N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-04347

GMO Trust

(Exact name of registrant as specified in charter)

40 Rowes Wharf,

Boston, MA 02110

(Address of principal executive offices) (Zip code)

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

(Name and address of agent for service)

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

Date of fiscal year end: 02/28/18

Date of reporting period: 11/30/17

Item 1. Schedule of Investments.

The Schedules of Investments for each series of the registrant for the period ended November 30, 2017 are filed herewith.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 89.3%
		U.S. Government — 88.1%
	79,700,045	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25 (a)		79,180,454
	98,980,291	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (a)		99,654,477
	10,950,898	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/26 (a)		10,587,863
	129,144,542	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (a)		126,773,108
	89,169,600	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 (a)		87,688,224
	101,586,408	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)		112,925,243
	178,217,918	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a)		213,472,545
	12,459,379	U.S. Treasury Inflation Indexed Bond, 3.88%, due 04/15/29 (a)		16,785,278
	20,000,000	U.S. Treasury Note, 1.38%, due 09/30/18		19,959,375
	17,500,000	U.S. Treasury Note, USBM + 0.07%, 1.36%, due 04/30/19		17,520,390
	34,000,000	U.S. Treasury Note, 0.75%, due 02/28/18		33,953,420
	50,000,000	U.S. Treasury Note, 1.25%, due 06/30/19		49,601,563
	12,500,000	U.S. Treasury Note, 1.38%, due 07/31/18		12,487,793
	36,000,000	U.S. Treasury Note, 1.38%, due 07/31/19		35,776,406
	90,000,000	U.S. Treasury Note, 1.25%, due 08/31/19		89,184,375
	17,500,000	U.S. Treasury Note, USBM + 0.05%, 1.34%, due 10/31/19		17,502,632
	40,000,000	U.S. Treasury Note, 1.50%, due 10/31/19		39,778,125
	32,500,000	U.S. Treasury Note, 1.75%, due 11/30/19		32,474,609
		Total U.S. Government		1,095,305,880
		U.S. Government Agency — 1.2%
	15,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR + 0.24%, 1.08%, due 03/06/19		14,982,463
		TOTAL DEBT OBLIGATIONS (COST $1,111,297,192)		1,110,288,343

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 10.2%
		Money Market Funds — 0.4%
	4,834,548	State Street Institutional Treasury Money Market Fund-Premier Class, 1.00% (b)		4,834,548
		Repurchase Agreements — 8.0%
	99,999,164	Nomura Securities International Inc. Repurchase Agreement, dated 11/30/17, maturing on 12/01/17 with a maturity value of $100,002,053 and an effective yield of 1.04%, collateralized by a U.S. Treasury Note with maturity date 08/15/24 and a market value of $101,837,983.		99,999,164
		U.S. Government — 1.8%
	10,000,000	U.S. Treasury Bill, 1.30%, due 04/26/18 (c)		9,947,988
	12,500,000	U.S. Treasury Bill, 1.43%, due 05/31/18 (c)		12,411,228
		Total U.S. Government		22,359,216
		TOTAL SHORT-TERM INVESTMENTS (COST $127,193,146)		127,192,928
		TOTAL INVESTMENTS — 99.5% (Cost $1,238,490,338)		1,237,481,271
		Other Assets and Liabilities (net) — 0.5%		5,850,348
		TOTAL NET ASSETS — 100.0%		$1,243,331,619

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

A summary of outstanding financial instruments at November 30, 2017 is as follows:

Forward Currency Contracts

Settlement Date		Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation)
	02/05/2018	JPM		AUD   33,700,000		USD      25,851,756	$	369,504
	12/11/2017	JPM		CHF   36,225,061		USD      37,850,624		1,011,454
	12/22/2017	JPM		EUR   62,184,000		USD      68,688,446		(5,417,059	)
	02/21/2018	GS		EUR     1,690,000		USD        2,003,619		(18,143	)
	12/14/2017	JPM		GBP     5,360,000		USD        7,115,879		(135,297	)
	12/06/2017	GS		JPY 217,930,870		USD        1,940,000		3,464
	12/06/2017	MSCI		USD   14,600,000		JPY 1,661,174,276		161,210
	12/11/2017	JPM		USD     3,526,975		CHF        3,340,539		(129,805	)
	12/22/2017	JPM		USD   69,205,942		EUR      62,184,000		4,899,564
	02/02/2018	BOA		USD     8,000,000		CAD      10,294,840		(12,914	)
	02/05/2018	BCLY		USD   16,600,000		NOK    134,777,247		(366,862	)
	02/05/2018	BCLY		USD     8,600,000		SEK      71,776,279		15,328
	02/05/2018	JPM		USD     9,915,149		NZD      14,400,000		(81,390	)
							$	299,054

Reverse Repurchase Agreements

Average balance outstanding	$	(54,483,775	)
Average interest rate		(0.52	)%
Maximum balance outstanding	$	(89,751,964	)

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

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received)		Value ($)			Net Unrealized Appreciation/ (Depreciation)
3 Month NZD Bank Bill Rate		2.72%	NZD	41,765,000		12/20/2022	Quarterly	$	—	$	153,087		$	153,087
3 Month NZD Bank Bill Rate		2.72%	NZD	17,573,000		12/20/2022	Quarterly		—		66,101			66,101
3 Month NZD Bank Bill Rate		2.73%	NZD	41,765,000		12/20/2022	Quarterly		—		163,785			163,785
3 Month NZD Bank Bill Rate		2.69%	NZD	41,765,000		12/20/2022	Quarterly		—		116,983			116,983
3 Month NZD Bank Bill Rate		2.67%	NZD	10,232,000		12/20/2022	Quarterly		—		22,108			22,108
3 Month CAD LIBOR		2.28%	CAD	5,416,000		12/15/2027	Semi-Annually		—		11,980			11,980
2.22%		3 Month CAD LIBOR	CAD	12,529,000		12/15/2027	Semi-Annually		—		23,318			23,318
6 Month CHF LIBOR		0.25%	CHF	2,729,000		12/15/2027	Semi-Annually		—		(7,341	)		(7,341	)
6 Month CHF LIBOR		0.35%	CHF	4,176,000		12/15/2027	Semi-Annually		—		31,598			31,598
0.29%		6 Month CHF LIBOR	CHF	2,421,000		12/15/2027	Semi-Annually		—		(4,041	)		(4,041	)
0.31%		6 Month CHF LIBOR	CHF	12,062,000		12/15/2027	Annually		—		(45,494	)		(45,494	)
0.31%		6 Month CHF LIBOR	CHF	3,084,000		12/15/2027	Annually		—		(10,525	)		(10,525	)
0.31%		6 Month CHF LIBOR	CHF	5,995,000		12/15/2027	Semi-Annually		—		(21,074	)		(21,074	)
0.94%		6 Month EURIBOR	EUR	6,510,000		12/15/2027	Annually		—		(78,743	)		(78,743	)
6 Month EURIBOR		0.82%	EUR	5,975,000		12/15/2027	Semi-Annually		—		(10,837	)		(10,837	)
6 Month EURIBOR		0.90%	EUR	40,889,000		12/15/2027	Semi-Annually		—		293,848			293,848
1.71%		6 Month GBP LIBOR	GBP	27,483,000		12/15/2027	Semi-Annually		—		(90,863	)		(90,863	)
1.46%		6 Month GBP LIBOR	GBP	49,108,000		12/15/2027	Semi-Annually		—		(405,619	)		(405,619	)
1.44%		6 Month GBP LIBOR	GBP	8,225,000		12/15/2027	Semi-Annually		—		(51,090	)		(51,090	)
1.43%		6 Month GBP LIBOR	GBP	8,434,000		12/15/2027	Semi-Annually		—		(41,591	)		(41,591	)
6 Month GBP LIBOR		1.37%	GBP	2,463,000		12/15/2027	Semi-Annually		—		(7,402	)		(7,402	)
6 Month GBP LIBOR		1.33%	GBP	8,440,000		12/15/2027	Semi-Annually		—		(69,664	)		(69,664	)
6 Month GBP LIBOR		1.40%	GBP	6,955,000		12/15/2027	Semi-Annually		—		2,246			2,246
1.33%		6 Month GBP LIBOR	GBP	16,427,000		12/15/2027	Semi-Annually		—		141,897			141,897
1.38%		6 Month GBP LIBOR	GBP	16,354,000		12/15/2027	Semi-Annually		—		20,889			20,889
6 Month GBP LIBOR		1.42%	GBP	8,137,000		12/15/2027	Semi-Annually		—		25,023			25,023

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
3 Month NZD Bank Bill Rate		3.15%	NZD	36,414,000		12/15/2027	Quarterly	$	—		$	125,516		$	125,516
3 Month NZD Bank Bill Rate		3.22%	NZD	7,881,000		12/15/2027	Quarterly		—			57,013			57,013
1.30%		3 Month SEK STIBOR	SEK	58,822,000		12/15/2027	Annually		—			(112,095	)		(112,095	)
1.20%		3 Month SEK STIBOR	SEK	56,634,000		12/15/2027	Annually		—			(45,740	)		(45,740	)
3 Month SEK STIBOR		1.22%	SEK	179,100,000		12/15/2027	Quarterly		—			186,863			186,863
3 Month SEK STIBOR		1.34%	SEK	51,057,000		12/15/2027	Quarterly		—			126,062			126,062
3 Month SEK STIBOR		1.17%	SEK	56,958,000		12/15/2027	Quarterly		—			26,683			26,683
3 Month SEK STIBOR		1.16%	SEK	56,958,000		12/15/2027	Quarterly		—			16,859			16,859
3 Month SEK STIBOR		1.22%	SEK	59,674,000		12/15/2027	Quarterly		—			58,830			58,830
3 Month SEK STIBOR		1.19%	SEK	35,390,000		12/15/2027	Quarterly		—			25,531			25,531
3 Month USD LIBOR		2.36%	USD	2,912,000		12/15/2027	Quarterly		—			(13,381	)		(13,381	)
2.99%		6 Month AUD BBSW	AUD	8,600,000		12/20/2027	Semi-Annually		(13,087	)		(165,092	)		(152,005	)
2.98%		6 Month AUD BBSW	AUD	13,182,000		12/20/2027	Semi-Annually		—			(246,789	)		(246,789	)
2.78%		6 Month AUD BBSW	AUD	15,138,000		12/20/2027	Semi-Annually		—			(81,009	)		(81,009	)
2.72%		6 Month AUD BBSW	AUD	7,411,000		12/20/2027	Semi-Annually		—			(9,606	)		(9,606	)
2.71%		6 Month AUD BBSW	AUD	18,349,000		12/20/2027	Semi-Annually		—			(11,018	)		(11,018	)
6 Month AUD BBSW		2.82%	AUD	6,092,000		12/20/2027	Semi-Annually		—			46,658			46,658
3 Month NZD Bank Bill Rate		3.13%	NZD	10,354,000		12/20/2027	Quarterly		—			18,837			18,837
								$	(13,087	)	$	232,701		$	245,788

As of November 30, 2017, 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:

AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.

CAD LIBOR - London Interbank Offered Rate denominated in Canadian Dollar.

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

EURIBOR - Euro Interbank Offered Rate

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

LIBOR - London Interbank Offered Rate

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

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

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 November 30, 2017, which are subject to change based on the terms of the security.

† 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 November 30, 2017.

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

Counterparty Abbreviations:

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 59.1%
		United States — 59.1%
		Asset-Backed Securities — 0.1%
	338,209	Bear Stearns Commercial Mortgage Securities Trust, Series 05-PW10, Class AJ, Variable Rate, 5.78%, due 12/11/40		361,362
		U.S. Government — 44.0%
	5,291,000	U.S. Treasury Bond, 6.25%, due 05/15/30		7,421,867
	11,634,000	U.S. Treasury Bond, 3.75%, due 11/15/43		13,643,592
	50,849,000	U.S. Treasury Bond, 3.38%, due 05/15/44 (a)		56,112,666
	46,555,000	U.S. Treasury Note, 1.50%, due 02/28/19		46,420,427
	52,369,000	U.S. Treasury Note, 1.63%, due 06/30/19 (a)		52,250,352
	98,515,000	U.S. Treasury Note, 2.00%, due 02/28/21		98,641,992
	51,233,000	U.S. Treasury Note, 1.75%, due 11/30/21		50,620,606
	38,955,000	U.S. Treasury Note, 2.00%, due 02/15/23		38,614,144
	36,868,000	U.S. Treasury Note, 2.50%, due 05/15/24		37,325,970
	27,877,000	U.S. Treasury Note, 2.00%, due 08/15/25		27,171,363
	16,615,000	U.S. Treasury Note, 2.25%, due 02/15/27		16,377,457
		Total U.S. Government		444,600,436
		U.S. Government Agency — 15.0%
	21,700,000	Federal National Mortgage Association, TBA, 3.00%, due 12/13/47		21,635,577
	16,700,000	Federal Home Loan Mortgage Corp., TBA, 3.50%, due 12/13/47		17,117,500
	38,400,000	Federal National Mortgage Association, TBA, 4.00%, due 12/13/47		40,109,998
	40,000,000	Federal National Mortgage Association, TBA, 2.50%, due 12/18/47		39,908,592
	31,600,000	Government National Mortgage Association, TBA, 3.50%, due 12/20/47		32,666,500
		Total U.S. Government Agency		151,438,167
		TOTAL DEBT OBLIGATIONS (COST $597,509,296)		596,399,965
		MUTUAL FUNDS — 43.8%
		United States — 43.8%
		Affiliated Issuers — 28.7%
	1,776,046	GMO Emerging Country Debt Fund, Class IV		53,423,455
	7,892,822	GMO Opportunistic Income Fund, Class VI		211,132,979
	1,003,301	GMO U.S. Treasury Fund		25,062,459
		Total Affiliated Issuers		289,618,893

Par Value† / Shares		Description	Value ($)
		Exchange-Traded Funds — 15.1%
	1,267,900	iShares iBoxx $ Investment Grade Corporate Bond ETF		152,997,493
		TOTAL MUTUAL FUNDS (COST $432,475,548)		442,616,386
		SHORT-TERM INVESTMENTS — 11.5%
		Foreign Government Obligation — 10.8%
JPY	600,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/11/17		5,331,313
JPY	2,700,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/18/17		23,991,627
JPY	2,800,000,000	Japan Treasury Discount Bill, Zero Coupon, due 01/10/18		24,883,440
JPY	2,850,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/05/18		25,332,118
JPY	3,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/26/18		29,336,647
				108,875,145
		Money Market Funds — 0.7%
	7,277,891	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.00% (b)		7,277,891
		TOTAL SHORT-TERM INVESTMENTS (COST $115,866,306)		116,153,036
		TOTAL INVESTMENTS — 114.4% (Cost $1,145,851,150)		1,155,169,387
		Other Assets and Liabilities (net) — (14.4%)		(145,262,848	)
		TOTAL NET ASSETS — 100.0%		$1,009,906,539

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

A summary of outstanding financial instruments at November 30, 2017 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Deprecia- tion)
02/05/2018	JPM		AUD      51,400,000		USD      39,429,959	$	563,855
12/11/2017	JPM		CHF      50,150,991		USD      51,370,778		369,597
02/21/2018	GS		EUR        2,580,000		USD        3,058,779		(27,697	)
12/14/2017	JPM		GBP        8,200,000		USD      10,886,049		(207,169	)
12/06/2017	GS		JPY    339,253,210		USD        3,020,000		5,393
12/11/2017	MSCI		JPY    600,000,000		USD        5,401,197		68,580
12/18/2017	MSCI		JPY 2,700,000,000		USD      24,312,019		303,789
01/10/2018	MSCI		JPY 2,800,000,000		USD      24,975,680		41,715
02/05/2018	CITI		JPY 2,850,000,000		USD      25,141,017		(272,012	)
02/26/2018	MSCI		JPY 3,300,000,000		USD      29,347,331		(109,298	)
12/06/2017	MSCI		USD      22,300,000		JPY 2,537,273,038		246,232
02/02/2018	BOA		USD      12,200,000		CAD      15,699,631		(19,694	)
02/05/2018	BCLY		USD      25,300,000		NOK    205,412,072		(559,308	)
02/05/2018	BCLY		USD      13,200,000		SEK    110,168,243		23,527
02/05/2018	JPM		USD      15,148,144		NZD      22,000,000		(124,346	)
						$	303,164

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
Buys
5	U.S. Ultra Bond (CBT)	March 2018	$	824,375	$	(9,557	)
27	U.S. Treasury Note 2 Yr. (CBT)	March 2018		5,788,969		(5,521	)
55	U.S. Treasury Note 5 Yr. (CBT)	March 2018		6,398,906		(25,429	)
169	U.S. Long Bond (CBT)	March 2018		25,640,469		(276,045	)
125	U.S. Treasury Ultra 10 Yr. (CBT)	March 2018		16,646,484		(134,522	)
274	U.S. Treasury Note 10 Yr. (CBT)	March 2018		33,988,844		(231,189	)
			$	89,288,047	$	(682,263	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received)		Value ($)			Net Unrealized Appreciation/ (Depreciation)
3 Month NZD Bank Bill Rate		2.72%	NZD	64,079,000		12/20/2022	Quarterly	$	—	$	234,878		$	234,878
3 Month NZD Bank Bill Rate		2.72%	NZD	26,962,000		12/20/2022	Quarterly		—		101,417			101,417
3 Month NZD Bank Bill Rate		2.73%	NZD	64,079,000		12/20/2022	Quarterly		—		251,291			251,291
3 Month NZD Bank Bill Rate		2.69%	NZD	64,079,000		12/20/2022	Quarterly		—		179,484			179,484
3 Month NZD Bank Bill Rate		2.67%	NZD	15,879,000		12/20/2022	Quarterly		—		34,309			34,309
3 Month CAD LIBOR		2.28%	CAD	8,265,000		12/15/2027	Semi-Annually		—		18,281			18,281
2.22%		3 Month CAD LIBOR	CAD	19,153,000		12/15/2027	Semi-Annually		—		35,646			35,646
0.31%		6 Month CHF LIBOR	CHF	16,604,000		12/15/2027	Annually		—		(62,624	)		(62,624	)
0.31%		6 Month CHF LIBOR	CHF	3,435,000		12/15/2027	Annually		—		(11,723	)		(11,723	)
0.31%		6 Month CHF LIBOR	CHF	6,875,000		12/15/2027	Annually		—		(24,167	)		(24,167	)
6 Month CHF LIBOR		0.25%	CHF	1,441,000		12/15/2027	Semi-Annually		—		(3,876	)		(3,876	)
0.94%		6 Month EURIBOR	EUR	8,413,000		12/15/2027	Annually		—		(101,761	)		(101,761	)
6 Month EURIBOR		0.82%	EUR	8,796,000		12/15/2027	Semi-Annually		—		(15,953	)		(15,953	)
6 Month EURIBOR		0.90%	EUR	47,648,000		12/15/2027	Semi-Annually		—		342,422			342,422
6 Month EURIBOR		0.97%	EUR	13,988,000		12/15/2027	Semi-Annually		—		210,069			210,069
1.71%		6 Month GBP LIBOR	GBP	9,772,000		12/15/2027	Semi-Annually		—		(32,308	)		(32,308	)
1.46%		6 Month GBP LIBOR	GBP	65,453,000		12/15/2027	Semi-Annually		—		(540,624	)		(540,624	)
1.44%		6 Month GBP LIBOR	GBP	48,993,000		12/15/2027	Semi-Annually		—		(304,321	)		(304,321	)
1.43%		6 Month GBP LIBOR	GBP	12,217,000		12/15/2027	Semi-Annually		—		(60,247	)		(60,247	)
6 Month GBP LIBOR		1.37%	GBP	5,437,000		12/15/2027	Semi-Annually		—		(16,341	)		(16,341	)
6 Month GBP LIBOR		1.33%	GBP	12,028,000		12/15/2027	Semi-Annually		—		(99,279	)		(99,279	)
6 Month GBP LIBOR		1.40%	GBP	11,616,000		12/15/2027	Semi-Annually		—		3,751			3,751
1.33%		6 Month GBP LIBOR	GBP	21,894,000		12/15/2027	Semi-Annually		—		189,122			189,122
1.38%		6 Month GBP LIBOR	GBP	21,798,000		12/15/2027	Semi-Annually		—		27,842			27,842
6 Month GBP LIBOR		1.42%	GBP	13,960,000		12/15/2027	Semi-Annually		—		42,929			42,929
3 Month NZD Bank Bill Rate		3.15%	NZD	13,927,000		12/15/2027	Quarterly		—		48,005			48,005
3 Month NZD Bank Bill Rate		3.32%	NZD	44,263,000		12/15/2027	Quarterly		—		587,379			587,379
3 Month NZD Bank Bill Rate		3.22%	NZD	9,395,000		12/15/2027	Quarterly		—		67,965			67,965
1.30%		3 Month SEK STIBOR	SEK	71,310,000		12/15/2027	Annually		—		(135,893	)		(135,893	)

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
1.20%		3 Month SEK STIBOR	SEK	90,517,000		12/15/2027	Annually	$	—		$	(73,105	)	$	(73,105	)
3 Month SEK STIBOR		1.22%	SEK	208,300,000		12/15/2027	Quarterly		—			217,328			217,328
3 Month SEK STIBOR		1.34%	SEK	128,247,000		12/15/2027	Quarterly		—			316,648			316,648
3 Month SEK STIBOR		1.17%	SEK	87,961,000		12/15/2027	Quarterly		—			41,206			41,206
3 Month SEK STIBOR		1.16%	SEK	87,960,000		12/15/2027	Quarterly		—			26,036			26,036
3 Month SEK STIBOR		1.22%	SEK	88,732,000		12/15/2027	Quarterly		—			87,477			87,477
3 Month SEK STIBOR		1.19%	SEK	54,928,000		12/15/2027	Quarterly		—			39,626			39,626
3 Month USD LIBOR		2.36%	USD	4,466,000		12/15/2027	Quarterly		—			(20,521	)		(20,521	)
2.99%		6 Month AUD BBSW	AUD	13,277,000		12/20/2027	Semi-Annually		(20,204	)		(254,875	)		(234,671	)
2.98%		6 Month AUD BBSW	AUD	19,787,000		12/20/2027	Semi-Annually		—			(370,446	)		(370,446	)
2.78%		6 Month AUD BBSW	AUD	22,898,000		12/20/2027	Semi-Annually		—			(122,535	)		(122,535	)
2.72%		6 Month AUD BBSW	AUD	11,506,000		12/20/2027	Semi-Annually		—			(14,913	)		(14,913	)
2.71%		6 Month AUD BBSW	AUD	27,422,000		12/20/2027	Semi-Annually		—			(16,466	)		(16,466	)
6 Month AUD BBSW		2.82%	AUD	8,998,000		12/20/2027	Semi-Annually		—			68,915			68,915
3 Month NZD Bank Bill Rate		3.13%	NZD	15,126,000		12/20/2027	Quarterly		—			27,518			27,518
								$	(20,204	)	$	917,566		$	937,770

As of November 30, 2017, 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:

AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.

CAD LIBOR - London Interbank Offered Rate denominated in Canadian Dollar.

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

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

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

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

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

TBA - To Be Announced – Delayed Delivery Security

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

The rates shown on variable rate notes are the current interest rates at November 30, 2017, which are subject to change based on the terms of the security.

† 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.

(b) The rate disclosed is the 7 day net yield as of November 30, 2017.

Counterparty Abbreviations:

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CITI - Citibank N.A.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 76.7%
		Albania — 0.9%
		Foreign Government Obligations
	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		37,365,245
		Angola — 0.1%
		Foreign Government Obligations
	3,800,000	Republic of Angola, Reg S, 9.50%, due 11/12/25		4,279,750
		Argentina — 5.1%
		Foreign Government Obligations
JPY	407,485,276	Republic of Argentina, 4.33%, due 12/31/33 (c)		2,643,069
JPY	298,580,272	Republic of Argentina, 4.33%, due 12/31/33 (c)		1,936,680
EUR	8,008,646	Republic of Argentina Discount Bond, 7.82%, due 12/31/33		10,902,552
	40,308,593	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		46,354,881
	10,786,557	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		12,620,272
EUR	112,130,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38		92,422,902
EUR	51,350,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38		43,455,830
		Total Argentina		210,336,186
		Armenia — 0.3%
		Foreign Government Obligations
	10,695,000	Republic of Armenia, Reg S, 7.15%, due 03/26/25		12,031,875
		Azerbaijan — 0.7%
		Foreign Government Agency — 0.5%
	12,650,000	Southern Gas Corridor CJSC, 144A, 6.88%, due 03/24/26		14,294,500
	7,987,000	State Oil Company of the Azerbaijan Republic, Reg S, 6.95%, due 03/18/30		8,775,716
				23,070,216
		Foreign Government Obligations — 0.2%
	7,100,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		7,082,250
		Total Azerbaijan		30,152,466
		Bahrain — 0.8%
		Foreign Government Obligations
	35,150,000	Bahrain Government International Bond, 144A, 7.50%, due 09/20/47		33,304,625

Par Value†		Description	Value ($)
		Belize — 0.5%
		Foreign Government Obligations
	33,578,000	Republic of Belize, Reg S, Step Up, 4.94%, due 02/20/34		20,314,690
		Bosnia & Herzegovina — 0.0%
		Foreign Government Obligations
DEM	1,347,080	Bosnia & Herzegovina, Series A, 6 Mo. EURIBOR + .81%, 0.50%, due 12/11/17		817,501
		Brazil — 2.8%
		Foreign Government Agency — 2.1%
GBP	12,895,000	Petrobras Global Finance BV, 6.63%, due 01/16/34		18,768,942
	69,239,000	Petrobras Global Finance BV, 6.85%, due 06/05/2115		66,253,068
				85,022,010
		Foreign Government Obligations — 0.7%
	16,897,000	Republic of Brazil, 7.13%, due 01/20/37		20,259,503
	5,000,000	Republic of Brazil, 5.00%, due 01/27/45		4,667,500
	6,340,000	Republic of Brazil, 5.63%, due 02/21/47		6,466,800
				31,393,803
		Total Brazil		116,415,813
		Cameroon — 0.1%
		Foreign Government Obligations
	4,500,000	Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25		5,377,500
		Chile — 1.4%
		Corporate Debt — 0.7%
	20,411,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97 (c)		27,809,988
		Foreign Government Agency — 0.7%
	7,300,000	Corp Nacional del Cobre de Chile, 144A, 4.50%, due 08/01/47		7,565,209
	17,718,000	Corp Nacional del Cobre de Chile, Reg S, 4.50%, due 09/16/25		18,940,719
	3,600,000	Empresa Nacional del Petroleo, 144A, 4.50%, due 09/14/47		3,416,400
				29,922,328
		Total Chile		57,732,316
		Colombia — 1.8%
		Foreign Government Agency — 1.2%
	43,011,000	Ecopetrol SA, 7.38%, due 09/18/43		50,537,925

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Colombia — continued
		Foreign Government Obligations — 0.6%
	647,000	Colombia Government International Bond, 8.38%, due 02/15/27		795,082
	15,200,000	Colombia Government International Bond, 5.63%, due 02/26/44		17,229,200
	3,800,000	Republic of Colombia, 11.85%, due 03/09/28 (b)		5,689,618
				23,713,900
		Total Colombia		74,251,825
		Congo Republic (Brazzaville) — 1.5%
		Foreign Government Obligations
	85,502,280	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c)		63,485,443
		Costa Rica — 1.2%
		Foreign Government Agency — 0.2%
	9,000,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		8,347,500
		Foreign Government Obligations — 1.0%
	37,731,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		39,900,532
		Total Costa Rica		48,248,032
		Dominican Republic — 1.8%
		Asset-Backed Securities — 0.6%
	22,283,258	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24		23,839,711
		Foreign Government Agency — 0.1%
	3,116,000	Banco de Reservas de la Republica Dominicana, Reg S, 7.00%, due 02/01/23		3,283,251
		Foreign Government Obligations — 1.1%
	15,687,000	Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27		18,957,818
	25,031,000	Dominican Republic International Bond, Reg S, 6.85%, due 01/27/45		28,021,078
				46,978,896
		Total Dominican Republic		74,101,858
		Ecuador — 1.4%
		Foreign Government Obligations
	22,041,000	Ecuador Government International Bond, 144A, 9.63%, due 06/02/27		24,498,461
	31,400,000	Ecuador Government International Bond, 144A, 8.88%, due 10/23/27		33,407,559
		Total Ecuador		57,906,020
		Egypt — 0.2%
		Foreign Government Obligations
	8,400,000	Egypt Government International Bond, Reg S, 8.50%, due 01/31/47		9,565,500

Par Value†		Description	Value ($)
		El Salvador — 0.6%
		Foreign Government Obligations
	24,275,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		25,488,750
		Ethiopia — 0.1%
		Foreign Government Obligations
	4,190,000	Federal Democratic Republic of Ethiopia, Reg S, 6.63%, due 12/11/24		4,336,650
		Gabon — 0.7%
		Foreign Government Obligations
	22,442,000	Gabonese Republic, Reg S, 6.38%, due 12/12/24		22,329,790
	4,744,000	Gabonese Republic, Reg S, 6.95%, due 06/16/25		4,827,020
		Total Gabon		27,156,810
		Ghana — 1.0%
		Foreign Government Agency — 0.4%
	15,789,779	Saderea, Ltd., Reg S, 12.50%, due 11/30/26		17,427,968
		Foreign Government Obligations — 0.6%
	17,482,000	Republic of Ghana, Reg S, 10.75%, due 10/14/30		23,556,995
		Total Ghana		40,984,963
		Greece — 0.1%
		Foreign Government Obligations
EUR	5,800,000	Hellenic Republic Government Bond, Reg S, Step Up, 3.00%, due 02/24/36		5,318,471
		Grenada — 0.2%
		Foreign Government Obligations
	7,149,357	Grenada Government International Bond, Reg S, Step Up, 7.00%, due 05/12/30 (b)		6,712,882
		Guatemala — 0.6%
		Foreign Government Obligations
	18,775,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		24,219,750
		Honduras — 0.3%
		Foreign Government Obligations
	5,516,000	Honduras Government International Bond, Reg S, 7.50%, due 03/15/24		6,177,920
	6,646,000	Honduras Government International Bond, Reg S, 6.25%, due 01/19/27		7,094,605
		Total Honduras		13,272,525
		Hungary — 0.5%
		Foreign Government Obligations
	12,084,000	Hungary Government International Bond, 7.63%, due 03/29/41		18,715,095

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Indonesia — 2.7%
		Foreign Government Agency — 0.4%
	14,400,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		17,298,000
		Foreign Government Obligations — 2.3%
	43,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		54,887,161
	35,780,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/17/42		39,894,700
				94,781,861
		Total Indonesia		112,079,861
		Iraq — 0.3%
		Foreign Government Obligations
	15,000,000	Republic of Iraq, Reg S, 5.80%, due 01/15/28		14,325,000
		Israel — 1.2%
		Foreign Government Agency
	7,243,000	Israel Electric Corp., Ltd., Reg S, 7.88%, due 12/15/26		9,072,401
JPY	2,500,000,000	Israel Electric Corp., Ltd., 4.10%, due 01/14/32 (c)		23,306,233
	12,798,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		16,638,193
		Total Israel		49,016,827
		Ivory Coast — 0.4%
		Foreign Government Obligations
	15,727,570	Ivory Coast Government International Bond, Reg S, Step Up, 5.75%, due 12/31/32		15,688,251
		Jamaica — 0.6%
		Foreign Government Agency — 0.1%
	4,000,000	National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 (c)		4,932,000
		Foreign Government Obligations — 0.5%
	16,875,000	Jamaica Government International Bond, 7.88%, due 07/28/45		20,671,875
		Total Jamaica		25,603,875
		Jordan — 0.4%
		Foreign Government Obligations
	10,487,000	Jordan Government International Bond, Reg S, 5.75%, due 01/31/27		10,369,021
	6,300,000	Jordan Government International Bond, 144A, 7.38%, due 10/10/47		6,481,125
		Total Jordan		16,850,146

Par Value†		Description	Value ($)
		Kazakhstan — 0.9%
		Foreign Government Obligations
	28,499,000	Kazakhstan Government International Bond, Reg S, 6.50%, due 07/21/45		36,193,730
		Kenya — 0.2%
		Foreign Government Obligations
	7,800,000	Kenya Government International Bond, Reg S, 6.88%, due 06/24/24		8,229,000
		Macedonia — 0.3%
		Foreign Government Obligations
EUR	9,039,000	Macedonia Government International Bond, Reg S, 5.63%, due 07/26/23		12,309,688
		Mexico — 8.8%
		Foreign Government Agency — 3.3%
	10,500,000	Petroleos Mexicanos, 6.38%, due 01/23/45		10,710,000
	47,387,000	Petroleos Mexicanos, 5.63%, due 01/23/46		44,306,845
	70,487,000	Petroleos Mexicanos, 6.75%, due 09/21/47		74,399,029
	5,600,000	Petroleos Mexicanos, 144A, 6.75%, due 09/21/47		5,910,800
				135,326,674
		Foreign Government Obligations — 5.5%
	144,478,000	United Mexican States, 5.75%, due 10/12/2110		154,085,787
GBP	49,396,000	United Mexican States, 5.63%, due 03/19/2114		72,481,438
				226,567,225
		Total Mexico		361,893,899
		Morocco — 0.6%
		Foreign Government Agency
	20,800,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		23,608,000
		Mozambique — 0.1%
		Foreign Government Obligations
	4,744,000	Mozambique International Bond, Reg S, 10.50%, due 01/18/23 (d) (e)		3,718,110
		Nigeria — 0.4%
		Foreign Government Obligations
	5,400,000	Nigeria Government International Bond, Reg S, 6.38%, due 07/12/23 (e)		5,690,250
	10,750,000	Nigeria Government International Bond, 144A, 7.63%, due 11/28/47		11,072,500
		Total Nigeria		16,762,750

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Pakistan — 1.4%
		Foreign Government Obligations
	14,100,000	Islamic Republic of Pakistan, 144A, 6.88%, due 12/05/27		14,100,000
	41,062,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		42,639,602
		Total Pakistan		56,739,602
		Panama — 0.4%
		Foreign Government Obligations
	7,851,000	Panama Government International Bond, 8.13%, due 04/28/34		11,030,655
	6,252,000	Panama Government International Bond, 4.30%, due 04/29/53		6,509,895
		Total Panama		17,540,550
		Paraguay — 0.2%
		Foreign Government Obligations
	8,000,000	Republic of Paraguay, Reg S, 6.10%, due 08/11/44		9,140,000
		Peru — 1.5%
		Foreign Government Agency — 0.7%
	14,304,000	Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25 (c)		12,161,833
	16,595,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		17,590,700
				29,752,533
		Foreign Government Obligations — 0.8%
	5,000,000	Peru Par Bond, Series 30 Yr., Step Up, 4.00%, due 03/07/27 (b)		4,950,000
	22,295,000	Republic of Peru, 5.63%, due 11/18/50		28,426,125
				33,376,125
		Total Peru		63,128,658
		Philippines — 2.8%
		Foreign Government Agency
	9,000,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97		16,591,379
	26,300,000	Central Bank of Philippines, Series A, 8.60%, due 06/15/27		36,742,150
	42,012,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		63,347,374
		Total Philippines		116,680,903
		Romania — 0.6%
		Foreign Government Obligations
EUR	17,680,000	Romanian Government International Bond, Reg S, 3.88%, due 10/29/35		22,727,100

Par Value†		Description	Value ($)
		Russia — 4.2%
		Foreign Government Agency — 2.0%
	13,575,000	Gazprom Neft OAO Via GPN Capital SA, Reg S, 4.38%, due 09/19/22		13,863,469
	37,067,000	Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34		50,086,783
	15,700,000	Sberbank of Russia Via SB Capital SA, Reg S, 5.13%, due 10/29/22		16,406,500
				80,356,752
		Foreign Government Obligations — 2.2%
	26,200,000	Russian Foreign Bond, 144A, 5.25%, due 06/23/47		27,051,500
	62,200,000	Russian Foreign Bond, Reg S, 5.25%, due 06/23/47		64,221,500
				91,273,000
		Total Russia		171,629,752
		Rwanda — 0.1%
		Foreign Government Obligations
	5,487,000	Rwanda International Government Bond, Reg S, 6.63%, due 05/02/23		5,706,480
		Serbia — 0.1%
		Foreign Government Obligations
	2,378,953	Republic of Serbia, Reg S, Step Up, 6.75%, due 11/01/24		2,424,665
		South Africa — 1.7%
		Foreign Government Agency — 0.7%
ZAR	163,000,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		1,693,584
	21,975,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		22,084,875
ZAR	27,300,000	Transnet, Ltd., 13.50%, due 04/18/28		2,213,081
				25,991,540
		Foreign Government Obligations — 1.0%
	43,000,000	Republic of South Africa Government International Bond, 5.65%, due 09/27/47		41,817,500
		Total South Africa		67,809,040
		Sri Lanka — 1.2%
		Foreign Government Obligations
	5,700,000	Sri Lanka Government International Bond, Reg S, 6.13%, due 06/03/25		6,010,394
	17,000,000	Sri Lanka Government International Bond, Reg S, 6.85%, due 11/03/25		18,678,750
	14,280,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26		15,672,300
	7,144,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27		7,519,060
		Total Sri Lanka		47,880,504

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Suriname — 0.4%
		Foreign Government Obligations
	16,178,000	Republic of Suriname, 144A, 9.25%, due 10/26/26 (e)		17,431,795
		Trinidad And Tobago — 0.4%
		Foreign Government Agency
	6,736,000	Petroleum Company of Trinidad and Tobago Ltd., Reg S, 9.75%, due 08/14/19		7,207,520
	7,292,000	Trinidad Generation UnLtd, 144A, 5.25%, due 11/04/27		7,456,070
		Total Trinidad And Tobago		14,663,590
		Tunisia — 1.7%
		Foreign Government Agency
JPY	7,340,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 (c)		52,826,869
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 (c)		17,548,536
		Total Tunisia		70,375,405
		Turkey — 4.5%
		Foreign Government Obligations
	30,744,000	Republic of Turkey, 6.75%, due 05/30/40		33,019,056
	83,302,000	Republic of Turkey, 6.00%, due 01/14/41		82,260,725
	72,513,000	Republic of Turkey, 5.75%, due 05/11/47		68,524,785
		Total Turkey		183,804,566
		Ukraine — 2.2%
		Foreign Government Agency — 0.3%
	8,189,000	Oschadbank Via SSB #1 Plc, Reg S, Step Up, 9.63%, due 03/20/25		8,844,120
	3,700,000	Ukreximbank Via Biz Finance Plc, Reg S, 9.75%, due 01/22/25		4,028,375
				12,872,495
		Foreign Government Obligations — 1.9%
	28,000,000	Ukraine Government International Bond, 144A, 7.38%, due 09/25/32		27,608,000
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/21		6,416,254
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/22		6,401,207
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/23		7,003,147
	8,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24		9,048,590
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25		6,887,910
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26		6,235,684

Par Value†		Description	Value ($)
		Ukraine — continued
		Foreign Government Obligations — continued
	6,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27		7,109,415
				76,710,207
		Total Ukraine		89,582,702
		United States — 5.5%
		Asset-Backed Securities — 0.7%
	8,423,362	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + .24%, 1.49%, due 12/15/35 ◆		8,578,014
	2,702,230	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + .24%, 1.49%, due 12/15/35 ◆		2,391,404
	3,201,428	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, A, Variable Rate, 1 mo. LIBOR + .20%, 1.45%, due 05/15/36 ◆		3,006,164
	10,597,624	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 1.48%, due 11/25/36 ◆		5,455,491
	10,738,926	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + .22%, 1.55%, due 11/25/36 ◆		5,573,151
	5,805,161	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + .36%, 1.69%, due 04/25/37 ◆		3,293,126
				28,297,350
		U.S. Government — 4.8%
	76,321,700	U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22 (f)		75,851,004
	77,000,000	U.S. Treasury Note, 1.13%, due 06/15/18		76,864,649
	45,000,000	U.S. Treasury Note, 1.25%, due 11/30/18		44,806,640
				197,522,293
		Total United States		225,819,643
		Uruguay — 1.4%
		Foreign Government Obligations
	52,218,000	Uruguay Government International Bond, 5.10%, due 06/18/50		57,439,800
		Venezuela — 4.0%
		Foreign Government Agency — 2.4%
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18		45,143,325
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24		38,720,000
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26		13,632,740
				97,496,065

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Venezuela — continued
		Foreign Government Obligations — 1.6%
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34		1,505,000
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19		4,733,215
	55,350,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20		11,208,375
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23		38,014,460
	51,500,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31		11,072,500
				66,533,550
		Total Venezuela		164,029,615
		Vietnam — 0.6%
		Foreign Government Agency — 0.4%
	25,105,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		17,674,297
		Foreign Government Obligations — 0.2%
	6,428,000	Socialist Republic of Vietnam, Series 30 Yr., 6 Mo. LIBOR + .81%, 2.25%, due 03/13/28 (c)		5,624,500
		Total Vietnam		23,298,797
		Zambia — 0.2%
		Foreign Government Obligations
	7,700,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27		8,508,500
		TOTAL DEBT OBLIGATIONS (COST $3,076,581,480)		3,154,533,345
		LOAN ASSIGNMENTS — 0.0%
		Indonesia — 0.0%
	680,117	Republic of Indonesia Loan Agreement, dated September 14, 1994, 6 mo. LIBOR + 0.75%, 2.18%, due 12/16/19 (c)		630,060
EUR	689,327	Republic of Indonesia, Indonesia Paris Club Debt, 4.00%, due 06/01/21 (c)		660,479
		TOTAL LOAN ASSIGNMENTS (COST $1,471,915)		1,290,539
		LOAN PARTICIPATIONS — 1.5%
		Angola — 0.9%
	22,587,500	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 7.69%, due 12/20/23 (c)		20,780,500
	16,208,563	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 7.69%, due 12/20/23 (c)		14,911,878
		Total Angola		35,692,378

Par Value† / Shares		Description	Value ($)
		Egypt — 0.0%
CHF	89,763	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (b)		82,560
		Indonesia — 0.1%
	3,128,955	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR + .88%, 2.29%, due 09/29/19 (c)		2,898,664
	399,501	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR + .88%, 2.29%, due 10/14/19 (c)		370,098
		Total Indonesia		3,268,762
		Iraq — 0.5%
EUR	1,174,942	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (b)		1,040,148
JPY	168,996,816	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		1,027,335
JPY	3,042,948,831	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		18,477,758
JPY	397,596,810	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28) (c)		2,415,149
		Total Iraq		22,960,390
		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.) (c) (d)		3
		TOTAL LOAN PARTICIPATIONS (COST $81,447,941)		62,004,093
		MUTUAL FUNDS — 2.3%
		United States — 2.3%
		Affiliated Issuers — 2.3%
	568,012	GMO Opportunistic Income Fund, Class VI		15,194,314
	3,251,005	GMO U.S. Treasury Fund		81,210,113
		TOTAL MUTUAL FUNDS (COST $93,156,925)		96,404,427
		RIGHTS/WARRANTS — 1.3%
		Argentina — 1.0%
JPY	740,189,000	Republic of Argentina GDP Linked, Expires 12/15/35 (c)		591,915

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value† / Shares		Description	Value ($)
		Argentina — continued
EUR	335,089,675	Republic of Argentina GDP Linked, Expires 12/15/35		41,479,392
		Total Argentina		42,071,307
		Nigeria — 0.1%
	28,000	Central Bank of Nigeria Oil Warrants, Expires 11/15/20 (c)		2,065,000
		Ukraine — 0.2%
	14,446,000	Government of Ukraine GDP Linked, Expires 05/31/40		7,974,192
		Uruguay — 0.0%
	4,000,000	Banco Central Del Uruguay Value Recovery Rights, VRRB, Expires 01/02/21 * (b)		—
		Venezuela — 0.0%
	1,080,062	Republic of Venezuela Oil Warrants, Expires 04/15/20 (c)		1,620,093
		TOTAL RIGHTS/WARRANTS (COST $55,522,661)		53,730,592
		SHORT-TERM INVESTMENTS — 17.9%
		Money Market Funds — 1.4%
	55,344,712	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.00% (g)		55,344,712
		U.S. Government — 16.5%
	5,000,000	U.S. Treasury Bill, 1.11%, due 01/11/18 (h)		4,993,637
	46,475,000	U.S. Treasury Bill, 1.13%, due 01/25/18 (h)		46,394,233
	8,000,000	U.S. Treasury Bill, 1.26%, due 03/01/18 (h)		7,975,025
	25,000,000	U.S. Treasury Bill, 1.28%, due 03/15/18 (h)		24,908,639
	30,000,000	U.S. Treasury Bill, 1.28%, due 03/22/18 (h)		29,882,872

Par Value†		Description	Value ($)
		U.S. Government — continued
	2,000,000	U.S. Treasury Bill, 1.29%, due 03/29/18 (h)		1,991,593
	22,000,000	U.S. Treasury Bill, 1.30%, due 04/05/18 (h)		21,901,458
	67,000,000	U.S. Treasury Bill, 1.30%, due 04/26/18 (h)		66,651,516
	125,193,000	U.S. Treasury Note, 1.00%, due 12/15/17		125,185,085
	71,195,000	U.S. Treasury Note, 0.88%, due 01/15/18		71,162,915
	181,848,000	U.S. Treasury Note, 0.75%, due 02/28/18 (i)		181,598,868
	27,000,000	U.S. Treasury Note, 1.38%, due 07/31/18		26,973,633
	22,000,000	U.S. Treasury Note, 1.50%, due 08/31/18		21,987,109
	47,000,000	U.S. Treasury Note, 1.00%, due 09/15/18		46,772,344
		Total U.S. Government		678,378,927
		TOTAL SHORT-TERM INVESTMENTS (COST $734,138,722)		733,723,639
		TOTAL INVESTMENTS — 99.7% (Cost $4,042,319,644)		4,101,686,635
		Other Assets and Liabilities (net) — 0.3%		12,367,841
		TOTAL NET ASSETS — 100.0%		$4,114,054,476

A summary of outstanding financial instruments at November 30, 2017 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased		Net Unrealized Appreciation (Depreciation)
02/20/2018	JPM		EUR	54,900,000	USD	65,014,062	$	(659,441	)
02/20/2018	JPM		GBP	12,000,000	USD	15,886,632		(387,530	)
02/16/2018	JPM		USD	13,281,427	JPY	1,500,000,000		101,232
							$	(945,739	)

Reverse Repurchase Agreements ^(j)

Face Value		Description	Value ($)
USD	3,188,239	JP Morgan Securities, Inc., 0.25%, dated 10/06/17, (collateral: Mozambique International Bond, Reg S, 10.50%, due 01/18/23), to be repurchased on demand at face value plus accrued interest.	$	(3,188,239	)
USD	5,764,255	JP Morgan Securities, Inc., 0.50%, dated 10/06/17, (collateral: Nigeria Government International Bond, Reg S, 6.38%, due 07/12/23), to be repurchased on demand at face value plus accrued interest.		(5,764,255	)
USD	7,921,020	JP Morgan Securities, Inc., 0.50%, dated 10/25/17, (collateral: Republic of Suriname, 144A, 9.25%, due 10/26/26), to be repurchased on demand at face value plus accrued interest.		(7,921,020	)
			$	(16,873,514	)
		Average balance outstanding	$	(26,109,907	)
		Average interest rate		(0.42	)%
		Maximum balance outstanding	$	(68,995,359	)

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

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

Credit Linked Options

Principal/Notional Amount			Expiration Date	Descriptions	Premiums			Value ($)
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) (b)	$	1,348,667		$	56,288
Put Sold	USD	24,000,000	03/10/2020	Lebanon Gap Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB) (b)		361,333			(382,841	)
Put Sold	USD	9,746,000	01/20/2021	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (b)		(4,630	)		30,013
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) (b)		387,500			138,576
Put Sold	USD	46,000,000	04/13/2021	Lebanon Gap Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB) (b)		947,472			(1,101,563	)
Put Sold	USD	50,797,000	04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.30% (OTC) (CP-DB) (b)		592,226			212,016
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) (b)		2,264,778			(610,561	)
					$	5,897,346		$	(1,658,072	)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity

Notional Amount

Annual Premium

Implied Credit Spread (1)

Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received)

Value ($)

Net Unrealized Appreciation/ (Depreciation)

Buy Protection ^:

CDX-EMS27V1-5Y

USD

282,000,000

1.00%

1.71%

N/A

06/20/2022

Quarterly

$

11,298,800

$

8,382,168

$

(2,916,632

)

OTC Credit Default Swaps

Reference Entity	Counterparty	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
Buy Protection ^:
State of Florida	JPM	USD	7,309,000		0.42%		0.08%		N/A		03/20/2018		Quarterly	$	(14,749	)	$	(7,401	)	$	7,348
State of Florida	JPM	USD	17,055,000		0.42%		0.08%		N/A		03/20/2018		Quarterly		(34,415	)		(17,270	)		17,145
State of Ohio	JPM	USD	12,182,000		0.49%		0.09%		N/A		03/20/2018		Quarterly		(29,597	)		(14,759	)		14,838
Republic of Brazil	JPM	USD	50,000,000		1.00%		0.64%		N/A		06/20/2019		Quarterly		1,008,872			(272,308	)		(1,281,180	)
Republic Of Croatia	JPM	USD	44,000,000		1.00%		0.27%		N/A		06/20/2019		Quarterly		3,659,820			(495,774	)		(4,155,594	)
Commonwealth of Bahamas	DB	EUR	51,746,000		1.00%		2.15%		N/A		12/20/2020		Quarterly		7,730,397			2,105,237			(5,625,160	)
CDX-2I65BZCG5	BCLY	USD	22,415,800		5.00%		0.99%		N/A		06/20/2019		Quarterly		(559,150	)		212,950			772,100
Commonwealth of Bahamas	DB	EUR	78,194,000		1.00%		5.23%		N/A		06/20/2025		Quarterly		11,367,985			4,889,526			(6,478,459	)
United States of Mexico	GS	USD	20,000,000		1.00%		1.80%		N/A		09/20/2031		Quarterly		2,640,655			1,673,501			(967,154	)

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

OTC Credit Default Swaps — continued

Reference Entity	Counterparty	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
Sell Protection ^:
Republic of Macedonia	DB	EUR	6,862,000		1.00%		3.62%		6,862,000 EUR		03/20/2018		Quarterly	$	(1,268,490	)	$	(65,230	)	$	1,203,260
Commonwealth of Bahamas	DB	USD	61,270,000		1.00%		2.45%		61,270,000 USD		12/20/2020		Quarterly		(7,515,364	)		(2,536,343	)		4,979,021
Republic of Malaysia	JPM	USD	10,000,000		1.00%		0.63%		10,000,000 USD		12/20/2022		Quarterly		(826,278	)		174,874			1,001,152
Commonwealth of Bahamas	DB	USD	3,487,000		1.00%		2.71%		3,487,000 USD		06/20/2023		Quarterly		(641,463	)		(286,665	)		354,798
Commonwealth of Bahamas	DB	USD	6,975,000		1.00%		2.71%		6,975,000 USD		06/20/2023		Quarterly		(1,263,915	)		(573,412	)		690,503
Republic Of Croatia	JPM	USD	40,000,000		1.00%		1.11%		40,000,000 USD		06/20/2023		Quarterly		(6,395,816	)		(223,516	)		6,172,300
Republic of Malaysia	JPM	USD	20,000,000		1.00%		0.82%		20,000,000 USD		03/20/2024		Quarterly		(932,016	)		210,826			1,142,842
Peoples Republic of China	JPM	USD	60,000,000		1.00%		0.76%		60,000000 USD		06/20/2024		Quarterly		(2,413,417	)		847,878			3,261,295
Peoples Republic of China	JPM	USD	4,873,000		1.00%		0.76%		4,873,000 USD		06/20/2024		Quarterly		3,073			68,862			65,789
Republic of Brazil	JPM	USD	27,250,000		1.00%		2.12%		27,250,000 USD		06/20/2024		Quarterly		(2,095,396	)		(1,776,509	)		318,887
Peoples Republic of China	GS	USD	25,000,000		1.00%		0.83%		25,000,000 USD		03/20/2025		Quarterly		(744,727	)		283,034			1,027,761
Peoples Republic of China	GS	USD	22,436,000		1.00%		0.84%		22,436,000 USD		06/20/2025		Quarterly		(590,310	)		238,341			828,651
Commonwealth of Bahamas	DB	USD	104,644,000		1.00%		5.71%		104,644,000 USD		06/20/2025		Quarterly		(12,708,620	)		(6,140,001	)		6,568,619
Indonesia	GS	USD	36,208,000		1.00%		1.38%		36,208,000 USD		06/20/2025		Quarterly		(3,153,880	)		(920,434	)		2,233,446
Indonesia	GS	USD	10,000,000		1.00%		1.38%		10,000,000 USD		06/20/2025		Quarterly		(961,767	)		(254,207	)		707,560
Republic of Brazil	BOA	USD	4,873,000		1.00%		2.39%		4,873,000 USD		12/20/2025		Quarterly		(726,704	)		(461,854	)		264,850
Russia	GS	USD	2,436,000		1.00%		1.83%		2,436,000 USD		12/20/2025		Quarterly		(238,041	)		(140,241	)		97,800
Republic of South Africa	GS	USD	10,000,000		1.00%		2.52%		10,000,000 USD		06/20/2026		Quarterly		(1,923,868	)		(1,082,660	)		841,208
Russia	GS	USD	8,487,000		1.00%		1.94%		8,487,000 USD		12/20/2026		Quarterly		(1,059,663	)		(608,407	)		451,256
Republic of South Africa	GS	USD	10,000,000		1.00%		2.58%		10,000,000 USD		12/20/2026		Quarterly		(1,702,480	)		(1,173,628	)		528,852
Republic of Brazil	JPM	USD	40,000,000		1.00%		2.64%		40,000,000 USD		03/20/2030		Quarterly		(5,674,358	)		(5,979,308	)		(304,950	)
														$	(27,063,682	)	$	(12,324,898	)	$	14,738,784

^ Buy Protection - 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 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.

Sell Protection - 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.

⁽¹⁾  As of November 30, 2017, 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.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

OTC Cross-Currency Basis Swaps

Fund Pays	Counterparty	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received)		Value ($)		Net Unrealized Appreciation/ (Depreciation)
3 Month USD LIBOR	JPM		3 Month EURIBOR plus a spread of (0.35%)	EUR	122,436,000		09/11/2020	Quarterly	$	—	$	1,673,171	$	1,673,171
									$	—	$	1,673,171	$	1,673,171

OTC Cross-Currency Interest Rate Swaps

Fund Pays	Counterparty	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received)		Value ($)			Net Unrealized Appreciation/ (Depreciation)
(0.22%)	GS		3 Month USD LIBOR	JPY	14,852,761,000		04/28/2025	Quarterly	$	—	$	(3,945,638	)	$	(3,945,638	)
1.17%	JPM		3 Month USD LIBOR	GBP	53,411,000		03/10/2026	Quarterly		—		(2,201,128	)		(2,201,128	)
1.26%	JPM		3 Month USD LIBOR	EUR	1,462,000		09/04/2035	Annual		—		(86,645	)		(86,645	)
									$	—	$	(6,233,411	)	$	(6,233,411	)

As of November 30, 2017, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

CJSC - Closed Joint-Stock Company

CP - Counterparty

EURIBOR - Euro Interbank Offered Rate

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

GDP - Gross Domestic Product

LIBOR - London Interbank Offered Rate

OTC - Over-the-Counter

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

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

VRRB - Variable Rate Reduction Bond

The rates shown on variable rate notes are the current interest rates at November 30, 2017, which are subject to change based on the terms of the security.

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

* Non-income producing security.

◆ These securities are primarily backed by subprime mortgages.

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

(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. Investment valued using significant unobservable inputs.

(c) Investment valued using significant unobservable inputs.

(d) Security is in default.

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

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

(g) The rate disclosed is the 7 day net yield as of November 30, 2017.

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

(i) 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.

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

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

Currency Abbreviations:

CHF - Swiss Franc

DEM - Deutsche Mark

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

USD - United States Dollar

ZAR - South African Rand

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 102.0%
		Asset-Backed Securities — 89.9%
		Auto Retail Prime — 0.1%
	985,600	California Republic Auto Receivables Trust, Series 14-1, Class C, 3.40%, due 12/15/20		990,966
		Auto Retail Subprime — 4.7%
	13,720,000	AmeriCredit Automobile Receivables Trust, Series 14-2, Class E, 144A, 3.37%, due 11/08/21		13,867,117
	1,524,850	CarFinance Capital Auto Trust, Series 14-1A, Class D, 144A, 4.90%, due 04/15/20		1,548,317
	1,073,840	CarFinance Capital Auto Trust, Series 13-2A, Class E, 144A, 7.86%, due 10/15/20		1,076,249
	4,130,000	CFC LLC, Series 14-2A, Class E, 144A, 5.36%, due 11/15/21		4,135,692
	4,000,000	CPS Auto Receivables Trust, Series 14-A, Class C, 144A, 3.29%, due 02/18/20		4,018,256
	3,879,430	CPS Auto Receivables Trust, Series 14-A, Class D, 144A, 5.11%, due 02/18/20		3,952,337
	6,265,989	CPS Auto Receivables Trust, Series 14-B, Class D, 144A, 4.62%, due 05/15/20		6,334,348
	750,584	CPS Auto Receivables Trust, Series 13-B, Class D, 144A, 4.66%, due 09/15/20		753,729
	51,150	CPS Auto Receivables Trust, Series 13-B, Class E, 144A, 6.41%, due 09/15/20		51,586
	1,049,647	CPS Auto Receivables Trust, Series 15-C, Class D, 144A, 4.63%, due 08/16/21		1,068,205
	5,847,188	DT Auto Owner Trust, Series 15-2A, Class D, 144A, 4.25%, due 02/15/22		5,959,614
	2,250,000	Exeter Automobile Receivables Trust, Series 14-2A, Class D, 144A, 4.93%, due 12/15/20		2,295,450
	6,000,000	Exeter Automobile Receivables Trust, Series 14-1A, Class D, 144A, 5.53%, due 02/16/21		6,114,847
	5,377,425	Flagship Credit Auto Trust, Series 14-1, Class D, 144A, 4.83%, due 06/15/20		5,455,095
	1,400,000	Flagship Credit Auto Trust, Series 14-1, Class E, 144A, 5.71%, due 08/16/21		1,423,421
		Total Auto Retail Subprime		58,054,263
		CMBS Collateralized Debt Obligations — 2.2%
	8,586,000	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		3,673,349
	7,716,577	Capitalsource Real Estate Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + .39%, 1.74%, due 01/20/37 (a)		7,620,120
	11,485,280	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.61%, due 03/21/46		10,159,832
	4,203,404	LNR CDO Ltd., Series 2002-1A, Class EFX, 7.78%, due 07/24/37		2,049,159
	1,110,765	Nomura CRE CDO, Series 07-2A, Class B, 144A, 3 mo. LIBOR + .33%, 1.77%, due 05/21/42 (a)		1,096,881

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		CMBS Collateralized Debt Obligations — continued
	2,589,365	Sorin Real Estate CDO IV Ltd., Series 06-4A, Class C, 144A, 3 mo. LIBOR + .53%, 1.70%, due 10/28/46		2,576,980
		Total CMBS Collateralized Debt Obligations		27,176,321
		Collateralized Loan Obligations — 16.5%
	17,190,000	ACIS CLO Ltd., Series 15-6A, Class A1, 144A, 3 mo. LIBOR + 1.59%, 2.97%, due 05/01/27		17,213,550
	2,830,410	ALM XIV Ltd., Series 14-14A, Class C, 144A, 3 mo. LIBOR + 3.45%, 4.83%, due 07/28/26		2,845,490
	8,607,000	ARES XXVI CLO Ltd., Series 13-1A, Class B, 144A, 3 mo. LIBOR + 1.75%, 3.11%, due 04/15/25		8,623,129
	37,276,500	Arrowpoint CLO Ltd., Series 15-4A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.55%, 2.90%, due 04/18/27		37,443,685
	6,006,000	BlueMountain CLO Ltd., Series 14-3A, Class BR, 144A, 3 mo. LIBOR + 2.10%, 3.46%, due 10/15/26		6,039,904
	4,504,500	Carlyle Global Market Strategies CLO Ltd., Series 14-5A, Class BR, 144A, 3 mo. LIBOR + 2.05%, 3.41%, due 10/16/25		4,514,239
	4,700,000	Cavalry CLO V Ltd., Series 14-5A, Class E, 144A, 3 mo. LIBOR + 5.20%, 6.56%, due 01/16/24		4,703,967
	7,327,000	CIFC Funding Ltd., Series 13A-4A, Class C1R, 144A, 3 mo. LIBOR + 2.25%, 3.71%, due 11/27/24		7,339,639
	5,603,000	CIFC Funding Ltd., Series 13A-4A, Class C2R, 144A, 3 mo. LIBOR + 2.25%, 3.71%, due 11/27/24		5,612,665
	1,202,320	CIFC Funding Ltd., Series 12-2A, Class A2RL, 144A, 3 mo. LIBOR + 1.90%, 3.22%, due 12/05/24		1,202,320
	2,366,820	CIFC Funding Ltd., Series 12-2A, Class B2R, 144A, 3 mo. LIBOR + 5.75%, 7.07%, due 12/05/24		2,366,806
	8,580,000	CIFC Funding Ltd., Series 14-1A, Class CR, 144A, 3 mo. LIBOR + 2.25%, 3.60%, due 04/18/25		8,607,773
	5,038,500	CIFC Funding Ltd., Series 15-5A, Class D, 144A, Variable Rate, 3 mo. LIBOR + 6.30%, 7.67%, due 10/25/27		5,094,654
	15,865,600	CIFC Funding Ltd., Series 12-2RA, Class A1, 144A, Variable Rate, 3 mo. USD LIBOR + .80%, 2.31% due 01/20/28		15,865,600
	9,875,050	Crown Point CLO II Ltd., Series 13-2A, Class A3LR, 144A, Variable Rate, 3 mo. USD LIBOR + 1.75%, 3.11%, due 12/31/23		9,874,922
	4,968,000	Cumberland Park CLO Ltd., Series 15-2A, Class C, 144A, 3 mo. LIBOR + 2.85%, 4.21%, due 07/20/26		4,972,238
4,888,750		Dorchester Park CLO Ltd., Series 15-1A, Class E, 144A, Variable Rate, 3 mo. LIBOR + 5.25%, 6.61%, due 01/20/27	4,913,942

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	5,166,000	GoldenTree Loan Opportunities VII Ltd., Series 13-7A, Class B, 144A, 3 mo. LIBOR + 1.75%, 3.12%, due 04/25/25		5,174,235
	2,581,500	GoldenTree Loan Opportunities VII Ltd., Series 13-7A, Class E, 144A, 3 mo. LIBOR + 4.70%, 6.07%, due 04/25/25		2,589,660
	7,326,150	KKR CLO Ltd., 144A, Series 12, Class ER, 3 mo. LIBOR + 5.60%, 6.96%, due 07/15/27		7,336,846
	1,465,400	Madison Park Funding XII Ltd, Series 14-12A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 3.71%, due 07/20/26		1,472,359
	3,652,000	Magnetite XVI Ltd., Series 15-16A, Class E, 144A, 3 mo. LIBOR + 6.35%, 7.70%, due 01/18/28		3,660,856
	1,292,250	Magnetite XVII Ltd., Series 16-17X, Class E, Reg. S, 3 mo. LIBOR + 8.15%, 9.51%, due 04/20/28		1,324,935
	4,307,500	Marathon CLO VIII Ltd., Series 15-8A, Class A1B, 144A, 3 mo. LIBOR + 1.49%, 2.84%, due 07/18/27		4,330,959
	6,871,400	Saratoga Investment CLO Ltd., Series 13-1A, Class CR, 144A, 3 mo. LIBOR + 3.36%, 4.72%, due 10/20/25		6,992,708
	6,679,024	Stewart Park CLO Ltd., Series 15-1A, Class B, 144A, 3 mo. LIBOR + 2.00%, 3.36%, due 04/15/26		6,699,502
	4,976,400	Stratford CLO Ltd., Series 07-1A, Class C, 144A, 3 mo. LIBOR + 2.00%, 3.38%, due 11/01/21		4,984,293
	3,016,300	Tryon Park CLO Ltd., Series 13-1A, Class A2, 144A, 3 mo. LIBOR + 1.55%, 2.91%, due 07/15/25		3,033,598
	6,004,600	Venture VIII CDO Ltd., Series 07-8A, Class D, 144A, 3 mo. LIBOR + 2.35%, 3.71%, due 07/22/21		6,031,501
	3,606,120	Venture VIII CDO Ltd., Reg. S, Series 07-8X, Class D, 3 mo. LIBOR + 2.35%, 3.71%, due 07/22/21		3,622,275
		Total Collateralized Loan Obligations		204,488,250
		Commercial Mortgage-Backed Securities — 12.8%
	4,300,000	Banc of America Commercial Mortgage Trust, Series 06-2, Class D, 144A, Variable Rate, 5.91%, due 05/10/45		4,299,487
	4,892,278	Commercial Mortgage Trust, Series 07-GG9, Class AJ, Variable Rate, 5.51%, due 03/10/39		4,390,730
	1,715,200	Core Industrial Trust, Series 15-TEXW, Class D, 144A, Variable Rate, 3.98%, due 02/10/34		1,750,426
	5,151,600	Core Industrial Trust, Series 15-WEST, Class C, 144A, 3.49%, due 02/10/37		5,170,091
	23,260,500	Core Industrial Trust, Series 15-WEST, Class E, 144A, Variable Rate, 4.37%, due 02/10/37		23,434,516
	1,224,511	Credit Suisse First Boston Mortgage Securities Corp., Series 04-C1, Class G, 144A, Variable Rate, 5.31%, due 01/15/37		1,243,030

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	4,230,746	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + .25%, 1.52%, due 04/15/37		4,031,264
	1,887,195	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		1,864,232
	3,660,307	Credit Suisse Mortgage Capital Certificates, Series 14-USA, Class A2, 144A, 3.95%, due 09/15/37		3,803,679
	18,949,365	Credit Suisse Mortgage Capital Certificates, Series 06-C4, Class AJ, Variable Rate, 5.54%, due 09/15/39		19,176,947
	5,514,720	CSMC Trust, Series 14-USA, Class E, 144A, 4.37%, due 09/15/37		4,883,636
	11,025,000	GS Mortgage Securities Corp., Series 16-RENT, Class E, 144A, Variable Rate, 4.20%, due 02/10/29		10,934,097
	16,989,010	GS Mortgage Securities Corp., Series 16-GS2, Class D, 144A, 2.75%, due 05/10/49		13,444,995
	17,113,616	GS Mortgage Securities Trust, Series 11-GC3, Class D, 144A, Variable Rate, 5.83%, due 03/10/44		17,837,676
	3,906,630	Hyatt Hotel Portfolio Trust, Series 17-HYT2, Class F, 144A, Variable Rate, 1 mo. USD LIBOR + 3.05%, 4.30%, due 08/09/32		3,906,732
	15,187,775	Hyatt Hotel Portfolio Trust, Series 17-HYT2, Class G, 144A, Variable Rate, 1 mo. USD LIBOR + 4.15%, 5.39%, due 08/09/32		15,206,919
	2,848,678	JP Morgan Chase Commercial Mortgage Securities Corp., Series 05-CB13, Class AJ, Variable Rate, 5.70%, due 01/12/43		2,857,538
	4,307,500	JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-CB9, Class E, Variable Rate, 5.46%, due 06/12/41		4,335,084
	2,432,859	JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-CB9, Class F, 144A, Variable Rate, 5.46%, due 06/12/41		2,278,372
	2,970,924	JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-C3, Class H, 144A, Variable Rate, 5.65%, due 01/15/42		2,966,011
	61,020	LB-UBS Commercial Mortgage Trust, Series 06-C1, Class AJ, Variable Rate, 5.28%, due 02/15/41		61,029
8,270,894		WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 3.25%, due 03/23/45	8,306,423
	3,434,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.67%, due 04/16/35		3,373,625
		Total Commercial Mortgage-Backed Securities		159,556,539

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — 10.5%
	1,491,153	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + .28%, 1.61%, due 02/25/36		852,635
	21,340,660	American Home Mortgage Investment Trust, Series 06-2, Class 4A, 1 mo. LIBOR + .36%, 1.69%, due 02/25/36		4,753,557
	6,218,781	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		5,730,699
	8,850,728	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		3,771,414
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		1,338,589
	887,007	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + .32%, 1.65%, due 02/25/37		1,836,858
	1,367,404	Carrington Mortgage Loan Trust, Series 06-RFC1, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 1.48%, due 05/25/36		1,364,876
	5,796,177	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,512,519
	8,622,464	Conseco Financial Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		8,439,950
	3,166,617	Conseco Financial Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,915,703
	3,000,012	Countrywide Home Equity Loan Trust, Series 07-E, Class A, FSA, Variable Rate, 1 mo. LIBOR + .15%, 1.40%, due 06/15/37		2,649,070
	3,767,560	Fannie Mae Connecticut Avenue Securities, Series 17-C01, Class 1M1, 1 mo. LIBOR + 1.30%, 2.63%, due 07/25/29		3,801,302
	902,721	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .50%, 1.83%, due 10/25/34		843,785
	2,296,148	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 6.81%, due 09/25/37		2,356,084
	32,224,349	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + .26%, 1.59%, due 06/25/36		4,968,508
	2,190,274	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		2,255,928
	4,471,046	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + .32%, 1.65%, due 03/25/36		1,027,678
	908,811	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 1.58%, due 02/26/34		817,216
	2,521,556	Meritage Mortgage Loan Trust, Series 05-2, Class M2, Variable Rate, 1 mo. LIBOR + .75%, 2.08%, due 11/25/35		2,529,973

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities – Other — continued
	4,861,107	Morgan Stanley Resecuritization Trust, Series 14-R8, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + .16%, 1.40%, due 06/26/47		4,837,026
	14,551,564	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, 1 mo. LIBOR + .20%, 1.53%, due 03/25/36		1,377,540
	8,300,510	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + .34%, 1.67%, due 03/25/36		785,680
	22,130,074	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, 1 mo. LIBOR + .40%, 1.73%, due 03/25/36		2,094,598
	2,458,425	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, 1 mo. LIBOR + .90%, 2.23%, due 08/25/35		2,624,872
	9,676,451	Oakwood Mortgage Investors, Inc., Series 99-C, Class A2, 7.48%, due 08/15/27		9,629,791
	1,555,857	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,565,328
	2,855,968	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		2,905,674
	6,487,759	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		6,107,947
	11,351,710	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		6,539,388
	1,547,625	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		1,386,516
	1,926,342	Ownit Mortgage Loan Trust, Series 06-3, Class A2C, Variable Rate, 1 mo. LIBOR + .17%, 1.50%, due 03/25/37		1,924,237
	4,267,879	PHH Mortgage Trust, Series 07-1SL, Class M2, 144A, STEP, 7.00%, due 12/25/27		4,498,214
	21,897,647	Residential Funding Mortgage Securities II, Series 06-HI4, Class A4, STEP, 5.72%, due 09/25/36		17,565,717
	2,233,721	SACO I Trust, Series 05-10, Class 2A1, 1 mo. LIBOR + .52%, 1.85%, due 01/25/36		2,229,761
14,689,352		Soundview Home Loan Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + .38%, 1.71%, due 11/25/35 (b)	2,174,193
	25,446,816	Terwin Mortgage Trust, Series 07-1SL, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .14%, 1.47%, due 01/25/38		3,899,333
	961,053	Wells Fargo Mortgage Backed Securities Trust, Series 05-AR14, Class A4, Variable Rate, 3.48%, due 08/25/35		962,519
		Total Residential Mortgage-Backed Securities — Other		130,874,678

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities – Prime — 2.9%
	4,755,787	BCAP LLC Trust, Series 09-RR13, Class 16A2, 144A, Variable Rate, 3.86%, due 09/26/35		4,551,530
	2,524,650	Bear Stearns ARM Trust, Series 05-6, Class 3A1, Variable Rate, 3.61%, due 08/25/35		2,570,773
	2,239,192	Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield + 2.30%, 3.52%, due 10/25/35		2,282,924
	2,150,329	Chase Mortgage Finance Trust, Series 05-A1, Class 3A1, Variable Rate, 3.32%, due 12/25/35		2,090,976
	3,875,881	Chase Mortgage Finance Trust, Series 07-A1, Class 11M1, Variable Rate, 3.39%, due 03/25/37		3,819,273
	1,646,653	Citigroup Mortgage Loan Trust, Series 05-3, Class 2A2, Variable Rate, 3.46%, due 08/25/35		1,648,234
	3,543,336	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.63%, due 12/25/36		3,391,255
	2,936,267	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.61%, due 03/25/37		2,860,314
	2,956,079	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 3.29%, due 09/25/35		2,939,848
	4,038,355	WaMu Mortgage Pass-Through Certificates, Series 07-HY2, Class 2A1, Variable Rate, 3.41%, due 11/25/36		3,791,196
	2,114,754	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, 1.98%, due 01/25/47		2,094,013
	3,618,955	Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 07-5, Class A6, 6.00%, due 06/25/37		3,578,973
		Total Residential Mortgage-Backed Securities – Prime		35,619,309
		Residential Mortgage-Backed Securities – Subprime — 1.0%
	2,578,393	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 1.46%, due 05/26/37		2,401,305
	6,010,378	Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + .11%, 1.44%, due 04/25/31		7,401,868
	3,417,952	RAMP Trust, Series 07-RZ1, Class A2, Variable Rate, 1 mo. LIBOR + .16%, 1.49%, due 02/25/37		3,388,063
		Total Residential Mortgage-Backed Securities – Subprime		13,191,236

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities – Alt-A — 2.2%
	2,731,217	Adjustable Rate Mortgage Trust, Series 05-1, Class 5M1, Variable Rate, 1 mo. LIBOR + 1.05%, 2.38%, due 05/25/35		2,642,259
	2,809,189	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + .70%, 2.03%, due 05/25/36		1,615,530
	2,766,502	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + .70%, 2.03%, due 10/25/36		1,679,916
	2,909,263	Bear Stearns ARM Trust, Series 07-1, Class 2A1, Variable Rate, 3.45%, due 02/25/47		2,742,612
	8,352,459	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.42%, due 07/25/36		6,296,090
	3,007,844	Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 05-7, Class 2CB1, 5.50%, due 08/25/35		3,035,714
	10,529,204	Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 06-AR10, Class A2A, Variable Rate, 1 mo. LIBOR + .17%, 1.50%, due 12/25/36		9,507,469
		Total Residential Mortgage-Backed Securities – Alt-A		27,519,590
		Small Balance Commercial Mortgages — 11.4%
	759,568	Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .84%, 1.89%, due 04/25/34		741,038
	422,411	Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 2.53%, due 04/25/34		419,932
	736,081	Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, 1 mo. LIBOR + 2.85%, 3.23%, due 04/25/34		739,559
	6,886,400	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .31%, 1.64%, due 08/25/35		6,527,427
	3,692,141	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .39%, 1.72%, due 01/25/36		3,458,045
	2,160,862	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, 1 mo. LIBOR + .38%, 1.62%, due 04/25/36		2,017,749
	2,875,412	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, 1 mo. LIBOR + .23%, 1.56%, due 07/25/36		2,774,324
	5,881,693	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .28%, 1.61%, due 07/25/36		5,690,386
	3,424,597	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, 1 mo. LIBOR + .25%, 1.58%, due 10/25/36		3,229,490

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	1,017,711	Bayview Commercial Asset Trust, Series 06-3A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .30%, 1.63%, due 10/25/36		961,854
	3,052,144	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .24%, 1.48%, due 07/25/37		2,899,844
	12,711,431	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .27%, 1.51%, due 07/25/37		12,141,919
	6,768,058	Bayview Commercial Asset Trust, Series 07-2A, Class A2, 144A, 1 mo. LIBOR + .32%, 1.56%, due 07/25/37		6,276,693
	6,519,243	Bayview Commercial Asset Trust, Series 07-4A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .45%, 1.78%, due 09/25/37		6,186,081
	3,211,158	Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, 1 mo. LIBOR + .85%, 2.18%, due 12/25/37		3,173,959
	7,330,832	Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, 1 mo. LIBOR + 1.25%, 2.58%, due 12/25/37		7,323,491
	25,411,032	GE Business Loan Trust, Series 06, Class 1X, Variable Rate, 1 mo. LIBOR + .20%, 1.45%, due 05/15/34		24,499,671
	2,961,714	GE Business Loan Trust, Series 06-2A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .18%, 1.41%, due 11/15/34		2,871,039
	6,346,513	GE Business Loan Trust, Series 07-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .17%, 1.42%, due 04/16/35		6,167,271
	5,144,328	GE Business Loan Trust, Series 07-1A, Class D, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 2.25%, due 04/16/35		4,580,838
	4,052,272	Lehman Brothers Small Balance Commercial, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .31%, 1.64%, due 04/25/31		4,041,846
	2,592,000	Lehman Brothers Small Balance Commercial, Series 06-2A, Class M1, 144A, 1 mo. LIBOR + .29%, 1.62%, due 09/25/36		2,515,451
	4,800,902	Lehman Brothers Small Balance Commercial, Series 06-3A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + .20%, 1.53%, due 12/25/36		4,463,269
	4,300,000	Lehman Brothers Small Balance Commercial, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .40%, 1.64%, due 06/25/37		3,904,247
	6,334,368	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 1.58%, due 02/25/30		6,189,995
	2,022,599	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, 1 mo. LIBOR + 1.00%, 2.33%, due 04/25/31		1,910,495
	2,401,836	Velocity Commercial Capital Loan Trust, Series 16-2, Class AFL, 1 mo. LIBOR + 1.80%, 3.13%, due 10/25/46		2,425,841

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	9,503,550	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class C, 144A, Variable Rate, 2.55%, due 12/27/49		9,531,636
	3,430,400	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 2.92%, due 12/27/49		3,439,275
		Total Small Balance Commercial Mortgages		141,102,665
		Student Loans — 24.6%
	7,770,611	Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .80%, 2.17%, due 07/25/34		7,316,184
	3,172,826	Access Group, Inc., Series 03-A, Class A2, 3 mo. USGG +1.20%, 2.29%, due 07/01/38		3,194,543
	10,975,761	AccessLex Institute, Series 07-1, Class A4, 3 mo. USGG + 0.06%, 1.43%, due 01/25/23		10,789,725
	11,218,841	AccessLex Institute, Series 04-2, Class B, 3 mo. LIBOR + .70%, 2.07%, due 01/25/43		9,640,165
	5,934,738	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + .32%, 1.65%, due 03/28/35(a)		5,359,811
	4,599,024	KeyCorp Student Loan Trust, Series 00-B, Class A2, 3 mo. LIBOR + 0.31%, 1.68%, due 07/25/29		4,526,603
	25,090,320	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + .48%, 1.81%, due 12/27/41		23,885,764
	3,123,725	KeyCorp Student Loan Trust, Series 04-A, Class 2C, 3 mo. LIBOR + 0.80%, 2.17%, due 04/28/42		3,011,385
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, 3 mo. LIBOR + 1.25%, 2.62%, due 07/28/42		3,965,838
	7,275,093	KeyCorp Student Loan Trust, Series 04-A, Class 1A2, 3 mo. LIBOR + 0.24%, 1.61%, due 10/27/42		7,002,353
	8,344,912	Montana Higher Education Student Assistance Corp., Series 12-1, Class A2, 1 mo. LIBOR + 1.00%, 2.28%, due 05/20/30		8,428,903
	18,250,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 4.81%, due 03/31/38(a)		7,665,000
	7,545,035	National Collegiate Commutation Trust, Series 07-3, Class A3L, 144A, 1 mo. LIBOR + .84%, 2.08%, due 03/31/38		3,055,357
	2,808,654	National Collegiate Student Loan Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .21%, 1.54%, due 11/25/27		2,763,884
	5,940,696	National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.25%, 1.58%, due 03/27/28		5,889,800
	1,758,941	National Collegiate Student Loan Trust, Series 06-3, Class A4, Variable Rate, 1 mo. LIBOR + .27%, 1.60%, due 03/26/29		1,726,321
	5,788,865	National Collegiate Student Loan Trust, Series 05-2, Class A4, Variable Rate, 1 mo. LIBOR + .27%, 1.60%, due 09/25/29		5,677,598

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — continued
	29,580,505	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 1.57%, due 07/25/30		28,759,235
	8,685,000	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + .31%, 1.64%, due 05/25/32		7,583,590
	12,960,000	National Collegiate Student Loan Trust, Series 06-1, Class A5, 1 mo. LIBOR + .35%, 1.68%, due 03/25/33		11,382,177
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 4.83%, due 03/25/38(a)		58,875
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, due 03/25/38(a)		19,625
	7,237,286	Navient Private Education Loan Trust, Series 15-AA, Class A3, 144A, 1 mo. LIBOR + 1.70%, 2.95%, due 11/15/30		7,469,363
	5,623,264	Navient Private Education Loan Trust, Series 14-AA, Class A3, 144A, 1 mo. USD LIBOR + 1.60%, 2.85%, due 10/15/31		5,737,451
	32,566,305	SLC Private Student Loan Trust, Series 06-A, Class C, Variable Rate, 1 mo. USD LIBOR + .45%, 1.81%, due 07/15/36		31,019,581
	12,579,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 3.78%, due 06/15/32 (a)		12,579,000
	5,850,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 3.85%, due 09/15/32 (a)		5,850,000
	3,569,349	SLM Private Credit Student Loan Trust, Series 03-C, Class C, 3 mo. LIBOR + 1.60%, 2.92%, due 09/15/32		1,235,529
	9,000,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + .43%, 1.75%, due 09/15/33		8,463,213
	5,565,303	SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .28%, 1.60%, due 12/15/38		5,364,020
	47,615,000	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + .29%, 1.61%, due 06/15/39		45,554,118
	11,931,000	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + .33%, 1.65%, due 06/15/39		11,312,205
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, 3 mo. LIBOR + .39%, 1.71%, due 12/15/39		2,043,242
	6,000,000	SLM Private Education Loan Trust, Series 11-B, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.25%, 3.50%, due 06/16/42		6,231,550
	1,118,000	South Carolina Student Loan Corp., Series 14-1, Class A1, 1 mo. LIBOR + .75%, 1.99%, due 05/01/30		1,111,004
		Total Student Loans		305,673,012

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Time Share — 1.0%
	722,902	BXG Receivables Note Trust, Series 12-A, Class B, 144A, 3.99%, due 12/02/27		722,748
	2,417,719	BXG Receivables Note Trust, Series 13-A, Class B, 144A, 4.00%, due 12/04/28		2,443,634
	1,158,053	Diamond Resorts Owner Trust, Series 13-2, Class A, 144A, 2.27%, due 05/20/26		1,155,934
	753,307	Diamond Resorts Owner Trust, Series 13-2, Class B, 144A, 2.62%, due 05/20/26		751,955
	1,590,215	Marriott Vacation Club Owner Trust, Series 12-1A, Class B, 144A, Variable Rate, 3.50%, due 05/20/30		1,598,890
	300,568	Orange Lake Timeshare Trust, Series 12-AA, Class B, 144A, 4.87%, due 03/10/27		303,289
	1,386,374	Sierra Timeshare Receivables Funding LLC, Series 13-2A, Class B, 144A, Variable Rate, 2.92%, due 11/20/25		1,386,976
	293,297	Sierra Timeshare Receivables Funding LLC, Series 13-2A, Class C, 144A, Variable Rate, 4.75%, due 11/20/25		293,659
	1,325,535	Silverleaf Finance XVII LLC, Series 13-A, Class B, 144A, 3.67%, due 03/16/26		1,323,635
	2,189,037	Westgate Resorts LLC, Series 17-1A, Class A, 144A, 3.05%, due 12/20/30		2,186,596
		Total Time Share		12,167,316
		Total Asset-Backed Securities		1,116,414,145
		U.S. Government Agency — 12.1%
	192,974	Agency for International Development Floater (Support of Jamaica), Variable Rate, 3 mo. LIBOR + .30%, 1.77%, due 10/01/18 (c)		191,911
	7,406,250	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR – .02%, 1.64%, due 02/01/25 (c)		7,126,775
	6,750,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + .15%, 1.80%, due 10/29/26 (c)		6,479,149
	4,230,000	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR, 1.65%, due 07/01/23 (c)		4,107,077
	5,000,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 02/28/18		4,983,930
	2,500,000	Federal Home Loan Banks, 3 mo. LIBOR – .31%, 1.11%, due 08/15/18		2,497,227
	100,000,000	Federal National Mortgage Association, TBA, 3.50%, due 12/18/47		103,307,640
	20,000,000	Federal National Mortgage Association, TBA, 4.00%, due 12/13/47		20,890,624
		Total U.S. Government Agency		149,584,333
		TOTAL DEBT OBLIGATIONS (COST $1,237,269,460)		1,265,998,478

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 4.5%
		United States — 4.5%
		Affiliated Issuers — 4.5%
	2,267,067	GMO U.S. Treasury Fund		56,631,332
		TOTAL MUTUAL FUNDS (COST $56,650,000)		56,631,332
		SHORT-TERM INVESTMENTS — 4.4%
		Money Market Funds — 0.1%
	1,343,156	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.00% (d)		1,343,156

Par Value†		Description	Value ($)
		U.S. Government — 4.3%
	1,000,000	U.S. Treasury Bill, 0.84%, due 12/07/17 (e)		999,838
	15,000,000	U.S. Treasury Bill, 1.19%, due 02/15/18 (e)		14,962,317
	3,000,000	U.S. Treasury Bill, 1.28%, due 03/22/18 (e) (f)		2,988,287
	33,000,000	U.S. Treasury Bill, 1.40%, due 05/17/18 (e) (f)		32,788,936
	2,000,000	U.S. Treasury Note, 0.88%, due 01/15/18 (f)		1,999,099
		Total U.S. Government		53,738,477
		TOTAL SHORT-TERM INVESTMENTS (COST $55,081,595)		55,081,633

PURCHASED OPTIONS — 0.1%

Description	Counterparty	Exercise Rate			Expiration Date		Principal/ Notional Amount		Floating Rate Index	Pay/Receive Floating Rate	Value ($)
Options on Credit Default Swaps — Puts — 0.1%
CDX.NA.HYS.29.V1-5Y	GS		106.50	%		12/20/17	USD	51,516,000	Fixed Spread	Pay	54,537
CDX.NA.IGS.29.V1-5Y	JPM		57.50	%		01/17/18	USD	150,115,000	Fixed Spread	Pay	111,647
CDX.NA.IGS.29.V1-5Y	DB		57.50	%		01/17/18	USD	222,976,000	Fixed Spread	Pay	165,836
ITRAXX-XOVERS28V1-3Y	BOA		250.00	%		01/17/18	EUR	64,387,500	Fixed Spread	Pay	300,820
			Total Options on Credit Default Swaps – Puts								632,840
			TOTAL PURCHASED OPTIONS (COST $998,035)								632,840

Par Value†			Description	Value ($)
			TOTAL INVESTMENTS — 111.0% (Cost $1,349,999,090)		1,378,344,283
			SECURITIES SOLD SHORT — (6.8)%
			Debt Obligations — (6.8)%
			U.S. Government Agency — (6.8)%
	(67,000,000	)	Federal National Mortgage Association, TBA, 3.00%, due 12/18/47		(68,265,660	)
	(16,000,000	)	Federal National Mortgage Association, TBA, 3.50%, due 12/13/47		(16,401,575	)
			Total U.S. Government Agency		(84,667,235	)
			TOTAL DEBT OBLIGATIONS (COST $(85,107,617))		(84,667,235	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $85,107,617)		(84,667,235	)
			Other Assets and Liabilities (net) — (4.2%)		(52,303,464	)
			TOTAL NET ASSETS — 100.0%		$1,241,373,584

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

A summary of outstanding financial instruments at November 30, 2017 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation)
02/20/2018	JPM	USD	726,221		EUR	613,245	$	7,366

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
Buys
326	U.S. Treasury Note 5 Yr. (CBT)	March 2018	$	37,928,063	$	(150,725	)
271	U.S. Treasury Ultra 10 Yr. (CBT)	March 2018		36,089,578		(291,643	)
			$	74,017,641	$	(442,368	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Description	Counterparty	Exercise Rate	Expiration Date	Principal/ Notional Amount			Pay/Receive Floating Rate	Value ($)
Written Options on Credit Default Swaps — Puts
ITRAXX-XOVERS28V1-3Y	BOA	350.00%	03/21/18	EUR	(80,484,375	)	Pay	$(320,872)
CDX.NA.HYS.29.V1-5Y	BCLY	104.00%	12/20/17	USD	(64,395,000	)	Pay	(17,247)
CDX.NA.IGS.29.V1-5Y	DB	80.00%	03/21/18	USD	(257,280,000	)	Pay	(153,195)
CDX.NA.IGS.29.V1-5Y	JPM	80.00%	03/21/18	USD	(171,560,000	)	Pay	(102,154)
			TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS — PUTS
			(Premiums $771,859)					$(593,468)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
Buy Protection ^:
CDX.NA.HYS.27.V1-5Y	USD	24,693,500		5.00%		2.98%	N/A		12/20/2021		Quarterly	$	(1,825,591	)	$	(2,066,080	)	$	(240,489	)
ITRAXX-EUROPES27V1-5Y	EUR	25,800,000		1.00%		3.18%	N/A		06/20/2022		Quarterly		(327,126	)		(836,682	)		(509,556	)
Sell Protection ^:
CDX.NA.IGS.28.V1-5Y	USD	17,200,000		1.00%		0.58%	N/A		06/20/2022		Quarterly		300,982			368,304			67,322
												$	(1,851,735	)	$	(2,534,458	)	$	(682,723	)

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

OTC Credit Default Swaps

Reference Entity	Counter- party	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
Buy Protection ^:
MBIA, Inc.	GS	USD	21,650,000		5.00%		8.34%		N/A		12/20/2017		Quarterly	$	(1,044,612	)	$	43,200		$	1,087,812
CDX-NA.IGS.25.V1-5Y	CITI	USD	4,300,000		1.00%		0.70%		N/A		12/20/2020		Quarterly		548,250			(39,308	)		(587,558	)
CDX.NA.HYS.25.V1-5Y	BOA	USD	4,400,000		5.00%		1.91%		N/A		12/20/2020		Quarterly		369,771			(403,771	)		(773,542	)
CDX.NA.HYS.25.V1-5Y	JPM	USD	4,343,000		5.00%		1.91%		N/A		12/20/2020		Quarterly		(26,058	)		(398,540	)		(372,482	)
CDX.NA.IGS.25.V1-5Y	BOA	USD	4,400,000		1.00%		0.70%		N/A		12/20/2020		Quarterly		710,845			(40,222	)		(751,067	)
CDX.NA.HYS.27.V2-5Y	GS	USD	8,580,000		5.00%		3.85%		N/A		12/20/2021		Quarterly		21,450			(597,676	)		(619,126	)
CDX.NA.HYS.27.V2-5Y	JPM	USD	4,300,000		5.00%		3.18%		N/A		12/20/2021		Quarterly		(11,825	)		(299,535	)		(287,710	)
D.R. HORTON INC	BCLY	USD	17,200,000		1.00%		0.32%		N/A		06/20/2022		Quarterly		(165,250	)		(511,736	)		(346,486	)
Navient Corp.	BCLY	USD	2,576,400		5.00%		2.86%		N/A		12/20/2022		Quarterly		(208,665	)		(248,489	)		(39,824	)
Navient Corp.	BCLY	USD	2,576,400		5.00%		2.86%		N/A		12/20/2022		Quarterly		(198,694	)		(248,489	)		(49,795	)
Navient Corp.	BCLY	USD	3,435,200		5.00%		2.86%		N/A		12/20/2022		Quarterly		(264,647	)		(331,319	)		(66,672	)
CMBX.NA.AS.7	BOA	USD	4,505,000		1.00%		1.01%		N/A		01/17/2047		Monthly		47,352			(33,903	)		(81,255	)
CMBX.NA.AS.7	DB	USD	16,677,794		1.00%		1.01%		N/A		01/17/2047		Monthly		197,705			(125,513	)		(323,218	)
CMBX.NA.AS.7	GS	USD	4,400,000		1.00%		1.01%		N/A		01/17/2047		Monthly		112,812			(33,113	)		(145,925	)
CMBX.NA.AS.7	MSCS	USD	13,270,000		1.00%		1.01%		N/A		01/17/2047		Monthly		205,782			(99,867	)		(305,649	)
CMBX.NA.AA.8	CSI	USD	4,446,000		1.50%		0.99%		N/A		10/17/2057		Monthly		132,548			65,089			(67,459	)
CMBX.NA.AA.8	CSI	USD	8,892,000		1.50%		0.99%		N/A		10/17/2057		Monthly		247,718			130,179			(117,539	)
CMBX.NA.AS.8	CITI	USD	8,892,000		1.00%		1.00%		N/A		10/17/2057		Monthly		73,095			(83,058	)		(156,153	)
CMBX.NA.AS.8	MSCS	USD	3,384,000		1.00%		1.00%		N/A		10/17/2057		Monthly		140,432			(31,609	)		(172,041	)
CMBX.NA.BBB-8	GS	USD	8,650,000		3.00%		0.83%		N/A		10/17/2057		Monthly		1,299,081			1,346,967			47,886
CMBX.NA.AAA.9	DB	USD	21,462,500		0.50%		0.50%		N/A		09/17/2058		Monthly		(26,900	)		(1,006	)		25,894
CMBX.NA.AAA.9	DB	USD	21,462,500		0.50%		0.50%		N/A		09/17/2058		Monthly		(23,012	)		(1,006	)		22,006
CMBX.NA.AAA.9	GS	USD	874,200		0.50%		0.50%		N/A		09/17/2058		Monthly		48,015			(41	)		(48,056	)
CMBX.NA.BBB-.9	DB	USD	4,400,000		3.00%		0.88%		N/A		09/17/2058		Monthly		950,085			486,617			(463,468	)
CMBX.NA.BBB-.9	GS	USD	1,760,000		3.00%		0.88%		N/A		09/17/2058		Monthly		346,611			194,647			(151,964	)
CMBX.NA.AAA.10	CSI	USD	17,230,000		0.50%		0.60%		N/A		11/17/2059		Monthly		134,515			72,138			(62,377	)
CMBX.NA.BBB-.10	DB	USD	1,721,400		3.00%		0.90%		N/A		11/17/2059		Monthly		158,934			175,584			16,650
CMBX.NA.BBB-.10	GS	USD	3,446,000		3.00%		0.90%		N/A		11/17/2059		Monthly		319,629			351,494			31,865
CMBX.NA.BBB-.10	GS	USD	1,720,200		3.00%		0.90%		N/A		11/17/2059		Monthly		185,912			175,460			(10,452	)
CMBX.NA.BBB-.6	CSI	USD	831,500		3.00%		0.86%		N/A		05/11/2063		Monthly		48,393			132,067			83,674
CMBX.NA.BBB-.6	DB	USD	4,376,500		3.00%		0.86%		N/A		05/11/2063		Monthly		289,540			695,118			405,578
Sell Protection ^:
CDX.NA.HYS.27.V2-5Y	GS	USD	12,870,000		5.00%		0.95%		12,870,000 USD		12/20/2021		Quarterly		1,657,013			2,046,080			389,067
CDX.NA.HYS.27.V2-5Y	JPM	USD	8,600,000		5.00%		0.95%		8,600,000 USD		12/20/2021		Quarterly		1,143,800			1,367,233			223,433
CDX-NAHYS29V1-5Y	BOA	USD	25,885,000		5.00%		1.55%		N/A		12/20/2022		Quarterly		4,283,967			4,287,692			3,725
														$	11,703,592		$	8,041,364		$	(3,662,228	)

^ Buy Protection - 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 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.

Sell Protection - 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.

(1) As of November 30, 2017, 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.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received)			Value ($)		Net Unrealized Appreciation/ (Depreciation)
1.27%		3 Month USD LIBOR	USD	10,495,000		03/10/2021	Quarterly	$	—		$	276,654	$	276,654
1.75%		3 Month USD LIBOR	USD	15,052,000		03/16/2021	Quarterly		(120,519	)		168,806		289,325
2.10%		3 Month USD LIBOR	USD	1,715,000		11/24/2021	Quarterly		—			3,045		3,045
2.06%		3 Month USD LIBOR	USD	3,419,000		11/10/2022	Quarterly		—			21,727		21,727
2.15%		3 Month USD LIBOR	USD	5,100,000		10/13/2024	Quarterly		—			43,282		43,282
2.00%		3 Month USD LIBOR	USD	19,668,000		04/16/2025	Quarterly		(91,173	)		439,198		530,371
1.65%		3 Month USD LIBOR	USD	10,466,000		05/19/2026	Quarterly		252,588			588,950		336,362
1.60%		3 Month USD LIBOR	USD	1,069,000		06/10/2026	Quarterly		—			65,027		65,027
1.42%		3 Month USD LIBOR	USD	4,115,000		07/18/2026	Quarterly		30,724			311,780		281,056
1.46%		3 Month USD LIBOR	USD	5,451,000		08/15/2026	Quarterly		377,417			400,040		22,623
								$	449,037		$	2,318,509	$	1,869,472

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received)		Value ($)		Net Unrealized Appreciation/ (Depreciation)
Total Return on iBoxx USD Liquid Leveraged Loans Index	3 Month USD LIBOR	GS		USD	25,000,000	12/20/2017		Quarterly	$	—	$	41,201	$	41,201
Total Return on iBoxx USD Liquid Leveraged Loans Index	3 Month USD LIBOR	GS		USD	15,000,000	12/20/2017		Quarterly		—		83,183		83,183
									$	—	$	124,384	$	124,384

As of November 30, 2017, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

Notes to Schedule of Investments:

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

CDO - Collateralized Debt Obligation

CLO - Collateralized Loan Obligation

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

LIBOR - London Interbank Offered Rate

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

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.

TBA - To Be Announced - Delayed Delivery Security

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

USGG - U.S. Generic Government

The rates shown on variable rate notes are the current interest rates at November 30, 2017, which are subject to change based on the terms of the security.

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

(a) Investment valued using significant unobservable inputs.

(b) Security is in default.

(c) 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. Investment valued using significant unobservable inputs.

(d) The rate disclosed is the 7 day net yield as of November 30, 2017.

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

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

Counterparty Abbreviations:

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CITI - Citibank N.A.

CSI - Credit Suisse International

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCS - Morgan Stanley Capital Services LLC

Currency Abbreviations:

EUR - Euro

USD - United States Dollar

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 99.9%
		United States — 99.9%
		U.S. Government — 84.9%
	192,000,000	U.S. Treasury Bill, 1.09%, due 01/02/18 (a)		191,811,414
	236,850,000	U.S. Treasury Bill, 1.26%, due 03/01/18 (a)		236,110,583
	326,000,000	U.S. Treasury Bill, 1.30%, due 04/05/18(a)		324,539,791
	56,000,000	U.S. Treasury Bill, 1.30%, due 04/26/18 (a)		55,708,730
	100,000,000	U.S. Treasury Bill, 1.42%, due 05/24/18 (a)		99,322,125
	65,000,000	U.S. Treasury Note, 2.63%, due 01/31/18		65,146,663
	35,000,000	U.S. Treasury Note, 1.00%, due 02/15/18		34,978,821
	67,000,000	U.S. Treasury Note, 0.75%, due 02/28/18		66,908,210
	50,000,000	U.S. Treasury Note, 2.75%, due 02/28/18		50,176,564
	50,000,000	U.S. Treasury Note, 1.13%, due 06/15/18		49,912,109
	15,000,000	U.S. Treasury Note, 2.38%, due 06/30/18		15,076,758
	60,000,000	U.S. Treasury Note, 0.75%, due 07/31/18		59,695,313
	50,000,000	U.S. Treasury Note, 0.75%, due 08/31/18		49,695,312
	190,000,000	U.S. Treasury Note, 1.50%, due 08/31/18		189,888,671
	10,000,000	U.S. Treasury Note, 1.00%, due 09/15/18		9,951,563
	75,000,000	U.S. Treasury Note, 0.75%, due 09/30/18		74,463,867
	100,000,000	U.S. Treasury Note, USBM + 0.07%, 1.36%, due 04/30/19		100,116,513
	100,000,000	U.S. Treasury Note, USBM + 0.05%, 1.34%, due 10/31/19		100,015,041
		Total U.S. Government		1,773,518,048
		U.S. Government Agency — 9.6%
	50,000,000	Federal Home Loan Banks, 0.88%, due 10/01/18		49,671,250
	25,000,000	Federal Home Loan Banks, Variable Rate, 1 mo. LIBOR – .09%, 1.16%, due 01/14/19		24,994,065
	100,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR – .16%, 1.22%, due 01/28/19		99,983,172
	25,000,000	Federal Home Loan Banks, Variable Rate, 1 mo. LIBOR – .08%, 1.25%, due 04/26/19		24,990,735
		Total U.S. Government Agency		199,639,222
		Money Market Funds — 0.0%
	271,226	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.00% (b)		271,226
		Repurchase Agreements — 5.4%
	93,821,701	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 11/30/17, maturing on 12/01/17 with a maturity value of $93,824,438 and an effective yield of 1.05%, collateralized by a U.S. Treasury Note with maturity date 01/31/23 and a market value of $95,581,868.		93,821,701

Par Value†		Description	Value ($)
		Repurchase Agreements — continued
	19,999,833	Nomura Securities International Inc. Repurchase Agreement, dated 11/30/17, maturing on 12/01/17 with a maturity value of $20,000,411 and an effective yield of 1.04%, collateralized by a U.S. Treasury Note with maturity date 08/15/24 and a market value of $20,367,597.		19,999,833
		Total Repurchase Agreements		113,821,534
		TOTAL SHORT-TERM INVESTMENTS (COST $2,088,026,219)		2,087,250,030
		TOTAL INVESTMENTS — 99.9% (Cost $2,088,026,219)		2,087,250,030
		Other Assets and Liabilities (net) — 0.1%		1,057,457
		TOTAL NET ASSETS — 100.0%		$2,088,307,487

Notes to Schedule of Investments:

LIBOR - London Interbank Offered Rate

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

The rates shown on variable rate notes are the current interest rates at November 30, 2017, which are subject to change based on the terms of the security.

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

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

(b) The rate disclosed is the 7 day net yield as of November 30, 2017.

Each Fund has elected to be treated or intends to elect 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. 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. As of November 30, 2017, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:

	Total Investments								Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Asset Allocation Bond Fund		1,238,774,783		4,052,252		(5,345,764)		(1,293,512)		544,842
Core Plus Bond Fund		1,145,859,354		12,336,948		(3,026,915)		9,310,033		558,671
Emerging Country Debt Fund		4,081,763,246		297,565,237		(277,641,848)		19,923,389		4,658,101
Opportunistic Income Fund		1,264,887,615		127,405,837		(98,616,404)		28,789,433		(3,379,565)
U.S. Treasury Fund		2,088,026,219		142,017		(918,206)		(776,189)		—

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, if any, or investment in other funds of GMO Trust (“underlying funds”). A summary of the Funds’ transactions involving companies or underlying funds that are or were affiliates during the period ended November 30, 2017 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Core Plus Bond Fund
GMO Emerging Country Debt Fund, Class IV	$	28,722,150	$	23,261,996	$	—	$	646,835	$	—		$	1,439,309		$	53,423,455
GMO Opportunistic Income Fund, Class VI		113,920,146		91,254,524		—		642,087		—			5,958,309			211,132,979
GMO U.S. Treasury Fund		88,644,748		153,560,000		217,100,000		590,035		(32,256	)		(10,033	)		25,062,459
Totals	$	231,287,044	$	268,076,520	$	217,100,000	$	1,878,957	$	(32,256	)	$	7,387,585		$	289,618,893
Emerging Country Debt Fund
GMO Opportunistic Income Fund, Class VI	$	14,643,342	$	—	$	—	$	77,647		—			550,972		$	15,194,314
GMO U.S. Treasury Fund		87,277,534		—		6,000,000		597,477		(4,802	)		(62,619	)		81,210,113
Totals	$	101,920,876	$	—	$	6,000,000	$	675,124	$	(4,802	)	$	488,353		$	96,404,427
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	72,837,633	$	295,650,000	$	311,826,112	$	266,033	$	(31,850	)	$	1,661		$	56,631,332

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2017 through November 30, 2017. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2018.

Basis of presentation

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

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 source) 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 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 of GMO Trust (“Trustees”) or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2017, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets 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, if any, that were valued using fair value inputs obtained from that independent pricing service as of November 30, 2017. 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 November 30, 2017 is as follows:

Securities and derivatives

Fund Name	Fair valued using methods determined in good faith by or at the direction of the Trustees		Single source; No alternative pricing source was available
Asset Allocation Bond Fund		—		—
Core Plus Bond Fund		< 1%		2%
Emerging Country Debt Fund		1%†		3%
Opportunistic Income Fund		1%‡		11%
U.S. Treasury Fund		—		—

† 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.

‡ 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.

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 November 30, 2017.

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; and third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of November 30, 2017:

Description	Level 1			Level 2			Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	348,238,688		$	747,067,192		$	—	$	1,095,305,880
U.S. Government Agency		14,982,463			—			—		14,982,463
TOTAL DEBT OBLIGATIONS		363,221,151			747,067,192			—		1,110,288,343
Short-Term Investments		27,193,764			99,999,164			—		127,192,928
Total Investments		390,414,915			847,066,356			—		1,237,481,271
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			6,460,524			—		6,460,524
Swap Contracts
Interest Rate Risk		—			1,761,715			—		1,761,715
Total	$	390,414,915		$	855,288,595		$	—	$	1,245,703,510
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(6,161,470	)	$	—	$	(6,161,470	)
Swap Contracts
Interest Rate Risk		—			(1,529,014	)		—		(1,529,014	)
Total	$	—		$	(7,690,484	)	$	—	$	(7,690,484	)
Core Plus Bond Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	361,362		$	—	$	361,362
U.S. Government		444,600,436			—			—		444,600,436
U.S. Government Agency		—			151,438,167			—		151,438,167
TOTAL DEBT OBLIGATIONS		444,600,436			151,799,529			—		596,399,965
Mutual Funds		442,616,386			—			—		442,616,386
Short-Term Investments		7,277,891			108,875,145			—		116,153,036
Total Investments		894,494,713			260,674,674			—		1,155,169,387
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			1,622,688			—		1,622,688
Swap Contracts
Interest Rate Risk		—			3,199,544			—		3,199,544
Total	$	894,494,713		$	265,496,906		$	—	$	1,159,991,619
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(1,319,524	)	$	—	$	(1,319,524	)
Futures Contracts
Interest Rate Risk		(682,263	)		—			—		(682,263	)
Swap Contracts
Interest Rate Risk		—			(2,281,978	)		—		(2,281,978	)
Total	$	(682,263	)	$	(3,601,502	)	$	—	$	(4,283,765	)

Description	Level 1		Level 2			Level 3			Total
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	52,137,061		$	—		$	52,137,061
Corporate Debt		—		—			27,809,988			27,809,988
Foreign Government Agency		—		802,880,808			110,775,471			913,656,279
Foreign Government Obligations		—		1,835,000,287			128,407,437			1,963,407,724
U.S. Government		121,671,289		75,851,004			—			197,522,293
TOTAL DEBT OBLIGATIONS		121,671,289		2,765,869,160			266,992,896			3,154,533,345
Loan Assignments		—		—			1,290,539			1,290,539
Loan Participations		—		—			62,004,093			62,004,093
Mutual Funds		96,404,427		—			—			96,404,427
Rights/Warrants		—		49,453,584			4,277,008			53,730,592
Short-Term Investments		733,723,639		—			—			733,723,639
Total Investments		951,799,355		2,815,322,744			334,564,536			4,101,686,635
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		101,232			—			101,232
Options
Credit Risk		—		—			436,893			436,893
Swap Contracts
Credit Risk		—		19,087,197			—			19,087,197
Interest Rate Risk		—		1,673,171			—			1,673,171
Total	$	951,799,355	$	2,836,184,344		$	335,001,429		$	4,122,985,128
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(1,046,971	)	$	—		$	(1,046,971	)
Options
Credit Risk		—		—			(2,094,965	)		(2,094,965	)
Swap Contracts
Credit Risk		—		(23,029,927	)		—			(23,029,927	)
Interest Rate Risk		—		(6,233,411	)		—			(6,233,411	)
Total	$	—	$	(30,310,309	)	$	(2,094,965	)	$	(32,405,274	)
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	1,076,164,833		$	40,249,312		$	1,116,414,145
U.S. Government Agency		2,497,227		129,182,194			17,904,912			149,584,333
TOTAL DEBT OBLIGATIONS		2,497,227		1,205,347,027			58,154,224			1,265,998,478
Mutual Funds		56,631,332		—			—			56,631,332
Short-Term Investments		55,081,633		—			—			55,081,633
Purchased Options		—		632,840			—			632,840
Total Investments		114,210,192		1,205,979,867			58,154,224			1,378,344,283
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		7,366			—			7,366
Swap Contracts
Credit Risk		—		11,937,869			—			11,937,869
Interest Rate Risk		—		2,442,893			—			2,442,893
Total	$	114,210,192	$	1,220,367,995		$	58,154,224		$	1,392,732,411

Description	Level 1			Level 2			Level 3		Total
Opportunistic Income Fund (continued)
Liability Valuation Inputs
Debt Obligations
U.S. Government Agency	$	—		$	(84,667,235	)	$	—	$	(84,667,235	)
Derivatives^
Futures Contracts
Interest Rate Risk		(442,368	)		—			—		(442,368	)
Written Options
Credit Risk		—			(593,468	)		—		(593,468	)
Swap Contracts
Credit Risk		—			(6,430,963	)		—		(6,430,963	)
Total	$	(442,368	)	$	(91,691,666	)	$	—	$	(92,134,034	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	1,973,428,496		$	113,821,534		$	—	$	2,087,250,030
Total Investments		1,973,428,496			113,821,534			—		2,087,250,030
Total	$	1,973,428,496		$	113,821,534		$	—	$	2,087,250,030

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.

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

For all Funds for the period ended November 30, 2017, 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 28, 2017			Purchases		Sales			Accrued Discounts/ Premiums			Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3†			Transfer out of Level 3†			Balances as of November 30, 2017			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2017
Emerging Country Debt Fund
Debt Obligations
Asset-Backed Securities	$	22,085,437		$	1,257,958	$	(1,224,534	)	$	167,489		$	—		$	1,553,361		$	—		$	(23,839,711	)‡	$	—		$	—
Corporate Debt		20,060,000			4,576,198		—			(778	)		—			3,174,568			—			—			27,809,988			3,174,568
Foreign Government Agency		101,585,077			3,828,266		—			1,074,357			—			4,287,771			—			—			110,775,471			4,287,771
Foreign Government Obligations		51,158,299			12,784,837		(5,781,738	)		3,436,999			111,482			6,688,845			60,008,713	‡		—			128,407,437			6,688,845
Total Debt Obligations		194,888,813			22,447,259		(7,006,272	)		4,678,067			111,482			15,704,545			60,008,713			(23,839,711	)		266,992,896			14,151,184
Loan Assignments		4,908,530			683,423		(4,682,812	)		524,176			—			(142,778	)		—			—			1,290,539			114,142
Loan Participations		64,195,406			4,355,378		(11,450,282	)		1,467,957			(19,280	)		3,454,914			—			—			62,004,093			3,097,107
Rights/Warrants		8,070,406			1,138,876		—			—			—			(4,932,274	)		—			—			4,277,008			(4,932,274	)
Total Investments		272,063,155			28,624,936		(23,139,366	)		6,670,200			92,202			14,084,407			60,008,713			(23,839,711	)		334,564,536			12,430,159
Derivatives
Options		(2,056,772	)		—		(49,083	)		—			2,592,833			(2,145,050	)		—			—			(1,658,072	)		1,648,032
Total	$	270,006,383		$	28,624,936	$	(23,188,449	)#	$	6,670,200		$	2,685,035		$	11,939,357		$	60,008,713		$	(23,839,711	)	$	332,906,464		$	14,078,191
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	53,500,201		$	31,917,381	$	(33,410,732	)	$	1,030,966		$	400,015		$	(236,215	)	$	—		$	(12,952,304	)‡	$	40,249,312		$	(224,063	)
U.S. Government Agency		19,602,790			—		(1,773,885	)		1,824			—			74,183			—			—			17,904,912			74,183
Total	$	73,102,991		$	31,917,381	$	(35,184,617	)##	$	1,032,790		$	400,015		$	(162,032	)	$	—		$	(12,952,304	)	$	58,154,224		$	(149,880	)

† 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 $17,338,049 of proceeds received from principal paydowns.

## Includes $28,771,509 of proceeds received from principal paydowns.

The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Funds’ exposure, (based on each Fund’s net assets) as of November 30, 2017 were as follows:

Fund Name	Level 3 securities and derivatives
Asset Allocation Bond Fund		—
Core Plus Bond Fund		2%
Emerging Country Debt Fund		8%
Opportunistic Income Fund		5%
U.S. Treasury Fund		—

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm 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 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. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes 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 November 30, 2017, 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	$16,873,514	$16,721,213

Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Inflation-indexed bonds

The Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes. 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/decrease 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. 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.

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	Emerging Country Debt Fund	Opportunistic Income Fund	U.S. Treasury Fund
Commodities Risk	X
Counterparty Risk	X	X	X	X
Credit Risk	X	X	X	X	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
Futures Contracts Risk		X		X
Illiquidity Risk	X	X	X	X
Large Shareholder Risk	X	X	X	X	X
Leveraging Risk	X	X	X	X
Management and Operational Risk	X	X	X	X	X
Market Disruption and Geopolitical Risk	X	X	X	X	X
Market Risk – Asset-Backed Securities	X	X	X	X
Market Risk – Equities	X	X		X
Market Risk – Fixed Income	X	X	X	X	X
Non-Diversified Funds	X	X	X	X
Non-U.S. Investment Risk	X	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.

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.

• 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 be forced to 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 in which financial services firms are exposed (as they were in 2008) 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 that 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). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of collateral held by the Fund (if any).

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 possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or 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, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (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 a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments are also subject to illiquidity risk. See “Illiquidity Risk.”

All fixed income investments 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 investment. 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 and market price of a fixed income investment are reflected in its credit ratings, and a Fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment.

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 market price 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 investment 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 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 investments (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 investments have speculative characteristics, often are less liquid than higher quality investments, 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 investments generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality investments 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 does not make any interest or other payments and a Fund incurs additional expenses in seeking recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment 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. 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 a Fund may have to purchase U.S. dollars at an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are 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, such as securities, commodities or currencies, reference rates, such as interest rates, currency exchange rates or inflation 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.

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, or the position transferred, 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 exposure arises.

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, under-collateralization 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 cost 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.

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 will sometimes be unclear. In addition, the Securities and Exchange Commission has proposed a rule under the Investment Company Act of 1940, as amended (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) have adopted similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these requirements are new and evolving (and some of the rules are not yet final), their impact on the Funds 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 the margin required at the outset of a transaction. Clearing houses also have broad rights to increase the margin required 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 the documentation for typical bilateral derivatives. 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 be required to 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. New variation margin requirements became effective in March 2017 and new initial margin requirements will become effective 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 cost 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 historically posted for bilateral derivatives. The cost of derivatives transactions is expected to increase further as clearing members raise their fees to cover the cost of additional capital requirements and other regulatory changes applicable to the clearing members. These rules and regulations are new and evolving, and, therefore, 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 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 subject to U.S. income taxation. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to be taxable 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 typically pays borrowing fees to a broker and is 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 those issuers’ 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 also are indirectly exposed to all of the risks to which the Underlying Funds are exposed.

Absent reimbursement, a Fund bears the fees and expenses of an Underlying Fund (including purchase premiums and redemption fees, if any) in which it invests, and 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.”

At any particular time, one Underlying Fund may be purchasing securities of an issuer whose securities are being sold by another Underlying Fund, resulting in a Fund that holds each Underlying Fund indirectly incurring the costs associated with the two transactions without changing its exposure to those securities.

Investments in ETFs involve the risk that an ETF’s performance may not track the performance of the index it is designed to track. In addition, ETFs often use derivatives to track the performance of an 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 relies 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 that changes in the prices of the contracts may not correlate perfectly with 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 positions in futures contracts. If the Fund has insufficient cash to meet margin requirements, the Fund may have 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, should the futures commission merchant become insolvent, a Fund may be unable 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.

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, delays 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. The degree to which a Fund’s securities are illiquid may affect the likelihood of its paying redemption proceeds in-kind.

In recent years, the credit markets have experienced periods characterized by a significant lack of liquidity, and they may experience similar periods in the future. A lack of liquidity could require a Fund to sell securities to satisfy collateral posting requirements and meet redemptions, which could, in turn, create downward price pressure on the securities being sold.

A Fund’s ability to use options as part of its investment program depends on the liquidity of the options market. That market may not be liquid when a Fund seeks to close out an option position, and the hours of trading for options on an exchange may not conform to the hours during which the underlying securities 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 those 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 sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the outstanding 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 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. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order that is not ultimately received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. Additionally, redemptions and purchases of shares by a large shareholder or group of shareholders potentially limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.

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 traditional borrowing (including to meet redemption requests), 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. Similarly, a Fund’s portfolio also will be leveraged if it exercises its right to delay payment on a redemption and can result in losses if the value of the Fund’s assets changes between the time a redemption request is received or deemed to be received by a Fund (which

in some cases may be the business day prior to actual receipt of the transaction activity by the Fund) and the time at which the Fund liquidates assets to meet redemption requests. Such a change in the value of a Fund’s assets is more likely in the case of Funds managed from GMO’s non-U.S. offices for which the time period between the NAV determination and corresponding liquidation of assets could be longer due to time zone differences and market schedules. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses.

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.

Some Funds are permitted to purchase securities on margin or to sell securities short, either of which creates leverage. To the extent the market prices of securities pledged to counterparties to secure a Fund’s margin account or short sale decline, the Fund may be required to deposit additional funds with the counterparty or have the pledged securities liquidated to compensate for the decline.

• 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 may 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 uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market events. In addition, they use assumptions that can limit their effectiveness, and they rely on data that is subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. The Funds also run the risk that GMO’s assessment of an investment (including a company’s fundamental fair (or intrinsic) value) is wrong.

GMO relies on quantitative models in making investment decisions. 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 includes 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 risks 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 a risk of loss resulting from 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 to technological malfunctions that may have effects 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, detect and respond to 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 a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or issue trading halts on specific securities or the entire market, which may result in the Funds being unable, among other things, to buy or sell securities or accurately price their investments. The Funds cannot directly control cyber security plans and systems put in place by their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges.

• 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 or other fraudulent trading practices, which could disrupt their orderly functioning or reduce the prices of securities traded on them, including securities held by the Funds. Fraud and other deceptive practices committed by a company whose securities are held by a Fund undermine GMO’s due diligence efforts and, when discovered, will likely cause a steep decline in the market price of those securities and thus negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively affect a Fund’s investment program as well as 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 if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. In June 2016, the United Kingdom approved a referendum to leave the European Union (commonly known as “Brexit”). A significant degree of uncertainty exists about the time frame for Brexit and whether it will have a negative impact on the United Kingdom, the European Union and/or the broader global economy.

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 price 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,” 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.

As described under “Market Risk — Fixed Income” 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 have. Asset-backed securities backed by sub-prime mortgage loans, in particular, expose a Fund to potentially 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 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 and 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 depends in part 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 will affect the rights of holders of those underlying assets. The insolvency of a servicer is likely to result in a decline in the market price of the securities it is servicing, 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, the obligations underlying asset-backed securities may be repaid more slowly than anticipated, and the market price of those securities may decrease.

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 servicer 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 Opportunistic Income Fund, which has invested a substantial portion of its assets in asset-backed securities, and for the Funds that have invested a substantial portion of their assets in Opportunistic Income 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 issuer’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 what GMO believes is less than its fundamental fair (or intrinsic) value, 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 — Funds that invest in fixed income investments (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 investments 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 investment. When interest rates rise, these investments 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 investments (commonly referred to as “junk bonds”) may be particularly volatile. Often below investment grade investments are subject to greater sensitivity to interest rate and economic changes than higher rated investments 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 investments 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 investments 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 the market price of a fixed income investment 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 its fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate investments, 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 investments have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate investments when interest rates rise but outperform them when interest rates decline. Fixed income investments 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, markets for fixed income investments 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 portfolio assets when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent years, central banks and governmental financial regulators, including the U.S. Federal Reserve, have kept interest rates historically low by purchasing bonds. Steps to curtail or “taper” such activities (such as recent indications from the U.S. Federal Reserve of its intent to do so) 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. All of the Funds (except U.S. Treasury Fund) 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 (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. Many non-U.S. securities markets include securities of only a small number of companies in a small number of industries. As a result, the market prices of securities traded on those markets often 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 countries limit a Fund’s ability to profit from short-term trading (as defined in that country).

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 benefit. A Fund’s pursuit of such refunds may subject a Fund to various administrative and/or judicial proceedings. 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 it is entitled to one. The outcome of a Fund’s efforts to obtain a refund is inherently unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until GMO is confident that the refund will be received. In some cases, the amount of a refund could be material to a Fund’s net asset value. Absent a determination that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value. See “Taxes, Non-U.S. Taxes” in the GMO Trust Statement of Additional Information for additional information.

Investing in non-U.S. securities also exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, government involvement in the economy or in the affairs of specific companies or industries (including 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. Fluctuations in foreign currency exchange rates also affect the market prices of a Fund’s non-U.S. securities (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 thus limits the Fund’s investment opportunities. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license and thereby limit the Fund’s 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 wholly or partially state-owned enterprises); less governmental supervision and regulation of securities markets and participants in those markets; controls on 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 depend predominantly on only a few industries or revenues from particular commodities.

• SMALL COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have inexperienced managers or depend on a smaller group of key employees than 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 response to adverse market, economic, political or other conditions.

The Funds (other than Emerging Country Debt Fund and U.S. Treasury Fund) may take temporary defensive positions if deemed prudent by GMO. Many of the Funds have previously taken temporary defensive positions.

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

Derivative financial instruments

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices 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 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 Opportunistic Income 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 U.S. Treasury Fund) leveraged) and therefore are subject to heightened risk of loss. Each Fund’s (other than U.S. Treasury Fund) performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

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

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

For Funds that held derivatives during the period ended November 30, 2017, 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		Emerging Country Debt Fund		Opportunistic Income Fund
Forward currency contracts
Adjust currency exchange rate risk		X		X		X		X
Adjust exposure to foreign currencies		X		X		X
Futures contracts
Adjust interest rate exposure				X				X
Maintain the diversity and liquidity of the portfolio				X				X
Options (Purchased)
Adjust currency exchange rate risk		X
Adjust exposure to foreign currencies		X
Adjust interest rate exposure								X
Achieve exposure to a reference entity’s credit								X
Provide a measure of protection against default loss								X
Options (Written)
Achieve exposure to a reference entity’s credit								X
Adjust interest rate exposure								X
Provide a measure of 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 interest rate exposure		X		X		X		X
Provide a measure of protection against default loss						X		X
Provide exposure to the Fund’s benchmark				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. 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 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. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss.

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

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

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

Rights and warrants

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

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

The following is a summary of the valuations of derivative instruments categorized by risk exposure as of November 30, 2017:

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
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—	$	6,460,524		$	—		$	—	$	6,460,524
Investments, at value (swap contracts)		—			—		—			1,761,715			—		1,761,715
Total	$	—		$	—	$	6,460,524		$	1,761,715		$	—	$	8,222,239
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(6,161,470	)	$	—		$	—	$	(6,161,470	)
Investments, at value (swap contracts)		—			—		—			(1,529,014	)		—		(1,529,014	)
Total	$			$		$	(6,161,470	)	$	(1,529,014		$		$	(7,690,484	)
Core Plus Bond Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—	$	1,622,688		$	—		$	—	$	1,622,688
Investments, at value (swap contracts)		—			—		—			3,199,544			—		3,199,544
Total	$			$		$	1,622,688		$	3,199,544		$		$	4,822,232
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(1,319,524	)	$	—		$	—	$	(1,319,524	)
Unrealized Depreciation on Futures Contracts		—			—		—			(682,263	)		—		(682,263	)
Investments, at value (swap contracts)		—			—		—			(2,281,978	)		—		(2,281,978	)
Total	$			$		$	(1,319,524	)	$	(2,964,241	)	$		$	(4,283,765
Emerging Country Debt Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—		$	—	$	—		$	—		$	53,730,592	$	53,730,592
Unrealized Appreciation on Forward Currency Contracts		—			—		101,232			—			—		101,232
Options, at value		436,893			—		—			—			—		436,893
Investments, at value (swap contracts)		19,087,197			—		—			1,673,171			—		20,760,368
Total	$	19,524,090		$		$	101,232		$	1,673,171		$	53,730,592	$	75,029,085
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(1,046,971	)	$	—		$	—	$	(1,046,971	)
Options, at value		(2,094,965	)		—		—			—			—		(2,094,965	)
Investments, at value (swap contracts)		(23,029,927	)		—		—			(6,233,411	)		—		(29,263,338	)
Total	$	(25,124,892	)	$		$	(1,046,971	)	$	(6,233,411	)	$	—	$	(32,405,274	)
Opportunistic Income Fund
Asset Derivatives
Investments, at value (purchased options)	$	632,840		$	—	$	—		$	—		$	—	$	632,840
Unrealized Appreciation on Forward Currency Contracts		—			—		7,366			—			—		7,366
Investments, at value (swap contracts)		11,937,869			—		—			2,442,893			—		14,380,762
Total	$	12,570,709		$		$	7,366		$	2,442,893		$	—	$	15,020,968
Liability Derivatives
Unrealized Depreciation on Futures Contracts	$	—		$	—	$	—		$	(442,368	)	$	—	$	(442,368	)
Written Options, at value		(593,468	)		—		—			—			—		(593,468	)
Investments, at value (swap contracts)		(6,430,963	)		—		—			—			—		(6,430,963	)
Total	$	(7,024,431	)	$	—	$			$	(442,368	)	$		$	(7,466,799	)

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

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 91.8%
		Argentina — 1.4%
	26,953	Adecoagro SA *		263,870
		Australia — 2.0%
	25,581	Galaxy Resources Ltd *		74,767
	39,803	Incitec Pivot Ltd		120,760
	14,402	OZ Minerals Ltd		91,749
	53,371	Quintis Ltd * (a)		11,909
	28,718	Tassal Group Ltd		86,888
		Total Australia		386,073
		Austria — 0.3%
	2,397	Verbund AG		56,746
		Canada — 3.9%
	1,400	Agrium Inc		153,830
	19,663	Canadian Solar Inc *		353,344
	126,071	Capstone Mining Corp *		136,806
	5,700	Potash Corp of Saskatchewan Inc		111,866
		Total Canada		755,846
		Chile — 0.2%
	43,538	Enel Generacion Chile SA		35,429
		China — 6.7%
	970,000	Century Sunshine Group Holdings Ltd *		27,979
	175,000	Chaowei Power Holdings Ltd		85,266
	231,000	China Datang Corp Renewable Power Co Ltd – Class H		26,609
	141,000	China High Speed Transmission Equipment Group Co Ltd		170,822
	610,000	China Singyes Solar Technologies Holdings Ltd *		211,795
	2,340,000	Concord New Energy Group Ltd		108,337
	932,000	Guodian Technology & Environment Group Corp Ltd – Class H *		65,719
	347,500	Panda Green Energy Group Ltd *		47,193
	3,062,000	Shunfeng International Clean Energy Ltd *		170,572
	138,000	Tianneng Power International Ltd		117,280
	182,000	Wasion Group Holdings Ltd		90,793
	45,500	Zhengzhou Yutong Bus Co Ltd – Class A		163,676
		Total China		1,286,041
		Denmark — 3.3%
	10,070	Vestas Wind Systems A/S		642,090
		Finland — 1.3%
	12,002	Fortum Oyj		252,230
		France — 11.2%
	2,096	Albioma SA		49,457
	1,662	Alstom SA		68,540
	14,063	Electricite de France SA		184,154

Shares		Description	Value ($)
		France — continued
	752	Nexans SA		49,300
	9,348	Schneider Electric SE *		803,370
	21,803	STMicroelectronics NV		493,436
	11,173	Suez		205,846
	1,305	Valeo SA		94,635
	2,438	Veolia Environnement SA		61,619
	1,492	Vilmorin & Cie SA		140,832
		Total France		2,151,189
		Germany — 2.7%
	2,684	CENTROTEC Sustainable AG		48,961
	4,107	Energiekontor AG		70,440
	8,828	K+S AG (Registered)		207,016
	1,936	Nordex SE *		19,704
	744	OSRAM Licht AG		63,851
	10,450	Senvion SA *		113,579
		Total Germany		523,551
		Hong Kong — 0.2%
	92,000	Coslight Technology International Group Co Ltd *		36,266
		Israel — 0.8%
	39,416	Israel Chemicals Ltd		160,596
		Italy — 1.9%
	7,941	CNH Industrial NV		103,112
	3,929	Prysmian SPA		130,861
	19,916	Terna Rete Elettrica Nazionale SPA		123,078
		Total Italy		357,051
		Japan — 6.8%
	11,800	ADEKA Corp		199,747
	1,100	Central Japan Railway Co		203,900
	800	East Japan Railway Co		77,516
	3,900	Ebara Corp		154,023
	6,000	GS Yuasa Corp		31,175
	16,500	Hitachi Zosen Corp		85,840
	1,200	Kurita Water Industries Ltd		37,735
	1,200	Odelic Co Ltd		49,039
	1,600	Organo Corp		41,810
	10,100	Renesas Electronics Corp *		124,393
	9,500	Sumitomo Forestry Co Ltd		164,090
	6,100	Takuma Co Ltd		88,923
	600	West Japan Railway Co		44,172
		Total Japan		1,302,363
		Kenya — 0.2%
	437,600	Kenya Electricity Generating Co Ltd *		37,546
		Malaysia — 0.1%
	30,300	Mega First Corp BHD		26,369

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Netherlands — 2.3%
	8,643	Arcadis NV		199,227
	4,806	Philips Lighting NV		181,850
	3,347	SIF Holding NV		65,598
		Total Netherlands		446,675
		Norway — 4.1%
	23,398	Austevoll Seafood ASA		196,935
	6,279	Grieg Seafood ASA		57,276
	8,170	Salmar ASA		239,896
	6,518	Yara International ASA		289,706
		Total Norway		783,813
		Poland — 2.5%
	15,623	KGHM Polska Miedz SA		471,763
		Portugal — 1.3%
	68,454	EDP – Energias de Portugal SA		239,938
		Russia — 3.3%
	6,748	PhosAgro PJSC GDR (Registered)		101,315
	30,599	Ros Agro Plc GDR (Registered)		365,232
	6,537,159	RusHydro PJSC		90,807
	32,402	Uralkali PJSC *		71,273
		Total Russia		628,627
		South Africa — 0.8%
	19,505	Tongaat Hulett Ltd		151,460
		South Korea — 1.0%
	506	LG Chem Ltd		194,928
		Spain — 2.4%
	1,856	Construcciones y Auxiliar de Ferrocarriles SA		77,609
	2,479	Endesa SA		55,277
	29,056	Iberdrola SA		230,805
	1,727	Red Electrica Corp SA		39,010
	4,473	Saeta Yield SA		51,669
		Total Spain		454,370
		Switzerland — 1.4%
	9,188	ABB Ltd (Registered)		235,898
	34	Gurit Holding AG *		36,198
		Total Switzerland		272,096
		Ukraine — 0.8%
	10,776	Kernel Holding SA		145,038
		United Kingdom — 4.0%
	17,661	Antofagasta Plc		217,507
	17,199	Drax Group Plc		63,018
	5,305	Go-Ahead Group Plc		111,560
	14,530	National Grid Plc		173,987

Shares		Description	Value ($)
		United Kingdom — continued
	18,063	Polypipe Group Plc		90,207
	46,444	Stagecoach Group Plc		113,718
		Total United Kingdom		769,997
		United States — 24.7%
	1,100	AGCO Corp.		77,858
	3,500	BorgWarner, Inc.		194,880
	14,500	Darling Ingredients, Inc. *		260,275
	2,200	Deere & Co.		329,692
	4,800	Eaton Corp Plc		373,344
	1,400	Emerson Electric Co.		90,748
	300	EnerSys		20,727
	6,200	Exelon Corp.		258,602
	8,300	First Solar, Inc. *		515,430
	1,000	FMC Corp.		94,400
	55,351	Freeport-McMoRan, Inc. *		770,486
	8,000	General Cable Corp.		172,000
	14,900	Intrepid Potash, Inc. *		56,918
	4,300	Layne Christensen Co. *		55,771
	7,900	Mosaic Co. (The)		191,891
	3,200	NRG Yield, Inc. – Class A		60,192
	6,500	Renewable Energy Group, Inc. *		73,775
	6,000	Rexnord Corp. *		149,520
	23,500	SolarEdge Technologies, Inc. *		855,400
	12,800	SunPower Corp. *		105,728
	200	Valmont Industries, Inc.		34,560
		Total United States		4,742,197
		Vietnam — 0.2%
	136,180	HAGL JSC *		46,247
		TOTAL COMMON STOCKS (COST $15,962,181)		17,620,405
		PREFERRED STOCKS (b)— 4.4%
		Brazil — 0.2%
	22,000	Cia Energetica de Minas Gerais Sponsored ADR		44,880
		Chile — 4.2%
	14,900	Sociedad Quimica y Minera de Chile SA Sponsored ADR		809,368
		TOTAL PREFERRED STOCKS (COST $664,760)		854,248
		MUTUAL FUNDS — 3.7%
		United States — 3.7%
		Affiliated Issuers — 3.7%
	28,289	GMO U.S. Treasury Fund		706,647
		TOTAL MUTUAL FUNDS (COST $706,929)		706,647

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	39,647	State Street Institutional Treasury Money Market Fund-Premier Class, 1.02% (c)		39,647
		TOTAL SHORT-TERM INVESTMENTS (COST $39,647)		39,647
		TOTAL INVESTMENTS — 100.1% (Cost $17,373,517)		19,220,947
		Other Assets and Liabilities (net) — (0.1%)		(27,085	)
		TOTAL NET ASSETS — 100.0%		$19,193,862

Notes to Schedule of Investments:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

PJSC - Private Joint-Stock Company

* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) The rate disclosed is the 7 day net yield as of November 30, 2017.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 70.4%
		Belgium — 0.7%
	144,000	Anheuser-Busch InBev SA/NV Sponsored ADR		16,486,560
		Brazil — 3.1%
	1,913,139	Banco BTG Pactual SA		11,092,878
	2,573,982	BR Malls Participacoes SA		9,495,021
	6,381,400	JHSF Participacoes SA *		3,683,527
	3,711,747	LPS Brasil Consultoria de Imoveis SA *		5,922,871
	993,387	M Dias Branco SA		14,198,080
	7,278,100	Rumo SA *		28,923,853
		Total Brazil		73,316,230
		China — 26.7%
	28,721,300	Agricultural Bank of China Ltd – Class H		13,419,908
	640,607	Alibaba Group Holding Ltd Sponsored ADR *		113,438,688
	2,139,500	Anhui Conch Cement Co Ltd – Class H		10,304,618
	11,970,550	China Construction Bank Corp – Class H		10,501,058
	3,191,100	China International Capital Corp Ltd – Class H		6,750,198
	180,147	China Literature Ltd. *		2,083,991
	123,604	China Lodging Group Ltd Sponsored ADR *		13,189,783
	9,371,021	China Merchants Bank Co Ltd – Class H		37,025,667
	1,751,352	Gree Electric Appliances Inc of Zhuhai – Class A		11,265,713
	10,708,000	Greentown Service Group Co Ltd		8,091,506
	2,393,700	Haitian International Holdings Ltd		7,022,970
	2,067,043	Hangzhou Robam Appliances Co Ltd – Class A		13,971,635
	1,740,245	Huayu Automotive Systems Co Ltd – Class A		6,721,157
	318,043	Jiangsu Yanghe Brewery Joint-Stock Co Ltd – Class A		5,005,033
	323,894	Kweichow Moutai Co Ltd – Class A		30,940,470
	4,950,138	Midea Group Co Ltd – Class A		38,336,585
	1,154,761	Minth Group Ltd		6,466,555
	52,200	NetEase Inc ADR		17,158,662
	149,400	New Oriental Education & Technology Group Inc Sponsored ADR		12,678,084
	2,900,500	Ping An Insurance Group Co of China Ltd – Class H		28,782,289
	4,356,700	Qingdao Haier Co Ltd – Class A		11,418,940
	907,205	TAL Education Group ADR		25,292,875
	2,037,400	Tencent Holdings Ltd		104,317,183
	5,830,891	Tingyi Cayman Islands Holding Corp		9,155,471
	324,300	Weibo Corp Sponsored ADR *		35,206,008
	21,711,500	WH Group Ltd		23,125,267
	4,451,598	Zhejiang Supor Cookware Co Ltd – Class A		26,932,882
		Total China		628,603,196
		Hong Kong — 1.7%
	4,816,896	AIA Group Ltd		39,246,957
		India — 18.9%
	1,067,007	Action Construction Equipment Ltd		2,279,201

Shares		Description	Value ($)
		India — continued
	555,538	Asian Granito India Ltd		4,398,338
	411,045	Avenue Supermarts Ltd *		7,120,744
	1,754,663	Berger Paints India Ltd		7,053,511
	1,579,876	Bharti Airtel Ltd		12,168,660
	1,371,047	BLS International Services Ltd		5,016,534
	1,539,161	CCL Products India Ltd		7,491,885
	1,178,365	CMI Ltd * (a)		4,466,461
	339,751	Dixon Technologies India Ltd * (b) (c)		18,599,892
	640,939	Dollar Industries Ltd		4,596,503
	7,957,516	Edelweiss Financial Services Ltd		36,231,298
	10,683,040	Gayatri Projects Ltd * (a)		34,667,119
	570,484	Grasim Industries Ltd		10,319,298
	2,505,807	HDFC Bank Ltd (d)		72,128,522
	20,814,127	Himachal Futuristic Communications Ltd *		9,313,301
	264,312	Housing Development Finance Corp Ltd – Class A		6,852,182
	2,186,395	Indiabulls Real Estate Ltd *		7,205,474
	5,365,095	Indraprastha Gas Ltd		27,329,798
	2,921,939	Kotak Mahindra Bank Ltd		45,353,050
	4,245,830	Muthoot Finance Ltd		29,159,813
	644,404	Navin Fluorine International Ltd		6,899,495
	1,098,264	PC Jeweller Ltd		6,740,245
	5,575,894	Petronet LNG Ltd		21,713,511
	1,551,471	Sangam India Ltd		4,805,794
	3,184,440	SpiceJet Ltd *		7,078,724
	1,050,131	Sun TV Network Ltd		14,251,056
	4,451,325	Tata Power Co Ltd (The)		6,560,493
	2,064,141	Techno Electric & Engineering Co Ltd *		12,793,424
	286,335	V-Mart Retail Ltd		6,146,738
	640,255	Vakrangee Ltd		7,285,999
		Total India		446,027,063
		Indonesia — 1.9%
	8,810,762	Bank Central Asia Tbk PT		13,244,147
	57,133,700	Malindo Feedmill Tbk PT		3,507,630
	87,380,514	Telekomunikasi Indonesia Persero Tbk PT		26,989,543
		Total Indonesia		43,741,320
		Malaysia — 0.5%
	15,855,970	AirAsia Berhad		12,181,479
		Peru — 0.7%
	82,500	Credicorp Ltd		17,409,975
		Philippines — 5.3%
	7,947,222	BDO Unibank Inc		23,049,528
	21,104,800	Century Pacific Food Inc		6,500,335
	13,449,276	Concepcion Industrial Corp		16,906,437
	5,124,042	Philippine Seven Corp		15,064,470
	26,953,400	Puregold Price Club Inc		26,320,521
	9,537,671	Robinsons Retail Holdings Inc		18,406,425
	24,620,368	Semirara Mining & Power Corp		17,633,676
		Total Philippines		123,881,392

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Russia — 2.5%
	272,705	Magnit PJSC Sponsored GDR (Registered)		7,193,324
	1,995,715	Sberbank of Russia Sponsored ADR		32,630,477
	341,641	X5 Retail Group NV GDR (Registered) *		12,710,358
	212,600	Yandex NV – Class A *		7,039,186
		Total Russia		59,573,345
		South Africa — 2.3%
	496,540	Capitec Bank Holdings Ltd		35,642,545
	67,196	Naspers Ltd – N Shares		18,034,265
		Total South Africa		53,676,810
		Taiwan — 1.3%
	6,738,719	Fubon Financial Holding Co Ltd		11,065,875
	9,327,366	Uni-President Enterprises Corp		19,870,279
		Total Taiwan		30,936,154
		Thailand — 1.7%
	15,170,871	Major Cineplex Group Pcl (Foreign Registered)		14,308,305
	108,418,383	Quality Houses Pcl (Foreign Registered)		10,098,479
	6,221,200	Tisco Financial Group Pcl (Foreign Registered)		16,839,866
		Total Thailand		41,246,650
		United Kingdom — 1.9%
	208,777	British American Tobacco Plc		13,276,612
	546,896	Unilever Plc		30,849,430
		Total United Kingdom		44,126,042
		Vietnam — 1.2%
	3,345,580	Vietnam Dairy Products JSC		27,496,934
		TOTAL COMMON STOCKS (COST $1,308,355,338)		1,657,950,107
		PREFERRED STOCKS (e)— 2.8%
		Brazil — 2.8%
	4,621,700	Itau Unibanco Holding SA		58,243,638
	487,900	Telefonica Brasil SA		7,070,023
		Total Brazil		65,313,661
		TOTAL PREFERRED STOCKS (COST $57,023,375)		65,313,661
		INVESTMENT FUNDS — 15.9%
		South Korea — 6.6%
	2,082,590	iShares MSCI South Korea Capped ETF		156,506,639
		Taiwan — 1.5%
	933,923	iShares MSCI Taiwan Capped ETF		34,648,543
		Thailand — 1.7%
	90,813,092	Digital Telecommunication Infrastructure Fund		39,685,766

Notional Amount / Shares / Par Value		Description	Value ($)
		United States — 6.1%
	3,129,247	iShares MSCI Emerging Markets ETF		144,258,287
		TOTAL INVESTMENT FUNDS (COST $365,307,188)		375,099,235
		RIGHTS/WARRANTS — 0.3%
		China — 0.3%
	341,309	Jiangsu Yanghe Brewery Joint Stock Co Ltd Warrants, Expires 05/14/18 *		5,367,948
		TOTAL RIGHTS/WARRANTS (COST $3,545,075)		5,367,948
		MUTUAL FUNDS — 5.3%
		United States — 5.3%
		Affiliated Issuers — 5.3%
	4,997,292	GMO U.S. Treasury Fund		124,832,353
		TOTAL MUTUAL FUNDS (COST $124,859,661)		124,832,353
		FULLY FUNDED TOTAL RETURN SWAPS — 0.9%
		China — 0.9%
	2,183,500	Total Return on Wuliangye Yibin Co Ltd, Expires 4/9/2018. Premium Paid/(Received): $13,639,888. Periodic Payment Frequency: N/A. Net Unrealized Appreciation (Depreciation): $8,027,651 (OTC) (CP-GS)		21,667,539
		TOTAL FULLY FUNDED TOTAL RETURN SWAPS (COST $13,639,888)		21,667,539
		SHORT-TERM INVESTMENTS — 1.1%
		Money Market Funds — 0.0%
	89,955	State Street Institutional Treasury Money Market Fund-Premier Class, 1.02% (f)		89,955
		U.S. Government — 1.1%
	4,000,000	U.S. Treasury Bill, 0.84%, due 12/07/17 (g) (h)		3,999,354
	5,000,000	U.S. Treasury Bill, 1.08%, due 01/04/18 (g) (h)		4,994,794
	5,200,000	U.S. Treasury Bill, 1.18%, due 02/15/18 (g) (h)		5,186,936
	4,000,000	U.S. Treasury Bill, 1.17%, due 02/22/18 (g)		3,989,164
	3,000,000	U.S. Treasury Bill, 1.27%, due 03/22/18 (g) (h)		2,988,287
	5,000,000	U.S. Treasury Bill, 1.38%, due 05/17/18 (g) (h)		4,968,021
		Total U.S. Government		26,126,556
		TOTAL SHORT-TERM INVESTMENTS (COST $26,216,957)		26,216,511
		TOTAL INVESTMENTS — 96.7% (Cost $1,898,947,482)		2,276,447,354
		Other Assets and Liabilities (net) — 3.3%		78,786,014
		TOTAL NET ASSETS — 100.0%		$2,355,233,368

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost ($)		Value as a Percentage of Fund’s Net Assets	Value as of November 30, 2017
Dixon Technologies India Ltd	8/04/2017	$	9,417,811	0.79%	$	18,599,892

A summary of outstanding financial instruments at November 30, 2017 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/08/2018	MSCI		PHP	1,979,635,372		USD	39,251,222	$	438,565

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
Buys
2,922	Mini MSCI Emerging Markets	December 2017	$	163,632,000	$	2,652,787
Sales
9,895	SGX CNX Nifty Index 50	December 2017	$	203,401,620	$	2,921,918

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2017, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

ADR - American Depositary Receipt

CP - Counterparty

ETF - Exchange-Traded Fund

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

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

OTC - Over-the-Counter

* Non-income producing security.

(a) Affiliated company.

(b) Private placement security; restricted as to resale.

(c) Investment valued using significant unobservable inputs.

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

(e) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(f) The rate disclosed is the 7 day net yield as of November 30, 2017.

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

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

Counterparty Abbreviations:

GS - Goldman Sachs International

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

PHP - Philippine Peso

USD - United States Dollar

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 93.4%
		Belgium — 0.1%
	28,700	Anheuser-Busch InBev SA/NV Sponsored ADR		3,285,863
		Brazil — 2.0%
	3,972,873	AES Tiete Energia SA		15,902,864
	460,746	Banco BTG Pactual SA		2,671,526
	166,900	BB Seguridade Participacoes SA		1,370,906
	615,583	BR Malls Participacoes SA		2,270,790
	841,123	EDP – Energias do Brasil SA		3,543,261
	1,772,400	Engie Brasil Energia SA		19,169,965
	3,193,903	JHSF Participacoes SA *		1,843,612
	2,122,200	LPS Brasil Consultoria de Imoveis SA *		3,386,415
	291,650	M Dias Branco SA		4,168,436
	254,100	Multiplus SA		2,706,145
	9,528,135	Rumo SA *		37,865,704
	1,533,651	Transmissora Alianca de Energia Eletrica SA		9,976,817
		Total Brazil		104,876,441
		Chile — 0.1%
	4,034,679	Enel Chile SA		436,588
	148,042	Inversiones La Construccion SA		2,195,984
		Total Chile		2,632,572
		China — 19.3%
	3,402,000	361 Degrees International Ltd		1,197,826
	122,950,990	Agricultural Bank of China Ltd – Class H		57,448,337
	3,442,757	Aier Eye Hospital Group Co Ltd – Class A		14,171,854
	418,972	Alibaba Group Holding Ltd Sponsored ADR *		74,191,562
	510,900	Anhui Conch Cement Co Ltd – Class H		2,460,682
	1,250,000	Anhui Expressway Co Ltd – Class H		1,027,251
	121,998,682	Bank of China Ltd – Class H		59,620,892
	1,730,000	Baoye Group Co Ltd – Class H *		1,195,649
	401,800	Changyou.com Ltd ADR *		14,657,664
	25,494,560	China Communications Services Corp Ltd – Class H		16,237,079
	173,020,206	China Construction Bank Corp – Class H		151,780,423
	762,500	China International Capital Corp Ltd – Class H		1,612,931
	2,127,368	China International Travel Service Corp Ltd – Class A		13,443,806
	41,239	China Literature Ltd. *		477,064
	29,500	China Lodging Group Ltd Sponsored ADR *		3,147,945
	24,116,000	China Machinery Engineering Corp – Class H		15,650,323
	2,237,308	China Merchants Bank Co Ltd – Class H		8,839,786
	9,308,237	China Mobile Ltd		94,690,128
	494,600	China Mobile Ltd Sponsored ADR		25,145,464
	6,088,000	China Power International Development Ltd		1,636,947
	812,554	CKH Food & Health Ltd *		822,852
	443,300	Gree Electric Appliances Inc of Zhuhai – Class A		2,851,563
	2,558,000	Greentown Service Group Co Ltd		1,932,954
	6,516,000	Guangdong Investment Ltd		8,778,018

Shares		Description	Value ($)
		China — continued
	1,273,500	Haitian International Holdings Ltd		3,736,371
	1,005,837	Hangzhou Robam Appliances Co Ltd – Class A		6,798,685
	71,960	Hangzhou Robam Appliances Co Ltd – Class A		486,395
	10,248,000	Hua Han Health Industry Holdings Ltd * (a)		682,312
	13,866,000	Huabao International Holdings Ltd		8,908,736
	442,612	Huayu Automotive Systems Co Ltd – Class A		1,709,452
	124,005,947	Industrial & Commercial Bank of China Ltd – Class H		96,992,493
	11,744,000	Jiangnan Group Ltd		859,062
	2,336,000	Jiangsu Expressway Co Ltd – Class H		3,207,536
	172,800	Jiangsu Yanghe Brewery JSC Ltd – Class A		2,719,310
	265,505	Jumei International Holding Ltd ADR *		833,686
	137,228	Kweichow Moutai Co Ltd – Class A		13,108,915
	84,831	Kweichow Moutai Co Ltd – Class A		8,103,611
	1,168,555	Midea Group Co Ltd – Class A		9,045,372
	1,219,157	Midea Group Co Ltd – Class A		9,441,821
	566,090	Minth Group Ltd		3,170,052
	25,700	NetEase Inc ADR		8,447,847
	33,700	New Oriental Education & Technology Group Inc Sponsored ADR		2,859,782
	1,486,000	PAX Global Technology Ltd		662,880
	21,604,000	PICC Property & Casualty Co Ltd – Class H		41,154,843
	692,500	Ping An Insurance Group Co of China Ltd – Class H		6,871,827
	1,045,542	Qingdao Haier Co Ltd – Class A		2,740,373
	4,616,400	Qingling Motors Co Ltd – Class H		1,486,015
	2,227,600	SAIC Motor Corp Ltd – Class A		10,417,243
	340,000	Shenzhen Expressway Co Ltd – Class H		328,408
	12,290,500	Sinopec Engineering Group Co Ltd – Class H		10,244,201
	216,536	TAL Education Group ADR		6,037,024
	1,767,365	Tencent Holdings Ltd		90,491,086
	1,392,118	Tingyi Cayman Islands Holding Corp		2,185,857
	33,091,000	Want Want China Holdings Ltd		25,972,229
	77,500	Weibo Corp Sponsored ADR *		8,413,400
	4,859,968	WH Group Ltd		5,176,430
	559,929	Wuliangye Yibin Co Ltd – Class A		5,558,880
	8,658,500	Xtep International Holdings Ltd		3,221,426
	2,402,200	Yangzijiang Shipbuilding Holdings Ltd		2,808,360
	9,734,000	Zhejiang Expressway Co Ltd – Class H		11,700,593
	245,806	Zhejiang Supor Cookware Co Ltd – Class A		1,487,166
	1,331,945	Zhejiang Supor Cookware Co Ltd – Class A		8,058,239
		Total China		999,146,918
		Czech Republic — 0.3%
	2,694,494	Moneta Money Bank AS		9,712,239
	6,156	Philip Morris CR AS		4,646,520
		Total Czech Republic		14,358,759

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Egypt — 0.0%
	1,315,548	Alexandria Mineral Oils Co		986,213
	217,009	Commercial International Bank Egypt SAE		933,163
		Total Egypt		1,919,376
		Greece — 0.8%
	6,008,655	Alpha Bank AE *		11,615,064
	14,057,681	Eurobank Ergasias SA *		11,356,661
	35,399,812	National Bank of Greece SA *		10,953,650
	3,679,377	Piraeus Bank SA *		10,300,880
		Total Greece		44,226,255
		India — 6.5%
	125,042	Asian Granito India Ltd		989,990
	163,173	Asian Paints Ltd		2,915,336
	1,070,235	Aurobindo Pharma Ltd		11,511,151
	93,565	Avenue Supermarts Ltd *		1,620,874
	401,104	Berger Paints India Ltd		1,612,384
	377,200	Bharti Airtel Ltd		2,905,303
	313,412	BLS International Services Ltd		1,146,746
	387,653	CCL Products India Ltd		1,886,906
	293,346	CMI Ltd *		1,111,895
	574,247	Divi’s Laboratories Ltd		9,300,089
	38,430	Dixon Technologies India Ltd *		2,103,876
	146,514	Dollar Industries Ltd		1,050,727
	1,887,536	Edelweiss Financial Services Ltd		8,594,124
	16,772,852	Gayatri Projects Ltd * (b)		54,428,932
	136,200	Grasim Industries Ltd		2,463,677
	1,562,973	HDFC Bank Ltd (c)		44,989,472
	13,700	HDFC Bank Ltd ADR		1,330,270
	186,342	Hero MotoCorp Ltd		10,552,517
	6,258,236	Himachal Futuristic Communications Ltd *		2,800,254
	100,526	Hindustan Unilever Ltd		1,981,650
	60,420	Housing Development Finance Corp Ltd – Class A		1,566,364
	521,962	Indiabulls Real Estate Ltd *		1,720,176
	1,207,560	Indraprastha Gas Ltd		6,151,312
	2,090,100	Infosys Ltd Sponsored ADR		32,521,956
	3,013,682	Jai Balaji Industries Ltd *		780,084
	1,322,083	Kiri Industries Ltd *		11,225,371
	671,275	Kotak Mahindra Bank Ltd		10,419,235
	1,792,452	KPIT Technologies Ltd		4,786,308
	379,054	Mphasis Ltd		4,304,476
	956,562	Muthoot Finance Ltd		6,569,544
	151,676	Navin Fluorine International Ltd		1,623,962
	414,671	NIIT Technologies Ltd		4,110,950
	262,400	PC Jeweller Ltd		1,610,396
	1,331,310	Petronet LNG Ltd		5,184,355
	532,104	Sangam India Ltd		1,648,231
	716,982	SpiceJet Ltd *		1,593,787
	278,696	Sun TV Network Ltd		3,782,111
	1,020,312	Tata Consultancy Services Ltd		41,733,760
	1,034,100	Tata Power Co Ltd (The)		1,524,087

Shares		Description	Value ($)
		India — continued
	497,631	Tech Mahindra Ltd		3,789,637
	492,896	Techno Electric & Engineering Co Ltd *		3,054,940
	60,264	UltraTech Cement Ltd		3,920,408
	64,136	V-Mart Retail Ltd		1,376,804
	152,893	Vakrangee Ltd		1,739,898
	2,586,470	Wipro Ltd		11,729,944
	640,800	Wipro Ltd ADR		3,453,912
		Total India		337,218,181
		Indonesia — 1.3%
	52,639,500	Bakrie Telecom Tbk PT *		194,586
	5,768,600	Bank Central Asia Tbk PT		8,671,235
	15,180,400	Bank Mandiri Persero Tbk PT		8,359,727
	5,681,100	Bank Negara Indonesia Persero Tbk PT		3,411,498
	77,702,000	Bank Pembangunan Daerah Jawa Timur Tbk PT		4,236,696
	54,407,400	Bank Rakyat Indonesia Persero Tbk PT		12,950,055
	6,820,291	Indo Tambangraya Megah Tbk PT		10,681,060
	36,189,400	Lippo Karawaci Tbk PT		1,538,437
	12,048,200	Malindo Feedmill Tbk PT		739,680
	228,592,300	Panin Financial Tbk PT *		4,053,005
	24,739,600	Summarecon Agung Tbk PT		1,572,975
	34,970,041	Telekomunikasi Indonesia Persero Tbk PT		10,801,326
	63,700	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		1,979,796
		Total Indonesia		69,190,076
		Malaysia — 0.2%
	3,625,004	AirAsia Berhad		2,784,939
	4,413,442	Berjaya Sports Toto Berhad		2,503,310
	6,003,288	KSL Holdings Berhad *		1,732,162
	3,206,067	UOA Development Berhad		1,901,617
		Total Malaysia		8,922,028
		Mexico — 0.6%
	3,352,964	Cemex SAB de CV CPO *		2,560,359
	3,117,848	Cemex SAB de CV Sponsored ADR *		23,664,466
	932,300	Corp Inmobiliaria Vesta SAB de CV		1,173,683
	786,700	Gentera SAB de CV		718,093
	451,900	Grupo Financiero Santander Mexico SAB de CV ADR		3,673,947
		Total Mexico		31,790,548
		Peru — 0.5%
	133,100	Credicorp Ltd		28,088,093
		Philippines — 0.8%
	1,781,924	BDO Unibank Inc		5,168,159
	4,697,400	Century Pacific Food Inc		1,446,812
	3,020,358	Concepcion Industrial Corp		3,796,746
	3,182,077	First Gen Corp		1,107,631
	836,950	Manila Electric Co		5,241,894
	6,882,900	Manila Water Co Inc		3,885,393

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Philippines — continued
	17,211,000	Megaworld Corp		1,829,465
	1,226,643	Philippine Seven Corp		3,606,279
	6,492,288	Puregold Price Club Inc		6,339,846
	2,146,603	Robinsons Retail Holdings Inc		4,142,656
	5,764,780	Semirara Mining & Power Corp		4,128,869
		Total Philippines		40,693,750
		Qatar — 0.2%
	298,417	Barwa Real Estate Co		2,298,911
	84,507	Masraf Al Rayan QSC		788,526
	19,782	Qatar International Islamic Bank QSC		257,629
	207,644	Qatar National Bank QPSC		6,657,228
		Total Qatar		10,002,294
		Russia — 11.6%
	3,803,900	Aeroflot PJSC		9,899,754
	13,748,400	Alrosa PJSC		18,253,908
	64,670	Gazprom Neft PJSC		277,781
	15,457,571	Gazprom PJSC Sponsored ADR		69,141,143
	592,291	Globaltrans Investment Plc Sponsored GDR (Registered)		5,451,823
	35,676,000	Inter RAO UES PJSC		2,253,280
	931,652	LUKOIL PJSC Sponsored ADR		51,837,833
	504,287	M.Video PJSC *		3,370,019
	772,548	Magnit PJSC Sponsored GDR (Registered)		20,378,020
	2,119,500	Magnitogorsk Iron & Steel OJSC		1,587,741
	2,388,844	MegaFon PJSC GDR (Registered)		23,050,476
	3,082,245	MMC Norilsk Nickel PJSC ADR		53,535,119
	8,507,415	Mobile TeleSystems PJSC Sponsored ADR		88,221,893
	8,835,557	Moscow Exchange MICEX-RTS PJSC		18,749,345
	201,149	Novatek PJSC Sponsored GDR (Registered)		22,802,898
	787,300	Novolipetsk Steel PJSC		1,778,830
	531,409	Novolipetsk Steel PJSC GDR		12,020,520
	445,115	QIWI Plc Sponsored ADR		6,556,544
	26,263	Ros Agro Plc GDR (Registered)		313,477
	7,568,505	Rostelecom PJSC		8,302,907
	12,897	Rostelecom PJSC Sponsored ADR		79,577
	7,580,151	Sberbank of Russia Sponsored ADR		123,937,508
	410,683	Severstal PJSC GDR (Registered)		6,382,722
	431,255	Sistema PJSC FC Sponsored GDR (Registered)		1,550,362
	3,943,400	Surgutneftegas OJSC		1,851,735
	6,345,369	Surgutneftegas OJSC Sponsored ADR		29,196,826
	239,001	Tatneft PJSC Sponsored ADR		11,304,481
	44,154	TCS Group Holding Plc GDR		818,293
	537,600	VEON Ltd. ADR		2,171,904
	81,882	X5 Retail Group NV GDR (Registered) *		3,046,325
	74,900	Yandex NV – Class A *		2,479,939
		Total Russia		600,602,983
		South Africa — 2.1%
	397,013	AECI Ltd		2,694,963
	147,402	Barclays Africa Group Ltd		1,686,233

Shares		Description	Value ($)
		South Africa — continued
	1,370,552	Barloworld Ltd		15,432,147
	131,682	Brait SE *		446,558
	135,767	Capitec Bank Holdings Ltd		9,745,602
	4,108,995	FirstRand Ltd		16,861,211
	67,591	Foschini Group Ltd (The)		778,818
	105,566	Hyprop Investments Ltd (REIT)		828,239
	387,045	Kumba Iron Ore Ltd		9,178,905
	1,335,344	Lewis Group Ltd		2,388,979
	168,563	Liberty Holdings Ltd		1,427,055
	200,489	Massmart Holdings Ltd		1,641,042
	574,793	Mr Price Group Ltd		8,737,248
	4,834,468	Murray & Roberts Holdings Ltd		4,890,598
	15,361	Naspers Ltd – N Shares		4,122,631
	172,700	Net 1 UEPS Technologies, Inc. *		1,916,970
	478,727	RMB Holdings Ltd		2,329,581
	1,424,419	SA Corporate Real Estate Ltd		491,471
	487,539	Sanlam Ltd		2,783,356
	255,202	Steinhoff International Holdings NV		1,047,615
	593,484	Truworths International Ltd		3,449,946
	461,920	Tsogo Sun Holdings Ltd		730,402
	430,296	Vodacom Group Ltd		4,550,005
	993,136	Wilson Bayly Holmes-Ovcon Ltd		10,865,093
	486,333	Woolworths Holdings Ltd		2,054,239
		Total South Africa		111,078,907
		South Korea — 14.9%
	35,340	Able C&C Co Ltd		729,909
	96,324	Aekyung Petrochemical Co Ltd		1,442,449
	5,361	Amorepacific Group		727,597
	2,739,199	BNK Financial Group Inc		23,967,547
	48,327	Cheil Worldwide Inc		894,540
	42,232	Com2uSCorp		4,895,728
	13,635	Cuckoo Electronics Co Ltd (d)		2,048,259
	79,979	Daeduck Electronics Co		750,258
	350,296	Daou Data Corp		3,293,669
	980,620	Daou Technology Inc		17,236,070
	455,805	DB Insurance Co Ltd		28,783,475
	89,366	DGB Financial Group Inc		821,347
	27,799	Dong Ah Tire & Rubber Co Ltd		883,995
	38,200	Dong Ah Tire & Rubber Co Ltd *		438,781
	57,830	Dongsuh Cos Inc		1,590,270
	1,440,056	Dongwon Development Co Ltd		6,839,220
	1,294,214	Grand Korea Leisure Co Ltd		38,800,543
	84,779	GS Home Shopping Inc		16,585,582
	74,061	GS Retail Co Ltd		2,690,740
	83,514	Han Kuk Carbon Co Ltd		437,561
	67,319	Hancom Inc		1,051,461
	1,664	Hankook Shell Oil Co Ltd		610,240
	301,605	Hankook Tire Co Ltd		14,912,112
	825,554	Hankook Tire Worldwide Co Ltd		14,421,733
	266,338	Hanon Systems		3,246,203
	106,497	Hansol Paper Co Ltd		1,448,348

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	249,025	Hyundai Engineering & Construction Co Ltd		8,047,288
	3,861	Hyundai Glovis Co Ltd		520,173
	50,619	Hyundai Greenfood Co Ltd		722,133
	141,713	Hyundai Home Shopping Network Corp		17,042,714
	473,310	Hyundai Hy Communications & Network Co Ltd		1,588,040
	550,038	Hyundai Marine & Fire Insurance Co Ltd		22,037,333
	245,982	Hyundai Mobis Co Ltd		61,993,707
	50,931	iMarketKorea Inc		491,068
	100,379	Innocean Worldwide Inc		7,195,743
	3,240	It’s Hanbul Co Ltd		151,989
	656,219	Kangwon Land Inc		22,421,936
	58,609	KEPCO Plant Service & Engineering Co Ltd		2,036,135
	1,327,332	Kia Motors Corp		41,112,106
	75,357	KISCO Corp		2,668,833
	31,371	KIWOOM Securities Co Ltd		2,383,388
	679,650	Korea Asset In Trust Co Ltd		5,162,233
	425,701	Korea Real Estate Investment & Trust Co Ltd		1,342,568
	31,079	Korea Zinc Co Ltd		13,931,749
	101,943	Korean Reinsurance Co		1,017,016
	283,207	KT Skylife Co Ltd		3,438,933
	490,465	KT&G Corp		55,164,489
	233,854	Kyobo Securities Co Ltd		2,060,101
	12,572	LEENO Industrial Inc		652,142
	308,176	LF Corp		8,705,610
	64,884	LOTTE Himart Co Ltd		4,511,104
	147,694	Maeil Holdings Co Ltd		2,404,429
	226,830	Meritz Financial Group Inc		3,284,593
	239,361	Meritz Fire & Marine Insurance Co Ltd		5,664,194
	2,072,358	Meritz Securities Co Ltd		9,071,570
	22,117	Muhak Co Ltd		406,370
	2,899	Ottogi Corp		2,113,594
	63,721	Partron Co Ltd		521,764
	50,826	S&T Motiv Co Ltd		2,222,167
	241,832	Samsung Card Co Ltd		8,505,735
	49,091	Samsung Electronics Co Ltd		115,533,832
	14,427	Samsung Electronics Co Ltd GDR		16,995,240
	65,574	Samsung Fire & Marine Insurance Co Ltd		15,719,407
	9,186	Samsung Life Insurance Co Ltd		1,084,612
	14,991	Samsung SDS Co Ltd		2,610,801
	77,246	Samsung Securities Co Ltd		2,600,751
	463,827	Seoyon E-Hwa Co Ltd		4,874,325
	224,234	Shinhan Financial Group Co Ltd		10,004,448
	139,912	Silicon Works Co Ltd		6,778,451
	40,961	Sindoh Co Ltd		2,437,646
	17,589	SK Innovation Co Ltd		3,355,846
	119,873	SK Telecom Co Ltd		29,189,199
	346,000	SK Telecom Co Ltd Sponsored ADR		9,494,240
	73,494	SL Corp		1,500,625
	48,045	Spigen Korea Co Ltd		2,078,071
	2,542,801	Woori Bank		37,834,162
		Total South Korea		772,232,240

Shares		Description	Value ($)
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd * (b)		816,856
		Switzerland — 0.1%
	115,800	Luxoft Holding Inc *		5,963,700
		Taiwan — 22.3%
	12,255,000	AcBel Polytech Inc		9,220,622
	1,395,000	Actron Technology Corp		5,833,197
	1,115,000	Advanced Semiconductor Engineering Inc		1,448,402
	1,416,532	Advantech Co Ltd		9,468,417
	795,000	Alpha Networks Inc		663,019
	15,067,940	AmTRAN Technology Co Ltd		8,262,887
	7,311,120	Asustek Computer Inc		67,449,734
	300,200	Aurora Corp		885,900
	256,300	Casetek Holdings Ltd		997,597
	3,989,000	Catcher Technology Co Ltd		43,257,308
	11,696,000	Cathay Financial Holding Co Ltd		20,269,507
	9,276,000	Chailease Holding Co Ltd		27,010,875
	213,000	Chaun-Choung Technology Corp		669,434
	7,822,000	Cheng Shin Rubber Industry Co Ltd		13,423,891
	804,855	Chicony Electronics Co Ltd		2,144,355
	588,800	Chicony Power Technology Co Ltd		1,191,464
	4,773,100	Chin-Poon Industrial Co Ltd		9,869,264
	2,168,190	China Life Insurance Co Ltd		2,050,775
	1,151,000	China Motor Corp		1,034,384
	1,202,000	Chipbond Technology Corp		2,337,678
	87,000	Chlitina Holding Ltd		416,347
	12,554,659	Chunghwa Telecom Co Ltd		43,412,088
	128,421	Chunghwa Telecom Co Ltd Sponsored ADR		4,457,493
	306,000	Cleanaway Co Ltd		1,762,745
	31,740,711	Compal Electronics Inc		22,034,601
	4,811,400	Coretronic Corp		5,381,081
	46,677,720	CTBC Financial Holding Co Ltd		31,245,126
	3,047,000	CTCI Corp		4,480,993
	237,000	Delta Electronics Inc		1,084,611
	2,031,000	Dynapack International Technology Corp		3,176,368
	311,000	Elan Microelectronics Corp		534,657
	424,000	Elite Advanced Laser Corp		1,863,560
	1,072,000	Everlight Electronics Co Ltd		1,646,111
	8,852,084	Far EasTone Telecommunications Co Ltd		21,104,304
	3,858,000	Farglory Land Development Co Ltd		4,074,904
	294,000	Formosa Advanced Technologies Co Ltd		310,386
	936,000	Formosa Chemicals & Fibre Corp		2,848,429
	329,000	Formosa Petrochemical Corp		1,167,612
	2,380,000	Formosa Plastics Corp		7,211,561
	3,070,303	Formosan Rubber Group Inc		1,477,615
	15,679,475	Foxconn Technology Co Ltd		43,810,721
	30,765,460	Fubon Financial Holding Co Ltd		50,520,986
	11,800,200	Gigabyte Technology Co Ltd		19,196,170
	526,000	Greatek Electronics Inc		912,883
	299,700	Green Seal Holding Ltd		525,400
	14,735,754	Highwealth Construction Corp		19,663,907
	2,875,000	Holtek Semiconductor Inc		7,152,607

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	16,380,250	Hon Hai Precision Industry Co Ltd		54,986,775
	2,652,000	Huaku Development Co Ltd		6,232,871
	2,976,900	IEI Integration Corp		4,251,678
	9,580,600	Inventec Corp		7,225,668
	117,000	Iron Force Industrial Co Ltd		455,852
	1,382,000	ITEQ Corp		3,040,030
	545,000	Kenda Rubber Industrial Co Ltd		696,273
	39,000	King Slide Works Co Ltd		533,926
	1,056,000	King’s Town Bank Co Ltd		1,218,687
	214,000	Kung Long Batteries Industrial Co Ltd		1,038,546
	32,464,141	Lite-On Technology Corp		40,136,476
	1,071,000	Lotes Co Ltd		6,093,753
	1,171,785	Makalot Industrial Co Ltd		4,726,286
	1,131,667	Mercuries Life Insurance Co Ltd		622,402
	405,000	Merida Industry Co Ltd		1,683,458
	1,373,600	MIN AIK Technology Co Ltd		1,321,180
	1,744,000	Nan Ya Plastics Corp		4,402,753
	61,000	Nien Made Enterprise Co Ltd		559,949
	3,714,810	Novatek Microelectronics Corp		14,221,316
	127,000	On-Bright Electronics, Inc.		1,238,605
	1,930,853	OptoTech Corp		1,515,696
	15,242,470	Pegatron Corp		34,949,290
	9,470,000	Pou Chen Corp		11,400,952
	124,000	President Chain Store Corp		1,177,834
	15,390,550	Quanta Computer Inc		31,643,310
	243,000	Quanta Storage Inc		262,533
	12,677,870	Radiant Opto-Electronics Corp		27,572,887
	5,622,720	Realtek Semiconductor Corp		20,991,918
	1,353,000	Rechi Precision Co Ltd		1,342,058
	4,187,151	Ruentex Development Co Ltd *		4,366,710
	11,665,000	Ruentex Industries Ltd *		19,482,061
	1,542,000	Sercomm Corp		4,133,977
	98,000	Shin Zu Shing Co Ltd		259,957
	1,116,000	ShunSin Technology Holding Ltd		4,681,682
	2,494,000	Sigurd Microelectronics Corp		2,656,369
	2,660,068	Simplo Technology Co Ltd		15,223,489
	789,000	Sinbon Electronics Co Ltd		2,262,397
	2,544,200	Sitronix Technology Corp		6,995,769
	249,000	Soft-World International Corp		583,430
	48,000	St Shine Optical Co Ltd		1,403,386
	2,610,000	Syncmold Enterprise Corp		5,766,969
	605,000	Taiwan Cement Corp		677,608
	1,260,000	Taiwan Fertilizer Co Ltd		1,608,922
	636,000	Taiwan Mobile Co Ltd		2,280,543
	846,000	Taiwan PCB Techvest Co Ltd		915,505
	1,296,000	Taiwan Semiconductor Co Ltd		2,935,284
	9,511,000	Taiwan Semiconductor Manufacturing Co Ltd		71,841,879
	2,734,520	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		108,286,992
	4,402,269	Taiwan Surface Mounting Technology Corp		4,423,448
	1,138,000	Teco Electric and Machinery Co Ltd		1,119,927
	1,324,000	Test Research Inc		1,749,389
	1,634,000	Tong Hsing Electronic Industries Ltd		8,397,705

Shares		Description	Value ($)
		Taiwan — continued
	761,000	Topco Scientific Co Ltd		2,007,704
	1,270,000	Transcend Information Inc		3,559,018
	3,428,160	Tripod Technology Corp		11,108,707
	1,965,000	TXC Corp		2,587,373
	10,536,112	Uni-President Enterprises Corp		22,445,295
	5,132,000	United Integrated Services Co Ltd		10,099,687
	168,000	Visual Photonics Epitaxy Co Ltd		587,404
	2,105,000	Wan Hai Lines Ltd		1,330,974
	1,058,641	Wistron NeWeb Corp		3,022,485
	644,000	Xxentria Technology Materials Corp		1,333,082
	5,641,000	Yuanta Financial Holding Co Ltd		2,626,426
	2,006,000	Yulon Motor Co Ltd		1,598,433
	3,941,670	Yungtay Engineering Co Ltd		6,810,884
	261,000	Zeng Hsing Industrial Co Ltd		1,146,198
		Total Taiwan		1,156,822,006
		Thailand — 6.4%
	8,693,200	Advanced Info Service Pcl (Foreign Registered)		46,514,469
	8,542,800	Amata Corp Pcl (Foreign Registered)		6,534,042
	8,032,900	AP Thailand Pcl (Foreign Registered)		2,168,174
	204,500	Bangkok Bank Pcl (Foreign Registered) (c)		1,347,507
	1,466,600	Bangkok Bank Pcl NVDR		8,966,994
	3,446,500	BEC World Pcl NVDR		1,572,347
	6,903,900	Central Pattana Pcl (Foreign Registered)		17,000,809
	2,409,600	Delta Electronics Thailand Pcl (Foreign Registered)		6,226,292
	2,564,500	Eastern Polymer Group Pcl (Foreign Registered)		888,570
	4,330,301	Glow Energy Pcl (Foreign Registered)		11,570,546
	4,996,700	Hana Microelectronics Pcl (Foreign Registered)		7,245,809
	5,672,900	Intouch Holdings Pcl (Foreign Registered) (c)		9,827,146
	4,858,700	Intouch Holdings Pcl NVDR		8,081,310
	14,659,800	Jasmine International Pcl (Foreign Registered)		3,194,844
	2,468,400	Kasikornbank Pcl NVDR		17,211,108
	804,000	Kiatnakin Bank Pcl (Foreign Registered)		1,856,256
	17,105,200	Krung Thai Bank Pcl (Foreign Registered)		10,122,379
	29,399,300	Land & Houses Pcl NVDR		9,462,233
	18,204,650	LPN Development Pcl (Foreign Registered)		7,311,237
	3,468,386	Major Cineplex Group Pcl (Foreign Registered)		3,271,185
	3,778,000	MC Group Pcl (Foreign Registered)		1,849,969
	2,403,800	Platinum Group Pcl (The) NVDR		625,975
	3,161,200	Pruksa Holding Pcl (Foreign Registered)		2,264,650
	2,456,300	PTT Exploration & Production Pcl (Foreign Registered)		6,868,317
	9,029,200	PTT Global Chemical Pcl (Foreign Registered)		21,984,929
	1,191,100	PTT Pcl (Foreign Registered)		15,061,234
	59,375,892	Quality Houses Pcl (Foreign Registered)		5,530,484
	11,638,800	Quality Houses Pcl NVDR		1,084,080
	5,195,302	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		8,871,049

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Thailand — continued
	95,546,423	Sansiri Pcl (Foreign Registered)		6,571,239
	2,232,400	Siam Cement Pcl (The) (Foreign Registered)		32,605,462
	4,049,900	Siam Commercial Bank Pcl (The) (Foreign Registered)		18,955,657
	1,760,700	Star Petroleum Refining Pcl		874,413
	1,373,200	Star Petroleum Refining Pcl (Foreign Registered)		681,970
	10,519,400	STP & I Pcl (Foreign Registered)		1,901,067
	5,567,400	Supalai Pcl (Foreign Registered)		4,076,781
	1,310,800	Thai Beverage Pcl		938,789
	850,800	Thai Oil Pcl (Foreign Registered)		2,426,713
	1,839,300	Thai Vegetable Oil Pcl (Foreign Registered)		1,716,001
	625,500	Thanachart Capital Pcl (Foreign Registered)		1,078,906
	1,416,500	Tisco Financial Group Pcl (Foreign Registered)		3,834,256
	29,227,050	TTW Pcl (Foreign Registered)		11,196,385
		Total Thailand		331,371,583
		Turkey — 2.4%
	268,306	Akbank Turk AS		615,448
	91,409	BIM Birlesik Magazalar AS		1,685,930
	65,950,739	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT) *		41,301,223
	2,900,992	Enka Insaat ve Sanayi AS		4,176,270
	6,808,583	Eregli Demir ve Celik Fabrikalari TAS		14,976,735
	1,853,733	Haci Omer Sabanci Holding AS		4,805,922
	110,097	Otokar Otomotiv Ve Savunma Sanayi AS		3,010,430
	9,656,464	Soda Sanayii AS		12,137,595
	698,007	Tekfen Holding AS		2,524,163
	9,133,466	Turkiye Garanti Bankasi AS		22,376,959
	3,419,080	Turkiye Halk Bankasi AS		7,747,968
	911,292	Turkiye Is Bankasi – Class C		1,434,431
	10,740,290	Turkiye Sinai Kalkinma Bankasi AS		3,698,087
	1,069,517	Turkiye Vakiflar Bankasi TAO – Class D		1,577,141
	554,807	Yapi ve Kredi Bankasi AS *		586,917
		Total Turkey		122,655,219
		United Arab Emirates — 0.4%
	4,248,534	Aldar Properties PJSC		2,550,646
	12,994,201	DAMAC Properties Dubai Co PJSC		12,206,755
	1,705,990	Dubai Investments PJSC		1,144,523
	642,217	Emirates Telecommunications Group Co PJSC		2,871,182
	8,323,589	RAK Properties PJSC		1,548,593
		Total United Arab Emirates		20,321,699
		United Kingdom — 0.4%
	383,481	Unilever Plc		21,631,481
		Vietnam — 0.1%
	798,320	Vietnam Dairy Products JSC		6,561,300
		TOTAL COMMON STOCKS (COST $4,301,521,294)		4,846,409,128

Shares		Description	Value ($)
		PREFERRED STOCKS (e) — 3.3%
		Brazil — 0.4%
	358,500	Banco do Estado do Rio Grande do Sul SA – Class B		1,423,972
	215,600	Companhia Paranaense de Energia – Class B		1,519,465
	1,105,940	Itau Unibanco Holding SA		13,937,289
	116,481	Telefonica Brasil SA		1,687,894
		Total Brazil		18,568,620
		Colombia — 0.1%
	187,100	Bancolombia SA Sponsored ADR		7,223,931
	1,577,279	Grupo Aval Acciones y Valores SA		645,761
				7,869,692
		Russia — 0.2%
	41,439	Bashneft PJSC		1,061,860
	10,873,123	Surgutneftegas OJSC		5,287,181
	1,476	Transneft PJSC		4,506,864
		Total Russia		10,855,905
		South Korea — 2.6%
	70,239	Samsung Electronics Co Ltd		136,221,277
		TOTAL PREFERRED STOCKS (COST $115,850,783)		173,515,494
		INVESTMENT FUNDS — 1.5%
		India — 0.0%
	1,371,900	TDA India Technology Fund II LP * (d) (f)		98,736
		Russia — 0.1%
	5,431,855	NCH Eagle Fund LP * (d) (f)		2,534,189
		Thailand — 0.2%
	20,764,100	Digital Telecommunication Infrastructure Fund		9,074,013
		United States — 1.2%
	1,395,233	iShares MSCI Emerging Markets ETF		64,320,241
		TOTAL INVESTMENT FUNDS (COST $77,632,837)		76,027,179
		RIGHTS/WARRANTS — 0.0%
		Thailand — 0.0%
	689,175	Supalai Public Co Rights, Expires 10/19/18 *		407,259
		TOTAL RIGHTS/WARRANTS (COST $0)		407,259

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 1.5%
		United States — 1.5%
		Affiliated Issuers — 1.5%
	3,077,450	GMO U.S. Treasury Fund		76,874,710
		TOTAL MUTUAL FUNDS (COST $76,886,442)		76,874,710

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	6,238,211	State Street Institutional Treasury Money Market Fund-Premier Class, 1.02% (g)		6,238,211
		Total Money Market Funds		6,238,211
		TOTAL SHORT-TERM INVESTMENTS (COST $6,238,211)		6,238,211
		TOTAL INVESTMENTS — 99.8% (Cost $4,578,129,567)		5,179,471,981
		Other Assets and Liabilities (net) — 0.2%		9,697,882
		TOTAL NET ASSETS — 100.0%		$5,189,169,863

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date		Acquisition Cost ($)		Value as a Percentage of Fund’s Net Assets		Value as of November 30, 2017
NCH Eagle Fund LP		4/6/09	$	5,452,004		0.05%	$	2,534,189
TDA India Technology Fund II LP		2/23/00-3/23/04		—		0.00%		98,736
							$	2,632,925

A summary of outstanding financial instruments at November 30, 2017 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
Buys
5,320	Mini MSCI Emerging Markets	December 2017	$	297,920,000	$	3,948,001

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received)		Value ($)		Net Unrealized Appreciation/ (Depreciation)
Depreciation of Total Return on Asustek Computer Inc + ( Daily Fed Funds Rate minus 0.25%)	Appreciation of Total Return on Asustek Computer Inc	MSCI		USD	24,010,494	12/13/2017		At Maturity	$	—	$	419,938	$	419,938
									$	—	$	419,938	$	419,938

As of November 30, 2017, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

Notes to Schedule of Investments:

ADR - American Depositary Receipt

CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.

ETF - Exchange-Traded Fund

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

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

QPSC - Qatari Public Shareholding Company

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

(b) Affiliated company.

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

(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. Investment valued using significant unobservable inputs.

(e) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(f) Private placement security; restricted as to resale.

(g) The rate disclosed is the 7 day net yield as of November 30, 2017.

Counterparty Abbreviations:

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

USD - United States Dollar

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.9%
		Australia — 3.0%
	402,714	Charter Hall Group (REIT)		1,927,562
	13,570	Folkestone Education Trust (REIT)		30,757
	355,048	Mineral Resources Ltd		5,283,003
	331,834	Monash IVF Group Ltd		303,329
	233,480	Nine Entertainment Co Holdings Ltd		281,904
		Total Australia		7,826,555
		Austria — 1.2%
	83,558	FACC AG *		1,411,221
	66,220	POLYTEC Holding AG		1,553,904
		Total Austria		2,965,125
		Belgium — 0.5%
	238,373	AGFA-Gevaert NV *		1,085,430
	17,781	Recticel SA		173,162
		Total Belgium		1,258,592
		Canada — 5.5%
	177,700	AGF Management Ltd – Class B		1,132,189
	4,600	Aimia Inc		12,658
	101,400	Air Canada *		1,932,664
	100	Altus Group Ltd		2,790
	151,172	BRP Inc Sub Voting		5,527,096
	64,100	Canfor Corp *		1,320,108
	700	Capital Power Corp		13,223
	26,900	Cogeco Inc		2,013,512
	23,800	Morguard North American Residential Real Estate Investment Trust		270,255
	236,041	Rogers Sugar Inc		1,150,795
	40,200	Wajax Corp		785,211
		Total Canada		14,160,501
		China — 2.0%
	786,000	China Aoyuan Property Group Ltd		432,818
	524,000	China National Materials Co Ltd – Class H		404,561
	494,000	China SCE Property Holdings Ltd		216,193
	894,000	Harbin Electric Co Ltd – Class H		378,172
	1,264,000	Powerlong Real Estate Holdings Ltd		580,759
	178,000	Road King Infrastructure Ltd		287,514
	5,626,000	Yuzhou Properties Co Ltd		2,775,587
		Total China		5,075,604
		Colombia — 0.1%
	54,454	Almacenes Exito SA		295,692
		Denmark — 0.9%
	25,378	Schouw & Co AB		2,346,135
		Finland — 0.3%
	47,127	Finnair Oyj		672,514

Shares		Description	Value ($)
		France — 5.9%
	356,149	Air France-KLM *		5,053,563
	7,817	Amundi SA		696,996
	1,530	Casino Guichard Perrachon SA		93,051
	68,460	Derichebourg SA		744,329
	12,029	Euler Hermes Group		1,743,582
	8,373	Gaztransport Et Technigaz SA		445,476
	2,111	Ipsen SA		257,122
	78,906	Metropole Television SA		2,074,345
	18,024	Plastivaloire		470,410
	67,206	Rallye SA		1,214,620
	52,076	SCOR SE		2,120,983
	1,908	Vilmorin & Cie SA		180,099
		Total France		15,094,576
		Germany — 9.7%
	52,668	Bauer AG		1,827,280
	190,723	Deutsche Lufthansa AG (Registered)		6,562,482
	61,229	Elmos Semiconductor AG		1,750,461
	5,715	Isra Vision AG		1,049,586
	78,345	Leoni AG		5,782,335
	5,588	Puma SE		2,489,056
	20,822	Talanx AG		857,270
	110,375	Wacker Neuson SE		3,607,712
	33,518	Wuestenrot & Wuerttembergische AG		905,889
		Total Germany		24,832,071
		Hong Kong — 2.1%
	982,000	Johnson Electric Holdings Ltd		3,888,861
	6,020,000	Singamas Container Holdings Ltd		1,294,694
	230,000	Sunlight Real Estate Investment Trust REIT		157,286
		Total Hong Kong		5,340,841
		India — 1.6%
	297,394	Andhra Bank *		288,585
	77,894	Apollo Tyres Ltd		304,386
	4,625,171	Jaiprakash Associates Ltd *		1,309,893
	116,134	Karnataka Bank Ltd (The)		279,505
	757,701	PTC India Ltd		1,367,878
	211,947	Union Bank of India *		539,106
		Total India		4,089,353
		Indonesia — 0.3%
	465,000	Indo Tambangraya Megah Tbk PT		728,223
		Israel — 1.0%
	85,418	Nova Measuring Instruments Ltd *		2,475,288
		Italy — 4.9%
	107,355	ACEA SPA		2,180,623
	634,924	Arnoldo Mondadori Editore SPA *		1,730,447
	26,273	El.En. SPA		807,854
	101,384	ERG SPA		1,927,827

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	476,595	Iren SPA		1,461,217
	7,664	Massimo Zanetti Beverage Group SPA		66,545
	6,469	Prima Industrie SPA		252,368
	229,919	Saras SPA		593,164
	332,020	Societa Cattolica di Assicurazioni SC		3,602,926
		Total Italy		12,622,971
		Japan — 26.4%
	50,800	Arakawa Chemical Industries Ltd		1,111,580
	80,700	CKD Corp		1,770,883
	84,700	Dai-ichi Seiko Co Ltd		2,268,865
	127,400	Daiichi Kigenso Kagaku-Kogyo Co Ltd		1,581,634
	15,200	Denka Co Ltd		562,175
	38,800	DIC Corp		1,456,076
	2,800	Fancl Corp		80,092
	10,200	Fuji Kiko Co Ltd		67,112
	10,500	Fuji Pharma Co Ltd		406,921
	1,000	Fujikura Ltd		9,361
	43,500	Fujitsu Frontech Ltd		776,854
	38,000	Furukawa Electric Co Ltd		2,019,292
	12,200	Fuyo General Lease Co Ltd		812,110
	16,300	Hochiki Corp		372,341
	16,600	Hokuhoku Financial Group Inc		248,546
	45,400	Hosokawa Micron Corp		2,992,679
	30,000	House Foods Group Inc		979,419
	46,300	Ishihara Sangyo Kaisha Ltd *		847,857
	8,600	Itochu Techno-Solutions Corp		362,383
	21,500	JSP Corp		725,740
	14,400	Juki Corp		253,059
	22,100	Kamei Corp		358,060
	221,300	Kitz Corp		1,638,574
	300	Konoike Transport Co Ltd		4,978
	132,000	Kyosan Electric Manufacturing Co Ltd		735,123
	28,400	Mandom Corp		961,864
	93,100	Mitsui Mining & Smelting Co Ltd		5,312,076
	42,100	Mixi Inc		1,961,016
	9,300	Modec Inc		223,954
	212,500	NET One Systems Co Ltd		3,056,496
	57,000	Nichiha Corp		2,223,601
	90,000	Nippon Soda Co Ltd		601,266
	141,500	Nisshin Oillio Group Ltd (The)		4,362,212
	8,000	Open House Co Ltd		394,899
	43,100	Osaka Organic Chemical Industry Ltd		508,492
	871,000	Prima Meat Packers Ltd		6,068,755
	4,100	Rion Co Ltd		87,136
	24,600	Rohto Pharmaceutical Co Ltd		632,997
	9,400	Shikoku Chemicals Corp		154,153
	176,300	Showa Corp		2,154,362
	180,100	Showa Denko KK		6,733,340
	16,000	Sumitomo Bakelite Co Ltd		130,643
	57,400	T-Gaia Corp		1,254,040
	6,500	Takasago International Corp		205,664

Shares		Description	Value ($)
		Japan — continued
	126,000	Tatsuta Electric Wire and Cable Co Ltd		959,709
	8,900	Token Corp		1,120,751
	3,000	Tosoh Corp		66,705
	115,000	Toyo Ink SC Holdings Co Ltd		667,811
	70,800	Toyo Kohan Co Ltd		290,346
	74,900	TS Tech Co Ltd		3,076,518
	42,700	Ube Industries Ltd		1,247,600
	35,600	Warabeya Nichiyo Holdings Co Ltd		950,989
		Total Japan		67,849,109
		Malaysia — 0.6%
	1,299,200	Padini Holdings Berhad		1,604,325
		Mexico — 0.6%
	1,205,356	Genomma Lab Internacional SAB de CV – Class B *		1,430,116
		Netherlands — 1.5%
	9,157	ASR Nederland NV		372,942
	77,900	Constellium NV – Class A *		825,740
	72,644	Philips Lighting NV		2,748,716
		Total Netherlands		3,947,398
		Norway — 1.0%
	1,032,084	Kongsberg Automotive ASA *		1,296,097
	541,234	Kvaerner ASA *		1,008,609
	31,488	Odfjell Drilling Ltd. *		135,979
	17,060	Selvaag Bolig ASA		60,842
		Total Norway		2,501,527
		Poland — 0.8%
	313,907	Enea SA		1,057,508
	292,384	Energa SA		1,000,789
		Total Poland		2,058,297
		Portugal — 0.2%
	118,016	Navigator Co SA (The)		587,562
		Singapore — 2.9%
	165,900	Venture Corp Ltd		2,588,722
	4,048,000	Yanlord Land Group Ltd		4,991,980
		Total Singapore		7,580,702
		South Africa — 0.5%
	349,098	Blue Label Telecoms Ltd		406,091
	97,531	Reunert Ltd		497,451
	36,959	Wilson Bayly Holmes-Ovcon Ltd		404,338
		Total South Africa		1,307,880
		South Korea — 4.6%
	804	Chong Kun Dang Pharmaceutical Corp		99,804
	17,714	DongKook Pharmaceutical Co Ltd		1,008,565
	9,392	F&F Co Ltd		394,514

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	40,993	Hyundai Corp		770,253
	211,497	Kwang Dong Pharmaceutical Co Ltd		1,729,323
	13,272	Kyungdong Pharm Co Ltd		279,562
	19,505	LF Corp		550,993
	80,318	LOTTE Himart Co Ltd		5,584,163
	293	Namyang Dairy Products Co Ltd		187,540
	8,128	Samjin Pharmaceutical Co Ltd		272,922
	10,068	SeAH Steel Corp		890,354
	64,283	Seohan Co Ltd		131,944
		Total South Korea		11,899,937
		Spain — 0.6%
	235,126	Ence Energia y Celulosa SA		1,536,230
		Sweden — 0.8%
	22,311	Acando AB		72,536
	55,030	Bufab AB		664,018
	8,235	KNOW IT AB		145,032
	79,955	Mr. Green & Co AB *		502,051
	66,331	New Wave Group AB – B Shares		426,584
	1,409	Nolato AB – B Shares		90,688
	7,534	Tethys Oil AB		56,246
		Total Sweden		1,957,155
		Switzerland — 4.5%
	24,749	ALSO Holding AG (Registered) *		3,324,846
	35,318	Bobst Group SA (Registered)		4,481,554
	2,489	Coltene Holding AG (Registered)		241,481
	2,450	Georg Fischer AG (Registered)		3,228,801
	5,269	Orior AG		399,014
		Total Switzerland		11,675,696
		Taiwan — 1.9%
	332,000	China Motor Corp		298,363
	977,000	Coretronic Corp		1,092,679
	569,000	Elitegroup Computer Systems Co Ltd *		370,296
	270,000	Farglory Land Development Co Ltd		285,180
	207,000	Great Wall Enterprise Co Ltd		232,822
	178,000	Lite-On Semiconductor Corp		263,011
	204,000	Lotes Co Ltd		1,160,715
	375,000	Radiant Opto-Electronics Corp		815,581
	35,000	Senao International Co Ltd		60,268
	89,000	Topco Scientific Co Ltd		234,804
		Total Taiwan		4,813,719
		Turkey — 0.0%
	83,637	Selcuk Ecza Deposu Ticaret ve Sanayi AS		70,543
		United Kingdom — 11.6%
	532,373	888 Holdings Plc		1,867,231
	790	Bellway Plc		37,038
	11,357	Burford Capital Ltd		189,127
	8,488	Close Brothers Group Plc		163,016
	104,660	Computacenter Plc		1,595,088
	681,524	EI Group Plc *		1,361,440

Shares		Description	Value ($)
		United Kingdom — continued
	544,951	Electrocomponents Plc		4,652,441
	180,057	Evraz Plc		697,581
	322,312	Fenner Plc		1,683,873
	77,000	Games Workshop Group Plc		2,036,348
	519,679	Jupiter Fund Management Plc		4,211,831
	241,987	McBride Plc *		737,881
	58,518	McColl’s Retail Group Plc		225,845
	88,909	Morgan Sindall Group Plc		1,648,958
	111,723	N Brown Group Plc		426,514
	18,028	Ophir Energy Plc *		15,862
	18,027	Plus500 Ltd		233,452
	266,558	RPS Group Plc		981,107
	90,457	Savills Plc		1,149,920
	10,981	Spirent Communications Plc		15,689
	130,411	SThree Plc		604,590
	321,966	Stock Spirits Group Plc		1,152,717
	209,095	Trinity Mirror Plc		193,369
	59,931	TT Electronics Plc		191,544
	443,415	Vesuvius Plc		3,362,111
	111,282	Wincanton Plc		365,443
		Total United Kingdom		29,800,016
		United States — 0.4%
	56,600	OM Asset Management Plc		928,240
		TOTAL COMMON STOCKS (COST $226,662,912)		251,332,493
		PREFERRED STOCKS (a) — 1.0%
		Germany — 1.0%
	29,469	Draegerwerk AG & Co KGaA		2,470,721
		TOTAL PREFERRED STOCKS (COST $3,139,658)		2,470,721
		MUTUAL FUNDS — 1.0%
		United States — 1.0%
		Affiliated Issuers — 1.0%
	100,732	GMO U.S. Treasury Fund		2,516,294
		TOTAL MUTUAL FUNDS (COST $2,517,301)		2,516,294
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	95,001	State Street Institutional Treasury Money Market Fund-Premier Class, 1.02% (b)		95,001
		Total Money Market Funds		95,001
		TOTAL SHORT-TERM INVESTMENTS (COST $95,001)		95,001
		TOTAL INVESTMENTS — 99.9% (Cost $232,414,872)		256,414,509
		Other Assets and Liabilities (net) — 0.1%		215,200
		TOTAL NET ASSETS — 100.0%		$256,629,709

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

A summary of outstanding financial instruments at November 30, 2017 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
Buys
14	Mini MSCI EAFE	December 2017	$	1,413,440	$	5,554

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2017, 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:

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(b) The rate disclosed is the 7 day net yield as of November 30, 2017.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.0%
		Australia — 3.8%
	321,081	Abacus Property Group (REIT)		1,012,087
	38,751	Adelaide Brighton Ltd		189,403
	482,301	Australia & New Zealand Banking Group Ltd		10,473,004
	1,900,367	BHP Billiton Ltd		39,641,957
	529,710	Caltex Australia Ltd		13,720,602
	693,012	Charter Hall Group (REIT)		3,317,052
	128,589	Credit Corp Group Ltd		2,212,156
	4,763,601	CSR Ltd		16,666,738
	771,559	Dexus (REIT)		6,069,677
	6,215,449	Downer EDI Ltd		33,280,958
	125,824	Elders Ltd		655,752
	651,940	Fortescue Metals Group Ltd		2,278,575
	976,989	Goodman Group (REIT)		6,455,421
	66,022	Investa Office Fund (REIT)		241,215
	1,485,829	Metcash Ltd		3,118,822
	1,819,151	Mineral Resources Ltd		27,068,396
	1,518,586	Nine Entertainment Co Holdings Ltd		1,833,542
	3,134,379	OZ Minerals Ltd		19,967,727
	581,223	Pact Group Holdings Ltd		2,454,956
	980,680	Qantas Airways Ltd		4,230,802
	100	Rio Tinto Ltd		5,404
	1,176,271	Shopping Centres Australasia Property Group (REIT)		2,152,698
	394,187	Sigma Healthcare Ltd		236,126
	17,983	Sonic Healthcare Ltd		304,607
	288,481	Southern Cross Media Group Ltd		253,881
	75,035	Tabcorp Holdings Ltd		276,638
	364,680	Tassal Group Ltd		1,103,367
	69,894	Vicinity Centres (REIT)		148,592
	19,738	Virtus Health Ltd		77,909
	30,282	Woodside Petroleum Ltd		715,146
	430,522	WorleyParsons Ltd *		4,923,311
		Total Australia		205,086,521
		Austria — 1.4%
	79,093	Oesterreichische Post AG		3,566,180
	908,093	OMV AG		56,542,704
	289,210	voestalpine AG		16,794,624
		Total Austria		76,903,508
		Belgium — 0.1%
	615,191	AGFA-Gevaert NV *		2,801,270
	1,134	Barco NV		121,128
	14,350	bpost SA		443,227
	46,444	D’ieteren SA/NV		2,180,119
	7,450	Elia System Operator SA/NV		438,254
	90,674	Orange Belgium SA		1,963,692
		Total Belgium		7,947,690
		Denmark — 0.4%
	11,483	AP Moeller – Maersk A/S – Class B		20,703,168

Shares		Description	Value ($)
		Denmark — continued
	2,643	Dfds A/S		142,678
	12,564	Per Aarsleff Holding A/S		364,628
	8,571	Schouw & Co AB		792,368
		Total Denmark		22,002,842
		Finland — 0.4%
	26,395	Metso Oyj		930,610
	27,313	Tieto Oyj		853,702
	652,754	UPM-Kymmene Oyj		19,642,763
		Total Finland		21,427,075
		France — 12.9%
	2,118,107	Air France-KLM *		30,054,803
	60,747	Amundi SA		5,416,454
	4,563,927	AXA SA		137,704,226
	837,339	BNP Paribas SA		63,397,377
	107,731	Casino Guichard Perrachon SA		6,551,966
	132,571	Christian Dior SE		47,384,374
	706,407	CNP Assurances		15,868,454
	3,216,416	Credit Agricole SA		54,193,528
	31,200	Ipsen SA		3,800,191
	17,255	IPSOS		623,174
	4,612	Legrand SA		345,205
	238,372	Metropole Television SA		6,266,516
	578,694	Peugeot SA		11,957,737
	466,796	SCOR SE		19,011,950
	7,768	Societe BIC SA		901,282
	1,605,095	Societe Generale SA		80,770,600
	2,579,070	STMicroelectronics NV		58,368,354
	2,247,200	STMicroelectronics NV – NY Shares		50,831,664
	1,855,520	TOTAL SA		104,883,058
		Total France		698,330,913
		Germany — 12.1%
	131,069	ADVA Optical Networking SE *		952,918
	627,311	Allianz SE (Registered)		148,154,766
	152,880	BASF SE		17,142,903
	1,214,916	Bayerische Motoren Werke AG		122,652,233
	92,048	Bechtle AG		7,867,241
	5,852	Cewe Stiftung & Co KGAA		554,048
	1,776,454	Daimler AG (Registered Shares)		147,170,376
	2,991,435	Deutsche Lufthansa AG (Registered)		102,930,626
	9,759	Diebold Nixdorf AG		852,950
	5,773	Duerr AG		727,280
	20,395	Evonik Industries AG		761,645
	7,958	Fraport AG Frankfurt Airport Services Worldwide		793,328
	20,554	Henkel AG & Co KGaA		2,507,618
	6,881	Indus Holding AG		508,618
	57,696	Jenoptik AG		1,885,606
	2,151	Koenig & Bauer AG		164,614
	139,310	Leoni AG		10,281,921

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	215,662	RHOEN-KLINIKUM AG		7,509,399
	1,293	RTL Group SA		103,227
	1,566,640	RWE AG *		35,911,302
	6,606	Salzgitter AG		340,489
	13,801	Siltronic AG *		2,050,874
	228,194	Software AG		12,499,496
	23,770	STADA Arzneimittel AG		2,302,297
	52,163	Talanx AG		2,147,621
	112,851	Volkswagen AG		23,418,687
		Total Germany		652,192,083
		Hong Kong — 4.7%
	8,838,600	BOC Hong Kong Holdings Ltd		44,980,657
	2,881,600	Champion (REIT)		2,133,074
	2,361,100	Dah Sing Banking Group Ltd		5,226,578
	469,800	Dah Sing Financial Holdings Ltd		3,015,351
	5,255,990	Esprit Holdings Ltd *		2,732,031
	4,350,000	Global Brands Group Holding Ltd *		390,943
	2,478,900	Hysan Development Co Ltd		13,300,075
	5,696,075	I-CABLE Communications Ltd *		163,172
	3,000,200	Kerry Properties Ltd		13,283,219
	425,791	Link (REIT)		3,811,701
	917,200	Luk Fook Holdings International Ltd		4,007,190
	3,770,000	Man Wah Holdings Ltd		3,290,220
	1,621,000	Pacific Textiles Holdings Ltd		1,704,878
	1,075,700	PCCW Ltd		640,404
	22,057,100	SJM Holdings Ltd		17,794,914
	1,526,200	SmarTone Telecommunications Holdings Ltd		1,825,560
	162,400	Swire Properties Ltd		551,768
	39,000	Swire Pacific Ltd – Class A		375,112
	135,500	Techtronic Industries Co Ltd		785,555
	435,800	Television Broadcasts Ltd		1,519,019
	51,329,500	WH Group Ltd		54,671,874
	5,301,900	Wharf Holdings Ltd (The)		16,772,272
	5,301,900	Wharf Real Estate Investment Co Ltd *		32,041,597
	2,207,500	Wheelock & Co Ltd		15,191,980
	845,075	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		220,208
	3,383,800	Yue Yuen Industrial Holdings Ltd		12,107,566
		Total Hong Kong		252,536,918
		Israel — 0.3%
	71,321	Bank Hapoalim BM		487,136
	274,626	El Al Israel Airlines		124,121
	4,169,122	Israel Discount Bank Ltd – Class A *		11,836,556
	36,740	Mizrahi Tefahot Bank Ltd		670,458
	39,900	SodaStream International Ltd *		2,808,162
	10,496	Teva Pharmaceutical Industries Ltd		155,350
		Total Israel		16,081,783
		Italy — 4.3%
	474,840	A2A SPA		893,375
	78,636	De’ Longhi SPA		2,309,173

Shares		Description	Value ($)
		Italy — continued
	6,787,484	Enel SPA		44,098,312
	3,284	Eni SPA		54,024
	633,637	EXOR NV		38,376,326
	4,686,200	Fiat Chrysler Automobiles NV		80,134,020
	2,680,968	Hera SPA		9,640,543
	1,899,842	Iren SPA		5,824,821
	51,526	La Doria SPA		1,035,311
	754,646	Recordati SPA		33,949,513
	9,720	Reply SPA		559,549
	1,229,874	Saras SPA		3,172,933
	984,785	Societa Cattolica di Assicurazioni SC		10,686,426
	595,147	Telecom Italia SPA *		497,980
		Total Italy		231,232,306
		Japan — 27.3%
	19,600	ADEKA Corp		331,784
	7,000	Aichi Corp		49,999
	1,200	Ain Holdings Inc		81,845
	140,800	Alpine Electronics Inc		3,271,584
	83,700	AOKI Holdings Inc		1,226,893
	23,800	Aoyama Trading Co Ltd		907,806
	2,530,800	Asahi Kasei Corp		31,769,559
	118,500	Asatsu-DK Inc		3,864,094
	127,800	Autobacs Seven Co Ltd		2,451,666
	1,989,000	Brother Industries Ltd		49,461,465
	909,100	Canon Inc		34,869,073
	52,100	Cawachi Ltd		1,299,582
	168,000	CKD Corp		3,686,596
	6,200	Computer Engineering & Consulting Ltd		140,721
	199,500	Concordia Financial Group Ltd		1,098,557
	439,600	Cosmo Energy Holdings Co Ltd		13,304,100
	21,200	Credit Saison Co Ltd		408,651
	29,580	Daikyo Inc		576,881
	110,300	Daiwa House Industry Co Ltd		4,051,063
	71,100	Daiwabo Holdings Co Ltd		2,793,489
	809,700	DCM Holdings Co Ltd		7,828,567
	340,640	Denka Co Ltd		12,598,637
	434,000	DIC Corp		16,287,039
	70,600	Doutor Nichires Holdings Co Ltd		1,689,946
	17,300	DTS Corp		573,879
	7,500	Ehime Bank Ltd (The)		94,637
	116,000	Fuji Electric Co Ltd		822,522
	315,200	Fujikura Ltd		2,950,656
	10,882,000	Fujitsu Ltd		81,531,261
	194,700	Fuji Oil Holdings Inc		5,671,317
	238,100	Furukawa Electric Co Ltd		12,652,458
	34,400	Fuyo General Lease Co Ltd		2,289,883
	170,000	Geo Holdings Corp		3,455,689
	23,250	Gunze Ltd		1,221,498
	278,940	Hanwa Co Ltd		11,308,803
	106,800	Hiroshima Bank Ltd (The)		845,203
	13,600	Hitachi Capital Corp		337,391
	610,700	Hitachi Chemical Co Ltd		16,154,557

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	8,726,000	Hitachi Ltd		65,381,119
	7,200	Hitachi Transport System Ltd		180,013
	2,300	Hokuetsu Bank Ltd (The)		51,374
	135,300	Horiba Ltd		8,458,976
	45,600	House Foods Group Inc		1,488,716
	144,900	Idemitsu Kosan Co Ltd		4,888,926
	26,700	Isuzu Motors Ltd		424,831
	7,503,900	ITOCHU Corp		130,444,998
	81,800	Itochu Techno-Solutions Corp		3,446,851
	36,700	Kagome Co Ltd		1,361,568
	184,600	Kanematsu Corp		2,225,702
	261,400	Keihin Corp		5,167,572
	61,200	Kohnan Shoji Co Ltd		1,276,953
	9,900	Koito Manufacturing Co Ltd		688,011
	68,100	Kokuyo Co Ltd		1,294,821
	48,900	Kuraray Co Ltd		944,620
	8,200	Kyowa Exeo Corp		197,188
	29,500	Lasertec Corp		722,285
	57,800	Mandom Corp		1,957,596
	7,002,800	Marubeni Corp		46,745,716
	2,400	Maruwa Co Ltd		153,721
	9,758,600	Mitsubishi Chemical Holdings Corp		106,113,829
	1,364,000	Mitsubishi Corp		34,305,503
	771,700	Mitsubishi Gas Chemical Co Inc		21,665,840
	1,424,800	Mitsubishi Tanabe Pharma Corp		30,805,650
	2,071,700	Mitsubishi UFJ Financial Group Inc		14,767,324
	190,100	Mitsubishi UFJ Lease & Finance Co Ltd		1,089,215
	5,241,200	Mitsui & Co Ltd		79,941,865
	715,100	Mitsui Chemicals Inc		23,215,042
	41,900	Mitsui Mining & Smelting Co Ltd		2,390,720
	3,600	Mitsui Sugar Co Ltd		147,971
	91,500	Modec Inc		2,203,414
	68,200	Morinaga & Co Ltd		3,421,970
	171,000	Nachi-Fujikoshi Corp		1,086,149
	87,000	Namura Shipbuilding Co Ltd		535,855
	429,800	NET One Systems Co Ltd		6,182,033
	268,000	Nichias Corp		3,465,186
	5,400	Nichiha Corp		210,657
	616,300	Nichirei Corp		17,900,296
	9,900	Nifco Inc		665,770
	127,000	Nippo Corp		3,015,154
	53,100	Nippon Chemi-Con Corp		1,795,149
	1,069,000	Nippon Light Metal Holdings Co Ltd		2,872,500
	21,800	Nippon Paper Industries Co Ltd		418,936
	2,563,100	Nippon Telegraph & Telephone Corp		133,804,005
	9,160	Nippon Television Holdings Inc		166,126
	77,900	Nippon Signal Co Ltd		842,402
	119,300	Nishi-Nippon Financial Holdings Inc		1,346,526
	95,500	Nisshinbo Holdings Inc		1,341,482
	40,200	Nissin Electric Co Ltd		486,109
	88,500	Nomura Holdings Inc		535,122
	800	NuFlare Technology Inc		53,149
	10,500	Okamura Corp		137,887

Shares		Description	Value ($)
		Japan — continued
	122,700	Okinawa Electric Power Co (The)		3,216,402
	205,800	Onward Holdings Co Ltd		1,684,110
	86,600	Open House Co Ltd		4,274,787
	452,200	Orient Corp		744,797
	12,000	Osaki Electric Co Ltd		85,051
	174,100	Pola Orbis Holdings Inc		6,363,339
	108,200	Press Kogyo Co Ltd		648,548
	1,076,000	Prima Meat Packers Ltd		7,497,107
	32,000	Relo Group Inc		853,277
	106,200	Rengo Co Ltd		691,170
	42,500	Rohm Co Ltd		4,380,076
	45,100	Rohto Pharmaceutical Co Ltd		1,160,495
	43,300	San-A Co Ltd		2,003,739
	6,800	Sankyu Inc		292,031
	1,644,900	Sekisui Chemical Co Ltd		31,920,350
	268,200	Showa Denko KK		10,027,105
	38,200	Softbank Technology Corp		653,468
	13,387,400	Sojitz Corp		38,839,677
	4,219,000	Sumitomo Chemical Co Ltd		29,587,964
	68,600	Sumitomo Dainippon Pharma Co Ltd		997,443
	642,400	Sumitomo Forestry Co Ltd		11,095,959
	355,260	Sumitomo Heavy Industries Ltd		14,617,486
	509,600	Sumitomo Rubber Industries Ltd		9,325,109
	15,200	Suzuken Co Ltd		602,344
	125,100	Suzuki Motor Corp		6,771,224
	162,300	T-Gaia Corp		3,545,831
	16,600	Token Corp		2,090,390
	9,330	Tokyo Electric Power Co Holdings Inc *		37,600
	154,000	Tokyo Electron Ltd		28,651,523
	56,000	Toppan Printing Co Ltd		522,956
	8,800	Toshiba Plant Systems & Services Corp		166,902
	2,697,000	Tosoh Corp		59,967,756
	55,500	Towa Pharmaceutical Co Ltd		2,886,374
	23,100	Toyoda Gosei Co Ltd		579,291
	1,124,300	Toyota Tsusho Corp		42,521,157
	31,900	TPR Co Ltd		1,098,126
	185,700	TS Tech Co Ltd		7,627,628
	87,400	TSI Holdings Co Ltd		666,092
	362,000	Tsubakimoto Chain Co		2,882,080
	17,000	Tsumura & Co		588,028
	430,410	Ube Industries Ltd		12,575,637
	6,800	UKC Holdings Corp		117,333
	225,800	Valor Holdings Co Ltd		5,281,383
	26,600	Warabeya Nichiyo Holdings Co Ltd		710,571
	30,500	Yahagi Construction Co Ltd		270,172
	46,600	Yamaguchi Financial Group Inc		558,663
	625,000	Zeon Corp		8,677,532
		Total Japan		1,478,745,827
		Malta — 0.0%
	15,984,486	BGP Holdings Plc (a)		—

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Netherlands — 3.9%
	19,741	Aalberts Industries NV		1,007,611
	104,679	BinckBank NV		535,449
	364,200	Constellium NV – Class A *		3,860,520
	19,187	Corbion NV		619,551
	193,638	Heineken Holding NV		18,643,010
	7,327,507	ING Groep NV		132,409,471
	260,495	Philips Lighting NV		9,856,655
	268,234	Unilever NV CVA		15,468,756
	551,047	Wolters Kluwer NV		28,532,395
		Total Netherlands		210,933,418
		New Zealand — 0.0%
	550,314	Air New Zealand Ltd		1,206,877
	237,499	Chorus Ltd		644,192
	43,683	Fletcher Building Ltd		206,001
		Total New Zealand		2,057,070
		Norway — 2.3%
	11,876	Austevoll Seafood ASA		99,957
	164,609	Bakkafrost P/F		6,218,679
	499,824	BW LPG Ltd *		1,978,565
	1,212,569	DNB ASA		22,087,359
	12,831	Salmar ASA		376,757
	12,295	SpareBank 1 Nord Norge		91,020
	2,180,611	Statoil ASA		43,850,451
	1,502,199	Storebrand ASA		12,000,586
	2,349,508	Subsea 7 SA		34,371,084
	45,524	Telenor ASA		1,022,285
	16,108	Yara International ASA		715,955
		Total Norway		122,812,698
		Portugal — 0.1%
	148,834	Altri SGPS SA		920,699
	1,104,709	CTT-Correios de Portugal SA		4,273,301
	178,954	Navigator Co SA (The)		890,953
	730,139	REN-Redes Energeticas Nacionais SGPS SA		2,142,283
		Total Portugal		8,227,236
		Singapore — 0.3%
	537,100	CapitaLand Commercial Trust (REIT)		753,613
	9,300	CapitaLand Mall Trust (REIT)		14,154
	333,000	Fortune Real Estate Investment Trust		411,483
	1,380,400	Mapletree Greater China Commercial Trust (REIT)		1,208,890
	706,500	Mapletree Industrial Trust (REIT)		1,032,562
	1,078,440	Mapletree Logistics Trust (REIT)		1,016,297
	436,000	Venture Corp Ltd		6,803,391
	2,497,000	Yangzijiang Shipbuilding Holdings Ltd		2,919,189
	93,000	Yanlord Land Group Ltd		114,687
		Total Singapore		14,274,266

Shares		Description	Value ($)
		Spain — 2.7%
	584,700	Ebro Foods SA		13,505,987
	706,433	Endesa SA		15,752,222
	2,458,505	Mapfre SA		8,270,322
	5,867,695	Repsol SA		107,614,012
	11,674	Viscofan SA		747,757
		Total Spain		145,890,300
		Sweden — 2.9%
	200,753	Alfa Laval AB		4,750,985
	91,548	Atlas Copco AB – A Shares		3,935,680
	55,953	Axfood AB		1,053,637
	36,580	Bilia AB – A Shares		341,568
	63,284	Castellum AB		1,025,718
	6,511	Granges AB		65,250
	32,183	Industrivarden AB – C Shares		784,812
	60,408	Klovern AB – B Shares		82,282
	17,435	NCC AB – B Shares		362,593
	2,698,900	Sandvik AB		46,397,643
	35,435	Securitas AB – B Shares		622,726
	13,261	Skanska AB – B Shares		291,282
	113,305	Svenska Cellulosa AB SCA – Class B		1,105,346
	23,199	Swedish Match AB		877,740
	4,981,840	Volvo AB – B Shares		94,954,304
	53,861	Wihlborgs Fastigheter AB		1,254,161
		Total Sweden		157,905,727
		Switzerland — 5.0%
	58,679	Ascom Holding AG (Registered)		1,402,402
	13,484	Autoneum Holding AG		3,683,379
	1,774	Banque Cantonale Vaudoise (Registered)		1,357,187
	5,696	BKW AG		337,445
	343	Bobst Group SA (Registered)		43,524
	2,018	Cembra Money Bank AG *		181,918
	372	dormakaba Holding AG *		352,641
	3,408	Emmi AG (Registered) *		2,207,749
	14,606	EMS-Chemie Holding AG (Registered)		9,749,918
	1,736	Forbo Holdings AG (Registered)		2,575,180
	17,470	Georg Fischer AG (Registered)		23,023,329
	42	Gurit Holding AG *		44,715
	12,324	Implenia AG (Registered)		803,434
	9,576	Kardex AG (Registered) *		1,119,795
	5,439	Komax Holding AG (Registered)		1,709,023
	1,191,259	Logitech International SA (Registered)		41,554,523
	10,546	Mobilezone Holding AG (Registered)		130,322
	238,871	Novartis AG (Registered)		20,494,322
	15,041	Roche Holding AG		3,825,572
	7,238	Sika AG		56,004,522
	1,316	Swatch Group AG (The) (Registered)		93,232
	95,878	Swiss Life Holding AG (Registered) *		32,246,042
	649,291	Swiss Re AG		60,962,305
	1,640	Valora Holding AG (Registered)		558,365
	61,457	Vontobel Holding AG (Registered)		3,723,181

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	5,161	Zehnder Group AG – Class RG		206,495
		Total Switzerland		268,390,520
		United Kingdom — 13.1%
	1,148,407	3i Group Plc		14,007,282
	2,171,455	AstraZeneca Plc		140,142,088
	779,910	Berkeley Group Holdings Plc (The)		40,265,260
	67,143	Bovis Homes Group Plc		1,017,746
	1,501,128	British American Tobacco Plc		95,460,196
	776,174	Cairn Energy Plc *		2,222,291
	1,579,090	Carillion Plc *		357,878
	654,275	Coca-Cola HBC AG *		20,968,022
	4,316,811	Debenhams Plc		2,298,694
	1,177,176	Electrocomponents Plc		10,049,972
	28,644	Fenner Plc		149,647
	3,499,013	Ferrexpo Plc		11,990,863
	7,495,818	Firstgroup Plc *		11,102,250
	414,892	Galliford Try Plc		6,632,768
	6,956,856	GlaxoSmithKline Plc		120,370,584
	24,000	GlaxoSmithKline Plc Sponsored ADR		841,440
	133,725	Halfords Group Plc		619,998
	335,928	Hunting Plc *		2,462,885
	1,895,212	Inchcape Plc		19,113,694
	2,796,582	Indivior Plc *		14,035,307
	377,441	Intermediate Capital Group Plc		5,444,401
	1,865	Jupiter Fund Management Plc		15,115
	11,900,542	Lloyds Banking Group Plc		10,620,482
	154,003	Mitie Group Plc *		409,179
	406,874	National Express Group Plc		2,001,792
	30,089	Pearson Plc		287,890
	1,889,431	Persimmon Plc		64,897,360
	57,252	Playtech Plc		651,197
	249,518	QinetiQ Group Plc		729,853
	899,033	Reckitt Benckiser Group Plc		78,914,846
	98,543	Royal Mail Plc		589,508
	70,646	Savills Plc		898,075
	376,649	Spectris Plc		12,764,562
	357,694	Vesuvius Plc		2,712,147
	26,237	Victrex Plc		851,487
	66,783	WH Smith Plc		1,887,024
	4,563,977	Wm Morrison Supermarkets Plc		13,355,965
		Total United Kingdom		711,139,748
		TOTAL COMMON STOCKS (COST $4,507,629,869)		5,304,118,449
		PREFERRED STOCKS (b) — 1.1%
		Germany — 1.1%
	164,043	Jungheinrich AG		7,352,718
	275,190	Porsche Automobil Holding SE		23,053,659

Shares		Description	Value ($)
		Germany — continued
	131,656	Volkswagen AG		27,948,410
		Total Germany		58,354,787
		TOTAL PREFERRED STOCKS (COST $46,324,441)		58,354,787
		RIGHTS/WARRANTS — 0.0%
		Australia — 0.0%
	64,580	Pact Group Holdings Ltd, Expires 12/01/17 * (a)		13,678
		TOTAL RIGHTS/WARRANTS (COST $0)		13,678
		MUTUAL FUNDS — 0.6%
		United States — 0.6%
		Affiliated Issuers — 0.6%
	1,224,401	GMO U.S. Treasury Fund		30,585,547
		TOTAL MUTUAL FUNDS (COST $30,597,791)		30,585,547
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	10,167,815	State Street Institutional Treasury Money Market Fund-Premier Class, 1.02% (c)		10,167,815
		TOTAL SHORT-TERM INVESTMENTS (COST $10,167,815)		10,167,815
		TOTAL INVESTMENTS — 99.9% (Cost $4,594,719,916)		5,403,240,276
		Other Assets and Liabilities (net) — 0.1%		7,613,709
		TOTAL NET ASSETS — 100.0%		$5,410,853,985

A summary of outstanding financial instruments at November 30, 2017 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
Buys
386	Mini MSCI EAFE	December 2017	$	38,970,560	$	190,492

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2017, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

Notes to Schedule of Investments:

ADR - American Depositary Receipt

CVA - Certificaaten van aandelen (Share Certificates)

REIT - Real Estate Investment Trust

* 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. Investment valued using significant unobservable inputs.

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) The rate disclosed is the 7 day net yield as of November 30, 2017.

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 94.5%
		Australia — 3.1%
	98	Australia & New Zealand Banking Group Ltd		2,128
	61,328	BHP Billiton Ltd		1,279,312
	8,833	Caltex Australia Ltd		228,793
	18,566	Charter Hall Group (REIT)		88,865
	594	Domain Holdings Australia Ltd *		1,564
	21,600	Downer EDI Ltd		115,658
	5,949	Fairfax Media Ltd		3,197
	95,458	Fortescue Metals Group Ltd		333,632
	7,761	Goodman Group (REIT)		51,281
	17,407	GPT Group (The) (REIT)		71,538
	3,103	LendLease Group		37,566
	8,193	Mineral Resources Ltd		121,909
	24,634	Qantas Airways Ltd		106,275
	1,299	Shopping Centres Australasia Property Group (REIT)		2,377
	293	Sonic Healthcare Ltd		4,963
	1,800	WorleyParsons Ltd *		20,584
		Total Australia		2,469,642
		Austria — 2.9%
	27,128	OMV AG		1,689,134
	10,882	voestalpine AG		631,925
		Total Austria		2,321,059
		Belgium — 0.1%
	84	Ageas		4,131
	1,785	bpost SA		55,133
		Total Belgium		59,264
		Denmark — 1.2%
	514	AP Moeller – Maersk A/S – Class B		926,711
		Finland — 1.6%
	42,112	UPM – Kymmene Oyj		1,267,240
		France — 12.6%
	26,033	Air France-KLM *		369,394
	380	Amundi SA		33,882
	106	Atos SE		15,658
	71,181	AXA SA		2,147,695
	25,260	BNP Paribas SA		1,912,508
	1,930	Christian Dior SE		689,833
	2,472	CNP Assurances		55,530
	45,335	Credit Agricole SA		763,851
	10,657	SCOR SE		434,045
	31,192	Societe Generale SA		1,569,625
	26,398	STMicroelectronics NV		597,428
	27,252	TOTAL SA		1,540,416
		Total France		10,129,865
		Germany — 10.3%
	7,716	Allianz SE (Registered)		1,822,321

Shares		Description	Value ($)
		Germany — continued
	616	Aurubis AG		51,183
	828	BASF SE		92,846
	17,959	Bayerische Motoren Werke AG		1,813,057
	168	Bechtle AG		14,359
	394	Beiersdorf AG		46,922
	567	Covestro AG		59,051
	26,115	Daimler AG (Registered Shares)		2,163,498
	45,561	Deutsche Lufthansa AG (Registered)		1,567,683
	63	Henkel AG & Co KGaA		7,686
	900	Leoni AG		66,425
	715	METRO AG *		13,966
	12,162	RWE AG *		278,783
	198	Siltronic AG *		29,424
	1,937	Uniper SE		57,659
	1,009	Volkswagen AG		209,386
		Total Germany		8,294,249
		Hong Kong — 5.7%
	108,500	BOC Hong Kong Holdings Ltd		552,169
	197,233	I-CABLE Communications Ltd *		5,650
	126,000	Link (REIT)		1,127,958
	389,000	SJM Holdings Ltd		313,832
	2,500	Techtronic Industries Co Ltd		14,494
	373,000	WH Group Ltd		397,288
	156,000	Wharf Holdings Ltd (The)		493,497
	156,000	Wharf Real Estate Investment Co Ltd *		942,773
	84,000	Wheelock & Co Ltd		578,087
	96,000	Xinyi Glass Holdings Ltd *		117,305
	9,500	Yue Yuen Industrial Holdings Ltd		33,992
		Total Hong Kong		4,577,045
		Israel — 0.0%
	100	Check Point Software Technologies Ltd *		10,429
	400	Teva Pharmaceutical Industries Ltd Sponsored ADR		5,928
		Total Israel		16,357
		Italy — 1.5%
	477	De’ Longhi SPA		14,007
	1,463	Enel SPA		9,505
	7,901	EXOR NV		478,526
	33,600	Fiat Chrysler Automobiles NV		574,560
	52,473	Saras SPA		135,374
	1,860	Societa Cattolica di Assicurazioni SC		20,184
	2,141	Unipol Gruppo SPA		9,822
		Total Italy		1,241,978
		Japan — 26.8%
	100	Aoyama Trading Co Ltd		3,814
	41,100	Asahi Kasei Corp		515,935
	16,900	Brother Industries Ltd		420,261
	24,000	Canon Inc		920,534
	1,100	Daicel Corp		13,096

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	5,900	Daiichi Sankyo Co Ltd		142,196
	9,200	Daiwa House Industry Co Ltd		337,895
	1,000	DCM Holdings Co Ltd		9,668
	1,400	DIC Corp		52,539
	100	Disco Corp		22,375
	1,900	FUJIFILM Holdings Corp		77,838
	5,900	Fujikura Ltd		55,231
	135,000	Fujitsu Ltd		1,011,461
	100	Fuji Oil Holdings Inc		2,913
	3,900	Furukawa Electric Co Ltd		207,243
	1,100	Gree Inc		7,192
	18,174	Haseko Corp		283,470
	1,700	Hino Motors Ltd		20,998
	2,400	Hitachi Chemical Co Ltd		63,486
	177,000	Hitachi Ltd		1,326,204
	400	Horiba Ltd		25,008
	700	House Foods Group Inc		22,853
	200	Ibiden Co Ltd		3,207
	118,800	ITOCHU Corp		2,065,175
	100	Itochu Techno-Solutions Corp		4,214
	1,100	JSR Corp		21,155
	9,640	K’s Holdings Corp		248,809
	100	Kagome Co Ltd		3,710
	2,000	Kajima Corp		21,061
	100	Kobayashi Pharmaceutical Co Ltd		6,318
	200	Lion Corp		3,742
	203,500	Marubeni Corp		1,358,421
	1,300	MINEBEA MITSUMI Inc		25,928
	163,900	Mitsubishi Chemical Holdings Corp		1,782,229
	5,900	Mitsubishi Corp		148,389
	10,000	Mitsubishi Gas Chemical Co Inc		280,755
	28,200	Mitsubishi Tanabe Pharma Corp		609,713
	91,600	Mitsui & Co Ltd		1,397,137
	9,100	Mitsui Chemicals Inc		295,423
	100	Mitsui Mining & Smelting Co Ltd		5,706
	1,200	Morinaga & Co Ltd		60,211
	5,300	Nichirei Corp		153,937
	37,300	Nippon Telegraph & Telephone Corp		1,947,208
	300	Nissin Foods Holdings Co Ltd		21,717
	24,800	Otsuka Holdings Co Ltd		1,099,676
	1,200	Resona Holdings Inc		6,390
	1,100	Rohm Co Ltd		113,367
	1,500	Seiko Epson Corp		36,529
	46,000	Sekisui Chemical Co Ltd		892,660
	6,700	Showa Denko KK		250,491
	245,500	Sojitz Corp		712,247
	48,000	Sumitomo Chemical Co Ltd		336,625
	900	Sumitomo Corp		14,038
	1,100	Sumitomo Dainippon Pharma Co Ltd		15,994
	400	Suntory Beverage & Food Ltd		17,312
	900	Suzuki Motor Corp		48,714
	1,500	Takeda Pharmaceutical Co., Ltd		82,749
	1,300	Tokyo Electron Ltd		241,864

Shares		Description	Value ($)
		Japan — continued
	28,000	Tokyo Electric Power Co Holdings Inc *		112,841
	1,000	Tosoh Corp		22,235
	39,700	Toyota Tsusho Corp		1,501,459
	200	TS Tech Co Ltd		8,215
	500	Tsumura & Co		17,295
	800	Ube Industries Ltd		23,374
	1,000	Yokohama Rubber Co Ltd (The)		22,536
		Total Japan		21,582,986
		Malta — 0.0%
	15,998,662	BGP Holdings Plc (a)		—
		Netherlands — 4.5%
	1,724	ASR Nederland NV		70,214
	5,294	Heineken Holding NV		509,694
	97,091	ING Groep NV		1,754,453
	3,354	Philips Lighting NV		126,909
	6,630	Unilever NV CVA		382,345
	2,000	Unilever NV – NY Shares		115,480
	12,317	Wolters Kluwer NV		637,756
		Total Netherlands		3,596,851
		New Zealand — 0.3%
	47,795	Fletcher Building Ltd		227,543
	2,722	Spark New Zealand Ltd		6,753
		Total New Zealand		234,296
		Norway — 0.4%
	692	Bakkafrost P/F		26,143
	4,924	DNB ASA		89,692
	1,291	Norsk Hydro ASA		8,781
	1,129	Storebrand ASA		9,019
	14,496	Subsea 7 SA		212,063
		Total Norway		345,698
		Portugal — 0.0%
	1,179	CTT-Correios de Portugal SA		4,561
		Singapore — 0.2%
	800	DBS Group Holdings Ltd		14,570
	9,100	Venture Corp Ltd		141,998
		Total Singapore		156,568
		Spain — 2.3%
	98,870	Repsol SA		1,813,284
		Sweden — 2.3%
	412	Atlas Copco AB – A Shares		17,712
	29,950	Sandvik AB		514,880
	990	Svenska Cellulosa AB SCA – Class B		9,658
	69,826	Volvo AB – B Shares		1,330,889
		Total Sweden		1,873,139

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Switzerland — 4.8%
	127	Baloise Holding AG (Registered)		19,588
	78	Georg Fischer AG (Registered)		102,794
	174	LafargeHolcim Ltd (Registered) *		9,546
	10,197	Logitech International SA (Registered)		355,701
	2,189	Nestle SA (Registered)		187,268
	898	Novartis AG (Registered)		77,045
	259	Roche Holding AG		65,453
	123	Sika AG		951,721
	89	Swatch Group AG (The) (Registered)		6,305
	2,644	Swiss Life Holding AG (Registered) *		889,240
	12,911	Swiss Re AG		1,212,221
		Total Switzerland		3,876,882
		United Kingdom — 13.9%
	11,885	3i Group Plc		144,963
	31,942	AstraZeneca Plc		2,061,483
	344	Bellway Plc		16,128
	20,568	Berkeley Group Holdings Plc (The)		1,061,886
	36,015	British American Tobacco Plc		2,290,277
	3,659	Coca-Cola HBC AG *		117,263
	17,495	Electrocomponents Plc		149,361
	17,935	Ferrexpo Plc		61,462
	953	Galliford Try Plc		15,235
	77,170	GlaxoSmithKline Plc		1,335,229
	500	GlaxoSmithKline Plc Sponsored ADR		17,530
	2,198	Hammerson Plc (REIT)		15,449
	18,410	Inchcape Plc		185,670
	20,279	Indivior Plc *		101,775
	734	Intermediate Capital Group Plc		10,588
	1,244	J Sainsbury Plc		3,906
	337	Johnson Matthey Plc		13,813
	3,383	Jupiter Fund Management Plc		27,418
	50,615	Kingfisher Plc		228,340
	89	Mondi Plc		2,126
	36,711	Persimmon Plc		1,260,934
	10,705	Reckitt Benckiser Group Plc		939,658
	40,659	Royal Mail Plc		243,232
	33,988	Sage Group Plc (The)		355,982
	103	Spectris Plc		3,491
	8,814	WH Smith Plc		249,049
	91,721	Wm Morrison Supermarkets Plc		268,411
		Total United Kingdom		11,180,659
		TOTAL COMMON STOCKS (COST $63,966,737)		75,968,334

Shares		Description	Value ($)
		PREFERRED STOCKS (b) — 2.8%
		Germany — 2.8%
	21,836	Porsche Automobil Holding SE		1,829,281
	2,058	Volkswagen AG		436,880
		Total Germany		2,266,161
		TOTAL PREFERRED STOCKS (COST $1,954,553)		2,266,161
		MUTUAL FUNDS — 1.1%
		United States — 1.1%
		Affiliated Issuers — 1.1%
	36,894	GMO U.S. Treasury Fund		921,601
		TOTAL MUTUAL FUNDS (COST $921,970)		921,601
		SHORT-TERM INVESTMENTS — 1.1%
		Money Market Funds — 1.1%
	865,018	State Street Institutional Treasury Money Market Fund-Premier Class, 1.02% (c)		865,018
		TOTAL SHORT-TERM INVESTMENTS (COST $865,018)		865,018
		TOTAL INVESTMENTS — 99.5% (Cost $67,708,278)		80,021,114
		Other Assets and Liabilities (net) — 0.5%		463,727
		TOTAL NET ASSETS — 100.0%		$80,484,841

A summary of outstanding financial instruments at November 30, 2017 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
Buys
12	Mini MSCI EAFE	December 2017	$	1,211,520	$	23,035

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2017, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

Notes to Schedule of Investments:

ADR - American Depositary Receipt

CVA - Certificaaten van aandelen (Share Certificates)

REIT - Real Estate Investment Trust

* 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. Investment valued using significant unobservable inputs.

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) The rate disclosed is the 7 day net yield as of November 30, 2017.

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.5%
		Australia — 3.1%
	34,062	Charter Hall Group (REIT)		163,035
	2,221	Folkestone Education Trust (REIT)		5,034
	29,245	Mineral Resources Ltd		435,157
		Total Australia		603,226
		Austria — 1.7%
	15,230	FACC AG *		257,221
	2,895	POLYTEC Holding AG		67,934
		Total Austria		325,155
		Belgium — 0.3%
	13,513	AGFA-Gevaert NV *		61,531
	39	Barco NV		4,166
		Total Belgium		65,697
		Canada — 6.4%
	11,800	AGF Management Ltd – Class B		75,182
	300	Aimia Inc		826
	5,700	Air Canada *		108,641
	11,616	BRP Inc Sub Voting		424,700
	3,200	Canfor Corp *		65,902
	5,300	Cogeco Inc		396,714
	36,200	Rogers Sugar Inc		176,490
	400	Timbercreek Financial Corp		3,001
		Total Canada		1,251,456
		China — 2.0%
	8,000	Agile Group Holdings Ltd		11,604
	105,000	China National Materials Co Ltd – Class H		81,067
	586,000	China Shanshui Cement Group Ltd * (a)		—
	4,000	Fufeng Group Ltd *		2,764
	54,000	Powerlong Real Estate Holdings Ltd		24,811
	2,000	Sinotruk Hong Kong Ltd		2,218
	559,000	Yuzhou Properties Co Ltd		275,782
		Total China		398,246
		Denmark — 0.8%
	1,666	Schouw & Co AB		154,018
		Finland — 0.2%
	2,286	Finnair Oyj		32,622
		France — 5.9%
	30,367	Air France-KLM *		430,892
	1,436	Casino Guichard Perrachon SA		87,334
	8,089	Derichebourg SA		87,947
	930	Euler Hermes Group		134,802
	5,965	Metropole Television SA		156,813
	6,846	Rallye SA		123,728
	3,213	SCOR SE		130,861
		Total France		1,152,377

Shares		Description	Value ($)
		Germany — 8.3%
	1,935	Bauer AG		67,133
	14,165	Deutsche Lufthansa AG (Registered)		487,396
	6,414	Elmos Semiconductor AG		183,368
	381	Isra Vision AG		69,972
	5,646	Leoni AG		416,709
	10,709	Wacker Neuson SE		350,034
	1,801	Wuestenrot & Wuerttembergische AG		48,676
		Total Germany		1,623,288
		Hong Kong — 2.1%
	87,000	Johnson Electric Holdings Ltd		344,532
	362,000	Singamas Container Holdings Ltd		77,854
		Total Hong Kong		422,386
		India — 1.6%
	56,402	Andhra Bank *		54,732
	370,394	Jaiprakash Associates Ltd *		104,899
	5,503	Jammu & Kashmir Bank Ltd (The) *		6,353
	77,343	PTC India Ltd		139,627
	1,451	Union Bank of India *		3,691
		Total India		309,302
		Indonesia — 0.3%
	42,000	Indo Tambangraya Megah Tbk PT		65,775
		Israel — 0.7%
	4,573	Nova Measuring Instruments Ltd *		132,519
		Italy — 4.9%
	3,259	ACEA SPA		66,198
	68,606	Arnoldo Mondadori Editore SPA *		186,981
	9,666	ERG SPA		183,800
	46,224	Iren SPA		141,721
	57,782	Saras SPA		149,071
	21,108	Societa Cattolica di Assicurazioni SC		229,054
		Total Italy		956,825
		Japan — 25.3%
	1,900	Arakawa Chemical Industries Ltd		41,575
	1,400	CKD Corp		30,722
	7,300	Dai-ichi Seiko Co Ltd		195,546
	7,600	Daiichi Kigenso Kagaku-Kogyo Co Ltd		94,352
	1,100	Daiwabo Holdings Co Ltd		43,218
	1,100	Denka Co Ltd		40,684
	3,100	DIC Corp		116,336
	200	Fuji Pharma Co Ltd		7,751
	3,100	Fujitsu Frontech Ltd		55,362
	4,700	Furukawa Electric Co Ltd		249,754
	800	Fuyo General Lease Co Ltd		53,253
	3,400	Hokuhoku Financial Group Inc		50,907
	3,600	Hosokawa Micron Corp		237,305
	3,100	House Foods Group Inc		101,207

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	3,000	Ishihara Sangyo Kaisha Ltd *		54,937
	1,200	Itochu Techno-Solutions Corp		50,565
	2,200	JSP Corp		74,262
	1,400	Kamei Corp		22,682
	8,100	Kitz Corp		59,975
	7,000	Kyosan Electric Manufacturing Co Ltd		38,984
	1,600	Mandom Corp		54,189
	300	MCJ Co Ltd		3,034
	6,400	Mitsui Mining & Smelting Co Ltd		365,170
	3,500	Mixi Inc		163,030
	14,700	NET One Systems Co Ltd		211,438
	2,700	Nichiha Corp		105,328
	8,000	Nippon Soda Co Ltd		53,446
	10,000	Nisshin Oillio Group Ltd (The)		308,283
	200	Pacific Industrial Co Ltd		2,884
	71,000	Prima Meat Packers Ltd		494,698
	3,000	Rohto Pharmaceutical Co Ltd		77,195
	100	San-A Co Ltd		4,628
	500	San-In Godo Bank Ltd (The)		4,544
	200	Sanwa Holdings Corp		2,646
	800	Shikoku Chemicals Corp		13,119
	20,800	Showa Corp		254,173
	12,500	Showa Denko KK		467,333
	5,000	Sumitomo Bakelite Co Ltd		40,826
	5,500	T-Gaia Corp		120,161
	700	Takasago International Corp		22,148
	7,400	Tatsuta Electric Wire and Cable Co Ltd		56,364
	600	Token Corp		75,556
	13,000	Toyo Ink SC Holdings Co Ltd		75,492
	5,400	Toyo Kohan Co Ltd		22,145
	5,400	TS Tech Co Ltd		221,805
	3,800	Ube Industries Ltd		111,028
	400	Warabeya Nichiyo Holdings Co Ltd		10,685
		Total Japan		4,960,725
		Malaysia — 0.9%
	67,300	Berjaya Corp Bhd *		6,177
	3,900	Malaysian Pacific Industries Berhad		12,394
	124,900	Padini Holdings Berhad		154,234
		Total Malaysia		172,805
		Mexico — 0.8%
	130,600	Genomma Lab Internacional SAB de CV – Class B *		154,953
		Netherlands — 1.7%
	1,717	ASR Nederland NV		69,929
	2,200	Constellium NV – Class A *		23,320
	6,326	Philips Lighting NV		239,364
		Total Netherlands		332,613

Shares		Description	Value ($)
		Norway — 1.4%
	126,247	Kongsberg Automotive ASA *		158,542
	56,851	Kvaerner ASA *		105,944
	1,541	Selvaag Bolig ASA		5,495
		Total Norway		269,981
		Poland — 0.8%
	14,771	Enea SA		49,761
	32,388	Energa SA		110,860
		Total Poland		160,621
		Portugal — 0.2%
	9,905	Navigator Co SA (The)		49,314
		Singapore — 3.0%
	12,800	Venture Corp Ltd		199,732
	311,200	Yanlord Land Group Ltd		383,771
		Total Singapore		583,503
		South Africa — 0.5%
	20,751	Blue Label Telecoms Ltd		24,139
	6,757	Wilson Bayly Holmes-Ovcon Ltd		73,923
		Total South Africa		98,062
		South Korea — 4.8%
	1,699	DongKook Pharmaceutical Co Ltd		96,734
	1,503	Hyundai Corp		28,241
	141	Hyundai Home Shopping Network Corp		16,957
	19,649	Kwang Dong Pharmaceutical Co Ltd		160,662
	1,502	Kyungdong Pharm Co Ltd		31,638
	2,038	LF Corp		57,571
	7,303	LOTTE Himart Co Ltd		507,746
	224	Samjin Pharmaceutical Co Ltd		7,522
	426	SeAH Steel Corp		37,673
		Total South Korea		944,744
		Spain — 0.9%
	27,952	Ence Energia y Celulosa SA		182,628
		Sweden — 0.8%
	1,390	Bufab AB		16,772
	1,726	Hemfosa Fastigheter AB		22,679
	8,771	Mr. Green & Co AB *		55,075
	722	New Wave Group AB – B Shares		4,643
	531	Nolato AB – B Shares		34,177
	2,048	Tethys Oil AB		15,290
		Total Sweden		148,636
		Switzerland — 4.5%
	2,649	ALSO Holding AG (Registered) *		355,874
	3,353	Bobst Group SA (Registered)		425,467
	82	Georg Fischer AG (Registered)		108,066
		Total Switzerland		889,407

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Taiwan — 1.9%
	4,000	Alpha Networks Inc		3,336
	8,000	China Motor Corp		7,189
	71,000	Coretronic Corp		79,407
	49,000	Elitegroup Computer Systems Co Ltd *		31,888
	9,000	Farglory Land Development Co Ltd		9,506
	31,000	Great Wall Enterprise Co Ltd		34,867
	18,000	Lotes Co Ltd		102,416
	12,000	Mitac Holdings Corp		14,473
	31,000	Radiant Opto-Electronics Corp		67,421
	3,000	Senao International Co Ltd		5,166
	9,000	Syncmold Enterprise Corp		19,886
	2,000	Tripod Technology Corp		6,481
		Total Taiwan		382,036
		United Kingdom — 11.6%
	10,668	888 Holdings Plc		37,417
	123	Bellway Plc		5,767
	2,427	Burford Capital Ltd		40,417
	547	Close Brothers Group Plc		10,505
	6,980	Computacenter Plc		106,380
	34,817	EI Group Plc *		69,552
	23,974	Electrocomponents Plc		204,675
	12,876	Evraz Plc		49,884
	7,161	Fenner Plc		37,412
	3,631	Games Workshop Group Plc		96,026
	65,507	Jupiter Fund Management Plc		530,913
	1,256	McBride Plc *		3,830
	19,896	Morgan Sindall Group Plc		369,003
	14,348	N Brown Group Plc		54,775
	46,584	RPS Group Plc		171,459
	6,614	Savills Plc		84,079
	1,111	Spirent Communications Plc		1,587
	10,436	SThree Plc		48,382
	35,683	Stock Spirits Group Plc		127,754
	23,474	Vesuvius Plc		177,987
	4,744	Workspace Group Plc (REIT)		59,915
		Total United Kingdom		2,287,719
		United States — 0.1%
	1,500	OM Asset Management Plc		24,600
		TOTAL COMMON STOCKS (COST $17,589,804)		19,135,239
		PREFERRED STOCKS (b) — 1.4%
		Brazil — 0.0%
	2,300	Metalurgica Gerdau SA		3,562
		Germany — 1.4%
	3,268	Draegerwerk AG & Co KGaA		273,994
		TOTAL PREFERRED STOCKS (COST $352,198)		277,556

Shares		Description	Value ($)
		INVESTMENT FUNDS — 0.0%
		Thailand — 0.0%
	7,210	Jasmine Broadband Internet Infrastructure Fund		2,607
		TOTAL INVESTMENT FUNDS (COST $2,015)		2,607
		MUTUAL FUNDS — 0.0%
		United States — 0.0%
		Affiliated Issuers — 0.0%
	223	GMO U.S. Treasury Fund		5,568
		TOTAL MUTUAL FUNDS (COST $5,570)		5,568
		SHORT-TERM INVESTMENTS — 2.0%
		Money Market Funds — 2.0%
	395,317	State Street Institutional Treasury Money Market Fund-Premier Class, 1.02% (c)		395,317
		TOTAL SHORT-TERM INVESTMENTS (COST $395,317)		395,317
		TOTAL INVESTMENTS — 100.9% (Cost $18,344,904)		19,816,287
		Other Assets and Liabilities (net) — (0.9%)		(180,536	)
		TOTAL NET ASSETS — 100.0%		$19,635,751

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* 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. Investment valued using significant unobservable inputs.

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) The rate disclosed is the 7 day net yield as of November 30, 2017.

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.4%
		Banks — 4.0%
	2,974,769	US Bancorp		164,058,510
	3,108,963	Wells Fargo & Co.		175,563,141
		Total Banks		339,621,651
		Capital Goods — 6.4%
	787,407	3M Co.		191,450,138
	1,845,525	Emerson Electric Co.		119,626,931
	528,619	Honeywell International, Inc.		82,443,419
	1,189,111	United Technologies Corp.		144,417,531
		Total Capital Goods		537,938,019
		Consumer Durables & Apparel — 1.5%
	231,625	LVMH Moet Hennessy Louis Vuitton SE		67,474,998
	859,911	VF Corp.		62,739,106
		Total Consumer Durables & Apparel		130,214,104
		Consumer Services — 0.4%
	1,486,871	Compass Group Plc		30,154,892
		Diversified Financials — 2.6%
	2,210,292	American Express Co.		215,967,631
		Energy — 0.8%
	1,123,622	Schlumberger Ltd.		70,619,643
		Food & Staples Retailing — 2.8%
	978,490	Costco Wholesale Corp.		180,462,911
	758,673	CVS Health Corp.		58,114,352
		Total Food & Staples Retailing		238,577,263
		Food, Beverage & Tobacco — 6.4%
	2,636,014	British American Tobacco Plc		167,630,218
	2,507,302	Coca-Cola Co. (The)		114,759,213
	1,433,702	Nestle SA (Registered)		122,652,528
	286,326	PepsiCo, Inc.		33,362,705
	1,002,165	Philip Morris International, Inc.		102,972,454
		Total Food, Beverage & Tobacco		541,377,118
		Health Care Equipment & Services — 16.1%
	3,431,144	Abbott Laboratories		193,413,587
	571,516	Anthem, Inc.		134,283,399
	371,672	Becton Dickinson and Co.		84,819,267
	373,331	Humana, Inc.		97,387,125
	2,881,435	Medtronic Plc		236,652,256
	750,387	Stryker Corp.		117,060,372
	1,906,745	UnitedHealth Group, Inc.		435,062,007
	456,267	Zimmer Biomet Holdings, Inc.		53,428,866
		Total Health Care Equipment & Services		1,352,106,879

Shares		Description	Value ($)
		Household & Personal Products — 3.0%
	757,030	Reckitt Benckiser Group Plc		66,450,182
	3,321,333	Unilever Plc		187,350,485
		Total Household & Personal Products		253,800,667
		Materials — 1.6%
	1,124,110	Monsanto Co.		133,027,177
		Pharmaceuticals, Biotechnology & Life Sciences — 7.1%
	529,876	Eli Lilly & Co.		44,848,705
	2,928,340	Johnson & Johnson		408,005,612
	355,789	Novartis AG (Registered)		30,525,490
	1,929,243	Pfizer, Inc.		69,954,351
	164,353	Roche Holding AG		41,534,453
		Total Pharmaceuticals, Biotechnology & Life Sciences		594,868,611
		Retailing — 0.5%
	556,449	TJX Cos, Inc. (The)		42,039,722
		Semiconductors & Semiconductor Equipment — 6.4%
	394,974	Analog Devices, Inc.		34,011,211
	3,729,349	QUALCOMM, Inc.		247,405,013
	20,700,577	Taiwan Semiconductor Manufacturing Co Ltd		156,362,985
	1,020,348	Texas Instruments, Inc.		99,269,657
		Total Semiconductors & Semiconductor Equipment		537,048,866
		Software & Services — 27.5%
	1,635,548	Accenture Plc – Class A		242,077,460
	297,664	Alphabet, Inc. – Class A*		308,430,507
	273,940	Alphabet, Inc. – Class C*		279,805,056
	2,704,994	Cognizant Technology Solutions Corp. – Class A		195,516,966
	708,807	Mastercard, Inc. – Class A		106,654,189
	7,218,925	Microsoft Corp.		607,616,917
	9,448,714	Oracle Corp.		463,553,909
	619,691	SAP SE		70,057,431
	1,159,813	Teradata Corp.*		44,084,492
		Total Software & Services		2,317,796,927
		Technology Hardware & Equipment — 9.3%
	542,979	Amphenol Corp. – Class A		49,188,468
	2,943,315	Apple, Inc.		505,808,682
	6,172,599	Cisco Systems, Inc.		230,237,943
		Total Technology Hardware & Equipment		785,235,093
		TOTAL COMMON STOCKS (COST $5,518,955,470)		8,120,394,263

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 0.6%
		Affiliated Issuers — 0.6%
	2,214,339	GMO U.S. Treasury Fund		55,314,183
		TOTAL MUTUAL FUNDS (COST $55,314,183)		55,314,183
		SHORT-TERM INVESTMENTS — 3.1%
		Money Market Funds — 0.4%
	32,874,063	State Street Institutional Treasury Money Market Fund-Premier Class, 1.02% (a)		32,874,063
		U.S. Government — 2.7%
	44,000,000	U.S. Treasury Bill, 1.27%, due 03/22/18 (b)		43,828,212
	75,000,000	U.S. Treasury Bill, 1.28%, due 03/29/18 (b)		74,684,719
	78,000,000	U.S. Treasury Bill, 1.30%, due 04/12/18 (b)		77,628,200
	22,000,000	U.S. Treasury Bill, 1.32%, due 05/03/18 (b)		21,877,047
	10,000,000	U.S. Treasury Bill, 1.36%, due 05/10/18 (b)		9,939,889
		Total U.S. Government		227,958,067
		TOTAL SHORT-TERM INVESTMENTS (COST $260,902,160)		260,832,130
		TOTAL INVESTMENTS — 100.1% (Cost $5,835,171,813)		8,436,540,576
		Other Assets and Liabilities (net) — (0.1%)		(10,786,806	)
		TOTAL NET ASSETS — 100.0%		$8,425,753,770

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of November 30, 2017.

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

Country Summary¤	% of Investments
United States		88.5	%
United Kingdom		5.5
Switzerland		2.4
Taiwan		1.9
Other Developed		1.7	‡
		100.0	%

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

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

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 88.3%
		Argentina — 1.1%
	255,900	Adecoagro SA *		2,505,261
		Australia — 2.4%
	134,548	Beach Energy Ltd		107,936
	166,459	Mineral Resources Ltd		2,476,858
	179,617	Sandfire Resources NL		850,526
	151,449	Tassal Group Ltd		458,220
	29,379	Woodside Petroleum Ltd		693,821
	77,758	WorleyParsons Ltd *		889,215
		Total Australia		5,476,576
		Austria — 0.9%
	33,900	OMV AG		2,110,794
		Brazil — 0.6%
	92,900	Cosan SA Industria e Comercio		1,015,874
	67,057	Sao Martinho SA		350,310
		Total Brazil		1,366,184
		Canada — 1.8%
	5,151	Agrium Inc		565,985
	117,800	Canadian Solar Inc *		2,116,866
	45,100	Potash Corp of Saskatchewan Inc		885,116
	32,529	Potash Corp of Saskatchewan Inc		639,195
		Total Canada		4,207,162
		China — 2.2%
	1,370,000	China High Speed Transmission Equipment Group Co Ltd		1,659,756
	392,000	China Oilfield Services Ltd – Class H		363,364
	312,000	First Tractor Co Ltd – Class H		129,774
	2,045,000	Hilong Holding Ltd		296,517
	1,953,800	Xinjiang Goldwind Science & Technology Co Ltd – Class H		2,641,199
		Total China		5,090,610
		Colombia — 0.5%
	1,929,075	Ecopetrol SA		1,119,138
		Denmark — 2.4%
	87,006	Vestas Wind Systems A/S		5,547,736
		Finland — 0.2%
	29,279	Kemira Oyj		379,808
		France — 3.2%
	86,807	Suez		1,599,289
	78,997	TOTAL SA		4,465,297
	53,280	Veolia Environnement SA		1,346,614
		Total France		7,411,200

Shares		Description	Value ($)
		Germany — 1.3%
	123,079	K+S AG (Registered)		2,886,195
		Hungary — 0.7%
	141,856	MOL Hungarian Oil & Gas Plc		1,643,050
		India — 0.5%
	436,078	Oil & Natural Gas Corp Ltd		1,225,723
		Israel — 1.6%
	568,211	Israel Chemicals Ltd		2,315,104
	5,792	Israel Corp Ltd (The) *		998,443
	7,463	Jerusalem Oil Exploration *		405,152
		Total Israel		3,718,699
		Italy — 0.5%
	253,431	Saipem SPA *		1,017,770
		Japan — 5.2%
	26,500	ADEKA Corp		448,585
	39,900	Ebara Corp		1,575,774
	177,400	Hitachi Zosen Corp		922,913
	17,300	Japan Petroleum Exploration Co Ltd		398,950
	115,600	Mitsubishi Materials Corp		3,892,271
	18,100	Modec Inc		435,867
	15,800	Nittetsu Mining Co Ltd		1,081,944
	44,600	Shinko Plantech Co Ltd		454,568
	57,200	Sumitomo Forestry Co Ltd		987,996
	18,621	Sumitomo Metal Mining Co Ltd		727,945
	36,300	Takuma Co Ltd		529,162
	13,300	Toyo Kanetsu KK		499,003
		Total Japan		11,954,978
		Kazakhstan — 0.2%
	42,098	KazMunaiGas Exploration Production JSC GDR (Registered Shares)		489,915
		Norway — 6.8%
	223,843	Austevoll Seafood ASA		1,884,029
	22,788	Bakkafrost P/F		860,896
	170,640	Grieg Seafood ASA		1,556,553
	170,849	Leroy Seafood Group ASA		936,449
	77,779	Ocean Yield ASA		636,896
	139,127	Petroleum Geo-Services ASA *		208,749
	38,572	Salmar ASA		1,132,590
	144,471	Statoil ASA		2,905,203
	114,844	Subsea 7 SA		1,680,059
	82,701	Yara International ASA		3,675,823
		Total Norway		15,477,247
		Poland — 2.1%
	136,531	KGHM Polska Miedz SA		4,122,785
	384,300	Polskie Gornictwo Naftowe i Gazownictwo SA		657,217
		Total Poland		4,780,002

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Qatar — 0.1%
	56,887	Gulf International Services QSC		234,725
		Russia — 10.3%
	1,047,000	Gazprom Neft PJSC		4,497,241
	93,778	LUKOIL PJSC Sponsored ADR		5,217,880
	26,176	Novatek PJSC Sponsored GDR (Registered)		2,967,396
	106,208	PhosAgro PJSC GDR (Registered)		1,594,622
	417,406	Ros Agro Plc GDR (Registered)		4,982,185
	349,918	Rosneft Oil Co PJSC GDR (Registered)		1,728,959
	9	Surgutneftegas OJSC		4
	48,120	Tatneft PJSC Sponsored ADR		2,276,022
	56,165	TMK PJSC GDR (Registered)		300,797
		Total Russia		23,565,106
		Singapore — 0.2%
	3,529,686	Ezion Holdings Ltd * (a)		515,607
	2,725,600	Ezra Holdings Ltd * (a)		22,232
		Total Singapore		537,839
		South Africa — 1.8%
	97,350	African Rainbow Minerals Ltd		863,228
	91,016	Sasol Ltd		2,858,511
	37,944	Tongaat Hulett Ltd		294,642
		Total South Africa		4,016,381
		South Korea — 0.3%
	1,288	Korea Zinc Co Ltd		577,370
		Spain — 1.5%
	165,187	Repsol SA		3,029,544
	10,383	Tecnicas Reunidas SA		316,930
		Total Spain		3,346,474
		Sweden — 0.9%
	51,441	Boliden AB		1,628,381
	40,634	Tethys Oil AB		303,358
		Total Sweden		1,931,739
		Thailand — 1.9%
	1,258,000	Esso Thailand PCL (Foreign Registered) *		636,050
	408,864	PTT Exploration & Production Pcl (Foreign Registered)		1,143,267
	209,721	PTT Pcl (Foreign Registered)		2,651,883
		Total Thailand		4,431,200
		Ukraine — 0.8%
	143,449	Kernel Holding SA		1,930,734
		United Kingdom — 22.3%
	546,534	Anglo American Plc		10,049,023
	454,838	BHP Billiton Plc		8,272,512
	203,190	BP Plc		1,353,292

Shares		Description	Value ($)
		United Kingdom — continued
	967,892	EnQuest Plc *		360,773
	1,846,536	Glencore Plc *		8,494,691
	318,526	John Wood Group Plc		3,124,110
	181,399	Petrofac Ltd		1,033,914
	68,194	Polypipe Group Plc		340,561
	295,910	Premier Oil Plc *		278,651
	254,431	Rio Tinto Plc		12,045,932
	124,767	Royal Dutch Shell Plc A Shares (London)		3,989,681
	53,168	Royal Dutch Shell Plc B Shares (London)		1,722,680
		Total United Kingdom		51,065,820
		United States — 14.0%
	161,802	Chesapeake Energy Corp. *		658,534
	9,800	Deere & Co.		1,468,628
	237,908	Denbury Resources, Inc. *		416,339
	49,100	Diamond Offshore Drilling, Inc. *		787,564
	327,184	Ensco Plc – Class A		1,756,978
	43,600	First Solar, Inc. *		2,707,560
	717,654	Freeport-McMoRan, Inc. *		9,989,744
	105,618	Gran Tierra Energy, Inc. *		237,641
	34,260	Mosaic Co. (The)		832,175
	203,700	Noble Corp Plc *		851,466
	58,700	Renewable Energy Group, Inc. *		666,245
	16,400	Rexnord Corp. *		408,688
	73,100	Rowan Cos., Plc – Class A *		1,057,757
	261,555	SolarEdge Technologies, Inc. *		9,520,602
	30,064	Unit Corp. *		643,069
		Total United States		32,002,990
		TOTAL COMMON STOCKS (COST $152,519,479)		202,048,426
		PREFERRED STOCKS (b) — 10.5%
		Brazil — 4.7%
	1,384,599	Bradespar SA		10,704,462
		Chile — 3.8%
	158,778	Sociedad Quimica y Minera de Chile SA Sponsored ADR		8,624,821
		Russia — 2.0%
	30,685	Bashneft PJSC		786,292
	5,243,684	Surgutneftegas OJSC		2,549,802
	206,601	Tatneft PJSC		1,250,010
		Total Russia		4,586,104
		TOTAL PREFERRED STOCKS (COST $11,033,376)		23,915,387

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 0.8%
		United States — 0.8%
		Affiliated Issuers — 0.8%
	73,511	GMO U.S. Treasury Fund		1,836,313
		TOTAL MUTUAL FUNDS (COST $1,836,549)		1,836,313
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	494,386	State Street Institutional Treasury Money Market Fund-Premier Class, 1.02% (c)		494,386
		TOTAL SHORT-TERM INVESTMENTS (COST $494,386)		494,386
		TOTAL INVESTMENTS — 99.8% (Cost $165,883,790)		228,294,512
		Other Assets and Liabilities (net) — 0.2%		403,782
		TOTAL NET ASSETS — 100.0%		$228,698,294

Notes to Schedule of Investments:

ADR - American Depositary Receipt

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

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) The rate disclosed is the 7 day net yield as of November 30, 2017.

GMO Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†/ Shares		Description	Value ($)
		DEBT OBLIGATIONS — 49.7%
		U.S. Government — 36.4%
	28,200,000	U.S. Treasury Note, 2.88%, due 03/31/18		28,335,492
	30,000,000	U.S. Treasury Note, 1.00%, due 11/30/18 (a)		29,801,953
	25,000,000	U.S. Treasury Note, USBM + 0.05%, 1.34% due 10/31/19		25,003,761
		Total U.S. Government		83,141,206
		U.S. Government Agency — 13.3%
	10,000,000	Federal Home Loan Bank, Variable Rate, 1.18%, 1 mo. U.S. LIBOR — 0.11%, due 04/22/19		9,992,271
	10,000,000	Federal Home Loan Bank, Variable Rate, 3 mo. U.S. LIBOR — 0.16%, 1.15%, due 06/12/19		10,000,286
		Total U.S. Government Agency		19,992,557
		TOTAL DEBT OBLIGATIONS (COST $103,221,683)		103,133,763
		SHORT-TERM INVESTMENTS — 45.7%
		Money Market Funds — 0.3%
	456,556	State Street Institutional Treasury Money Market Fund-Premier Class, 1.02% (b)		456,556

Par Value†		Description	Value ($)
		U.S. Government — 29.5%
	16,000,000	U.S. Treasury Note, 1.50%, due 08/31/18 (a)		15,990,625
		U.S. Government Agency — 15.9%
	21,000,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 01/12/18		20,969,382
	3,000,000	Federal Home Loan Bank, Variable Rate, 3 mo. LIBOR — 0.25%, 1.11%, due 10/18/18		2,998,104
		Total U.S. Government Agency		23,967,486
		TOTAL SHORT-TERM INVESTMENTS (COST $40,439,359)		40,414,667
		TOTAL INVESTMENTS — 95.4% (Cost $143,661,042)		143,548,430
		Other Assets and Liabilities (net) — 4.6%		6,842,993
		TOTAL NET ASSETS — 100.0%		$150,391,423

A summary of outstanding financial instruments at November 30, 2017 is as follows:

Written Options

Index Options — Puts

Description	Counterparty	Exercise Price		Expiration Date		Number of Contracts		Notional Amount			Value ($)
Euro STOXX 50	GS		3,550.00		12/15/17		2,313		EUR	82,572,481	$	(670,005	)
S&P 500 Index	MSLC		2,605.00		12/01/17		199		USD	52,686,842		(14,925	)
					TOTAL INDEX OPTIONS — PUTS (Premiums $1,456,241)						$	(684,930	)

As of November 30, 2017, 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:

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

The rates shown on variable rate notes are the current interest rates at November 30, 2017, which are subject to change based on the terms of the security.

† 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.

(b) The rate disclosed is the 7 day net yield as of November 30, 2017.

Counterparty Abbreviations:

MSLC - Morgan Stanley & Co. LLC

GS - Goldman Sachs International

Currency Abbreviations:

EUR - Euro

USD - United States Dollar

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.3%
		Australia — 3.4%
	38,651	BHP Billiton Ltd		806,266
	49,973	BlueScope Steel Ltd		518,919
	8,683	Caltex Australia Ltd		224,908
	1,802	Challenger Ltd		19,202
	4,395	Charter Hall Group (REIT)		21,036
	1,735	CIMIC Group Ltd		67,495
	5,142	Costa Group Holdings Ltd		24,618
	1,982	CSL Ltd		215,553
	34,859	CSR Ltd		121,964
	19,786	Dexus (REIT)		155,652
	9,716	Downer EDI Ltd		52,025
	12,973	Genworth Mortgage Insurance Australia Ltd		31,313
	3,859	Goodman Group (REIT)		25,498
	5,099	GPT Group (The) (REIT)		20,955
	4,574	Investa Office Fund (REIT)		16,711
	15,676	LendLease Group		189,780
	11,525	Mineral Resources Ltd		171,488
	22,167	OZ Minerals Ltd		141,216
	6,055	Primary Health Care Ltd		17,047
	4,324	Qantas Airways Ltd		18,654
	5,064	Rio Tinto Ltd		273,655
	67,518	South32 Ltd		165,238
	29,653	Stockland (REIT)		105,921
	6,287	Suncorp Group Ltd		68,528
	3,440	Wesfarmers Ltd		114,749
	16,479	WorleyParsons Ltd *		188,449
		Total Australia		3,776,840
		Austria — 1.3%
	11,091	OMV AG		690,585
	6,409	Raiffeisen Bank International AG *		226,534
	8,782	voestalpine AG		509,977
		Total Austria		1,427,096
		Belgium — 0.2%
	4,398	Ageas		216,283
	4,294	AGFA-Gevaert NV *		19,553
	158	Groupe Bruxelles Lambert SA		17,009
		Total Belgium		252,845
		Brazil — 0.4%
	6,400	B3 SA – Brasil Bolsa Balcao		45,437
	4,000	Banco do Brasil SA		36,528
	3,200	Centrais Eletricas Brasileiras SA *		18,272
	2,000	Cia de Saneamento Basico do Estado de Sao Paulo		19,964
	5,300	JBS SA		12,797
	5,000	Kroton Educacional SA		27,606
	4,400	MRV Engenharia e Participacoes SA		17,948
	1,000	Tim Participacoes SA ADR		17,940

Shares		Description	Value ($)
		Brazil — continued
	4,000	Transmissora Alianca de Energia Eletrica SA		26,021
	3,888	Vale SA		41,603
	14,883	Vale SA		159,760
	400	Via Varejo SA *		2,666
		Total Brazil		426,542
		China — 3.1%
	6,000	Agile Group Holdings Ltd		8,703
	368,000	Agricultural Bank of China Ltd – Class H		171,946
	800	Alibaba Group Holding Ltd Sponsored ADR *		141,664
	8,000	Anhui Conch Cement Co Ltd – Class H		38,531
	10,000	ANTA Sports Products Ltd		44,814
	11,000	BAIC Motor Corp Ltd – Class H		13,024
	42,000	Beijing Capital International Airport Co Ltd – Class H		62,199
	12,000	Brilliance China Automotive Holdings Ltd		31,602
	35,000	China Communications Construction Co Ltd – Class H		39,130
	102,000	China Communications Services Corp Ltd – Class H		64,962
	46,000	China Evergrande Group *		152,672
	7,000	China Lesso Group Holdings Ltd		4,486
	2,000	China Mengniu Dairy Co Ltd *		5,095
	140,000	China National Building Material Co Ltd – Class H		129,248
	12,000	China National Materials Co Ltd – Class H		9,265
	240,000	China Petroleum & Chemical Corp – Class H		172,266
	51,000	China Railway Construction Corp Ltd – Class H		60,549
	82,000	China Resources Cement Holdings Ltd		54,361
	38,000	China Shenhua Energy Co Ltd – Class H		93,963
	4,000	China Southern Airlines Co Ltd – Class H		3,587
	348,000	China Telecom Corp Ltd – Class H		168,590
	300	China Yuchai International Ltd		7,875
	7,000	Chongqing Rural Commercial Bank Co Ltd – Class H		4,980
	41,000	Country Garden Holdings Co Ltd		64,976
	70,000	Dongfeng Motor Group Co Ltd – Class H		88,392
	88,000	Geely Automobile Holdings Ltd		308,870
	2,000	Guangdong Investment Ltd		2,694
	33,600	Guangzhou R&F Properties Co Ltd – Class H		72,175
	12,000	Haier Electronics Group Co Ltd *		32,373
	12,000	Haitian International Holdings Ltd		35,207
	20,000	Harbin Electric Co Ltd – Class H		8,460
	39,000	Huabao International Holdings Ltd		25,057
	28,000	Jiangsu Expressway Co Ltd – Class H		38,447
	8,000	Jiangxi Copper Co Ltd – Class H		12,524
	22,500	Kingboard Chemical Holdings Ltd		129,478
	32,000	Kingboard Laminates Holdings Ltd		53,171
	31,000	Lee & Man Paper Manufacturing Ltd		36,536
	6,000	Longfor Properties Co Ltd		14,146
	17,000	Lonking Holdings Ltd		6,057
	10,000	Nine Dragons Paper Holdings Ltd		16,651

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		China — continued
	13,000	People’s Insurance Co Group of China Ltd (The) – Class H		6,731
	1,500	Ping An Insurance Group Co of China Ltd – Class H		14,885
	13,000	Shanghai Industrial Holdings Ltd		36,824
	21,400	Shanghai Pharmaceuticals Holding Co Ltd – Class H		53,925
	24,000	Shenzhen Expressway Co Ltd – Class H		23,182
	34,500	Shimao Property Holdings Ltd		67,617
	500	SINA Corp *		48,885
	14,000	Sino Biopharmaceutical Ltd		18,406
	43,500	Sinopec Engineering Group Co Ltd – Class H		36,257
	7,600	Sinopharm Group Co Ltd – Class H		30,008
	10,500	Sinotruk Hong Kong Ltd		11,646
	8,300	Tencent Holdings Ltd		424,969
	39,000	TravelSky Technology Ltd – Class H		107,092
	31,000	Weichai Power Co Ltd – Class H		34,669
	48,000	Zhejiang Expressway Co Ltd – Class H		57,698
		Total China		3,401,520
		Colombia — 0.0%
	2,700	Ecopetrol SA Sponsored ADR		31,320
		Denmark — 0.2%
	33	AP Moeller – Maersk A/S – Class B		59,497
	3,900	Danske Bank A/S		145,591
	528	Schouw & Co AB		48,812
		Total Denmark		253,900
		Finland — 0.8%
	339	Amer Sports Oyj *		8,903
	26,852	Nokia Oyj		134,367
	23,276	UPM-Kymmene Oyj		700,425
		Total Finland		843,695
		France — 11.9%
	33,280	Air France-KLM *		472,225
	710	Amundi SA		63,307
	3,858	Atos SE		569,875
	38,478	AXA SA		1,160,970
	18,555	BNP Paribas SA		1,404,853
	7,588	Bouygues SA		392,220
	1,401	Casino Guichard Perrachon SA		85,206
	2,479	Christian Dior SE		886,060
	425	Cie de Saint-Gobain		24,223
	4,044	Cie Generale des Etablissements Michelin		586,402
	113	Cie Plastic Omnium SA		4,891
	8,094	CNP Assurances		181,821
	26,249	Credit Agricole SA		442,271
	5,026	Derichebourg SA		54,645
	504	Ipsen SA		61,388
	1,013	IPSOS		36,585
	665	Jacquet Metal Service		20,692

Shares		Description	Value ($)
		France — continued
	2,180	L’Oreal SA		482,203
	1,262	LVMH Moet Hennessy Louis Vuitton SE		367,635
	514	MGI Coutier		20,613
	2,603	Natixis SA		21,102
	303	Nexity SA *		18,548
	23,999	Peugeot SA		495,899
	2,246	Rallye SA		40,592
	4,517	Renault SA		458,644
	6,651	Sanofi		606,701
	2,455	Schneider Electric SE *		210,984
	1,285	SCOR SE		52,336
	477	SEB SA		87,837
	35,379	Societe Generale SA		1,780,320
	45,223	STMicroelectronics NV		1,023,467
	18,000	STMicroelectronics NV – NY Shares		407,160
	9,018	TOTAL SA		509,741
	1,773	Valeo SA		128,572
		Total France		13,159,988
		Germany — 10.9%
	8,122	Allianz SE (Registered)		1,918,208
	3,476	BASF SE		389,775
	7,529	Bayer AG		961,025
	15,189	Bayerische Motoren Werke AG		1,533,410
	119	bet-at-home.com AG		14,573
	247	Cewe Stiftung & Co KGAA		23,385
	309	Covestro AG		32,181
	18,136	Daimler AG (Registered Shares)		1,502,477
	53,744	Deutsche Lufthansa AG (Registered)		1,849,247
	2,633	Deutsche Post AG (Registered)		125,332
	2,437	Deutz AG		20,360
	4,446	Duerr AG		560,105
	806	Elmos Semiconductor AG		23,043
	134	Fielmann AG		11,702
	7,415	Freenet AG		281,321
	919	Grammer AG		55,967
	1,909	Hannover Rueck SE		251,260
	111	Isra Vision AG		20,386
	795	Jenoptik AG		25,982
	549	Koenig & Bauer AG		42,014
	6,089	Leoni AG		449,405
	2,894	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		644,936
	21,843	RWE AG *		500,696
	3,260	Siemens AG (Registered)		443,154
	494	Siltronic AG *		73,410
	343	STADA Arzneimittel AG		33,222
	2,389	Talanx AG *		98,358
	1,970	Uniper SE		58,641
	236	Volkswagen AG		48,974
	1,594	Wacker Neuson SE		52,101
	252	Washtec AG		23,091
		Total Germany		12,067,741

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Greece — 0.0%
	559	Mytilineos Holdings SA *		6,078
		Hong Kong — 2.6%
	92,500	BOC Hong Kong Holdings Ltd		470,743
	1,000	CLP Holdings Ltd		10,197
	21,200	Dah Sing Banking Group Ltd		46,929
	20,000	First Pacific Co Ltd		14,959
	3,000	Hysan Development Co Ltd		16,096
	59,838	I-CABLE Communications Ltd *		1,714
	17,000	Kerry Properties Ltd		75,267
	74,000	Link (REIT)		662,451
	4,000	Minth Group Ltd		22,400
	121,000	SJM Holdings Ltd		97,619
	688,500	WH Group Ltd		733,332
	46,000	Wharf Holdings Ltd (The)		145,519
	46,000	Wharf Real Estate Investment Co Ltd *		277,997
	35,000	Wheelock & Co Ltd		240,869
	11,000	Yue Yuen Industrial Holdings Ltd		39,359
		Total Hong Kong		2,855,451
		Hungary — 0.1%
	5,472	MOL Hungarian Oil & Gas Plc		63,380
	900	OTP Bank Plc		34,407
	2,543	Richter Gedeon Nyrt		65,700
		Total Hungary		163,487
		India — 1.0%
	13,871	Bharat Electronics Ltd		40,245
	6,307	Bharat Petroleum Corp Ltd		49,211
	589	Cadila Healthcare Ltd		3,942
	1,565	GAIL India Ltd		11,354
	7,227	HCL Technologies Ltd		94,893
	335	Hero MotoCorp Ltd		18,971
	11,445	Hindalco Industries Ltd		42,685
	9,552	Hindustan Petroleum Corp Ltd		61,910
	6,500	ICICI Bank Ltd Sponsored ADR		62,010
	3,864	Indiabulls Housing Finance Ltd		72,220
	5,527	Indian Oil Corp Ltd		33,737
	2,393	ITC Ltd		9,500
	27,142	Jaiprakash Associates Ltd *		7,687
	852	Jubilant Life Sciences Ltd		8,699
	2,139	Karnataka Bank Ltd (The)		5,148
	1,415	Larsen & Toubro Ltd		26,824
	842	Maruti Suzuki India Ltd		112,374
	293	Merck Ltd		5,103
	10,263	NMDC Ltd		20,285
	13,100	Oil & Natural Gas Corp Ltd		36,821
	24,754	Power Finance Corp Ltd		46,493
	2,833	PTC India Ltd		5,114
	2,412	Reliance Industries Ltd		34,499
	22,881	Rural Electrification Corp Ltd		54,709
	4,026	Syndicate Bank *		5,816

Shares		Description	Value ($)
		India — continued
	2,390	Tata Steel Ltd		25,736
	3,230	UPL Ltd		36,402
	22,012	Vedanta Ltd		100,854
	9,072	Wipro Ltd		41,143
	700	Yes Bank Ltd		3,332
		Total India		1,077,717
		Indonesia — 0.0%
	4,300	Indo Tambangraya Megah Tbk PT		6,734
		Ireland — 0.3%
	200	ICON Plc *		23,362
	8,863	Smurfit Kappa Group Plc		282,699
		Total Ireland		306,061
		Israel — 0.1%
	5,774	Discount Investment Corp Ltd (Registered)		23,543
	1,831	Nova Measuring Instruments Ltd *		53,060
	500	SodaStream International Ltd *		35,190
		Total Israel		111,793
		Italy — 4.6%
	269,536	A2A SPA		507,111
	1,221	ACEA SPA		24,801
	11,005	Arnoldo Mondadori Editore SPA *		29,994
	37,018	Banca Mediolanum SPA		309,021
	638	Danieli & C Officine Meccaniche SPA – RSP		10,202
	688	Datalogic SPA		25,863
	596	El.En. SPA		18,326
	131,155	Enel SPA		852,115
	556	Eni SPA		9,147
	11,930	EXOR NV		722,542
	2,389	Ferrari NV		259,339
	13,208	Fiat Chrysler Automobiles NV *		226,823
	55,000	Fiat Chrysler Automobiles NV		940,500
	43,036	Fincantieri SPA *		61,350
	25,991	Leonardo SPA		310,722
	591	Prima Industrie SPA		23,056
	1,962	Recordati SPA		88,265
	18,820	Saras SPA		48,553
	12,969	Societa Cattolica di Assicurazioni SC		140,734
	369,632	Telecom Italia SPA-RSP		250,349
	50,586	Unipol Gruppo SPA		232,065
	1,828	Vittoria Assicurazioni SPA		26,441
		Total Italy		5,117,319
		Japan — 24.3%
	600	Acom Co Ltd *		2,509
	1,400	Aisin Seiki Co Ltd		75,340
	900	Arakawa Chemical Industries Ltd		19,693
	10,600	Asahi Group Holdings Ltd		538,605

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	27,900	Asahi Kasei Corp		350,233
	1,500	Asatsu-DK Inc		48,913
	5,000	Bridgestone Corp		228,500
	26,000	Brother Industries Ltd		646,555
	24,300	Canon Inc		932,041
	700	Central Japan Railway Co		129,755
	2,500	CKD Corp		54,860
	900	Dai-ichi Seiko Co Ltd		24,108
	5,700	Daiichi Sankyo Co Ltd		137,376
	3,500	Daito Trust Construction Co Ltd		640,704
	13,500	Daiwa House Industry Co Ltd		495,824
	500	Daiwabo Holdings Co Ltd		19,645
	2,100	DIC Corp		78,808
	600	Disco Corp		134,252
	600	Dowa Holdings Co Ltd		23,004
	900	FUJIFILM Holdings Corp		36,871
	154,000	Fujitsu Ltd		1,153,815
	3,900	Furukawa Electric Co Ltd		207,243
	2,400	Gree Inc		15,692
	3,200	Hanwa Co Ltd		129,735
	36,800	Haseko Corp		573,989
	2,300	Hitachi Chemical Co Ltd		60,841
	117,000	Hitachi Ltd		876,643
	300	Horiba Ltd		18,756
	700	House Foods Group Inc		22,853
	7,700	Hoya Corp		376,509
	6,000	Idemitsu Kosan Co Ltd		202,440
	106,100	ITOCHU Corp		1,844,403
	1,200	JSR Corp		23,078
	1,400	Juki Corp		24,603
	10,620	K’s Holdings Corp		274,103
	15,000	Kajima Corp		157,957
	1,400	Kamei Corp		22,682
	4,100	Kao Corp		271,831
	43,200	KDDI Corp		1,232,753
	3,100	Kenedix Inc		21,279
	2,000	Kirin Holdings Co Ltd		46,814
	2,400	Kitz Corp		17,770
	1,200	Konica Minolta Inc		11,787
	13,000	Kuraray Co Ltd		251,126
	2,800	Lasertec Corp		68,556
	11,100	Leopalace21 Corp		89,081
	400	Lion Corp		7,485
	800	Mandom Corp		27,095
	84,000	Marubeni Corp		560,724
	8,800	Medipal Holdings Corp		171,280
	3,100	MINEBEA MITSUMI Inc		61,828
	173,100	Mitsubishi Chemical Holdings Corp		1,882,268
	25,700	Mitsubishi Corp		646,372
	32,800	Mitsubishi Electric Corp		544,953
	8,100	Mitsubishi Gas Chemical Co Inc		227,411
	15,500	Mitsubishi Tanabe Pharma Corp		335,126

Shares		Description	Value ($)
		Japan — continued
	28,200	Mitsui & Co Ltd		430,123
	5,800	Mitsui Chemicals Inc		188,291
	2,900	Mitsui Mining & Smelting Co Ltd		165,467
	800	Modec Inc		19,265
	1,200	Morinaga & Co Ltd		60,211
	4,000	Nachi-Fujikoshi Corp		25,407
	3,100	Nagase & Co Ltd		56,992
	7,900	NET One Systems Co Ltd		113,630
	3,800	Nexon Co Ltd *		109,876
	4,000	Nichias Corp		51,719
	5,800	Nichirei Corp		168,460
	1,000	Nippon Chemi-Con Corp		33,807
	24,300	Nippon Telegraph & Telephone Corp		1,268,557
	1,500	Nissan Chemical Industries Ltd		60,197
	1,200	Nisshin Oillio Group Ltd (The)		36,994
	800	NSK Ltd		12,204
	700	NTT DOCOMO Inc		18,075
	3,800	Obayashi Corp		49,332
	2,800	Omron Corp		165,952
	1,000	Osaka Gas Co Ltd		19,248
	1,600	Pola Orbis Holdings Inc		58,480
	16,000	Prima Meat Packers Ltd		111,481
	12,300	Recruit Holdings Co Ltd		289,820
	2,400	Rohm Co Ltd		247,345
	800	Rohto Pharmaceutical Co Ltd		20,585
	7,200	Seiko Epson Corp		175,340
	6,300	Sekisui Chemical Co Ltd		122,256
	100	Shimamura Co Ltd		12,059
	1,100	Shin-Etsu Chemical Co Ltd		115,907
	6,400	Showa Denko KK		239,275
	144,400	Sojitz Corp		418,935
	900	ST Corp		24,009
	8,000	Subaru Corp		263,627
	75,000	Sumitomo Chemical Co Ltd		525,977
	32,100	Sumitomo Corp		500,705
	1,300	Suntory Beverage & Food Ltd		56,264
	2,220	Suzuken Co Ltd		87,974
	7,400	Suzuki Motor Corp		400,536
	2,100	T-Gaia Corp		45,879
	3,600	Takeda Pharmaceutical Co Ltd		198,598
	100	TDK Corp		8,248
	300	Token Corp		37,778
	28,300	Tokyo Electric Power Co Holdings Inc *		114,050
	4,700	Tokyo Electron Ltd		874,430
	44,000	Tosoh Corp		978,339
	16,700	Toyota Tsusho Corp		631,596
	12,860	USS Co Ltd		272,147
	1,000	Yokohama Rubber Co Ltd (The)		22,536
	2,000	Zeon Corp		27,768
		Total Japan		27,014,228

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Malta — 0.0%
	1,718,063	BGP Holdings Plc (a)		—
		Mexico — 0.4%
	53,200	America Movil SAB de CV – Class L		45,563
	1,800	America Movil SAB de CV – Class L Sponsored ADR		30,780
	7,200	Arca Continental SAB de CV		49,285
	18,492	Cemex SAB de CV CPO *		14,121
	1,300	Cemex SAB de CV Sponsored ADR *		9,867
	100	Coca-Cola Femsa SAB de CV		6,846
	300	Fomento Economico Mexicano SAB de CV Sponsored ADR		26,991
	9,000	Genomma Lab Internacional SAB de CV – Class B *		10,678
	1,900	Gentera SAB de CV		1,734
	725	Gruma SAB de CV – Class B		8,981
	900	Grupo Aeroportuario del Pacifico SAB de CV – Class B		8,969
	2,330	Grupo Aeroportuario del Sureste SAB de CV – Class B		41,649
	3,900	Grupo Financiero Banorte SAB de CV – Class O		22,906
	1,300	Grupo Financiero Santander Mexico SAB de CV ADR		10,569
	9,300	OHL Mexico SAB de CV		16,344
	38,100	Wal-Mart de Mexico SAB de CV		89,959
		Total Mexico		395,242
		Netherlands — 2.7%
	1,796	ASR Nederland NV		73,147
	97,154	ING Groep NV		1,755,592
	2,639	Philips Lighting NV		99,855
	13,542	Unilever NV CVA		780,952
	2,600	Unilever NV – NY Shares		150,124
	2,681	Wolters Kluwer NV		138,818
		Total Netherlands		2,998,488
		New Zealand — 0.1%
	1,750	Fletcher Building Ltd		8,331
	48,663	Spark New Zealand Ltd		120,735
		Total New Zealand		129,066
		Norway — 1.1%
	18,258	DNB ASA		332,576
	458	Norsk Hydro ASA		3,115
	2,652	SpareBank 1 SR Bank ASA		27,714
	18,824	Statoil ASA		378,536
	5,514	Storebrand ASA		44,050
	29,040	Subsea 7 SA		424,828
		Total Norway		1,210,819
		Peru — 0.0%
	200	Credicorp Ltd		42,206

Shares		Description	Value ($)
		Poland — 0.2%
	2,021	KGHM Polska Miedz SA		61,028
	689	PGE Polska Grupa Energetyczna SA *		2,329
	2,270	Polski Koncern Naftowy ORLEN SA		71,354
	23,236	Polskie Gornictwo Naftowe i Gazownictwo SA		39,737
	33,933	Tauron Polska Energia SA *		29,812
		Total Poland		204,260
		Portugal — 0.1%
	29,250	EDP – Energias de Portugal SA		102,524
	19,283	Sonae SGPS SA		23,378
		Total Portugal		125,902
		Russia — 0.1%
	72,000	Inter RAO UES PJSC		4,547
	79	LUKOIL PJSC Sponsored ADR		4,396
	341,000	RusHydro PJSC		4,737
	7,057	Sberbank of Russia Sponsored ADR		115,384
	55	Tatneft PJSC Sponsored ADR		2,601
	600	Yandex NV – Class A *		19,866
		Total Russia		151,531
		Singapore — 0.8%
	31,300	DBS Group Holdings Ltd		570,062
	46,000	Global Logistic Properties Ltd		114,346
	1,100	Singapore Exchange Ltd		6,132
	920	United Overseas Bank Ltd		17,919
	7,500	Venture Corp Ltd		117,031
	37,400	Yanlord Land Group Ltd		46,121
		Total Singapore		871,611
		South Africa — 0.7%
	697	Aspen Pharmacare Holdings Ltd		15,547
	401	Astral Foods Ltd		6,472
	5,596	AVI Ltd		41,222
	5,141	Barclays Africa Group Ltd		58,811
	4,867	Barloworld Ltd		54,801
	3,965	Bidvest Group Ltd (The)		55,505
	8,195	Blue Label Telecoms Ltd		9,533
	4,486	Clicks Group Ltd		56,805
	2,415	Imperial Holdings Ltd		40,163
	437	Kumba Iron Ore Ltd		10,364
	3,773	Liberty Holdings Ltd		31,942
	23,122	MMI Holdings Ltd		33,951
	2,419	Mondi Ltd		57,315
	3,745	Nedbank Group Ltd		62,965
	742	Rand Merchant Investment Holdings Ltd		2,296
	2,621	Raubex Group Ltd		3,591
	619	RMB Holdings Ltd		3,012
	2,300	Shoprite Holdings Ltd		38,197
	2,088	Sibanye Gold Ltd		2,882
	11,259	Standard Bank Group Ltd		141,988
		Total South Africa		727,362

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		South Korea — 1.3%
	507	BNK Financial Group Inc		4,436
	41	Coway Co Ltd		3,616
	653	DB Insurance Co Ltd		41,236
	81	DongKook Pharmaceutical Co Ltd		4,612
	210	E-MART Inc		53,041
	1,864	Hana Financial Group Inc		81,355
	952	Hankook Tire Co Ltd		47,069
	26	Hanssem Co Ltd		4,398
	5,101	Hanwha Life Insurance Co Ltd		35,095
	60	Hyundai Department Store Co Ltd		5,402
	973	Hyundai Marine & Fire Insurance Co Ltd		38,983
	406	Hyundai Motor Co		61,619
	3,843	Industrial Bank of Korea		56,157
	2,306	KB Financial Group Inc		127,328
	114	Kia Motors Corp		3,531
	47	Korea Investment Holdings Co Ltd		2,963
	1,245	Korean Reinsurance Co		12,421
	39	KT&G Corp		4,386
	170	LG Corp		14,265
	906	LG Display Co Ltd		25,887
	831	LG Electronics Inc		69,148
	124	Lotte Corp		7,023
	80	LOTTE Himart Co Ltd		5,562
	97	Lotte Shopping Co Ltd		18,702
	783	Meritz Fire & Marine Insurance Co Ltd		18,529
	75	NHN Entertainment Corp *		4,678
	300	POSCO		92,147
	144	Samsung Card Co Ltd		5,065
	56	Samsung Electronics Co Ltd		131,794
	61	SeAH Steel Corp		5,395
	2,333	Shinhan Financial Group Co Ltd		104,089
	190	Shinsegae Inc		50,176
	85	SK Holdings Co Ltd		22,894
	3,379	SK Hynix Inc		240,833
	600	SK Telecom Co Ltd Sponsored ADR		16,464
	4,761	Woori Bank		70,839
		Total South Korea		1,491,138
		Spain — 2.0%
	7,335	ACS Actividades de Construccion y Servicios SA		283,443
	7,027	Amadeus IT Group SA		506,738
	120	Ferrovial SA		2,643
	11,523	Gas Natural SDG SA		257,754
	9,768	Grifols SA		284,852
	25,429	Iberdrola SA		201,993
	30,108	Repsol SA		552,183
	15,924	Telefonica SA		163,270
		Total Spain		2,252,876
		Sweden — 3.5%
	21,602	Atlas Copco AB – A Shares		928,678
	3,948	Atlas Copco AB – B Shares		151,906

Shares		Description	Value ($)
		Sweden — continued
	1,647	Bufab AB		19,873
	883	Electrolux AB – Series B		29,327
	1,862	JM AB		42,882
	913	Kinnevik AB – Class B		29,303
	25,737	Nordea Bank AB		301,802
	48,691	Sandvik AB		837,062
	5,147	Svenska Cellulosa AB SCA – Class B		50,212
	2,991	Volvo AB – A Shares		57,205
	74,401	Volvo AB – B Shares		1,418,090
		Total Sweden		3,866,340
		Switzerland — 4.4%
	7,338	ABB Ltd (Registered)		188,401
	4,649	Adecco Group AG (Registered)		351,944
	698	ALSO Holding AG (Registered) *		93,771
	1,794	Baloise Holding AG (Registered)		276,696
	44	Bell Food Group AG (Registered)		19,237
	327	BKW AG		19,372
	690	Bobst Group SA (Registered)		87,555
	111	Bossard Holding AG (Registered) – A Shares		24,777
	171	Comet Holding AG (Registered) *		27,201
	228	EMS-Chemie Holding AG (Registered)		152,196
	206	Georg Fischer AG (Registered)		271,483
	20	Helvetia Holding AG (Registered)		11,044
	632	Idorsia Ltd *		13,601
	40	Inficon Holding AG (Registered) *		23,803
	10,485	Logitech International SA (Registered)		365,747
	1,026	Mobilezone Holding AG (Registered)		12,679
	10,505	Nestle SA (Registered)		898,698
	588	Novartis AG (Registered)		50,448
	255	Orior AG		19,311
	524	Roche Holding AG		132,423
	67	Sika AG		518,417
	29	Straumann Holding AG (Registered)		21,619
	164	Swatch Group AG (The) (Registered)		11,619
	1,420	Swiss Life Holding AG (Registered) *		477,580
	2,200	Swiss Re AG		206,559
	2,125	Zurich Insurance Group AG		643,155
		Total Switzerland		4,919,336
		Taiwan — 1.0%
	26,186	Advanced Semiconductor Engineering Inc		34,016
	4,000	Asustek Computer Inc		36,903
	22,428	Chang Hwa Commercial Bank Ltd		12,177
	2,010	Chicony Power Technology Co Ltd		4,067
	52,000	Compal Electronics Inc		36,099
	41,635	First Financial Holding Co Ltd		26,786
	1,000	Formosa Chemicals & Fibre Corp		3,043
	2,000	Fubon Financial Holding Co Ltd		3,284
	81,200	Hon Hai Precision Industry Co Ltd		272,580
	62,000	Inventec Corp		46,760

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	27,249	Lite-On Technology Corp		33,689
	1,000	Lotes Co Ltd		5,690
	3,000	MediaTek Inc		32,876
	4,000	Mitac Holdings Corp		4,824
	7,000	Nan Ya Plastics Corp		17,672
	9,000	Novatek Microelectronics Corp		34,454
	3,000	Nuvoton Technology Corp		7,272
	8,000	Pegatron Corp		18,343
	2,000	Phison Electronics Corp		20,369
	45,000	Pou Chen Corp		54,176
	6,000	Radiant Opto-Electronics Corp		13,049
	6,000	Siliconware Precision Industries Co Ltd		10,016
	4,000	Sunonwealth Electric Machine Industry Co Ltd		8,191
	11,000	Sunplus Technology Co Ltd		6,397
	44,001	Taishin Financial Holding Co Ltd		19,855
	4,800	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		190,080
	4,000	Topco Scientific Co Ltd		10,553
	2,000	Tripod Technology Corp		6,481
	2,000	Uni-President Enterprises Corp		4,261
	154,000	United Microelectronics Corp		78,911
	16,000	Winbond Electronics Corp		15,358
	7,000	Yuanta Financial Holding Co Ltd		3,259
		Total Taiwan		1,071,491
		Thailand — 0.3%
	10,000	Amata Corp Pcl NVDR		7,649
	17,900	GFPT Pcl NVDR		7,522
	7,400	Indorama Ventures Pcl NVDR		11,114
	1,700	Kasikornbank Pcl (Foreign Registered) (b)		12,219
	3,500	Kiatnakin Bank Pcl NVDR		8,081
	101,100	Krung Thai Bank Pcl (Foreign Registered)		59,828
	8,300	PTT Exploration & Production Pcl NVDR		23,208
	6,300	PTT Global Chemical Pcl NVDR		15,340
	8,100	PTT Pcl (Foreign Registered)		102,423
	2,400	PTT Pcl NVDR		30,347
	1,200	Siam Cement Pcl (The) NVDR		17,527
	6,600	Supalai Pcl NVDR		4,833
	9,200	Thai Airways International Pcl NVDR *		4,818
	30,700	Thai Beverage Pcl		21,987
		Total Thailand		326,896
		Turkey — 0.3%
	2,456	Arcelik AS		12,418
	28,711	Eregli Demir ve Celik Fabrikalari TAS		63,155
	23,249	KOC Holding AS		97,798
	5,357	Selcuk Ecza Deposu Ticaret ve Sanayi AS		4,518
	1,247	Turkcell Iletisim Hizmetleri AS		4,844
	11,208	Turkiye Garanti Bankasi AS		27,460
	56,504	Turkiye Is Bankasi – Class C		88,941
	22,954	Turkiye Sise ve Cam Fabrikalari AS		24,537
	14,556	Turkiye Vakiflar Bankasi TAO – Class D		21,465
		Total Turkey		345,136

Shares		Description	Value ($)
		United Kingdom — 12.1%
	46,916	3i Group Plc		572,241
	6,309	888 Holdings Plc		22,128
	456	Associated British Foods Plc		18,174
	11,408	AstraZeneca Plc		736,253
	2,892	Aviva Plc		19,950
	2,318	Barratt Developments Plc		19,012
	8,125	Berkeley Group Holdings Plc (The)		419,478
	48,623	BHP Billiton Plc		884,346
	18,895	BP Plc		125,845
	21,596	British American Tobacco Plc		1,373,340
	10,193	Bunzl Plc		291,669
	7,811	Coca-Cola HBC AG *		250,325
	2,445	CYBG Plc CDI *		10,518
	2,484	Dart Group Plc		23,582
	15,323	Diageo Plc		529,772
	11,156	EI Group Plc *		22,286
	17,970	Electrocomponents Plc		153,416
	4,977	Fenner Plc		26,002
	43,333	Ferrexpo Plc		148,499
	2,434	Galliford Try Plc		38,912
	78,767	GlaxoSmithKline Plc		1,362,861
	11,600	GlaxoSmithKline Plc Sponsored ADR		406,696
	3,589	Halfords Group Plc		16,640
	142,138	HSBC Holdings Plc		1,416,386
	7,106	Imperial Brands Plc		294,539
	31,954	Inchcape Plc		322,264
	2,540	Jupiter Fund Management Plc		20,586
	35,952	Man Group Plc		96,382
	1,436	Mondi Plc		34,071
	1,218	Morgan Sindall Group Plc		22,590
	1,268	Next Plc		76,748
	1,300	Nomad Foods Ltd *		21,359
	16,306	Persimmon Plc		560,071
	1,523	Plus500 Ltd		19,723
	834	QinetiQ Group Plc		2,439
	2,493	Reckitt Benckiser Group Plc		218,829
	14,946	Rio Tinto Plc		707,612
	21,467	Royal Dutch Shell Plc A Shares (London)		686,451
	6,368	Royal Dutch Shell Plc B Shares (London)		206,328
	7,290	RPS Group Plc		26,832
	19,166	Sage Group Plc (The)		200,740
	605	Spectris Plc		20,503
	15,925	Spirent Communications Plc		22,753
	116,717	Thomas Cook Group Plc		187,264
	13,516	TUI AG		249,640
	4,774	Vedanta Resources Plc		44,749
	2,813	Vesuvius Plc		21,329
	25,061	William Hill Plc		97,979
	79,148	Wm Morrison Supermarkets Plc		231,618
	8,456	WPP Plc		149,236
		Total United Kingdom		13,430,966
		TOTAL COMMON STOCKS (COST $74,590,940)		106,861,021

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		PREFERRED STOCKS(c) — 1.9%
		Brazil — 0.5%
	15,958	Banco Bradesco SA		159,065
	10,300	Bradespar SA		79,630
	500	Braskem SA – Class A		6,939
	7,600	Centrais Eletricas Brasileiras SA – Class B		49,508
	20,200	Cia Energetica de Minas Gerais		40,665
	6,000	Cia Energetica de Sao Paulo – Class B		22,486
	5,180	Itau Unibanco Holding SA		65,279
	1,300	Itau Unibanco Holding SA Sponsored ADR		16,315
	42,522	Itausa – Investimentos Itau SA		134,766
	7,600	Metalurgica Gerdau SA		11,771
		Total Brazil		586,424
		Germany — 1.0%
	1,733	Bayerische Motoren Werke AG		150,088
	496	Draegerwerk AG & Co KGaA		41,585
	926	Henkel AG & Co KGaA		125,810
	3,770	Porsche Automobil Holding SE		315,827
	2,452	Volkswagen AG		520,519
		Total Germany		1,153,829
		South Korea — 0.4%
	228	Hyundai Motor Co		20,486
	534	Hyundai Motor Co 2nd Preference		53,391
	142	LG Electronics Inc		5,361
	156	Samsung Electronics Co Ltd		302,546
		Total South Korea		381,784
		TOTAL PREFERRED STOCKS (COST $1,329,970)		2,122,037
		RIGHTS/WARRANTS — 0.0%
		Thailand — 0.0%
	1,650	Supalai Pcl Rights, Expires 10/19/18 *		975
		TOTAL RIGHTS/WARRANTS (COST $0)		975
		MUTUAL FUNDS — 1.1%
		United States — 1.1%
		Affiliated Issuers — 1.1%
	45,526	GMO U.S. Treasury Fund		1,137,237
		TOTAL MUTUAL FUNDS (COST $1,137,237)		1,137,237

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.5%
	546,742	State Street Institutional Treasury Money Market Fund-Premier Class, 1.02% (d)		546,742
		TOTAL SHORT-TERM INVESTMENTS (COST $546,742)		546,742
		TOTAL INVESTMENTS — 99.8% (Cost $77,604,889)		110,668,012
		Other Assets and Liabilities (net) — 0.2%		275,490
		TOTAL NET ASSETS — 100.0%		$110,943,502

A summary of outstanding financial instruments at November 30, 2017 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
Buys
11	Mini MSCI EAFE	December 2017	$	1,110,560	$	19,018

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2017, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

ADR - American Depositary Receipt

CDI - Certificado de Deposito Interbancario

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)

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

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

* 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. Investment valued using significant unobservable inputs.

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

(c) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(d) The rate disclosed is the 7 day net yield as of November 30, 2017.

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.1%
		Automobiles & Components — 4.9%
	97,200	BorgWarner, Inc.		5,412,096
	24,500	Cooper-Standard Holding, Inc.*		3,088,715
	175,000	Dana, Inc.		5,782,000
	139,200	Delphi Automotive Plc		14,570,064
	583,400	General Motors Co.		25,138,706
	45,180	Lear Corp.		8,172,610
	28,200	Modine Manufacturing Co.*		645,780
	17,200	Standard Motor Products, Inc.		777,612
	43,200	Tenneco, Inc.		2,566,512
	25,885	Thor Industries, Inc.		3,974,642
	32,265	Tower International, Inc.		1,038,933
	24,100	Visteon Corp.*		3,173,729
		Total Automobiles & Components		74,341,399
		Banks — 3.3%
	4,236	American National Bankshares, Inc.		174,311
	4,500	CNB Financial Corp.		128,160
	11,400	Federal Agricultural Mortgage Corp. – Class C		846,450
	98,100	Fifth Third Bancorp		2,993,031
	3,200	First Bancorp, Inc.		99,136
	5,550	German American Bancorp, Inc.		208,736
	383,163	JPMorgan Chase & Co.		40,048,197
	103,500	Popular, Inc.		3,659,760
	4,900	Territorial Bancorp, Inc.		156,555
	31,141	Walker & Dunlop, Inc.*		1,534,628
		Total Banks		49,848,964
		Capital Goods — 11.3%
	51,144	AGCO Corp.		3,619,972
	28,800	Applied Industrial Technologies, Inc.		1,841,760
	51,100	Briggs & Stratton Corp.		1,272,390
	73,700	Cummins, Inc.		12,337,380
	74,600	Deere & Co.		11,179,556
	80,300	Dover Corp.		7,846,113
	42,500	EMCOR Group, Inc.		3,432,725
	227,071	Emerson Electric Co.		14,718,742
	27,300	Esterline Technologies Corp.*		1,934,205
	242,500	Honeywell International, Inc.		37,820,300
	89,600	Illinois Tool Works, Inc.		15,164,800
	57,500	Ingersoll-Rand Plc		5,038,150
	56,900	ITT, Inc.		3,083,980
	96,300	Manitowoc Co., Inc. (The)*		3,869,334
	127,100	Meritor, Inc.*		3,174,958
	48,500	Moog, Inc. – Class A*		4,079,335
	52,300	Oshkosh Corp.		4,709,092
	40,800	Owens Corning		3,604,680
	78,700	Parker-Hannifin Corp.		14,755,463
	39,156	SPX Corp.*		1,248,685
	15,400	Teledyne Technologies, Inc.*		2,868,096
	89,700	Textron, Inc.		4,997,187

Shares		Description	Value ($)
		Capital Goods — continued
	75,100	United Technologies Corp.		9,120,895
		Total Capital Goods		171,717,798
		Commercial & Professional Services — 1.1%
	240,129	ACCO Brands Corp.*		3,157,697
	42,000	Brady Corp. – Class A		1,642,200
	41,542	Deluxe Corp.		2,953,636
	6,700	Heidrick & Struggles International, Inc.		167,500
	51,800	Herman Miller, Inc.		1,851,850
	21,200	ICF International, Inc.*		1,145,860
	25,400	ManpowerGroup, Inc.		3,274,060
	42,412	Navigant Consulting, Inc.*		813,886
	122,400	Pitney Bowes, Inc.		1,306,008
		Total Commercial & Professional Services		16,312,697
		Consumer Durables & Apparel — 1.8%
	6,400	Bassett Furniture Industries, Inc.		245,760
	76,600	Brunswick Corp.		4,239,810
	4,100	CSS Industries, Inc.		111,725
	6,700	Culp, Inc.		215,070
	4,295	Flexsteel Industries, Inc.		223,340
	85,900	Hasbro, Inc.		7,990,418
	22,073	Helen of Troy Ltd.*		1,973,326
	32,900	MDC Holdings, Inc.		1,178,478
	68,700	PVH Corp.		9,243,585
	23,627	Tupperware Brands Corp.		1,491,336
		Total Consumer Durables & Apparel		26,912,848
		Consumer Services — 4.2%
	72,100	Adtalem Global Education, Inc.*		2,988,545
	12,300	Bridgepoint Education, Inc.*		112,299
	23,000	Choice Hotels International, Inc.		1,805,500
	48,500	Darden Restaurants, Inc.		4,089,520
	18,480	Drive Shack, Inc.		114,206
	3,800	Graham Holdings Co. – Class B		2,215,780
	33,200	Grand Canyon Education, Inc.*		3,152,672
	223,600	McDonald’s Corp.		38,452,492
	57,700	Royal Caribbean Cruises Ltd.		7,147,876
	102,700	Service Corp. International		3,794,765
		Total Consumer Services		63,873,655
		Diversified Financials — 4.8%
	127,100	Ameriprise Financial, Inc.		20,746,533
	5,221	Ares Commercial Real Estate Corp. (REIT)		70,379
	39,400	Artisan Partners Asset Management, Inc. – Class A		1,556,300
	152,500	BGC Partners, Inc. – Class A		2,490,325
	52,888	BlackRock Capital Investment Corp.		346,416
	4,104	Encore Capital Group, Inc.*		187,963
	43,300	Enova International, Inc.*		643,005

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Diversified Financials — continued
	57,500	Federated Investors, Inc. – Class B		1,929,700
	147,000	Franklin Resources, Inc.		6,372,450
	141,500	Invesco Ltd.		5,118,055
	34,100	Investment Technology Group, Inc.		613,459
	21,700	MSCI, Inc.		2,792,790
	6,573	OneMain Holdings, Inc.*		169,649
	90,700	Raymond James Financial, Inc.		8,008,810
	26,212	Regional Management Corp.*		646,650
	143,100	State Street Corp.		13,644,585
	75,705	T. Rowe Price Group, Inc.		7,791,559
		Total Diversified Financials		73,128,628
		Energy — 4.8%
	64,605	Andeavor		6,813,890
	205,393	Chevron Corp.		24,439,713
	35,178	Exterran Corp.*		1,077,854
	199,100	Marathon Petroleum Corp.		12,469,633
	555,024	Marathon Oil Corp.		8,236,556
	443,150	McDermott International, Inc.*		3,217,269
	130,900	Murphy Oil Corp.		3,658,655
	74,300	Newpark Resources, Inc.*		657,555
	14,900	SEACOR Holdings, Inc.*		712,965
	87,400	Transocean Ltd.*		886,236
	111,286	Valero Energy Corp.		9,528,307
	59,800	Whiting Petroleum Corp.*		1,492,010
		Total Energy		73,190,643
		Food & Staples Retailing — 1.7%
	267,800	Wal-Mart Stores, Inc.		26,038,194
		Food, Beverage & Tobacco — 2.4%
	13,200	Omega Protein Corp.		289,740
	297,700	PepsiCo, Inc.		34,688,004
	27,600	Universal Corp.		1,472,460
		Total Food, Beverage & Tobacco		36,450,204
		Health Care Equipment & Services — 3.2%
	126,069	Anthem, Inc.		29,621,172
	282,700	Baxter International, Inc.		18,525,331
	10,100	Triple-S Management Corp. – Class B*		287,042
		Total Health Care Equipment & Services		48,433,545
		Household & Personal Products — 1.4%
	20,590	Central Garden & Pet Co.*		815,982
	43,000	Central Garden & Pet Co. – Class A*		1,658,510
	87,300	Church & Dwight Co., Inc.		4,110,957
	32,100	Clorox Co. (The)		4,471,209
	78,000	Estee Lauder Cos, Inc. (The) – Class A		9,736,740
	19,500	Inter Parfums, Inc.		863,850
		Total Household & Personal Products		21,657,248

Shares		Description	Value ($)
		Insurance — 6.5%
	195,399	Aflac, Inc.		17,124,768
	9,100	American National Insurance Co.		1,140,685
	171,700	CNO Financial Group, Inc.		4,328,557
	12,804	Everest Re Group Ltd.		2,811,758
	57,776	First American Financial Corp.		3,211,768
	160,200	Hartford Financial Services Group, Inc. (The)		9,201,888
	89,828	Lincoln National Corp.		6,876,334
	181,100	Principal Financial Group, Inc.		12,820,069
	400,300	Progressive Corp. (The)		21,287,954
	118,600	Prudential Financial, Inc.		13,738,624
	4,412	Selective Insurance Group, Inc.		270,014
	89,298	Unum Group		5,056,053
	2,372	W.R. Berkley Corp.		163,953
		Total Insurance		98,032,425
		Materials — 2.9%
	83,947	Avery Dennison Corp.		9,580,032
	39,800	Crown Holdings, Inc.*		2,377,254
	52,500	Eastman Chemical Co.		4,849,425
	245,200	Huntsman Corp.		7,836,592
	23,600	Koppers Holdings, Inc.*		1,177,640
	230,900	Owens-Illinois, Inc.*		5,592,398
	48,500	Packaging Corp. of America		5,752,100
	41,600	Reliance Steel & Aluminum Co.		3,270,176
	49,200	Trinseo SA		3,630,960
		Total Materials		44,066,577
		Media — 0.9%
	81,500	CBS Corp. – Class B NVDR		4,568,890
	21,985	Meredith Corp.		1,498,278
	75,400	New York Times Co. (The) – Class A		1,417,520
	166,993	News Corp. – Class A		2,698,607
	115,185	News Corp. – Class B		1,889,034
	30,900	Scholastic Corp.		1,270,608
		Total Media		13,342,937
		Pharmaceuticals, Biotechnology & Life Sciences — 7.3%
	93,600	Agilent Technologies, Inc.		6,480,864
	259,847	Johnson & Johnson		36,204,482
	375,300	Merck & Co., Inc.		20,742,831
	8,600	Mettler-Toledo International, Inc.*		5,411,206
	1,162,938	Pfizer, Inc.		42,168,132
		Total Pharmaceuticals, Biotechnology & Life Sciences		111,007,515
		Real Estate — 4.1%
	164,300	Apple Hospitality REIT, Inc.		3,200,564
	117,400	Brandywine Realty Trust (REIT)		2,022,802
	243,300	CBRE Group, Inc. – Class A*		10,549,488
	180,200	CoreCivic, Inc. (REIT)		4,236,502
	186,600	DiamondRock Hospitality Co. (REIT)		2,088,054

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Real Estate — continued
	105,000	GEO Group , Inc. (The) (REIT)		2,786,700
	65,100	Hospitality Properties Trust (REIT)		1,952,349
	411,000	Host Hotels & Resorts, Inc. (REIT)		8,133,690
	37,643	Jones Lang LaSalle, Inc.		5,740,181
	44,400	Potlatch Corp. (REIT)		2,291,040
	52,400	Preferred Apartment Communities, Inc. (REIT) – Class A		1,114,024
	105,200	Prologis, Inc. (REIT)		6,967,396
	66,100	Realogy Holdings Corp.		1,844,851
	22,900	Ryman Hospitality Properties, Inc. (REIT)		1,591,092
	88,000	Summit Hotel Properties, Inc. (REIT)		1,329,680
	143,800	Sunstone Hotel Investors, Inc. (REIT)		2,402,898
	188,800	Xenia Hotels & Resorts, Inc. (REIT)		4,151,712
		Total Real Estate		62,403,023
		Retailing — 2.2%
	39,400	Aaron’s, Inc.		1,486,168
	183,900	Best Buy Co., Inc.		10,962,279
	35,300	Big Lots, Inc.		2,086,230
	76,375	Home Depot, Inc. (The)		13,733,753
	103,200	LKQ Corp.*		4,068,144
		Total Retailing		32,336,574
		Semiconductors & Semiconductor Equipment — 6.0%
	442,100	Applied Materials, Inc.		23,329,617
	43,400	KLA-Tencor Corp.		4,437,216
	52,300	Lam Research Corp.		10,058,859
	747,600	Micron Technology, Inc.*		31,690,764
	224,200	Texas Instruments, Inc.		21,812,418
		Total Semiconductors & Semiconductor Equipment		91,328,874
		Software & Services — 9.6%
	39,800	Adobe Systems, Inc.*		7,222,506
	112,655	Amdocs Ltd.		7,355,245
	137,180	CA, Inc.		4,536,542
	301,800	Cadence Design Systems, Inc.*		13,252,038
	59,400	Citrix Systems, Inc.*		5,205,222
	24,200	CSG Systems International, Inc.		1,110,538
	75,600	Dell Technologies, Inc. – Class V*		5,914,944
	185,200	DXC Technology Co.		17,805,128
	382,300	eBay, Inc.*		13,254,341
	95,100	Everi Holdings, Inc.*		775,065
	64,600	Intuit, Inc.		10,156,412
	58,600	Leidos Holdings, Inc.		3,725,202
	121,441	Net 1 UEPS Technologies, Inc.*		1,347,995
	322,500	Oracle Corp.		15,821,850
	164,200	PayPal Holdings, Inc.*		12,434,866
	38,000	Red Hat, Inc.*		4,816,880
	44,480	Sykes Enterprises, Inc.*		1,415,354
	175,900	Symantec Corp.		5,095,823

Shares		Description	Value ($)
		Software & Services — continued
	148,700	Synopsys, Inc.*		13,439,506
	32,200	Web.com Group, Inc.*		740,600
		Total Software & Services		145,426,057
		Technology Hardware & Equipment — 8.1%
	77,300	Apple, Inc.		13,284,005
	47,200	Arrow Electronics, Inc.*		3,810,456
	21,900	Belden, Inc.		1,854,711
	580,429	Cisco Systems, Inc.		21,650,002
	23,782	ePlus, Inc.*		1,931,098
	1,495,900	HP, Inc.		32,087,055
	33,702	Insight Enterprises, Inc.*		1,314,378
	290,900	Juniper Networks, Inc.		8,075,384
	70,393	Sanmina Corp.*		2,393,362
	158,600	TE Connectivity Ltd.		14,978,184
	34,038	Tech Data Corp.*		3,291,475
	188,000	Western Digital Corp.		14,825,680
	109,000	Xerox Corp.		3,232,940
		Total Technology Hardware & Equipment		122,728,730
		Telecommunication Services — 0.3%
	2,044	Consolidated Communications Holdings, Inc.		28,902
	125,900	Telephone & Data Systems, Inc.		3,486,171
	23,100	United States Cellular Corp.*		874,104
		Total Telecommunication Services		4,389,177
		Transportation — 0.2%
	27,100	Landstar System, Inc.		2,796,720
		Utilities — 6.1%
	61,500	Ameren Corp.		3,933,540
	100,000	American Electric Power Co., Inc.		7,763,000
	359,000	CenterPoint Energy, Inc.		10,773,590
	57,089	DTE Energy Co.		6,597,776
	122,000	Edison International		9,914,940
	83,100	Entergy Corp.		7,186,488
	250,300	Exelon Corp.		10,440,013
	295,500	FirstEnergy Corp.		10,088,370
	276,800	NiSource, Inc.		7,620,304
	86,600	OGE Energy Corp.		3,096,816
	223,000	Public Service Enterprise Group, Inc.		11,832,380
	74,300	UGI Corp.		3,641,443
		Total Utilities		92,888,660
		TOTAL COMMON STOCKS (COST $1,286,927,772)		1,502,653,092

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 0.8%
		Affiliated Issuers — 0.8%
	487,812	GMO U.S. Treasury Fund		12,185,561
		TOTAL MUTUAL FUNDS (COST $12,185,635)		12,185,561
		SHORT-TERM INVESTMENTS — 0.7%
		Money Market Funds — 0.7%
	11,102,546	State Street Institutional Treasury Money Market Fund-Premier Class, 1.02% (a)		11,102,546
		TOTAL SHORT-TERM INVESTMENTS (COST $11,102,546)		11,102,546
		TOTAL INVESTMENTS — 100.6% (Cost $1,310,215,953)		1,525,941,199
		Other Assets and Liabilities (net) — (0.6%)		(9,783,192	)
		TOTAL NET ASSETS — 100.0%		$1,516,158,007

Notes to Schedule of Investments:

NVDR - Non-Voting Depositary Receipt

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of November 30, 2017.

Each Fund has elected to be treated or intends to elect 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. 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. As of November 30, 2017, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:

	Total Investments								Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Climate Change Fund		17,373,548		2,448,367		(600,968)		1,847,399		—
Emerging Domestic Opportunities Fund		1,925,225,402		380,211,392		(28,989,440)		351,221,952		6,013,270
Emerging Markets Fund		4,641,034,224		701,797,690		(163,359,933)		538,437,757		4,367,939
Foreign Small Companies Fund		233,454,018		27,808,015		(4,847,524)		22,960,491		5,554
International Equity Fund		4,630,067,153		890,345,347		(117,172,224)		773,173,123		190,492
International Large/Mid Cap Equity Fund		68,863,071		12,200,312		(1,042,269)		11,158,043		23,035
International Small Companies Fund		18,639,141		1,779,558		(602,412)		1,177,146		—
Quality Fund		5,838,677,476		2,639,940,295		(42,077,195)		2,597,863,100		—
Resources Fund		173,908,016		61,240,274		(6,853,778)		54,386,496		—
Risk Premium Fund		143,661,042		2,324		(114,936)		(112,612)		(684,930)
Tax-Managed International Equities Fund		78,559,328		32,826,327		(717,643)		32,108,684		19,018
U.S. Equity Allocation Fund		1,312,058,557		228,511,666		(14,629,024)		213,882,642		—

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, if any, or an investment in other funds of GMO Trust (“underlying funds”). A summary of the Funds’ transactions involving companies or underlying funds that are or were affiliates during the period ended November 30, 2017 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Climate Change Fund
GMO U.S. Treasury Fund	$	—	$	15,911,280	$	15,202,000	$	5,318	$	(2,350	)	$	(282	)	$	706,647
Emerging Domestic Opportunities Fund
CMI Ltd	$	3,202,269	$	—	$	—	$	—	$	—		$	1,264,192		$	4,466,461
Gayatri Projects Ltd		22,225,368		—		—		—		—			12,441,751			34,667,119
GMO U.S. Treasury Fund		66,772,614		913,795,720		855,675,000		547,715		(33,673	)		(27,308	)		124,832,353
TICON Industrial Growth Leasehold Property Fund		16,408,121		—		15,206,845		605,876		(982,281	)		(218,995	)		—	#
Totals	$	108,608,372	$	913,795,720	$	870,881,845	$	1,153,591	$	(1,015,954	)	$	13,459,640		$	163,965,933
Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	1,028,843	$	—	$	—	$	—	$	—		$	(211,987	)	$	816,856
Gayatri Projects Ltd		35,159,348		—		348,271		—		267,091			19,350,764			54,428,932
GMO U.S. Treasury Fund		89,875,673		1,203,165,858		1,216,109,999		545,868		(45,090	)		(11,732	)		76,874,710
Kiri Industries Ltd		7,867,156		—		2,428,022		—		1,685,072			4,101,165			—
Totals	$	133,931,020	$	1,203,165,858	$	1,218,886,292	$	545,868	$	1,907,073		$	23,228,210		$	132,120,498

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Foreign Small Companies Fund
GMO U.S. Treasury Fund	$	7,030,375	$	86,118,027	$	90,630,000	$	78,665	$	(4,527	)	$	2,419		$	2,516,294
International Equity Fund
GMO U.S. Treasury Fund	$	21,767,868	$	692,500,000	$	683,650,000	$	233,188	$	(20,077	)	$	(12,244	)	$	30,585,547
International Large/Mid Cap Equity Fund
GMO U.S. Treasury Fund	$	2,408,002	$	88,635,000	$	90,109,999	$	10,594	$	(11,029	)	$	(373	)	$	921,601
International Small Companies Fund
GMO U.S. Treasury Fund	$	1,550,077	$	63,890,000	$	65,430,000	$	11,350	$	(5,127	)	$	618		$	5,568
Quality Fund
GMO U.S. Treasury Fund	$	240,449,520	$	1,057,500,000	$	1,242,500,000	$	1,190,466	$	(118,357	)	$	(16,980	)	$	55,314,183
Resources Fund
GMO U.S. Treasury Fund	$	6,150,081	$	30,820,000	$	35,130,000	$	26,390	$	(2,751	)	$	(1,017	)	$	1,836,313
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	427,587	$	11,360,000	$	10,650,000	$	7,129	$	(347	)	$	(3	)	$	1,137,237
U.S. Equity Allocation Fund
GMO U.S. Treasury Fund	$	11,180,107	$	254,710,000	$	253,700,000	$	83,703	$	(4,472	)	$	(74	)	$	12,185,561

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2017 through November 30, 2017. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2018.

# No longer an affiliate at period end.

Basis of presentation

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

Portfolio valuation

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event 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 of GMO Trust (“Trustees”) or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2017, the Funds did not reduce the value of any of their OTC

derivatives contracts, if any, based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets 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, if any, that were valued using fair value inputs obtained from that independent pricing service as of November 30, 2017. 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 November 30, 2017 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)
Climate Change Fund		—			62%
Emerging Domestic Opportunities Fund		—			64%
Emerging Markets Fund		< 1%			88%
Foreign Small Companies Fund		—			92%
International Equity Fund		0%	§		97%
International Large/Mid Cap Equity Fund		0%	§		96%
International Small Companies Fund		0%	§		91%
Quality Fund		—			11%
Resources Fund		—			78%
Risk Premium Fund		—			(1)%
Tax-Managed International Equities Fund		0%	§		96%

§ Represents the interest in securities that were determined to have a value of zero at November 30, 2017.

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 November 30, 2017, 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; 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 November 30, 2017:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	263,870	$	—	$	—	$	263,870
Australia		—		374,164		11,909		386,073
Austria		—		56,746		—		56,746
Canada		755,846		—		—		755,846
Chile		—		35,429		—		35,429
China		—		1,286,041		—		1,286,041
Denmark		—		642,090		—		642,090
Finland		—		252,230		—		252,230
France		—		2,151,189		—		2,151,189
Germany		—		523,551		—		523,551
Hong Kong		—		36,266		—		36,266
Israel		—		160,596		—		160,596
Italy		—		357,051		—		357,051
Japan		—		1,302,363		—		1,302,363
Kenya		—		37,546		—		37,546
Malaysia		—		26,369		—		26,369
Netherlands		—		446,675		—		446,675
Norway		—		783,813		—		783,813
Poland		—		471,763		—		471,763
Portugal		—		239,938		—		239,938
Russia		—		628,627		—		628,627
South Africa		—		151,460		—		151,460
South Korea		—		194,928		—		194,928

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Spain	$	—	$	454,370	$	—	$	454,370
Switzerland		—		272,096		—		272,096
Ukraine		—		145,038		—		145,038
United Kingdom		—		769,997		—		769,997
United States		4,742,197		—		—		4,742,197
Vietnam		—		46,247		—		46,247
TOTAL COMMON STOCKS		5,761,913		11,846,583		11,909		17,620,405
Preferred Stocks
Brazil		44,880		—		—		44,880
Chile		809,368		—		—		809,368
TOTAL PREFERRED STOCKS		854,248		—		—		854,248
Mutual Funds
United States		706,647		—		—		706,647
TOTAL MUTUAL FUNDS		706,647		—		—		706,647
Short-Term Investments		39,647		—		—		39,647
Total Investments		7,362,455		11,846,583		11,909		19,220,947
Total	$	7,362,455	$	11,846,583	$	11,909	$	19,220,947
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Belgium	$	16,486,560	$	—	$	—	$	16,486,560
Brazil		—		73,316,230		—		73,316,230
China		216,964,100		411,639,096		—		628,603,196
Hong Kong		—		39,246,957		—		39,246,957
India		—		427,427,171		18,599,892		446,027,063
Indonesia		—		43,741,320		—		43,741,320
Malaysia		—		12,181,479		—		12,181,479
Peru		17,409,975		—		—		17,409,975
Philippines		—		123,881,392		—		123,881,392
Russia		7,039,186		52,534,159		—		59,573,345
South Africa		—		53,676,810		—		53,676,810
Taiwan		—		30,936,154		—		30,936,154
Thailand		—		41,246,650		—		41,246,650
United Kingdom		—		44,126,042		—		44,126,042
Vietnam		—		27,496,934		—		27,496,934
TOTAL COMMON STOCKS		257,899,821		1,381,450,394		18,599,892		1,657,950,107
Preferred Stocks
Brazil		—		65,313,661		—		65,313,661
TOTAL PREFERRED STOCKS		—		65,313,661		—		65,313,661
Investment Funds
South Korea		156,506,639		—		—		156,506,639
Taiwan		34,648,543		—		—		34,648,543
Thailand		—		39,685,766		—		39,685,766
United States		144,258,287		—		—		144,258,287
TOTAL INVESTMENT FUNDS		335,413,469		39,685,766		—		375,099,235
Rights/Warrants
China		—		5,367,948		—		5,367,948
TOTAL RIGHTS/WARRANTS		—		5,367,948		—		5,367,948
Mutual Funds
United States		124,832,353		—		—		124,832,353
TOTAL MUTUAL FUNDS		124,832,353		—		—		124,832,353
Fully Funded Total Return Swaps		—		21,667,539		—		21,667,539
Short-Term Investments		26,216,511		—		—		26,216,511
Total Investments		744,362,154		1,513,485,308		18,599,892		2,276,447,354

Description	Level 1		Level 2		Level 3		Total
Emerging Domestic Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	438,565	$	—	$	438,565
Futures Contracts
Equity Risk		2,652,787		2,921,918		—		5,574,705
Total	$	747,014,941	$	1,516,845,791	$	18,599,892	$	2,282,460,624
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Belgium	$	3,285,863	$	—	$	—	$	3,285,863
Brazil		—		104,876,441		—		104,876,441
Chile		—		2,632,572		—		2,632,572
China		143,734,374		854,730,232		682,312		999,146,918
Czech Republic		—		14,358,759		—		14,358,759
Egypt		—		1,919,376		—		1,919,376
Greece		—		44,226,255		—		44,226,255
India		37,306,138		299,912,043		—		337,218,181
Indonesia		1,979,796		67,210,280		—		69,190,076
Malaysia		—		8,922,028		—		8,922,028
Mexico		31,790,548		—		—		31,790,548
Peru		28,088,093		—		—		28,088,093
Philippines		—		40,693,750		—		40,693,750
Qatar		—		10,002,294		—		10,002,294
Russia		99,430,280		501,172,703		—		600,602,983
South Africa		1,916,970		109,161,937		—		111,078,907
South Korea		9,494,240		760,689,741		2,048,259		772,232,240
Sri Lanka		—		816,856		—		816,856
Switzerland		5,963,700		—		—		5,963,700
Taiwan		112,744,485		1,044,077,521		—		1,156,822,006
Thailand		—		331,371,583		—		331,371,583
Turkey		—		122,655,219		—		122,655,219
United Arab Emirates		—		20,321,699		—		20,321,699
United Kingdom		—		21,631,481		—		21,631,481
Vietnam		—		6,561,300		—		6,561,300
TOTAL COMMON STOCKS		475,734,487		4,367,944,070		2,730,571		4,846,409,128
Preferred Stocks
Brazil		—		18,568,620		—		18,568,620
Colombia		7,869,692		—		—		7,869,692
Russia		—		10,855,905		—		10,855,905
South Korea		—		136,221,277		—		136,221,277
TOTAL PREFERRED STOCKS		7,869,692		165,645,802		—		173,515,494
Investment Funds
India		—		—		98,736		98,736
Russia		—		—		2,534,189		2,534,189
Thailand		—		9,074,013		—		9,074,013
United States		64,320,241		—		—		64,320,241
TOTAL INVESTMENT FUNDS		64,320,241		9,074,013		2,632,925		76,027,179
Rights/Warrants
Thailand		407,259		—		—		407,259
TOTAL RIGHTS/WARRANTS		407,259		—		—		407,259
Mutual Funds
United States		76,874,710		—		—		76,874,710
TOTAL MUTUAL FUNDS		76,874,710		—		—		76,874,710
Short-Term Investments		6,238,211		—		—		6,238,211
Total Investments		631,444,600		4,542,663,885		5,363,496		5,179,471,981

Description	Level 1		Level 2		Level 3		Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Futures Contracts
Equity Risk	$	3,948,001	$	—	$	—	$	3,948,001
Swap Contracts
Equity Risk		—		419,938		—		419,938
Total	$	635,392,601	$	4,543,083,823	$	5,363,496	$	5,183,839,920
Foreign Small Companies Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	7,826,555	$	—	$	7,826,555
Austria		—		2,965,125		—		2,965,125
Belgium		—		1,258,592		—		1,258,592
Canada		14,160,501		—		—		14,160,501
China		—		5,075,604		—		5,075,604
Colombia		295,692		—		—		295,692
Denmark		—		2,346,135		—		2,346,135
Finland		—		672,514		—		672,514
France		—		15,094,576		—		15,094,576
Germany		—		24,832,071		—		24,832,071
Hong Kong		—		5,340,841		—		5,340,841
India		—		4,089,353		—		4,089,353
Indonesia		—		728,223		—		728,223
Israel		—		2,475,288		—		2,475,288
Italy		—		12,622,971		—		12,622,971
Japan		—		67,849,109		—		67,849,109
Malaysia		—		1,604,325		—		1,604,325
Mexico		1,430,116		—		—		1,430,116
Netherlands		825,740		3,121,658		—		3,947,398
Norway		—		2,501,527		—		2,501,527
Poland		—		2,058,297		—		2,058,297
Portugal		—		587,562		—		587,562
Singapore		—		7,580,702		—		7,580,702
South Africa		—		1,307,880		—		1,307,880
South Korea		—		11,899,937		—		11,899,937
Spain		—		1,536,230		—		1,536,230
Sweden		—		1,957,155		—		1,957,155
Switzerland		—		11,675,696		—		11,675,696
Taiwan		—		4,813,719		—		4,813,719
Turkey		—		70,543		—		70,543
United Kingdom		—		29,800,016		—		29,800,016
United States		928,240		—		—		928,240
TOTAL COMMON STOCKS		17,640,289		233,692,204		—		251,332,493
Preferred Stocks
Germany		—		2,470,721		—		2,470,721
TOTAL PREFERRED STOCKS		—		2,470,721		—		2,470,721
Mutual Funds
United States		2,516,294		—		—		2,516,294
TOTAL MUTUAL FUNDS		2,516,294		—		—		2,516,294
Short-Term Investments		95,001		—		—		95,001
Total Investments		20,251,584		236,162,925		—		256,414,509

Description	Level 1		Level 2		Level 3			Total
Foreign Small Companies Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Futures Contracts
Equity Risk	$	5,554	$	—	$	—		$	5,554
Total	$	20,257,138	$	236,162,925	$	—		$	256,420,063
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	205,086,521	$	—		$	205,086,521
Austria		—		76,903,508		—			76,903,508
Belgium		—		7,947,690		—			7,947,690
Denmark		—		22,002,842		—			22,002,842
Finland		—		21,427,075		—			21,427,075
France		50,831,664		647,499,249		—			698,330,913
Germany		—		652,192,083		—			652,192,083
Hong Kong		—		252,536,918		—			252,536,918
Israel		2,808,162		13,273,621		—			16,081,783
Italy		80,134,020		151,098,286		—			231,232,306
Japan		—		1,478,745,827		—			1,478,745,827
Malta		—		—		0	§		0	§
Netherlands		3,860,520		207,072,898		—			210,933,418
New Zealand		—		2,057,070		—			2,057,070
Norway		—		122,812,698		—			122,812,698
Portugal		—		8,227,236		—			8,227,236
Singapore		—		14,274,266		—			14,274,266
Spain		—		145,890,300		—			145,890,300
Sweden		—		157,905,727		—			157,905,727
Switzerland		—		268,390,520		—			268,390,520
United Kingdom		841,440		710,298,308		—			711,139,748
TOTAL COMMON STOCKS		138,475,806		5,165,642,643		0	§		5,304,118,449
Preferred Stocks
Germany		—		58,354,787		—			58,354,787
TOTAL PREFERRED STOCKS		—		58,354,787		—			58,354,787
Rights/Warrants
Australia		—		—		13,678			13,678
TOTAL RIGHTS/WARRANTS		—		—		13,678			13,678
Mutual Funds
United States		30,585,547		—		—			30,585,547
TOTAL MUTUAL FUNDS		30,585,547		—		—			30,585,547
Short-Term Investments		10,167,815		—		—			10,167,815
Total Investments		179,229,168		5,223,997,430		13,678			5,403,240,276
Derivatives^
Futures Contracts
Equity Risk		190,492		—		—			190,492
Total	$	179,419,660	$	5,223,997,430	$	13,678		$	5,403,430,768
International Large/Mid Cap Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	2,469,642	$	—		$	2,469,642
Austria		—		2,321,059		—			2,321,059
Belgium		—		59,264		—			59,264
Denmark		—		926,711		—			926,711
Finland		—		1,267,240		—			1,267,240
France		—		10,129,865		—			10,129,865
Germany		—		8,294,249		—			8,294,249
Hong Kong		—		4,577,045		—			4,577,045

Description	Level 1		Level 2		Level 3			Total
International Large/Mid Cap Equity Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Israel	$	16,357	$	—	$	—		$	16,357
Italy		574,560		667,418		—			1,241,978
Japan		—		21,582,986		—			21,582,986
Malta		—		—		0	§		0	§
Netherlands		115,480		3,481,371		—			3,596,851
New Zealand		—		234,296		—			234,296
Norway		—		345,698		—			345,698
Portugal		—		4,561		—			4,561
Singapore		—		156,568		—			156,568
Spain		—		1,813,284		—			1,813,284
Sweden		—		1,873,139		—			1,873,139
Switzerland		—		3,876,882		—			3,876,882
United Kingdom		17,530		11,163,129		—			11,180,659
TOTAL COMMON STOCKS		723,927		75,244,407		0	§		75,968,334
Preferred Stocks
Germany		—		2,266,161		—			2,266,161
TOTAL PREFERRED STOCKS		—		2,266,161		—			2,266,161
Mutual Funds
United States		921,601		—		—			921,601
TOTAL MUTUAL FUNDS		921,601		—		—			921,601
Short-Term Investments		865,018		—		—			865,018
Total Investments		2,510,546		77,510,568		0	§		80,021,114
Derivatives^
Futures Contracts
Equity Risk		23,035		—		—			23,035
Total	$	2,533,581	$	77,510,568	$	0	§	$	80,044,149
International Small Companies Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	603,226	$	—		$	603,226
Austria		—		325,155		—			325,155
Belgium		—		65,697		—			65,697
Canada		1,251,456		—		—			1,251,456
China		—		398,246		0	§		398,246
Denmark		—		154,018		—			154,018
Finland		—		32,622		—			32,622
France		—		1,152,377		—			1,152,377
Germany		—		1,623,288		—			1,623,288
Hong Kong		—		422,386		—			422,386
India		—		309,302		—			309,302
Indonesia		—		65,775		—			65,775
Israel		—		132,519		—			132,519
Italy		—		956,825		—			956,825
Japan		—		4,960,725		—			4,960,725
Malaysia		—		172,805		—			172,805
Mexico		154,953		—		—			154,953
Netherlands		23,320		309,293		—			332,613
Norway		—		269,981		—			269,981
Poland		—		160,621		—			160,621
Portugal		—		49,314		—			49,314
Singapore		—		583,503		—			583,503
South Africa		—		98,062		—			98,062
South Korea		—		944,744		—			944,744
Spain		—		182,628		—			182,628
Sweden		—		148,636		—			148,636
Switzerland		—		889,407		—			889,407

Description	Level 1		Level 2		Level 3			Total
International Small Companies Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Taiwan	$	—	$	382,036	$	—		$	382,036
United Kingdom		—		2,287,719		—			2,287,719
United States		24,600		—		—			24,600
TOTAL COMMON STOCKS		1,454,329		17,680,910		0	§		19,135,239
Preferred Stocks
Brazil		—		3,562		—			3,562
Germany		—		273,994		—			273,994
TOTAL PREFERRED STOCKS		—		277,556		—			277,556
Investment Funds
Thailand		—		2,607		—			2,607
TOTAL INVESTMENT FUNDS		—		2,607		—			2,607
Mutual Funds
United States		5,568		—		—			5,568
TOTAL MUTUAL FUNDS		5,568		—		—			5,568
Short-Term Investments		395,317		—		—			395,317
Total Investments		1,855,214		17,961,073		0	§		19,816,287
Total	$	1,855,214	$	17,961,073	$	0	§	$	19,816,287
Quality Fund
Asset Valuation Inputs
Common Stocks
France	$	—	$	67,474,998	$	—		$	67,474,998
Germany		—		70,057,431		—			70,057,431
Switzerland		—		194,712,471		—			194,712,471
Taiwan		—		156,362,985		—			156,362,985
United Kingdom		—		451,585,777		—			451,585,777
United States		7,180,200,601		—		—			7,180,200,601
TOTAL COMMON STOCKS		7,180,200,601		940,193,662		—			8,120,394,263
Mutual Funds
United States		55,314,183		—		—			55,314,183
TOTAL MUTUAL FUNDS		55,314,183		—		—			55,314,183
Short-Term Investments		250,892,241		9,939,889		—			260,832,130
Total Investments		7,486,407,025		950,133,551		—			8,436,540,576
Total	$	7,486,407,025	$	950,133,551	$	—		$	8,436,540,576
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	2,505,261	$	—	$	—		$	2,505,261
Australia		—		5,476,576		—			5,476,576
Austria		—		2,110,794		—			2,110,794
Brazil		—		1,366,184		—			1,366,184
Canada		4,207,162		—		—			4,207,162
China		—		5,090,610		—			5,090,610
Colombia		1,119,138		—		—			1,119,138
Denmark		—		5,547,736		—			5,547,736
Finland		—		379,808		—			379,808
France		—		7,411,200		—			7,411,200
Germany		—		2,886,195		—			2,886,195
Hungary		—		1,643,050		—			1,643,050
India		—		1,225,723		—			1,225,723
Israel		—		3,718,699		—			3,718,699
Italy		—		1,017,770		—			1,017,770
Japan		—		11,954,978		—			11,954,978

Description	Level 1			Level 2			Level 3		Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Kazakhstan	$	—		$	489,915		$	—	$	489,915
Norway		—			15,477,247			—		15,477,247
Poland		—			4,780,002			—		4,780,002
Qatar		—			234,725			—		234,725
Russia		—			23,565,106			—		23,565,106
Singapore		—			—			537,839		537,839
South Africa		—			4,016,381			—		4,016,381
South Korea		—			577,370			—		577,370
Spain		—			3,346,474			—		3,346,474
Sweden		—			1,931,739			—		1,931,739
Thailand		—			4,431,200			—		4,431,200
Ukraine		—			1,930,734			—		1,930,734
United Kingdom		—			51,065,820			—		51,065,820
United States		32,002,990			—			—		32,002,990
TOTAL COMMON STOCKS		39,834,551			161,676,036			537,839		202,048,426
Preferred Stocks
Brazil		—			10,704,462			—		10,704,462
Chile		8,624,821			—			—		8,624,821
Russia		—			4,586,104			—		4,586,104
TOTAL PREFERRED STOCKS		8,624,821			15,290,566			—		23,915,387
Mutual Funds
United States		1,836,313			—			—		1,836,313
TOTAL MUTUAL FUNDS		1,836,313			—			—		1,836,313
Short-Term Investments		494,386			—			—		494,386
Total Investments		50,790,071			176,966,602			—		228,294,512
Total	$	50,790,071		$	176,966,602		$	537,839	$	228,294,512
Risk Premium Fund
Asset Valuation Inputs
Debt Obligations
United States	$	74,798,271		$	—		$	—	$	74,798,271
TOTAL DEBT OBLIGATIONS		74,798,271			—			—		74,798,271
Short-Term Investments		47,780,777			20,969,382			—		68,750,159
Total Investments		122,579,048			20,969,382			—		143,548,430
Total	$	122,579,048		$	20,969,382		$	—	$	143,548,430
Liability Valuation Inputs
Derivatives^
Written Options
Equity Risk	$	(14,925	)	$	(670,005	)	$	—	$	(684,930	)
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	3,776,840		$	—	$	3,776,840
Austria		—			1,427,096			—		1,427,096
Belgium		—			252,845			—		252,845
Brazil		59,543			366,999			—		426,542
China		198,424			3,203,096			—		3,401,520
Colombia		31,320			—			—		31,320
Denmark		—			253,900			—		253,900
Finland		—			843,695			—		843,695
France		407,160			12,752,828			—		13,159,988
Germany		—			12,067,741			—		12,067,741
Greece		—			6,078			—		6,078

Description	Level 1		Level 2		Level 3			Total
Tax-Managed International Equities Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Hong Kong	$	—	$	2,855,451	$	—		$	2,855,451
Hungary		—		163,487		—			163,487
India		62,010		1,015,707		—			1,077,717
Indonesia		—		6,734		—			6,734
Ireland		23,362		282,699		—			306,061
Israel		35,190		76,603		—			111,793
Italy		940,500		4,176,819		—			5,117,319
Japan		—		27,014,228		—			27,014,228
Malta		—		—		0	§		0	§
Mexico		395,242		—		—			395,242
Netherlands		150,124		2,848,364		—			2,998,488
New Zealand		—		129,066		—			129,066
Norway		—		1,210,819		—			1,210,819
Peru		42,206		—		—			42,206
Poland		—		204,260		—			204,260
Portugal		—		125,902		—			125,902
Russia		19,866		131,665		—			151,531
Singapore		—		871,611		—			871,611
South Africa		—		727,362		—			727,362
South Korea		16,464		1,474,674		—			1,491,138
Spain		—		2,252,876		—			2,252,876
Sweden		—		3,866,340		—			3,866,340
Switzerland		—		4,919,336		—			4,919,336
Taiwan		190,080		881,411		—			1,071,491
Thailand		—		326,896		—			326,896
Turkey		—		345,136		—			345,136
United Kingdom		428,055		13,002,911		—			13,430,966
TOTAL COMMON STOCKS		2,999,546		103,861,475		0	§		106,861,021
Preferred Stocks
Brazil		16,315		570,109		—			586,424
Germany		—		1,153,829		—			1,153,829
South Korea		—		381,784		—			381,784
TOTAL PREFERRED STOCKS		16,315		2,105,722		—			2,122,037
Rights/Warrants
Thailand		975		—		—			975
TOTAL RIGHTS/WARRANTS		975		—		—			975
Mutual Funds
United States		1,137,237		—		—			1,137,237
TOTAL MUTUAL FUNDS		1,137,237		—		—			1,137,237
Short-Term Investments		546,742		—		—			546,742
Total Investments		4,700,815		105,967,197		0	§		110,668,012
Derivatives^
Futures Contracts
Equity Risk		19,018		—		—			19,018
Total	$	4,719,833	$	105,967,197	$	0	§	$	110,687,030
U.S. Equity Allocation Fund
Asset Valuation Inputs
Common Stocks	$	1,502,653,092	$	—	$	—		$	1,502,653,092
Mutual Funds		12,185,561		—		—			12,185,561
Short-Term Investments		11,102,546		—		—			11,102,546
Total Investments		1,525,941,199		—		—			1,525,941,199
Total	$	1,525,941,199	$	—	$	—		$	1,525,941,199

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 and 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 November 30, 2017.

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

For all Funds for the period ended November 30, 2017, 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 28, 2017		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/(Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3†			Transfer out of Level 3†		Balances as of November 30, 2017			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2017
Climate Change Fund
Common Stocks
Australia	$	—	$	46,107	$	—		$	—	$	—		$	(34,198	)	$	—		$	—	$	11,909		$	(34,198	)
Total	$	—	$	46,107	$	—		$	—	$	—		$	(34,198	)	$	—		$	—	$	11,909		$	(34,198	)
Emerging Domestic Opportunities Fund
Common Stocks
India	$	—	$	9,417,811	$	—		$	—	$	—		$	9,182,081		$	—		$	—	$	18,599,892		$	9,182,081
Total	$	—	$	9,417,811	$	—		$	—	$	—		$	9,182,081		$	—		$	—	$	18,599,892		$	9,182,081
Emerging Markets Fund
Common Stocks
China	$	686,465	$	—	$	—		$	—	$	—		$	(4,153	)	$	—		$	—	$	682,312		$	(4,153	)
South Korea		—		1,726,223		—			—		—			322,036			—			—		2,048,259			322,036
Total	$	686,465	$	1,726,223	$	—		$	—	$	—		$	317,883		$	—		$	—	$	2,730,571		$	317,883
Investment Funds
India	$	5,842,567	$	—	$	(3,199,252	)	$	—	$	(6,989,828	)	$	4,445,249		$	—		$	—	$	98,736		$	(15,285	)
Russia		2,083,527		—		(20,149	)		—		—			470,811			—			—		2,534,189			470,811
Total Investment Funds	$	7,926,094	$	—	$	(3,219,401	)	$	—	$	(6,989,828	)	$	4,916,060		$	—		$	—	$	2,632,925		$	455,526
Rights/Warrants
India	$	23,428	$	—	$	0		$	—	$	—		$	(23,428	)	$	—		$	—	$	—		$	—
Total	$	8,635,987	$	1,726,223	$	(3,219,401	)	$	—	$	(6,989,828	)	$	5,210,515		$	—		$	—	$	5,363,496		$	773,409
International Equity Fund
Common Stocks
Malta	$	248,929	$	—	$	—		$	—	$	—		$	(248,929	)	$	—		$	—	$	0	§	$	(248,929	)
Total	$	248,929	$	—	$	—		$	—	$	—		$	(248,929	)	$	—		$	—	$	0	§	$	(248,929	)
Rights/Warrants
Australia	$	—	$	0	$	—		$	—	$	—		$	13,678		$	—		$	—	$	13,678		$	13,678
Total	$	—	$	0	$	—		$	—	$	—		$	13,678		$	—		$	—	$	13,678		$	13,678
International Large/Mid Cap Equity Fund
Common Stocks
Malta	$	249,150	$	—	$	—		$	—	$	—		$	(249,150	)	$	—		$	—	$	0	§	$	(249,150	)
Total	$	249,150	$	—	$	—		$	—	$	—		$	(249,150	)	$	—		$	—	$	0	§	$	(249,150	)
Resources Fund
Common Stocks
Singapore	$	—	$	—	$	—		$	—	$	—		$	—		$	537,839	‡	$	—	$	537,839		$	—
Total	$	—	$	—	$	—		$	—	$	—		$	—		$	537,839		$	—	$	537,839		$	—

	Balances as of February 28, 2017		Purchases		Sales		Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)		Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3†		Transfer out of Level 3†		Balances as of November 30, 2017			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2017
Tax-Managed International Equities Fund
Common Stocks
Malta	$	26,756	$	—	$	—	$	—	$	—	$	(26,756	)	$	—	$	—	$	0	§	$	(26,756	)
Total	$	26,756	$	—	$	—	$	—	$	—	$	(26,756	)	$	—	$	—	$	0	§	$	(26,756	)
Rights/Warrants
Brazil	$	990	$	—	$	0	$	—	$	—	$	(990	)	$	—	$	—	$	—		$	—
Total	$	27,746	$	—	$	0	$	—	$	—	$	(27,746	)	$	—	$	—	$	0	§	$	(26,756	)

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

‡ Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs.

§ Represents the interest in securities that were determined to have a value of zero at November 30, 2017.

The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Funds’ exposure, (based on each Fund’s net assets) as of November 30, 2017 were as follows:

Fund Name	Level 3 securities and derivatives
Climate Change Fund		< 1%
Emerging Domestic Opportunities Fund		< 1%
Emerging Markets Fund		< 1%
Foreign Small Companies Fund		< 1%
International Equity Fund		0%	§
International Large/Mid Cap Equity Fund		0%	§
International Small Companies Fund		0%	§
Quality Fund		—
Resources Fund		< 1%
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 November 30, 2017.

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 from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Other matters

Emerging Markets Fund (“EMF”)

Indian regulators alleged in 2002 that EMF violated some conditions under which it was granted permission to operate in India and have restricted some of EMF’s locally held assets pending resolution of the dispute. Although these locally held assets remain the property of EMF, a portion of the assets are not permitted to be withdrawn from EMF’s local custodial account located in India. The amount of restricted assets is small relative to the size of EMF, representing approximately 0.08% of the Fund’s total net assets as of November 30, 2017. 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.

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.

Climate Change Fund

Emerging Domestic Opportunities Fund

Emerging Markets Fund

Foreign Small Companies Fund

International Equity Fund

International Large/Mid Cap Equity Fund

International Small Companies Fund

Quality Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities Fund

U.S. Equity Allocation Fund

Commodities Risk

X

X

Counterparty Risk

X

X

X

X

X

X

X

X

X

X

X

X

Credit Risk

X

X

Currency Risk

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

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

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 – Equities

X

X

X

X

X

X

X

X

X

X

X

X

Market Risk – Fixed Income

X

X

Merger Arbitrage Risk

X

X

Non-Diversified Funds

X

X

X

X

X

X

X

Non-U.S. Investment Risk

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 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.

• 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 be forced to 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 in which financial services firms are exposed (as they were in 2008) 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 that 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). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of collateral held by the Fund (if any).

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 possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or 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, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (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 a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments are also subject to illiquidity risk. See “Illiquidity Risk.”

All fixed income investments 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 investment. 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 and market price of a fixed income investment are reflected in its credit ratings, and a Fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment.

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 market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.

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 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 investment 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 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 investments (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 investments have speculative characteristics, often are less liquid than higher quality investments, 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 investments generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality investments, 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 does not make any interest or other payments and a Fund incurs additional expenses in seeking recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment 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. 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 a Fund may have to purchase U.S. dollars at an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are 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, such as securities, commodities or currencies, reference rates, such as interest rates, currency exchange rates, or inflation 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.

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, or the position transferred, 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 exposure arises.

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, under-collateralization 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 cost 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.

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 will sometimes be unclear. In addition, the Securities and Exchange Commission has proposed a rule under the Investment Company Act of 1940, as amended 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) have adopted similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these requirements are new and evolving (and some of the rules are not yet final), their impact on the Funds 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 the margin required at the outset of a transaction. Clearing houses also have broad rights to increase the margin required 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 the documentation for typical bilateral derivatives. 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 be required to 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. New variation margin requirements became effective in March 2017 and new initial margin requirements will become effective 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 cost 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 historically posted for bilateral derivatives. The cost of derivatives transactions is expected to increase further as clearing members raise their fees to cover the cost of additional capital requirements and other regulatory changes applicable to the clearing members. These rules and regulations are new and evolving, and, therefore, 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 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 subject to U.S. income taxation. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to be taxable 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 typically pays borrowing fees to a broker and is 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 those issuers’ 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”.

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 (particularly in the short term) 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 take extended periods of time to complete, and companies cannot ensure that the market will be favorable at the time the project begins production. Companies in the natural resources sector also may be subject to special risks associated with natural or man-made disasters. In addition, companies in 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, companies in the natural resources sector can be significantly affected by import controls, worldwide competition and cartels, and changes in consumer sentiment and spending, and can be subject to liability for, among other things, environmental damage, depletion of resources, and mandated expenditures for safety and pollution control. Resources Fund’s concentration in the securities of natural resource companies exposes it to the price movements of natural resources to a greater extent than if it were more broadly diversified. Because Resources Fund invests primarily in the natural resources sector, it runs the risk of performing poorly during an economic downturn or a decline in demand for natural resources.

Because Climate Change Fund focuses its investments in securities of companies involved in climate change-related industries, it will be more susceptible to events or factors affecting these companies, and the market prices of its portfolio securities may be more volatile than those of mutual funds that are more diversified. Climate Change Fund is particularly exposed to such factors as changes in global and regional climates, environmental protection regulatory actions, changes in government standards and subsidy levels, changes in taxation and other domestic and international political, regulatory and economic developments (such as potential cut-backs on funding for the Environmental Protection Agency and other policies and actions by the Trump administration). Companies involved in alternative fuels also may be adversely affected by the increased use of, or decreases in prices for, oil or other fossil fuels. In addition, scientific developments, such as breakthroughs in the remediation of global warming or changes in governmental policies relating to the effects of pollution may affect investments in pollution control, which could in turn affect these companies. Such companies also may be significantly affected by the level or pace of technological change in industries focusing on energy, pollution control and mitigation of global warming. Because society’s focus on climate change issues is relatively new, the emphasis and direction of governmental policies is subject to significant change, and rapid technological change could render even new approaches and products obsolete. Some companies involved in climate change-related industries are in the early stages of operation and have limited operating histories and smaller market capitalizations on average than companies in other sectors. As a result of these and other factors, the market prices of securities of companies involved in climate change-related industries tend to be considerably more volatile than those of companies in more established sectors and industries.

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 also are indirectly exposed to all of the risks to which the Underlying Funds are exposed.

Absent reimbursement, a Fund bears the fees and expenses of an Underlying Fund (including purchase premiums and redemption fees, if any) in which it invests, and 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.”

At any particular time, one Underlying Fund may be purchasing securities of an issuer whose securities are being sold by another Underlying Fund, resulting in a Fund that holds each Underlying Fund indirectly incurring the costs associated with the two transactions without changing its exposure to those securities.

Investments in ETFs involve the risk that an ETF’s performance may not track the performance of the index it is designed to track. In addition, ETFs often use derivatives to track the performance of an 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, delays 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. The degree to which a Fund’s securities are illiquid may affect the likelihood of its paying redemption proceeds in-kind.

In recent years, the credit markets have experienced periods characterized by a significant lack of liquidity, and they may experience similar periods in the future. A lack of liquidity could require a Fund to sell securities to satisfy collateral posting requirements and meet redemptions, which could, in turn, create downward price pressure on the securities being sold.

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. That market may not be liquid when a Fund seeks to close out an option position, and the hours of trading for options on an exchange may not conform to the hours during which the underlying securities 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 those 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 sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the outstanding 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 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. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order that is not ultimately received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. Additionally, redemptions and purchases of shares by a large shareholder or group of shareholders potentially limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.

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 traditional borrowing (including to meet redemption requests), 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. Similarly, a Fund’s portfolio also will be leveraged if it exercises its right to delay payment on a redemption and can result in losses if the value of the Fund’s assets changes between the time a redemption request is received or deemed to be received by a Fund (which in some cases may be the business day prior to actual receipt of the transaction activity by the Fund) and the time at which the Fund liquidates assets to meet redemption requests. Such a change in the value of a Fund’s assets is more likely in the case of Funds managed from GMO’s non-U.S. offices for which the time period between the NAV determination and corresponding liquidation of assets could be longer due to time zone differences and market schedules. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses.

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.

Some Funds are permitted to purchase securities on margin or to sell securities short, either of which creates leverage. To the extent the market prices of securities pledged to counterparties to secure a Fund’s margin account or short sale decline, the Fund may be required to deposit additional funds with the counterparty or have the pledged securities liquidated to compensate for the decline.

• 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 may 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 uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market events. In addition, they use assumptions that can limit their effectiveness, and they rely on data that is subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. The Funds also run the risk that GMO’s assessment of an investment (including a company’s fundamental fair (or intrinsic) value) is wrong.

GMO relies on quantitative models in making investment decisions. 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 includes 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 risks 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 a risk of loss resulting from 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 to technological malfunctions that may have effects 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, detect and respond to 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 a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or issue trading halts on specific securities or the entire market, which may result in the Funds being unable, among other things, to buy or sell securities or accurately price their investments. The Funds cannot directly control cyber security plans and systems put in place by their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges.

• 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 or other fraudulent trading practices, which could disrupt their orderly functioning or reduce the prices of securities traded on them, including securities held by the Funds. Fraud and other deceptive practices committed by a company whose securities are held by a Fund undermine GMO’s due diligence efforts and, when discovered, will likely cause a steep decline in the market price of those securities and thus negatively affect the value of the Fund’s investments. In addition, when

discovered, financial fraud may contribute to overall market volatility, which can negatively affect a Fund’s investment program as well as 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 if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. In June 2016, the United Kingdom approved a referendum to leave the European Union (commonly known as “Brexit”). A significant degree of uncertainty exists about the time frame for Brexit and whether it will have a negative impact on the United Kingdom, the European Union and/or the broader global economy.

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 price 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 issuer’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 what GMO believes is less than its fundamental fair (or intrinsic) value, 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.

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 the markets associated with those indices rise sharply because of the Fund’s lack of exposure to the upside of those markets.

Fixed Income — Funds that invest in fixed income investments (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 investments 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 investment. When interest rates rise, these investments 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 investments (commonly referred to as “junk bonds”) may be particularly volatile. Often below investment grade investments are subject to greater sensitivity to interest rate and economic changes than higher rated investments 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 investments 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 investments 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 the market price of a fixed income investment 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 its fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate investments, 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 investments have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate investments when interest rates rise but outperform them when interest rates decline. Fixed income investments 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, markets for fixed income investments 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 portfolio assets when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent years, central banks and governmental financial regulators, including the U.S. Federal Reserve, have kept interest rates historically low by purchasing bonds. Steps to curtail or “taper” such activities (such as recent indications from the U.S. Federal Reserve of its intent to do so) 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 engage in transactions in which the Fund purchases securities at prices below the value of the consideration GMO expects the Fund to receive 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 merger arbitrage and the merger later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund is likely to decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. A proposed merger can fail to be consummated for many reasons, including regulatory and antitrust restrictions, industry weakness, company specific events, failed financings, and general market declines.

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 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 may sell securities short when GMO expects the Fund to receive the securities upon consummation of a transaction; if the Fund does not actually receive the securities, the Fund will have an unintended “naked” short position and 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. A Fund’s merger arbitrage transactions could result in tax inefficiencies, including greater distributions of net investment income and net realized capital gains than otherwise would be the case.

• 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:

• Climate Change Fund

• Emerging Markets Fund

• Emerging Domestic Opportunities 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. Many non-U.S. securities markets include securities of only a small number of companies in a small number of industries. As a result, the market prices of securities traded on those markets often 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 countries limit a Fund’s ability to profit from short-term trading (as defined in that country).

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 benefit. A Fund’s pursuit of such refunds may subject a Fund to various administrative and/or judicial proceedings. 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 it is entitled to one. The outcome of a Fund’s efforts to obtain a refund is inherently unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until GMO is confident that the refund will be received. In some cases, the amount of a refund could be material to a Fund’s net asset value. Absent a determination that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value. See “Taxes, Non-U.S. Taxes” in the GMO Trust Statement of Additional Information for additional information. For information on possible special Singapore tax consequences of an investment in the Funds, see the Funds’ Prospectus and Statement of Additional Information.

Investing in non-U.S. securities also exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, government involvement in the economy or in the affairs of specific companies or industries (including 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. Fluctuations in foreign currency exchange rates also affect the market prices of a Fund’s non-U.S. securities (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 thus limits the Fund’s investment opportunities. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license and thereby limit the Fund’s 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 wholly or partially state-owned enterprises); less governmental supervision and regulation of securities markets and participants in those markets; controls on 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 depend predominantly on only a few industries or revenues from particular commodities.

• SMALL COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have inexperienced managers or depend on a smaller group of key employees than 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 response to adverse market, economic, political or other conditions. The Funds normally do not take temporary defensive positions. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

Derivative financial instruments

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

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

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

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

For Funds that held derivatives during the period ended November 30, 2017, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use

Climate Change Fund

Emerging Domestic Opportunities Fund

Emerging Markets Fund

Foreign Small Companies Fund

International Equity Fund

International Large/Mid Cap Equity Fund

International Small Companies Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities Fund

U.S. Equity Allocation Fund

Forward currency contracts

Adjust exposure to foreign currencies

X

X

Hedge foreign currency exposure in the underlying funds’ investments relative to the U.S. dollar

X

Futures contracts

Adjust exposure to certain securities markets

X

X

X

X

X

X

X

X

Maintain the diversity and liquidity of the portfolio

X

X

X

X

X

X

Options (Written)

Substitute for direct equity investment

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

X

X

X

X

X

X

Forward currency contracts

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

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

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

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

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

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

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

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

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

Rights and warrants

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

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

The following is a summary of the valuations of derivative instruments categorized by risk exposure as of November 30, 2017:

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
Emerging Domestic Opportunities Fund
Asset Derivatives
Investments, at value (fully funded total return swaps)	$	—	$	21,667,539	$	—	$	—	$	—	$	21,667,539
Investments, at value (rights and/or warrants)		—		5,367,948		—		—		—		5,367,948
Unrealized Appreciation on Forward Currency Contracts		—		—		438,565		—		—		438,565
Unrealized Appreciation on Futures Contracts		—		5,574,705		—		—		—		5,574,705
Total	$	—	$	32,610,192	$	438,565	$	—	$	—	$	33,048,757
Emerging Markets Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	407,259	$	—	$	—	$	—	$	407,259
Unrealized Appreciation on Futures Contracts		—		3,948,001		—		—		—		3,948,001
Investments, at value (swap contracts)		—		419,938		—		—		—		419,938
Total	$	—	$	4,775,198	$	—	$	—	$	—	$	4,775,198
Foreign Small Companies Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts	$	—	$	5,554	$	—	$	—	$	—	$	5,554
Total	$	—	$	5,554	$	—	$	—	$	—	$	5,554
International Equity Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	13,678	$	—	$	—	$	—	$	13,678
Unrealized Appreciation on Futures Contracts		—		190,492		—		—		—		190,492
Total	$	—	$	204,170	$	—	$	—	$	—	$	204,170

	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
International Large/Mid Cap Equity Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts	$	—	$	23,035		$	—	$	—	$	—	$	23,035
Total	$	—	$	23,035		$	—	$	—	$	—	$	23,035
Risk Premium Fund
Liability Derivatives
Written Options, at value	$	—	$	(684,930	)	$	—	$	—	$	—	$	(684,930	)
Total	$	—	$	(684,930	)	$	—	$	—	$	—	$	(684,930	)
Tax-Managed International Equities Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	975		$	—	$	—	$	—	$	975
Unrealized Appreciation on Futures Contracts		—		19,018			—		—		—		19,018
Total	$	—	$	19,993		$	—	$	—	$	—	$	19,993

Subsequent events

Subsequent to November 30, 2017 GMO Tax-Managed International Equities Fund received redemption requests in the amount of $43,089,120.

GMO was notified on January 26, 2018, that a shareholder owning over 80% of GMO Foreign Small Companies Fund’s net assets anticipates redeeming its shares in full within the next 60 days.

In December 2017, the Board of Trustees has approved the termination of GMO International Small Companies Fund. The Fund is expected to liquidate on or about January 31, 2018.

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

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 90.5%
		Australia — 0.5%
	9,534	AusNet Services		13,566
	19,606	Australia & New Zealand Banking Group Ltd		425,738
	2,030	Caltex Australia Ltd		52,581
	340	CIMIC Group Ltd		13,227
	82	Commonwealth Bank of Australia		4,972
	1,954	Crown Resorts Ltd		18,321
	1,643	Fortescue Metals Group Ltd		5,742
	1,712	Incitec Pivot Ltd		5,194
	5,449	LendLease Group		65,968
	11,728	Mineral Resources Ltd		174,509
	7,229	Mirvac Group (REIT)		13,436
	11,693	National Australia Bank Ltd		262,699
	2,901	Tabcorp Holdings Ltd		10,695
	5,075	Tatts Group Ltd		16,669
	1,408	Vocus Group Ltd		3,368
		Total Australia		1,086,685
		Austria — 0.2%
	6,297	OMV AG		392,085
	951	Zumtobel Group AG		12,040
		Total Austria		404,125
		Belgium — 0.0%
	3,708	AGFA-Gevaert NV *		16,884
	166	Proximus SADP		5,693
	354	Umicore SA		16,529
		Total Belgium		39,106
		Brazil — 0.8%
	3,200	AES Tiete Energia SA		12,809
	36,145	Banco Bradesco SA		335,054
	23,400	Banco do Brasil SA		213,688
	19,500	Banco Santander Brasil SA		172,120
	650	BR Malls Participacoes SA		2,398
	47,400	Centrais Eletricas Brasileiras SA *		270,649
	32,300	Eletropaulo Metropolitana Eletricidade de Sao Paulo SA		158,084
	2,654	Sul America SA		14,505
	1,500	Suzano Papel e Celulose SA *		8,024
	13,200	TIM Participacoes SA		47,547
	65,782	Vale SA		706,145
		Total Brazil		1,941,023
		Chile — 0.0%
	1,237	Cia Cervecerias Unidas SA		15,765
	4,777	Latam Airlines Group SA		59,794
		Total Chile		75,559
		China — 8.5%
	344,000	Agile Group Holdings Ltd		498,972
	3,479,000	Agricultural Bank of China Ltd – Class H		1,625,548

Shares		Description	Value ($)
		China — continued
	69,000	Anhui Conch Cement Co Ltd – Class H		332,329
	1,432,000	Bank of China Ltd – Class H		699,820
	596,000	Bank of Communications Co Ltd – Class H		443,283
	10,000	Beijing Capital International Airport Co Ltd – Class H		14,809
	13,500	Beijing Enterprises Holdings Ltd		78,046
	500	Changyou.com Ltd ADR *		18,240
	126,000	China Cinda Asset Management Co Ltd – Class H		46,985
	533,000	China CITIC Bank Corp Ltd – Class H		345,663
	31,000	China Coal Energy Co Ltd – Class H		14,062
	396,000	China Communications Construction Co Ltd – Class H		442,723
	338,000	China Communications Services Corp Ltd – Class H		215,267
	4,500	China Conch Venture Holdings Ltd		9,936
	1,394,000	China Construction Bank Corp – Class H		1,222,874
	4,000	China Everbright Ltd		8,953
	86,000	China Evergrande Group *		285,430
	31,000	China Huarong Asset Management Co Ltd – Class H		14,270
	2,000	China Merchants Port Holdings Co Ltd		5,187
	32,500	China Mobile Ltd		330,614
	696,000	China National Building Material Co Ltd – Class H		642,546
	155,000	China National Materials Co Ltd – Class H		119,670
	11,000	China Pacific Insurance Group Co Ltd – Class H		52,861
	1,006,000	China Petroleum & Chemical Corp – Class H		722,082
	534,500	China Railway Construction Corp Ltd – Class H		634,582
	175,000	China Railway Group Ltd – Class H		131,177
	267,000	China SCE Property Holdings Ltd		116,849
	392,500	China Shenhua Energy Co Ltd – Class H		970,535
	2,968,000	China Telecom Corp Ltd – Class H		1,437,857
	900	China Yuchai International Ltd		23,625
	216,000	Chongqing Rural Commercial Bank Co Ltd – Class H		153,669
	276,000	Country Garden Holdings Co Ltd		437,399
	954,000	Dongfeng Motor Group Co Ltd – Class H		1,204,654
	53,000	Fosun International Ltd		110,221
	2,400	Fuyao Glass Industry Group Co Ltd – Class H		9,233
	3,000	GF Securities Co Ltd – Class H		6,034
	6,000	Greentown China Holdings Ltd		6,891
	241,200	Guangzhou R&F Properties Co Ltd – Class H		518,117
	257,000	Haier Electronics Group Co Ltd *		693,324
	30,000	Haitian International Holdings Ltd		88,018
	76,000	Harbin Electric Co Ltd – Class H		32,149
	368,000	HengTen Networks Group Ltd *		14,476
	1,494,000	Industrial & Commercial Bank of China Ltd – Class H		1,168,547
	46,000	Jiangsu Expressway Co Ltd – Class H		63,162
	204,000	Jiangxi Copper Co Ltd – Class H		319,355
	67,500	Kingboard Chemical Holdings Ltd		388,434
	28,000	Kunlun Energy Co Ltd		24,320
	107,500	KWG Property Holding Ltd		114,220
	145,000	Longfor Properties Co Ltd		341,873

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		China — continued
	450,000	Lonking Holdings Ltd		160,320
	109,000	People’s Insurance Co Group of China Ltd (The) – Class H		56,435
	23,000	Road King Infrastructure Ltd		37,151
	108,000	Shandong Weigao Group Medical Polymer Co Ltd – Class H		74,182
	66,000	Shanghai Industrial Holdings Ltd		186,955
	229,000	Shimao Property Holdings Ltd		448,820
	51,000	Sihuan Pharmaceutical Holdings Group Ltd		18,021
	254,500	Sino-Ocean Group Holding Ltd		159,573
	33,000	Sinopec Engineering Group Co Ltd – Class H		27,506
	98,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		58,233
	34,000	Sinotrans Ltd – Class H		17,153
	57,000	Sun Art Retail Group Ltd		55,844
	10,000	Tingyi Cayman Islands Holding Corp		15,702
	4,000	Tsingtao Brewery Co Ltd – Class H		16,247
	372,000	Weichai Power Co Ltd – Class H		416,029
	509,000	Yuzhou Properties Co Ltd		251,115
	150,000	Zhejiang Expressway Co Ltd – Class H		180,305
	34,000	Zijin Mining Group Co Ltd – Class H		11,793
	55,000	ZTE Corp – Class H *		192,049
		Total China		19,582,324
		Colombia — 0.1%
	76,893	Ecopetrol SA		44,609
	1,800	Ecopetrol SA Sponsored ADR		20,880
	3,655	Grupo de Inversiones Suramericana SA		47,255
		Total Colombia		112,744
		Czech Republic — 0.1%
	9,904	CEZ AS		226,375
	4,446	Moneta Money Bank AS		16,025
		Total Czech Republic		242,400
		Denmark — 0.0%
	94	Schouw & Co AB		8,690
	604	Tryg A/S		14,687
		Total Denmark		23,377
		Egypt — 0.0%
	15,874	Talaat Moustafa Group		8,893
		Finland — 0.1%
	338	Elisa Oyj		13,745
	271	Kesko Oyj – B Shares		13,721
	336	Metso Oyj		11,846
	85	Neste Oyj		5,275
	518	Orion Oyj – Class B		19,134
	2,120	UPM-Kymmene Oyj		63,795
		Total Finland		127,516

Shares		Description	Value ($)
		France — 2.0%
	328	Accor SA		16,428
	21,037	AXA SA		634,735
	6,268	BNP Paribas SA		474,568
	2,536	Casino Guichard Perrachon SA		154,234
	1,990	Cie de Saint-Gobain		113,422
	3,420	CNP Assurances		76,826
	41,149	Credit Agricole SA		693,321
	222	Eurazeo SA		19,528
	169	Fonciere Des Regions (REIT)		18,066
	189	ICADE (REIT)		17,549
	192	Imerys SA		17,590
	2,857	LVMH Moet Hennessy Louis Vuitton SE		832,277
	24,620	Natixis SA		199,587
	424	Neopost SA		14,113
	6,900	Peugeot SA		142,577
	1,069	Rallye SA		19,320
	2,296	Renault SA		233,129
	942	Rexel SA		17,357
	2,306	Sanofi		210,352
	1,391	Schneider Electric SE *		119,543
	2,884	SCOR SE		117,461
	10,507	Societe Generale SA		528,727
	411	Suez		7,572
	205	TOTAL SA		11,588
	75	Wendel SA		12,619
		Total France		4,702,489
		Germany — 2.1%
	2,270	Allianz SE (Registered)		536,116
	231	Axel Springer SE		18,249
	2,267	BASF SE		254,206
	7,599	Bayerische Motoren Werke AG		767,159
	11,661	Daimler AG (Registered Shares)		966,056
	18,712	Deutsche Lufthansa AG (Registered)		643,851
	134	Hannover Rueck SE		17,637
	207	RTL Group SA		16,526
	18,651	RWE AG *		427,527
	9,502	SAP AG		1,074,222
	770	Suedzucker AG		15,971
	688	Volkswagen AG		142,773
		Total Germany		4,880,293
		Greece — 0.0%
	1,629	FF Group *		30,181
	1,498	OPAP SA		18,283
		Total Greece		48,464
		Hong Kong — 0.3%
	59,000	BOC Hong Kong Holdings Ltd		300,258
	6,000	Cathay Pacific Airways Ltd *		9,218
	12,000	First Pacific Co Ltd		8,976

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	14,000	HK Electric Investments & HK Electric Investments Ltd – Class SS		12,872
	24,522	I-CABLE Communications Ltd *		702
	3,500	Kerry Properties Ltd		15,496
	32,000	Li & Fung Ltd		14,136
	3,000	MTR Corp Ltd		17,687
	8,000	NWS Holdings Ltd		14,585
	23,000	PCCW Ltd		13,693
	1,500	Power Assets Holdings Ltd		12,827
	141,000	SJM Holdings Ltd		113,754
	13,000	Wharf Holdings Ltd (The)		41,125
	13,000	Wharf Real Estate Investment Co Ltd *		78,564
	9,000	Wheelock & Co Ltd		61,938
	3,000	Yue Yuen Industrial Holdings Ltd		10,734
		Total Hong Kong		726,565
		Hungary — 0.0%
	47,419	Magyar Telekom Telecommunications Plc		84,854
	1,102	MOL Hungarian Oil & Gas Plc		12,764
		Total Hungary		97,618
		India — 3.4%
	10,967	Adani Enterprises Ltd		25,018
	4,296	Aditya Birla Capital Ltd *		12,919
	3,050	Ambuja Cements Ltd		12,467
	67,284	Apollo Tyres Ltd		262,925
	1,671	Balkrishna Industries Ltd		55,899
	35,866	Bharat Petroleum Corp Ltd		279,846
	15,269	Canara Bank		88,723
	637	Container Corp Of India Ltd		12,972
	8,815	Escorts Ltd		98,458
	5,764	Exide Industries Ltd		18,429
	22,474	GAIL India Ltd		163,041
	359	Grasim Industries Ltd		6,494
	13,817	HCL Technologies Ltd		181,422
	1,031	Hero MotoCorp Ltd		58,385
	96,322	Hindalco Industries Ltd		359,243
	50,221	Hindustan Petroleum Corp Ltd		325,501
	6,401	Idea Cellular Ltd *		9,444
	14,749	IDFC Bank Ltd		12,536
	90,300	IFCI Ltd *		34,710
	671	Indiabulls Housing Finance Ltd		12,541
	58,072	Indian Oil Corp Ltd		354,470
	428,463	Jaiprakash Associates Ltd *		121,345
	60,305	Karnataka Bank Ltd (The)		145,139
	18,000	Larsen & Toubro Ltd		341,228
	873	Mahindra & Mahindra Financial Services Ltd		5,985
	7,538	Mahindra & Mahindra Ltd		164,819
	255,473	Oil & Natural Gas Corp Ltd		718,081
	23,040	Oriental Bank of Commerce *		45,404
	287,742	Power Finance Corp Ltd		540,432
	35,505	PTC India Ltd		64,097

Shares		Description	Value ($)
		India — continued
	2,862	Reliance Capital Ltd		19,211
	2,862	Reliance Home Finance Ltd *		3,551
	57,373	Reliance Industries Ltd		820,603
	306,731	Rural Electrification Corp Ltd		733,402
	418	Siemens Ltd		7,807
	3,682	State Bank of India		18,375
	58,271	Syndicate Bank *		84,181
	1,362	Tata Motors Ltd *		8,574
	119,190	Tata Steel Ltd		1,283,437
	49,792	Union Bank of India *		126,650
	59,791	Vedanta Ltd		273,950
		Total India		7,911,714
		Indonesia — 0.2%
	546,500	Adaro Energy Tbk PT		68,859
	315,500	Astra International Tbk PT		186,424
	52,300	Bank Danamon Indonesia Tbk PT		19,460
	8,700	Bank Negara Indonesia Persero Tbk PT		5,224
	2,500	Gudang Garam Tbk PT		14,151
	31,800	Hanjaya Mandala Sampoerna Tbk PT		9,636
	23,400	Indo Tambangraya Megah Tbk PT		36,646
	68,400	Indofood Sukses Makmur Tbk PT		37,073
	83,600	Media Nusantara Citra Tbk PT		8,058
	59,500	Perusahaan Gas Negara Persero Tbk		7,501
	20,300	Semen Indonesia Persero Tbk PT		14,106
	40,500	United Tractors Tbk PT		100,388
	62,600	XL Axiata Tbk PT *		14,256
		Total Indonesia		521,782
		Ireland — 0.0%
	820	Bank of Ireland Group Plc *		6,387
		Israel — 0.0%
	80	Azrieli Group Ltd		4,290
	2,139	Bank Leumi Le-Israel BM		11,880
	10,565	Bezeq The Israeli Telecommunication Corp Ltd		15,843
	2,155	Cellcom Israel Ltd *		21,449
	2,729	Israel Chemicals Ltd		11,119
	400	SodaStream International Ltd *		28,152
	687	Teva Pharmaceutical Industries Ltd		10,168
	400	Teva Pharmaceutical Industries Ltd Sponsored ADR		5,928
		Total Israel		108,829
		Italy — 0.5%
	6,362	Assicurazioni Generali SPA		116,468
	55,197	Enel SPA		358,615
	7,099	EXOR NV		429,952
	2,420	Fiat Chrysler Automobiles NV *		41,559
	12,421	Fincantieri SPA *		17,707
	4,986	Intesa Sanpaolo SPA – RSP		15,941
	3,244	Saipem SPA *		13,028

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	1,642	Societa Cattolica di Assicurazioni SC		17,818
	46,159	Telecom Italia SPA *		38,623
	211,876	Telecom Italia SPA-RSP		143,502
	11,586	Unipol Gruppo SPA		53,151
		Total Italy		1,246,364
		Japan — 3.7%
	600	AEON Financial Service Co Ltd		13,360
	400	Aeon Mall Co Ltd		7,335
	5,100	Aisin Seiki Co Ltd		274,453
	400	Alfresa Holdings Corp		8,598
	3,900	Asahi Glass Co Ltd		163,299
	36,000	Asahi Kasei Corp		451,914
	200	Benesse Holdings Inc		7,078
	1,800	Bridgestone Corp		82,260
	13,800	Canon Inc		529,307
	700	Chubu Electric Power Co Inc		8,874
	900	Chugoku Bank Ltd (The)		11,787
	1,500	Chugoku Electric Power Co Inc (The)		16,578
	4,400	Daiichi Sankyo Co Ltd		106,045
	3,100	Daiwa House Industry Co Ltd		113,856
	7	Daiwa House REIT Investment Corp		16,763
	3,100	DIC Corp		116,336
	4,000	Fukuoka Financial Group Inc		20,810
	2,300	Gree Inc		15,038
	2,100	Hachijuni Bank Ltd (The)		12,049
	400	Hakuhodo DY Holdings Inc		5,388
	100	Hirose Electric Co Ltd		14,956
	1,500	Hiroshima Bank Ltd (The)		11,871
	100	Hisamitsu Pharmaceutical Co Inc		5,639
	4,100	Hitachi Chemical Co Ltd		108,455
	75,000	Hitachi Ltd		561,951
	900	Hokuriku Electric Power Co		7,941
	1,200	Ibiden Co Ltd		19,244
	400	IHI Corp		12,479
	400	Iida Group Holdings Co Ltd		7,395
	1,800	Isetan Mitsukoshi Holdings Ltd		20,926
	32,400	ITOCHU Corp		563,230
	1,300	J Front Retailing Co Ltd		22,047
	4	Japan Prime Realty Investment Corp (REIT)		13,434
	1,100	JGC Corp		19,193
	500	Kamigumi Co Ltd		11,028
	1,000	Kaneka Corp		8,864
	1,000	Kansai Electric Power Co Inc (The)		13,252
	500	Kitz Corp		3,702
	500	Kurita Water Industries Ltd		15,723
	500	Kyowa Hakko Kirin Co Ltd		9,515
	900	Kyushu Financial Group Inc		5,349
	200	Lawson Inc		13,798
	23,300	Marubeni Corp		155,534
	1,100	Marui Group Co Ltd		19,513
	300	Maruichi Steel Tube Ltd		8,486

Shares		Description	Value ($)
		Japan — continued
	4,680	Mebuki Financial Group Inc		19,752
	900	Medipal Holdings Corp		17,517
	62,700	Mitsubishi Chemical Holdings Corp		681,792
	2,500	Mitsubishi Corp		62,877
	6,300	Mitsubishi Electric Corp		104,671
	2,300	Mitsubishi Gas Chemical Co Inc		64,574
	11,800	Mitsubishi Tanabe Pharma Corp		255,128
	700	Mitsubishi UFJ Lease & Finance Co Ltd		4,011
	19,200	Mitsui & Co Ltd		292,850
	700	Mitsui Chemicals Inc		22,725
	2,200	Mitsui Mining & Smelting Co Ltd		125,527
	600	Mitsui OSK Lines Ltd		19,439
	200	Mixi Inc		9,316
	100	NEC Corp		2,677
	2,300	NET One Systems Co Ltd		33,082
	1,500	Nichiha Corp		58,516
	800	Nikon Corp		15,909
	15,400	Nippon Telegraph & Telephone Corp		803,941
	500	Nisshin Seifun Group Inc		9,790
	500	NOK Corp		12,238
	700	Nomura Real Estate Holdings Inc		16,228
	440	Nomura Research Institute Ltd		19,992
	2,000	Oji Holdings Corp		12,233
	600	Rohm Co Ltd		61,836
	200	Sankyo Co Ltd		6,461
	1,100	SBI Holdings Inc		19,695
	1,300	Sega Sammy Holdings Inc		15,739
	7,500	Seiko Epson Corp		182,646
	6,800	Sekisui Chemical Co Ltd		131,958
	1,000	Shinsei Bank Ltd		16,073
	4,500	Showa Denko KK		168,240
	1,000	Showa Shell Sekiyu KK		12,823
	900	Sony Financial Holdings Inc		15,307
	50,000	Sumitomo Chemical Co Ltd		350,651
	9,600	Sumitomo Corp		149,744
	5,800	Sumitomo Electric Industries Ltd		101,731
	2,300	Sumitomo Heavy Industries Ltd		94,636
	250	Suzuken Co Ltd		9,907
	900	T&D Holdings Inc		14,893
	100	Taisho Pharmaceutical Holdings Co Ltd		7,948
	200	Tocalo Co Ltd		8,526
	1,200	Tohoku Electric Power Co Inc		15,874
	12,000	Tokyo Electric Power Co Holdings Inc *		48,360
	1,800	Tokyo Electron Ltd		334,888
	2,700	Tokyu Fudosan Holdings Corp		19,558
	2,000	Toppan Printing Co Ltd		18,677
	2,300	Tosoh Corp		51,141
	100	Toyoda Gosei Co Ltd		2,508
	5,400	Toyota Tsusho Corp		204,229
	200	Trend Micro Inc		11,353
	600	USS Co Ltd		12,697
	3,100	Yamada Denki Co Ltd		16,866

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	1,000	Yamaguchi Financial Group Inc		11,989
	2,100	Yamaha Motor Co Ltd		66,049
	100	Yokohama Rubber Co Ltd (The)		2,254
		Total Japan		8,484,695
		Malaysia — 0.3%
	60,400	AirAsia Berhad		46,403
	16,800	Alliance Financial Group Berhad		15,145
	3,300	AMMB Holdings Berhad		3,352
	4,000	Berjaya Sports Toto Berhad		2,269
	8,744	CIMB Group Holdings Berhad		12,937
	4,000	Gamuda Berhad		4,788
	55,800	Genting Berhad		120,300
	4,600	Hong Leong Bank Berhad		17,059
	3,800	Hong Leong Financial Group Berhad		14,920
	20,000	IJM Corp Berhad		15,110
	32,375	IOI Properties Group Berhad		14,955
	161,900	Petronas Chemicals Group Berhad		292,908
	1,200	Petronas Dagangan Berhad		7,108
	13,341	RHB Bank Berhad		15,971
	12,300	RHB Capital Berhad (a)		—
	7,800	UMW Holdings Berhad *		10,045
	8,043	UMW Oil & Gas Corp Berhad *		651
	8,600	Westports Holdings Berhad		7,229
	34,476	YTL Power International Berhad		9,693
		Total Malaysia		610,843
		Mexico — 1.1%
	121,200	Alfa SAB de CV – Class A		134,630
	517,264	America Movil SAB de CV – Series L		443,009
	16,541	Arca Continental SAB de CV		113,225
	7,700	Coca-Cola Femsa SAB de CV – Series L		52,881
	37,400	Genomma Lab Internacional SAB de CV – Class B *		44,374
	7,600	Grupo Carso SAB de CV – Series A1		24,184
	17,700	Grupo Financiero Banorte SAB de CV – Class O		103,958
	70,900	Grupo Mexico SAB de CV – Series B		221,810
	1,165	Industrias Penoles SAB de CV		24,437
	9,500	Kimberly-Clark de Mexico SAB de CV – Class A		17,027
	1,900	OHL Mexico SAB de CV		3,339
	527,900	Wal-Mart de Mexico SAB de CV		1,246,440
		Total Mexico		2,429,314
		Netherlands — 0.5%
	2,108	Aegon NV		13,095
	300	AerCap Holdings NV *		15,591
	9	Akzo Nobel NV		812
	1,086	ASR Nederland NV		44,230
	502	Boskalis Westminster		18,541
	49,895	ING Groep NV		901,612
	3,063	Philips Lighting NV		115,898
	718	Randstad Holdings NV		44,164
		Total Netherlands		1,153,943

Shares		Description	Value ($)
		New Zealand — 0.0%
	3,835	Contact Energy Ltd		14,197
	1,280	Fletcher Building Ltd		6,094
	6,852	Meridian Energy Ltd		13,619
		Total New Zealand		33,910
		Norway — 0.3%
	13,914	DNB ASA		253,448
	1,069	Gjensidige Forsikring ASA		19,396
	2,174	Norsk Hydro ASA		14,787
	2,784	Statoil ASA		55,984
	10,293	Storebrand ASA		82,227
	13,247	Subsea 7 SA		193,791
		Total Norway		619,633
		Peru — 0.3%
	1,300	Cia de Minas Buenaventura SAA ADR		18,187
	3,600	Credicorp Ltd		759,708
		Total Peru		777,895
		Philippines — 0.1%
	16,770	Aboitiz Equity Ventures Inc		23,335
	105,700	Alliance Global Group Inc *		32,902
	2,280	Bank of the Philippine Islands		4,661
	23,513	Energy Development Corp		2,644
	555	Globe Telecom Inc		20,233
	8,480	International Container Terminal Services Inc		18,006
	16,780	JG Summit Holdings Inc		23,042
	188,000	Megaworld Corp		19,984
	59,800	Metro Pacific Investments Corp		7,979
	10,610	Metropolitan Bank & Trust Co		20,251
	1,515	PLDT Inc		44,532
	27,300	Robinsons Land Corp		12,387
	1,840	Security Bank Corp		9,166
	710	SM Investments Corp		13,684
		Total Philippines		252,806
		Poland — 0.7%
	510	Bank Handlowy w Warszawie SA		10,550
	12,948	Enea SA		43,620
	8,054	Energa SA		27,568
	747	Grupa Azoty SA		15,083
	19,639	KGHM Polska Miedz SA		593,033
	10,943	Orange Polska SA *		16,912
	21,503	PGE Polska Grupa Energetyczna SA *		72,694
	14,055	Polski Koncern Naftowy ORLEN SA		441,798
	17,604	Powszechny Zaklad Ubezpieczen SA		221,810
	187,582	Tauron Polska Energia SA *		164,801
		Total Poland		1,607,869
		Qatar — 0.1%
	1,134	Barwa Real Estate Co		8,736
	713	Industries Qatar QSC		17,437

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Qatar — continued
	954	Masraf Al Rayan QSC		8,902
	1,248	Ooredoo QSC		27,438
	299	Qatar Electricity & Water Co QSC		13,289
	4,230	Qatar Gas Transport Co Ltd Nakilat		16,082
	921	Qatar Islamic Bank SAQ		23,016
		Total Qatar		114,900
		Russia — 0.1%
	1,761,000	Inter RAO UES PJSC		111,224
	3,461,000	RusHydro PJSC		48,077
	2,826	Sistema PJSC FC Sponsored GDR (Registered)		10,147
		Total Russia		169,448
		Singapore — 0.1%
	11,100	CapitaLand Commercial Trust (REIT)		15,575
	800	City Developments Ltd		7,215
	18,700	Golden Agri-Resources Ltd		5,141
	27,900	Hutchison Port Holdings Trust – Class U		11,890
	3,500	Keppel Corp Ltd		19,906
	5,600	Singapore Press Holdings Ltd		11,481
	12,900	Suntec Real Estate Investment Trust		19,570
	2,600	UOL Group Ltd		17,202
	13,000	Yangzijiang Shipbuilding Holdings Ltd		15,198
		Total Singapore		123,178
		South Africa — 1.8%
	587	Anglo American Platinum Ltd *		15,630
	1,224	AngloGold Ashanti Ltd		12,910
	47,799	Barclays Africa Group Ltd		546,806
	4,535	Barloworld Ltd		51,063
	13,162	Bidvest Group Ltd (The)		184,250
	1,169	Exxaro Resources Ltd		12,555
	1,575	Hyprop Investments Ltd (REIT)		12,357
	13,196	Imperial Holdings Ltd		219,458
	14,568	Liberty Holdings Ltd		123,333
	103,287	MMI Holdings Ltd		151,660
	43,323	Nedbank Group Ltd		728,396
	745	Pioneer Foods Group Ltd		7,128
	18,173	Reunert Ltd		92,690
	144,646	Standard Bank Group Ltd		1,824,140
	19,716	Telkom SA SOC Ltd		71,428
	1,261	Tiger Brands Ltd		38,351
	48,543	Tsogo Sun Holdings Ltd		76,758
		Total South Africa		4,168,913
		South Korea — 3.2%
	1,933	BNK Financial Group Inc		16,913
	822	Daelim Industrial Co Ltd		62,596
	773	DB Insurance Co Ltd		48,814
	544	DGB Financial Group Inc		5,000
	203	Dongsuh Cos Inc		5,582
	798	Doosan Heavy Industries & Construction Co Ltd		12,059
	1,419	E-MART Inc		358,409

Shares		Description	Value ($)
		South Korea — continued
	88	GS Holdings Corp		4,963
	9,215	Hana Financial Group Inc		402,195
	5,377	Hankook Tire Co Ltd		265,852
	4,163	Hanwha Corp		159,722
	17,693	Hanwha Life Insurance Co Ltd		121,729
	312	Hanwha Techwin Co Ltd *		10,143
	38	Hyundai Construction Equipment Co Ltd *		6,492
	40	Hyundai Electric & Energy System Co Ltd *		4,337
	1,836	Hyundai Marine & Fire Insurance Co Ltd		73,560
	5,915	Hyundai Motor Co		897,723
	273	Hyundai Wia Corp		17,002
	25,436	Industrial Bank of Korea		371,694
	9,608	KB Financial Group Inc		530,517
	31	KCC Corp		11,014
	11,203	Kia Motors Corp		346,996
	173	Korea Investment Holdings Co Ltd		10,906
	87	KT Corp		2,448
	1,031	KT&G Corp		115,961
	142	Kumho Petrochemical Co Ltd		11,711
	185	LG Chem Ltd		71,268
	1,479	LG Corp		124,105
	9,232	LG Display Co Ltd		263,785
	634	Lotte Chemical Corp		209,462
	3	Lotte Chilsung Beverage Co Ltd		3,369
	11	Lotte Confectionery Co Ltd/New *		1,511
	375	Lotte Corp		21,237
	2,521	LOTTE Himart Co Ltd		175,274
	206	Lotte Shopping Co Ltd		39,717
	474	NH Investment & Securities Co Ltd		5,989
	751	POSCO		230,674
	458	Posco Daewoo Corp		7,846
	243	Samsung Card Co Ltd		8,547
	458	Samsung Electronics Co Ltd		1,077,886
	1,424	Samsung Heavy Industries Co Ltd *		15,747
	17,793	Shinhan Financial Group Co Ltd		793,854
	629	SK Holdings Co Ltd		169,414
	705	SK Innovation Co Ltd		134,509
	1,433	SK Networks Co Ltd		8,530
	314	SK Telecom Co Ltd		76,459
	2,700	SK Telecom Co Ltd Sponsored ADR		74,088
	1,458	Woori Bank		21,694
		Total South Korea		7,409,303
		Spain — 0.5%
	70,518	Banco Santander SA		474,972
	3,554	CaixaBank SA		16,888
	3,525	International Consolidated Airlines Group SA		29,096
	50,698	Mapfre SA		170,546
	22,605	Repsol SA		414,578
	7,545	Telefonica SA		77,359
	584	Zardoya Otis SA		6,515
		Total Spain		1,189,954

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Sweden — 0.6%
	9,785	Alfa Laval AB		231,570
	3,145	Electrolux AB – Series B		104,454
	431	ICA Gruppen AB		15,601
	620	Kinnevik AB – Class B		19,899
	25,206	Nordea Bank AB		295,576
	20,145	Sandvik AB		346,319
	616	SKF AB – B Shares		13,947
	2,346	Svenska Cellulosa AB SCA – Class B		22,886
	522	Swedbank AB – A Shares		12,484
	16,473	Volvo AB – B Shares		313,977
		Total Sweden		1,376,713
		Switzerland — 2.0%
	467	Aryzta AG *		15,632
	865	Logitech International SA (Registered)		30,174
	25,951	Nestle SA (Registered)		2,220,096
	14,517	Novartis AG (Registered)		1,245,509
	92	Pargesa Holding SA		7,912
	2,928	Roche Holding AG		739,949
	21	Swatch Group AG (The)		7,674
	1,078	Swiss Life Holding AG (Registered) *		362,557
		Total Switzerland		4,629,503
		Taiwan — 5.0%
	25,155	Advanced Semiconductor Engineering Inc		32,677
	38,000	Asia Pacific Telecom Co Ltd *		12,747
	62,000	Asia Vital Components Co Ltd		74,752
	37,000	Asustek Computer Inc		341,348
	2,000	Casetek Holdings Ltd		7,785
	25,000	Catcher Technology Co Ltd		271,104
	86,000	Cathay Financial Holding Co Ltd		149,040
	8,520	Chang Hwa Commercial Bank Ltd		4,626
	44,000	China Airlines Ltd *		16,971
	15,826	China Life Insurance Co Ltd		14,969
	41,000	China Synthetic Rubber Corp		58,614
	153,000	Compal Electronics Inc		106,214
	54,000	Elan Microelectronics Corp		92,834
	35,277	Eva Airways Corp		17,819
	15,000	Evergreen Marine Corp Taiwan Ltd *		8,471
	28,000	Far Eastern New Century Corp		23,919
	23,190	First Financial Holding Co Ltd		14,919
	121,000	Formosa Chemicals & Fibre Corp		368,226
	4,000	Formosa Petrochemical Corp		14,196
	149,000	Formosa Plastics Corp		451,480
	13,000	Formosa Taffeta Co Ltd		13,061
	216,000	Fubon Financial Holding Co Ltd		354,701
	215,000	Grand Pacific Petrochemical		194,160
	766,525	Hon Hai Precision Industry Co Ltd		2,573,144
	6,000	HTC Corp *		13,547
	6,432	Hua Nan Financial Holdings Co Ltd – Class C		3,532
	104,000	Inventec Corp		78,437
	44,000	Lite-On Semiconductor Corp		65,014

Shares		Description	Value ($)
		Taiwan — continued
	97,435	Lite-On Technology Corp		120,462
	4,000	Long Chen Paper Co Ltd		5,495
	27,000	Lotes Co Ltd		153,624
	4,000	MediaTek Inc		43,834
	15,000	Mega Financial Holding Co Ltd		11,877
	2,000	Merida Industry Co Ltd		8,313
	74,000	Mitac Holdings Corp		89,250
	276,000	Nan Ya Plastics Corp		696,766
	45,000	Novatek Microelectronics Corp		172,272
	1,000	OBI Pharma Inc *		5,069
	161,000	Pegatron Corp		369,155
	42,000	Phison Electronics Corp		427,760
	218,000	Pou Chen Corp		262,451
	24,000	Primax Electronics Ltd		66,774
	96,000	Quanta Computer Inc		197,378
	150,000	Radiant Opto-Electronics Corp		326,232
	16,800	Ruentex Development Co Ltd *		17,520
	10,000	Ruentex Industries Ltd *		16,701
	24,000	Shin Kong Financial Holding Co Ltd		8,245
	2,000	Siliconware Precision Industries Co Ltd		3,339
	12,989	SinoPac Financial Holdings Co Ltd		4,044
	52,350	Synnex Technology International Corp		71,002
	33,063	Taiwan Business Bank		9,130
	12,000	Taiwan Fertilizer Co Ltd		15,354
	8,000	Taiwan Semiconductor Co Ltd		18,119
	59,131	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		2,341,588
	32,000	Teco Electric and Machinery Co Ltd		31,492
	3,000	Transcend Information Inc		8,407
	551,000	United Microelectronics Corp		282,337
	254,503	Wistron Corp		197,332
	83,000	WPG Holdings Ltd		113,084
	36,000	Yulon Motor Co Ltd		28,749
	2,000	Zhen Ding Technology Holding Ltd		4,923
		Total Taiwan		11,506,385
		Thailand — 0.2%
	6,000	Advanced Info Service Pcl (Foreign Registered)		32,104
	9,200	Banpu Pcl (Foreign Registered)		4,821
	6,900	BEC World Pcl (Foreign Registered)		3,145
	32,700	BTS Group Holdings Pcl (Foreign Registered)		8,259
	2,800	Glow Energy Pcl (Foreign Registered)		7,482
	8,100	Indorama Ventures Pcl (Foreign Registered)		12,165
	53,900	IRPC Pcl (Foreign Registered)		10,249
	21,000	Krung Thai Bank Pcl (Foreign Registered)		12,427
	37,200	PTT Exploration & Production Pcl (Foreign Registered)		104,019
	37,900	PTT Global Chemical Pcl (Foreign Registered)		92,282
	16,500	PTT Pcl (Foreign Registered)		208,639
	4,600	Thai Oil Pcl (Foreign Registered)		13,120
	50,300	TMB Bank Pcl (Foreign Registered)		4,312
		Total Thailand		513,024

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Turkey — 1.1%
	113,295	Eregli Demir ve Celik Fabrikalari TAS		249,213
	107,306	KOC Holding AS		451,389
	1,778	TAV Havalimanlari Holding AS		8,840
	9,008	Turk Telekomunikasyon AS *		13,070
	18,156	Turkcell Iletisim Hizmetleri AS		70,526
	177,038	Turkiye Garanti Bankasi AS		433,743
	10,429	Turkiye Halk Bankasi AS		23,633
	390,615	Turkiye Is Bankasi – Class C		614,853
	54,836	Turkiye Sise ve Cam Fabrikalari AS		58,618
	290,570	Turkiye Vakiflar Bankasi TAO – Class D		428,483
	902	Ulker Biskuvi Sanayi AS		4,184
	54,794	Yapi ve Kredi Bankasi AS *		57,965
		Total Turkey		2,414,517
		United Arab Emirates — 0.1%
	30,521	Abu Dhabi Commercial Bank PJSC		58,765
	40,288	DAMAC Properties Dubai Co PJSC		37,847
	32,700	Dubai Islamic Bank PJSC		53,813
	4,957	Emaar Malls PJSC		2,903
	6,544	First Abu Dhabi Bank PJSC		18,021
		Total United Arab Emirates		171,349
		United Kingdom — 4.7%
	19,170	3i Group Plc		233,819
	5,386	888 Holdings Plc		18,891
	734	Antofagasta Plc		9,040
	4,573	AstraZeneca Plc		295,134
	25,280	Aviva Plc		174,394
	1,356	Babcock International Group Plc		12,783
	13,810	BAE Systems Plc		102,841
	2,068	Barratt Developments Plc		16,962
	152	BHP Billiton Plc		2,765
	40,333	BP Plc		268,627
	12,752	British American Tobacco Plc		810,929
	3,122	British Land Co Plc (The) (REIT)		26,579
	19,199	Centrica Plc		37,536
	8,101	Chemring Group Plc		19,254
	9,151	Cobham Plc *		15,737
	18,429	Compass Group Plc		373,754
	3,080	Direct Line Insurance Group Plc		15,243
	852	easyJet Plc		16,224
	11,412	Electrocomponents Plc		97,428
	4,826	Fenner Plc		25,213
	18,140	Ferrexpo Plc		62,164
	654	Galliford Try Plc		10,455
	700	GlaxoSmithKline Plc Sponsored ADR		24,542
	14,720	Glencore Plc *		67,717
	1,026	Hammerson Plc (REIT)		7,211
	72,029	HSBC Holdings Plc		717,759
	3,235	Inchcape Plc		32,626
	494	Inmarsat Plc		3,228
	5,037	Intu Properties Plc (REIT)		13,396
	1,662	Investec Plc		11,540

Shares		Description	Value ($)
		United Kingdom — continued
	1,346	Investec Plc		9,424
	5,898	Land Securities Group Plc (REIT)		74,507
	106,658	Legal & General Group Plc		385,703
	809,699	Lloyds Banking Group Plc		722,605
	1,544	Meggitt Plc		10,120
	2,807	Mondi Plc		67,068
	2,990	Northgate Plc		16,949
	7,095	Persimmon Plc		243,696
	12,614	QinetiQ Group Plc		36,897
	13,139	Reckitt Benckiser Group Plc		1,153,308
	10,486	Royal Dutch Shell Plc A Shares (London)		335,311
	8,078	Royal Dutch Shell Plc B Shares (London)		261,733
	439	Severn Trent Plc		12,467
	2,091	Spectris Plc		70,864
	4,375	Standard Life Aberdeen Plc		25,473
	12,586	Standard Chartered Plc *		125,568
	292	Travis Perkins Plc		6,350
	1,680	UBM Plc		16,977
	61,000	Unilever Plc		3,440,901
	1,767	Vedanta Resources Plc		16,563
	1,032	Vesuvius Plc		7,825
	50,470	Wm Morrison Supermarkets Plc		147,695
		Total United Kingdom		10,711,795
		United States — 45.2%
	16,518	3M Co.		4,016,186
	45,800	Abbott Laboratories		2,581,746
	25,300	Accenture Plc – Class A		3,744,653
	2,428	Alphabet, Inc. – Class A *		2,515,821
	5,500	Alphabet, Inc. – Class C *		5,617,755
	31,329	American Express Co.		3,061,157
	7,000	Amphenol Corp. – Class A		634,130
	5,359	Analog Devices, Inc.		461,463
	8,169	Anthem, Inc.		1,919,388
	42,300	Apple, Inc.		7,269,255
	5,079	Becton, Dickinson and Co.		1,159,079
	84,951	Cisco Systems, Inc.		3,168,672
	39,667	Coca-Cola Co. (The)		1,815,559
	44,066	Cognizant Technology Solutions Corp. – Class A		3,185,090
	13,814	Costco Wholesale Corp.		2,547,716
	9,900	CVS Health Corp.		758,340
	9,000	Eli Lilly & Co.		761,760
	24,048	Emerson Electric Co.		1,558,791
	6,900	Honeywell International, Inc.		1,076,124
	4,854	Humana, Inc.		1,266,214
	38,200	Johnson & Johnson		5,322,406
	9,263	MasterCard, Inc. – Class A		1,393,804
	37,667	Medtronic Plc		3,093,591
	102,920	Microsoft Corp.		8,662,776
	14,737	Monsanto Co.		1,743,977
	134,582	Oracle Corp.		6,602,593
	6,566	PepsiCo, Inc.		765,070
	25,100	Pfizer, Inc.		910,126

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	32,384	Philip Morris International, Inc.		3,327,456
	47,309	QUALCOMM, Inc.		3,138,479
	23,394	Schlumberger Ltd.		1,470,313
	9,826	Stryker Corp.		1,532,856
	20,100	Teradata Corp. *		764,001
	15,481	Texas Instruments, Inc.		1,506,146
	7,216	TJX Cos, Inc. (The)		545,169
	15,489	United Technologies Corp.		1,881,139
	24,992	UnitedHealth Group, Inc.		5,702,425
	40,253	US Bancorp		2,219,953
	17,912	VF Corp.		1,306,860
	42,953	Wells Fargo & Co.		2,425,556
	5,928	Zimmer Biomet Holdings, Inc.		694,169
		Total United States		104,127,764
		TOTAL COMMON STOCKS (COST $171,500,515)		208,491,911
		PREFERRED STOCKS (b) — 1.5%
		Brazil — 1.0%
	47,608	Banco Bradesco SA *		474,544
	12,100	Braskem SA – Class A		167,931
	8,300	Centrais Eletricas Brasileiras SA – Class B *		54,068
	4,800	Cia Brasileira de Distribuicao *		102,466
	11,300	Cia Energetica de Minas Gerais		22,748
	17,640	Itau Unibanco Holding SA		222,303
	15,200	Itau Unibanco Holding SA Sponsored ADR		190,760
	241,704	Itausa – Investimentos Itau SA		766,037
	145,500	Metalurgica Gerdau SA		225,347
		Total Brazil		2,226,204
		Colombia — 0.0%
	37,891	Grupo Aval Acciones y Valores SA		15,513
	1,758	Grupo de Inversiones Suramericana SA		22,041
		Total Colombia		37,554
		Germany — 0.2%
	136	Draegerwerk AG & Co KGaA		11,402
	1,607	Volkswagen AG		341,140
		Total Germany		352,542
		Russia — 0.0%
	27,445	Surgutneftegas OJSC		13,345
		South Korea — 0.3%
	1,338	Hyundai Motor Co		120,221
	1,708	Hyundai Motor Co 2nd Preference		170,771
	127	LG Chem Ltd		29,222
	254	Samsung Electronics Co Ltd		492,607
		Total South Korea		812,821
		TOTAL PREFERRED STOCKS (COST $2,633,780)		3,442,466

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 3.1%
		United States — 3.1%
		Affiliated Issuers — 3.1%
	286,129	GMO U.S. Treasury Fund		7,147,514
		TOTAL MUTUAL FUNDS (COST $7,150,371)		7,147,514
		SHORT-TERM INVESTMENTS — 5.5%
		Money Market Funds — 0.3%
	666,817	State Street Institutional Treasury Money Market Fund-Premier Class, 1.02% (c)		666,817
		Total Money Market Funds		666,817
		U.S. Government — 5.2%
	5,000,000	U.S. Treasury Bill, 0.84%, due 12/07/17 (d) (e)		4,999,192
	1,500,000	U.S. Treasury Bill, 1.03%, due 12/21/17 (d) (e)		1,499,110
	1,200,000	U.S. Treasury Bill, 1.12%, due 01/18/18 (d) (e)		1,198,204
	1,500,000	U.S. Treasury Bill, 1.13%, due 01/25/18 (d) (e)		1,497,393
	3,000,000	U.S. Treasury Bill, 1.40%, due 05/17/18 (d) (e)		2,980,812
		Total U.S. Government		12,174,711
		TOTAL SHORT-TERM INVESTMENTS (COST $12,841,184)		12,841,528
		TOTAL INVESTMENTS — 100.6% (Cost $194,125,850)		231,923,419
		Other Assets and Liabilities (net) — (0.6%)		(1,486,021	)
		TOTAL NET ASSETS — 100.0%		$230,437,398

A summary of outstanding financial instruments at November 30, 2017 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
12/13/2017	GS		AUD	3,474,881		USD	2,784,307	$	156,073
12/11/2017	JPM		CHF	2,010,789		USD	2,123,011		78,134
02/20/2018	JPM		EUR	10,173,842		USD	12,048,138		(122,205	)
02/20/2018	JPM		GBP	3,603,684		USD	4,770,867		(116,378	)
02/16/2018	JPM		JPY	928,809,877		USD	8,220,830		(65,801	)
12/11/2017	BCLY		NOK	4,504,300		USD	566,454		24,948
12/11/2017	BCLY		SEK	12,393,800		USD	1,522,429		41,305
12/11/2017	BOA		USD	981,439		CHF	947,100		(18,283	)
12/13/2017	JPM		USD	1,589,327		AUD	2,027,500		(55,823	)
								$	(78,030	)

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
Sales
1,549	S&P 500 E-Mini	December 2017	$	205,079,855	$	(13,719,927	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2017, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

ADR - American Depositary Receipt

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

GDR - Global Depositary Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

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

* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) The rate disclosed is the 7 day net yield as of November 30, 2017.

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

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

Counterparty Abbreviations:

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

Currency Abbreviations:

AUD - Australian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

SEK - Swedish Krona

USD - United States Dollar

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	11,137,083	GMO Emerging Country Debt Fund, Class IV		335,003,458
	774,375,768	GMO Implementation Fund		10,856,748,265
	20,062,843	GMO Opportunistic Income Fund, Class VI		536,681,057
	30,386,060	GMO SGM Major Markets Fund, Class VI		999,701,382
	26,946,279	GMO Special Opportunities Fund, Class VI		673,926,448
		TOTAL MUTUAL FUNDS (COST $12,459,267,314)		13,402,060,610
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	7,788,617	State Street Institutional Treasury Money Market Fund-Premier Class, 1.02% (a)		7,788,617
		TOTAL SHORT-TERM INVESTMENTS (COST $7,788,617)		7,788,617
		TOTAL INVESTMENTS — 100.1% (Cost $12,467,055,931)		13,409,849,227
		Other Assets and Liabilities (net) — (0.1%)		(7,107,428	)
		TOTAL NET ASSETS — 100.0%		$13,402,741,799

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2017.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 34.5%
		Australia — 0.5%
	15,166	Adelaide Brighton Ltd		74,127
	1,434	ASX Ltd		62,258
	42,235	Australia & New Zealand Banking Group Ltd		917,119
	69,921	BHP Billiton Ltd		1,458,563
	67,051	Caltex Australia Ltd		1,736,762
	93,728	Charter Hall Group (REIT)		448,622
	4,298	CIMIC Group Ltd		167,200
	40,010	Codan Ltd		67,341
	41,522	Credit Corp Group Ltd		714,316
	468,859	CSR Ltd		1,640,429
	34,136	Dexus (REIT)		268,540
	735,327	Downer EDI Ltd		3,937,348
	253,594	Genworth Mortgage Insurance Australia Ltd		612,096
	208,084	Goodman Group (REIT)		1,374,908
	38,591	LendLease Group		467,199
	379,812	Metcash Ltd		797,242
	146,567	Mineral Resources Ltd		2,180,871
	50,306	Myer Holdings Ltd		30,000
	3,444	Navitas Ltd		13,831
	324,778	OZ Minerals Ltd		2,069,015
	169,874	Pact Group Holdings Ltd		717,510
	27,413	Resolute Mining Ltd		20,923
	58,493	Shopping Centres Australasia Property Group (REIT)		107,048
	75,159	Sigma Healthcare Ltd		45,022
	3,762	Virtus Health Ltd		14,849
	71,005	WorleyParsons Ltd *		811,990
	34,707	WPP AUNZ Ltd		22,171
		Total Australia		20,777,300
		Austria — 0.2%
	7,647	Oesterreichische Post AG		344,791
	94,528	OMV AG		5,885,816
	4,441	POLYTEC Holding AG		104,212
	31,165	voestalpine AG		1,809,773
		Total Austria		8,144,592
		Belgium — 0.0%
	17,705	AGFA-Gevaert NV *		80,620
	2,692	Barco NV		287,546
	4,654	bpost SA		143,747
	6,404	D’ieteren SA/NV		300,609
	420	Orange Belgium SA		9,096
		Total Belgium		821,618
		Brazil — 0.8%
	111,500	AES Tiete Energia SA		446,319
	2,800	Banco BTG Pactual SA		16,235

Shares		Description	Value ($)
		Brazil — continued
	200,000	Banco do Brasil SA		1,826,393
	55,400	Banco Santander Brasil SA		488,999
	541,200	Centrais Eletricas Brasileiras SA *		3,090,199
	235,000	Cia de Saneamento Basico do Estado de Sao Paulo		2,345,704
	11,500	EcoRodovias Infraestrutura e Logistica SA		42,211
	29,200	EDP – Energias do Brasil SA		123,006
	58,800	Eletropaulo Metropolitana Eletricidade de Sao Paulo SA		287,781
	49,900	Engie Brasil Energia SA		539,710
	27,100	Gerdau SA		79,011
	40,500	Grendene SA		320,991
	555,100	JBS SA		1,340,349
	42,800	LPS Brasil Consultoria de Imoveis SA *		68,297
	8,900	Multiplus SA		94,784
	96,600	Oi SA *		133,212
	26,500	Qualicorp SA		248,050
	215,700	Rumo SA *		857,212
	15,900	Tim Participacoes SA ADR		285,246
	23,000	Transmissora Alianca de Energia Eletrica SA		149,621
	908,136	Vale SA		9,748,440
	890,262	Vale SA Sponsored ADR		9,525,808
	106,400	Via Varejo SA *		709,271
		Total Brazil		32,766,849
		Canada — 0.8%
	28,600	AGF Management Ltd – Class B		182,221
	102,100	Air Canada *		1,946,005
	52,700	Bank of Nova Scotia (The)		3,329,517
	42,700	Baytex Energy Corp *		143,472
	12,520	BRP Inc – Sub Voting		457,752
	10,000	Canadian National Railway Co		780,607
	16,900	Canadian Tire Corp Ltd – Class A		2,135,571
	17,900	Capital Power Corp		338,118
	33,800	Cascades Inc		336,389
	2,600	Celestica Inc *		28,214
	7,400	Celestica Inc *		80,216
	29,000	CI Financial Corp		655,234
	700	Cominar Real Estate Investment Trust		7,612
	2,700	Corus Entertainment Inc – B Shares		24,590
	5,040	Dream Industrial Real Estate Investment Trust		34,495
	196,100	IAMGOLD Corp *		1,068,545
	1,800	IGM Financial Inc		62,197
	17,400	Industrial Alliance Insurance & Financial Services Inc		811,501
	45,100	Just Energy Group Inc		195,411
	17,300	Labrador Iron Ore Royalty Corp		308,011
	900	Laurentian Bank of Canada		42,142
	21,100	Medical Facilities Corp		215,555
	207,000	Metro Inc		6,483,641

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	17,000	North West Co Inc (The)		431,275
	13,600	Pure Industrial Real Estate Trust (REIT)		70,417
	37,800	Rogers Sugar Inc		184,290
	85,000	Royal Bank of Canada		6,644,382
	30,600	Russel Metals Inc		685,455
	19,700	Toromont Industries Ltd		866,547
	43,600	Toronto-Dominion Bank (The)		2,475,111
	71,400	Transcontinental Inc – Class A		1,538,519
	71,800	Trican Well Service Ltd *		260,453
	14,200	Valener Inc		254,360
	11,200	Wajax Corp		218,765
	31,000	West Fraser Timber Co Ltd		1,959,261
	13,430	WestJet Airlines Ltd		278,458
	2,900	Westshore Terminals Investment Corp		56,015
	26,000	ZCL Composites Inc		222,687
		Total Canada		35,813,011
		Chile — 0.0%
	289,090	Enel Chile SA		31,282
	3,516	Inversiones La Construccion SA		52,155
	3,139	Vina Concha y Toro SA		5,484
		Total Chile		88,921
		China — 5.1%
	88,000	361 Degrees International Ltd		30,984
	1,182,000	Agile Group Holdings Ltd		1,714,490
	34,427,000	Agricultural Bank of China Ltd – Class H		16,085,872
	18,400	Alibaba Group Holding Ltd Sponsored ADR *		3,258,272
	1,234,000	Anhui Conch Cement Co Ltd – Class H		5,943,397
	36,000	Anhui Expressway Co Ltd – Class H		29,585
	117,000	ANTA Sports Products Ltd		524,322
	2,175,500	BAIC Motor Corp Ltd – Class H		2,575,715
	3,232,000	Bank of China Ltd – Class H		1,579,482
	44,000	Baoye Group Co Ltd – Class H *		30,410
	278,000	Beijing Capital International Airport Co Ltd – Class H		411,701
	4,000	Beijing Enterprises Holdings Ltd		23,125
	67,675	Changyou.com Ltd ADR *		2,468,784
	60,000	Chaowei Power Holdings Ltd		29,234
	1,994,000	China BlueChemical Ltd – Class H		556,547
	734,000	China Communications Construction Co Ltd – Class H		820,603
	6,350,000	China Communications Services Corp Ltd – Class H		4,044,214
	3,795,000	China Construction Bank Corp – Class H		3,329,130
	2,154,000	China Greenfresh Group Co Ltd		367,349
	60,000	China Jinmao Holdings Group Ltd		27,178
	2,688,000	China Lesso Group Holdings Ltd		1,722,648
	2,850,000	China Machinery Engineering Corp – Class H		1,849,536
	318,500	China Mobile Ltd		3,240,013

Shares		Description	Value ($)
		China — continued
	11,014,000	China National Building Material Co Ltd – Class H		10,168,111
	2,457,000	China National Materials Co Ltd – Class H		1,896,960
	12,900	China Petroleum & Chemical Corp ADR		930,090
	19,208,000	China Petroleum & Chemical Corp – Class H		13,787,033
	124,000	China Power International Development Ltd		33,341
	6,731,000	China Railway Construction Corp Ltd – Class H		7,991,338
	936,000	China Railway Group Ltd – Class H		701,609
	2,550,500	China Shenhua Energy Co Ltd – Class H		6,306,622
	28,758,000	China Telecom Corp Ltd – Class H		13,931,901
	168,600	China Vanke Co Ltd – Class H		616,379
	12,700	China Yuchai International Ltd		333,375
	1,011,000	Chongqing Rural Commercial Bank Co Ltd – Class H		719,255
	2,717,000	Country Garden Holdings Co Ltd		4,305,842
	9,452,000	Dongfeng Motor Group Co Ltd – Class H		11,935,415
	112,000	Guangdong Investment Ltd		150,881
	3,417,600	Guangzhou R&F Properties Co Ltd – Class H		7,341,275
	1,705,000	Haier Electronics Group Co Ltd *		4,599,678
	236,000	Haitian International Holdings Ltd		692,410
	1,544,000	Harbin Electric Co Ltd – Class H		653,129
	513,000	Hi Sun Technology China Ltd *		104,493
	896,000	Hisense Kelon Electrical Holdings Co Ltd – Class H		989,261
	235,000	Hua Hong Semiconductor Ltd		414,223
	3,735,000	Huabao International Holdings Ltd		2,399,692
	59,000	IGG Inc		58,254
	2,906,000	Industrial and Commercial Bank of China Ltd – Class H		2,272,957
	306,000	Jiangnan Group Ltd		22,384
	1,416,000	Jiangsu Expressway Co Ltd – Class H		1,944,294
	617,000	Jiangxi Copper Co Ltd – Class H		965,891
	5,993	Jumei International Holding Ltd ADR *		18,818
	1,205,000	Kingboard Chemical Holdings Ltd		6,934,274
	1,562,000	Kingboard Laminates Holdings Ltd		2,595,404
	770,500	KWG Property Holding Ltd		818,666
	837,000	Lee & Man Paper Manufacturing Ltd		986,474
	131,600	Livzon Pharmaceutical Group Inc – Class H		945,398
	677,500	Longfor Properties Co Ltd		1,597,374
	6,057,000	Lonking Holdings Ltd		2,157,904
	1,200	NetEase Inc ADR		394,452
	275,000	Nexteer Automotive Group Ltd *		591,568
	514,000	Nine Dragons Paper Holdings Ltd		855,842
	23,000	PAX Global Technology Ltd		10,260
	642,000	PICC Property & Casualty Co Ltd – Class H		1,222,987
	684,000	Powerlong Real Estate Holdings Ltd		314,272

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		China — continued
	102,000	Qingling Motors Co Ltd – Class H		32,834
	205,000	Road King Infrastructure Ltd		331,125
	864,000	Shandong Weigao Group Medical Polymer Co Ltd – Class H		593,453
	91,000	Shanghai Fosun Pharmaceutical Group Co Ltd – Class H		440,393
	769,000	Shanghai Industrial Holdings Ltd		2,178,310
	1,633,200	Shanghai Pharmaceuticals Holding Co Ltd – Class H		4,115,452
	88,000	Shenzhen Expressway Co Ltd – Class H		85,000
	2,314,500	Shimao Property Holdings Ltd		4,536,218
	79,500	SINA Corp *		7,772,715
	1,649,500	Sino-Ocean Group Holding Ltd		1,034,249
	2,236,500	Sinopec Engineering Group Co Ltd – Class H		1,864,135
	322,800	Sinopharm Group Co Ltd – Class H		1,274,549
	12,000	Sinotrans Ltd – Class H		6,054
	1,807,500	Sinotruk Hong Kong Ltd		2,004,837
	884,000	Skyworth Digital Holdings Ltd		378,538
	4,000	SOHO China Ltd		2,270
	78,176	Sohu.com Inc *		3,782,937
	127,000	Spring Real Estate Investment Trust		56,652
	37,500	Tencent Holdings Ltd		1,920,042
	267,500	Texhong Textile Group Ltd		339,620
	706,000	Tianjin Port Development Holdings Ltd *		105,103
	188,000	Tianneng Power International Ltd		159,773
	2,283,000	TravelSky Technology Ltd – Class H		6,269,024
	8,000	Truly International Holdings Ltd		3,665
	895,000	Want Want China Holdings Ltd		702,461
	3,495,000	Weichai Power Co Ltd – Class H		3,908,658
	733,000	Xinhua Winshare Publishing and Media Co Ltd – Class H		584,586
	1,809,500	Xtep International Holdings Ltd		673,231
	496,000	Yuexiu Transport Infrastructure Ltd		359,458
	6,832,000	Yuzhou Properties Co Ltd		3,370,567
	2,680,000	Zhejiang Expressway Co Ltd – Class H		3,221,449
	305,500	Zhongsheng Group Holdings Ltd		630,563
	393,000	ZTE Corp – Class H *		1,372,279
		Total China		220,482,577
		Colombia — 0.1%
	144,314	Almacenes Exito SA		783,644
	276,400	Ecopetrol SA Sponsored ADR		3,206,240
		Total Colombia		3,989,884
		Czech Republic — 0.1%
	73,577	CEZ AS		1,681,741
	42,490	Moneta Money Bank AS		153,154
	558	Philip Morris CR AS		421,176
		Total Czech Republic		2,256,071

Shares		Description	Value ($)
		Denmark — 0.0%
	12	AP Moeller – Maersk A/S – Class B		21,635
	1,010	Dfds A/S		54,523
	4,494	Schouw & Co AB		415,460
		Total Denmark		491,618
		Egypt — 0.0%
	28,967	Alexandria Mineral Oils Co		21,715
		Finland — 0.1%
	9,043	Cramo Oyj		200,811
	1,330	Kesko Oyj – B Shares		67,337
	187,582	UPM-Kymmene Oyj		5,644,743
		Total Finland		5,912,891
		France — 1.7%
	254,366	Air France-KLM *		3,609,317
	8,227	Alten SA		683,438
	10,401	Amundi SA		927,396
	538,042	AXA SA		16,233,971
	116,686	BNP Paribas SA		8,834,637
	176	Capgemini SE		20,271
	8,155	Casino Guichard Perrachon SA		495,969
	15,922	Christian Dior SE		5,690,943
	103,139	CNP Assurances		2,316,875
	257,744	Credit Agricole SA		4,342,739
	11,982	Derichebourg SA		130,274
	1,216	Fnac Darty SA *		127,906
	9,969	IPSOS		360,036
	2,872	Jacquet Metal Service		89,363
	3,175	LVMH Moet Hennessy Louis Vuitton SE		924,914
	3,147	MGI Coutier		126,205
	2,513	Neopost SA		83,648
	56,700	Peugeot SA		1,171,610
	7,417	Rallye SA		134,048
	71,682	SCOR SE		2,919,508
	172,360	Societe Generale SA		8,673,394
	218,501	STMicroelectronics NV		4,945,017
	198,700	STMicroelectronics NV – NY Shares		4,494,594
	115,187	TOTAL SA		6,510,932
		Total France		73,847,005
		Germany — 1.8%
	73,541	Allianz SE (Registered)		17,368,498
	58,255	BASF SE		6,532,312
	133,506	Bayerische Motoren Werke AG		13,478,141
	4,253	Cewe Stiftung & Co KGAA		402,660
	8,626	Covestro AG		898,360
	209,361	Daimler AG (Registered Shares)		17,344,517
	353,079	Deutsche Lufthansa AG (Registered)		12,148,899
	161	Duerr AG		20,283
	1,010	Isra Vision AG		185,491

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	2,694	Koenig & Bauer AG		206,169
	2,775	Leoni AG		204,812
	250,446	RWE AG *		5,740,848
	12,132	SAP AG		1,371,549
	14,960	Software AG		819,445
	13,613	STADA Arzneimittel AG		1,318,518
	21,585	Talanx AG		888,684
	5,624	Volkswagen AG		1,167,085
	2,422	Washtec AG		221,925
		Total Germany		80,318,196
		Greece — 0.0%
	142,457	Alpha Bank AE *		275,377
	333,287	Eurobank Ergasias SA *		269,250
	12,055	FF Group *		223,350
	19,380	Mytilineos Holdings SA *		210,730
	865,949	National Bank of Greece SA *		267,948
	75,408	Piraeus Bank SA *		211,114
		Total Greece		1,457,769
		Hong Kong — 0.8%
	1,186,900	BOC Hong Kong Holdings Ltd		6,040,271
	833,400	Champion (REIT)		616,916
	41,700	Dah Sing Banking Group Ltd		92,308
	4,000	Dah Sing Financial Holdings Ltd		25,673
	40,000	HKT Trust & HKT Ltd – Class SS		50,180
	147,100	Hysan Development Co Ltd		789,238
	831,638	I-CABLE Communications Ltd *		23,823
	169,800	Kerry Properties Ltd		751,780
	507,400	Link (REIT)		4,542,269
	71,800	Luk Fook Holdings International Ltd		313,690
	564,000	Man Wah Holdings Ltd		492,224
	16,000	Minth Group Ltd		89,598
	29,700	New World Development Co Ltd		43,158
	2,596,900	SJM Holdings Ltd		2,095,090
	14,300	SmarTone Telecommunications Holdings Ltd		17,105
	2,000	Swire Pacific Ltd – Class A		19,236
	1,400	Television Broadcasts Ltd		4,880
	6,307,000	WH Group Ltd		6,717,687
	750,100	Wharf Holdings Ltd (The)		2,372,901
	750,100	Wharf Real Estate Investment Co Ltd *		4,533,168
	365,500	Wheelock & Co Ltd		2,515,365
	55,425	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		14,443
	263,400	Xinyi Glass Holdings Ltd *		321,856
	164,900	Yue Yuen Industrial Holdings Ltd		590,028
		Total Hong Kong		33,072,887
		Hungary — 0.1%
	733,294	Magyar Telekom Telecommunications Plc		1,312,191

Shares		Description	Value ($)
		Hungary — continued
	95,834	Richter Gedeon Nyrt		2,475,937
		Total Hungary		3,788,128
		India — 1.8%
	535,705	Andhra Bank *		519,838
	6,418	Asian Paints Ltd		114,667
	25,110	Aurobindo Pharma Ltd		270,076
	14,333	Balmer Lawrie & Co Ltd		61,874
	1,002,244	Bharat Electronics Ltd		2,907,911
	255,982	Bharat Petroleum Corp Ltd		1,997,309
	70,904	Cadila Healthcare Ltd		474,520
	399,091	Canara Bank		2,318,972
	66,301	Chambal Fertilizers and Chemicals Ltd		149,391
	55,041	Claris Lifesciences Ltd		295,684
	12,475	Divi’s Laboratories Ltd		202,036
	172,521	Firstsource Solutions Ltd *		114,167
	129,161	GAIL India Ltd		937,017
	58,094	Gujarat Industries Power Co Ltd		118,774
	570,321	HCL Technologies Ltd		7,488,536
	27,103	HDFC Bank Ltd(a)		780,148
	5,501	Hero MotoCorp Ltd		311,521
	312,620	Hexaware Technologies Ltd		1,634,547
	319,690	Hindustan Petroleum Corp Ltd		2,072,029
	1,907	Hindustan Unilever Ltd		37,592
	886,947	IFCI Ltd *		340,927
	157,760	Indian Bank		962,924
	510,545	Indian Oil Corp Ltd		3,116,350
	84,254	Infosys Ltd		1,275,701
	2,063,106	Jaiprakash Associates Ltd *		584,291
	128,948	Jaypee Infratech Ltd *		28,039
	59,548	Jubilant Life Sciences Ltd		608,013
	591,234	Karnataka Bank Ltd (The)		1,422,952
	3,145	Kotak Mahindra Bank Ltd		48,815
	57,413	KPIT Technologies Ltd		153,308
	53,347	Larsen & Toubro Ltd		1,011,305
	71,990	Maruti Suzuki India Ltd		9,607,817
	3,290	Merck Ltd		57,300
	6,880	MOIL Ltd		26,342
	21,666	Mphasis Ltd		246,036
	143,952	NIIT Technologies Ltd		1,427,106
	1,179,615	NMDC Ltd		2,331,472
	2,030,122	Oil & Natural Gas Corp Ltd		5,706,244
	669	Oracle Financial Services Software Ltd		38,384
	208,617	Oriental Bank of Commerce *		411,115
	9,941	Piramal Enterprises Ltd		429,691
	2,859,202	Power Finance Corp Ltd		5,370,101
	750,932	PTC India Ltd		1,355,658
	3,074,536	Rural Electrification Corp Ltd		7,351,302
	159,138	Sonata Software Ltd		599,076
	1,237	Sun TV Network Ltd		16,787
	597,800	Syndicate Bank *		863,612
	17,906	Tata Consultancy Services Ltd		732,408

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		India — continued
	411,937	Tata Steel Ltd		4,435,735
	14,201	Tech Mahindra Ltd		108,146
	44,755	Uflex Ltd		318,365
	2,119	UltraTech Cement Ltd		137,849
	133,197	Union Bank of India *		338,798
	620,907	Wipro Ltd		2,815,886
	7,700	Wipro Ltd ADR		41,503
		Total India		77,125,967
		Indonesia — 0.1%
	50,700	Astra International Tbk PT		29,958
	75,200	Bank Central Asia Tbk PT		113,039
	315,800	Bank Mandiri Persero Tbk PT		173,909
	100,200	Bank Negara Indonesia Persero Tbk PT		60,170
	868,800	Bank Pembangunan Daerah Jawa Timur Tbk PT		47,371
	1,039,500	Bank Rakyat Indonesia Persero Tbk PT		247,422
	819,400	Barito Pacific Tbk PT *		137,470
	618,300	Harum Energy Tbk PT *		93,363
	922,500	Indo Tambangraya Megah Tbk PT		1,444,700
	737,900	Lippo Karawaci Tbk PT		31,369
	29,100	Matahari Department Store Tbk PT		22,880
	6,154,600	Panin Financial Tbk PT *		109,123
	866,600	Ramayana Lestari Sentosa Tbk PT		64,124
	504,400	Summarecon Agung Tbk PT		32,070
	644,400	Telekomunikasi Indonesia Persero Tbk PT		199,038
	1,700	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		52,836
	4,900	United Tractors Tbk PT		12,146
		Total Indonesia		2,870,988
		Israel — 0.0%
	168	B Communications Ltd *		2,652
	32,209	Discount Investment Corp Ltd (Registered)		131,332
	566	Mizrahi Tefahot Bank Ltd		10,329
	11,216	Nova Measuring Instruments Ltd *		325,023
	1,900	SodaStream International Ltd *		133,722
		Total Israel		603,058
		Italy — 0.5%
	34,038	A2A SPA		64,040
	38,149	ACEA SPA		774,892
	3,586	ASTM SPA		102,202
	127,818	Cofide SPA		85,840
	6,272	El.En. SPA		192,854
	3,475	Eni SPA		57,166
	76,094	EXOR NV		4,608,645
	547,300	Fiat Chrysler Automobiles NV		9,358,830
	139,571	Fincantieri SPA *		198,967
	302,992	Iren SPA		928,958

Shares		Description	Value ($)
		Italy — continued
	15,426	MARR SPA		398,328
	2,326	Prima Industrie SPA		90,742
	97,124	Recordati SPA		4,369,350
	123,555	Saras SPA		318,758
	136,830	Societa Cattolica di Assicurazioni SC		1,484,815
	11,076	Vittoria Assicurazioni SPA		160,207
		Total Italy		23,194,594
		Japan — 3.8%
	9,700	Aisin Seiki Co Ltd		522,000
	23,000	AOKI Holdings Inc		337,139
	378,700	Asahi Kasei Corp		4,753,885
	2,000	Autobacs Seven Co Ltd		38,367
	19,600	Bridgestone Corp		895,721
	192,100	Brother Industries Ltd		4,777,047
	151,000	Canon Inc		5,791,695
	13,700	Cawachi Ltd		341,733
	500	Central Japan Railway Co		92,682
	24,300	CKD Corp		533,240
	28,100	Cosmo Energy Holdings Co Ltd		850,421
	400	Daiichi Sankyo Co Ltd		9,640
	14,100	Daiwa House Industry Co Ltd		517,860
	5,100	Daiwabo Holdings Co Ltd		200,377
	108,400	DCM Holdings Co Ltd		1,048,063
	18,360	Denka Co Ltd		679,048
	52,700	DIC Corp		1,977,712
	9,400	Doutor Nichires Holdings Co Ltd		225,007
	12,700	DTS Corp		421,287
	8,200	Ehime Bank Ltd (The)		103,469
	11,800	Elecom Co Ltd		269,278
	7,800	Exedy Corp		233,745
	6,600	Fujicco Co Ltd		149,392
	5,100	Fujitsu General Ltd		108,289
	1,069,000	Fujitsu Ltd		8,009,274
	24,100	Furukawa Electric Co Ltd		1,280,656
	3,600	Fuyo General Lease Co Ltd		239,639
	34,460	Hanwa Co Ltd		1,397,079
	4,300	Heiwado Co Ltd		92,997
	59,200	Hitachi Chemical Co Ltd		1,565,989
	1,131,000	Hitachi Ltd		8,474,220
	1,500	Hitachi Transport System Ltd		37,503
	1,700	Hosokawa Micron Corp		112,061
	8,800	House Foods Group Inc		287,296
	872,100	ITOCHU Corp		15,160,261
	13,400	Itochu Techno-Solutions Corp		564,643
	7,400	Kaneka Corp		65,595
	90,400	Kanematsu Corp		1,089,943
	1,400	Kasai Kogyo Co Ltd		24,576
	1,110	Kawasaki Kisen Kaisha Ltd *		28,748
	2,100	Keihin Corp		41,515
	15,000	Kitz Corp		111,065
	1,400	Kokuyo Co Ltd		26,619

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	400	Kuroda Electric Co Ltd		9,676
	17,300	Kyowa Exeo Corp		416,018
	800	Kyudenko Corp		37,982
	357,700	Marubeni Corp		2,387,751
	33,000	MCJ Co Ltd		333,790
	1,144,500	Mitsubishi Chemical Holdings Corp		12,445,154
	97,800	Mitsubishi Corp		2,459,735
	205,100	Mitsubishi Electric Corp		3,407,619
	102,700	Mitsubishi Gas Chemical Co Inc		2,883,351
	208,800	Mitsubishi Tanabe Pharma Corp		4,514,472
	237,500	Mitsubishi UFJ Financial Group Inc		1,692,928
	24,100	Mitsubishi UFJ Lease & Finance Co Ltd		138,086
	342,200	Mitsui & Co Ltd		5,219,436
	65,100	Mitsui Chemicals Inc		2,113,410
	3,100	Mitsui Engineering & Shipbuilding Co Ltd		45,203
	5,100	Mitsui Mining & Smelting Co Ltd		290,995
	6,000	Mitsui Sugar Co Ltd		246,619
	12,100	NET One Systems Co Ltd		174,040
	1,200	NHK Spring Co Ltd		13,434
	37,000	Nichias Corp		478,403
	22,200	Nichiha Corp		866,034
	44,000	Nichirei Corp		1,277,970
	41,000	Nippo Corp		973,396
	305,200	Nippon Telegraph & Telephone Corp		15,932,653
	2,500	Nippon Signal Co Ltd		27,035
	4,700	Nishi-Nippon Financial Holdings Inc		53,048
	3,900	Nissin Electric Co Ltd		47,160
	19,800	Noritsu Koki Co Ltd		378,689
	2,600	Okamura Corp		34,144
	23,400	Open House Co Ltd		1,155,081
	5,700	Osaka Gas Co Ltd		109,714
	27,000	Osaki Electric Co Ltd		191,364
	57,300	Otsuka Holdings Co Ltd		2,540,783
	51,000	Pola Orbis Holdings Inc		1,864,045
	2,200	Press Kogyo Co Ltd		13,187
	162,000	Prima Meat Packers Ltd		1,128,747
	900	Rock Field Co Ltd		16,654
	6,600	Roland DG Corp		187,852
	5,100	Sakata INX Corp		88,790
	34,200	Seiko Epson Corp		832,867
	3,800	Seiren Co Ltd		71,507
	169,600	Sekisui Chemical Co Ltd		3,291,198
	40,300	Showa Denko KK		1,506,683
	1,348,100	Sojitz Corp		3,911,123
	17,000	Sumitomo Bakelite Co Ltd		138,809
	480,000	Sumitomo Chemical Co Ltd		3,366,253
	59,700	Sumitomo Forestry Co Ltd		1,031,178
	31,840	Sumitomo Heavy Industries Ltd		1,310,085
	10,900	Sumitomo Rubber Industries Ltd		199,458
	3,000	Suntory Beverage & Food Ltd		129,840
	36,000	Suzuki Motor Corp		1,948,554

Shares		Description	Value ($)
		Japan — continued
	1,900	T RAD Co Ltd		65,857
	25,200	T-Gaia Corp		550,554
	1,600	Takasago International Corp		50,625
	2,800	Tocalo Co Ltd		119,365
	2,000	Token Corp		251,854
	22,600	Tokyo Electron Ltd		4,204,704
	270,500	Tosoh Corp		6,014,564
	7,100	Towa Corp		142,891
	1,900	Toyoda Gosei Co Ltd		47,647
	70,200	Toyota Tsusho Corp		2,654,972
	11,700	TPR Co Ltd		402,761
	14,200	TS Tech Co Ltd		583,265
	7,200	TSI Holdings Co Ltd		54,873
	3,000	TV Asahi Holdings Corp		64,086
	11,800	UKC Holdings Corp		203,607
	9,100	UT Group Co Ltd *		245,346
	12,500	Wacoal Holdings Corp		388,358
	700	Yellow Hat Ltd		20,477
	12,300	Yuasa Trading Co Ltd		433,003
		Total Japan		163,917,588
		Malaysia — 0.0%
	132,724	Berjaya Sports Toto Berhad		75,281
	156,500	KSL Holdings Berhad *		45,156
	132,600	Malayan Flour Mills Berhad		60,756
	32,900	Malaysian Pacific Industries Berhad		104,554
	86,900	Oldtown Berhad		55,512
	193,600	Padini Holdings Berhad		239,068
	77,600	UOA Development Berhad		46,027
		Total Malaysia		626,354
		Mexico — 0.5%
	77,700	America Movil SAB de CV – Class L Sponsored ADR		1,328,670
	720,200	Arca Continental SAB de CV		4,929,862
	401,529	Bolsa Mexicana de Valores SAB de CV		686,268
	961,700	Cemex SAB de CV CPO *		734,364
	17,300	Coca-Cola Femsa SAB de CV Sponsored ADR		1,184,358
	21,100	Corp Inmobiliaria Vesta SAB de CV		26,563
	1,383,700	Genomma Lab Internacional SAB de CV – Class B *		1,641,715
	19,700	Gentera SAB de CV		17,982
	4,300	Grupo Aeroportuario del Pacifico SAB de CV – Class B		42,852
	87,000	Grupo Financiero Interacciones SA de CV – Class O		399,352
	10,600	Grupo Financiero Santander Mexico SAB de CV ADR		86,178
	171,042	Grupo Herdez SAB de CV		392,471
	148,900	Megacable Holdings SAB de CV CPO		630,912
	4,792,738	Wal-Mart de Mexico SAB de CV		11,316,274
		Total Mexico		23,417,821

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Netherlands — 0.7%
	60,600	AVG Technologies NV * (b)		1,659,691
	364	BinckBank NV		1,862
	26,100	Constellium NV – Class A *		276,660
	21,215	Heineken Holding NV		2,042,530
	865,014	ING Groep NV		15,630,970
	41,446	Philips Lighting NV		1,568,241
	22,654	Unilever NV CVA		1,306,431
	129,576	Wolters Kluwer NV		6,709,253
		Total Netherlands		29,195,638
		New Zealand — 0.0%
	640,296	Air New Zealand Ltd		1,404,214
	9,932	Fletcher Building Ltd		47,284
	19,898	Fletcher Building Ltd		93,835
		Total New Zealand		1,545,333
		Norway — 0.2%
	8,812	Austevoll Seafood ASA		74,168
	25,729	Bakkafrost P/F		972,003
	76,856	BW LPG Ltd *		304,236
	196,279	DNB ASA		3,575,289
	43,686	Orkla ASA		438,218
	1,716	Salmar ASA		50,387
	19,206	SpareBank 1 Nord Norge		142,182
	10,671	SpareBank 1 SR Bank ASA		111,517
	140,241	Storebrand ASA		1,120,340
	265,345	Subsea 7 SA		3,881,747
		Total Norway		10,670,087
		Peru — 0.0%
	2,500	Credicorp Ltd		527,575
		Philippines — 0.0%
	107,500	First Gen Corp		37,419
	269,200	Lopez Holding Corp		30,661
	17,540	Manila Electric Co		109,855
	169,800	Manila Water Co Inc		95,852
	379,000	Megaworld Corp		40,286
		Total Philippines		314,073
		Poland — 0.2%
	97,405	Asseco Poland SA		1,224,788
	374,786	Enea SA		1,262,600
	154,270	Energa SA		528,044
	66,040	Impexmetal SA *		80,433
	122,772	KGHM Polska Miedz SA		3,707,308
	129,882	PGE Polska Grupa Energetyczna SA *		439,085
	24,045	Polski Koncern Naftowy ORLEN SA		755,819
	2,460,762	Tauron Polska Energia SA *		2,161,914
		Total Poland		10,159,991

Shares		Description	Value ($)
		Portugal — 0.0%
	95,779	CTT-Correios de Portugal SA		370,498
		Qatar — 0.0%
	5,256	Barwa Real Estate Co		40,490
	835	Industries Qatar QSC		20,420
	1,836	Qatar National Bank QPSC		58,864
		Total Qatar		119,774
		Russia — 0.4%
	95,500	Aeroflot PJSC		248,541
	369,800	Alrosa PJSC		490,988
	9,472,000	ENEL RUSSIA PJSC		220,923
	12,930	Gazprom Neft PJSC		55,539
	385,917	Gazprom PJSC Sponsored ADR		1,726,192
	13,164	Globaltrans Investment Plc Sponsored GDR (Registered)		121,170
	1,323,000	Inter RAO UES PJSC		83,560
	21,347	LUKOIL PJSC Sponsored ADR		1,187,763
	12,080	M.Video PJSC *		80,728
	17,612	Magnit PJSC Sponsored GDR (Registered)		464,564
	62,300	Magnitogorsk Iron & Steel OJSC		46,670
	4,588	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR		47,718
	60,687	MegaFon PJSC GDR (Registered)		585,582
	83,746	MMC Norilsk Nickel PJSC ADR		1,454,574
	199,400	Mobile TeleSystems PJSC Sponsored ADR		2,067,778
	198,520	Moscow Exchange MICEX-RTS PJSC		421,266
	4,878	Novatek PJSC Sponsored GDR (Registered)		552,986
	18,300	Novolipetsk Steel PJSC		41,347
	14,476	Novolipetsk Steel PJSC GDR		327,448
	11,200	QIWI Plc Sponsored ADR		164,976
	178,050	Rostelecom PJSC		195,327
	264,664	Sberbank of Russia Sponsored ADR		4,327,328
	13,757	Severstal PJSC GDR (Registered)		213,807
	39,113	Sistema PJSC FC Sponsored GDR (Registered)		140,448
	183,700	Surgutneftegas OJSC		86,262
	16,908	Surgutneftegas OJSC Sponsored ADR		77,798
	1,240	Tatneft PJSC		9,731
	6,137	Tatneft PJSC Sponsored ADR		290,273
	823	TCS Group Holding Plc GDR		15,252
	25,600	VEON Ltd ADR		103,424
	86,200	Yandex NV – Class A *		2,854,082
		Total Russia		18,704,045
		Singapore — 0.1%
	71,700	CapitaLand Commercial Trust (REIT)		100,603
	19,100	China Aviation Oil Singapore Corp Ltd		23,260
	308,000	Fortune Real Estate Investment Trust		380,591
	152,200	Frasers Centrepoint Trust (REIT)		250,630

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Singapore — continued
	120,300	Japfa Ltd		44,735
	543,900	Mapletree Greater China Commercial Trust (REIT)		476,322
	308,100	Mapletree Industrial Trust (REIT)		450,294
	63,910	Mapletree Logistics Trust (REIT)		60,227
	107,400	Parkway Life Real Estate Investment Trust		231,042
	800	SATS Ltd		3,143
	173,300	Venture Corp Ltd		2,704,192
	741,300	Yangzijiang Shipbuilding Holdings Ltd		866,638
	266,000	Yanlord Land Group Ltd		328,030
		Total Singapore		5,919,707
		South Africa — 1.3%
	11,816	AECI Ltd		80,208
	53,391	African Rainbow Minerals Ltd		473,432
	74,735	Astral Foods Ltd		1,206,100
	498,052	Aveng Ltd *		90,977
	194,451	AVI Ltd		1,432,395
	596,022	Barclays Africa Group Ltd		6,818,306
	351,087	Barloworld Ltd		3,953,171
	100,038	Bidvest Group Ltd (The)		1,400,394
	770,801	Blue Label Telecoms Ltd		896,639
	712	Capitec Bank Holdings Ltd		51,109
	39,539	Clicks Group Ltd		500,674
	75,403	DataTec Ltd *		311,964
	254,239	Emira Property Fund Ltd (REIT)		245,288
	78,631	FirstRand Ltd		322,661
	3,297	Foschini Group Ltd (The)		37,990
	4,418	Hyprop Investments Ltd (REIT)		34,662
	16,386	KAP Industrial Holdings Ltd		10,480
	161,231	Kumba Iron Ore Ltd		3,823,649
	31,694	Lewis Group Ltd		56,702
	323,545	Liberty Holdings Ltd		2,739,132
	4,088	Massmart Holdings Ltd		33,461
	1,565,404	Merafe Resources Ltd		185,684
	821,115	MMI Holdings Ltd		1,205,668
	204,985	Mondi Ltd		4,856,819
	16,654	Mr Price Group Ltd		253,152
	689,813	Murray & Roberts Holdings Ltd		697,822
	561,380	Nedbank Group Ltd		9,438,570
	1,300	Net 1 UEPS Technologies, Inc. *		14,430
	140,492	Raubex Group Ltd		192,472
	213,591	Reunert Ltd		1,089,408
	2,721	RMB Holdings Ltd		13,241
	5,597	Sanlam Ltd		31,953
	22,259	Santam Ltd		417,998
	113,256	Shoprite Holdings Ltd		1,880,895
	684,952	Standard Bank Group Ltd		8,637,973
	24,917	Steinhoff International Holdings NV		102,285
	37,251	Sun International Ltd *		148,991
	276,918	Telkom SA SOC Ltd		1,003,229

Shares		Description	Value ($)
		South Africa — continued
	19,125	Truworths International Ltd		111,174
	156,705	Tsogo Sun Holdings Ltd		247,787
	17,225	Vodacom Group Ltd		182,139
	93,129	Wilson Bayly Holmes-Ovcon Ltd		1,018,849
	19,585	Woolworths Holdings Ltd		82,726
		Total South Africa		56,332,659
		South Korea — 1.9%
	677	Able C&C Co Ltd		13,983
	2,119	Aekyung Petrochemical Co Ltd		31,732
	245	Amorepacific Group		33,251
	66,225	BNK Financial Group Inc		579,458
	1,013	Cheil Worldwide Inc		18,751
	824	Com2uSCorp		95,522
	475	Coway Co Ltd		41,897
	212	Cuckoo Electronics Co Ltd (c)		31,847
	22,126	Daishin Securities Co Ltd		298,997
	22,144	Daou Data Corp		208,210
	20,829	Daou Technology Inc		366,105
	11,381	DB Insurance Co Ltd		718,695
	15,988	DGB Financial Group Inc		146,943
	983	Dongsuh Cos Inc		27,032
	24,043	Dongwon Development Co Ltd		114,187
	1,456	Douzone Bizon Co Ltd		46,044
	9,817	E-MART Inc		2,479,561
	27,607	Grand Korea Leisure Co Ltd		827,658
	2,844	GS Home Shopping Inc		556,381
	1,485	GS Retail Co Ltd		53,952
	58,348	Hana Financial Group Inc		2,546,635
	991	Hancom Inc		15,478
	32	Hankook Shell Oil Co Ltd		11,735
	29,942	Hankook Tire Co Ltd		1,480,408
	16,825	Hankook Tire Worldwide Co Ltd		293,919
	11,493	Hanon Systems		140,080
	1,110	Hansol Paper Co Ltd		15,096
	17,377	Hanwha Corp		666,705
	300,789	Hanwha Life Insurance Co Ltd		2,069,441
	9,775	Hyundai Corp		183,671
	6,278	Hyundai Engineering & Construction Co Ltd		202,875
	414	Hyundai Glovis Co Ltd		55,776
	817	Hyundai Greenfood Co Ltd		11,655
	4,661	Hyundai Home Shopping Network Corp		560,542
	10,462	Hyundai Hy Communications & Network Co Ltd		35,102
	57,012	Hyundai Marine & Fire Insurance Co Ltd		2,284,192
	5,914	Hyundai Mobis Co Ltd		1,490,478
	57,266	Hyundai Motor Co		8,691,298
	1,280	iMarketKorea Inc		12,342
	294,684	Industrial Bank of Korea		4,306,186
	2,479	Innocean Worldwide Inc		177,709
	111	It’s Hanbul Co Ltd		5,207

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	118,452	JB Financial Group Co Ltd		650,617
	16,503	Kangwon Land Inc		563,881
	159,454	KB Financial Group Inc		8,804,437
	1,060	KEPCO Plant Service & Engineering Co Ltd		36,825
	225,220	Kia Motors Corp		6,975,850
	1,563	KISCO Corp		55,355
	607	KIWOOM Securities Co Ltd		46,116
	14,126	Korea Asset In Trust Co Ltd		107,293
	12,307	Korea Real Estate Investment & Trust Co Ltd		38,814
	766	Korea Zinc Co Ltd		343,374
	18,338	Korean Reinsurance Co		182,946
	2,900	KT Corp Sponsored ADR		45,240
	8,335	KT Hitel Co Ltd *		43,660
	6,301	KT Skylife Co Ltd		76,512
	12,316	KT&G Corp		1,385,228
	27,927	Kwang Dong Pharmaceutical Co Ltd		228,347
	14,392	Kwangju Bank		156,666
	4,218	Kyobo Securities Co Ltd		37,158
	18,594	LF Corp		525,259
	102,789	LG Display Co Ltd		2,936,979
	55,474	LG Electronics Inc		4,616,007
	50	LG Household & Health Care Ltd		53,917
	3,586	Lotte Corp		203,086
	18,680	LOTTE Himart Co Ltd		1,298,739
	2,798	Lotte Shopping Co Ltd		539,459
	3,228	LS Corp		198,692
	6,289	Meritz Financial Group Inc		91,067
	7,386	Meritz Fire & Marine Insurance Co Ltd		174,781
	31,742	Meritz Securities Co Ltd		138,948
	297	Namyang Dairy Products Co Ltd		190,100
	32,006	NHN Entertainment Corp *		1,996,148
	64	Ottogi Corp		46,661
	2,558	Partron Co Ltd		20,946
	2,127	Posco Daewoo Corp		36,436
	1,395	S&T Motiv Co Ltd		60,991
	2,181	Samjin Pharmaceutical Co Ltd		73,234
	23,132	Samsung Card Co Ltd		813,601
	1,065	Samsung Electronics Co Ltd		2,506,438
	1,514	Samsung Fire & Marine Insurance Co Ltd		362,936
	516	Samsung Life Insurance Co Ltd		60,925
	553	Samsung SDS Co Ltd		96,309
	1,946	Samsung Securities Co Ltd		65,519
	3,901	Seah Besteel Corp		108,404
	4,977	SeAH Steel Corp		440,136
	11,764	Seoyon E-Hwa Co Ltd		123,627
	57,452	Shinhan Financial Group Co Ltd		2,563,284
	3,146	Shinsegae Inc		830,805
	3,619	Silicon Works Co Ltd		175,333
	818	Sindoh Co Ltd		48,680
	500	SK Gas Ltd		44,944

Shares		Description	Value ($)
		South Korea — continued
	635	SK Innovation Co Ltd		121,153
	3,174	SK Telecom Co Ltd		772,872
	57,700	SK Telecom Co Ltd Sponsored ADR		1,583,288
	11,218	SL Corp		229,053
	101	Soulbrain Co Ltd		5,988
	1,656	Spigen Korea Co Ltd		71,626
	1,342	Ssangyong Information & Communication *		1,832
	39,258	Tongyang Life Insurance Co Ltd		292,712
	2,651	Unid Co Ltd		109,024
	349,424	Woori Bank		5,199,056
		Total South Korea		81,554,050
		Spain — 0.5%
	18,912	Ebro Foods SA		436,848
	192,433	Endesa SA		4,290,920
	248,501	Mapfre SA		835,949
	820,674	Repsol SA		15,051,229
		Total Spain		20,614,946
		Sweden — 0.5%
	33,973	Acando AB		110,450
	17,916	Alfa Laval AB		423,997
	52,858	Atlas Copco AB – A Shares		2,272,384
	3,173	Axfood AB		59,750
	23,926	Bilia AB – A Shares		223,410
	11,765	Bufab AB		141,962
	11,522	KappAhl AB		65,611
	4,438	KNOW IT AB		78,161
	1,025	NCC AB – B Shares		21,317
	25,268	Nobina AB		151,599
	7,609	Ratos AB – B Shares		33,528
	480,081	Sandvik AB		8,253,224
	1,216	Securitas AB – B Shares		21,370
	10,437	Volvo AB – A Shares		199,615
	526,566	Volvo AB – B Shares		10,036,394
		Total Sweden		22,092,772
		Switzerland — 0.8%
	3,840	ALSO Holding AG (Registered) *		515,876
	719	Autoneum Holding AG		196,407
	340	Bell Food Group AG (Registered)		148,653
	6,969	BKW AG		412,861
	4,224	Bobst Group SA (Registered)		535,990
	1,782	Bossard Holding AG (Registered) – A Shares		397,772
	640	Coltene Holding AG (Registered)		62,092
	1,395	Comet Holding AG (Registered) *		221,905
	44	Emmi AG (Registered) *		28,504
	803	EMS-Chemie Holding AG (Registered)		536,025
	2,057	Georg Fischer AG (Registered)		2,710,875
	108	Gurit Holding AG *		114,981

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	708	Inficon Holding AG (Registered) *		421,312
	23	Intershop Holding AG		11,455
	3,348	Kardex AG (Registered) *		391,507
	525	Kuehne & Nagel International AG (Registered)		92,295
	74,501	Logitech International SA (Registered)		2,598,808
	3,200	Luxoft Holding Inc *		164,800
	38,829	Nestle SA (Registered)		3,321,802
	10,296	Novartis AG (Registered)		883,362
	2,116	Orior AG		160,242
	10,203	Roche Holding AG		2,578,450
	744	Sika AG		5,756,751
	12,940	Swiss Life Holding AG (Registered) *		4,352,028
	68,697	Swiss Re AG		6,450,001
		Total Switzerland		33,064,754
		Taiwan — 2.3%
	298,000	AcBel Polytech Inc		224,214
	32,000	Actron Technology Corp		133,808
	35,000	Advantech Co Ltd		233,948
	23,000	Alpha Networks Inc		19,182
	123,000	AmTRAN Technology Co Ltd		67,450
	349,000	Asia Vital Components Co Ltd		420,780
	46,000	ASROCK Inc		126,920
	193,000	Asustek Computer Inc		1,780,548
	8,400	Aurora Corp		24,789
	17,000	Casetek Holdings Ltd		66,169
	117,000	Catcher Technology Co Ltd		1,268,765
	266,000	Cathay Financial Holding Co Ltd		460,986
	221,000	Chailease Holding Co Ltd		643,532
	50,000	Channel Well Technology Co Ltd		61,414
	211,000	Cheng Shin Rubber Industry Co Ltd		362,112
	9,105	Chicony Electronics Co Ltd		24,258
	68,110	Chicony Power Technology Co Ltd		137,824
	110,000	Chin-Poon Industrial Co Ltd		227,445
	322,000	China Motor Corp		289,376
	294,600	China Synthetic Rubber Corp		421,160
	10,000	Chong Hong Construction Co Ltd		25,169
	320,000	Chunghwa Telecom Co Ltd		1,106,511
	5,000	Cleanaway Co Ltd		28,803
	1,141,000	Compal Electronics Inc		792,089
	499,000	Coretronic Corp		558,083
	1,105,000	CTBC Financial Holding Co Ltd		739,665
	60,000	CTCI Corp		88,237
	96,000	Cyberlink Corp		195,740
	5,000	Delta Electronics Inc		22,882
	58,000	Dynapack International Technology Corp		90,709
	4,040	Eclat Textile Co Ltd		36,454
	450,000	Elan Microelectronics Corp		773,619
	357,000	Elitegroup Computer Systems Co Ltd *		232,330
	12,000	Everlight Electronics Co Ltd		18,427
	210,000	Far EasTone Telecommunications Co Ltd		500,662

Shares		Description	Value ($)
		Taiwan — continued
	285,000	Farglory Land Development Co Ltd		301,023
	62,000	Formosa Advanced Technologies Co Ltd		65,456
	9,000	Formosa Chemicals & Fibre Corp		27,389
	9,000	Formosa Petrochemical Corp		31,941
	60,000	Formosa Plastics Corp		181,804
	84,600	Formosan Rubber Group Inc		40,715
	428,000	Foxconn Technology Co Ltd		1,195,894
	4,233,000	Fubon Financial Holding Co Ltd		6,951,150
	311,000	Gemtek Technology Corp		265,206
	673,000	Gigabyte Technology Co Ltd		1,094,814
	550,000	Grand Pacific Petrochemical		496,688
	1,144,000	Great Wall Enterprise Co Ltd		1,286,705
	79,000	Greatek Electronics Inc		137,106
	498,000	Highwealth Construction Corp		664,549
	121,000	Holtek Semiconductor Inc		301,031
	5,864,300	Hon Hai Precision Industry Co Ltd		19,685,838
	59,000	Huaku Development Co Ltd		138,665
	83,000	IEI Integration Corp		118,543
	3,078,000	Inventec Corp		2,321,421
	18,000	ITEQ Corp		39,595
	3,000	Kenda Rubber Industrial Co Ltd		3,833
	16,000	King’s Town Bank Co Ltd		18,465
	2,000	Kung Long Batteries Industrial Co Ltd		9,706
	592,000	Lite-On Semiconductor Corp		874,735
	1,252,000	Lite-On Technology Corp		1,547,888
	149,000	Lotes Co Ltd		847,777
	34,000	Makalot Industrial Co Ltd		137,136
	886,005	Mercuries Life Insurance Co Ltd *		487,291
	8,000	Merida Industry Co Ltd		33,073
	33,600	MIN AIK Technology Co Ltd		32,318
	867,000	Mitac Holdings Corp		1,045,668
	32,000	Nan Ya Plastics Corp		80,784
	3,000	Nien Made Enterprise Co Ltd		27,538
	85,000	Novatek Microelectronics Corp		325,403
	332,000	Nuvoton Technology Corp		804,827
	2,000	On-Bright Electronics, Inc.		19,506
	448,105	OptoTech Corp		351,757
	3,993,000	Pegatron Corp		9,155,505
	277,000	Phison Electronics Corp		2,821,181
	2,000,000	Pou Chen Corp		2,407,804
	5,000	President Chain Store Corp		47,493
	424,000	Quanta Computer Inc		871,753
	1,671,000	Radiant Opto-Electronics Corp		3,634,230
	150,000	Realtek Semiconductor Corp		560,011
	27,000	Rechi Precision Co Ltd		26,782
	111,000	Ruentex Development Co Ltd *		115,760
	295,000	Ruentex Industries Ltd *		492,688
	31,000	Sercomm Corp		83,108
	173,000	Sheng Yu Steel Co Ltd		165,715
	60,000	Shinkong Insurance Co Ltd		57,613
	17,000	ShunSin Technology Holding Ltd		71,316
	53,000	Sigurd Microelectronics Corp		56,451

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	55,800	Simplo Technology Co Ltd		319,342
	9,000	Sinbon Electronics Co Ltd		25,807
	30,000	Sinmag Equipment Corp		165,138
	53,000	Sitronix Technology Corp		145,734
	214,000	Soft-World International Corp		501,422
	1,000	St Shine Optical Co Ltd		29,237
	743,000	Sunonwealth Electric Machine Industry Co Ltd		1,521,541
	1,667,000	Sunplus Technology Co Ltd		969,385
	286,000	Syncmold Enterprise Corp		631,936
	14,700	TaiDoc Technology Corp		50,280
	26,000	Taiwan Fertilizer Co Ltd		33,200
	8,000	Taiwan Mobile Co Ltd		28,686
	13,000	Taiwan PCB Techvest Co Ltd		14,068
	443,000	Taiwan Semiconductor Co Ltd		1,003,342
	281,000	Taiwan Semiconductor Manufacturing Co Ltd		2,122,549
	145,642	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		5,767,423
	122,000	Taiwan Surface Mounting Technology Corp		122,587
	7,000	Teco Electric and Machinery Co Ltd		6,889
	21,000	Test Research Inc		27,747
	37,000	Tong Hsing Electronic Industries Ltd		190,156
	15,000	TOPBI International Holdings Ltd		56,690
	387,000	Topco Scientific Co Ltd		1,021,000
	24,000	Transcend Information Inc		67,257
	576,000	Tripod Technology Corp		1,866,487
	22,000	TXC Corp		28,968
	78,000	Uni-President Enterprises Corp		166,165
	112,000	United Integrated Services Co Ltd		220,414
	2,913,000	United Microelectronics Corp		1,492,648
	73,000	Well Shin Technology Co Ltd		143,216
	4,720,000	Winbond Electronics Corp		4,530,617
	713,558	Wistron Corp		553,267
	17,505	Wistron NeWeb Corp		49,978
	575,000	WPG Holdings Ltd		783,413
	15,000	Xxentria Technology Materials Corp		31,050
	56,000	Yuanta Financial Holding Co Ltd		26,073
	41,000	Yulon Motor Co Ltd		32,670
	102,000	Yungtay Engineering Co Ltd		176,248
	6,000	Zeng Hsing Industrial Co Ltd		26,349
		Total Taiwan		99,713,687
		Thailand — 0.8%
	227,200	Advanced Info Service Pcl NVDR		1,215,672
	97,700	Airports of Thailand Pcl NVDR		186,450
	237,300	Amata Corp Pcl NVDR		181,501
	231,000	AP Thailand Pcl NVDR		62,350
	6,500	Bangkok Bank Pcl (Foreign Registered) (a)		42,830
	33,000	Bangkok Bank Pcl NVDR		201,767
	87,200	Bangkok Dusit Medical Services Pcl NVDR		56,919

Shares		Description	Value ($)
		Thailand — continued
	179,300	Banpu Pcl NVDR		93,953
	70,300	BEC World Pcl NVDR		32,072
	8,700	Bumrungrad Hospital Pcl NVDR		53,110
	88,400	Central Pattana Pcl NVDR		217,684
	164,900	GFPT Pcl (Foreign Registered)		69,299
	272,700	GFPT Pcl NVDR		114,601
	48,700	Glow Energy Pcl NVDR		130,126
	49,500	Hana Microelectronics Pcl NVDR		71,781
	799,000	Indorama Ventures Pcl NVDR		1,200,025
	141,600	Intouch Holdings Pcl NVDR		235,518
	124,100	Jasmine International Pcl NVDR		27,049
	63,600	Kasikornbank Pcl NVDR		443,456
	28,700	KCE Electronics Pcl NVDR		72,617
	320,200	Kiatnakin Bank Pcl (Foreign Registered)		739,270
	335,000	Kiatnakin Bank Pcl NVDR		773,439
	401,600	Krung Thai Bank Pcl NVDR		237,656
	935,800	Land & Houses Pcl NVDR		301,189
	278,700	LPN Development Pcl NVDR		111,930
	37,200	Malee Group Pcl (Foreign Registered)		44,195
	86,200	MC Group Pcl NVDR		42,209
	99,700	Mega Lifesciences Pcl (Foreign Registered)		124,647
	304,700	Mega Lifesciences Pcl NVDR		380,943
	35,000	Minor International Pcl NVDR		46,601
	104,700	Pruksa Holding Pcl NVDR		75,002
	152,000	PTT Exploration & Production Pcl (Foreign Registered)		425,023
	1,472,100	PTT Exploration & Production Pcl NVDR		4,116,291
	85,000	PTT Global Chemical Pcl NVDR		206,964
	167,500	PTT Pcl (Foreign Registered)		2,118,006
	289,100	PTT Pcl NVDR		3,655,613
	1,025,600	Quality Houses Pcl NVDR		95,528
	65,100	Ratchaburi Electricity Generating Holding Pcl NVDR		111,159
	8,543,000	Sansiri Pcl NVDR		587,548
	84,600	Siam Cement Pcl (The) (Foreign Registered)		1,235,631
	90,700	Siam Cement Pcl (The) NVDR		1,324,725
	100,400	Siam Commercial Bank Pcl (The) NVDR		469,924
	76,900	Siamgas & Petrochemicals Pcl NVDR		50,437
	241,800	Sri Trang Agro-Industry Pcl NVDR		95,083
	1,000,100	Star Petroleum Refining Pcl		496,678
	169,300	STP & I Pcl NVDR		30,596
	533,900	Supalai Pcl NVDR		390,953
	10,010,000	Thai Beverage Pcl		7,169,115
	213,700	Thai Oil Pcl (Foreign Registered)		609,531
	86,400	Thai Oil Pcl NVDR		246,436
	52,600	Thai Vegetable Oil Pcl NVDR		49,074
	835,700	Thanachart Capital Pcl (Foreign Registered)		1,441,474
	155,100	Thanachart Capital Pcl NVDR		267,527
	39,800	Tipco Asphalt Pcl NVDR		25,622

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Thailand — continued
	14,800	Tisco Financial Group Pcl NVDR		40,061
	15,400	Total Access Communication Pcl NVDR *		19,944
	134,400	TTW Pcl NVDR		51,486
		Total Thailand		32,916,290
		Turkey — 0.6%
	29,143	Akbank Turk AS		66,849
	2,683	Arcelik AS		13,566
	6,153	BIM Birlesik Magazalar AS		113,485
	1,862,002	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT) *		1,166,067
	89,502	Enka Insaat ve Sanayi AS		128,847
	2,176,528	Eregli Demir ve Celik Fabrikalari TAS		4,787,675
	52,341	Haci Omer Sabanci Holding AS		135,698
	680,498	KOC Holding AS		2,862,553
	2,088	Koza Altin Isletmeleri AS *		16,026
	3,678	Otokar Otomotiv Ve Savunma Sanayi AS		100,569
	90,907	Selcuk Ecza Deposu Ticaret ve Sanayi AS		76,675
	262,502	Soda Sanayii AS		329,949
	34,112	Tekfen Holding AS		123,357
	283,062	Turkiye Garanti Bankasi AS		693,501
	1,868,021	Turkiye Halk Bankasi AS		4,233,117
	5,852,095	Turkiye Is Bankasi – Class C		9,211,566
	158,020	Turkiye Sinai Kalkinma Bankasi AS		54,409
	2,712,680	Turkiye Vakiflar Bankasi TAO – Class D		4,000,197
	17,422	Yapi ve Kredi Bankasi AS *		18,430
		Total Turkey		28,132,536
		United Arab Emirates — 0.0%
	114,502	Aldar Properties PJSC		68,742
	310,129	DAMAC Properties Dubai Co PJSC		291,335
	37,776	Dubai Investments PJSC		25,343
	10,269	Emaar Properties PJSC		21,151
	12,864	Emirates Telecommunications Group Co PJSC		57,512
	204,758	RAK Properties PJSC		38,095
		Total United Arab Emirates		502,178
		United Kingdom — 1.9%
	193,375	3i Group Plc		2,358,622
	242,823	AstraZeneca Plc		15,671,392
	90,604	Berkeley Group Holdings Plc (The)		4,677,711
	1,361,916	BP Plc		9,070,673
	218,637	British American Tobacco Plc		13,903,632
	6,312	Carillion Plc *		1,430
	7,368	Centrica Plc		14,405
	75,560	Coca-Cola HBC AG *		2,421,526
	31,985	Computacenter Plc		487,473
	138,952	Electrocomponents Plc		1,186,283
	416,555	Ferrexpo Plc		1,427,504
	256,156	Firstgroup Plc *		379,399

Shares		Description	Value ($)
		United Kingdom — continued
	41,762	Galliford Try Plc		667,638
	185,647	GlaxoSmithKline Plc		3,212,146
	89,400	GlaxoSmithKline Plc Sponsored ADR		3,134,364
	747	HSBC Holdings Plc		7,444
	22,379	Hunting Plc *		164,074
	128,018	Inchcape Plc		1,291,094
	366,489	Indivior Plc *		1,839,312
	15,182	Intermediate Capital Group Plc		218,993
	6,529	Legal & General Group Plc		23,610
	941,754	Lloyds Banking Group Plc		840,456
	29,290	Lookers Plc		38,436
	13,100	Mitie Group Plc *		34,806
	11,434	Mondi Plc		273,194
	25,278	Mondi Plc		599,747
	6,302	Morgan Sindall Group Plc		116,881
	214,697	Persimmon Plc		7,374,320
	112,366	QinetiQ Group Plc		328,676
	34,656	Reckitt Benckiser Group Plc		3,042,016
	47,397	RPS Group Plc		174,452
	213,167	Sage Group Plc (The)		2,232,656
	24,466	Spectris Plc		829,148
	77,037	Unilever Plc		4,345,520
	11,753	Vedanta Resources Plc		110,165
	9,008	WH Smith Plc		254,531
	241,173	Wm Morrison Supermarkets Plc		705,766
	45,257	WPP Plc		798,718
		Total United Kingdom		84,258,213
		United States — 3.5%
	27,015	3M Co.		6,568,427
	68,374	Abbott Laboratories		3,854,242
	37,582	Accenture Plc – Class A		5,562,512
	11,825	Alphabet, Inc. – Class C *		12,078,173
	46,694	American Express Co.		4,562,471
	10,604	Amphenol Corp. – Class A		960,616
	7,681	Analog Devices, Inc.		661,411
	12,269	Anthem, Inc.		2,882,724
	64,885	Apple, Inc.		11,150,487
	7,634	Becton Dickinson and Co.		1,742,155
	126,484	Cisco Systems, Inc.		4,717,853
	62,575	Coca-Cola Co. (The)		2,864,058
	65,517	Cognizant Technology Solutions Corp. – Class A		4,735,569
	20,767	Costco Wholesale Corp.		3,830,058
	14,795	CVS Health Corp.		1,133,297
	13,385	Eli Lilly & Co.		1,132,906
	35,872	Emerson Electric Co.		2,325,223
	10,310	Honeywell International, Inc.		1,607,948
	7,297	Humana, Inc.		1,903,495
	56,926	Johnson & Johnson		7,931,500
	13,823	Mastercard, Inc. – Class A		2,079,947
	56,011	Medtronic Plc		4,600,184

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		United States — continued
	153,290	Microsoft Corp.		12,902,419
	21,842	Monsanto Co.		2,584,782
	189,559	Oracle Corp.		9,299,765
	9,837	PepsiCo, Inc.		1,146,207
	37,560	Pfizer, Inc.		1,361,926
	37,036	Philip Morris International, Inc.		3,805,449
	70,484	QUALCOMM, Inc.		4,675,909
	35,984	Schlumberger Ltd.		2,261,594
	14,570	Stryker Corp.		2,272,920
	30,036	Teradata Corp. *		1,141,668
	19,702	Texas Instruments, Inc.		1,916,808
	10,874	TJX Cos., Inc. (The)		821,531
	40,980	UnitedHealth Group, Inc.		9,350,407
	23,269	United Technologies Corp.		2,826,020
	55,729	US Bancorp		3,073,454
	27,773	VF Corp.		2,026,318
	63,039	Wells Fargo & Co.		3,559,812
	8,873	Zimmer Biomet Holdings, Inc.		1,039,028
		Total United States		154,951,273
		TOTAL COMMON STOCKS (COST $1,279,304,943)		1,507,467,481
		DEBT OBLIGATIONS — 28.3%
		Japan — 1.7%
		Foreign Government Obligations — 1.7%
JPY	1,900,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/18/17		16,882,997
JPY	1,465,000,000	Japan Treasury Discount Bill, Zero Coupon, due 01/10/18		13,019,372
JPY	1,445,000,000	Japan Treasury Discount Bill, Zero Coupon, due 01/22/18		12,842,583
JPY	2,840,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/13/18		25,244,722
JPY	800,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/26/18		7,111,914
		Total Japan		75,101,588
		United States — 26.6%
		Asset-Backed Securities — 3.3%
	685,811	AccessLex Institute, Series 05-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.18%, 1.63%, due 11/22/24		685,810
	1,141,382	Acis CLO Ltd., Series 13-2A, Class C1R, 144A, Variable Rate, 3 mo. LIBOR + 1.30%, 2.66%, due 10/14/22		1,141,442
	3,175,972	Acis CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.87%, 2.22%, due 04/18/24		3,177,785
	413,060	AMMC CLO 21 Ltd., Series 17-21A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 2.24%, due 11/02/30		413,854

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,258,746	AMMC CLO XII Ltd., Series 13-12A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.06%, due 11/10/30		1,258,746
	566,436	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.31%, due 07/24/29		568,480
	1,087,674	AMMC CLO XIV Ltd., Series 14-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.32%, due 07/25/29		1,090,773
	254,358	Anchorage Capital CLO 6 Ltd., Series 15-6A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.26%, due 07/15/30		254,862
	358,710	Anchorage Capital CLO Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.01%, due 10/13/30		358,707
	1,307,384	Apidos CLO X, Series 12-10A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.42%, 2.80%, due 10/30/22		1,309,054
	1,866,393	Apidos CLO XII, Series 13-12A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.46%, due 04/15/25		1,867,796
	5,435,000	Apidos CLO XV, Series 13-15A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.46%, due 10/20/25		5,440,647
	4,192,386	ARES XXVI CLO Ltd., Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.46%, due 04/15/25		4,193,166
	867,426	Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .60%, 2.02%, due 11/17/27		867,423
	5,532,564	Atrium X, Series 10A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.31%, due 07/16/25		5,544,675
	392,407	Avery Point III CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.47%, due 01/18/25		393,690
	1,931,297	Babson CLO Ltd., Series 13-IA, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.46%, due 04/20/25		1,931,295
	516,325	Bain Capital Credit CLO, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.11%, due 07/20/30		516,313
	1,576,252	Ballyrock CLO LLC, Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.18%, 2.50%, due 05/20/25		1,579,650
	469,856	Benefit Street Partners CLO III Ltd., Series 13-IIIA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 2.21%, due 07/20/29		470,478
	271,250	Black Diamond CLO Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.36%, due 04/24/29		271,976
	1,478,320	BlueMountain CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.89%, 2.27%, due 10/29/25		1,478,431

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,032,650	BlueMountain CLO Ltd., Series 13-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.01%, due 10/22/30		1,032,643
	6,760,216	Brookside Mill CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.50%, due 04/17/25		6,768,490
	515,375	Carlyle US CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.13%, due 07/20/31		515,818
	265,235	Catamaran CLO Ltd., Series 12-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.19%, 2.52%, due 12/20/23		265,923
	413,060	Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 1.96%, due 04/22/30		413,058
	1,342,445	CBAM Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 2.07%, due 10/17/29		1,342,405
	1,032,650	CBAM Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, due 07/20/30		1,033,282
	2,065,300	CBAM Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 1.00%, due 01/15/31		2,065,300
	225,521	Cent CLO, Series 12-16A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 2.63%, due 08/01/24		225,601
	862,442	Cent CLO, Series 13-17A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.30%, 2.68%, due 01/30/25		863,987
	1,239,180	CIFC Funding II Ltd., Series 13-2A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.00%, due 10/18/30		1,239,171
	607,600	CIFC Funding III Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.12%, due 07/20/30		608,124
	1,392,447	CIFC Funding IV Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.13%, due 10/24/30		1,393,189
	347,840	CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.51%, due 01/16/26		347,904
	1,152,220	Dryden 30 Senior Loan Fund, Series 13-30A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.02%, due 11/15/28		1,152,215
	413,060	Dryden XXVIII Senior Loan Fund, Series 13-28A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.17%, due 08/15/30		413,179
	128,691	Eastland CLO Ltd., Series 07-1A, Class A3, 144A, Variable Rate, 3 mo. LIBOR + 0.40%, 1.78%, due 05/01/22		128,594
	722,855	Elevation CLO Ltd., Series 14-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.00%, due 10/15/29		722,850

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	475,019	Galaxy XV CLO Ltd., Series 13-15A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.01%, due 10/15/30		475,016
	1,054,390	Goldentree Loan Management US CLO 2 Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.17%, due 11/28/30		1,054,390
	188,215	GoldenTree Loan Opportunities VII Ltd., Series 13-7A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.52%, due 04/25/25		188,213
	634,444	Halcyon Loan Advisors Funding Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.51%, due 04/15/25		634,470
	361,427	Highbridge Loan Management Ltd., Series 3A-2014, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.15%, due 07/18/29		361,742
	413,060	Highbridge Loan Management Ltd., Series 13-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.01%, due 10/20/29		413,057
	3,689,000	Higher Education Funding I, Series 05-1, Class A5, Variable Rate, 3 mo. LIBOR + 0.16%, 1.62%, due 02/25/32		3,678,032
	843,733	Higher Education Funding I, Series 05-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.14%, 1.60%, due 02/25/30		843,735
	826,120	Jamestown CLO X Ltd., Series 17-10A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.37%, due 07/17/29		827,728
	393,859	KeyCorp Student Loan Trust, Series 00-A, Class A2, Variable Rate, 3 mo. LIBOR + 0.32%, 1.78%, due 05/25/29		391,546
	642,617	KeyCorp Student Loan Trust, Series 06-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.31%, 1.64%, due 09/27/35		641,915
	844,759	KeyCorp Student Loan Trust, Series 05-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.34%, 1.67%, due 06/27/38		844,505
	902,217	KeyCorp Student Loan Trust, Series 04-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.53%, 1.90%, due 01/27/42		902,331
	570,675	KKR CLO Ltd., Series 9, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.31%, due 07/15/30		571,915
	380,450	KKR CLO Ltd., Series 18, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.35%, due 07/18/30		380,602
	7,709	LB-UBS Commercial Mortgage Trust, Series 06-C1, Class AJ, 5.28%, due 02/15/41		7,711
	586,980	LCM XXV Ltd., Series 25-A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.26%, due 07/20/30		588,891

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	6,475,694	Montana Higher Education Student Assistance Corp., Series 05-1, Class B, Variable Rate, 3 mo. LIBOR + 0.12%, 1.45%, due 06/20/30		6,450,762
	845,686	Mountain View CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.11%, due 10/12/30		845,679
	326,100	MP CLO III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.01%, due 10/20/30		326,098
	2,149,822	National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.25%, 1.58%, due 03/27/28		2,131,403
	849,172	National Collegiate Student Loan Trust, Series 07-2, Class A2, Variable Rate, 1 mo. LIBOR + 0.13%, 1.46%, due 06/26/28		847,317
	6,510,000	National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 1.56%, due 03/26/29		6,330,913
	1,882,704	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 1.57%, due 07/25/30		1,830,433
	413,060	Neuberger Berman CLO XV, Series 13-15A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.01%, due 10/15/29		413,057
	646,049	Neuberger Berman CLO XVII Ltd., Series 14-17A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.36%, due 04/22/29		647,770
	658,403	Newcastle CDO V Ltd., Series 04-5A, Class 3, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.20%, due 12/24/39		656,377
	5,178,431	NewMark Capital Funding CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.94%, 2.26%, due 06/02/25		5,179,451
	1,562,050	NewMark Capital Funding CLO Ltd., Series 13-1A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.44%, due 06/02/25		1,562,978
	162,750	Oaktree CLO, Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.31%, due 05/13/29		162,857
	1,021,730	Ocean Trails CLO IV, Series 13-4A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.31%, due 08/13/25		1,022,562
	494,760	Octagon Investment Partners XIV Ltd., Series 12-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.88%, 2.24%, due 07/15/19		495,426
	344,579	Octagon Investment Partners XV Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.16%, due 07/19/30		344,997

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,332,222	OFSI Fund V Ltd., Series 13-5A, Class A1LA, 144A, Variable Rate, 3 mo. LIBOR + 0.93%, 2.28%, due 04/17/25		1,332,712
	309,795	OFSI Fund V Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 2.16%, due 08/16/29		310,310
	1,346,144	OHA Credit Partners VIII Ltd., Series 13-8A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.48%, due 04/20/25		1,348,771
	380,450	OHA Credit Partners XIV Ltd., Series 17-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.18%, due 01/21/30		380,450
	908,732	OZLM Funding Ltd., Series 13-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.01%, due 10/22/30		908,726
	460,344	OZLM XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.13%, due 10/30/30		460,551
	2,184,400	Palmer Square CLO Ltd., Series 13-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.97%, 2.39%, due 05/15/25		2,188,723
	5,603,490	SLM Private Credit Student Loan Trust, Series 07-A, Class A3, Variable Rate, 3 mo. LIBOR + 0.17%, 1.49%, due 12/15/26		5,600,572
	765,300	SLM Private Education Loan Trust, Series 14-A, Class A2B, 144A, Variable Rate, 1 mo. LIBOR + 1.15%, 2.40%, due 01/15/26		771,634
	725,579	SLM Private Education Loan Trust, Series 11-A, Class A2, 144A, 4.37%, due 04/17/28		735,756
	1,784,854	SLM Private Education Loan Trust, Series 11-A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.50%, 3.75%, due 01/15/43		1,854,552
	3,391,789	SLM Private Education Loan Trust, Series 10-A, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + 3.25%, 4.50%, due 05/16/44		3,495,342
	702,707	SLM Private Education Loan Trust, Series 12-C, Class A2, 144A, 3.31%, due 10/15/46		705,473
	5,223,585	SLM Student Loan Trust, Series 07-6, Class A4, Variable Rate, 3 mo. LIBOR + 0.38%, 1.75%, due 10/25/24		5,225,513
	2,008,939	SLM Student Loan Trust, Series 07-1, Class A5, Variable Rate, 3 mo. LIBOR + 0.09%, 1.46%, due 01/26/26		2,004,832
	286,920	SMB Private Education Loan Trust, Series 16-B, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.65%, 1.90%, due 11/15/23		287,259
	2,185,400	SMB Private Education Loan Trust, Series 17-A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.45%, 1.70%, due 06/17/24		2,189,003

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	284,404	South Carolina Student Loan Corp., Series 08-1, Class A3, Variable Rate, 3 mo. LIBOR + 0.75%, 2.07%, due 03/02/20		284,865
	769,562	South Carolina Student Loan Corp., Series 05, Class A3, Variable Rate, 3 mo. LIBOR + 0.14%, 1.46%, due 12/01/23		769,369
	1,270,421	Symphony CLO V Ltd., Series 07-5A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.11%, due 01/15/24		1,271,703
	89,334	Symphony CLO VIII LP, Series 12-8A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.45%, due 01/09/23		89,487
	586,980	TCI-Symphony CLO Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.07%, due 07/15/30		587,553
	361,427	Telos CLO, Series 13-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.35%, due 07/17/26		362,147
	2,545,813	Telos CLO Ltd., Series 13-4A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.30%, 2.65%, due 07/17/24		2,549,268
	206,150	THL Credit Wind River CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.21%, due 07/20/30		206,560
	743,508	THL Credit Wind River CLO Ltd., Series 17-4A, Class X, Variable Rate, 3 mo. LIBOR + 0.60%, 1.00%, due 11/20/30		743,508
	1,076,410	Tryon Park CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.48%, due 07/15/25		1,078,897
	872,284	Velocity Commercial Capital Loan Trust, Series 15-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 2.43%, 3.76%, due 06/25/45		883,114
	516,325	Venture XXIX CLO Ltd., Series 17-29A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.32%, due 09/07/30		516,387
	619,590	Voya CLO Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.12%, due 07/20/30		620,200
	1,239,180	Voya CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 1.96%, due 10/15/30		1,239,171
	1,145,495	Wasatch Ltd., Series 06-1A, Class A1B, 144A, Variable Rate, 3 mo. LIBOR + 0.24%, 1.65%, due 11/14/22		1,143,709
	3,571,302	West CLO Ltd., Series 12-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.24%, 2.62%, due 10/30/23		3,576,013
	213,140	WhiteHorse VI Ltd., Series 12-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 2.58%, due 02/03/25		213,221
	270,572	Ziggurat CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.25%, due 04/17/29		270,977
				143,606,993

Par Value†		Description	Value ($)
		United States — continued
		Mortgage Backed Securities — 0.1%
	418,810	COMM Mortgage Trust, Series 04-LB2A, Class H, 144A, Variable Rate, 6.27%, due 03/10/39		434,164
	424,114	GS Mortgage Securities Trust, Series 10-C1, Class A1, 144A, 3.68%, due 08/10/43		430,979
	1,262,494	JP Morgan Chase Commercial Mortgage Securities Trust, Series 14-CBM, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.90%, 2.15%, due 10/15/29		1,262,493
	2,886,076	JP Morgan Chase Commercial Mortgage Securities Trust, Series 14-FL6, Class A, 144A, Variable Rate, 1 mo. LIBOR + 1.40%, 2.65%, due 11/15/31		2,887,006
	811,118	JPMBB Commercial Mortgage Securities Trust, Series 14-C25, Class A1, 1.52%, due 11/15/47		808,748
	411,330	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 1.58%, due 02/25/30		401,955
	204,550	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 1.58%, due 09/25/30		202,907
	174,137	Nationslink Funding Corp. Commercial Loan Pass Through Certificate, Series 99-LTL1, Class D, 144A, 6.45%, due 01/22/26		179,124
				6,607,376
		U.S. Government — 22.7%
	10,427,012	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25 (d)		10,359,035
	100,704,940	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (d)		101,390,874
	101,352,171	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/26 (d)		97,992,232
	149,886,087	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (d)		147,133,783
	68,882,230	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 (d)		67,737,888
	60,397,030	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (d)		67,138,404
	50,868,996	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (d)		60,931,774
	13,000,000	U.S. Treasury Note, 0.75%, due 08/31/18		12,920,781
	16,600,000	U.S. Treasury Note, 0.75%, due 10/31/18		16,463,828
	7,850,000	U.S. Treasury Note, 1.00%, due 11/30/18		7,798,178
	7,900,000	U.S. Treasury Note, USBM + 0.07%, 1.36%, due 04/30/19		7,909,205
	45,000,000	U.S. Treasury Note, 1.25%, due 06/30/19		44,641,406
	25,000,000	U.S. Treasury Note, 1.63%, due 06/30/19		24,943,360
	45,000,000	U.S. Treasury Note, 1.38%, due 07/31/19		44,720,508
	75,000,000	U.S. Treasury Note, 1.25%, due 08/31/19 (e)		74,320,313

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		United States — continued
		U.S. Government — continued
	45,000,000	U.S. Treasury Note, 1.38%, due 09/30/19		44,673,047
	7,900,000	U.S. Treasury Note, USBM + 0.05%, 1.34%, due 10/31/19		7,901,188
	85,000,000	U.S. Treasury Note, 1.50%, due 10/31/19		84,528,515
	67,000,000	U.S. Treasury Note, 1.63%, due 11/30/19		66,947,656
				990,451,975
		U.S. Government Agency — 0.5%
	10,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR + 0.22%, 1.18%, due 11/09/18		10,496,287
	3,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR + 0.24%, 1.08%, due 03/06/19		2,996,493
	230,855	Government National Mortgage Association, Series 12-H15, Class FA, Variable Rate, 1 mo. LIBOR + 0.45%, 1.68%, due 05/20/62		231,068
	3,255,759	Government National Mortgage Association, Series 17-H12, Class FE, Variable Rate, 1 mo. LIBOR + 0.20%, 1.43%, due 06/20/66		3,251,769
	1,383,368	Government National Mortgage Association, Series 17-H05, Class FJ, Variable Rate, 1 mo. LIBOR + 0.27%, 1.50%, due 01/20/67		1,382,778
	1,914,258	Government National Mortgage Association, Series 17-H13, Class FJ, Variable Rate, 1 mo. LIBOR + 0.20%, 1.43%, due 05/20/67		1,913,914
				20,272,309
		Total United States		1,106,938,653
		TOTAL DEBT OBLIGATIONS (COST $1,240,265,692)		1,236,040,241
		PREFERRED STOCKS (f) — 1.3%
		Brazil — 0.7%
	28,500	Banco do Estado do Rio Grande do Sul SA – Class B		113,203
	153,600	Braskem SA – Class A *		2,131,754
	313,500	Centrais Eletricas Brasileiras SA – Class B *		2,042,207
	2,700	Cia Brasileira de Distribuicao *		57,637
	14,200	Cia de Saneamento do Parana		46,001
	1,496,000	Cia Energetica de Minas Gerais		3,011,634
	4,400	Cia Paranaense de Energia – Class B		31,010
	302,460	Itau Unibanco Holding SA		3,811,665
	449,100	Itau Unibanco Holding SA Sponsored ADR		5,636,205
	3,926,597	Itausa – Investimentos Itau SA		12,444,632
	1,274,900	Metalurgica Gerdau SA		1,974,537
	268,500	Oi SA *		318,023
		Total Brazil		31,618,508

Shares		Description	Value ($)
		Colombia — 0.0%
	3,700	Bancolombia SA Sponsored ADR		142,857
	53,372	Grupo Aval Acciones y Valores SA		21,851
		Total Colombia		164,708
		Germany — 0.1%
	13,184	Bayerische Motoren Werke AG		1,141,808
	2,217	Draegerwerk AG & Co KGaA		185,876
	1,256	Jungheinrich AG		56,296
	20,935	Porsche Automobil Holding SE		1,753,800
	7,690	Volkswagen AG		1,632,461
		Total Germany		4,770,241
		Russia — 0.0%
	534	Bashneft PJSC		13,684
	425,900	Surgutneftegas OJSC		207,099
	33	Transneft PJSC		100,763
		Total Russia		321,546
		South Korea — 0.5%
	4,502	Hyundai Motor Co		404,511
	28,922	Hyundai Motor Co 2nd Preference		2,891,714
	24,593	LG Electronics Inc		928,464
	8,258	Samsung Electronics Co Ltd		16,015,537
	1,437	Samsung Electronics Co Ltd GDR (Registered)		1,391,188
		Total South Korea		21,631,414
		TOTAL PREFERRED STOCKS (COST $43,239,097)		58,506,417
		RIGHTS/WARRANTS — 0.0%
		Australia — 0.0%
	18,874	Pact Group Holdings Ltd. Rights, Expires 12/01/17 * (b)		3,997
		Thailand — 0.0%
	48,800	Supalai Pcl Rights, Expires 10/19/18 *		28,838
	74,250	Supalai Public Co Rights, Expires 10/19/18 *		43,877
		Total Thailand		72,715
		TOTAL RIGHTS/WARRANTS (COST $60,200)		76,712
		MUTUAL FUNDS — 31.4%
		United States — 31.4%
		Affiliated Issuers — 31.4%
	4,440,427	GMO Emerging Country Debt Fund, Class IV		133,568,051
	15,389,697	GMO Emerging Markets Fund, Class VI		531,252,328

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		United States — continued
		Affiliated Issuers — continued
	8,066,814	GMO Opportunistic Income Fund, Class VI		215,787,285
	5,624,295	GMO SGM Major Markets Fund, Class VI		185,039,306
	12,231,049	GMO Special Opportunities Fund, Class VI		305,898,520
		TOTAL MUTUAL FUNDS (COST $1,171,178,367)		1,371,545,490
		SHORT-TERM INVESTMENTS — 4.7%
		Money Market Funds — 0.1%
	5,787,111	State Street Institutional Treasury Money Market Fund-Premier Class, 1.02% (g)		5,787,111
		Repurchase Agreements — 4.0%
	176,158,981	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 11/30/17, maturing on 12/01/17 with a maturity value of $176,164,119 and an effective yield of 1.05%, collateralized by a U.S. Treasury Note with maturity date 04/30/22 and a market value of $179,459,448.		176,158,981
		U.S. Government — 0.2%
	6,500,000	U.S. Treasury Note, 0.75%, due 03/31/18		6,486,543
		U.S. Government Agency — 0.4%
	2,000,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 01/17/18		1,996,736

Par Value†		Description	Value ($)
		U.S. Government Agency — continued
	2,500,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 02/28/18		2,491,965
	10,500,000	Federal Home Loan Banks, Variable Rate, 1 mo. LIBOR + 0.16%, 1.08%, due 02/08/18		10,499,661
		TOTAL SHORT-TERM INVESTMENTS (COST $203,425,474)		203,420,997
		TOTAL INVESTMENTS — 100.2% (Cost $3,937,473,773)		4,377,057,338
		Other Assets and Liabilities (net) — (0.2%)		(10,569,732	)
		TOTAL NET ASSETS — 100.0%		$4,366,487,606

A summary of outstanding financial instruments at November 30, 2017 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
12/18/2017	BOA		JPY	1,900,000,000		USD	16,995,819	$	101,138
01/10/2018	MSCI		JPY	1,465,000,000		USD	13,067,632		21,826
01/22/2018	MSCI		JPY	1,445,000,000		USD	12,859,018		(16,596	)
02/13/2018	MSCI		JPY	2,840,000,000		USD	25,003,742		(330,281	)
02/26/2018	CITI		JPY	800,000,000		USD	7,112,113		(28,888	)
								$	(252,801	)

Reverse Repurchase Agreements

Average balance outstanding	$	(59,639,867	)
Average interest rate		(0.45	)%
Maximum balance outstanding	$	(74,793,303	)

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

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
Buys
120	Mini MSCI Emerging Markets	December 2017	$	6,720,000	$	88,568

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2017, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

Notes to Schedule of Investments:

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

ADR - American Depositary Receipt

CDO - Collateralized Debt Obligation

CLO - Collateralized Loan Obligation

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)

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

GDR - Global Depositary Receipt

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

REIT - Real Estate Investment Trust

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

The rates shown on variable rate notes are the current interest rates at November 30, 2017, which are subject to change based on the terms of the security.

† 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 using significant unobservable inputs.

(c) 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. Investment valued using significant unobservable inputs.

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

(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.

(f) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(g) The rate disclosed is the 7 day net yield as of November 30, 2017.

Counterparty Abbreviations:

BOA - Bank of America, N.A.

CITI - Citibank N.A.

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

JPY - Japanese Yen

QAR - Qatari Rial

THB - Thai Baht

USD - United States Dollar

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	3,400,525	GMO Alpha Only Fund, Class IV		73,655,374
	17,762,324	GMO Asset Allocation Bond Fund, Class VI		398,231,310
	11,412,356	GMO Core Plus Bond Fund, Class IV		248,332,869
	1,826,141	GMO Emerging Country Debt Fund, Class IV		54,930,324
	13,675,880	GMO Emerging Markets Fund, Class VI		472,091,387
	21,863,617	GMO International Equity Fund, Class IV		528,224,975
	1,845,281	GMO Opportunistic Income Fund, Class VI		49,361,277
	7,084,780	GMO Quality Fund, Class VI		184,841,903
	2,064,997	GMO Risk Premium Fund, Class VI		62,197,722
	2,251,026	GMO SGM Major Markets Fund, Class VI		74,058,750
	11,305,672	GMO U.S. Equity Allocation Fund, Class VI		184,508,568
	6,735,724	GMO U.S. Treasury Fund		168,258,387
		TOTAL MUTUAL FUNDS (COST $2,377,596,350)		2,498,692,846
		DEBT OBLIGATIONS — 0.0%
		Asset-Backed Securities — 0.0%
	33,963	ACE Securities Corp., Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + .28%, 1.61%, due 02/25/36 ◆		19,420
	30,091	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .50%, 1.83%, due 10/25/34 ◆		28,126
	24,171	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 1.58%, due 02/26/34		21,735
		Total Asset-Backed Securities		69,281
		TOTAL DEBT OBLIGATIONS (COST $61,814)		69,281

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	389,839	State Street Institutional Treasury Money Market Fund-Premier Class, 1.02% (a)		389,839
		TOTAL SHORT-TERM INVESTMENTS (COST $389,839)		389,839
		TOTAL INVESTMENTS — 100.0% (Cost $2,378,048,003)		2,499,151,966
		Other Assets and Liabilities (net) — (0.0%)		(134,031	)
		TOTAL NET ASSETS — 100.0%		$2,499,017,935

Notes to Schedule of Investments:

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

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

LIBOR - London Interbank Offered Rate

The rates shown on variable rate notes are the current interest rates at November 30, 2017, which are subject to change based on the terms of the security.

† 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 November 30, 2017.

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,424,525	GMO Emerging Markets Fund, Class VI		49,174,610
	9,487,506	GMO International Equity Fund, Class IV		229,218,135
	4,269,735	GMO Quality Fund, Class VI		111,397,389
	6,748,332	GMO U.S. Equity Allocation Fund, Class VI		110,132,785
		TOTAL MUTUAL FUNDS (COST $429,182,969)		499,922,919
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	220,235	State Street Eurodollar Time Deposit, 0.12%, due 12/01/17		220,235
		TOTAL SHORT-TERM INVESTMENTS (COST $220,235)		220,235
		TOTAL INVESTMENTS — 100.0% (Cost $429,403,204)		500,143,154
		Other Assets and Liabilities (net) — (0.0%)		(75,150	)
		TOTAL NET ASSETS — 100.0%		$500,068,004

Notes to Schedule of Investments:

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

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	18,486,323	GMO Emerging Markets Fund, Class VI		638,147,873
	40,355,777	GMO International Equity Fund, Class IV		974,995,577
	16,874,685	GMO Quality Fund, Class VI		440,260,521
	26,922,636	GMO U.S. Equity Allocation Fund, Class VI		439,377,423
		TOTAL MUTUAL FUNDS (COST $2,286,323,540)		2,492,781,394
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	854,527	State Street Eurodollar Time Deposit, 0.12%, due 12/01/17		854,527
		TOTAL SHORT-TERM INVESTMENTS (COST $854,527)		854,527
		TOTAL INVESTMENTS — 100.0% (Cost $2,287,178,067)		2,493,635,921
		Other Assets and Liabilities (net) — (0.0%)		(107,962	)
		TOTAL NET ASSETS — 100.0%		$2,493,527,959

Notes to Schedule of Investments:

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

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 53.3%
		Australia — 0.5%
	52,212	Adelaide Brighton Ltd		255,196
	137,358	Australian Pharmaceutical Industries Ltd		156,958
	158,381	BHP Billiton Ltd		3,303,853
	51,024	BWP Trust (REIT)		123,826
	175,228	Caltex Australia Ltd		4,538,773
	269,297	Charter Hall Group (REIT)		1,288,971
	112,691	Codan Ltd		189,671
	109,080	Costa Group Holdings Ltd		522,231
	101,820	Credit Corp Group Ltd		1,751,641
	516,196	CSR Ltd		1,806,050
	594,367	Dexus (REIT)		4,675,749
	2,000,446	Downer EDI Ltd		10,711,496
	41,300	Elders Ltd		215,242
	685,517	Genworth Mortgage Insurance Australia Ltd		1,654,621
	790,342	Goodman Group (REIT)		5,222,158
	27,911	Investa Office Fund (REIT)		101,975
	89,473	LendLease Group		1,083,198
	408,287	Metcash Ltd		857,013
	331,863	Mineral Resources Ltd		4,938,017
	128,794	Monash IVF Group Ltd		117,731
	454,359	Nine Entertainment Co Holdings Ltd		548,594
	849,227	OZ Minerals Ltd		5,410,045
	484,878	Pact Group Holdings Ltd		2,048,016
	455,224	Qantas Airways Ltd		1,963,905
	185,835	Shopping Centres Australasia Property Group (REIT)		340,097
	13,711	Sims Metal Management Ltd		146,934
	76,593	Suncorp Group Ltd		834,856
	385,198	Tassal Group Ltd		1,165,445
	67,874	Virtus Health Ltd		267,908
		Total Australia		56,240,170
		Austria — 0.2%
	22,714	FACC AG *		383,619
	5,888	Oesterreichische Post AG		265,481
	306,283	OMV AG		19,070,810
	15,518	POLYTEC Holding AG		364,142
	99,960	voestalpine AG		5,804,746
		Total Austria		25,888,798
		Belgium — 0.0%
	231,456	AGFA-Gevaert NV *		1,053,934
	3,659	Barco NV		390,837
	385	Groupe Bruxelles Lambert SA		41,447
		Total Belgium		1,486,218
		Brazil — 0.8%
	1,696,000	AES Tiete Energia SA		6,788,855

Shares		Description	Value ($)
		Brazil — continued
	115,673	Banco Bradesco SA		1,072,257
	651,400	Banco do Brasil SA		5,948,563
	39,400	Banco Santander Brasil SA		347,772
	2,586,200	Centrais Eletricas Brasileiras SA *		14,766,949
	489,500	Cia de Saneamento Basico do Estado de Sao Paulo		4,886,051
	442,800	EDP – Energias do Brasil SA		1,865,311
	213,900	Eletropaulo Metropolitana Eletricidade de Sao Paulo SA		1,046,876
	762,000	Engie Brasil Energia SA		8,241,657
	71,200	Grendene SA		564,310
	2,806,200	JBS SA		6,775,873
	424,900	LPS Brasil Consultoria de Imoveis SA *		678,017
	52,500	Multiplus SA		559,121
	2,065,600	Oi SA *		2,848,479
	3,110,700	Rumo SA *		12,362,214
	555,500	Transmissora Alianca de Energia Eletrica SA		3,613,679
	776,974	Vale SA		8,340,477
	586,082	Vale SA Sponsored ADR		6,271,070
	135,600	Via Varejo SA *		903,920
		Total Brazil		87,881,451
		Canada — 0.9%
	81,700	AGF Management Ltd – Class B		520,540
	268,600	Air Canada *		5,119,462
	899,200	Alignvest Acquisition II Corp *		6,767,610
	145,900	Bank of Nova Scotia (The)		9,217,772
	121,600	Baytex Energy Corp *		408,576
	97,100	Bird Construction Inc		747,357
	31,548	BRP Inc Sub Voting		1,153,447
	39,100	Canadian Tire Corp Ltd – Class A		4,940,877
	36,100	Canfor Corp *		743,462
	17,600	Capital Power Corp		332,451
	23,400	Celestica Inc *		253,924
	31,200	CI Financial Corp		704,941
	311,300	IAMGOLD Corp *		1,696,267
	39,600	Industrial Alliance Insurance & Financial Services Inc		1,846,864
	34,200	Labrador Iron Ore Royalty Corp		608,901
	197,900	Manulife Financial Corp		4,163,816
	32,800	Medical Facilities Corp		335,080
	561,200	Metro Inc		17,577,872
	13,500	Morguard North American Residential Real Estate Investment Trust		153,296
	138,500	Rogers Sugar Inc		675,243
	262,900	Royal Bank of Canada		20,550,684
	18,500	Russel Metals Inc		414,409
	5,600	Sierra Wireless Inc *		126,280
	2,300	TMX Group Ltd		123,900
	48,800	Toromont Industries Ltd		2,146,572
	161,000	Toronto-Dominion Bank (The)		9,139,744

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	198,920	Transcontinental Inc – Class A		4,286,305
	170,500	Trican Well Service Ltd *		618,486
	13,800	Valener Inc		247,195
	9,100	Wajax Corp		177,747
	109,900	West Fraser Timber Co Ltd		6,945,895
	50,060	WestJet Airlines Ltd		1,037,945
	7,600	Westshore Terminals Investment Corp		146,799
	25,700	ZCL Composites Inc		220,118
		Total Canada		104,149,837
		Chile — 0.0%
	96,048	Empresa Nacional de Telecomunicaciones SA		945,231
	6,968,746	Enel Chile SA		754,080
		Total Chile		1,699,311
		China — 7.6%
	5,316,000	361 Degrees International Ltd		1,871,736
	4,622,000	Agile Group Holdings Ltd		6,704,208
	128,855,000	Agricultural Bank of China Ltd – Class H		60,206,961
	122,500	Alibaba Group Holding Ltd Sponsored ADR * (a)		21,692,300
	6,142,000	Anhui Conch Cement Co Ltd – Class H		29,582,127
	481,000	ANTA Sports Products Ltd		2,155,548
	3,513,000	BAIC Motor Corp Ltd – Class H		4,159,267
	48,566,000	Bank of China Ltd – Class H		23,734,258
	3,295,000	Bank of Communications Co Ltd – Class H		2,450,699
	338,220	Changyou.com Ltd ADR *		12,338,266
	8,623,000	China Communications Construction Co Ltd – Class H		9,640,405
	24,576,000	China Communications Services Corp Ltd – Class H		15,652,063
	65,193,000	China Construction Bank – Class H		57,189,974
	818,000	China Foods Ltd		405,290
	9,083,000	China Greenfresh Group Co Ltd		1,549,039
	176,000	China Jinmao Holdings Group Ltd		79,721
	8,380,000	China Lesso Group Holdings Ltd		5,370,456
	10,159,000	China Machinery Engineering Corp – Class H		6,592,786
	4,886,500	China Mobile Ltd		49,709,017
	31,064,000	China National Building Material Co Ltd – Class H		28,678,247
	3,720,000	China National Materials Co Ltd – Class H		2,872,077
	53,686,000	China Petroleum & Chemical Corp – Class H		38,534,500
	17,400	China Petroleum & Chemical Corp ADR		1,254,540
	2,003,000	China Power International Development Ltd		538,568

Shares		Description	Value ($)
		China — continued
	18,610,700	China Railway Construction Corp Ltd – Class H		22,095,438
	4,128,000	China Resources Cement Holdings Ltd		2,736,612
	4,824,000	China Shanshui Cement Group Ltd * (b)		—
	7,003,500	China Shenhua Energy Co Ltd – Class H		17,317,555
	194,000	China Shineway Pharmaceutical Group Ltd		178,236
	77,550,000	China Telecom Corp Ltd – Class H		37,569,334
	586,200	China Vanke Co Ltd – Class H		2,143,070
	1,164,000	Chongqing Rural Commercial Bank Co Ltd – Class H		828,104
	144,570	CKH Food & Health Ltd *		146,402
	2,515,000	Country Garden Holdings Co Ltd		3,985,717
	416,000	Dah Chong Hong Holdings Ltd		198,828
	401,500	Dali Foods Group Co Ltd		314,514
	133,000	Digital China Holdings Ltd *		70,558
	25,578,000	Dongfeng Motor Group Co Ltd – Class H		32,298,354
	4,050,000	Geely Automobile Holdings Ltd		14,215,022
	220,500	Great Wall Motor Co Ltd – Class H		259,429
	211,000	Greentown China Holdings Ltd		242,336
	2,510,000	Guangdong Investment Ltd		3,381,342
	10,361,200	Guangzhou R&F Properties Co Ltd – Class H		22,256,677
	4,128,000	Haier Electronics Group Co Ltd *		11,136,346
	2,174,100	Haitian International Holdings Ltd		6,378,677
	4,353,700	Harbin Electric Co Ltd – Class H		1,841,664
	996,000	Hi Sun Technology China Ltd *		202,875
	1,864,000	Hisense Kelon Electrical Holdings Co Ltd – Class H		2,058,017
	72,000	Hopson Development Holdings Ltd		68,095
	17,007,000	Huabao International Holdings Ltd		10,926,790
	46,736,000	Industrial and Commercial Bank of China Ltd – Class H		36,555,030
	5,746,000	Jiangsu Expressway Co Ltd – Class H		7,889,770
	888,000	Ju Teng International Holdings Ltd		266,325
	334,800	Jumei International Holding Ltd ADR *		1,051,272
	3,666,500	Kingboard Chemical Holdings Ltd		21,099,183
	3,357,000	Kingboard Laminates Holdings Ltd		5,577,958
	1,541,500	KWG Property Holding Ltd		1,637,863
	2,755,000	Lee & Man Paper Manufacturing Ltd		3,246,996
	304,600	Livzon Pharmaceutical Group Inc – Class H		2,188,209
	4,189,000	Longfor Properties Co Ltd		9,876,608
	14,155,000	Lonking Holdings Ltd		5,042,947
	700	Momo Inc Sponsored ADR *		16,800
	13,500	NetEase Inc ADR		4,437,585
	1,104,000	PAX Global Technology Ltd		492,476
	9,062,000	PICC Property & Casualty Co Ltd – Class H		17,262,784
	583,000	Poly Property Group Co Ltd *		258,903
	1,494,000	Powerlong Real Estate Holdings Ltd		686,436

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		China — continued
	196,000	Road King Infrastructure Ltd		316,588
	1,048,000	Shandong Weigao Group Medical Polymer Co Ltd – Class H		719,836
	2,595,000	Shanghai Industrial Holdings Ltd		7,350,736
	5,067,900	Shanghai Pharmaceuticals Holding Co Ltd – Class H		12,770,451
	2,706,000	Shenzhen Expressway Co Ltd – Class H		2,613,744
	147,500	Shenzhen International Holdings Ltd		265,551
	6,984,500	Shimao Property Holdings Ltd		13,689,012
	97,900	SINA Corp *		9,571,683
	346,000	Sinofert Holdings Ltd *		51,515
	3,815,000	Sino-Ocean Group Holding Ltd		2,392,033
	7,797,000	Sinopec Engineering Group Co Ltd – Class H		6,498,843
	3,205,500	Sinotruk Hong Kong Ltd		3,555,466
	3,817,532	Skyworth Digital Holdings Ltd		1,634,709
	216,850	Sohu.com, Inc. *		10,493,371
	521,500	Tencent Holdings Ltd		26,701,390
	1,631,000	Texhong Textile Group Ltd		2,070,731
	708,000	Tianjin Development Holdings Ltd		330,240
	988,000	Tianjin Port Development Holdings Ltd *		147,084
	1,406,000	Tianneng Power International Ltd		1,194,902
	6,153,000	TravelSky Technology Ltd – Class H		16,895,886
	14,096,000	Want Want China Holdings Ltd		11,063,568
	9,794,000	Weichai Power Co Ltd – Class H		10,953,189
	904,000	Xinhua Winshare Publishing and Media Co Ltd – Class H		720,963
	6,497,500	XTEP International Holdings Ltd		2,417,418
	2,850,000	Yadea Group Holdings Ltd		917,949
	14,328,000	Yuzhou Properties Co Ltd		7,068,718
	10,264,000	Zhejiang Expressway Co Ltd – Class H		12,337,671
	518,500	Zhongsheng Group Holdings Ltd		1,070,202
		Total China		859,212,639
		Colombia — 0.1%
	528,620	Almacenes Exito SA		2,870,478
	876,800	Ecopetrol SA Sponsored ADR		10,170,880
		Total Colombia		13,041,358
		Czech Republic — 0.1%
	497,143	CEZ AS		11,363,142
	1,416,203	Moneta Money Bank AS		5,104,670
	15,000	O2 Czech Republic AS		187,125
		Total Czech Republic		16,654,937
		Denmark — 0.0%
	1,038	AP Moeller – Maersk A/S – Class B		1,871,453
	2,726	Schouw & Co AB		252,012
		Total Denmark		2,123,465

Shares		Description	Value ($)
		Egypt — 0.0%
	316,180	Alexandria Mineral Oils Co		237,027
	62,272	Commercial International Bank Egypt SAE		267,777
		Total Egypt		504,804
		Finland — 0.1%
	456,722	UPM-Kymmene Oyj		13,743,741
		France — 2.1%
	683,319	Air France-KLM *		9,695,930
	25,934	Amundi SA		2,312,383
	1,453,904	AXA SA		43,867,644
	384,306	BNP Paribas SA		29,096,928
	25,067	Casino Guichard Perrachon SA		1,524,521
	112,640	Christian Dior SE		40,260,509
	6,194	Cie de Saint-Gobain		353,035
	226,153	CNP Assurances		5,080,214
	797,312	Credit Agricole SA		13,433,943
	39,170	Derichebourg SA		425,875
	25,539	IPSOS		922,356
	8,687	LVMH Moet Hennessy Louis Vuitton SE		2,530,622
	14,179	Metropole Television SA		372,749
	7,721	Neopost SA		257,002
	151,396	Peugeot SA		3,128,343
	18,334	Rallye SA		331,352
	5,647	Rexel SA		104,047
	167,585	SCOR SE		6,825,503
	596,918	Societe Generale SA		30,037,739
	706,342	STMicroelectronics NV		15,985,615
	529,000	STMicroelectronics NV – NY Shares		11,965,980
	317,818	TOTAL SA		17,964,626
		Total France		236,476,916
		Germany — 2.1%
	50,812	ADVA Optical Networking SE *		369,421
	207,982	Allianz SE (Registered)		49,120,013
	238,320	BASF SE		26,723,552
	347,709	Bayerische Motoren Werke AG		35,103,073
	2,053	Cewe Stiftung & Co KGAA		194,371
	14,551	Covestro AG		1,515,422
	564,942	Daimler AG (Registered Shares)		46,802,634
	948,499	Deutsche Lufthansa AG (Registered)		32,636,375
	6,839	Elmos Semiconductor AG		195,519
	969	Isra Vision AG		177,961
	18,582	Leoni AG		1,371,464
	106,433	Linde AG *		24,700,691
	3,476	ProSiebenSat.1 Media SE		110,594
	342,170	RWE AG *		7,843,391
	39,051	SAP SE		4,414,801
	19,955	Software AG		1,093,050
	50,493	STADA Arzneimittel AG		4,890,614

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	46,950	Talanx AG		1,932,995
	30,089	Uniper SE		895,666
	12,177	Volkswagen AG		2,526,955
	6,140	Wacker Neuson SE		200,692
		Total Germany		242,819,254
		Greece — 0.1%
	2,241,634	Alpha Bank AE *		4,333,203
	5,244,465	Eurobank Ergasias SA *		4,236,802
	8,980,949	National Bank of Greece SA *		2,778,946
	1,199,968	Piraeus Bank SA *		3,359,462
		Total Greece		14,708,413
		Hong Kong — 0.8%
	2,835,000	BOC Hong Kong Holdings Ltd		14,427,643
	618,000	Dah Sing Banking Group Ltd		1,368,017
	344,400	Dah Sing Financial Holdings Ltd		2,210,487
	352,000	Hysan Development Co Ltd		1,888,590
	2,310,213	I-CABLE Communications Ltd *		66,179
	90,000	Johnson Electric Holdings Ltd		356,413
	888,000	Kerry Properties Ltd		3,931,571
	1,411,000	Link (REIT)		12,631,338
	170,000	Luk Fook Holdings International Ltd		742,719
	1,387,200	Man Wah Holdings Ltd		1,210,662
	94,000	Minth Group Ltd		524,753
	232,000	Pacific Textiles Holdings Ltd		244,005
	7,026,000	SJM Holdings Ltd		5,668,337
	3,000	Sun Hung Kai Properties Ltd		49,183
	13,119,500	WH Group Ltd		13,973,790
	2,032,000	Wharf Holdings Ltd (The)		6,428,122
	2,032,000	Wharf Real Estate Investment Co Ltd *		12,280,225
	1,015,000	Wheelock & Co Ltd		6,985,214
	232,500	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		60,584
	796,000	Xinyi Glass Holdings Ltd *		972,655
	376,000	Yue Yuen Industrial Holdings Ltd		1,345,365
		Total Hong Kong		87,365,852
		Hungary — 0.1%
	2,257,270	Magyar Telekom Telecommunications Plc (a)		4,039,266
	177,069	Richter Gedeon Nyrt		4,574,698
		Total Hungary		8,613,964
		India — 2.3%
	601,450	Allahabad Bank *		718,131
	2,064,858	Andhra Bank *		2,003,699
	156,816	Apollo Tyres Ltd		612,788
	88,911	Asian Paints Ltd		1,588,532
	395,015	Aurobindo Pharma Ltd		4,248,672
	1,313,008	Bharat Electronics Ltd		3,809,561
	1,048,677	Canara Bank		6,093,478

Shares		Description	Value ($)
		India — continued
	349,358	Chambal Fertilizers and Chemicals Ltd		787,181
	211,718	Divi’s Laboratories Ltd		3,428,831
	671,220	Firstsource Solutions Ltd *		444,185
	354,696	GAIL India Ltd		2,573,193
	1,685,905	HCL Technologies Ltd		22,136,587
	391,271	HDFC Bank Ltd (c)		11,262,559
	79,608	Hero MotoCorp Ltd		4,508,188
	1,243,426	Hexaware Technologies Ltd		6,501,307
	988,233	Hindustan Petroleum Corp Ltd		6,405,104
	11,123	Hindustan Unilever Ltd (a)		219,266
	45,502	IDBI Bank Ltd *		43,069
	1,482,902	IFCI Ltd *		570,002
	1,542,166	Indian Oil Corp Ltd		9,413,331
	294,407	Infosys Ltd		4,457,657
	1,069,114	Infosys Ltd Sponsored ADR		16,635,414
	8,248,395	Jaiprakash Associates Ltd *		2,336,024
	1,644,357	Jaypee Infratech Ltd *		357,560
	120,351	Jubilant Life Sciences Ltd		1,228,839
	1,292,603	Karnataka Bank Ltd (The)		3,110,971
	28,501	Kotak Mahindra Bank Ltd		442,380
	172,328	KPIT Technologies Ltd		460,160
	103,749	Larsen & Toubro Ltd		1,966,782
	49,247	Maruti Suzuki India Ltd		6,572,526
	447,076	MOIL Ltd		1,711,764
	241,808	Mphasis Ltd		2,745,933
	367,050	NIIT Ltd *		566,734
	610,540	NIIT Technologies Ltd		6,052,750
	2,743,525	NMDC Ltd		5,422,491
	6,760,304	Oil & Natural Gas Corp Ltd		19,001,785
	11,532	Oil India Ltd		64,333
	851,306	Oriental Bank of Commerce *		1,677,643
	7,639,150	Power Finance Corp Ltd		14,347,713
	1,800,772	PTC India Ltd		3,250,935
	8,430,860	Rural Electrification Corp Ltd		20,158,423
	296,824	Sonata Software Ltd		1,117,396
	1,478,019	Syndicate Bank *		2,135,221
	427,388	Tata Consultancy Services Ltd		17,481,426
	1,608,754	Tata Steel Ltd		17,323,051
	263,314	Tech Mahindra Ltd		2,005,230
	30,198	UltraTech Cement Ltd		1,964,497
	1,530,005	Union Bank of India *		3,891,703
	2,797,474	Unitech Ltd *		268,700
	312,732	Vedanta Ltd		1,432,872
	3,294,579	Wipro Ltd		14,941,301
	96,300	Wipro Ltd ADR		519,057
	38,883	Zensar Technologies Ltd		514,522
		Total India		263,531,457
		Indonesia — 0.2%
	1,250,500	Bank Central Asia Tbk PT		1,879,725
	4,971,200	Bank Mandiri Persero Tbk PT		2,737,601

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Indonesia — continued
	1,792,000	Bank Negara Indonesia Persero Tbk PT		1,076,095
	10,662,000	Bank Pembangunan Daerah Jawa Timur Tbk PT		581,345
	18,567,800	Bank Rakyat Indonesia Persero Tbk PT		4,419,510
	2,742,500	Gajah Tunggal Tbk PT		145,195
	3,773,200	Harum Energy Tbk PT *		569,750
	3,996,600	Indo Tambangraya Megah Tbk PT		6,258,959
	1,415,300	Indofood Sukses Makmur Tbk PT		767,092
	11,909,400	Lippo Karawaci Tbk PT		506,277
	672,700	Matahari Department Store Tbk PT		528,924
	18,077,500	Panin Financial Tbk PT *		320,519
	8,141,400	Summarecon Agung Tbk PT		517,640
	6,960,400	Telekomunikasi Indonesia Persero Tbk PT		2,149,885
	41,300	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		1,283,604
	156,700	United Tractors Tbk PT		388,416
		Total Indonesia		24,130,537
		Ireland — 0.0%
	1,854	Smurfit Kappa Group Plc		59,136
		Israel — 0.0%
	30,964	Bank Hapoalim BM		211,490
	48,676	Discount Investment Corp Ltd (Registered)		198,476
	470,493	El Al Israel Airlines		212,646
	22,298	Nova Measuring Instruments Ltd *		646,163
	200	Orbotech Ltd *		10,132
	14,300	SodaStream International Ltd *		1,006,434
	9,196	SodaStream International Ltd *		644,937
	5,531	Teva Pharmaceutical Industries Ltd		81,864
		Total Israel		3,012,142
		Italy — 0.7%
	15,298	ACEA SPA		310,737
	103,382	Arnoldo Mondadori Editore SPA *		281,761
	36,831	Banca Mediolanum SPA		307,460
	5,328	El.En. SPA		163,828
	2,652,207	Enel SPA		17,231,400
	204,417	EXOR NV		12,380,548
	1,504,624	Fiat Chrysler Automobiles NV		25,729,070
	139,651	Fincantieri SPA *		199,081
	311,072	Hera SPA		1,118,590
	874,731	Iren SPA		2,681,882
	3,824	La Doria SPA		76,835
	33,839	Leonardo SPA		404,545
	5,065	Prima Industrie SPA		197,595
	203,895	Recordati SPA		9,172,693
	4,804	Reply SPA		276,551
	1,327,432	Saras SPA		3,424,622

Shares		Description	Value ($)
		Italy — continued
	331,708	Societa Cattolica di Assicurazioni SC		3,599,540
		Total Italy		77,556,738
		Japan — 3.9%
	25,300	Aisin Seiki Co Ltd		1,361,504
	65,000	AOKI Holdings Inc		952,784
	2,800	Aoyama Trading Co Ltd		106,801
	36,900	Asahi Glass Co Ltd		1,545,058
	713,000	Asahi Kasei Corp		8,950,409
	7,100	Autobacs Seven Co Ltd		136,204
	14,900	Belluna Co Ltd		163,772
	506,200	Brother Industries Ltd		12,587,930
	526,600	Canon Inc		20,198,057
	16,000	Chiba Bank Ltd (The)		123,193
	64,200	CKD Corp		1,408,806
	3,800	Daicel Corp		45,242
	9,500	Dai-ichi Seiko Co Ltd		254,477
	185,600	Daiwa House Industry Co Ltd		6,816,658
	4,800	Daiwabo Holdings Co Ltd		188,590
	247,400	DCM Holdings Co Ltd		2,391,982
	48,000	Denka Co Ltd		1,775,289
	61,600	DIC Corp		2,311,709
	1,900	Disco Corp		425,130
	29,100	Fancl Corp		832,386
	81,500	Fuji Kiko Co Ltd		536,238
	4,800	Fuji Pharma Co Ltd		186,021
	56,500	Fujikura Ltd		528,909
	5,000	Fujitsu General Ltd		106,166
	3,053,000	Fujitsu Ltd		22,874,007
	51,000	Furukawa Electric Co Ltd		2,710,102
	39,000	Gree Inc		254,993
	15,800	Hanwa Co Ltd		640,565
	8,900	Hazama Ando Corp		70,492
	8,600	Heiwado Co Ltd		185,994
	102,600	Hitachi Chemical Co Ltd		2,714,029
	1,100	Hitachi High-Technologies Corp		45,854
	2,970,000	Hitachi Ltd		22,253,257
	9,900	Hochiki Corp		226,146
	5,200	Horiba Ltd		325,105
	4,200	Hosokawa Micron Corp		276,856
	23,200	House Foods Group Inc		757,417
	46,000	Idemitsu Kosan Co Ltd		1,552,040
	2,330,700	ITOCHU Corp		40,516,019
	27,100	Itochu Techno-Solutions Corp		1,141,927
	11,200	Kamei Corp		181,460
	18,000	Kaneka Corp		159,557
	234,600	Kanematsu Corp		2,828,547
	49,100	Keihin Corp		970,650
	20,600	Kitz Corp		152,529
	30,000	Kyosan Electric Manufacturing Co Ltd		167,073
	6,000	Makino Milling Machine Co Ltd		60,212

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	9,000	Mandom Corp		304,816
	2,393,800	Marubeni Corp		15,979,308
	41,100	MCJ Co Ltd		415,720
	3,304	Medipal Holdings Corp		64,308
	3,074,500	Mitsubishi Chemical Holdings Corp		33,431,739
	330,900	Mitsubishi Corp		8,322,354
	350,900	Mitsubishi Electric Corp		5,830,003
	260,900	Mitsubishi Gas Chemical Co Inc		7,324,890
	550,800	Mitsubishi Tanabe Pharma Corp		11,908,866
	1,166,874	Mitsui & Co Ltd		17,797,848
	163,700	Mitsui Chemicals Inc		5,314,365
	42,700	Mitsui Mining & Smelting Co Ltd		2,436,366
	42,900	Modec Inc		1,033,076
	22,100	Morinaga & Co Ltd		1,108,879
	62,000	Nachi-Fujikoshi Corp		393,808
	120,400	NET One Systems Co Ltd		1,731,775
	56,000	Nichias Corp		724,069
	16,500	Nichiha Corp		643,674
	82,200	Nichirei Corp		2,387,481
	107,000	Nippo Corp		2,540,326
	12,700	Nippon Chemi-Con Corp		429,348
	4,000	Nippon Paper Industries Co Ltd		76,869
	821,100	Nippon Telegraph & Telephone Corp		42,864,683
	11,400	Nisshin Oillio Group Ltd (The)		351,443
	121,000	Onward Holdings Co Ltd		990,171
	17,000	Osaki Electric Co Ltd		120,488
	115,100	Otsuka Holdings Co Ltd		5,103,737
	235,000	Prima Meat Packers Ltd		1,637,379
	35,100	Rohm Co Ltd		3,617,428
	9,000	Sakata INX Corp		156,689
	3,400	Sanyo Special Steel Co Ltd		86,789
	45,200	Seiko Epson Corp		1,100,748
	494,500	Sekisui Chemical Co Ltd		9,596,093
	900	Shimamura Co Ltd		108,528
	14,700	Showa Corp		179,632
	105,500	Showa Denko KK		3,944,294
	4,159,200	Sojitz Corp		12,066,718
	1,700	Sugi Holdings Co Ltd		91,322
	114,000	Sumitomo Bakelite Co Ltd		930,834
	1,470,000	Sumitomo Chemical Co Ltd		10,309,151
	125,200	Sumitomo Forestry Co Ltd		2,162,538
	10,600	Sumitomo Heavy Industries Ltd		436,146
	3,200	Sumitomo Seika Chemicals Co Ltd		184,417
	10,200	Suntory Beverage & Food Ltd		441,456
	169,100	Suzuki Motor Corp		9,152,790
	73,400	Takeda Pharmaceutical Co Ltd		4,049,187
	25,700	Tatsuta Electric Wire and Cable Co Ltd		195,750
	15,600	T-Gaia Corp		340,819
	3,737	TIS Inc		127,620
	21,500	Token Corp		2,707,433
	900	Tokyo Century Corp		41,033
	58,600	Tokyo Electron Ltd		10,902,463

Shares		Description	Value ($)
		Japan — continued
	550,000	Tosoh Corp		12,229,242
	270,300	Toyota Tsusho Corp		10,222,778
	5,000	TPR Co Ltd		172,120
	45,700	TS Tech Co Ltd		1,877,128
	116,000	Tsubakimoto Chain Co		923,540
	12,000	Unipres Corp		319,612
	35,900	Valor Holdings Co Ltd		839,688
	30,500	Wacoal Holdings Corp		947,593
	29,700	Warabeya Nichiyo Holdings Co Ltd		793,381
	2,000	Yamaguchi Financial Group Inc		23,977
	6,400	Yokohama Rubber Co Ltd (The)		144,229
		Total Japan		437,689,101
		Malaysia — 0.0%
	534,876	Berjaya Sports Toto Berhad		303,383
	1,881,300	KSL Holdings Berhad *		542,822
	593,000	Ta Ann Holdings Berhad		507,356
		Total Malaysia		1,353,561
		Mexico — 0.5%
	127,800	America Movil SAB de CV – Class L Sponsored ADR		2,185,380
	1,934,362	Arca Continental SAB de CV		13,240,957
	1,692,346	Bolsa Mexicana de Valores SAB de CV		2,892,449
	1,432,800	Cemex SAB de CV Sponsored ADR *		10,874,952
	44,400	Coca-Cola Femsa SAB de CV Sponsored ADR		3,039,624
	478,400	Corp Inmobiliaria Vesta SAB de CV		602,263
	2,613,100	Genomma Lab Internacional SAB de CV – Class B *		3,100,358
	396,400	Gentera SAB de CV		361,830
	13,030	Grupo Aeroportuario del Sureste SAB de CV – Class B		232,909
	700	Grupo Aeroportuario del Sureste SAB de CV ADR		125,377
	97,691	Grupo Financiero Interacciones SA de CV – Class O		448,426
	163,300	Grupo Financiero Santander Mexico SAB de CV ADR		1,327,629
	267,213	Grupo Herdez SAB de CV		613,144
	205,416	La Comer SAB de CV *		203,375
	253,100	Megacable Holdings SAB de CV CPO		1,072,424
	7,422,600	Wal-Mart de Mexico SAB de CV		17,525,719
		Total Mexico		57,846,816
		Netherlands — 1.3%
	62,300	Constellium NV – Class A *		660,380
	54,759	Heineken Holding NV		5,272,067
	2,146,255	ING Groep NV		38,783,244
	649,900	NXP Semiconductors NV * (a)		73,692,161
	50,334	Philips Lighting NV		1,904,547
	35,096	Unilever NV – NY Shares (a)		2,026,443

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Netherlands — continued
	102,925	Unilever NV CVA (a)		5,935,570
	357,325	Wolters Kluwer NV		18,501,757
		Total Netherlands		146,776,169
		New Zealand — 0.0%
	1,108,332	Air New Zealand Ltd		2,430,649
		Norway — 0.2%
	62,063	Bakkafrost P/F		2,344,646
	233,681	BW LPG Ltd *		925,032
	87,121	DNB ASA		1,586,939
	239,813	Kongsberg Automotive ASA *		301,159
	112,598	Kvaerner ASA *		209,830
	22,492	Orkla ASA		225,619
	295	Salmar ASA		8,662
	18,500	SpareBank 1 SR Bank ASA		193,333
	499,003	Statoil ASA		10,034,576
	434,008	Storebrand ASA		3,467,151
	459,553	Subsea 7 SA		6,722,826
		Total Norway		26,019,773
		Peru — 0.1%
	38,200	Credicorp Ltd		8,061,346
		Philippines — 0.0%
	278,260	Manila Electric Co		1,742,768
	955,300	Manila Water Co Inc		539,266
	9,507,000	Megaworld Corp		1,010,559
		Total Philippines		3,292,593
		Poland — 0.4%
	324,928	Asseco Poland SA		4,085,703
	968,236	Enea SA		3,261,848
	379,620	Energa SA		1,299,385
	675,959	KGHM Polska Miedz SA		20,411,727
	1,272	mBank SA *		169,530
	351,215	PGE Polska Grupa Energetyczna SA *		1,187,332
	186,591	Polski Koncern Naftowy ORLEN SA		5,865,210
	54,126	Powszechny Zaklad Ubezpieczen SA		681,987
	8,173,716	Tauron Polska Energia SA *		7,181,055
		Total Poland		44,143,777
		Portugal — 0.0%
	302,398	CTT – Correios de Portugal SA		1,169,754
	46,874	Navigator Co SA (The)		233,370
		Total Portugal		1,403,124
		Qatar — 0.0%
	96,044	Barwa Real Estate Co		739,893
	22,451	Masraf Al Rayan QSC		209,488
	69,446	Qatar National Bank QPSC		2,226,493
		Total Qatar		3,175,874

Shares		Description	Value ($)
		Russia — 2.1%
	1,454,000	Aeroflot PJSC		3,784,075
	4,833,600	Alrosa PJSC		6,417,626
	1,885,860	Gazprom PJSC		4,257,410
	4,890,485	Gazprom PJSC Sponsored ADR		21,874,958
	201,144	Globaltrans Investment Plc Sponsored GDR (Registered)		1,851,457
	16,385,000	Inter RAO UES PJSC		1,034,869
	358,097	LUKOIL PJSC Sponsored ADR		19,924,792
	159,330	M.Video PJSC *		1,064,761
	277,776	Magnit PJSC Sponsored GDR (Registered)		7,327,085
	942,100	Magnitogorsk Iron & Steel OJSC		705,737
	16,193	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR		168,418
	39,000	MegaFon PJSC		366,040
	970,518	MegaFon PJSC GDR (Registered)		9,364,740
	1,153,662	MMC Norilsk Nickel PJSC ADR		20,037,808
	3,388,400	Mobile TeleSystems PJSC Sponsored ADR		35,137,708
	3,364,540	Moscow Exchange MICEX-RTS PJSC		7,139,665
	73,359	Novatek PJSC Sponsored GDR (Registered)		8,316,213
	590,750	Novolipetsk Steel PJSC		1,334,744
	158,057	Novolipetsk Steel PJSC GDR		3,575,264
	18,991	PhosAgro PJSC GDR (Registered)		285,134
	150,817	QIWI Plc Sponsored ADR		2,221,534
	2,617,610	Rostelecom PJSC		2,871,607
	2,608,780	Sberbank of Russia PJSC		9,997,132
	1,974,049	Sberbank of Russia Sponsored ADR		32,276,232
	158,483	Severstal PJSC GDR (Registered)		2,463,099
	267,483	Sistema PJSC FC Sponsored GDR (Registered)		960,484
	1,051,400	Surgutneftegas OJSC		493,715
	2,658,408	Surgutneftegas OJSC Sponsored ADR		12,232,082
	92,917	Tatneft PJSC Sponsored ADR		4,394,870
	289,200	VEON Ltd ADR		1,168,368
	369,300	Yandex NV – Class A *		12,227,523
		Total Russia		235,275,150
		Singapore — 0.1%
	234,400	CapitaLand Commercial Trust (REIT)		328,890
	1,070,000	Fortune Real Estate Investment Trust		1,322,183
	605,200	Sino Grandness Food Industry Group Ltd *		90,040
	203,700	Venture Corp Ltd		3,178,557
	3,726,800	Yangzijiang Shipbuilding Holdings Ltd		4,356,921
	530,200	Yanlord Land Group Ltd		653,841
		Total Singapore		9,930,432
		South Africa — 1.6%
	220,208	AECI Ltd		1,494,794
	2,691,606	African Phoenix Investments Ltd *		126,930
	106,847	African Rainbow Minerals Ltd		947,441

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		South Africa — continued
	68,183	Aspen Pharmacare Holdings Ltd		1,520,844
	115,721	Astral Foods Ltd		1,867,547
	791,382	AVI Ltd		5,829,599
	1,990,722	Barclays Africa Group Ltd		22,773,239
	1,317,949	Barloworld Ltd		14,839,848
	296,910	Bidvest Group Ltd (The)		4,156,331
	730,408	Blue Label Telecoms Ltd		849,652
	149,365	Brait SE *		506,524
	9,815	Capitec Bank Holdings Ltd		704,539
	217,883	DataTec Ltd		901,444
	1,955	Distell Group Ltd		18,429
	2,083,894	Emira Property Fund Ltd (REIT)		2,010,528
	1,594,437	FirstRand Ltd		6,542,753
	41,694	Foschini Group Ltd (The)		480,419
	136,039	Hyprop Investments Ltd (REIT)		1,067,321
	484,832	Imperial Holdings Ltd		8,063,054
	8,285	JSE Ltd		80,497
	572,818	Kumba Iron Ore Ltd		13,584,575
	613,495	Lewis Group Ltd		1,097,565
	648,167	Liberty Holdings Ltd		5,487,382
	65,978	Massmart Holdings Ltd		540,043
	1,463,257	MMI Holdings Ltd		2,148,545
	363,208	Mondi Ltd		8,605,680
	218,800	Mr Price Group Ltd		3,325,910
	1,603,801	Murray & Roberts Holdings Ltd		1,622,422
	1,233,772	Nedbank Group Ltd		20,743,603
	45,340	Net 1 UEPS Technologies, Inc. *		503,274
	187,724	Omnia Holdings Ltd		2,032,240
	314,479	Reunert Ltd		1,603,981
	342,855	RMB Holdings Ltd		1,668,401
	2,387,133	SA Corporate Real Estate Ltd (REIT)		823,638
	178,665	Sanlam Ltd		1,019,997
	51,754	Santam Ltd		971,879
	289,337	Shoprite Holdings Ltd		4,805,154
	1,812,083	Standard Bank Group Ltd		22,852,293
	290,615	Steinhoff International Holdings NV		1,192,987
	104,295	Super Group Ltd *		303,672
	313,101	Telkom SA SOC Ltd		1,134,314
	308,081	Truworths International Ltd		1,790,887
	682,649	Tsogo Sun Holdings Ltd		1,079,425
	205,765	Vodacom Group Ltd		2,175,786
	16,716	Vukile Property Fund Ltd (REIT)		24,874
	292,545	Wilson Bayly Holmes-Ovcon Ltd		3,200,497
	261,412	Woolworths Holdings Ltd		1,104,187
		Total South Africa		180,224,944
		South Korea — 4.2%
	29,852	Able C&C Co Ltd		616,560
	60,620	Aekyung Petrochemical Co Ltd		907,782
	3,430	Amorepacific Group		465,521
	1,438	BGF retail Co Ltd (b)		103,674
	1,031,719	BNK Financial Group Inc		9,027,374

Shares		Description	Value ($)
		South Korea — continued
	88,042	Cheil Worldwide Inc		1,629,671
	16,619	Com2uSCorp		1,926,551
	4,164	Coway Co Ltd		367,281
	2,881	Crown Confectionery Co Ltd *		40,211
	2,237	Crown Haitai Holdings Co Ltd		33,981
	4,503	Cuckoo Electronics Co Ltd (b)		676,444
	376	Dae Han Flour Mills Co Ltd		58,416
	53,000	Daeduck Electronics Co		497,176
	81,269	Daishin Securities Co Ltd		1,098,219
	139,362	Daou Data Corp		1,310,355
	285,359	Daou Technology Inc		5,015,671
	179,091	DB Insurance Co Ltd		11,309,357
	14,252	DGB Financial Group Inc		130,988
	35,038	Dongsuh Cos Inc		963,512
	405,297	Dongwon Development Co Ltd		1,924,866
	7,581	Douzone Bizon Co Ltd		239,741
	31,913	E-MART Inc		8,060,531
	68,946	Eugene Investment & Securities Co Ltd *		226,571
	20,103	Eugene Technology Co Ltd		407,887
	2,517	GOLFZON Co Ltd		106,861
	437,311	Grand Korea Leisure Co Ltd		13,110,586
	28,612	GS Home Shopping Inc		5,597,456
	32,017	GS Retail Co Ltd		1,163,222
	159,738	Hana Financial Group Inc		6,971,865
	44,316	Hancom Inc		692,175
	242,751	Hankook Tire Co Ltd		12,002,222
	153,451	Hankook Tire WorldwideCo Ltd		2,680,660
	132,349	Hanon Systems		1,613,107
	6,393	Hansol Paper Co Ltd		86,944
	53,578	Hanwha Corp		2,055,632
	633,255	Hanwha Life Insurance Co Ltd		4,356,822
	35,303	Harim Holdings Co Ltd		121,644
	4,415	Hyundai Development Co-Engineering & Construction		168,870
	95,458	Hyundai Engineering & Construction Co Ltd		3,084,743
	3,609	Hyundai Glovis Co Ltd		486,222
	42,385	Hyundai Greenfood Co Ltd		604,667
	50,599	Hyundai Home Shopping Network Corp		6,085,146
	189,869	Hyundai Hy Communications & Network Co Ltd		637,045
	248,239	Hyundai Marine & Fire Insurance Co Ltd		9,945,723
	92,825	Hyundai Mobis Co Ltd		23,394,256
	205,224	Hyundai Motor Co		31,146,981
	534,676	Industrial Bank of Korea		7,813,163
	26,470	Innocean Worldwide Inc		1,897,522
	7,739	It’s Hanbul Co Ltd		363,039
	531,968	JB Financial Group Co Ltd		2,921,921
	2,176	Kangnam Jevisco Co Ltd		75,862
	259,894	Kangwon Land Inc		8,880,155

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	483,845	KB Financial Group Inc		26,716,062
	23,283	KEPCO Plant Service & Engineering Co Ltd		808,874
	1,029,317	Kia Motors Corp		31,881,541
	21,352	KIWOOM Securities Co Ltd		1,622,202
	149,119	Korea Asset In Trust Co Ltd		1,132,623
	287,489	Korea Real Estate Investment & Trust Co Ltd		906,677
	12,352	Korea Zinc Co Ltd		5,537,017
	135,513	Korean Reinsurance Co		1,351,921
	28,400	KT Corp Sponsored ADR		443,040
	111,796	KT Hitel Co Ltd *		585,604
	58,538	KT Skylife Co Ltd		710,817
	197,026	KT&G Corp		22,160,274
	3,686	Kukdo Chemical Co Ltd		222,045
	68,874	Kyobo Securities Co Ltd		606,735
	121,512	LF Corp		3,432,571
	366,751	LG Display Co Ltd		10,479,138
	197,450	LG Electronics Inc		16,429,870
	218	LG Household & Health Care Ltd		235,076
	36,773	Lotte Corp		2,082,570
	124,972	LOTTE Himart Co Ltd		8,688,762
	28,693	Lotte Shopping Co Ltd		5,532,054
	46,010	Maeil Holdings Co Ltd		749,034
	25,945	Meritz Financial Group Inc		375,694
	94,570	Meritz Fire & Marine Insurance Co Ltd		2,237,887
	487,170	Meritz Securities Co Ltd		2,132,545
	73,800	NHN Entertainment Corp *		4,602,753
	48,739	NHN KCP Corp *		816,303
	1,956	Ottogi Corp		1,426,075
	31,145	Poongsan Corp		1,293,076
	76,402	POSCO Chemtech Co Ltd		2,435,577
	21,029	S&T Motiv Co Ltd		919,410
	52,249	Samjin Pharmaceutical Co Ltd		1,754,418
	104,999	Samsung Card Co Ltd		3,693,033
	15,360	Samsung Electronics Co Ltd		36,149,185
	8	Samsung Electronics Co Ltd GDR		9,424
	21,410	Samsung Fire & Marine Insurance Co Ltd		5,132,408
	7,914	Samsung Life Insurance Co Ltd		934,424
	6,462	Samsung SDS Co Ltd		1,125,408
	32,776	Samsung Securities Co Ltd		1,103,516
	7,314	Seah Besteel Corp		203,246
	23,455	SeAH Steel Corp		2,074,221
	131,195	Shinhan Financial Group Co Ltd		5,853,410
	5,289	Shinsegae Inc		1,396,735
	49,383	Silicon Works Co Ltd		2,392,506
	16,758	Sindoh Co Ltd		997,292
	6,569	SK Holdings Co Ltd		1,769,284
	146,162	SK Hynix Inc		10,417,468
	8,312	SK Innovation Co Ltd		1,585,866
	54,498	SK Telecom Co Ltd		13,270,319

Shares		Description	Value ($)
		South Korea — continued
	219,200	SK Telecom Co Ltd Sponsored ADR		6,014,848
	68,431	SL Corp		1,397,247
	25,434	Soulbrain Co Ltd		1,507,955
	24,538	Spigen Korea Co Ltd		1,061,332
	91,243	Tongyang Life Insurance Co Ltd		680,318
	2,642	Unid Co Ltd		108,654
	1,350,308	Woori Bank		20,091,140
		Total South Korea		474,380,335
		Spain — 1.0%
	1,551,236	Abertis Infraestructuras SA		34,609,269
	1,221,384	Atlantica Yield Plc		27,444,498
	6,097	Ebro Foods SA		140,835
	38,860	Ence Energia y Celulosa SA		253,897
	321,417	Endesa SA		7,167,038
	71,531	Mapfre SA		240,628
	2,217,631	Repsol SA		40,671,536
		Total Spain		110,527,701
		Sweden — 0.5%
	88,886	Alfa Laval AB		2,103,560
	161,182	Atlas Copco AB – A Shares		6,929,270
	28,984	Atlas Copco AB – B Shares		1,115,210
	14,861	Bufab AB		179,320
	5,321	Fastighets AB Balder – B Shares *		137,153
	103	JM AB		2,372
	3,807	NCC AB – B Shares		79,174
	13,680	Nordea Bank AB		160,417
	991,572	Sandvik AB		17,046,427
	1,474,419	Volvo AB – B Shares		28,102,555
		Total Sweden		55,855,458
		Switzerland — 0.8%
	12,612	ALSO Holding AG (Registered) *		1,694,330
	6,514	Ascom Holding AG (Registered)		155,682
	13,995	BKW AG		829,099
	9,609	Bobst Group SA (Registered)		1,219,300
	1,705	Bossard Holding AG (Registered) – A Shares		380,584
	1,147	Comet Holding AG (Registered) *		182,455
	1,491	Emmi AG (Registered) *		965,890
	5,131	EMS-Chemie Holding AG (Registered)		3,425,087
	5,789	Georg Fischer AG (Registered)		7,629,196
	196	Gurit Holding AG *		208,670
	1,106	Inficon Holding AG (Registered) *		658,151
	9,168	Kardex AG (Registered) *		1,072,084
	146	Komax Holding AG (Registered)		45,876
	1,280	Kuehne & Nagel International AG (Registered)		225,023
	172,555	Logitech International SA (Registered)		6,019,212
	41,800	Luxoft Holding Inc *		2,152,700

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	106,116	Nestle SA (Registered)		9,078,174
	82,606	Novartis AG (Registered)		7,087,315
	6,613	Orior AG		500,794
	12,286	Roche Holding AG		3,104,855
	4,384	Roche Holding AG		1,115,039
	2,447	Sika AG		18,933,831
	19,223	Swiss Life Holding AG (Registered) *		6,465,150
	200,781	Swiss Re AG		18,851,443
	9,109	UBS Group AG (Registered) *		157,571
		Total Switzerland		92,157,511
		Taiwan — 5.6%
	934,000	AcBel Polytech Inc		702,739
	141,000	Actron Technology Corp		589,592
	29,539	Addcn Technology Co Ltd		227,412
	449,000	Advantech Co Ltd		3,001,216
	2,029,000	Alpha Networks Inc		1,692,158
	1,516,000	AmTRAN Technology Co Ltd		831,337
	413,000	Arcadyan Technology Corp		703,468
	745,000	Asia Vital Components Co Ltd		898,227
	4,218,000	Asustek Computer Inc		38,913,734
	656,000	BES Engineering Corp		182,446
	103,000	Casetek Holdings Ltd		400,907
	1,625,000	Catcher Technology Co Ltd		17,621,741
	4,290,000	Cathay Financial Holding Co Ltd		7,434,694
	3,520,000	Chailease Holding Co Ltd		10,249,922
	230,000	Chaun-Choung Technology Corp		722,864
	3,205,000	Cheng Shin Rubber Industry Co Ltd		5,500,329
	330,000	Chicony Electronics Co Ltd		879,211
	304,000	Chicony Power Technology Co Ltd		615,158
	326,410	China Life Insurance Co Ltd		308,734
	912,000	China Synthetic Rubber Corp		1,303,794
	1,014,000	Chin-Poon Industrial Co Ltd		2,096,632
	350,000	Chipbond Technology Corp		680,688
	143,000	Chlitina Holding Ltd		684,340
	263,000	Chong Hong Construction Co Ltd		661,932
	4,941,470	Chunghwa Telecom Co Ltd		17,086,847
	52,100	Chunghwa Telecom Co Ltd Sponsored ADR		1,808,391
	76,000	Cleanaway Co Ltd		437,806
	15,662,000	Compal Electronics Inc		10,872,659
	909,000	Coretronic Corp		1,016,628
	16,859,000	CTBC Financial Holding Co Ltd		11,285,075
	674,000	CTCI Corp		991,201
	55,000	Cyberlink Corp		112,143
	112,000	Delta Electronics Inc		512,559
	244,000	E Ink Holdings Inc		435,587
	22,000	Eclat Textile Co Ltd		198,515
	1,777,000	Elan Microelectronics Corp		3,054,936
	85,000	Elite Advanced Laser Corp		373,591
	856,000	Elite Semiconductor Memory Technology Inc		1,261,784

Shares		Description	Value ($)
		Taiwan — continued
	952,000	Elitegroup Computer Systems Co Ltd *		619,547
	608,000	Everlight Electronics Co Ltd		933,615
	3,490,000	Far EasTone Telecommunications Co Ltd		8,320,529
	1,282,000	Faraday Technology Corp		2,746,476
	434,000	Farglory Land Development Co Ltd		458,400
	199,000	Feng TAY Enterprise Co Ltd		834,540
	137,000	Formosa Advanced Technologies Co Ltd		144,636
	331,000	Formosa Chemicals & Fibre Corp		1,007,297
	912,000	Formosa Plastics Corp		2,763,422
	7,023,000	Foxconn Technology Co Ltd		19,623,278
	9,885,000	Fubon Financial Holding Co Ltd		16,232,488
	1,465,000	Gemtek Technology Corp		1,249,282
	3,951,000	Gigabyte Technology Co Ltd		6,427,354
	3,149,000	Grand Pacific Petrochemical		2,843,766
	22,000	Grape King Bio Ltd		143,322
	2,285,000	Great Wall Enterprise Co Ltd		2,570,035
	411,000	Greatek Electronics Inc		713,298
	480,000	Green Seal Holding Ltd		841,482
	7,029,000	Highwealth Construction Corp		9,379,744
	156,000	Hiroca Holdings Ltd		600,387
	444,000	Holtek Semiconductor Inc		1,104,611
	21,764,663	Hon Hai Precision Industry Co Ltd		73,061,682
	574,000	Huaku Development Co Ltd		1,349,045
	441,000	IEI Integration Corp		629,847
	7,789,000	Inventec Corp		5,874,447
	103,000	Iron Force Industrial Co Ltd		401,305
	865,000	ITEQ Corp		1,902,769
	51,000	King Slide Works Co Ltd		698,211
	560,000	Kinik Co		1,599,768
	110,000	Kung Long Batteries Industrial Co Ltd		533,832
	2,240,000	Lite-On Semiconductor Corp		3,309,807
	16,560,475	Lite-On Technology Corp		20,474,255
	654,000	Lotes Co Ltd		3,721,115
	441,000	Makalot Industrial Co Ltd		1,778,733
	346,000	MediaTek Inc		3,791,651
	3,410,994	Mercuries Life Insurance Co Ltd *		1,876,002
	180,000	Merida Industry Co Ltd		748,204
	1,511,000	Mitac Holdings Corp		1,822,380
	360,000	Nan Ya Plastics Corp		908,825
	23,000	Nien Made Enterprise Co Ltd		211,128
	2,263,000	Novatek Microelectronics Corp		8,663,387
	995,000	Nuvoton Technology Corp		2,412,058
	179,000	On-Bright Electronics, Inc.		1,745,750
	1,783,445	OptoTech Corp		1,399,982
	15,015,000	Pegatron Corp		34,427,726
	804,000	Phison Electronics Corp		8,188,555
	11,670,000	Pou Chen Corp		14,049,536
	2,080,808	Powertech Technology Inc		6,349,069
	21,000	President Chain Store Corp		199,472
	273,000	Primax Electronics Ltd		759,552

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	6,048,000	Quanta Computer Inc		12,434,821
	337,000	Quanta Storage Inc		364,089
	8,274,020	Radiant Opto-Electronics Corp		17,995,027
	2,337,000	Realtek Semiconductor Corp		8,724,979
	594,000	Rechi Precision Co Ltd		589,196
	998,400	Ruentex Development Co Ltd *		1,041,215
	4,182,000	Ruentex Industries Ltd *		6,984,482
	380,000	Sercomm Corp		1,018,749
	726,000	Sheng Yu Steel Co Ltd		695,429
	261,000	Shin Zu Shing Co Ltd		692,336
	436,000	ShunSin Technology Holding Ltd		1,829,044
	897,400	Simplo Technology Co Ltd		5,135,793
	392,000	Sinbon Electronics Co Ltd		1,124,030
	536,000	Sitronix Technology Corp		1,473,835
	434,000	Soft-World International Corp		1,016,902
	1,720,000	Sunonwealth Electric Machine Industry Co Ltd		3,522,274
	3,314,000	Sunplus Technology Co Ltd		1,927,140
	527,000	Syncmold Enterprise Corp		1,164,442
	270,000	Taiflex Scientific Co Ltd		465,366
	275,575	Taishin Financial Holding Co Ltd		124,353
	582,412	Taiwan Business Bank		160,824
	223,000	Taiwan Cement Corp		249,763
	217,360	Taiwan Cooperative Financial Holding Co Ltd		118,785
	415,000	Taiwan Fertilizer Co Ltd		529,923
	182,000	Taiwan Mobile Co Ltd		652,608
	1,969,000	Taiwan Semiconductor Co Ltd		4,459,548
	4,394,000	Taiwan Semiconductor Manufacturing Co Ltd		33,190,329
	1,121,373	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		44,406,371
	835,000	Teco Electric and Machinery Co Ltd		821,739
	368,000	Tong Hsing Electronic Industries Ltd		1,891,282
	1,616,060	Topco Scientific Co Ltd		4,263,561
	533,000	Transcend Information Inc		1,493,666
	2,220,000	Tripod Technology Corp		7,193,751
	612,000	TXC Corp		805,838
	2,124,000	Uni-President Enterprises Corp		4,524,801
	1,786,000	United Integrated Services Co Ltd		3,514,817
	13,678,000	United Microelectronics Corp		7,008,733
	504,000	Visual Photonics Epitaxy Co Ltd		1,762,211
	8,624,000	Winbond Electronics Corp		8,277,974
	4,849,908	Wistron Corp		3,760,445
	387,763	Wistron NeWeb Corp		1,107,087
	2,588,000	WPG Holdings Ltd		3,526,041
	499,000	Youngtek Electronics Corp		985,649
	1,156,000	Yuanta Financial Holding Co Ltd		538,229
	660,000	Yulon Motor Co Ltd		525,905
		Total Taiwan		632,889,981

Shares		Description	Value ($)
		Thailand — 1.8%
	3,633,300	Advanced Info Service Pcl (Foreign Registered)		19,440,599
	2,339,300	Amata Corp Pcl (Foreign Registered)		1,789,236
	1,434,800	Amata Corp Pcl NVDR		1,097,420
	3,281,100	AP Thailand Pcl (Foreign Registered)		885,607
	2,628,100	AP Thailand Pcl NVDR		709,355
	87,500	Bangkok Bank Pcl (Foreign Registered) (c)		576,562
	516,200	Bangkok Bank Pcl NVDR		3,156,118
	1,134,200	BEC World Pcl NVDR		517,440
	2,307,400	Central Pattana Pcl (Foreign Registered)		5,681,957
	450,700	Central Pattana Pcl NVDR		1,109,845
	616,000	Delta Electronics Thailand Pcl (Foreign Registered)		1,591,715
	785,100	Eastern Polymer Group Pcl (Foreign Registered)		272,028
	759,800	Glow Energy Pcl (Foreign Registered)		2,030,182
	320,200	Glow Energy Pcl NVDR		855,573
	1,322,600	Hana Microelectronics Pcl (Foreign Registered)		1,917,927
	2,574,700	Indorama Ventures Pcl NVDR		3,866,964
	3,544,400	Intouch Holdings Pcl NVDR		5,895,279
	4,129,300	Jasmine International Pcl (Foreign Registered)		899,908
	889,500	Kasikornbank Pcl NVDR		6,202,107
	128,000	KCE Electronics Pcl (Foreign Registered)		323,867
	2,139,100	Kiatnakin Bank Pcl (Foreign Registered)		4,938,703
	1,109,800	Kiatnakin Bank Pcl NVDR		2,562,277
	2,402,100	Krung Thai Bank Pcl (Foreign Registered)		1,421,496
	3,884,400	Krung Thai Bank Pcl NVDR		2,298,679
	9,318,200	Land & Houses Pcl NVDR		2,999,084
	5,220,500	LPN Development Pcl (Foreign Registered)		2,096,624
	464,800	MC Group Pcl (Foreign Registered)		227,598
	853,800	MC Group Pcl NVDR		418,079
	432,400	Mega Lifesciences Pcl (Foreign Registered)		540,596
	418,800	Pruksa Holding Pcl (Foreign Registered)		300,024
	798,400	Pruksa Holding Pcl NVDR		571,937
	1,998,000	PTT Exploration & Production Pcl (Foreign Registered)		5,586,817
	4,843,300	PTT Exploration & Production Pcl NVDR		13,542,852
	3,365,300	PTT Global Chemical Pcl (Foreign Registered)		8,194,068
	135,100	PTT Global Chemical Pcl NVDR		328,951
	1,433,000	PTT Pcl (Foreign Registered)		18,120,014
	880,200	PTT Pcl NVDR		11,129,957
	8,215,100	Quality Houses Pcl (Foreign Registered)		765,184

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Thailand — continued
	6,639,700	Quality Houses Pcl NVDR		618,446
	804,400	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		1,373,524
	447,500	Ratchaburi Electricity Generating Holding Pcl NVDR		764,112
	33,841,100	Sansiri Pcl (Foreign Registered)		2,327,434
	16,651,100	Sansiri Pcl NVDR		1,145,185
	5,650,400	SC Asset Corp Pcl (Foreign Registered)		674,939
	136,900	SC Asset Corp Pcl NVDR		16,353
	1,197,700	Siam Cement Pcl (The) (Foreign Registered)		17,493,085
	527,800	Siam Cement Pcl (The) NVDR		7,708,816
	527,200	Siam Commercial Bank Pcl (The) (Foreign Registered)		2,467,573
	915,600	Siam Commercial Bank Pcl (The) NVDR		4,285,486
	1,303,900	Star Petroleum Refining Pcl		647,553
	2,530,300	Star Petroleum Refining Pcl (Foreign Registered)		1,256,619
	1,266,100	STP & I Pcl (Foreign Registered)		228,810
	1,203,000	STP & I Pcl NVDR		217,406
	1,326,900	Supalai Pcl (Foreign Registered)		971,635
	1,036,000	Supalai Pcl NVDR		758,620
	25,082,800	Thai Beverage Pcl		17,964,184
	286,700	Thai Oil Pcl (Foreign Registered)		817,746
	130,900	Thai Oil Pcl NVDR		373,362
	532,100	Thai Vegetable Oil Pcl (Foreign Registered)		496,430
	292,600	Thai Vegetable Oil Pcl NVDR		272,985
	4,515,500	Thanachart Capital Pcl (Foreign Registered)		7,788,650
	113,200	Thanachart Capital Pcl NVDR		195,255
	489,600	Tipco Asphalt Pcl NVDR		315,191
	667,300	Total Access Communication Pcl (Foreign Registered) *		864,205
	1,638,600	TTW Pcl (Foreign Registered)		627,720
	996,300	TTW Pcl NVDR		381,665
	1,011,600	WHA Corp Pcl NVDR		120,898
		Total Thailand		208,036,516
		Turkey — 1.0%
	159,589	Akbank Turk AS		366,070
	40,889	Aksa Akrilik Kimya Sanayii AS		127,030
	23,102	BIM Birlesik Magazalar AS		426,089
	30,570,615	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT) *		19,144,649
	308,541	Enka Insaat ve Sanayi AS		444,176
	4,346,573	Eregli Demir ve Celik Fabrikalari TAS		9,561,090
	945,582	Haci Omer Sabanci Holding AS		2,451,482
	2,022,960	KOC Holding AS		8,509,695
	29,056	Koza Altin Isletmeleri AS *		223,012
	5,639	Otokar Otomotiv Ve Savunma Sanayi AS		154,190

Shares		Description	Value ($)
		Turkey — continued
	4,214,502	Soda Sanayii AS		5,297,376
	4,194,537	Turkiye Garanti Bankasi AS		10,276,601
	6,414,130	Turkiye Halk Bankasi AS		14,535,042
	17,246,437	Turkiye Is Bankasi – Class C		27,146,977
	3,388,417	Turkiye Sinai Kalkinma Bankasi AS		1,166,697
	1,528,298	Turkiye Sise ve Cam Fabrikalari AS		1,633,710
	8,108,255	Turkiye Vakiflar Bankasi TAO – Class D		11,956,669
	257,192	Yapi ve Kredi Bankasi AS *		272,077
		Total Turkey		113,692,632
		United Arab Emirates — 0.0%
	1,376,648	Aldar Properties PJSC		826,483
	1,645,562	DAMAC Properties Dubai Co PJSC		1,545,841
	604,659	Dubai Investments PJSC		405,657
	77,624	Emaar Properties PJSC		159,879
	230,410	Emirates Telecommunications Group Co PJSC		1,030,102
		Total United Arab Emirates		3,967,962
		United Kingdom — 2.5%
	540,918	3i Group Plc		6,597,653
	685,595	AstraZeneca Plc		44,247,159
	266,439	Aviva Plc		1,838,025
	267,478	Berkeley Group Holdings Plc (The)		13,809,377
	480,633	British American Tobacco Plc		30,564,562
	61,720	Carillion Plc *		13,988
	2,019,699	Centrica Plc		3,948,684
	83,699	Cobham Plc *		143,941
	222,475	Coca-Cola HBC AG *		7,129,816
	14,043	Computacenter Plc		214,025
	8,662	Crest Nicholson Holdings Plc		59,359
	758,278	Debenhams Plc		403,782
	89,362	EI Group Plc *		178,513
	394,276	Electrocomponents Plc		3,366,075
	38,966	Fenner Plc		203,572
	949,504	Ferrexpo Plc		3,253,881
	41,063	Galliford Try Plc		656,463
	8,328	Games Workshop Group Plc		220,243
	6,619	GlaxoSmithKline Plc		114,525
	501,500	GlaxoSmithKline Plc Sponsored ADR		17,582,590
	543,476	Inchcape Plc		5,481,093
	287,772	Indivior Plc *		1,444,252
	53,447	Intermediate Capital Group Plc		770,947
	340,353	J Sainsbury Plc		1,068,687
	44,052	Jupiter Fund Management Plc		357,027
	520	Land Securities Group Plc (REIT)		6,569
	79,348	McBride Plc *		241,953
	133,250	Mondi Plc		3,183,763
	51,237	Mondi Plc		1,215,652
	23,615	Morgan Sindall Group Plc		437,978
	667,152	Persimmon Plc		22,915,049

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	197,350	QinetiQ Group Plc		577,259
	273,246	Reckitt Benckiser Group Plc		23,984,844
	71,503	RPS Group Plc		263,178
	636,846	Sage Group Plc (The)		6,670,161
	2,340,700	Sky Plc *		29,642,271
	49,557	Smiths Group Plc		993,991
	113,166	Spectris Plc		3,835,174
	79,242	Stock Spirits Group Plc		283,706
	210,771	Unilever Plc		11,889,217
	4,804	Vedanta Resources Plc		45,030
	114,931	Vesuvius Plc		871,443
	9,939	WH Smith Plc		280,837
	1,408,837	Wm Morrison Supermarkets Plc		4,122,803
	5,111,500	Worldpay Group Plc		29,176,541
		Total United Kingdom		284,305,658
		United States — 7.0%
	64,729	3M Co.		15,738,209
	187,157	Abbott Laboratories		10,550,040
	102,655	Accenture Plc – Class A		15,193,967
	32,357	Alphabet, Inc. – Class C *		33,049,763
	127,932	American Express Co.		12,500,236
	28,877	Amphenol Corp. – Class A		2,615,967
	21,030	Analog Devices, Inc.		1,810,893
	33,466	Anthem, Inc.		7,863,171
	173,343	Apple, Inc.		29,788,995
	7,771	Automatic Data Processing, Inc. (a)		889,469
	20,881	Becton Dickinson and Co.		4,765,253
	231,600	CalAtlantic Group, Inc.		12,978,864
	382,500	Capital Bank Financial Corp. – Class A		15,969,375
	965,500	Cars.com, Inc. *		23,403,720
	1,512,173	CenturyLink, Inc. (a)		22,062,604
	346,171	Cisco Systems, Inc.		12,912,178
	151,154	Coca-Cola Co. (The)		6,918,319
	179,131	Cognizant Technology Solutions Corp. – Class A		12,947,589
	20,775	Colgate-Palmolive Co. (a)		1,505,149
	56,822	Costco Wholesale Corp.		10,479,681
	40,352	CVS Health Corp.		3,090,963
	110,000	DISH Network Corp. – Class A * (a)		5,571,500
	36,536	Eli Lilly & Co.		3,092,407
	98,200	Emerson Electric Co.		6,365,324
	9,886	EnPro Industries, Inc.		853,854
	28,098	Honeywell International, Inc.		4,382,164
	19,860	Humana, Inc.		5,180,680
	155,835	Johnson & Johnson		21,712,491
	33	Knight-Swift Transportation Holdings, Inc.		1,408
	37,724	Mastercard, Inc. – Class A		5,676,330
	153,373	Medtronic Plc		12,596,525
	419,525	Microsoft Corp.		35,311,419
	28,035	Mondelez International, Inc. – Class A (a)		1,203,823

Shares		Description	Value ($)
		United States — continued
	585,180	Monsanto Co.		69,250,201
	503,613	NxStage Medical, Inc. *		12,937,818
	554,761	Oracle Corp.		27,216,575
	26,910	PepsiCo, Inc.		3,135,553
	102,644	Pfizer, Inc.		3,721,871
	101,189	Philip Morris International, Inc.		10,397,170
	20,646	Pinnacle Foods, Inc. (a)		1,202,217
	505,556	QUALCOMM, Inc. (a)		33,538,585
	371,443	Rockwell Collins, Inc.		49,145,623
	33	Sabra Health Care REIT, Inc.		635
	98,507	Schlumberger Ltd.		6,191,165
	428,900	Scripps Networks Interactive, Inc. – Class A		35,101,176
	39,923	Stryker Corp.		6,227,988
	82,242	Teradata Corp. *		3,126,018
	63,772	Texas Instruments, Inc.		6,204,378
	938,000	Time Warner, Inc. (a)		85,836,380
	29,605	TJX Cos., Inc. (The)		2,236,658
	11,021	T-Mobile US, Inc. * (a)		673,053
	349,500	Tribune Media Co. – Class A		14,399,400
	42,616	Twitter, Inc. * (a)		877,037
	63,527	United Technologies Corp. (a)		7,715,354
	100,755	UnitedHealth Group, Inc.		22,989,268
	168,309	US Bancorp		9,282,241
	75,902	VF Corp.		5,537,810
	21,378	Walt Disney Co. (The) (a)		2,240,842
	176,164	Wells Fargo & Co.		9,947,981
	52,422	Williams Cos , Inc. (The) (a)		1,522,859
	24,275	Zimmer Biomet Holdings, Inc.		2,842,603
		Total United States		792,480,789
		TOTAL COMMON STOCKS (COST $5,481,967,384)		6,066,818,990
		PREFERRED STOCKS (d) — 1.8%
		Brazil — 0.9%
	518,122	Banco Bradesco SA *		5,164,496
	594,400	Banco do Estado do Rio Grande do Sul SA Class B		2,360,974
	1,070,850	Bradespar SA		8,278,839
	486,500	Braskem SA – Class A		6,751,941
	1,308,475	Centrais Eletricas Brasileiras SA – Class B *		8,523,691
	3,911,727	Cia Energetica de Minas Gerais		7,874,793
	70,900	Cia Paranaense de Energia – Class B		499,676
	5,439	Companhia Energetica de Minas Gerais Sponsored ADR		11,095
	997,760	Itau Unibanco Holding SA		12,573,982
	832,500	Itau Unibanco Holding SA Sponsored ADR		10,447,875
	8,939,576	Itausa – Investimentos Itau SA		28,332,354

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares		Description	Value ($)
		Brazil — continued
	2,158,400	Metalurgica Gerdau SA		3,342,882
	2,544,800	Oi SA *		3,014,175
		Total Brazil		97,176,773
		Colombia — 0.0%
	59,300	Bancolombia SA Sponsored ADR		2,289,573
		Germany — 0.1%
	34,296	Bayerische Motoren Werke AG		2,970,224
	3,025	Draegerwerk AG & Co KGaA		253,620
	913	Henkel AG & Co KGaA		124,044
	106,947	Porsche Automobil Holding SE		8,959,336
		Total Germany		12,307,224
		Russia — 0.0%
	11,027	Bashneft PJSC		282,563
	947,900	Sberbank of Russia PJSC		2,990,342
	1,371,300	Surgutneftegas OJSC		666,811
	562	Transneft PJSC		1,716,028
		Total Russia		5,655,744
		South Korea — 0.8%
	38,952	Hyundai Motor Co		3,499,892
	61,015	Hyundai Motor Co 2nd Preference		6,100,475
	42,422	LG Electronics Inc		1,601,566
	40,104	Samsung Electronics Co Ltd		77,777,561
	5,446	Samsung Electronics Co Ltd GDR (Registered)		5,272,378
		Total South Korea		94,251,872
		TOTAL PREFERRED STOCKS (COST $163,435,463)		211,681,186
		RIGHTS/WARRANTS — 0.0%
		Australia — 0.0%
	53,875	Pact Group Holdings Ltd * (e)		11,410
		Canada — 0.0%
	449,600	Alignvest Acquisition II Corp *		212,577
		Thailand — 0.0%
	174,750	Supalai Pcl *		103,266
	753,450	Supalai Public Co Rights *		445,242
		Total Thailand		548,508
		United States — 0.0%
	2,616,810	Media General, Inc. CVR * (e)		78,504
	2,279,800	Safeway Casa Ley CVR * (e)		991,713
	2,279,800	Safeway PDC, LLC CVR * (e)		34,197
		Total United States		1,104,414
		TOTAL RIGHTS/WARRANTS (COST $2,941,543)		1,876,909

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 37.5%
		Australia — 0.0%
		Corporate Debt — 0.0%
	1,250,000	Crest Nicholsotd / BlueScope Steel Finance USA LLC, 144A, 6.50%, due 05/15/21		1,303,125
	750,000	Teekay Corp, 8.50%, due 01/15/20		753,750
	750,000	Virgin Australia Holdings Ltd, 144A, 8.50%, due 11/15/19		783,750
		Total Australia		2,840,625
		Brazil — 0.1%
		Corporate Debt — 0.1%
	7,544,000	Oi Brasil Holdings Cooperatief UA, Reg. S, 5.75%, due 02/10/22 (f)		2,719,612
EUR	20,750,000	Portugal Telecom International Finance BV, Reg. S, 5.88%, due 04/17/18 (f)		8,644,187
EUR	3,032,000	Portugal Telecom International Finance BV, Reg. S, 4.63%, due 05/08/20 (f)		1,299,181
EUR	3,714,000	Portugal Telecom International Finance BV, Reg. S, 4.50%, due 06/16/25 (f)		1,547,205
	4,956,000	Telemar Norte Leste SA, Reg. S, 5.50%, due 10/23/20 (e)		1,784,143
		Total Brazil		15,994,328
		Canada — 0.1%
		Corporate Debt — 0.1%
	500,000	Bellatrix Exploration Ltd, 144A, 8.50%, due 05/15/20		481,250
	500,000	Canbriam Energy Inc, 144A, 9.75%, due 11/15/19		508,750
	18,352,800	Nortel Networks Corp, Zero Coupon, due 07/15/11 (f)		1,284,696
	26,379,600	Nortel Networks Corp, 10.13%, due 07/15/13 (f)		1,912,521
	2,500,000	Teck Resources Ltd, 6.13%, due 10/01/35		2,812,500
		Total Canada		6,999,717
		Denmark — 0.2%
		Bank Loans — 0.2%
	6,287,911	O.W. Bunker & Trading A/S, Ancillary Revolver, 0.00% (e) (f)		5,784,878
	5,192,933	O.W. Bunker & Trading A/S, Term Loan A, 1.75%, due 12/31/18 (e) (f)		4,777,498
	9,059,369	O.W. Bunker & Trading A/S, Term Loan B, 2.25%, due 12/31/18 (e) (f)		8,334,620
		Total Denmark		18,896,996

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		France — 0.0%
		Corporate Debt — 0.0%
	1,250,000	Credit Agricole SA, 144A, Variable Rate, 3 mo. LIBOR + 6.98%, 8.38%, due 4/13/66		1,375,000
		Germany — 0.0%
		Corporate Debt — 0.0%
	1,708,000	Deutsche Bank AG, 4.50%, due 04/01/25		1,732,600
		Hong Kong — 0.0%
		Corporate Debt — 0.0%
	750,000	Studio City Co Ltd, 144A, 5.88%, due 11/30/19		779,062
		Ireland — 0.0%
		Corporate Debt — 0.0%
	1,130,000	Park Aerospace Holdings Ltd, 144A, 5.50%, due 02/15/24		1,155,425
		Italy — 0.0%
		Corporate Debt — 0.0%
	2,000,000	Intesa Sanpaolo SPA, 144A, 5.02%, due 06/26/24		2,044,498
	1,000,000	Meccanica Holdings USA Inc, 144A, 6.25%, due 07/15/19		1,060,610
		Total Italy		3,105,108
		Japan — 2.2%
		Corporate Debt — 0.0%
	3,000,000	SoftBank Group Corp, 144A, 4.50%, due 04/15/20		3,071,100
		Foreign Government Obligations — 2.2%
JPY	6,775,000,000	Japan Treasury Discount Bill, Zero Coupon, due 12/18/17		60,201,213
JPY	3,945,000,000	Japan Treasury Discount Bill, Zero Coupon, due 01/10/18		35,058,990
JPY	4,437,000,000	Japan Treasury Discount Bill, Zero Coupon, due 01/22/18		39,434,283
JPY	10,350,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/13/18		92,001,012
JPY	2,040,000,000	Japan Treasury Discount Bill, Zero Coupon, due 02/26/18		18,135,382
				244,830,880
		Total Japan		247,901,980
		Luxembourg — 0.0%
		Corporate Debt — 0.0%
	500,000	Intelsat Jackson Holdings SA, 7.25%, due 10/15/20		472,500
	750,000	Coveris Holdings SA, 144A, 7.88%, due 11/01/19		751,875
		Total Luxembourg		1,224,375

Par Value†		Description	Value ($)
		Puerto Rico — 0.2%
		Municipal Obligations — 0.2%
	14,697,940	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/44		9,112,723
	26,571,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/47		16,341,165
		Total Puerto Rico		25,453,888
		Spain — 0.2%
		Bank Loans — 0.2%
	11,187,065	Abengoa S.A., NM Term Loan A, 7.00%, due 03/31/21 (e)		11,998,127
	3,022,690	Abengoa S.A., Term Loan Escrow, 14.00%, due 03/31/21 (e)		3,128,484
				15,126,611
		Corporate Debt — 0.0%
	653,463	ABG Orphan Holdco S.a r.l., 144A, 14.00%, due 02/28/21		676,334
	1,912,475	ABG Orphan Holdco S.a r.l., 144A, 14.00%, due 02/28/21		2,051,130
				2,727,464
		Total Spain		17,854,075
		United Kingdom — 0.1%
		Corporate Debt — 0.1%
	2,750,000	Anglo American Capital Plc, 144A, 4.88%, due 05/14/25		2,892,742
	2,000,000	Avon Products, Inc., 7.00%, due 03/15/23		1,641,250
	760,000	Jaguar Land Rover Automotive Plc, 144A, 4.13%, due 12/15/18		771,271
	1,130,000	Royal Bank of Scotland Group Plc, 5.13%, due 05/28/24		1,200,079
	1,510,000	Virgin Media Secured Finance Plc, 144A, 5.25%, due 01/15/26		1,557,187
		Total United Kingdom		8,062,529
		United States — 34.4%
		Asset-Backed Securities — 3.4%
	1,883,610	AccessLex Institute, Series 05-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.18%, 1.63%, due 11/22/24		1,883,608
	3,126,987	Acis CLO Ltd., Series 13-2A, Class C1R, 144A, Variable Rate, 3 mo. LIBOR + 1.30%, 2.66%, due 10/14/22		3,127,153
	8,997,382	Acis CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.87%, 2.22%, due 04/18/24		9,002,519
	1,131,640	AMMC CLO 21 Ltd., Series 17-21A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 2.24%, due 11/02/30		1,133,815

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	3,448,524	AMMC CLO XII Ltd., Series 13-12A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.06%, due 11/10/30		3,448,524
	1,551,836	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.31%, due 07/24/29		1,557,436
	2,979,846	AMMC CLO XIV Ltd., Series 14-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.32%, due 07/25/29		2,988,336
	696,852	Anchorage Capital CLO 6 Ltd., Series 15-6A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.26%, due 07/15/30		698,232
	982,740	Anchorage Capital CLO Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.01%, due 10/13/30		982,732
	3,583,637	Apidos CLO X, Series 12-10A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.42%, 2.80%, due 10/30/22		3,588,214
	5,113,264	Apidos CLO XII, Series 13-12A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.46%, due 04/15/25		5,117,109
	14,890,000	Apidos CLO XV, Series 13-15A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.46%, due 10/20/25		14,905,471
	11,485,673	ARES XXVI CLO Ltd., Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.46%, due 04/15/25		11,487,809
	2,376,444	Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .60%, 2.02%, due 11/17/27		2,376,434
	15,180,718	Atrium X, Series ATRM-10A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + .95%, 2.31%, due 07/16/25		15,213,949
	1,075,058	Avery Point III CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.47%, due 01/18/25		1,078,572
	5,295,304	Babson CLO Ltd., Series 13-IA, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.46%, due 04/20/25		5,295,298
	1,414,550	Bain Capital Credit CLO, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.11%, due 07/20/30		1,414,516
	4,329,244	Ballyrock CLO LLC, Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.18%, 2.50%, due 05/20/25		4,338,578
	1,287,240	Benefit Street Partners CLO III Ltd., Series 13-IIIA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 2.21%, due 07/20/29		1,288,945
	745,000	Black Diamond CLO Ltd., Series 17-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.36%, due 04/24/29		746,995

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	4,050,080	BlueMountain CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.89%, 2.27%, due 10/29/25		4,050,384
	2,829,100	BlueMountain CLO Ltd., Series 13-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.01%, due 10/22/30		2,829,080
	17,932,572	Brookside Mill CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.50%, due 04/17/25		17,954,522
	1,415,500	Carlyle US CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .80%, 2.13%, due 07/20/31		1,416,716
	728,479	Catamaran CLO Ltd., Series 12-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.19%, 2.52%, due 12/20/23		730,369
	1,131,640	Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .60%, 1.96%, due 04/22/30		1,131,634
	3,677,830	CBAM Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .70%, 2.07%, due 10/17/29		3,677,720
	2,829,100	CBAM Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, due 07/20/30		2,830,831
	5,658,200	CBAM Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 1.00%, due 01/15/31		5,658,200
	618,826	Cent CLO, Series 12-16A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 2.63%, due 08/01/24		619,045
	2,325,453	Cent CLO, Series 13-17A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.30%, 2.68%, due 01/30/25		2,329,618
	3,394,920	CIFC Funding II Ltd., Series 13-2A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.00%, due 10/18/30		3,394,896
	1,668,800	CIFC Funding III Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.12%, due 07/20/30		1,670,240
	3,814,818	CIFC Funding IV Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.13%, due 10/24/30		3,816,851
	952,960	CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.51%, due 01/16/26		953,136
	3,156,680	Dryden 30 Senior Loan Fund, Series 13-30A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.02%, due 11/15/28		3,156,667
	1,131,640	Dryden XXVIII Senior Loan Fund, Series 13-28A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.17%, due 08/15/30		1,131,966

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	353,455	Eastland CLO Ltd., Series 07-1A, Class A3, 144A, Variable Rate, 3 mo. LIBOR + 0.40%, 1.78%, due 05/01/22		353,189
	1,980,370	Elevation CLO Ltd., Series 14-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.00%, due 10/15/29		1,980,356
	1,301,386	Galaxy XV CLO Ltd., Series 13-15A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.01%, due 10/15/30		1,301,377
	2,888,660	Goldentree Loan Management US CLO 2 Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.17%, due 11/28/30		2,888,660
	516,940	GoldenTree Loan Opportunities VII Ltd., Series 13-7A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.52%, due 04/25/25		516,935
	1,738,155	Halcyon Loan Advisors Funding Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.51%, due 04/15/25		1,738,226
	990,185	Highbridge Loan Management Ltd., Series 3A-2014, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.15%, due 07/18/29		991,047
	1,131,640	Highbridge Loan Management Ltd., Series 13-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.01%, due 10/20/29		1,131,632
	2,314,824	Higher Education Funding I, Series 05-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.14%, 1.60%, due 02/25/30		2,314,828
	10,132,000	Higher Education Funding I, Series 05-1, Class A5, Variable Rate, 3 mo. LIBOR + .16%, 1.62%, due 02/25/32		10,101,877
	2,263,280	Jamestown CLO X Ltd., Series 17-10A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.37%, due 07/17/29		2,267,687
	1,079,036	KeyCorp Student Loan Trust, Series 00-A, Class A2, Variable Rate, 3 mo. LIBOR + 0.32%, 1.78%, due 05/25/29		1,072,700
	1,760,545	KeyCorp Student Loan Trust, Series 06-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.31%, 1.64%, due 09/27/35		1,758,622
	2,314,344	KeyCorp Student Loan Trust, Series 05-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.34%, 1.67%, due 06/27/38		2,313,649
	2,471,758	KeyCorp Student Loan Trust, Series 04-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.53%, 1.90%, due 01/27/42		2,472,070
	1,563,450	KKR CLO Ltd., Series 9, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.31%, due 07/15/30		1,566,846

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,042,300	KKR CLO Ltd., Series 18, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.35%, due 07/18/30		1,042,716
	21,121	LB-UBS Commercial Mortgage Trust, Series 06-C1, Class AJ, 5.28%, due 02/15/41		21,124
	1,608,120	LCM XXV Ltd., Series 25-A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.26%, due 07/20/30		1,613,354
	17,741,137	Montana Higher Education Student Assistance Corp., Series 05-1, Class B, Variable Rate, 3 mo. LIBOR + 0.12%, 1.45%, due 06/20/30		17,672,834
	2,316,884	Mountain View CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.11%, due 10/12/30		2,316,865
	893,400	MP CLO III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.01%, due 10/20/30		893,394
	5,907,342	National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.25%, 1.58%, due 03/27/28		5,856,731
	2,326,434	National Collegiate Student Loan Trust, Series 07-2, Class A2, Variable Rate, 1 mo. LIBOR + 0.13%, 1.46%, due 06/26/28		2,321,352
	17,880,000	National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 1.56%, due 03/26/29		17,388,130
	5,167,996	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 1.57%, due 07/25/30		5,024,513
	1,131,640	Neuberger Berman CLO XV, Series 13-15A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.01%, due 10/15/29		1,131,632
	1,774,404	Neuberger Berman CLO XVII Ltd., Series 14-17A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.36%, due 04/22/29		1,779,131
	1,808,333	Newcastle CDO V Ltd., Series 04-5A, Class 3, 144A, Variable Rate, 3 mo. LIBOR + .90%, 2.20%, due 12/24/39		1,802,769
	14,207,279	NewMark Capital Funding CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.94%, 2.26%, due 06/02/25		14,210,078
	4,290,239	NewMark Capital Funding CLO Ltd., Series 13-1A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.44%, due 06/02/25		4,292,788
	447,000	Oaktree CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .90%, 2.31%, due 05/13/29		447,294

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	2,799,184	Ocean Trails CLO IV, Series 13-4A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.31%, due 08/13/25		2,801,463
	1,358,880	Octagon Investment Partners XII Ltd., Series 12-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .88%, 2.24%, due 07/15/19		1,360,709
	944,026	Octagon Investment Partners XV Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.16%, due 07/19/30		945,172
	3,533,406	OFSI Fund V Ltd., Series 13-5A, Class A1LA, 144A, Variable Rate, 3 mo. LIBOR + 0.93%, 2.28%, due 04/17/25		3,534,706
	848,730	OFSI Fund V Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 2.16%, due 08/16/29		850,141
	3,687,965	OHA Credit Partners VIII Ltd., Series 13-8A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.48%, due 04/20/25		3,695,160
	1,042,300	OHA Credit Partners XIV Ltd., Series 17-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.18%, due 01/21/30		1,042,300
	2,489,608	OZLM Funding Ltd., Series 13-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.01%, due 10/22/30		2,489,591
	1,261,183	OZLM XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.13%, due 10/30/30		1,261,749
	5,998,831	Palmer Square CLO Ltd., Series 13-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + .97%, 2.39%, due 05/15/25		6,010,703
	15,172,710	SLM Private Credit Student Loan Trust, Series 07-A, Class A3, Variable Rate, 3 mo. LIBOR + .17%, 1.49%, due 12/15/26		15,164,807
	2,101,583	SLM Private Education Loan Trust, Series 14-A, Class A2B, 144A, Variable Rate, 1 mo. LIBOR + 1.15%, 2.40%, due 01/15/26		2,118,977
	1,989,154	SLM Private Education Loan Trust, Series 11-A, Class A2, 144A, 4.37%, due 04/17/28		2,017,052
	4,889,876	SLM Private Education Loan Trust, Series 11-A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.50%, 3.75%, due 01/15/43		5,080,823
	9,312,391	SLM Private Education Loan Trust, Series 10-A, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + 3.25%, 4.50%, due 05/16/44		9,596,703
	1,927,266	SLM Private Education Loan Trust, Series 12-C, Class A2, 144A, 3.31%, due 10/15/46		1,934,851

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	14,339,886	SLM Student Loan Trust, Series 07-6, Class A4, Variable Rate, 3 mo. LIBOR + .38%, 1.75%, due 10/25/24		14,345,180
	5,516,700	SLM Student Loan Trust, Series 07-1, Class A5, Variable Rate, 3 mo. LIBOR + .09%, 1.46%, due 01/26/26		5,505,421
	788,038	SMB Private Education Loan Trust, Series 16-B, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.65%, 1.90%, due 11/15/23		788,970
	6,002,296	SMB Private Education Loan Trust, Series 17-A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.45%, 1.70%, due 06/17/24		6,012,192
	781,129	South Carolina Student Loan Corp., Series 08-1, Class A3, Variable Rate, 3 mo. LIBOR + 0.75%, 2.07%, due 03/02/20		782,394
	2,113,087	South Carolina Student Loan Corp., Series 2005, Class A3, Variable Rate, 3 mo. LIBOR + .14%, 1.46%, due 12/01/23		2,112,559
	3,489,266	Symphony CLO V Ltd., Series 07-5A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.11%, due 01/15/24		3,492,787
	245,359	Symphony CLO VIII LP, Series 12-8A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.45%, due 01/09/23		245,781
	1,608,120	TCI-Symphony CLO Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.07%, due 07/15/30		1,609,690
	990,185	Telos CLO, Series 13-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.35%, due 07/17/26		992,156
	6,989,258	Telos CLO Ltd., Series 13-4A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.30%, 2.65%, due 07/17/24		6,998,742
	566,200	THL Credit Wind River CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .90%, 2.21%, due 07/20/30		567,327
	2,036,952	THL Credit Wind River CLO Ltd., Series 17-4A, Class X, Variable Rate, 3 mo. LIBOR + 0.60%, 1.00%, due 11/20/30		2,036,952
	2,953,071	Tryon Park CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.48%, due 07/15/25		2,959,893
	2,389,752	Velocity Commercial Capital Loan Trust, Series 15-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 2.43%, 3.76%, due 06/25/45		2,419,423
	1,414,550	Venture XXIX CLO Ltd., Series 17-29A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.32%, due 09/07/30		1,414,720

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,697,460	Voya CLO Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.12%, due 07/20/30		1,699,132
	3,394,920	Voya CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 1.96%, due 10/15/30		3,394,896
	3,146,153	Wasatch Ltd., Series 06-1A, Class A1B, 144A, Variable Rate, 3 mo. LIBOR + 0.24%, 1.65%, due 11/14/22		3,141,248
	9,808,737	West CLO Ltd., Series 12-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.24%, 2.62%, due 10/30/23		9,821,675
	585,398	WhiteHorse VI Ltd., Series 12-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 2.58%, due 02/03/25		585,622
	743,137	Ziggurat CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.25%, due 04/17/29		744,251
				393,186,444
		Bank Loans — 0.3%
	848,641	ABG Orphan Holdco S.a r.l., USD Facility 1A Escrow Tranche, 14.00%, due 10/10/25 (e)		878,344
	13,872,900	iHeartCommunications, Inc., Term Loan D, 1.33% + 6.75%, due 01/30/19 (e)		10,023,170
	22,935,389	Sears Roebuck Acceptance Corp., Term Loan, 1.35% + 4.50%, due 06/30/18 (a) (e)		22,906,720
				33,808,234
		Corporate Debt — 0.9%
	750,000	ADT Corp. (The), 144A, 4.88%, due 07/15/32		711,405
	1,500,000	Allegheny Technologies, Inc., 5.95%, due 01/15/21		1,537,500
	500,000	Ally Financial, Inc., 8.00%, due 11/01/31		660,625
	642,000	APX Group, Inc., 6.38%, due 12/01/19		650,828
	1,250,000	Arconic, Inc., 6.15%, due 08/15/20		1,345,500
	750,000	Arconic, Inc., 6.75%, due 01/15/28		879,420
	500,000	Boxer Parent Co., Inc., 144A, 9.00%, due 10/15/19		501,875
	380,000	Calpine Corp., 144A, 6.00%, due 01/15/22		391,400
	2,270,000	CCO Holdings LLC / CCO Holdings Capital Corp., 5.25%, due 09/30/22		2,332,425
	1,500,000	CenturyLink, Inc., 5.80%, due 03/15/22 (a)		1,434,375
	1,000,000	Cenveo Corp., 144A, 6.00%, due 08/01/19		665,000
	750,000	CF Industries, Inc., 4.95%, due 06/01/43		706,875
	1,890,000	Cheniere Corpus Christi Holdings LLC, 144A, 5.13%, due 06/30/27		1,953,787

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	1,000,000	CHS/Community Health Systems, Inc., 8.00%, due 11/15/19		896,250
	250,000	Clean Harbors, Inc., 5.13%, due 06/01/21		253,125
	750,000	Cleaver-Brooks, Inc., 144A, 8.75%, due 12/15/19		770,625
	1,500,000	CNO Financial Group, Inc., 4.50%, due 05/30/20		1,541,250
	750,000	CommScope Technologies LLC, 144A, 5.00%, due 03/15/27		755,618
	750,000	Continental Resources, Inc., 5.00%, due 09/15/22		764,063
	500,000	CSC Holdings LLC, 8.63%, due 02/15/19		528,750
	1,500,000	DCP Midstream Operating LP, 144A, 6.75%, due 09/15/37		1,605,000
	350,000	DJO Finance LLC / DJO Finance Corp., 10.75%, due 04/15/20		315,000
	1,250,000	Downstream Development Authority of the Quapaw Tribe of Oklahoma, 144A, 10.50%, due 07/01/19		1,228,125
	750,000	Dynegy, Inc., 6.75%, due 11/01/19		776,250
	1,000,000	Embarq Corp., 8.00%, due 06/01/36 (a)		950,000
	2,750,000	EMC Corp., 3.38%, due 06/01/23		2,652,347
	1,250,000	Ensco Plc, 5.20%, due 03/15/25		1,025,000
	1,250,000	Ensco Plc, 5.75%, due 10/01/44		825,000
	750,000	EP Energy LLC / Everest Acquisition Finance, Inc., 9.38%, due 05/01/20		555,000
	250,000	Equinix, Inc., REIT, 5.38%, due 01/01/22		260,313
	750,000	Equinix, Inc., REIT, 5.75%, due 01/01/25		801,562
	1,250,000	Freeport-McMoRan, Inc., 3.88%, due 03/15/23		1,235,750
	16,738,000	Fresh Market, Inc. (The), 144A, 9.75%, due 05/01/23		9,456,970
	500,000	Frontier North, Inc., 6.73%, due 02/15/28		431,250
	250,000	GenOn Energy, Inc., 9.50%, due 10/15/18 (f)		177,500
	1,250,000	Genworth Holdings, Inc., 7.70%, due 06/15/20		1,262,500
	750,000	Gibson Brands, Inc., 144A, 8.88%, due 08/01/18		624,375
	1,130,000	HCA, Inc., 4.50%, due 02/15/27		1,145,820
	500,000	Hexion, Inc., 6.63%, due 04/15/20		441,250
	18,995,465	iHeartCommunications, Inc., 14.00%, due 02/01/21		1,472,149
	7,078,500	iHeartCommunications, Inc., 9.00%, due 03/01/21		5,061,127
	7,789,800	iHeartCommunications, Inc., 9.00%, due 09/15/22		5,608,656
	250,000	Kindred Healthcare, Inc., 8.00%, due 01/15/20		251,875

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	760,000	L Brands, Inc., 8.50%, due 06/15/19		825,550
	1,130,000	Level 3 Financing, Inc., 5.63%, due 02/01/23 (a)		1,142,712
	1,510,000	Levi Strauss & Co., 5.00%, due 05/01/25		1,573,239
	1,000,000	Lexmark International, Inc., 6.63%, due 03/15/20		1,042,750
	1,510,000	LifePoint Health, Inc., 5.88%, due 12/01/23		1,536,425
	500,000	Mallinckrodt International Finance SA / Mallinckrodt CB LLC, 144A, 4.88%, due 04/15/20		482,500
	750,000	McClatchy Co. (The), 6.88%, due 03/15/29		688,125
	1,000,000	Murphy Oil Corp., 4.45%, due 12/01/22		1,001,250
	1,250,000	Navient Corp., 5.50%, due 01/25/23		1,251,562
	1,000,000	Noble Holding US LLC/Noble Drilling Services 6 LLC / Noble Drilling Holding LLC, 7.50%, due 03/15/19		1,025,000
	1,140,000	Nuance Communications, Inc., 144A, 5.38%, due 08/15/20		1,155,960
	750,000	Shearer’s Foods LLC / Chip Finance Corp., 144A, 9.00%, due 11/01/19		766,875
	250,000	Spectrum Brands, Inc., 5.75%, due 07/15/25		262,500
	1,000,000	Springleaf Finance Corp., 5.25%, due 12/15/19		1,030,000
	750,000	Sprint Capital Corp., 6.90%, due 05/01/19		788,438
	2,250,000	Sprint Capital Corp., 8.75%, due 03/15/32		2,598,052
	500,000	Sprint Communications, Inc., 144A, 7.00%, due 03/01/20		535,625
	1,000,000	Standard Industries, Inc., 144A, 5.38%, due 11/15/24		1,052,500
	760,000	Steel Dynamics, Inc., 5.25%, due 04/15/23		783,028
	1,500,000	Talen Energy Supply LLC, 4.60%, due 12/15/21		1,395,000
	250,000	Targa Resources Partners LP / Targa Resources Partners Finance Corp., 6.75%, due 03/15/24		268,750
	500,000	Tenet Healthcare Corp., 5.50%, due 03/01/19		506,250
	1,250,000	Transocean, Inc., 6.80%, due 03/15/38 (g)		996,875
	1,209,000	TRU Taj LLC / TRU Taj Finance, Inc., 144A, 11.00%, due 01/22/19 (e)		1,245,270
	18,210,000	TRU Taj LLC / TRU Taj Finance, Inc., 144A, 12.00%, due 08/15/21		17,026,350
	500,000	Ultra Resources, Inc., 144A, 6.88%, due 04/15/22		504,750
	500,000	Universal Hospital Services, Inc., 7.63%, due 08/15/20		501,400

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	250,000	USG Corp., 144A, 4.88%, due 06/01/27		261,250
	2,000,000	Williams Cos., Inc. (The), 8.75%, due 03/15/32 (a)		2,620,000
	1,500,000	Yum! Brands, Inc., 5.35%, due 11/01/43		1,443,750
	750,000	Zachry Holdings, Inc., 144A, 7.50%, due 02/01/20		763,125
				104,518,376
		Mortgage Backed Securities — 0.2%
	1,150,280	COMM Mortgage Trust, Series 04-LB2A, Class H, 144A, Variable Rate, 6.07%, due 03/10/39		1,192,452
	1,164,849	GS Mortgage Securities Trust, Series 10-C1, Class A1, 144A, 3.68%, due 08/10/43		1,183,702
	3,461,036	JP Morgan Chase Commercial Mortgage Securities Trust, Series 14-CBM, Class A, 144A, Variable Rate, 1 mo. LIBOR + .90%, 2.15%, due 10/15/29		3,461,033
	7,926,767	JP Morgan Chase Commercial Mortgage Securities Trust, Series 14-FL6, Class A, 144A, Variable Rate, 1 mo. LIBOR + 1.40%, 2.65%, due 11/15/31		7,929,321
	2,227,771	JPMBB Commercial Mortgage Securities Trust, Series 14-C25, Class A1, 1.52%, due 11/15/47		2,221,262
	1,129,669	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 1.58%, due 02/25/30		1,103,921
	560,396	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 1.58%, due 09/25/30		555,893
	477,073	Nationslink Funding Corp. Commercial Loan Pass Through Certificate, Series 99-LTL1, Class D, 144A, 6.45%, due 01/22/26		490,739
				18,138,323
		U.S. Government — 28.6%
	31,329,946	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25 (h)		31,125,696
	260,184,634	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (h)		261,956,834
	276,218,563	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/26 (h)		267,061,605
	405,671,230	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (h)		398,222,036

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		U.S. Government — continued
	186,793,111	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 (h)		183,689,914
	151,751,765	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (h)		168,689,938
	134,431,525	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (h)		161,024,436
	35,000,000	U.S. Treasury Note, 0.75%, due 08/31/18		34,786,719
	44,800,000	U.S. Treasury Note, 0.75%, due 10/31/18		44,432,500
	22,750,000	U.S. Treasury Note, 1.00%, due 11/30/18		22,599,815
	21,550,000	U.S. Treasury Note, USBM + 0.07%, 1.36%, due 04/30/19		21,575,109
	265,000,000	U.S. Treasury Note, 1.25%, due 06/30/19		262,888,281
	25,000,000	U.S. Treasury Note, 1.63%, due 06/30/19		24,943,360
	205,000,000	U.S. Treasury Note, 1.38%, due 07/31/19 (i)		203,726,757
	325,000,000	U.S. Treasury Note, 1.25%, due 08/31/19 (i)		322,054,687
	165,000,000	U.S. Treasury Note, 1.38%, due 09/30/19		163,801,173
	21,550,000	U.S. Treasury Note, USBM + 0.05%, 1.34%, due 10/31/19		21,553,241
	375,000,000	U.S. Treasury Note, 1.50%, due 10/31/19		372,919,920
	285,000,000	U.S. Treasury Note, 1.75%, due 11/30/19		284,777,344
				3,251,829,365
		U.S. Government Agency — 1.0%
	28,000,000	Federal Home Loan Bank Discount Notes, Variable Rate, 3 mo. LIBOR – .22%, 1.18%, due 11/09/18		27,990,098
	64,000,000	Federal Home Loan Bank Discount Notes, Variable Rate, 3 mo. LIBOR – .22%, 1.16%, due 02/01/19		63,958,554
	634,052	Government National Mortgage Association, Series 12-H15, Class FA, Variable Rate, 1 mo. LIBOR + 0.45%, 1.68%, due 05/20/62		634,639
	8,942,085	Government National Mortgage Association, Series 17-12H, Class FE, Variable Rate, 1 mo. LIBOR + .20%, 1.43%, due 06/20/66		8,931,126
	3,799,482	Government National Mortgage Association, Series 17-H05, Class FJ, Variable Rate, 1 mo. LIBOR + 0.27%, 1.50%, due 01/20/67		3,797,861

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government Agency — continued
	5,244,397	Government National Mortgage Association, Series 17-H13, Class FJ, Variable Rate, 1 mo. LIBOR + 0.20%, 1.43%, due 05/20/67		5,243,455
				110,555,733
		Total United States		3,912,036,475
		TOTAL DEBT OBLIGATIONS (COST $4,296,061,846)		4,265,412,183
		MUTUAL FUNDS — 1.5%
		United States — 1.5%
	2,386,083	Altaba, Inc.		167,168,975
		TOTAL MUTUAL FUNDS (COST $129,573,829)		167,168,975
		SHORT-TERM INVESTMENTS — 4.9%
		Money Market Funds — 0.1%
	15,812,056	State Street Institutional Treasury Money Market Fund-Premier Class, 1.02% (j)		15,812,056
		Repurchase Agreements — 3.6%
	205,356,602	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 11/30/17, maturing on 12/01/17 with a maturity value of $205,362,592 and an effective yield of 1.05%, collateralized by a U.S. Treasury Note with maturity date 04/30/22 and a market value of $209,204,108.		205,356,602
	199,999,321	Nomura Securities International Inc. Repurchase Agreement, dated 11/30/17, maturing on 12/01/17 with a maturity value of $200,005,099 and an effective yield of 1.04%, collateralized by a U.S. Treasury Note with maturity date 08/15/24 and a market value of $203,676,978.		199,999,321
				405,355,923
		U.S. Government — 0.6%
	50,400,000	U.S. Treasury Bill, 1.33%, due 05/03/18 (k) (l)		50,118,327
	17,500,000	U.S. Treasury Note, 0.75%, due 03/31/18		17,463,770
				67,582,097

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value†		Description	Value ($)
		U.S. Government Agency — 0.6%
	8,000,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 12/15/17		7,996,392
	3,400,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 01/17/18		3,394,451
	28,000,000	Federal Home Loan Bank Discount Notes, Variable Rate, 1 mo. LIBOR—.16%, 1.08%, due 02/08/18		27,999,097
	16,830,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 02/23/18		16,778,955

Par Value†		Description	Value ($)
		U.S. Government Agency — continued
	8,000,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 02/28/18		7,974,288
		Total U.S. Government Agency		64,143,183
		TOTAL SHORT-TERM INVESTMENTS (COST $552,925,724)		552,893,259

Purchased Options — 0.2%

Description	Counterparty	Exercise Price	Expiration Date		Number of Contracts		Notional Amount		Value ($)
Equity Options Call — 0.0%
Alibaba Group Holding Ltd (a)		170.00		01/19/18		447	USD	11,651,864		538,635
Description	Counterparty	Exercise Price	Expiration Date		Number of Contracts		Notional Amount		Value ($)
Equity Options – Put — 0.2%
DISH Network Corp. (a)		62.50		12/15/17		1,100	USD	5,571,500		1,254,000
Twitter, Inc. (a)		15.00		12/15/17		2,000	USD	4,116,000		2,000
Automatic Data Processing, Inc. (a)		105.00		01/19/18		700	USD	7,968,800		31,500
CenturyLink, Inc. (a)		20.00		01/19/18		15,120	USD	22,060,080		8,164,800
Colgate-Palmolive Co. (a)		67.50		02/16/18		1,000	USD	7,245,000		70,000
T-Mobile US, Inc. (a)		52.50		02/16/18		1,000	USD	6,107,000		43,000
Williams Cos, Inc. (The) (a)		29.00		02/16/18		1,000	USD	2,875,000		99,000
Mondelez International, Inc. (a)		39.00		03/16/18		1,600	USD	6,870,400		76,800
Pinnacle Foods, Inc. (a)		52.50		03/16/18		700	USD	4,076,100		77,000
Time Warner, Inc. (a)		85.00		03/16/18		9,380	USD	85,836,380		2,054,220
Twitter, Inc. (a)		18.00		03/16/18		1,800	USD	3,704,400		144,000
Unilever NV (a)		55.00		03/16/18		1,200	USD	6,928,800		114,000
Walt Disney Co. (The) (a)		100.00		03/16/18		700	USD	7,278,600		149,800
Discovery Communications, Inc. (a)		17.50		04/20/18		3,279	USD	6,236,658		393,480
QUALCOMM, Inc. (a)		55.00		04/20/18		1,400	USD	9,287,600		119,000
Sears Holdings Corp. (a)		5.00		06/15/18		9,813	USD	4,003,704		2,433,624
Sears Holdings Corp. (a)		10.00		06/15/18		4,401	USD	1,795,608		2,618,595
Sears Holdings Corp. (a)		8.00		06/15/18		9,934	USD	4,053,072		4,470,300
United Technologies Corp. (a)		105.00		06/15/18		710	USD	8,622,950		106,500
Total Equity Options – Put										22,421,619
TOTAL PURCHASED OPTIONS (COST $21,268,491)										22,960,254

Shares / Par Value†	Description	Value ($)
	TOTAL INVESTMENTS — 99.2% (Cost $10,648,174,280)		11,288,811,756

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (2.5)%
			Common Stocks — (2.5)%
			China — (1.1)%
	(723,781	)	Alibaba Group Holding Ltd Sponsored ADR * (a)		(128,167,139	)
			France — (0.2)%
	(80,302	)	LVMH Moet Hennessy Louis Vuitton SE		(23,392,886	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares			Description	Value ($)
			Germany — (0.1)%
	(41,883	)	HOCHTIEF AG		(7,369,924	)
			Japan — (0.2)%
	(4,441,412	)	Yahoo Japan Corp		(20,391,475	)
			United States — (0.9)%
	(150,687	)	Discovery Communications, Inc. * (a)		(2,724,421	)
	(670,484	)	First Horizon National Corp.		(13,000,685	)
	(4,129	)	Lennar Corp. B Shares		(211,900	)
			United States — continued
	(200,675	)	Lennar Corp. Class A		(12,598,377	)
	(163,807	)	Praxair, Inc.		(25,213,173	)
	(80,388	)	Sinclair Broadcast Group, Inc. – Class A		(2,737,211	)
	(5,300	)	Sprouts Farmers Market, Inc. *		(123,914	)
	(78,739	)	United Technologies Corp. (a)		(9,562,852	)
	(343,472	)	Vantiv Inc – Class A *		(25,760,400	)
	(104,366	)	WGL Holdings, Inc.		(8,823,102	)
			Total United States		(100,756,035	)
			TOTAL COMMON STOCKS (PROCEEDS $242,190,077)		(280,077,459	)

Shares			Description	Value ($)
			EXCHANGE-TRADED FUNDS — 0.0%
			Mutual Funds — 0.0%
			United States — 0.0%
	(4,800	)	Vanguard Industrials ETF		(673,728	)
			TOTAL EXCHANGE-TRADED FUNDS		(673,728	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $242,780,134)		(280,751,187	)
			Other Assets and Liabilities (net) — 3.3%		367,494,720
			TOTAL NET ASSETS — 100.0%		$11,375,555,289

A summary of outstanding financial instruments at November 30, 2017 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
02/05/2018	JPM		AUD	11,600,000		USD	8,949,168	$	177,829
02/05/2018	JPM		AUD	93,400,000		USD	71,598,198		973,798
12/05/2017	BCLY		BRL	50,442,495		USD	15,874,900		467,100
12/05/2017	BOA		BRL	4,763,443		USD	1,519,592		64,586
12/05/2017	MSCI		BRL	11,356,000		USD	3,559,840		91,117
02/02/2018	MSCI		BRL	66,561,938		USD	20,484,378		286,283
12/11/2017	BOA		CAD	8,992,000		USD	7,078,420		107,704
12/11/2017	JPM		CHF	110,568,590		USD	115,567,458		3,124,443
12/22/2017	JPM		EUR	55,095,000		USD	60,857,937		(4,799,512	)
02/20/2018	JPM		EUR	20,309,586		USD	24,051,160		(243,952	)
02/20/2018	MSCI		EUR	2,586,660		USD	3,068,879		(25,384	)
02/21/2018	GS		EUR	5,260,000		USD	6,236,116		(56,468	)
12/14/2017	JPM		GBP	16,680,000		USD	22,144,094		(421,134	)
02/20/2018	JPM		GBP	28,229,401		USD	37,372,509		(911,644	)
12/06/2017	GS		JPY	674,013,000		USD	6,000,000		10,714

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
12/18/2017	BOA		JPY	5,100,000,000		USD	45,620,356	$	271,477
12/18/2017	MSCI		JPY	1,675,000,000		USD	15,003,728		109,733
01/10/2018	MSCI		JPY	3,945,000,000		USD	35,188,949		58,773
01/22/2018	MSCI		JPY	4,437,000,000		USD	39,369,696		(166,013	)
02/13/2018	CITI		JPY	1,700,000,000		USD	15,051,582		(113,150	)
02/13/2018	MSCI		JPY	8,650,000,000		USD	76,155,763		(1,005,960	)
02/26/2018	CITI		JPY	2,040,000,000		USD	18,135,889		(73,664	)
12/05/2017	MSCI		USD	20,629,765		BRL	66,561,938		(298,237	)
12/06/2017	MSCI		USD	45,400,000		JPY	5,165,569,324		501,297
12/11/2017	JPM		USD	8,676,787		CHF	8,218,132		(319,336	)
12/22/2017	JPM		USD	61,316,438		EUR	55,095,000		4,341,012
02/02/2018	BOA		USD	24,600,000		CAD	31,656,633		(39,712	)
02/05/2018	BCLY		USD	51,700,000		NOK	419,756,939		(1,142,712	)
02/05/2018	BCLY		USD	26,800,000		SEK	223,674,917		47,766
02/05/2018	JPM		USD	30,984,840		NZD	45,000,000		(254,344	)
								$	762,410

Reverse Repurchase Agreements ^(m)

Face Value	Description	Value
USD 1,046,104	Barclays Bank plc, 0.75%, dated 11/02/17, (collateral: Transocean, Inc., 6.80%, due 03/15/38), to be repurchased on demand at face value plus accrued interest.	$	(1,046,104	)
	Average balance outstanding	$	(39,730,368	)
	Average interest rate		(0.92	)%
	Maximum balance outstanding	$	(350,686,829	)

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

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
Buys
1,900	Mini MSCI Emerging Markets	December 2017	$	106,400,000	$	1,405,331
119	U.S. Treasury Note 10 Yr. (CBT)	March 2018		14,761,578		(100,407	)
60	U.S. Treasury Note 2 Yr. (CBT)	March 2018		12,864,375		(12,269	)
335	U.S. Treasury Note 5 Yr. (CBT)	March 2018		38,975,156		(154,887	)
			$	173,001,109	$	1,137,768
Sales
56	U.S. Long Bond (CBT)	March 2018	$	8,496,250	$	85,663

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Equity Options

Description	Exercise Price	Expiration Date		Number of Contracts		Notional Amount			Value ($)
Equity Options – Calls
NXP Semiconductors NV (a)	110.00		12/15/2017		Call 1,302		USD	14,763,378		(507,780	)
NXP Semiconductors NV (a)	115.00		12/15/2017		Call 3,965		USD	44,959,135		(317,200	)
			TOTAL WRITTEN EQUITY OPTIONS – CALLS							(824,980	)
Equity Options – Puts
Sears Holdings Corp. (a)	10.00		12/15/2017		Put 4,400		USD	1,795,200		(2,728,000	)
			TOTAL WRITTEN EQUITY OPTIONS – PUTS							(2,728,000	)
			TOTAL WRITTEN EQUITY OPTIONS (Premiums $ 3,435,358)							(3,552,980	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

Credit Default Swap Options

Description	Counterparty	Exercise Rate	Expiration Date		Principal/ Notional Amount			Pay/Receive Floating Rate		Value ($)
Written Options on Credit Default Swaps – Puts
CDX.NA.HYS.29.V1-5Y	BCLY	107.50%		12/20/2017		USD	50,000,000		Pay	$(135,162)
		TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS – PUTS (Premiums $230,000)								(135,162)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
Buy Protection^:
CDX.NA.HYS.29.V1-5Y	USD	22,350,000		5.00%		3.15%		N/A		12/20/2022		Quarterly	$	(1,738,093	)	$	(1,765,449	)	$	(27,356	)
Sell Protection^:
CDX.NA.HYS.29.V1-5Y	USD	76,970,000		5.00%		3.32%		N/A		12/20/2022		Quarterly		5,776,598			6,079,937			303,339
													$	4,038,505		$	4,314,488		$	275,983

OTC Credit Default Swaps

Reference Entity	Counterparty	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
Buy Protection^:
Sears Roebuck Acceptance Corp.	BCLY	USD	5,600,000		5.00%		42.96%		N/A		12/20/2017		Quarterly	$	784,000		$	116,742		$	(667,258	)
Sears Roebuck Acceptance Corp.	GS	USD	17,458,000		5.00%		52.69%		N/A		12/20/2018		Quarterly		4,459,624			6,054,678			1,595,054
Sears Roebuck Acceptance Corp.	GS	USD	6,000,000		0.00%		35.27%		N/A		12/20/2018		At Maturity		—			(362,941	)		(362,941	)
Sears Roebuck Acceptance Corp.	MSCI	USD	3,000,000		0.00%		1.55%		N/A		06/20/2021		Quarterly		—			(260,849	)		(260,849	)
Sears Roebuck Acceptance Corp.	MSCI	USD	3,000,000		0.00%		1.45%		N/A		12/20/2021		At Maturity		—			(266,516	)		(266,516	)
Sears Roebuck Acceptance Corp.	GS	USD	780,000		5.00%		38.92%		N/A		06/20/2022		Quarterly		397,800			393,366			(4,434	)
MetLife, Inc.	BCLY	USD	8,770,000		1.00%		0.51%		N/A		12/20/2022		Quarterly		(194,252	)		(205,235	)		(10,983	)
MetLife, Inc.	GS	USD	8,803,000		1.00%		0.51%		N/A		12/20/2022		Quarterly		(190,105	)		(206,008	)		(15,903	)
MetLife, Inc.	JPM	USD	42,390,000		1.00%		0.51%		N/A		12/20/2022		Quarterly		(875,202	)		(992,010	)		(116,808	)
Prudential Financial	BCLY	USD	15,229,000		1.00%		0.53%		N/A		12/20/2022		Quarterly		(329,679	)		(342,528	)		(12,849	)
Prudential Financial	GS	USD	30,260,000		1.00%		0.53%		N/A		12/20/2022		Quarterly		(638,354	)		(680,603	)		(42,249	)
Prudential Financial	JPM	USD	14,474,000		1.00%		0.53%		N/A		12/20/2022		Quarterly		(298,836	)		(325,547	)		(26,711	)
														$	3,114,996		$	2,922,549		$	(192,447	)

^ Buy Protection - 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 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. Sell Protection - 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.

⁽¹⁾  As of November 30, 2017, 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.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received)			Value ($)			Net Unrealized Appreciation/ (Depreciation)
3 Month NZD Bank Bill Rate		2.72%	NZD	129,963,000		12/20/2022	Quarterly	$	—		$	476,372		$	476,372
3 Month NZD Bank Bill Rate		2.72%	NZD	54,684,000		12/20/2022	Quarterly		—			205,694			205,694
3 Month NZD Bank Bill Rate		2.73%	NZD	129,963,000		12/20/2022	Quarterly		—			509,661			509,661
3 Month NZD Bank Bill Rate		2.69%	NZD	129,963,000		12/20/2022	Quarterly		—			364,023			364,023
3 Month NZD Bank Bill Rate		2.67%	NZD	32,040,000		12/20/2022	Quarterly		—			69,227			69,227
3 Month CAD LIBOR		2.28%	CAD	16,934,000		12/15/2027	Quarterly		—			37,456			37,456
2.22%		3 Month CAD LIBOR	CAD	39,121,000		12/15/2027	Quarterly		—			72,809			72,809
6 Month CHF LIBOR		0.35%	CHF	13,015,000		12/15/2027	Semi-Annual		—			98,478			98,478
0.29%		6 Month CHF LIBOR	CHF	7,485,000		12/15/2027	Semi-Annual		—			(12,493	)		(12,493	)
0.31%		6 Month CHF LIBOR	CHF	37,600,000		12/15/2027	Semi-Annual		—			(141,814	)		(141,814	)
0.31%		6 Month CHF LIBOR	CHF	9,534,000		12/15/2027	Semi-Annual		—			(32,536	)		(32,536	)
0.31%		6 Month CHF LIBOR	CHF	18,700,000		12/15/2027	Semi-Annual		—			(65,735	)		(65,735	)
6 Month CHF LIBOR		0.25%	CHF	8,455,000		12/15/2027	Semi-Annual		—			(22,743	)		(22,743	)
6 Month EURIBOR		0.90%	EUR	127,230,000		12/15/2027	Semi-Annual		—			914,337			914,337
0.94%		6 Month EURIBOR	EUR	20,279,000		12/15/2027	Semi-Annual		—			(245,288	)		(245,288	)
6 Month EURIBOR		0.82%	EUR	18,644,000		12/15/2027	Semi-Annual		—			(33,814	)		(33,814	)
1.33%		6 Month GBP LIBOR	GBP	53,300,000		12/15/2027	Semi-Annual		—			460,409			460,409
1.38%		6 Month GBP LIBOR	GBP	53,065,000		12/15/2027	Semi-Annual		—			67,779			67,779
6 Month GBP LIBOR		1.42%	GBP	26,822,000		12/15/2027	Semi-Annual		—			82,482			82,482
1.71%		6 Month GBP LIBOR	GBP	67,238,000		12/15/2027	Semi-Annual		—			(222,300	)		(222,300	)
1.46%		6 Month GBP LIBOR	GBP	159,340,000		12/15/2027	Semi-Annual		—			(1,316,105	)		(1,316,105	)
1.44%		6 Month GBP LIBOR	GBP	25,749,000		12/15/2027	Semi-Annual		—			(159,940	)		(159,940	)
1.43%		6 Month GBP LIBOR	GBP	26,143,000		12/15/2027	Semi-Annual		—			(128,921	)		(128,921	)
6 Month GBP LIBOR		1.37%	GBP	10,101,000		12/15/2027	Semi-Annual		—			(30,358	)		(30,358	)
6 Month GBP LIBOR		1.33%	GBP	23,267,000		12/15/2027	Semi-Annual		—			(192,046	)		(192,046	)
6 Month GBP LIBOR		1.40%	GBP	21,695,000		12/15/2027	Semi-Annual		—			7,005			7,005
3 Month NZD Bank Bill Rate		3.15%	NZD	111,813,000		12/15/2027	Quarterly		—			385,409			385,409
3 Month NZD Bank Bill Rate		3.22%	NZD	26,011,000		12/15/2027	Quarterly		—			188,169			188,169
3 Month SEK STIBOR		1.22%	SEK	557,400,000		12/15/2027	Quarterly		—			581,559			581,559
3 Month SEK STIBOR		1.34%	SEK	159,407,000		12/15/2027	Quarterly		—			393,584			393,584
3 Month SEK STIBOR		1.17%	SEK	177,390,000		12/15/2027	Quarterly		—			83,100			83,100
3 Month SEK STIBOR		1.16%	SEK	177,390,000		12/15/2027	Quarterly		—			52,506			52,506
3 Month SEK STIBOR		1.22%	SEK	185,646,000		12/15/2027	Quarterly		—			183,020			183,020
3 Month SEK STIBOR		1.19%	SEK	109,771,000		12/15/2027	Quarterly		—			79,190			79,190
1.30%		3 Month SEK STIBOR	SEK	183,662,000		12/15/2027	Quarterly		—			(349,998	)		(349,998	)
1.20%		3 Month SEK STIBOR	SEK	176,073,000		12/15/2027	Quarterly		—			(142,204	)		(142,204	)
3 Month USD LIBOR		2.36%	USD	9,109,000		12/15/2027	Quarterly		—			(41,856	)		(41,856	)
6 Month AUD BBSW		2.82%	AUD	18,943,000		12/20/2027	Semi-Annual		—			145,082			145,082
2.99%		6 Month AUD BBSW	AUD	26,772,000		12/20/2027	Semi-Annual		(40,740	)		(513,935	)		(473,195	)
2.98%		6 Month AUD BBSW	AUD	40,998,000		12/20/2027	Semi-Annual		—			(767,551	)		(767,551	)
2.78%		6 Month AUD BBSW	AUD	46,738,000		12/20/2027	Semi-Annual		—			(250,111	)		(250,111	)
2.72%		6 Month AUD BBSW	AUD	23,505,000		12/20/2027	Semi-Annual		—			(30,465	)		(30,465	)
2.71%		6 Month AUD BBSW	AUD	57,063,000		12/20/2027	Semi-Annual		—			(34,264	)		(34,264	)
3 Month NZD Bank Bill Rate		3.13%	NZD	32,153,000		12/20/2027	Quarterly		—			58,493			58,493
								$	(40,740	)	$	781,367		$	822,107

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

OTC Total Return Swaps

Fund Pays	Fund Receives		Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received)		Value ($)		Net Unrealized Appreciation/ (Depreciation)
Depreciation of Total Return on High Yield Growth ETF+ (1 month USD LIBOR rate minus 1.60%)		Appreciation of Total Return on High Yield Growth ETF	CITI		USD	10,446,000		12/15/2017		At Maturity	$	—	$	89,122	$	89,122
Depreciation of Total Return on High Yield Growth ETF+ (1 month USD LIBOR rate minus 1.20%)		Appreciation of Total Return on High Yield Growth ETF	CITI		USD	26,920,673		12/15/2017		At Maturity		—		88,670		88,670
											$	—	$	177,792	$	177,792

As of November 30, 2017, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

ADR - American Depositary Receipt

AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.

CAD LIBOR - London Interbank Offered Rate denominated in Canadian Dollar.

CDO - Collateralized Debt Obligation

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

CLO - Collateralized Loan Obligation

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

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

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

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

GDR - Global Depositary Receipt

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

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

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 November 30, 2017, which are subject to change based on the terms of the security.

* Non-income producing security.

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

(a) All or a portion of this investment is held in connection with one or more holdings within the Fund.

(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. Investment valued using significant unobservable inputs.

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

(d) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(e) Investment valued using significant unobservable inputs.

(f) Security is in default.

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

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

(i) 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.

(j) The rate disclosed is the 7 day net yield as of November 30, 2017.

(k) 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.

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

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

Counterparty Abbreviations:

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CITI - Citibank N.A.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

THB - Thai Baht

USD - United States Dollar

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,917,376	GMO Emerging Markets Fund, Class VI		66,187,830
	25,053,085	GMO International Equity Fund, Class IV		605,282,523
		TOTAL MUTUAL FUNDS (COST $634,018,495)		671,470,353
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	309,477	State Street Eurodollar Time Deposit, 0.12%, due 12/01/17		309,477
		TOTAL SHORT-TERM INVESTMENTS (COST $309,477)		309,477
		TOTAL INVESTMENTS — 100.0% (Cost $634,327,972)		671,779,830
		Other Assets and Liabilities (net) — (0.0%)		(69,309	)
		TOTAL NET ASSETS — 100.0%		$671,710,521

Notes to Schedule of Investments:

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

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	10,792,519	GMO Emerging Markets Fund, Class VI		372,557,769
	29,097,647	GMO International Equity Fund, Class IV		702,999,142
		TOTAL MUTUAL FUNDS (COST $998,586,392)		1,075,556,911
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	398,305	State Street Eurodollar Time Deposit, 0.12%, due 12/01/17		398,305
		TOTAL SHORT-TERM INVESTMENTS (COST $398,305)		398,305
		TOTAL INVESTMENTS — 100.0% (Cost $998,984,697)		1,075,955,216
		Other Assets and Liabilities (net) — (0.0%)		(75,627	)
		TOTAL NET ASSETS — 100.0%		$1,075,879,589

Notes to Schedule of Investments:

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

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Par Value / Shares†		Description	Value ($)
		DEBT OBLIGATIONS — 17.4%
		U.S. Government — 13.5%
	25,500,000	U.S. Treasury Note, 0.75%, due 08/31/18		25,344,609
	61,000,000	U.S. Treasury Note, 1.38%, due 09/30/18		60,876,094
	61,500,000	U.S. Treasury Note, 0.75%, due 10/31/18 (a)		60,995,508
	52,750,000	U.S. Treasury Note, USBM + 0.07%, 1.36%, due 04/30/19 (a)		52,811,461
		Total U.S. Government		200,027,672
		U.S. Government Agency — 3.9%
	29,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR + 0.25%, 1.11%, due 10/18/18		28,981,673
	9,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR + 0.23%, 1.18%, due 02/13/19		8,995,150
	19,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR + 0.19%, 1.23%, due 05/10/19		19,482,821
		Total U.S. Government Agency		57,459,644
		TOTAL DEBT OBLIGATIONS (COST $257,880,951)		257,487,316
		MUTUAL FUNDS — 52.0%
		Affiliated Issuers — 52.0%
	30,857,011	GMO U.S. Treasury Fund		770,808,129
		TOTAL MUTUAL FUNDS (COST $771,675,552)		770,808,129
		SHORT-TERM INVESTMENTS — 31.3%
		Money Market Funds — 1.0%
	6,582,428	SSgA USD Liquidity Fund-Class S2 Shares (b)		6,582,428
	8,633,424	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.00% (c)		8,633,424
		Total Money Market Funds		15,215,852
		U.S. Government — 25.9%
	55,500,000	U.S. Treasury Bill, 1.09%, due 12/28/17 (b) (d)		55,453,484
	25,000,000	U.S. Treasury Bill, 1.09%, due 01/04/18 (b) (d)		24,973,969
	49,500,000	U.S. Treasury Bill, 1.26%, due 03/01/18 (b) (d)		49,345,467
	10,000,000	U.S. Treasury Bill, 1.28%, due 03/15/18 (b) (d)		9,963,456
	12,700,000	U.S. Treasury Bill, 1.30%, due 04/05/18 (b) (d)		12,643,114
	43,000,000	U.S. Treasury Bill, 1.30%, due 04/26/18 (b) (d)		42,776,346
	50,000,000	U.S. Treasury Note, 0.75%, due 02/28/18 (b)		49,931,500
	36,000,000	U.S. Treasury Note, 0.75%, due 03/31/18		35,925,469

Par Value†		Description	Value ($)
		U.S. Government — continued
	14,000,000	U.S. Treasury Note, 2.88%, due 03/31/18 (b)		14,067,265
	37,000,000	U.S. Treasury Note, 1.13%, due 06/15/18		36,934,961
	11,000,000	U.S. Treasury Note, 1.38%, due 07/31/18 (b)		10,989,258
	41,000,000	U.S. Treasury Note, 1.00%, due 09/15/18 (a) (b)		40,801,406
		Total U.S. Government		383,805,695
		U.S. Government Agency — 4.4%
	25,000,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 02/16/18		24,930,475
	40,000,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 02/21/18		39,881,560
		Total U.S. Government Agency		64,812,035
		TOTAL SHORT-TERM INVESTMENTS (COST $464,087,034)		463,833,582
		TOTAL INVESTMENTS — 100.7% (Cost $1,493,643,537)		1,492,129,027
		Other Assets and Liabilities (net) — (0.7%)		(10,011,523	)
		TOTAL NET ASSETS — 100.0%		$1,482,117,504

A summary of outstanding financial instruments at November 30, 2017 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation)
01/16/2018	DB	AUD	18,436,213	USD	14,013,987	$	72,064
01/16/2018	MSCI	AUD	72,128,943	USD	55,891,882		1,346,180
01/16/2018	SSB	AUD	7,253,040	USD	5,576,350		91,420
01/16/2018	UBS	AUD	6,723,828	USD	5,067,682		(17,044	)
12/11/2017	JPM	CAD	2,832,513	USD	2,210,874		15,074
12/11/2017	MSCI	CAD	9,825,000	USD	7,725,928		109,461
12/11/2017	SSB	CAD	18,455,000	USD	14,477,599		171,043
01/23/2018	MSCI	CHF	57,450,292	USD	58,867,961		220,416
01/23/2018	SSB	CHF	67,678,887	USD	69,172,053		82,749
01/23/2018	JPM	EUR	13,525,000	USD	15,918,851		(233,765	)
01/23/2018	SSB	EUR	16,040,000	USD	18,858,684		(297,543	)
01/23/2018	UBS	EUR	1,850,000	USD	2,198,011		(11,404	)
01/24/2018	SSB	GBP	28,765,530	USD	38,198,610		(780,914	)
12/04/2017	DB	JPY	577,591,770	USD	5,156,977		24,881
12/04/2017	JPM	JPY	201,000,000	USD	1,769,704		(16,248	)
12/04/2017	MSCI	JPY	2,225,300,000	USD	19,718,724		(53,812	)
12/04/2017	SSB	JPY	1,268,000,000	USD	11,221,609		(44,996	)
12/13/2017	MSCI	NZD	3,189,154	USD	2,168,146		(11,324	)
01/16/2018	JPM	NZD	37,841,721	USD	26,539,683		690,717
01/16/2018	MSCI	NZD	3,838,356	USD	2,622,726		817
01/16/2018	UBS	NZD	8,800,000	USD	6,012,354		1,240
12/04/2017	SSB	USD	37,900,246	JPY	4,271,891,770		56,943
12/11/2017	MSCI	USD	24,769,857	CAD	31,112,513		(651,031	)

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation)
12/11/2017	SSB	USD	110,684,298	JPY	12,456,964,320	$	29,413
01/11/2018	DB	USD	115,747,954	JPY	13,000,000,000		22,809
01/16/2018	UBS	USD	31,272,961	NZD	44,240,835		(1,052,882	)
01/23/2018	MSCI	USD	58,039,266	EUR	48,862,416		316,065
01/24/2018	JPM	USD	3,819,314	GBP	2,860,000		56,208
01/24/2018	SSB	USD	3,162,112	GBP	2,350,000		22,321
01/31/2018	JPM	USD	43,024,836	JPY	4,889,579,015		563,649
02/05/2018	DB	USD	5,175,183	JPY	577,591,770		(24,882	)
						$	697,625

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
Buys
2,477	Australian Government Bond 10 Yr.	December 2017	$	245,664,688	$	4,024,057
302	Crude Oil (b)	December 2017		17,334,800		81,945
7,479	Euro STOXX 50	December 2017		318,849,902		8,704,650
3,390	FTSE 100 Index	December 2017		336,643,389		(581,047	)
91	Gold 100 OZ (b)	February 2018		11,617,970		(31,912	)
156	Hang Seng Index	December 2017		29,390,526		(275,375	)
3,762	Mini MSCI Emerging Markets	December 2017		210,672,000		3,534,042
415	MSCI Singapore	December 2017		11,996,483		84,157

Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
855	MSCI Taiwan Index	December 2017	$	33,653,308	$	(1,003,060	)
19	S&P TSX 60 Index	December 2017		2,805,682		227,086
374	SPI 200	December 2017		42,750,164		2,148,608
42	TOPIX	December 2017		6,790,176		330,256
			$	1,268,169,088	$	17,243,407
Sales
3,702	Corn (b)	March 2018	$	65,849,325	$	(247,362	)
1,110	FTSE/JSE TOP 40	December 2017		43,535,254		(2,581,733	)
220	Japanese Government Bond 10 Yr. (OSE)	December 2017		296,719,626		102,435
2,479	S&P 500 E-Mini	December 2017		328,207,205		(21,328,749	)
2,702	UK Gilt Long Bond	March 2018		452,074,700		2,665,505
			$	1,186,386,110	$	(21,389,904	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2017, 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:

LIBOR - London Interbank Offered Rate

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

The rates shown on variable rate notes are the current interest rates at November 30, 2017, which are subject to change based on the terms of the security.

† 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.

(b) 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.

(c) The rate disclosed is the 7 day net yield as of November 30, 2017.

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

Counterparty Abbreviations:

DB - Deutsche Bank AG

JPM - JPMorgan Chase Bank, N.A.

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

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NZD - New Zealand Dollar

USD - United States Dollar

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		COMMON STOCKS — 79.4%
		Canada — 0.0%
	6,000,000	Jagercor Energy Corp *		93,013
		Germany — 3.7%
	605,000	Brenntag AG		37,694,458
		Netherlands — 3.7%
	660,000	InterXion Holding NV *		38,101,800
		Romania — 2.1%
	7,200,000	Societatea Energetica Electrica SA		21,666,294
		United Kingdom — 7.1%
	1,550,000	Metro Bank Plc *		72,345,970
		United States — 62.8%
	1,770,000	Ally Financial, Inc.		47,542,200
	260,000	Berkshire Hathaway, Inc. – Class B *		50,182,600
	790,000	Cimpress NV *		96,222,000
	530,000	CommerceHub, Inc. – Series A *		12,115,800
	1,270,000	CommerceHub, Inc. – Series C *		27,254,200
	133,000	Credit Acceptance Corp. *		40,285,700
	1,840,000	General Motors Co.		79,285,600
	1,337,544	Interactive Brokers Group, Inc. – Class A		76,320,261
	875,000	Liberty Global Plc LiLAC – Class A *		18,200,000
	1,675,000	Liberty Global Plc LiLAC – Class C *		34,756,250
	80,000	National Beverage Corp.		8,729,600
	900,000	Shake Shack, Inc. – Class A *		36,990,000
	1,620,000	Wayfair, Inc. – Class A *		113,383,800
		Total United States		641,268,011
		TOTAL COMMON STOCKS (COST $600,912,760)		811,169,546
		SHORT-TERM INVESTMENTS — 19.8%
		Money Market Funds — 1.0%
	10,037,949	State Street Institutional Treasury Money Market Fund-Premier Class, 1.02% (a) (b)		10,037,949
		U.S. Government — 18.8%
	3,900,000	U.S. Treasury Bill, 0.84%, due 12/07/17 (b) (c) (d)		3,899,369
	49,000,000	U.S. Treasury Bill, 1.09%, due 12/28/17 (d)		48,958,932
	30,000,000	U.S. Treasury Bill, 1.09%, due 01/04/18 (d)		29,968,762
	20,000,000	U.S. Treasury Bill, 1.19%, due 02/08/18 (d)		19,954,575
	23,000,000	U.S. Treasury Bill, 1.26%, due 03/01/18 (d)		22,928,197

Par Value†		Description	Value ($)
		U.S. Government — continued
	10,000,000	U.S. Treasury Bill, 1.30%, due 04/05/18 (d)		9,955,208
	20,000,000	U.S. Treasury Bill, 1.31%, due 04/19/18 (d)		19,900,190
	27,000,000	U.S. Treasury Bill, 1.33%, due 05/03/18 (c) (d)		26,849,104
	10,000,000	U.S. Treasury Note, 1.00%, due 12/15/17		9,999,368
		Total U.S. Government		192,413,705
		TOTAL SHORT-TERM INVESTMENTS (COST $202,479,487)		202,451,654
		TOTAL INVESTMENTS — 99.2% (Cost $803,392,247)		1,013,621,200
		Other Assets and Liabilities (net) — 0.8%		8,544,793
		TOTAL NET ASSETS — 100.0%		$1,022,165,993

A summary of outstanding financial instruments at November 30, 2017 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
01/26/2018	BOA		RON	88,600,000		USD	22,678,059	$	(11,533	)

Futures Contracts ^(b)

Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
Buys
25	Natural Gas	December 2019	$	193,000	$	(67,937	)
25	Natural Gas	January 2020		191,375		(69,562	)
25	Natural Gas	February 2020		188,000		(72,938	)
25	Natural Gas	March 2020		169,437		(91,500	)
25	Natural Gas	April 2020		168,000		(92,937	)
25	Natural Gas	May 2020		169,688		(91,250	)
25	Natural Gas	June 2020		171,562		(89,375	)
25	Natural Gas	July 2020		172,500		(88,438	)
25	Natural Gas	August 2020		172,500		(88,438	)
25	Natural Gas	September 2020		174,375		(86,563	)
25	Natural Gas	October 2020		178,750		(82,187	)
25	Natural Gas	November 2020		188,438		(72,500	)
			$	2,137,625	$	(993,625	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2017, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2017 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of November 30, 2017.

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

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

Counterparty Abbreviations:

BOA - Bank of America, N.A.

Currency Abbreviations:

RON - Romanian Leu

USD - United States Dollar

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2017 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 92.1%
		Affiliated Issuers — 92.1%
	6,639,077	GMO Core Plus Bond Fund, Class IV		144,466,305
	1,954,942	GMO Emerging Country Debt Fund, Class IV		58,804,650
	12,811,439	GMO Emerging Markets Fund, Class VI		442,250,871
	21,776,434	GMO International Equity Fund, Class IV		526,118,652
	2,509,906	GMO Opportunistic Income Fund, Class VI		67,139,995
	7,661,428	GMO Quality Fund, Class VI		199,886,655
	12,200,431	GMO U.S. Equity Allocation Fund, Class VI		199,111,031
	5,600,740	GMO U.S. Treasury Fund		139,906,492
		TOTAL MUTUAL FUNDS (COST $1,614,618,237)		1,777,684,651
		DEBT OBLIGATIONS — 7.9%
		U.S. Government — 7.9%
	3,102,943	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/26 (a)		3,000,077
	2,712,745	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (a)		2,731,222
	8,104,601	U.S. Treasury Inflation Indexed Bond, 3.88%, due 04/15/29 (a)		10,918,520
	13,283,514	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25 (a)		13,196,915
	29,651,357	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)		32,960,972
	38,722,726	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (a)		38,011,675
	26,936,189	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a)		32,264,639
	19,500,491	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 (a)		19,176,529
		TOTAL DEBT OBLIGATIONS (COST $151,652,744)		152,260,549
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	295,470	State Street Institutional Treasury Money Market Fund-Premier Class, 1.02%(b)		295,470
		TOTAL SHORT-TERM INVESTMENTS (COST $295,470)		295,470
		TOTAL INVESTMENTS — 100.0% (Cost $1,766,566,451)		1,930,240,670
		Other Assets and Liabilities (net) — 0.00%		498,004
		TOTAL NET ASSETS — 100.0%		$1,930,738,674

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 November 30, 2017.

Each Fund has elected to be treated or intends to elect 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. 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. As of November 30, 2017, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:

	Total Investments								Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Alpha Only Fund		197,059,257		37,697,178		(2,833,016)		34,864,162		(13,797,957)
Benchmark-Free Allocation Fund		12,593,798,172		879,558,530		(63,507,475)		816,051,055		—
Benchmark-Free Fund		3,964,420,587		440,871,801		(28,235,050)		412,636,751		(164,233)
Global Asset Allocation Fund		2,440,757,848		108,646,640		(50,252,522)		58,394,118		—
Global Developed Equity Allocation Fund		449,792,107		50,351,047		—		50,351,047		—
Global Equity Allocation Fund		2,363,742,729		139,211,617		(9,318,425)		129,893,192		—
Consolidated Implementation Fund		10,460,176,677		792,282,438		(244,398,546)		547,883,892		(618,866)
International Developed Equity Allocation Fund		700,120,735		—		(28,340,905)		(28,340,905)		—
International Equity Allocation Fund		1,051,858,089		24,097,127		—		24,097,127		—
Consolidated SGM Major Markets Fund		1,497,760,542		56,809,320		(62,440,835)		(5,631,515)		(3,448,872)
Consolidated Special Opportunities Fund		810,292,786		242,780,223		(39,451,809)		203,328,414		(1,005,158)
Strategic Opportunities Allocation Fund		1,786,777,925		144,177,188		(714,443)		143,462,745		—

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, if any, or investment in other funds of GMO Trust (“underlying funds”). A summary of the Funds’ transactions involving companies or underlying funds that are or were affiliates during the period ended November 30, 2017 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Alpha Only Fund
GMO U.S. Treasury Fund	$	10,595,373	$	94,921,687	$	98,360,000	$	91,671	$	—	$	(6,689	)	$	(2,857	)	$	7,147,514
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	621,136,921	$	11,175,276	$	314,846,407	$	10,009,044	$	—	$	2,483,159		$	15,054,509		$	335,003,458
GMO Implementation Fund		10,761,426,169		710,465,428		1,390,645,771		57,498,405		—		91,097,305			684,405,134			10,856,748,265
GMO Opportunistic Income Fund, Class VI		682,798,759		20,681,054		186,802,160		2,864,543		—		9,731,958			10,271,446			536,681,057
GMO SGM Major Markets Fund, Class VI		1,030,173,520		36,177,924		77,147,054		—		8,279,258		4,766,425			5,730,567			999,701,382
GMO Special Opportunities Fund, Class VI		674,447,572		49,210,235		189,969,330		467,665		14,437,655		27,682,145			112,555,826			673,926,448
Totals	$	13,769,982,941	$	827,709,917	$	2,159,410,722	$	70,839,657	$	22,716,913	$	135,760,992		$	828,017,482		$	13,402,060,610

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class IV	$	254,330,557	$	3,854,061	$	131,486,483	$	3,854,061	$	—	$	(1,580,502	)	$	8,450,418		$	133,568,051
GMO Emerging Markets Fund, Class VI		544,118,916		2,301,164		94,097,000		2,301,164		—		6,309,834			72,619,414			531,252,328
GMO Opportunistic Income Fund, Class VI		265,783,934		1,097,016		58,981,954		1,097,016		—		7,165,883			722,406			215,787,285
GMO SGM Major Markets Fund, Class VI		190,362,136		1,485,192		8,750,000		—		1,485,192		716,773			1,225,205			185,039,306
GMO Special Opportunities Fund, Class VI		284,598,267		5,950,539		41,845,000		186,702		5,763,837		1,852,272			55,342,442			305,898,520
GMO U.S. Treasury Fund		36,502,880		147,120,412		183,637,659		132,598		—		3,810			10,557			—
Totals	$	1,575,696,690	$	161,808,384	$	518,798,096	$	7,571,541	$	7,249,029	$	14,468,070		$	138,370,442		$	1,371,545,490
Global Asset Allocation Fund
GMO Alpha Only Fund, Class IV	$	73,411,864	$	4,801,178	$	6,856,144	$	267,060	$	—	$	(774,187	)	$	3,072,663		$	73,655,374
GMO Asset Allocation Bond Fund, Class VI		436,734,200		26,189,113		68,103,852		—		—		(9,589,285	)		13,001,134			398,231,310
GMO Core Plus Bond Fund, Class IV		122,418,980		136,232,908		14,709,049		240,941		—		329,878			4,060,152			248,332,869
GMO Emerging Country Debt Fund, Class IV		98,805,388		2,284,457		49,097,488		1,704,244		—		1,408,483			1,529,484			54,930,324
GMO Emerging Markets Fund, Class VI		363,494,869		105,916,183		55,762,583		1,566,930		—		1,703,046			56,739,872			472,091,387
GMO International Equity Fund, Class IV		507,593,996		17,533,523		84,273,398		2,809,279		—		(11,807,088	)		99,177,942			528,224,975
GMO Opportunistic Income Fund, Class VI		97,727,559		1,394,378		51,965,198		365,408		—		2,589,432			(384,894	)		49,361,277
GMO Quality Fund, Class VI		202,013,212		8,989,009		58,103,923		562,649		1,526,275		7,188,373			24,755,232			184,841,903
GMO Risk Premium Fund, Class VI		64,139,050		6,087,104		8,466,424		—		4,642,926		689,565			(251,573	)		62,197,722
GMO SGM Major Markets Fund, Class VI		73,002,358		4,894,672		4,595,235		—		559,665		(63,249	)		820,204			74,058,750
GMO U.S. Equity Allocation Fund, Class VI		201,264,975		15,885,843		47,422,863		518,478		8,506,832		(1,643,582	)		16,424,195			184,508,568
GMO U.S. Treasury Fund		183,086,818		76,642,141		91,335,139		1,329,583		—		(72,418	)		(63,015	)		168,258,387
Totals	$	2,423,693,269	$	406,850,509	$	540,691,296	$	9,364,572	$	15,235,698	$	(10,041,032	)	$	218,881,396		$	2,498,692,846
Global Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	98,541,837	$	310,736	$	61,012,504	$	310,736	$	—	$	2,402,789		$	8,931,752		$	49,174,610
GMO International Equity Fund, Class IV		456,476,089		4,232,747		293,624,678		1,861,785		—		(48,247,750	)		110,381,727			229,218,135
GMO Quality Fund, Class VI		219,104,022		1,978,725		135,605,030		449,837		1,220,254		15,966,702			9,952,970			111,397,389
GMO U.S. Equity Allocation Fund, Class VI		217,844,350		7,161,345		122,523,296		411,398		6,749,947		(5,870,993	)		13,521,379			110,132,785
Totals	$	991,966,298	$	13,683,553	$	612,765,508	$	3,033,756	$	7,970,201	$	(35,749,252	)	$	142,787,828		$	499,922,919
Global Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	504,513,964	$	91,247,082	$	38,192,441	$	2,300,666	$	—	$	982,678			79,596,590		$	638,147,873
GMO International Equity Fund, Class IV		885,286,898		41,127,705		107,809,051		5,132,625		—		(22,581,025	)		178,971,050			974,995,577
GMO Quality Fund, Class VI		399,709,400		28,438,780		58,466,945		1,181,973		3,206,292		7,721,112			62,858,174			440,260,521
GMO U.S. Equity Allocation Fund, Class VI		416,646,309		55,950,069		68,871,765		1,117,234		18,330,813		(1,708,688	)		37,361,498			439,377,423
Totals	$	2,206,156,571	$	216,763,636	$	273,340,202	$	9,732,498	$	21,537,105	$	(15,585,923	)	$	358,787,312		$	2,492,781,394

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
International Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	59,768,161	$	3,748,921	$	6,666,972	$	277,705	$	—	$	108,798		$	9,228,922		$	66,187,830
GMO International Equity Fund, Class IV		541,876,427		6,007,360		40,330,333		3,227,427		—		(4,451,549	)		102,180,618			605,282,523
Totals	$	601,644,588	$	9,756,281	$	46,997,305	$	3,505,132	$	—	$	(4,342,751	)	$	111,409,540		$	671,470,353
International Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	356,432,437	$	32,349,571	$	69,274,479	$	1,515,315	$	—	$	(1,358,352	)	$	54,408,592		$	372,557,769
GMO International Equity Fund, Class IV		729,124,865		6,796,597		153,466,894		3,974,469		—		(3,922,494	)		124,467,068			702,999,142
Totals	$	1,085,557,302	$	39,146,168	$	222,741,373	$	5,489,784	$	—	$	(5,280,846	)	$	178,875,660		$	1,075,556,911
Consolidated SGM Major Markets Fund
GMO U.S. Treasury Fund	$	834,716,360	$	74,742,100	$	138,000,000	$	5,742,100	$	—	$	(47,817	)	$	(602,514	)	$	770,808,129
Consolidated Special Opportunities Fund
Jagercor Energy Corp	$	90,348	$	—	$	—	$	—	$	—	$	—		$	2,665		$	—	#
Strategic Opportunities Allocation Fund
GMO Core Plus Bond Fund, Class IV	$	56,400,656	$	100,932,549	$	15,664,807	$	175,499	$	—		470,411			2,327,496		$	144,466,305
GMO Emerging Country Debt Fund, Class IV		84,932,626		1,477,542		30,265,628		1,477,542		—		(400,363	)		3,060,473			58,804,650
GMO Emerging Markets Fund, Class VI		390,569,250		57,446,142		67,101,909		1,772,250		—		3,557,073			57,780,315			442,250,871
GMO International Equity Fund, Class IV		573,398,898		3,255,868		145,529,616		3,255,868		—		(1,169,651	)		96,163,153			526,118,652
GMO Opportunistic Income Fund, Class VI		83,844,202		444,589		19,945,152		444,589		—		2,282,825			513,531			67,139,995
GMO Quality Fund, Class VI		207,645,291		2,206,227		43,705,742		594,244		1,611,983		5,566,799			28,174,080			199,886,655
GMO U.S. Equity Allocation Fund, Class VI		204,598,363		9,389,229		30,623,278		539,384		8,849,845		(1,306,955	)		17,053,672			199,111,031
GMO U.S. Treasury Fund		303,051,065		19,022,906		181,978,441		1,455,824		—		(157,589	)		(31,449	)		139,906,492
Totals	$	1,904,440,351	$	194,175,052	$	534,814,573	$	9,715,200	$	10,461,828	$	8,842,550		$	205,041,271		$	1,777,684,651

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2017 through November 30, 2017. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2018.

# No longer an affiliate as of November 31, 2017.

Basis of presentation

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

Basis of presentation and principles of consolidation: 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 schedules of investments have been consolidated for those accounts. The consolidated schedules of investments include all of the assets and liabilities of each wholly-owned subsidiary.

Portfolio valuation

Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. Direct investments held by the Funds and underlying funds are valued as follows: Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event 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 of GMO Trust (the “Trustees”) or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2017, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets 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, if any, that were valued using fair value inputs obtained from that independent pricing service as of November 30, 2017. 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 source) 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.

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 November 30, 2017 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		—		44%		—
Benchmark-Free Allocation Fund		< 1%		35%		2%
Benchmark-Free Fund		< 1%		41%		2%
Global Asset Allocation Fund		< 1%		39%		< 1%
Global Developed Equity Allocation Fund		< 1%		55%		—
Global Equity Allocation Fund		< 1%		62%		—
Consolidated Implementation Fund		< 1%		43%		2%
International Developed Equity Allocation Fund		< 1%		96%		—
International Equity Allocation Fund		< 1%		93%		—
Consolidated SGM Major Markets Fund		—		< 1%		—
Consolidated Special Opportunities Fund		—		13%		—
Strategic Opportunities Allocation Fund		< 1%		48%		< 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 November 30, 2017.

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; 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 November 30, 2017:

Description	Level 1		Level 2		Level 3			Total
Alpha Only Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,086,685	$	—		$	1,086,685
Austria		—		404,125		—			404,125
Belgium		—		39,106		—			39,106
Brazil		—		1,941,023		—			1,941,023
Chile		—		75,559		—			75,559
China		41,865		19,540,459		—			19,582,324
Colombia		112,744		—		—			112,744
Czech Republic		—		242,400		—			242,400
Denmark		—		23,377		—			23,377
Egypt		—		8,893		—			8,893
Finland		—		127,516		—			127,516
France		—		4,702,489		—			4,702,489
Germany		—		4,880,293		—			4,880,293
Greece		—		48,464		—			48,464
Hong Kong		—		726,565		—			726,565
Hungary		—		97,618		—			97,618
India		—		7,911,714		—			7,911,714
Indonesia		—		521,782		—			521,782
Ireland		—		6,387		—			6,387
Israel		34,080		74,749		—			108,829
Italy		—		1,246,364		—			1,246,364
Japan		—		8,484,695		—			8,484,695
Malaysia		—		610,843		0	§		610,843
Mexico		2,429,314		—		—			2,429,314
Netherlands		15,591		1,138,352		—			1,153,943
New Zealand		—		33,910		—			33,910
Norway		—		619,633		—			619,633
Peru		777,895		—		—			777,895
Philippines		—		252,806		—			252,806
Poland		—		1,607,869		—			1,607,869
Qatar		—		114,900		—			114,900
Russia		—		169,448		—			169,448
Singapore		—		123,178		—			123,178
South Africa		—		4,168,913		—			4,168,913
South Korea		74,088		7,335,215		—			7,409,303
Spain		—		1,189,954		—			1,189,954
Sweden		—		1,376,713		—			1,376,713
Switzerland		—		4,629,503		—			4,629,503
Taiwan		2,341,588		9,164,797		—			11,506,385
Thailand		—		513,024		—			513,024
Turkey		—		2,414,517		—			2,414,517
United Arab Emirates		—		171,349		—			171,349
United Kingdom		24,542		10,687,253		—			10,711,795
United States		104,127,764		—		—			104,127,764
TOTAL COMMON STOCKS		109,979,471		98,512,440		0§			208,491,911

Description	Level 1			Level 2			Level 3			Total
Alpha Only Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil	$	190,760		$	2,035,444		$	—		$	2,226,204
Colombia		37,554			—			—			37,554
Germany		—			352,542			—			352,542
Russia		—			13,345			—			13,345
South Korea		—			812,821			—			812,821
TOTAL PREFERRED STOCKS		228,314			3,214,152			—			3,442,466
Mutual Funds
United States		7,147,514			—			—			7,147,514
TOTAL MUTUAL FUNDS		7,147,514			—			—			7,147,514
Short-Term Investments		12,841,528			—			—			12,841,528
Total Investments		130,196,827			101,726,592			0	§		231,923,419
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			300,460			—			300,460
Total	$	130,196,827		$	102,027,052		$	0	§		232,223,879
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(378,490	)	$	—		$	(378,490	)
Total Forward Currency Contracts		—			(378,490	)		—			(378,490	)
Futures Contracts
Equity Risk		(13,719,927	)		—			—			(13,719,927	)
Total	$	(13,719,927	)	$	(378,490	)	$	—		$	(14,098,417	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	13,402,060,610		$	—		$	—		$	13,402,060,610
Short-Term Investments		7,788,617			—			—			7,788,617
Total Investments		13,409,849,227			—			—			13,409,849,227
Total	$	13,409,849,227		$	—		$	—		$	13,409,849,227
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	20,777,300		$	—		$	20,777,300
Austria		—			8,144,592			—			8,144,592
Belgium		—			821,618			—			821,618
Brazil		9,811,054			22,955,795			—			32,766,849
Canada		35,813,011			—			—			35,813,011
Chile		—			88,921			—			88,921
China		18,959,443			201,523,134			—			220,482,577
Colombia		3,989,884			—			—			3,989,884
Czech Republic		—			2,256,071			—			2,256,071
Denmark		—			491,618			—			491,618
Egypt		—			21,715			—			21,715
Finland		—			5,912,891			—			5,912,891
France		4,494,594			69,352,411			—			73,847,005
Germany		—			80,318,196			—			80,318,196
Greece		—			1,457,769			—			1,457,769
Hong Kong		—			33,072,887			—			33,072,887
Hungary		—			3,788,128			—			3,788,128
India		41,503			77,084,464			—			77,125,967
Indonesia		52,836			2,818,152			—			2,870,988
Israel		133,722			469,336			—			603,058

Description	Level 1		Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Italy	$	9,358,830	$	13,835,764		$	—	$	23,194,594
Japan		—		163,917,588			—		163,917,588
Malaysia		—		626,354			—		626,354
Mexico		23,417,821		—			—		23,417,821
Netherlands		276,660		27,259,287			1,659,691		29,195,638
New Zealand		—		1,545,333			—		1,545,333
Norway		—		10,670,087			—		10,670,087
Peru		527,575		—			—		527,575
Philippines		—		314,073			—		314,073
Poland		—		10,159,991			—		10,159,991
Portugal		—		370,498			—		370,498
Qatar		—		119,774			—		119,774
Russia		5,190,260		13,513,785			—		18,704,045
Singapore		—		5,919,707			—		5,919,707
South Africa		14,430		56,318,229			—		56,332,659
South Korea		1,628,528		79,893,675			31,847		81,554,050
Spain		—		20,614,946			—		20,614,946
Sweden		—		22,092,772			—		22,092,772
Switzerland		164,800		32,899,954			—		33,064,754
Taiwan		5,767,423		93,946,264			—		99,713,687
Thailand		—		32,916,290			—		32,916,290
Turkey		—		28,132,536			—		28,132,536
United Arab Emirates		—		502,178			—		502,178
United Kingdom		3,134,364		81,123,849			—		84,258,213
United States		154,951,273		—			—		154,951,273
TOTAL COMMON STOCKS		277,728,011		1,228,047,932			1,691,538		1,507,467,481
Mutual Funds
United States		1,371,545,490		—			—		1,371,545,490
TOTAL MUTUAL FUNDS		1,371,545,490		—			—		1,371,545,490
Preferred Stocks
Brazil		5,636,205		25,982,303			—		31,618,508
Colombia		164,708		—			—		164,708
Germany		—		4,770,241			—		4,770,241
Russia		—		321,546			—		321,546
South Korea		—		21,631,414			—		21,631,414
TOTAL PREFERRED STOCKS		5,800,913		52,705,504			—		58,506,417
Rights/Warrants
Australia		—		—			3,997		3,997
Thailand		72,715		—			—		72,715
TOTAL RIGHTS/WARRANTS		72,715		—			3,997		76,712
Debt Obligations
Japan		—		75,101,588			—		75,101,588
United States		451,260,765		709,677,888			—		1,160,938,653
TOTAL DEBT OBLIGATIONS		451,260,765		784,779,476			—		1,236,040,241
Short-Term Investments		24,770,051		178,650,946			—		203,420,997
Total Investments		2,131,177,945		2,244,183,858			1,695,535		4,377,057,338
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		122,964			—		122,964
Futures Contracts
Equity Risk		88,568		—			—		88,568
Total	$	2,131,266,513	$	2,244,306,822		$	1,695,535	$	4,377,268,870
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(375,765	)	$	—	$	(375,765	)

Description	Level 1		Level 2		Level 3		Total
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,498,692,846	$	—	$	—	$	2,498,692,846
Debt Obligations
Asset-Backed Securities		—		69,281		—		69,281
TOTAL DEBT OBLIGATIONS		—		69,281		—		69,281
Short-Term Investments		389,839		—		—		389,839
Total Investments		2,499,082,685		69,281		—		2,499,151,966
Total	$	2,499,082,685	$	69,281	$	—	$	2,499,151,966
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	499,922,919	$	—	$	—	$	499,922,919
Short-Term Investments		220,235		—		—		220,235
Total Investments		500,143,154		—		—		500,143,154
Total	$	500,143,154	$	—	$	—	$	500,143,154
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,492,781,394	$	—	$	—	$	2,492,781,394
Short-Term Investments		854,527		—		—		854,527
Total Investments		2,493,635,921		—		—		2,493,635,921
Total	$	2,493,635,921	$	—	$	—	$	2,493,635,921
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	56,240,170	$	—	$	56,240,170
Austria		—		25,888,798		—		25,888,798
Belgium		—		1,486,218		—		1,486,218
Brazil		6,271,070		81,610,381		—		87,881,451
Canada		104,149,837		—		—		104,149,837
Chile		—		1,699,311		—		1,699,311
China		60,855,817		798,356,822		—		859,212,639
Colombia		13,041,358		—		—		13,041,358
Czech Republic		—		16,654,937		—		16,654,937
Denmark		—		2,123,465		—		2,123,465
Egypt		—		504,804		—		504,804
Finland		—		13,743,741		—		13,743,741
France		11,965,980		224,510,936		—		236,476,916
Germany		—		242,819,254		—		242,819,254
Greece		—		14,708,413		—		14,708,413
Hong Kong		—		87,365,852		—		87,365,852
Hungary		—		8,613,964		—		8,613,964
India		17,154,471		246,376,986		—		263,531,457
Indonesia		1,283,604		22,846,933		—		24,130,537
Ireland		—		59,136		—		59,136
Israel		1,016,566		1,995,576		—		3,012,142
Italy		25,729,070		51,827,668		—		77,556,738
Japan		—		437,689,101		—		437,689,101
Malaysia		—		1,353,561		—		1,353,561
Mexico		57,846,816		—		—		57,846,816
Netherlands		76,378,984		70,397,185		—		146,776,169
New Zealand		—		2,430,649		—		2,430,649
Norway		—		26,019,773		—		26,019,773
Peru		8,061,346		—		—		8,061,346
Philippines		—		3,292,593		—		3,292,593
Poland		—		44,143,777		—		44,143,777
Portugal		—		1,403,124		—		1,403,124
Qatar		—		3,175,874		—		3,175,874

Description	Level 1		Level 2		Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Russia	$	50,755,133	$	184,520,017	$	—	$	235,275,150
Singapore		—		9,930,432		—		9,930,432
South Africa		503,274		179,721,670		—		180,224,944
South Korea		6,457,888		467,142,329		780,118		474,380,335
Spain		27,444,498		83,083,203		—		110,527,701
Sweden		—		55,855,458		—		55,855,458
Switzerland		2,152,700		90,004,811		—		92,157,511
Taiwan		46,214,762		586,675,219		—		632,889,981
Thailand		—		208,036,516		—		208,036,516
Turkey		—		113,692,632		—		113,692,632
United Arab Emirates		—		3,967,962		—		3,967,962
United Kingdom		17,582,590		266,723,068		—		284,305,658
United States		792,480,789		—		—		792,480,789
TOTAL COMMON STOCKS		1,327,346,553		4,738,692,319		780,118		6,066,818,990
Mutual Funds
United States		167,168,975		—		—		167,168,975
TOTAL MUTUAL FUNDS		167,168,975		—		—		167,168,975
Preferred Stocks
Brazil		10,458,970		86,717,803		—		97,176,773
Colombia		2,289,573		—		—		2,289,573
Germany		—		12,307,224		—		12,307,224
Russia		—		5,655,744		—		5,655,744
South Korea		—		94,251,872		—		94,251,872
TOTAL PREFERRED STOCKS		12,748,543		198,932,643		—		211,681,186
Rights/Warrants
Australia		—		—		11,410		11,410
Canada		212,577		—		—		212,577
Thailand		548,508		—		—		548,508
United States		—		—		1,104,414		1,104,414
TOTAL RIGHTS/WARRANTS		761,085		—		1,115,824		1,876,909
Debt Obligations
Australia		—		2,840,625		—		2,840,625
Brazil		—		15,994,328		—		15,994,328
Canada		—		6,999,717		—		6,999,717
Denmark		—		—		18,896,996		18,896,996
France		—		1,375,000		—		1,375,000
Germany		—		1,732,600		—		1,732,600
Hong Kong		—		779,062		—		779,062
Ireland		—		1,155,425		—		1,155,425
Italy		—		3,105,108		—		3,105,108
Japan		—		247,901,980		—		247,901,980
Luxembourg		—		1,224,375		—		1,224,375
Puerto Rico		—		25,453,888		—		25,453,888
Spain		—		2,727,464		15,126,611		17,854,075
United Kingdom		—		8,062,529		—		8,062,529
United States		1,872,007,558		2,004,975,413		35,053,504		3,912,036,475
TOTAL DEBT OBLIGATIONS		1,872,007,558		2,324,327,514		69,077,111		4,265,412,183
Short-Term Investments		139,563,048		413,330,211		—		552,893,259
Purchased Options		22,960,254		—		—		22,960,254
Total Investments		3,542,556,016		7,675,282,687		70,973,053		11,288,811,756
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		10,633,632		—		10,633,632
Futures Contracts
Equity Risk		1,405,331		—		—		1,405,331
Interest Rate Risk		85,663		—		—		85,663
Swap Contracts
Credit Risk		—		12,644,723		—		12,644,723
Interest Rate Risk		—		5,515,844		—		5,515,844
Asset Valuation Inputs (continued)
Equity Risk		—		177,792		—		177,792
Total	$	3,544,047,010	$	7,704,254,678	$	70,973,053	$	11,319,274,741

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Liability Valuation Inputs
Common Stocks
China	$	(128,167,139	)	$	—		$	—	$	(128,167,139	)
France		—			(23,392,886	)		—		(23,392,886	)
Germany		—			(7,369,924	)		—		(7,369,924	)
Japan		—			(20,391,475	)		—		(20,391,475	)
United States		(100,756,035	)		—			—		(100,756,035	)
TOTAL COMMON STOCKS		(228,923,174	)		(51,154,285	)		—		(280,077,459	)
Exchange-Traded Funds
United States		(673,728	)		—			—		(673,728	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(9,871,222	)		—		(9,871,222	)
Futures Contracts
Interest Rate Risk		(267,563	)		—			—		(267,563	)
Written Options
Equity Risk		(3,552,980	)		—			—		(3,552,980	)
Credit Risk		—			(135,162	)		—		(135,162	)
Swap Contracts
Credit Risk		—			(5,407,686	)		—		(5,407,686	)
Interest Rate Risk		—			(4,734,477	)		—		(4,734,477	)
Total	$	(233,417,445	)	$	(71,302,832	)	$	—	$	(304,720,277	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	671,470,353		$	—		$	—	$	671,470,353
Short-Term Investments		309,477			—			—		309,477
Total Investments		671,779,830			—			—		671,779,830
Total	$	671,779,830		$	—		$	—	$	671,779,830
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,075,556,911		$	—		$	—	$	1,075,556,911
Short-Term Investments		398,305			—			—		398,305
Total Investments		1,075,955,216			—			—		1,075,955,216
Total	$	1,075,955,216		$	—		$	—	$	1,075,955,216
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	200,027,672		$	—		$	—	$	200,027,672
U.S. Government Agency		57,459,644			—			—		57,459,644
TOTAL DEBT OBLIGATIONS		257,487,316			—			—		257,487,316
Mutual Funds		770,808,129			—			—		770,808,129
Short-Term Investments		463,833,582			—			—		463,833,582
Total Investments		1,492,129,027			—			—		1,492,129,027
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			3,893,470			—		3,893,470
Futures Contracts
Interest Rate Risk		6,791,997			—			—		6,791,997
Physical Commodity Contract Risk		81,945			—			—		81,945
Equity Risk		3,761,128			11,267,671			—		15,028,799
Total	$	1,502,764,097		$	15,161,141		$	—	$	1,517,925,238

Description	Level 1			Level 2			Level 3		Total
Consolidated SGM Major Markets Fund (continued)
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(3,195,845	)	$	—	$	(3,195,845	)
Futures Contracts
Equity Risk		(21,328,749	)		(4,441,215	)		—		(25,769,964	)
Physical Commodity Contract Risk		(279,274	)		—			—		(279,274	)
Total	$	(21,608,023	)	$	(7,637,060	)	$	—	$	(29,245,083	)
Consolidated Special Opportunities Fund
Asset Valuation Inputs
Common Stocks
Canada	$	93,013		$	—		$	—	$	93,013
Germany		—			37,694,458			—		37,694,458
Netherlands		38,101,800			—			—		38,101,800
Romania		—			21,666,294			—		21,666,294
United Kingdom		—			72,345,970			—		72,345,970
United States		641,268,011			—			—		641,268,011
TOTAL COMMON STOCKS		679,462,824			131,706,722			—		811,169,546
Short-Term Investments		202,451,654			—			—		202,451,654
Total Investments		881,914,478			131,706,722			—		1,013,621,200
Total	$	881,914,478		$	131,706,722		$	—	$	1,013,621,200
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Forward Currency Risk	$	—		$	(11,533	)	$	—	$	(11,533	)
Futures Contracts
Physical Commodity Contract Risk		(993,625	)		—			—		(993,625	)
Total	$	(993,625	)	$	(11,533	)	$	—	$	(1,005,158	)
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,777,684,651		$	—		$	—	$	1,777,684,651
Debt Obligations
U.S. Government		—			152,260,549			—		152,260,549
TOTAL DEBT OBLIGATIONS		—			152,260,549			—		152,260,549
Short-Term Investments		295,470			—			—		295,470
Total Investments		1,777,980,121			152,260,549			—		1,930,240,670
Total	$	1,777,980,121		$	152,260,549		$	—	$	1,930,240,670

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 November 30, 2017.

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

For all Funds for the period ended November 30, 2017, 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 28, 2017		Purchases		Sales			Accrued Discounts/ Premiums			Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3†			Transfer out of Level 3†			Balances as of November 30, 2017		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2017
Alpha Only Fund
Rights/Warrants
Brazil	$	1,259	$	—	$	—		$	—		$	—		$	(1,259	)	$	—		$	—		$	—	$	—
Malaysia		1,065		—		—			—			—			(1,065	)		—			—			—		—
Total	$	2,324	$	—	$	—		$	—		$	—		$	(2,324	)	$	—		$	—		$	—	$	—
Benchmark-Free Fund
Common Stocks
Netherlands	$	—	$	—	$	—		$	—		$	—		$	—		$	1,659,691	‡	$	—		$	1,659,691	$	—
South Korea		—		26,833		—			—			—			5,014			—			—			31,847		5,014
Rights/Warrants
Australia		—		0		—			—			—			3,997			—			—			3,997		3,997
Brazil		86,276		—		0			—			—			(86,276	)		—			—			—		—
India		41,572		—		(27,638	)		—			27,638			(41,572	)		—			—			—		—
Total	$	127,848	$	26,833	$	(27,638	)	$	—		$	27,638		$	(118,837	)	$	1,659,691		$	—		$	1,695,535	$	9,011
Consolidated Implementation Fund
Common Stocks
South Korea	$	165,612	$	717,021	$	(288,624	)	$	—		$	(22,726	)$		242,815		$	—		$	(33,981	)‡	$	780,117	$	158,659
Sweden		15,364,011		—		(16,185,724	)		—			80,550			741,163			—			—			—		—
Rights/Warrants
Australia		—		—		—			—			—			11,410			—			—			11,410		—
Brazil		302,934		—		—			—			—			(302,934	)		—			—			—		—
India		232,428		—		(154,524	)		—			154,523			(232,427	)		—			—			—		—
Singapore		2,520,800		—		(3,160,784	)		—			690,400.00			(50,416	)		—			—			—		—
United States		4,609,155		—		—			—			—			(3,504,741	)		—			—			1,104,414		(3,504,741	)
Debt Obligations
Bank Loans
Denmark		28,915,608		—		(8,278,994	)		—			(388,477	)		(1,351,140	)		—			—			18,896,997		(1,351,140	)
Spain		—		15,442,880		(866,759	)		(43,977	)		(180	)		594,647			—			—			15,126,611		594,647
United States		54,888,786		13,716,754		(33,822,709	)		141,939			204,401			(75,667	)		—			—			35,053,504		(75,667	)
Total Investments	$	106,999,334	$	29,876,655	$	(62,758,118	)	$	97,962$			718,491		$	(3,927,290	)	$	—		$	(33,981	)	$	70,973,053	$	(4,178,242	)

† 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.

The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Funds’ exposure, (based on each Fund’s net assets) as of November 30, 2017 were as follows:

Fund Name	Level 3 securities and derivatives
Alpha Only Fund		0%§
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		—
Strategic Opportunities Allocation Fund		< 1%

^§  Represents the interest in securities that were determined to have a value of zero at November 30, 2017.

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 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. 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. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and

date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes 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 November 30, 2017, the Funds listed below had entered into reverse repurchase agreements.

Fund Name	Received from reverse repurchase agreements ($)		Market value of securities plus accrued interest ($)
Consolidated Implementation Fund		1,046,104		1,014,819

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/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes. 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/decrease in the principal amount of an inflation-indexed bond is generally included in the Fund’s gross income even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Short sales

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

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 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.

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

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.

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 be forced to 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 in which financial services firms are exposed (as they were in 2008) 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 that 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). Counterparty risk also will be greater if a counterparty’s obligations exceed the value of collateral held by the Fund (if any).

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 possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or 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, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (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 a downgrading of the credit rating of the investment. This risk is particularly acute in environments in which financial services firms are exposed (as they were in 2008) to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Fixed income investments are also subject to illiquidity risk. See “Illiquidity Risk.”

All fixed income investments 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 investment. 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 and market price of a fixed income investment are reflected in its credit ratings, and a Fund holding a rated investment is subject to the risk that the investment’s rating will be downgraded, resulting in a decrease in the market price of the fixed income investment.

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 market price 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 investment 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 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 investments (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 investments have speculative characteristics, often are less liquid than higher quality investments, 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 investments generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality investments, 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 does not make any interest or other payments and a Fund incurs additional expenses in seeking recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment 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. 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 a Fund may have to purchase U.S. dollars at an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are 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, such as securities, commodities or currencies, reference rates, such as interest rates, currency exchange rates, or inflation 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.

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, or the position transferred, 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 exposure arises.

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, under-collateralization 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 cost 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.

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 will sometimes be unclear. In addition, the Securities and Exchange Commission has proposed a rule under the Investment Company Act of 1940, as amended 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) have adopted similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these requirements are new and evolving (and some of the rules are not yet final), their impact on the Funds 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 the margin required at the outset of a transaction. Clearing houses also have broad rights to increase the margin required 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 the documentation for typical bilateral derivatives. 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 be required to 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. New variation margin requirements became effective in March 2017 and new initial margin requirements will become effective 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 cost 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 historically posted for bilateral derivatives. The cost of derivatives transactions is expected to increase further as clearing members raise their fees to cover the cost of additional capital requirements and other regulatory changes applicable to the clearing members. These rules and regulations are new and evolving, and, therefore, 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 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 subject to U.S. income taxation. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to be taxable 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 typically pays borrowing fees to a broker and is 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 those issuers’ 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) or in a wholly-owned subsidiary are exposed to the risk that the Underlying Funds or wholly-owned subsidiary will not perform as expected. The Funds also are indirectly exposed to all of the risks to which the Underlying Funds or a wholly-owned subsidiary are exposed.

Absent reimbursement, a Fund bears the fees and expenses of an Underlying Fund (including purchase premiums and redemption fees, if any) and the expenses of a wholly-owned subsidiary in which it invests, and the Fund will incur additional expenses when

investing in an Underlying Fund or wholly-owned subsidiary. 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 mutual fund groups 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.”

At any particular time, one Underlying Fund may be purchasing securities of an issuer whose securities are being sold by another Underlying Fund, resulting in a Fund that holds each Underlying Fund indirectly incurring the costs associated with the two transactions without changing its exposure to those securities.

Investments in ETFs involve the risk that an ETF’s performance may not track the performance of the index it is designed to track. In addition, ETFs often use derivatives to track the performance of an 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 or a wholly-owned subsidiary 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 relies 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 that changes in the prices of the contracts may not correlate perfectly with 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 positions in futures contracts. If the Fund has insufficient cash to meet margin requirements, the Fund may have 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, should the futures commission merchant become insolvent, a Fund may be unable 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.

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, delays 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. The degree to which a Fund’s securities are illiquid may affect the likelihood of its paying redemption proceeds in-kind.

In recent years, the credit markets have experienced periods characterized by a significant lack of liquidity, and they may experience similar periods in the future. A lack of liquidity could require a Fund to sell securities to satisfy collateral posting requirements and meet redemptions, which could, in turn, create downward price pressure on the securities being sold.

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. That market may not be liquid when a Fund seeks to close out an option position, and the hours of trading for options on an exchange may not conform to the hours during which the underlying securities 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 those 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 sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the outstanding 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 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. Further, from time to time a Fund may trade in anticipation of a purchase or redemption order that is not ultimately received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. Additionally, redemptions and purchases of shares by a large shareholder or group of shareholders potentially limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.

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 traditional borrowing (including to meet redemption requests), 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. Similarly, a Fund’s portfolio also will be leveraged if it exercises its right to delay payment on a redemption and can result in losses if the value of the Fund’s assets changes between the time a redemption request is received or deemed to be received by a Fund (which in some cases may be the business day prior to actual receipt of the transaction activity by the Fund) and the time at which the Fund liquidates assets to meet redemption requests. Such a change in the value of a Fund’s assets is more likely in the case of Funds managed from GMO’s non-U.S. offices for which the time period between the NAV determination and corresponding liquidation of assets could be longer due to time zone differences and market schedules. In the case of redemptions representing a significant portion of a Fund’s portfolio, the leverage effects described above can be significant and could expose a Fund and non-redeeming shareholders to material losses.

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.

Some Funds are permitted to purchase securities on margin or to sell securities short, either of which creates leverage. To the extent the market prices of securities pledged to counterparties to secure a Fund’s margin account or short sale decline, the Fund may be required to deposit additional funds with the counterparty or have the pledged securities liquidated to compensate for the decline.

• 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 may 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 uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market events. In addition, they use assumptions that can limit their effectiveness, and they rely on data that is subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. The Funds also run the risk that GMO’s assessment of an investment (including a company’s fundamental fair (or intrinsic) value) is wrong.

GMO relies heavily on quantitative models in making investment decisions for 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 includes 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 risks 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 a risk of loss resulting from 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 to technological malfunctions that may have effects 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, detect and respond to 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 a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or issue trading halts on specific securities or the entire market, which may result in the Funds being unable, among other things, to buy or sell securities or accurately price their investments. The Funds cannot directly control cyber security plans and systems put in place by their service providers, the Funds’ counterparties, issuers of securities in which the Funds invest, or securities markets and exchanges.

• 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 or other fraudulent trading practices, which could disrupt their orderly functioning or reduce the prices of securities traded on them, including securities held by the Funds. Fraud and other deceptive practices committed by a company whose securities are held by a Fund undermine GMO’s due diligence efforts and, when discovered, will likely cause a steep decline in the market price of those securities and thus negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively affect a Fund’s investment program as well as 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 if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. In June 2016, the United Kingdom approved a referendum to leave the European Union (commonly known as “Brexit”). A significant degree of uncertainty exists about the time frame for Brexit and whether it will have a negative impact on the United Kingdom, the European Union and/or the broader global economy.

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 price 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,” 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.

As described under “Market Risk — Fixed Income” 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 have. Asset-backed securities backed by sub-prime mortgage loans, in particular, expose a Fund to potentially 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 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 and 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 depends in part 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 will affect the rights of holders of those underlying assets. The insolvency of a servicer is likely to result in a decline in the market price of the securities it is servicing, 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, the obligations underlying asset-backed securities may be repaid more slowly than anticipated, and the market price of those securities may decrease.

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 servicer 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 issuer’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 what GMO believes is less than its fundamental fair (or intrinsic) value, 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 the markets associated with those indices rise sharply because of the Fund’s lack of exposure to the upside of those markets.

Fixed Income — Funds that invest in fixed income investments (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 investments 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 investment. When interest rates rise, these investments 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 investments (commonly referred to as “junk bonds”) may be particularly volatile. Often below investment grade investments are subject to greater sensitivity to interest rate and economic changes than higher rated investments 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 investments 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 investments 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 the market price of a fixed income investment 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 its fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate investments, 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 investments have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate investments when interest rates rise but outperform them when interest rates decline. Fixed income investments 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, markets for fixed income investments 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 portfolio assets when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent years, central banks and governmental financial regulators, including the U.S. Federal Reserve, have kept interest rates historically low by purchasing bonds. Steps to curtail or “taper” such activities (such as recent indications from the U.S. Federal Reserve of its intent to do so) 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 engage in transactions in which the Fund purchases securities at prices below the value of the consideration GMO expects the Fund to receive 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 merger arbitrage and the merger later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund is likely to decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. A proposed merger can fail to be consummated for many reasons, including regulatory and antitrust restrictions, industry weakness, company specific events, failed financings, and general market declines.

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 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 may sell securities short when GMO expects the Fund to receive the securities upon consummation of a transaction; if the Fund does not actually receive the securities, the Fund will have an unintended “naked” short position and 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. A Fund’s merger arbitrage transactions could result in tax inefficiencies, including greater distributions of net investment income and net realized capital gains than otherwise would be the case.

• 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 GMO Funds that are not diversified.

• 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. Many non-U.S. securities markets include securities of only a small number of companies in a small number of industries. As a result, the market prices of securities traded on those markets often 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 countries limit a Fund’s ability to profit from short-term trading (as defined in that country).

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 benefit. A Fund’s pursuit of such refunds may subject a Fund to various administrative and/or judicial proceedings. 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 it is entitled to one. The outcome of a Fund’s efforts to obtain a refund is inherently unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until GMO is confident that the refund will be received. In some cases, the amount of a refund could be material to a Fund’s net asset value. Absent a determination that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value. See “Taxes, Non-U.S. Taxes” in the GMO Trust Statement of Additional Information for additional information. For information on possible special Australian tax consequences of an investment in the Funds, see the Funds’ Prospectus and Statement of Additional Information.

Investing in non-U.S. securities also exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, government involvement in the economy or in the affairs of specific companies or industries (including 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. Fluctuations in foreign currency exchange rates also affect the market prices of a Fund’s non-U.S. securities (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 thus limits the Fund’s investment opportunities. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license and thereby limit the Fund’s 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 wholly or partially state-owned enterprises); less governmental supervision and regulation of securities markets and participants in those markets; controls on 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 depend predominantly on only a few industries or revenues from particular commodities.

• SMALL COMPANY RISK. Companies with smaller market capitalizations tend to have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have inexperienced managers or depend on a smaller group of key employees than 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 response to adverse market, economic, political, or other conditions.

Benchmark-Free Allocation Fund, Benchmark-Free Fund and Implementation 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.

Derivative financial instruments

At November 30, 2017, only Alpha Only Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund and Special Opportunities Fund held derivative financial instruments directly. For a listing of derivative financial instruments, if any, held by the underlying funds, 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, 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 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. 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 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.

For Funds that held derivatives during the period ended November 30, 2017, 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 SGM Major Markets Fund*	Consolidated Special Opportunities 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	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
Options (Purchased)
Substitute for direct equity investment			X
Adjust currency exchange rate risk			X
Adjust exposure to foreign currencies			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	X
Substitute for direct investment in securities			X
Achieve exposure to a reference entity’s credit			X
Rights and/or warrants
Received as a result of corporate actions	X	X	X

* Certain derivatives may be held by the Fund’s wholly-owned subsidiary.

Forward currency contracts

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

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

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.

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

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

Rights and warrants

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

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

The following is a summary of the valuations of derivative instruments categorized by risk exposure as of November 30, 2017:

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
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—	$	—		$	300,460		$	—	$	—	$	300,460
Total	$	—	$	—	$	—		$	300,460		$	—	$	—	$	300,460
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—		$	(378,490	)	$	—	$	—	$	(378,490	)
Unrealized Depreciation on Futures Contracts		—		—		(13,719,927	)		—			—		—		(13,719,927	)
Total	$	—	$	—	$	(13,719,927	)	$	(378,490	)	$	—	$	—	$	(14,098,417	)

	Credit Contracts			Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Benchmark-Free Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—		$	—		$	76,712		$	—		$	—		$	—	$	76,712
Unrealized Appreciation on Forward Currency Contracts		—			—			—			122,964			—			—		122,964
Unrealized Appreciation on Futures Contracts		—			—			88,568			—			—			—		88,568
Total	$	—		$	—		$	165,280		$	122,964		$	—		$	—	$	288,244
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(375,765	)	$	—		$	—	$	(375,765	)
Total	$	—		$	—		$	—		$	(375,765	)	$	—		$	—	$	(375,765	)
Consolidated Implementation Fund
Asset Derivatives
Investments, at value (purchased options)	$	—		$	—		$	22,960,254		$	—		$	—		$	—	$	22,960,254
Investments, at value (rights and/or warrants)		—			—			1,876,909			—			—			—		1,876,909
Unrealized Appreciation on Forward Currency Contracts		—			—			—			10,633,632			—			—		10,633,632
Unrealized Appreciation on Futures Contracts		—			—			1,405,331			—			85,663			—		1,490,994
Investments, at value (swap contracts)		12,644,723			—			177,792			—			5,515,844			—		18,338,359
Total	$	12,644,723		$	—		$	26,420,286		$	10,633,632		$	5,601,507		$	—	$	55,300,148
Liability Derivatives
Unrealized Depreciation on Forward Currency Contract	$	—		$	—		$	—		$	(9,871,222	)	$	—		$	—	$	(9,871,222	)
Unrealized Depreciation on Futures Contracts		—			—			—			—			(267,563	)		—		(267,563	)
Written Options, at value		(135,162	)		—			(3,552,980	)		—			—			—		(3,688,142	)
Investments, at value (swap contracts)		(5,407,686	)		—			—			—			(4,734,477	)		—		(10,142,163	)
Total	$	(5,542,848	)	$	—		$	(3,552,980	)	$	(9,871,222	)	$	(5,002,040	)	$	—	$	(23,969,090	)
Consolidated SGM Major Markets Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	3,893,470		$	—		$	—	$	3,893,470
Unrealized Appreciation on Futures Contracts		—			81,945			15,028,799			—			6,791,997			—		21,902,741
Total	$	—		$	81,945		$	15,028,799		$	3,893,470		$	6,791,997		$	—	$	25,796,211
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(3,195,845	)	$	—		$	—	$	(3,195,845	)
Unrealized Depreciation on Futures Contracts		—			(279,274	)		(25,769,964	)		—			—			—		(26,049,238	)
Total	$	—		$	(279,274	)	$	(25,769,964	)	$	(3,195,845	)	$	—		$	—	$	(29,245,083	)
Consolidated Special Opportunities Fund
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(11,533	)	$	—		$	—	$	(11,533	)
Unrealized Depreciation on Futures Contracts		—			(993,625	)		—			—			—			—		(993,625	)
Total	$	—		$	(993,625	)	$	—		$	(11,533	)	$	—		$	—	$	(1,005,158	)

Subsequent events

Subsequent to November 30, 2017 GMO Strategic Opportunities Allocation Fund received redemption requests in the amount of $641,967,856.

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

Item 2. Controls and Procedures.

(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded as of a date within 90 days of the filing of this report, based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-Q is recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto as EX- 99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) GMO Trust                                                                           

By (Signature and Title):	/s/ Sheppard N. Burnett
	Sheppard N. Burnett, Chief Executive Officer

Date: January 26, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):	/s/ Sheppard N. Burnett
	Sheppard N. Burnett, Chief Executive Officer

Date: January 26, 2018

By (Signature and Title):	/s/ Carly Cushman
	Carly Cushman, Principal Financial Officer

Date: January 26, 2018

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-Q 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 schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

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 registrant’s most recent fiscal quarter 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: January 26, 2018	/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-Q 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 schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

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 registrant’s most recent fiscal quarter 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: January 26, 2018	/s/ Carly Cushman
	Carly Cushman, Principal Financial Officer