt service reserve fund whose monies also may be used to make principal and interest payments on the issuer’s obligations. Municipal obligations 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.

Taxes and distributions

Each Fund has elected to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

Alternative Asset SPC Ltd., Implementation SPC Ltd. and Special Opportunities SPC Ltd. are wholly-owned subsidiaries of SGM Major Markets Fund, Implementation Fund and Special Opportunities Fund, respectively, and each has elected to be treated as a (non-U.S.) corporation for U.S. federal income tax purposes.

The policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically all distributions are reinvested in additional shares of each Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to each Fund’s investments in certain jurisdictions may be higher if a significant portion of each Fund is held by non-U.S. shareholders and/or if certain investments are made by a Fund’s wholly-owned subsidiary. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2016, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.

Certain Funds have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by member states of the European Union. Generally, the amount of such refunds that a Fund reasonably determines are collectible and free from significant contingencies are reflected in a Fund’s net asset value and are reflected as Dividends from unaffiliated issuers in the Statements of Operations. In certain circumstances, a Fund’s receipt of such refunds may cause the Fund and/or its shareholders to be liable for U.S. federal income taxes and interest charges.

Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

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

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

113

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

As of February 29, 2016, certain Funds elected to defer to March 1, 2016 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)		Post-October Capital Losses ($)
Alpha Only Fund		—		(5,583,465)
Benchmark-Free Allocation Fund		(18,060,383)		—
Benchmark-Free Fund		—		(40,448,431)
Global Asset Allocation Fund		—		(1,334,508)
Global Developed Equity Allocation Fund		(4,048)		—
Global Equity Allocation Fund		(7,229)		—
Consolidated Implementation Fund		—		—
International Developed Equity Allocation Fund		(3,137)		(1,325,510)
International Equity Allocation Fund		(3,272)		(1,572,445)
Consolidated SGM Major Markets Fund		(872,657)		—
Consolidated Special Opportunities Fund		—		—
Strategic Opportunities Allocation Fund		—		—

As of February 29, 2016, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 29, 2016, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

	Short-Term ($)								Long- Term ($)
Fund Name	Expiration Date 2/28/2018		Expiration Date 2/28/2019		No Expiration Date		Total Short-Term ($)		No Expiration Date
Alpha Only Fund		—		—		(193,610,242)		(193,610,242)		(143,925,711)
Benchmark-Free Allocation Fund		(21,918,689)		(7,441,107)		—		(29,359,796)		(242,271,587)
Benchmark-Free Fund		—		—		(41,936,095)		(41,936,095)		(485,906,560)
Global Asset Allocation Fund		—		—		—		—		(14,387,794)
Global Developed Equity Allocation Fund		—		—		—		—		—
Global Equity Allocation Fund		—		—		—		—		—
Consolidated Implementation Fund		—		—		(735,371,982)		(735,371,982)		(238,752,914)
International Developed Equity Allocation Fund		(14,472,130)		(22,515,333)		—		(36,987,463)		—
International Equity Allocation Fund		—		—		—		—		(5,428,940)
Consolidated SGM Major Markets Fund		—		—		—		—		—
Consolidated Special Opportunities Fund		—		—		—		—		—
Strategic Opportunities Allocation Fund		—		—		—		—		—

114

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

As of August 31, 2016, 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		257,362,389		17,939,771		(7,476,743)		10,463,028
Benchmark-Free Allocation Fund		15,356,808,548		282,699,834		(550,855,638)		(268,155,804	)
Benchmark-Free Fund		4,496,104,552		167,273,815		(71,970,064)		95,303,751
Global Asset Allocation Fund		2,982,763,192		20,649,443		(264,047,247)		(243,397,804	)
Global Developed Equity Allocation Fund		1,291,413,822		2,097,870		(143,797,532)		(141,699,662	)
Global Equity Allocation Fund		3,255,206,219		4,634,753		(400,790,643)		(396,155,890	)
Consolidated Implementation Fund		12,511,216,169		473,861,348		(462,826,807)		11,034,541
International Developed Equity Allocation Fund		1,150,604,822		—		(198,172,863)		(198,172,863	)
International Equity Allocation Fund		1,397,737,767		—		(211,284,554)		(211,284,554	)
Consolidated SGM Major Markets Fund		1,258,582,314		9,113,577		(23,257)		9,090,320
Consolidated Special Opportunities Fund		1,020,386,182		75,460,476		(31,173,682)		44,286,794
Strategic Opportunities Allocation Fund		2,131,839,550		13,054,830		(105,690,712)		(92,635,882	)

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

Security transactions and related investment income

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

Expenses and class allocations

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

115

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent for all Funds except Alpha Only Fund. For Alpha Only Fund, Brown Brothers Harriman & Co. (“BBH”) serves as the custodian and fund accounting agent and State Street serves as the transfer agent. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations. Prior to December 31, 2012, State Street’s custodian fees may have been reduced by an earnings allowance calculated on the average daily cash balance each Fund maintained in a State Street custodial account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2013, any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

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

Each of the Funds may charge purchase premiums and redemption fees. Purchase premiums and redemption fees for the Funds are typically reassessed periodically by GMO.

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

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

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

GMO may consider known cash flows out of or into underlying funds when placing orders for the cash purchase or redemption of underlying fund shares by accounts over which it has investment discretion, including the Funds and other pooled investment vehicles. Consequently, participants in those accounts will tend to benefit more from waivers of the underlying funds’ purchase premiums and redemption fees than other underlying fund shareholders.

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As of August 31, 2016, the premium on cash purchases and the fee on cash redemptions were as follows:

	Alpha Only Fund	Benchmark-Free Allocation Fund(a)	Benchmark-Free Fund(b)	Global Asset Allocation Fund(c)	Global Developed Equity Allocation Fund(d)	Global Equity Allocation Fund(e)	Implementation Fund(f)	International Developed Equity Allocation Fund(g)	International Equity Allocation Fund(h)	SGM Major Markets Fund	Special Opportunities Fund	Strategic Opportunities Allocation Fund(i)
Purchase Premium	—	0.20%	0.25%	0.15%	0.08%	0.18%	0.20%	0.08%	0.25%	—	0.50%	0.20%
Redemption Fee	—	0.20%	0.25%	0.15%	0.08%	0.18%	0.20%	0.08%	0.25%	—	0.50%	0.20%

^(a) For the periods from June 30, 2015 to June 30, 2016, June 30, 2014 to June 30, 2015 and June 30, 2013 to June 30, 2014, the premium on cash purchases and the fee on cash redemptions were each 0.18 %, 0.13% and 0.11%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.12% of the amount invested or redeemed.

^(b) For the periods from June 30, 2015 to June 30, 2016, June 30, 2014 to June 30, 2015 and June 30, 2013 to June 30, 2014, the premium on cash purchases and the fee on cash redemptions were each 0.18%, 0.13% and 0.14%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.13% of the amount invested or redeemed.

^(c) For the period from June 30, 2015 to June 30, 2016 and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.014% and 0.11%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.10% of the amount invested or redeemed.

^(d) Prior to March 10, 2014, there was no premium on cash purchases or fee on cash redemptions.

^(e) For the period from June 30, 2015 to June 30, 2016, and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.19% and 0.11%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.12% of the amount invested or redeemed.

^(f) Prior to June 30, 2015, there was no premium on cash purchases or fee on cash redemptions.

^(g) Prior to March 10, 2014, there was no premium on cash purchases or fees on cash redemptions.

^(h) For the period from June 30, 2015 to June 30, 2016 and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.27% and 0.20%, respectively, of the amount invested or redeemed. Prior to June 20, 2013, the same fees were each 0.21% of the amount invested or redeemed.

⁽ⁱ⁾ For the period from June 30, 2015 to June 30, 2016 and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.014% and 0.06% of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.07% of the amount invested or redeemed.

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3. Investment and other risks

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

Alpha Only Fund

Benchmark-Free Allocation Fund

Benchmark-Free Fund

Global Asset Allocation Fund

Global Developed Equity Allocation Fund

Global Equity Allocation Fund

Implementation Fund

International Developed Equity Allocation Fund

International Equity Allocation Fund

SGM Major Markets Fund

Special Opportunities Fund

Strategic Opportunities Allocation Fund

Commodities Risk

X

X

X

X

X

X

X

Counterparty Risk

X

X

X

X

X

X

X

X

X

X

X

X

Credit Risk

X

X

X

X

X

X

X

X

X

X

X

X

Currency Risk

X

X

X

X

X

X

X

X

X

X

X

X

Derivatives and Short Sales Risk

X

X

X

X

X

X

X

X

X

X

X

X

Focused Investment Risk

X

X

X

X

X

X

X

X

X

X

X

X

Fund of Funds Risk

X

X

X

X

X

X

X

X

X

X

X

X

Futures Contracts Risk

X

X

X

X

X

Illiquidity Risk

X

X

X

X

X

X

X

X

X

X

X

X

Large Shareholder Risk

X

X

X

X

X

X

X

X

X

X

X

X

Leveraging Risk

X

X

X

X

X

X

X

X

X

X

X

X

Management and Operational Risk

X

X

X

X

X

X

X

X

X

X

X

X

Market Disruption and Geopolitical Risk

X

X

X

X

X

X

X

X

X

X

X

X

Market Risk – Asset-Backed Securities

X

X

X

X

X

X

X

Market Risk – Equities

X

X

X

X

X

X

X

X

X

X

X

X

Market Risk – Fixed Income Investments

X

X

X

X

X

X

X

X

X

X

X

X

Merger Arbitrage Risk

X

X

X

X

X

X

Non-Diversified Funds

X

X

X

X

X

X

X

X

X

X

X

X

Non-U.S. Investment Risk

X

X

X

X

X

X

X

X

X

X

X

X

Small Company Risk

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 other GMO funds, other investment companies or in a wholly-owned subsidiary (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed as well as the risk that the 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 Underlying Funds.

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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.

• 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 and Short Sales Risk” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.

• 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. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws or other requirements. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (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 during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have terms 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. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean a Fund’s existing transactions with that counterparty will necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty if the transaction is primarily designed to reduce the Fund’s overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lower notional amount or entering into a countervailing trade with the same counterparty).

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 will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk,” 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. 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. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, with respect to counterparties who are subject to such proceedings in the European Union, the liabilities of such counterparties to the Funds could be reduced, eliminated, or converted to equity in such counterparties (sometimes referred to as a “bail in”).

• 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 in anticipation of such failure, or the downgrade of the credit rating of the investment. This risk is particularly acute in

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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, a government or government entity, 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 term 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 or quasi-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 ability and willingness 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.

Securities issued by the U.S. government historically have presented minimal credit risk. However, events in 2011 led to a downgrade in the long-term credit rating of U.S. bonds by several major rating agencies and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the value of a Fund’s investments and increase the volatility of a Fund’s portfolio.

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

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 and Short Sales Risk” 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 many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or a change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.

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 or other low quality debt securities generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. 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 assessment of the eventual recovery value of a distressed or defaulted debt security proves incorrect, a Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.

• 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 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 currency in which the Fund is denominated. 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 on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk.”

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

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 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”).

• DERIVATIVES AND SHORT SALES 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 their value may not change 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 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 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 cost 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 fundamental fair (or 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 a greater risk of not being able to recover what it is owed if the counterparty defaults. Even when derivatives are required by contract to be collateralized, a Fund typically will not receive the collateral for one or more days after the collateral is required to be posted.

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”) and counterparty risk (see “Counterparty Risk”). These derivatives are also subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. In addition, see “Commodities Risk” for a discussion of risks specific to commodity-related derivatives. Because many derivatives have a leverage component

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(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.”

A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives may be unclear because there is little case or other law interpreting the terms of most derivatives or determining their tax treatment. In addition, the Securities and Exchange Commission recently proposed a rule under the 1940 Act regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.

Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) are implementing similar requirements, which will affect a Fund when it enters into a derivatives transaction with a counterparty organized in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear.

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, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in margin requirements above those required at the outset 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 margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk”). 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. Also, such documentation typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks may be 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), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components 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.

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The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. GMO expects that the Funds’ transactions will become subject to variation margin requirements under such rules in 2017 and initial margin requirements under such rules in 2020. Such requirements could increase the amount of margin a Fund needs to provide in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.

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 or otherwise limiting liquidity. The implementation of the clearing requirement has increased the costs of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they have historically posted for bilateral derivatives. The costs of derivatives transactions are expected to increase further as clearing members raise their fees to cover the costs of additional capital requirements and other regulatory changes applicable to the clearing members, which will take effect when rules imposing mandatory minimum margin requirements on bilateral swaps, as described above, become effective. 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 an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. 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 before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk 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 will likely constitute such a group. When applicable, these limits 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 taxes payable by shareholders. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to consist of amounts taxable to shareholders subject to U.S. income tax at ordinary income tax rates.

Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own also may have to pay borrowing fees to a broker and may be required to pay the broker any dividends or interest it receives on a borrowed security.

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.

• FOCUSED INVESTMENT RISK. Funds with investments that are focused in particular countries, regions, sectors, industries or issuers that are subject to the same or similar risk factors and funds with investments whose prices are closely correlated are subject to greater overall risk than funds with investments that are more diversified or whose prices are not as closely correlated.

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A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of particular securities than Funds investing in the securities of a larger number of issuers. 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 (or related) to a particular geographic region, country (e.g., Taiwan or Japan), or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) 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 the value of the currency of 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”.

• FUND OF FUNDS RISK. Funds that invest in Underlying Funds (including underlying GMO Funds) are exposed to the risk that the Underlying Funds will not perform as expected. The Funds are also indirectly exposed to all of the risks to which the Underlying Funds are exposed.

Because a Fund bears the fees and expenses of an Underlying Fund in which it invests, absent reimbursement, the Fund will incur additional expenses when investing in an Underlying Fund. 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. Because some underlying GMO 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 and therefore may be subject to greater fund of funds risk. In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk because those underlying GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”

Investments in ETFs involve the risk that an 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 in “Derivatives and Short Sales Risk.”

A Fund’s investments in one or more Underlying Funds could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.

• FUTURES CONTRACTS RISK. The risk of loss to a Fund resulting from its use of futures contracts is potentially unlimited. Futures markets are highly volatile and the use of futures contracts may increase the volatility of the Fund’s net asset value. A Fund’s ability to establish and close out positions in futures contracts is subject to the development and maintenance of a liquid secondary market. A liquid secondary market may not exist for any particular futures contract at any particular time and a Fund might be unable to effect closing transactions to terminate its exposure to the contract. In using futures contracts, a Fund is reliant on GMO’s ability to predict market and price movements correctly. The skills needed to use futures contracts successfully are different from those needed for traditional portfolio management. If a Fund uses futures contracts for hedging purposes, it runs the risk of imperfect correlation between changes in the prices of the contracts and changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund’s investments that are the subject of the hedge.

A Fund typically will be required to post margin with its futures commission merchant in connection with its transactions in futures contracts. If the Fund has insufficient cash to meet margin requirements, the Fund may need to sell other investments at disadvantageous times. A Fund may be delayed or prevented from recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. For example, in the event of an insolvency of the futures commission merchant, a Fund may not be able to recover all (or any) of the margin it has posted with the futures commission merchant or realize the value of any increase in the price of its positions.

The Commodity Futures Trading Commission (the “CFTC”) and the various exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short positions that any person and certain affiliated entities may hold or control in a particular futures contract. In addition an exchange may impose trading limits on the number of contracts that any person may trade on a particular day. An exchange may order the liquidation of positions found to be in violation of these limits, and it may impose sanctions or restrictions. In addition, the Dodd-Frank Wall Street Reform and Consumer Protection Act requires the CFTC to establish speculative position limits on listed futures and economically equivalent OTC derivatives which may adversely affect the market liquidity of the futures contracts, options and economically equivalent derivatives in which a Fund invests. As a result of such limits, positions held by other GMO clients or by GMO or its affiliates may prevent GMO from taking positions on behalf of a Fund in a particular futures contract or OTC derivative.

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Futures contracts traded on markets outside the United States generally are not subject to regulation by the CFTC or other U.S. regulators. U.S. regulators neither regulate the activities of a foreign exchange, nor have the power to compel enforcement of the rules of the foreign exchange or the laws of the country in which the exchange is located. Margin and other payments made by a Fund in foreign countries may not have the same protections as payments in the United States. In addition, foreign futures contracts may be less liquid and more volatile than U.S. contracts.

• 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, defaulted or other low quality debt securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float adjusted 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 price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”) have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, 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.

A Fund may buy securities that are less liquid than those in its benchmark.

A Fund’s, and particularly Risk Premium Fund’s, ability to use options as part of its investment program depends on the liquidity of the options market. In addition, that market may not be liquid when a 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 a 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 a Fund receives a redemption request and is unable to close out an option it has sold, the Fund may temporarily be leveraged in relation to its assets.

• LARGE SHAREHOLDER RISK. To the extent 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, potentially at disadvantageous prices, 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. The 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 Fund shareholders. Additionally, redemptions by a large shareholder 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, to the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this 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.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO 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 many Funds, GMO often uses quantitative models as part of its investment process. GMO’s models are not necessarily predictive of future market events and use simplifying assumptions that can limit their effectiveness. In addition, the data on which the models are based is subject to

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limitations (e.g. inaccuracies, staleness) that could adversely affect a Fund’s performance. The Funds also run the risk that GMO’s assessment of an investment (including a company’s fundamental fair (or intrinsic) value) may be wrong.

GMO relies heavily on quantitative models in making investment decisions for GMO SGM Major Markets Fund. The usefulness of GMO’s models may be diminished by the faulty incorporation of mathematical models into computer code, by reliance on proprietary and third-party technology that may include errors, omissions, bugs or viruses, and by the retrieval of limited or imperfect data for processing by the model. These risks are present in the ordinary course of business and are more likely to occur when GMO is making changes to its models. Any of these aspects could adversely affect a Fund’s performance.

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 could prevent a Fund from benefiting from potential investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value (“NAV”) for a Fund or share class on a timely basis. 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 contractual limitations on their liability to the Funds for losses resulting from their errors.

The Funds and their service providers (including GMO) are susceptible to cyber-attacks and technological malfunctions that may have effects that are similar to those of a cyber-attack. 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 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 or misappropriation 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, such plans and systems are subject to inherent limitations. 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.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) will disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or other economic inputs (e.g., the marked decline in oil prices that began in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries, which could significantly reduce the value of a 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 manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trading practices, which could disrupt the orderly functioning of markets or reduce the value of investments traded in them, including investments of the Funds. Instances of fraud and other deceptive practices committed by senior management of certain companies in which a Fund invests may undermine GMO’s due diligence efforts with respect to such companies, and if such fraud is discovered, negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively impact a Fund’s investment program. Financial fraud also may impact the rates or indices underlying a Fund’s investments.

While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce 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 adversely 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. Uncertainty surrounding the sovereign debt of several European Union countries, as well as the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or leaves the European Union or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could adversely 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,

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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 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.

• 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:

Asset-Backed Securities — Investments in asset-backed securities not only are subject to all of the market risks described under “Market Risk – Fixed Income Investments,” but to other market risks as well.

Asset-backed securities are often exposed to greater risk of severe credit downgrades, illiquidity, and defaults 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, sovereign or quasi-sovereign bonds, bank loans to corporations, or a combination of bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees payable to service providers.

As described under “Market Risk — Fixed Income Investments,” the market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a variety 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 factors 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” 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 documentation for underlying assets also may affect the rights of holders of those 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 interest will be paid because the insurer could default on its 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” for more

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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.

Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the company’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from 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 their market prices can decline in a rapid or unpredictable manner. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as determined by GMO, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment of the equity’s fundamental fair (or intrinsic) value. 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.

To the extent a Fund invests in GMO Risk Premium Fund (“Risk Premium Fund”), the Fund is exposed to Risk Premium Fund’s market risk with respect to equities. Because of Risk Premium Fund’s emphasis on selling put options on stock indices, GMO expects its net asset value 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 relative to those indices when those markets rise sharply because of 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 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 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 below investment grade securities 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 price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” 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. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.

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, are subject to additional interest rate risk.

The market price of inflation-indexed bonds (including TIPS) typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases 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.

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.

Fixed income securities denominated in foreign currencies also are subject to currency risk. See “Currency Risk”.

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In response to government intervention, economic or market developments, or other factors, fixed income markets may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling 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.

• MERGER ARBITRAGE RISK. Some Funds may engage in transactions in which a Fund purchases securities at prices below the value of the consideration GMO expects to be paid for them upon consummation of a proposed merger, exchange offer, tender offer, or other similar transaction (“merger arbitrage transactions”). The purchase price paid by the Fund may substantially exceed the market price of the securities before the announcement of the transaction.

If a Fund engages in a merger arbitrage transaction and that transaction later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market prices of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric, as the losses in failed transactions often far exceed the gains in successful transactions. A merger arbitrage transaction can fail for many reasons, 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. When merger activity is low, GMO may be unable to identify enough opportunities to provide sufficient diversification.

Merger arbitrage strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust long or short investment exposure in connection with a merger arbitrage transaction may not perform as GMO expected or may otherwise reduce the Fund’s gains or increase its losses. Also, a Fund may be unable to hedge against market fluctuations or other risks. In addition, a Fund that sells securities short that GMO expects it to receive upon consummation of a transaction but it does not actually receive (and thus has an unintended “naked” short position) may be required to cover its short position at a time when the securities sold short have appreciated in value, thus resulting in a loss.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers. 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

• SGM Major Markets Fund

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Non-U.S. securities markets often include securities of only a small 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 as much regulation as U.S. issuers, and 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 may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek 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 seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if eligible. The outcome of a Fund’s efforts to obtain a refund may be unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until the Fund determines there is a high likelihood the refund will be received. For information on possible special Australian tax consequences of an investment in the Funds, see the Funds’ Prospectus and Statement of Additional Information for more information.

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Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, other government involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises), 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. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities 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 affect the market value of a Fund’s non-U.S. investments (see “Currency Risk”).

The Funds need a license to invest directly in many non-U.S. securities 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 to invest in a particular market is terminated or suspended, to obtain exposure to that 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 a GMO client 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 or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises); 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 enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may be predominantly based on only a few industries or dependent on revenues from particular commodities.

• SMALL COMPANY RISK. Companies with smaller market capitalizations may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, may have inexperienced managers or may depend on a smaller group of key employees as compared to larger companies. 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.

Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in attempting to respond to adverse market, economic, political, or other conditions. The Funds (other than Benchmark-Free Allocation Fund, Benchmark-Free Fund, Implementation Fund and SGM Major Markets Fund) normally do not take temporary defensive positions. Benchmark-Free Allocation Fund, Benchmark-Free Fund, Implementation Fund and SGM Major Markets Fund may 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.

4. Derivative financial instruments

At August 31, 2016, only Alpha Only Fund, Implementation Fund, SGM Major Markets Fund and Special Opportunities 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, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund and Special Opportunities Fund (or their wholly-owned subsidiary).

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices that are used to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates,

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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 GMO 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. In addition, Special Opportunities Fund may use derivatives to gain investment exposure to commodities, including the use of exchange-traded futures and foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets.

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 (and in the case of Special Opportunities Fund, commodities) 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 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 currencies in which its 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 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

Use of Derivatives by Benchmark-Free Fund and Implementation Fund

The Funds may use derivatives to gain long investment exposure to securities, commodities 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 exchange-traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets and 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 such as futures, related options, and swap contracts, in an attempt to reduce its 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. Implementation Fund uses exchange-traded futures and forward contracts as an integral part of its investment program.

The Funds may use derivatives in an attempt to adjust elements of their 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 a 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 those stocks) 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 adjusting investment exposures, each Fund also may use currency derivatives, seeking

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currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio. Each Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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

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 may have gross investment exposures in excess of their net assets (i.e., the Funds may be leveraged) and therefore are subject to heightened risk of loss. Each 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 SGM Major Markets 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 as well as making other investments.

The Fund may use derivatives to gain long and/or short 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 adjust its investment exposures. 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, the Fund 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 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.

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For Funds that held derivatives during the period ended August 31, 2016, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Alpha Only Fund		Benchmark-Free Fund		Consolidated Implementation Fund•		Consolidated Special Opportunities Fund‡		Consolidated SGM Major Markets Fund¤
Forward currency contracts
Adjust currency exchange rate risk										X
Adjust exposure to foreign currencies		X		X		X		X		X
Manage against anticipated currency exchange rate changes						X
Futures contracts
Adjust exposure to certain securities markets				X		X				X
Substitute for direct investment								X		X
Adjust interest rate exposure										X
Maintain the diversity and liquidity of the portfolio				X		X				X
Hedge some or all of the broad market exposure of the underlying funds and/or assets in which the Fund invests		X
Adjust interest rate exposure						X
Options (Purchased)
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)
Substitute for direct equity investment						X		X
Adjust currency exchange rate risk						X
Adjust exposure to foreign currencies						X
Adjust interest rate exposure						X
Swap contracts
Adjust interest rate exposure						X
Adjust exposure to foreign currencies						X
Substitute for direct investment in securities				X		X
Achieve exposure to a reference entity’s credit						X		X
Rights and/or warrants
Received as a result of corporate actions		X		X		X		X

• Certain derivatives are held by Implementation Fund’s wholly-owned subsidiary.

‡ Certain derivatives are held by Special Opportunities Fund’s wholly-owned subsidiary.

¤ Certain derivatives are held by SGM Major Markets Fund’s wholly-owned subsidiary.

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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 settled.

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 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 value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. 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, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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

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

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For the period ended August 31, 2016, 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 Implementation Fund
Outstanding, beginning of period		66,117,704			4,296		$	3,619,425			2,530,576,425			7,337		$	97,090,157
Options written		—			15,716			2,347,377			364,398,000			40,683			20,867,901
Options bought back		(33,061,000	)		(15,716	)		(4,465,703	)		(2,894,979,000	)		(2,092	)		(111,555,943	)
Options expired		(33,056,704	)		(4,296	)		(1,501,099	)		4,575			(44,091	)		(4,828,466	)
Options exercised		—			—			—			—			—			—
Outstanding, end of period		—			—		$	—			—			1,837		$	1,573,649
Consolidated Special Opportunities Fund
Outstanding, beginning of period		—			430		$	419,205			—			—		$	—
Options written		—			3,770			4,199,620			—			—			—
Options bought back		—			—			—			—			—			—
Options expired		—			(430	)		(419,205	)		—			—			—
Options exercised		—			—			—			—			—			—
Outstanding, end of period		—			3,770		$	4,199,620			—			—		$	—

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 (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 industry models and inputs provided by primary pricing sources.

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation 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 in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or 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.

Inflation swaps involve the exchange of a floating rate linked to an index for a fixed rate interest payment with respect to a notional amount or principal.

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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.

Correlation swaps involve receiving a stream of payments based on the actual average correlation between or among the price movements of two or more underlying variables over a period of time, in exchange for making a regular stream of payments based on a fixed “strike” correlation level (or vice versa), where both payment streams are based on a notional amount. The underlying variables may include, without limitation, commodity prices, exchange rates, interest rates and stock indices.

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. A 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 a 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. The 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 the Fund took a long position on a future swap, the Fund would receive payments if the relevant index increased in value and would be obligated to pay if that index decreased in value.

Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon 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.

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Rights and warrants

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

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

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2016 and the Statements of Operations for the period ended August 31, 2016^:

The risks referenced in the tables below 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.

	Credit Contracts		Commodity Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Alpha Only Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—	$	—	$	(9,734,620	)	$	—		$	—	$	—	$	(9,734,620	)
Total	$	—	$	—	$	(9,734,620	)	$	—		$	—	$	—	$	(9,734,620	)
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	(9,734,620	)	$	—		$	—	$	—	$	(9,734,620	)
Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	—	$	(13,095	)	$	—		$	—	$	—	$	(13,095	)
Forward Currency Contracts		—		—		—			(108,902	)		—		—		(108,902	)
Futures Contracts		—		—		(24,582,661	)		—			—		—		(24,582,661	)
Total	$	—	$	—	$	(24,595,756	)	$	(108,902	)	$	—	$	—	$	(24,704,658	)
Change in Net Unrealized Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	—	$	24		$	—		$	—	$	—	$	24
Forward Currency Contracts		—		—		—			108,542			—		—		108,542
Futures Contracts		—		—		(9,272,630	)		—			—		—		(9,272,630	)
Total	$	—	$	—	$	(9,272,606	)	$	108,542		$	—	$	—	$	(9,164,064	)
Benchmark-Free Fund
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—	$	—		$	5,191,325		$	—	$	—	$	5,191,325
Futures Contracts		—		—		6,495,210			—			—		—		6,495,210
Swap Contracts		—		—		299,633			—			—		—		299,633
Total	$	—	$	—	$	6,794,843		$	5,191,325		$	—	$	—	$	11,986,168
Change in Net Unrealized Appreciation (Depreciation) on
Forward Currency Contracts	$	—	$	—	$	—		$	(7,251,480	)	$	—	$	—	$	(7,251,480	)
Futures Contracts		—		—		(197,030	)		—			—		—		(197,030	)
Swap Contracts		—		—		19,340			—			—		—		19,340
Total	$	—	$	—	$	(177,690	)	$	(7,251,480	)	$	—	$	—	$	(7,429,170	)

137

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August 31, 2016 (Unaudited)

	Credit Contracts			Commodity Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Consolidated Implementation Fund
Asset Derivatives
Investments, at value (purchased options)	$	—		$	—	$	7,738,025		$	1,167,660		$	910,441		$	—	$	9,816,126
Investments, at value (rights and/or warrants)		—			—		683,940			—			—			—		683,940
Unrealized Appreciation on Forward Currency Contracts		—			—		—			15,222,756			—			—		15,222,756
Unrealized Appreciation on Swap Contracts¤		5,863,187			—		86,681			—			112,021,101			—		117,970,969
Total	$	5,863,187		$	—	$	8,508,646		$	16,390,416		$	112,931,542		$	—	$	143,693,791
Derivatives not subject to Master Agreements	$	—		$	—	$	683,940		$	—		$	—		$	—	$	683,940
Total subject to Master Agreements	$	5,863,187		$	—	$	7,824,706		$	16,390,416		$	112,931,542		$	—	$	143,009,851
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	—		$	(12,816,894	)	$	—		$	—	$	(12,816,894	)
Unrealized Depreciation on Swap Contracts¤		(167,575	)		—		—			—			(89,137,952	)		—		(89,305,527	)
Written Options, at value		—			—		(1,460,415	)		—			—			—		(1,460,415	)
Total	$	(167,575	)	$	—	$	(1,460,415	)	$	(12,816,894	)	$	(89,137,952	)	$	—	$	(103,582,836	)
Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	(167,575	)	$	—	$	(1,460,415	)	$	(12,816,894	)	$	(89,137,952	)	$	—	$	(103,582,836	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—	$	(23,983,376	)	$	(43,281,107	)	$	(106,148,647	)	$	—	$	(173,413,130	)
Investments (rights and/or warrants)		—			—		218,218			—			—			—		218,218
Forward Currency Contracts		—			—		—			6,197,144			—			—		6,197,144
Futures Contracts		—			—		—			—			(847,692	)		—		(847,692	)
Written Options		—			—		5,701,316			3,433,332			(31,674,503	)		—		(22,539,855	)
Swap Contracts		1,668,786			—		(586,045	)		—			86,308,057			—		87,390,798
Total	$	1,668,786		$	—	$	(18,649,887	)	$	(33,650,631	)	$	(52,362,785	)	$	—	$	(102,994,517	)
Change in Net Unrealized Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—	$	12,135,534		$	37,573,153		$	83,737,810		$	—	$	133,446,497
Investments (rights and/or warrants)		—			—		(227,980	)		—			—			—		(227,980	)
Forward Currency Contracts		—			—		—			(12,065,988	)		—			—		(12,065,988	)
Futures Contracts		—			—		—			—			(4,701	)		—		(4,701	)
Written Options		—			—		(216,823	)		(4,178,872	)		39,235,302			—		34,839,607
Swap Contracts		(11,710,834	)		—		7,109,211			—			(86,937,277	)		—		(91,538,900	)
Total	$	(11,710,834	)	$	—	$	18,799,942		$	21,328,293		$	36,031,134		$	—	$	64,448,535
Consolidated SGM Major Markets Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—	$	—		$	12,008,864		$	—		$	—	$	12,008,864
Unrealized Appreciation on Futures Contracts¤		—			7,855,745		41,000,052			—			1,471,807			—		50,327,604
Total	$	—		$	7,855,745	$	41,000,052		$	12,008,864		$	1,471,807		$	—	$	62,336,468
Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—		$	7,855,745	$	41,000,052		$	12,008,864		$	1,471,807		$	—	$	62,336,468

138

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August 31, 2016 (Unaudited)

	Credit Contracts		Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Consolidated SGM Major Markets Fund (continued)
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	—		$	(2,769,108	)	$	—		$	—	$	(2,769,108	)
Unrealized Depreciation on Futures Contracts¤		—		(11,104,522	)		(3,922,677	)		—			(962,971	)		—		(15,990,170	)
Total	$	—	$	(11,104,522	)	$	(3,922,677	)	$	(2,769,108	)	$	(962,971	)	$	—	$	(18,759,278	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	(11,104,522	)	$	(3,922,677	)	$	(2,769,108	)	$	(962,971	)	$	—	$	(18,759,278	)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—		$	—		$	49,400,434		$	—		$	—	$	49,400,434
Futures Contracts		—		2,619,210			5,897,391			—			1,523,969			—		10,040,570
Total	$	—	$	2,619,210		$	5,897,391		$	49,400,434		$	1,523,969		$	—	$	59,441,004
Change in Net Unrealized Appreciation (Depreciation) on
Forward Currency Contracts	$	—	$	—		$	—		$	(5,987,145	)	$	—		$	—	$	(5,987,145	)
Futures Contracts		—		(2,405,588	)		25,387,904			—			12,518,078			—		35,500,394
Total	$	—	$	(2,405,588	)	$	25,387,904		$	(5,987,145	)	$	12,518,078		$	—	$	29,513,249
Consolidated Special Opportunities Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	—		$	334,458		$	—		$	—	$	334,458
Total	$	—	$	—		$	—		$	334,458		$	—		$	—	$	334,458
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—		$	—		$	334,458		$	—		$	—	$	334,458
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	—		$	(232,797	)	$	—		$	—	$	(232,797	)
Unrealized Depreciation on Futures Contracts¤		—		(2,755,189	)		—			—			—			—		(2,755,189	)
Written Options, at value		—		—			(1,356,740	)		—			—			—		(1,356,740	)
Total	$	—	$	(2,755,189	)	$	(1,356,740	)	$	(232,797	)	$	—		$	—	$	(4,344,726	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	(2,755,189	)	$	(1,356,740	)	$	(232,797	)	$	—		$	—	$	(4,344,726	)
Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	—		$	(1,909,116	)	$	—		$	—		$	—	$	(1,909,116	)
Forward Currency Contracts		—		—			—			(3,257,215	)		—			—		(3,257,215	)
Written Options		—		—			419,205			—			—			—		419,205
Swap Contracts		135,530		—			—			—			—			—		135,530
Total	$	135,530	$	—		$	(1,489,911	)	$	(3,257,215	)	$	—		$	—	$	(4,611,596	)

139

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Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

	Credit Contracts			Commodity Contracts			Equity Contracts		Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Consolidated Special Opportunities Fund (continued)
Change in Net Unrealized Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—		$	—		$	2,076,605	$	—	$	—	$	—	$	2,076,605
Forward Currency Contracts		—			—			—		908,681		—		—		908,681
Futures Contracts		—			(1,475,238	)		—		—		—		—		(1,475,238	)
Written Options		—			—			2,462,375		—		—		—		2,462,375
Swap Contracts		(899,007	)		—			—		—		—		—		(899,007	)
Total	$	(899,007	)	$	(1,475,238	)	$	4,538,980	$	908,681	$	—	$	—	$	3,073,416

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

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

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because the Funds do not presently have a legally enforceable right of set-off, these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be made by a Fund in such an event is represented by the unrealized amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.

For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2016, if any.

140

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August 31, 2016 (Unaudited)

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2016:

Consolidated Implementation Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	3,894,159	$	(3,378,286	)	$	(63,855	)	$	452,018
Barclays Bank plc		799,940		—			(519,080	)		280,860
Credit Suisse International		154,872		(154,872	)		—			—	*
Goldman Sachs International		29,177,313		(13,388,969	)		(15,127,196	)		661,148
JPMorgan Chase Bank, N.A.		2,113,211		(79,745	)		(2,033,466	)		—	*
Morgan Stanley & Co. International PLC		4,019,244		—			(1,508,405	)		2,510,839
Morgan Stanley & Co. LLC		4,519,925		—			—			4,519,925
State Street Bank and Trust Company		39,968		—			(940	)		39,028
Total	$	44,718,632	$	(17,001,872	)	$	(19,252,942	)	$	8,463,818
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	63,855	$	—		$	63,855		$	—
Barclays Bank plc		519,080		—			519,080			—	*
Brown Brothers Harriman & Co.		5,535		—			—			5,535
Goldman Sachs International		15,127,196		—			15,127,196			—
JPMorgan Chase Bank, N.A.		2,033,466		—			2,033,466			—	*
Morgan Stanley & Co. International PLC		1,508,405		—			1,508,405			—	*
State Street Bank and Trust Company		940		—			940			—
Total	$	19,258,477	$	—		$	19,252,942		$	5,535

Consolidated SGM Major Markets Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
JPMorgan Chase Bank, N.A.	$	10,896,386	$	(9,998,648	)	$	(897,738	)	$	—	*
Morgan Stanley & Co. International PLC		436,350		—			436,350			—	*
State Street Bank and Trust Company		379,213		—			(301,537	)		77,676
UBS AG		296,915		—			(281,078	)		15,837
Total	$	12,008,864	$	(9,998,648	)	$	(1,044,003	)	$	93,513
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
JPMorgan Chase Bank, N.A.	$	897,738	$	—		$	897,738		$	—
Morgan Stanley & Co. International PLC		1,288,755		—			(436,350	)		852,405
State Street Bank and Trust Company		301,537		—			301,537			—
UBS AG		281,078		—			281,078			—	*
Total	$	2,769,108	$	—		$	1,044,003		$	852,405

141

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Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Consolidated Special Opportunities Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	334,458	$	—		$	(136,480	)	$	197,978
Total	$	334,458	$	—		$	(136,480	)	$	197,978
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	136,480	$	—		$	136,480		$	—
Goldman Sachs International		96,317		—			—			96,317
Morgan Stanley & Co. International PLC		1,356,740		(1,356,740	)		—			—	*
Total	$	1,589,537	$	(1,356,740	)	$	136,480		$	96,317

* The actual collateral received and/or pledged is more than the amount shown.

The average derivative activity of notional amounts (forward currency contracts, futures contracts, swap contracts), market values (rights and/or warrants), and principal amounts or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2016:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)			Swap Contracts ($)		Options (Principal)		Options (Contracts)		Rights and/or Warrants ($)
Alpha Only Fund		10,903,888		230,620,049			—		—		—		3,006
Benchmark-Free Fund		164,833,384		2,757,569	*		657,712		—		—		18,421
Consolidated Implementation Fund		2,426,246,085		8,850,826			24,185,887,457		2,161,313,424		72,128		912,476
Consolidated SGM Major Markets Fund		1,049,887,366		1,582,711,792			—		—		—		—
Consolidated Special Opportunities Fund		77,934,604		7,791,090			39,040,709		—		2,483		7,432,523

* During the period ended August 31, 2016, the Fund did not hold this investment type at any month-end; therefore, the average amount outstanding was calculated using daily outstanding absolute values.

142

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to certain Funds. Management fees are paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:

	Alpha Only Fund		Benchmark-Free Allocation Fund		Benchmark-Free Fund		Global Asset Allocation Fund		Global Developed Equity Allocation Fund		Global Equity Allocation Fund		Implementation Fund		International Developed Equity Allocation Fund		International Equity Allocation Fund		SGM Major Markets Fund		Special Opportunities Fund		Strategic Opportunities Allocation Fund
Management Fee		0.50%		0.65%		—		—		—		—		—		—		—		0.85%		1.10%		—

For certain Funds above, GMO does not charge the Fund a management fee or shareholder service fee, but it receives management and/or shareholder service fees from the underlying funds in which the Fund invests. Because those fees vary from fund to fund, the levels of indirect net expenses set forth below are affected by GMO’s asset allocation decisions.

In addition, for certain Funds each class of shares pays GMO directly or indirectly a shareholder service or supplemental support fee. Shareholder service fees are paid to GMO for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Class MF shares of Benchmark-Free Allocation Fund are subject to a supplemental support fee payable to GMO for providing supplemental support services to Class MF shareholders and their investment advisers. These supplemental support services include without limitation, (1) provision and presentation of educational and explanatory information about the Fund and its asset allocation strategy as requested or directed by an investor or its investment adviser, (2) provision and presentation of similar educational and explanatory information about the strategies of the GMO Funds in which the Fund invests, (3) provision and presentation of information for inclusion in the quarterly or other periodic reports of the investor, (4) provision of responses to information requests relating to oversight functions of the investor’s board of directors in areas including pricing, compliance, and taxation, (5) access to and meetings with GMO’s Chief Investment Strategist and Heads of GMO’s Asset Allocation Team and other investment professionals of GMO, (6) assistance with services provided by an investor’s investment adviser, and (7) such other assistance as may be requested from time to time by an investor or its agents, provided that such assistance is not primarily intended to result in the sale of Fund shares.

Shareholder service and/or supplemental support fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below

Fund Name	Class III			Class IV			Class V		Class VI		Class MF
Alpha Only Fund		0.15%			0.10%
Benchmark-Free Allocation Fund		0.15%			0.10%							0.10%
SGM Major Markets Fund (formerly Systematic Global Macro Opportunity Fund)		0.15%			0.10%	*				0.055%
Special Opportunities Fund		0.15%	*		0.10%	*		0.085%*		0.055%

* Class is offered but has no shareholders as of August 31, 2016.

For each Fund, other than Special Opportunities Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO.

143

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Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

For Special Opportunities Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.10% of the Fund’s average daily net assets.

“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses. In the case of Benchmark-Free Fund, “Specified Operating Expenses” does not include the Fund’s direct custody expenses attributable to its holdings of emerging market securities.

For each Fund, other than Benchmark-Free Allocation Fund, that pays GMO a management fee, GMO has contractually agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.

For each Fund, other than Benchmark-Free Allocation Fund, that charges a shareholder service fee, GMO has contractually agreed to waive or reduce the shareholder service fee charged to holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.

These contractual waivers and reimbursements will continue through at least June 30, 2017 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.

For Benchmark-Free Allocation Fund only, the fees payable to GMO under its management contract and servicing and supplemental support agreement are reduced by amounts equal to the management fees and shareholder service fees, respectively, that GMO receives as a result of the Fund’s investment in underlying GMO Funds. In addition, effective March 1, 2014, GMO has contractually agreed to reduce the rate of the supplemental support fees charged to the Fund’s Class MF shares to a rate to be charged in any month (starting on the first business day of the month) based on the net assets attributable to Class MF shares as of the last business day of the preceding month based on the following schedule: 0.10% on the first $6 billion of net assets, 0.05% on the next $2 billion, 0.03% on the next $2 billion, and 0.01% thereafter; provided, however, that the effective rate charged at any time will not be reduced to less than 0.06% of Class MF’s average daily net assets. The rate will be calculated before giving effect to any reduction or waiver described above, and any applicable reduction or waiver will serve to further reduce the supplemental support fee paid to GMO. This reduction will continue through at least June 30, 2017, and may not be terminated prior to this date without the action or consent of the Fund’s Board of Trustees.

The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2016 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Alpha Only Fund		1,748		184
Benchmark-Free Allocation Fund		128,111		14,260
Benchmark-Free Fund		34,384		3,588
Global Asset Allocation Fund		25,320		2,760
Global Developed Equity Allocation Fund		11,282		1,196
Global Equity Allocation Fund		22,733		2,392
Consolidated Implementation Fund		107,614		11,868
International Developed Equity Allocation Fund		7,933		828
International Equity Allocation Fund		9,160		920
Consolidated SGM Major Markets Fund		9,938		1,104
Consolidated Special Opportunities Fund		8,489		828
Strategic Opportunities Allocation Fund		16,056		1,656

144

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Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2016 these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:

Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Indirect Interest Expense			Total Indirect Expenses
Alpha Only Fund		< 0.001%		0.000%		0.000%			< 0.001%
Benchmark-Free Allocation Fund		0.133%		0.013%		0.048%	*		0.194%
Benchmark-Free Fund		0.242%		0.021%		0.000%			0.263%
Global Asset Allocation Fund		0.415%		0.061%		0.001%			0.477%
Global Developed Equity Allocation Fund		0.457%		0.071%		0.000%			0.528%
Global Equity Allocation Fund		0.512%		0.070%		0.000%			0.582%
Consolidated Implementation Fund		0.000%		0.000%		0.000%			0.000%
International Developed Equity Allocation Fund		0.539%		0.086%		0.000%			0.625%
International Equity Allocation Fund		0.617%		0.079%		0.000%			0.696%
Consolidated SGM Major Markets Fund		0.002%		0.000%		0.000%			0.002%
Consolidated Special Opportunities Fund		0.000%		0.000%		0.000%			0.000%
Strategic Opportunities Allocation Fund		0.402%		0.055%		0.000%			0.457%

* Includes indirect dividend expense.

The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to insure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 2016, the Funds did not engage in these transactions.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, for the period ended August 31, 2016 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Alpha Only Fund		—		118,139,449		—		160,767,514
Benchmark-Free Allocation Fund		—		249,803,108		—		2,839,557,592
Benchmark-Free Fund		856,870,414		1,047,125,451		594,705,099		1,337,007,115
Global Asset Allocation Fund		—		270,215,101		—		1,099,526,969
Global Developed Equity Allocation Fund		—		280,296,861		—		710,222,936
Global Equity Allocation Fund		—		592,928,573		—		965,262,156
Consolidated Implementation Fund		3,508,570,902		4,038,282,076		2,773,806,889		5,029,394,662
International Developed Equity Allocation Fund		—		56,885,150		—		155,820,551
International Equity Allocation Fund		—		46,526,938		—		155,312,704
Consolidated SGM Major Markets Fund		38,241,239		21,941,157		—		125,000,000
Consolidated Special Opportunities Fund		—		452,445,090		—		563,538,412
Strategic Opportunities Allocation Fund		—		491,821,901		216,413,598		403,621,278

145

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

7. Guarantees

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

8. Principal shareholders and related parties as of August 31, 2016

Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund			Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund		Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers		Percentage of the Fund’s shares held by accounts for which GMO has investment discretion
Alpha Only Fund		2	‡		73.65%		0.20%		99.29%
Benchmark-Free Allocation Fund		1			46.71%		1.08%		1.51%
Benchmark-Free Fund		—			—		—		100.00%
Global Asset Allocation Fund		—			—		0.17%		9.83%
Global Developed Equity Allocation Fund		3			47.17%		—		—
Global Equity Allocation Fund		1			11.35%		0.01%		0.49%
Implementation Fund		1	‡		96.34%		—		100.00%
International Developed Equity Allocation Fund		3			42.33%		< 0.01%		1.01%
International Equity Allocation Fund		3	†		48.98%		0.01%		18.29%
SGM Major Markets Fund±		2	#		75.64%		0.06%		97.69%
Special Opportunities Fund		2	#		97.27%		0.06%		99.93%
Strategic Opportunities Allocation Fund		1			25.45%		< 0.01%		99.96%

† One of the shareholders is another fund managed by GMO.

‡ One of the shareholders is another fund of the Trust.

# Two of the shareholders are other funds of the Trust.

146

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

9. Share transactions

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

	Six Months Ended August 31, 2016 (Unaudited)						Year Ended February 29, 2016
	Shares			Amount			Shares			Amount
Alpha Only Fund
Class III:
Shares sold		3,682		$	81,865			34,813		$	787,161
Shares issued to shareholders in reinvestment of distributions		5,131			110,579			28,004			615,633
Shares repurchased		(3,432	)		(76,112	)		(877,135	)		(19,442,906	)
Net increase (decrease)		5,381		$	116,332			(814,318	)	$	(18,040,112	)
Class IV:
Shares sold		158,899		$	3,492,336			6,213,891	(a)	$	141,103,403	(a)
Shares issued to shareholders in reinvestment of distributions		163,249			3,519,655			2,800,200			61,485,182
Shares repurchased		(1,230,679	)		(27,018,701	)		(141,301,153	)(a)		(3,149,361,827	)(a)
Net increase (decrease)		(908,531	)	$	(20,006,710	)		(132,287,062	)	$	(2,946,773,242	)
Benchmark-Free Allocation Fund
Class III:
Shares sold		2,686,279		$	65,902,925			72,331,281		$	1,847,742,291
Shares issued to shareholders in reinvestment of distributions		33,356			833,558			4,651,398			120,052,586
Shares repurchased		(40,968,063	)		(1,007,758,369	)		(50,094,065	)		(1,243,090,574	)
Purchase premiums		—			135,753			—			846,534
Redemption fees		—			1,836,843			—			2,402,472
Net increase (decrease)		(38,248,428	)	$	(939,049,290	)		26,888,614		$	727,953,309
Class IV:
Shares sold		8,161,859		$	202,187,974			23,359,719		$	620,703,712
Shares issued to shareholders in reinvestment of distributions		34,666			866,298			2,795,335			72,119,639
Shares repurchased		(10,043,699	)		(251,779,930	)		(43,693,869	)		(1,088,914,127	)
Purchase premiums		—			59,520			—			465,686
Redemption fees		—			880,994			—			1,187,301
Net increase (decrease)		(1,847,174	)	$	(47,785,144	)		(17,538,815	)	$	(394,437,789	)
Class MF:
Shares sold		8,494,163		$	204,703,741			24,241,374		$	613,440,726
Shares issued to shareholders in reinvestment of distributions		128,546			3,213,650			9,204,641			237,571,791
Shares repurchased		(72,759,113	)		(1,797,481,407	)		(144,801,570	)		(3,557,453,382	)
Purchase premiums		—			188,749			—			1,550,889
Redemption fees		—			2,518,807			—			3,918,113
Net increase (decrease)		(64,136,404	)	$	(1,586,856,460	)		(111,355,555	)	$	(2,700,971,863	)
Benchmark-Free Fund
Class III:
Shares sold		2,382,359		$	43,044,781			13,827,563		$	255,015,278
Shares issued to shareholders in reinvestment of distributions		1,379,828			25,278,457			15,533,367			287,039,750
Shares repurchased		(10,612,698	)		(191,982,544	)		(24,900,259	)		(457,058,234	)
Purchase premiums		—			2,491			—			199,764
Redemption fees		—			278,275			—			557,383
Net increase (decrease)		(6,850,511	)	$	(123,378,540	)		4,460,671		$	85,753,941

147

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

	Six Months Ended August 31, 2016 (Unaudited)						Year Ended February 29, 2016
	Shares			Amount			Shares			Amount
Global Asset Allocation Fund
Class III#:
Shares sold		455,988		$	13,221,494			4,489,709		$	137,972,354
Shares issued to shareholders in reinvestment of distributions		284,518			8,390,442			10,223,198			309,983,152
Shares repurchased		(29,621,657	)		(861,402,708	)		(38,477,873	)		(1,211,002,276	)
Purchase premiums		—			15,246			—			106,404
Redemption fees		—			1,228,701			—			1,358,583
Net increase (decrease)		(28,881,151	)	$	(838,546,825	)		(23,764,966	)	$	(761,581,783	)
Global Developed Equity Allocation Fund
Class III:
Shares sold		84,210		$	1,602,078			2,634,197		$	55,440,868
Shares issued to shareholders in reinvestment of distributions		2,330,089			42,896,933			8,853,244			177,958,581
Shares repurchased		(23,579,845	)		(445,919,153	)		(6,683,069	)		(142,486,659	)
Purchase premiums		—			1,283			—			40,703
Redemption fees		—			356,735			—			110,318
Net increase (decrease)		(21,165,546	)	$	(401,062,124	)		4,804,372		$	91,063,811
Global Equity Allocation Fund
Class III#:
Shares sold		522,582		$	11,277,535			3,982,610		$	89,859,760
Shares issued to shareholders in reinvestment of distributions		2,838,150			60,878,301			15,556,920			358,248,969
Shares repurchased		(19,334,648	)		(413,712,934	)		(18,545,772	)		(443,989,759	)
Purchase premiums		—			14,660			—			121,845
Redemption fees		—			757,796			—			623,129
Net increase (decrease)		(15,973,916	)	$	(340,784,642	)		993,758		$	4,863,944
Consolidated Implementation Fund
Core Class:
Shares sold		10,124,183		$	123,039,531			325,222,206	(b)	$	4,218,767,955	(b)
Shares repurchased		(178,136,239	)		(2,220,488,648	)		(338,943,875	)(b)		(4,204,769,174	)(b)
Purchase premium fees		—			246,572			—			3,506,474
Redemption fees		—			4,440,977			—			6,894,933
Net increase (decrease)		(168,012,056	)	$	(2,092,761,568	)		(13,721,669	)	$	24,400,188
International Developed Equity Allocation Fund
Class III:
Shares sold		3,949,228		$	55,442,397			9,393,220		$	150,906,997
Shares issued to shareholders in reinvestment of distributions		135,772			1,917,109			2,148,270			30,814,431
Shares repurchased		(10,921,107	)		(157,633,006	)		(9,223,733	)		(146,054,631	)
Purchase premiums		—			42,741			—			86,862
Redemption fees		—			124,455			—			113,690
Net increase (decrease)		(6,836,107	)	$	(100,106,304	)		2,317,757		$	35,867,349

148

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Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

	Six Months Ended August 31, 2016 (Unaudited)						Year Ended February 29, 2016
	Shares			Amount			Shares			Amount
International Equity Allocation Fund
Class III#:
Shares sold		996,408		$	25,235,823			3,028,332		$	83,159,704
Shares issued to shareholders in reinvestment of distributions		118,251			3,075,719			3,562,958			99,615,186
Shares repurchased		(5,374,455	)		(138,436,406	)		(8,404,489	)		(224,630,230	)
Purchase premiums		—			67,387			—			159,656
Redemption fees		—			367,504			—			482,856
Net increase (decrease)		(4,259,796	)	$	(109,689,973	)		(1,813,199	)	$	(41,212,828	)
Consolidated SGM Major Markets Fund
Class III:
Shares sold		679,092		$	24,069,610			3,469,486		$	116,950,581
Shares issued to shareholders in reinvestment of distributions		6,535			228,420			—			—
Shares repurchased		(21,399	)		(763,303	)		(47,109,602	)		(1,559,759,977	)
Net increase (decrease)		664,228		$	23,534,727			(43,640,116	)	$	(1,442,809,396	)
Class VI:
Shares sold		1,237,437		$	41,265,208			44,028,379		$	1,455,150,686
Shares issued to shareholders in reinvestment of distributions		350,942			12,265,404			—			—
Shares repurchased		(5,709,011	)		(195,425,013	)		(5,032,852	)		(165,850,792	)
Net increase (decrease)		(4,120,632	)	$	(141,894,401	)		38,995,527		$	1,289,299,894
Consolidated Special Opportunities Fund
Class VI:
Shares sold		—		$	—			26,243,967	(c)	$	489,248,559	(c)
Shares issued to shareholders in reinvestment of distributions		1,229,424			24,367,173			876,930			17,283,918
Shares repurchased		(8,299,800	)		(165,328,063	)		(8,675,912	)(c)		(172,289,146	)(c)
Purchase premium fees		—			—			—			2,371,022
Redemption fees		—			826,641			—			774,369
Net increase (decrease)		(7,070,376	)	$	(140,134,249	)		18,444,985		$	337,388,722
Strategic Opportunities Allocation Fund
Class III:
Shares sold		857,117		$	16,249,544			7,092,841		$	137,972,294
Shares issued to shareholders in reinvestment of distributions		362,304			6,865,656			9,863,675			190,867,800
Shares repurchased		(8,267,462	)		(155,732,613	)		(15,958,945	)		(310,862,521	)
Purchase premiums		—			7,878			—			108,910
Redemption fees		—			242,919			—			369,228
Net increase (decrease)		(7,048,041	)	$	(132,366,616	)		997,571		$	18,455,711

^(a)  1,532,411 shares and $34,065,494 were purchased in-kind and redeemed in-kind.

^(b)  34,102,823 shares and $444,018,756 were purchased in-kind and redeemed in-kind.

^(c)  864,281 shares and $17,415,262 were purchased in-kind and redeemed in-kind.

# Shares were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

149

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

10. Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure 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 Fund’s transactions involving companies that are or were affiliates during the period ended August 31, 2016 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Value, end of period
Consolidated Special Opportunities Fund
Jagercor Energy Corp	$	155,211	$	—	$	—	$	—	$	137,258
Newalta Corp*		5,007,574		4,671,298		4,926,324		—		—	#
Totals	$	5,162,785	$	4,671,298	$	4,926,324	$	—	$	137,258

* Security not an affiliate at the beginning of the period.

# No longer an affiliate as of August 31, 2016.

A summary of the Funds’ transactions in the shares of other funds of GMO Trust during the period ended August 31, 2016 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Value, end of period
Alpha Only Fund
GMO U.S. Treasury Fund	$	3,011,692	$	93,286,744	$	84,450,000	$	36,306	$	433	$	11,848,744
Benchmark-Free Allocation Fund
GMO Debt Opportunities Fund, Class VI	$	775,552,374	$	48,878,536	$	114,361,151	$	4,084,590	$	—	$	733,462,905
GMO Emerging Country Debt Fund, Class IV		748,622,535		14,925,286		191,142,351		11,401,874		—		678,163,582
GMO Implementation Fund		13,227,455,053		123,286,103		2,216,047,671		—		—		12,159,753,156
GMO SGM Major Markets Fund, Class VI		814,182,754		45,484,515		153,504,996		7,358,546		251,182		750,650,316
GMO Special Opportunities Fund, Class VI		839,489,834		17,228,668		164,501,423		2,607,708		14,620,961		757,283,678
Totals	$	16,405,302,550	$	249,803,108	$	2,839,557,592	$	25,452,718	$	14,872,143	$	15,079,313,637
Benchmark-Free Fund
GMO Debt Opportunities Fund, Class VI	$	246,974,456	$	1,385,148	$	—	$	1,385,148	$	—	$	256,020,121
GMO Emerging Country Debt Fund, Class IV		242,720,374		4,450,808		—		4,450,808		—		285,554,548
GMO Emerging Markets Fund, Class VI		411,052,988		698,915		9,765,960		698,915		—		511,166,184
GMO SGM Major Markets Fund, Class VI		200,160,791		2,096,693		—		2,027,485		69,208		213,704,403
GMO Special Opportunities Fund, Class VI		272,146,747		6,497,960		—		983,523		5,514,437		300,641,375
GMO U.S. Treasury Fund		204,990,090		142,326,198		327,000,000		321,839		4,360		20,390,282
Totals	$	1,578,045,446	$	157,455,722	$	336,765,960	$	9,867,718	$	5,588,005	$	1,587,476,913
Global Asset Allocation Fund
GMO Alpha Only Fund, Class IV	$	99,903,387	$	1,164,892	$	19,366,243	$	1,164,892	$	—	$	80,290,618
GMO Asset Allocation Bond Fund, Class VI		666,921,092		4,859,076		139,857,549		—		—		535,748,824
GMO Debt Opportunities Fund, Class VI		155,335,123		698,265		31,309,314		698,265		—		129,062,028
GMO Emerging Country Debt Fund, Class IV		150,074,191		1,971,713		46,105,793		1,971,713		—		126,500,968
GMO Emerging Markets Fund, Class VI		433,780,941		517,108		164,130,114		517,108		—		368,979,370
GMO International Equity Fund, Class IV		760,145,595		3,639,317		193,388,019		2,788,938		—		635,826,967
GMO Quality Fund, Class VI		—		222,983,019		—		462,463		2,061,813		225,108,513
GMO Risk Premium Fund, Class VI		85,983,383		34,862		19,237,811		—		34,862		74,635,898
GMO SGM Major Markets Fund, Class VI		99,883,924		808,840		23,254,088		782,142		26,698		82,440,581
GMO U.S. Equity Allocation Fund, Class VI		544,247,275		7,694,504		365,220,910		4,131,376		3,563,129		231,431,325
GMO U.S. Treasury Fund		320,035,653		25,843,505		97,357,334		627,690		7,883		248,641,428
Totals	$	3,316,310,564	$	270,215,101	$	1,099,227,175	$	13,144,587	$	5,694,385	$	2,738,666,520

150

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2016 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Value, end of period
Global Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	146,525,557	$	173,305	$	64,367,458	$	173,305	$	—	$	115,336,964
GMO International Equity Fund, Class IV		648,877,447		13,112,427		187,602,812		2,449,038		—		533,592,211
GMO Quality Fund, Class VI		—		257,045,556		10,342,018		529,177		2,359,248		249,114,210
GMO U.S. Equity Allocation Fund, Class VI		636,945,658		9,965,573		447,910,648		4,891,336		4,218,560		250,609,576
Totals	$	1,432,348,662	$	280,296,861	$	710,222,936	$	7,942,856	$	6,577,808	$	1,148,652,961
Global Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	643,097,271	$	4,686,913	$	174,547,860	$	958,247	$	—	$	629,290,118
GMO International Equity Fund, Class IV		1,159,489,783		33,224,274		116,800,250		5,482,688		—		1,180,140,124
GMO Quality Fund, Class VI		—		535,572,726		16,476,655		1,130,192		5,038,775		524,172,625
GMO U.S. Equity Allocation Fund, Class VI		1,075,713,572		19,444,659		657,437,391		10,440,334		9,004,325		524,618,677
Totals	$	2,878,300,626	$	592,928,573	$	965,262,156	$	18,011,461	$	14,043,100	$	2,858,221,544
International Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	94,700,211	$	1,314,977	$	25,791,259	$	150,753	$	—	$	94,503,456
GMO International Equity Fund, Class IV		847,974,621		55,570,173		130,029,292		4,065,529		—		850,947,867
Totals	$	942,674,832	$	56,885,150	$	155,820,551	$	4,216,282	$	—	$	945,451,323
International Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	369,371,327	$	10,312,330	$	77,855,085	$	546,369	$	—	$	392,646,145
GMO International Equity Fund, Class IV		765,062,070		36,214,608		77,457,619		3,459,320		—		793,376,420
Totals	$	1,134,433,397	$	46,526,938	$	155,312,704	$	4,005,689	$	—	$	1,186,022,565
Consolidated SGM Major Markets Fund
GMO U.S. Treasury Fund	$	939,856,415	$	21,941,157	$	125,000,000	$	1,914,399	$	26,758	$	837,173,643
Strategic Opportunities Allocation Fund
GMO Debt Opportunities Fund, Class VI	$	86,283,231	$	465,210	$	3,386,850	$	465,210	$	—	$	85,985,781
GMO Emerging Country Debt Fund, Class IV		98,375,017		1,639,956		14,008,159		1,639,955		—		101,007,705
GMO Emerging Markets Fund, Class VI		361,131,996		531,892		91,036,229		531,892		—		359,286,665
GMO International Equity Fund, Class IV		558,786,340		21,486,934		6,429,859		2,721,681		—		624,202,867
GMO Quality Fund, Class VI		—		203,886,300		432,579		419,678		1,871,064		205,315,586
GMO U.S. Equity Allocation Fund, Class VI		402,543,560		7,286,741		234,716,972		3,912,437		3,374,304		208,945,311
GMO U.S. Treasury Fund		143,377,530		256,524,868		32,421,299		667,363		11,348		367,536,768
Totals	$	1,650,497,674	$	491,821,901	$	382,431,947	$	10,358,216	$	5,256,716	$	1,952,280,683

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2016 through August 31, 2016. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2017.

11. Subsequent events

Subsequent to August 31, 2016, GMO International Developed Equity Allocation Fund received redemption requests in the amount of $252,422,199.

151

GMO Trust Funds

Board Review of Investment Management Agreements

August 31, 2016 (Unaudited)

GMO Alpha Only Fund

Approval of renewal of management agreement for GMO Alpha Only Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. The Trustees noted that the Fund is not a standalone investment and its investment strategies are intended to complement the strategies pursued by the Manager in other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that charge advisory fees, the Manager offsets against fees payable by the Fund to the Manager the management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

152

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2016 (Unaudited)

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Benchmark-Free Allocation Fund

Approval of renewal of management agreement for GMO Benchmark-Free Allocation Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its other pooled investment vehicles and/or separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and/or accounts. The Trustees also considered the shareholder servicing and supplemental support fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager offsets against fees payable by the Fund to the Manager the management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to the Fund’s management agreement, shareholder servicing and supplemental support agreement, and other contractual expense reimbursement arrangements with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee structure.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the

153

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2016 (Unaudited)

Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Benchmark-Free Fund

Approval of renewal of management agreement for GMO Benchmark-Free Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the

154

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2016 (Unaudited)

Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Global Asset Allocation Fund

Approval of renewal of management agreement for GMO Global Asset Allocation Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the

155

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2016 (Unaudited)

Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Global Developed Equity Allocation Fund

Approval of renewal of management agreement for GMO Global Developed Equity Allocation Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees also considered the management fees indirectly paid by the Fund as a result of its investing in other GMO funds as compared to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

156

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2016 (Unaudited)

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Global Equity Allocation Fund

Approval of renewal of management agreement for GMO Global Equity Allocation Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees also considered the management fees indirectly paid by the Fund as a result of its investing in other GMO funds as compared to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager

157

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2016 (Unaudited)

resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Implementation Fund

Approval of renewal of management agreement for GMO Implementation Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. The Trustees noted that the Fund is not a standalone investment and its investment strategies are intended to complement the strategies pursued by the Manager in other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management agreement or any shareholder servicing and supplemental support agreement.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund.

158

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2016 (Unaudited)

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the nature, extent and quality of services to be provided supported the approval of the agreement.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO International Developed Equity Allocation Fund

Approval of renewal of management agreement for GMO International Developed Equity Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

159

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2016 (Unaudited)

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO International Equity Allocation Fund

Approval of renewal of management agreement for GMO International Equity Allocation Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees also considered the management fees indirectly paid by the Fund as a result of its investing in other GMO funds as compared to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager

160

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2016 (Unaudited)

resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO SGM Major Markets Fund

Approval of renewal of management agreement for GMO SGM Major Markets Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its other pooled investment vehicles and/or separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those other vehicles and/or accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels

161

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2016 (Unaudited)

and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee structure.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Special Opportunities Fund

Approval of renewal of management agreement for GMO Special Opportunities Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager

162

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2016 (Unaudited)

resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Strategic Opportunities Allocation Fund

Approval of renewal of management agreement for GMO Strategic Opportunities Allocation Fund. At a meeting on June 9, 2016, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2016. In approving the management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to the renewal of the Fund’s management agreement. In deciding whether to approve the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 19, 2016, representatives of the Manager made a presentation to the Trustees regarding the investment performance of the Fund and the other GMO funds and answered questions. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 9, 2016. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various evaluation metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years, noting in particular the changes in personnel recently implemented by the Manager in an effort to improve performance. The Trustees noted that the Fund is not a standalone investment and its investment strategies are intended to complement the strategies pursued by the Manager in other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO

163

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2016 (Unaudited)

funds, and considered the effect of various approaches for calculating profitability. The Trustees took note of “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

164

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2016 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2016.

As a shareholder of the Funds, you may incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and /or indirect management fees, direct and/or indirect shareholder services fees, and distribution (12b-1) and/or administration fees for Funds with Class M shares, if applicable, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2016 through August 31, 2016.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Actual						Hypothetical
	Beginning Account Value March 1, 2016		Ending Account Value August 31, 2016		Expenses Paid During the Period*		Beginning Account Value March 1, 2016		Ending Account Value August 31, 2016		Expenses Paid During the Period*		Annualized Expense Ratio
Alpha Only Fund
Class III		$1,000.00		$   997.60		$3.37		$1,000.00		$1,021.83		$3.41		0.67%
Class IV		$1,000.00		$   997.80		$3.12		$1,000.00		$1,022.08		$3.16		0.62%
Benchmark-Free Allocation Fund
Class III		$1,000.00		$1,080.30		$4.46		$1,000.00		$1,020.92		$4.33		0.85%
Class IV		$1,000.00		$1,080.50		$4.20		$1,000.00		$1,021.17		$4.08		0.80%
Class MF		$1,000.00		$1,081.00		$4.14		$1,000.00		$1,021.22		$4.02		0.79%
Benchmark-Free Fund
Class III		$1,000.00		$1,103.90		$1.43		$1,000.00		$1,023.84		$1.38		0.27%
Global Asset Allocation Fund
Class III		$1,000.00		$1,090.30		$2.53		$1,000.00		$1,022.79		$2.45		0.48%
Global Developed Equity Allocation Fund
Class III		$1,000.00		$1,120.50		$2.83		$1,000.00		$1,022.53		$2.70		0.53%
Global Equity Allocation Fund
Class III		$1,000.00		$1,139.80		$3.13		$1,000.00		$1,022.28		$2.96		0.58%
Implementation Fund
Core		$1,000.00		$1,081.40		$0.31		$1,000.00		$1,024.90		$0.31		0.06%
International Developed Equity Allocation Fund
Class III		$1,000.00		$1,111.10		$3.35		$1,000.00		$1,022.03		$3.21		0.63%
International Equity Allocation Fund
Class III		$1,000.00		$1,149.20		$3.79		$1,000.00		$1,021.68		$3.57		0.70%
SGM Major Markets Fund
Class III		$1,000.00		$1,067.30		$5.21		$1,000.00		$1,020.16		$5.09		1.00%
Class VI		$1,000.00		$1,068.00		$4.74		$1,000.00		$1,020.62		$4.63		0.91%

165

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses — (Continued)

August 31, 2016 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value March 1, 2016		Ending Account Value August 31, 2016		Expenses Paid During the Period*		Beginning Account Value March 1, 2016		Ending Account Value August 31, 2016		Expenses Paid During the Period*		Annualized Expense Ratio
Special Opportunities Fund
Class VI		$1,000.00		$1,104.70		$6.47		$1,000.00		$1,019.06		$6.21		1.22%
Strategic Opportunities Allocation Fund
Class III		$1,000.00		$1,112.80		$2.45		$1,000.00		$1,022.89		$2.35		0.46%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2016, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

166

Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this registrant.

Item 6. Schedule of Investments.

The complete schedule of investments for each series of the registrant is included as part of the semi-annual reports to shareholders filed under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this registrant.    

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this registrant.    

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

Item 11. Controls and Procedures.

(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded as of a date within 90 days of the filing of this report, based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Not applicable to this filing.

(a)(2) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto as EX-99.CERT.

(a)(3) Not applicable to this registrant.

(b) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)	GMO Trust
By (Signature and Title):	/s/ Sheppard N. Burnett
	Sheppard N. Burnett, Chief Executive Officer
	Date: November 2, 2016

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.

(Registrant)	GMO Trust
By (Signature and Title):	/s/ Sheppard N. Burnett
	Sheppard N. Burnett, Principal Executive Officer
	Date: November 2, 2016
By (Signature and Title):	/s/ Carly Cushman
	Carly Cushman, Principal Financial Officer
	Date: November 2, 2016

EX-99.CERT

EX-99.CERT

CERTIFICATION PURSUANT TO RULE 30(a)-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002:

I, Sheppard N. Burnett, Principal Executive Officer of the registrant, certify that:

1. I have reviewed this report on Form N-CSR of the Series of GMO Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 2, 2016

/s/ Sheppard N. Burnett

Sheppard N. Burnett, Principal Executive Officer

EX-99.CERT

CERTIFICATION PURSUANT TO RULE 30(a)-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002:

I, Carly Cushman, Principal Financial Officer of the registrant, certify that:

1. I have reviewed this report on Form N-CSR of the Series of GMO Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 2, 2016

/s/ Carly Cushman

Carly Cushman, Principal Financial Officer

EX-99.906CERT

EX-99.906 CERT

CERTIFICATION PURSUANT TO RULE 30(a)-2(b) UNDER THE 1940 ACT AND SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

Sheppard N. Burnett, Principal Executive Officer of GMO Trust (the “Registrant”), certifies to the best of his knowledge that:

1. The Registrant’s periodic report on Form N-CSR for the period ended August 31, 2016 (the “Form N-CSR”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

/s/ Sheppard N. Burnett

Sheppard N. Burnett

Principal Executive Officer

Date: November 2, 2016

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission (the “Commission”) or its staff upon request.

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Commission.

EX-99.906 CERT

CERTIFICATION PURSUANT TO RULE 30(a)-2(b) UNDER THE 1940 ACT AND SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

Carly Cushman, Principal Financial Officer of GMO Trust (the “Registrant”), certifies to the best of her knowledge that:

1. The Registrant’s periodic report on Form N-CSR for the period ended August 31, 2016 (the “Form N-CSR”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

/s/ Carly Cushman

Carly Cushman

Principal Financial Officer

Date: November 2, 2016

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission (the “Commission”) or its staff upon request.

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Commission.