GMO Trust

N-CSR 1 d549756dncsr.htm GMO TRUST GMO Trust

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-04347

GMO Trust

(Exact name of the registrant as specified in charter)


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

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

(Name and address of agent for services)

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

Date of fiscal year end: 02/28/18

Date of reporting period: 02/28/18

Item 1.

Reports to Stockholders.

The annual reports for each series of the registrant for the period ended February 28, 2018 are filed herewith.

GMO Trust

Annual Report

February 28, 2018

Asset Allocation Bond Fund

Core Plus Bond Fund

Emerging Country Debt Fund

Opportunistic Income Fund

U.S. Treasury Fund

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).

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

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

TABLE OF CONTENTS


Asset Allocation Bond Fund
Management Discussion and Analysis of Fund Performance			2
Performance Graph			3
Investment Concentration Summary			4
Schedule of Investments			5
Core Plus Bond Fund
Management Discussion and Analysis of Fund Performance			8
Performance Graph			9
Investment Concentration Summary			10
Schedule of Investments			11
Emerging Country Debt Fund
Management Discussion and Analysis of Fund Performance			14
Performance Graph			15
Investment Concentration Summary			16
Schedule of Investments			17
Opportunistic Income Fund
Management Discussion and Analysis of Fund Performance			28
Performance Graph			29
Investment Concentration Summary			30
Schedule of Investments			31
U.S. Treasury Fund
Management Discussion and Analysis of Fund Performance			42
Performance Graph			43
Investment Concentration Summary			44
Schedule of Investments			45
Portfolio, Counterparty and Currency Abbreviations			46
Fund Financial Statements:
Statements of Assets and Liabilities			47
Statements of Operations			49
Statements of Changes in Net Assets			50
Financial Highlights			53
Notes to Financial Statements			58
Report of Independent Registered Public Accounting Firm			102
Fund Expenses			103
Tax Information			104
Trustees and Officers			105

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Developed Rates & FX team and the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Asset Allocation Bond Fund returned +0.07% (net) for the fiscal year ended February 28, 2018, as compared with +0.98% for the Citigroup 3-Month Treasury Bill Index.

The Fund underperformed the benchmark during the period by 0.92%. Developed markets interest-rate positioning contributed positively during the fiscal year given gains from U.K., New Zealand, Mexican, U.S., Canadian, and Australian duration positions. The Fund’s positions in TIPS and Sweden detracted during the fiscal year.

The Fund’s positions in developed market currencies detracted during the fiscal year due to the Fund’s Swiss franc, euro, sterling, and Australian dollar positions. Gains from Norwegian krone, Japanese yen, New Zealand dollar, and Swedish krona positions partly offset losses.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Asset Allocation Bond Fund Class III Shares and the Citigroup 3-Month Treasury Bill Index

As of February 28, 2018

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2018. All information is unaudited. Performance for classes may vary due to different fees.

For the period from March 18, 2009 to March 27, 2009, no Class III shares were outstanding. Performance for that period is that of Class VI, which has lower expenses. Therefore, the performance shown is higher than it would have been if Class III expenses had been applied throughout.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Debt Obligations		85.6	%
Short-Term Investments		13.6
Swap Contracts		(0.1	)
Forward Currency Contracts		(0.1	)
Other		1.0

		100.0	%

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

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 85.6%

		U.S. Government — 84.4%
	79,620,393	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25 ^(a)		78,150,638
	98,881,174	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 ^(a)		98,310,042
	10,939,942	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/26 ^(a)		10,444,581
	129,014,336	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 ^(a)		124,921,285
	30,565,869	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 ^(a)		29,620,202
	152,960,095	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 ^(a)		167,376,543
	178,039,607	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 ^(a)		210,085,519
	12,446,929	U.S. Treasury Inflation Indexed Bond, 3.88%, due 04/15/29 ^(a)		16,508,404
	20,000,000	U.S. Treasury Note, 1.38%, due 09/30/18 ^(b)		19,932,812
	17,500,000	U.S. Treasury Note, USBM + 0.07%, 1.72%, due 04/30/19		17,519,722
	41,000,000	U.S. Treasury Note, 1.38%, due 09/30/19		40,463,477
	41,000,000	U.S. Treasury Note, 1.50%, due 10/31/19		40,516,328
	17,500,000	U.S. Treasury Note, USBM + 0.05%, 1.70%, due 10/31/19		17,510,970
	41,000,000	U.S. Treasury Note, 1.75%, due 11/30/19		40,657,265
	41,000,000	U.S. Treasury Note, 1.88%, due 12/31/19 ^(b)		40,727,735
	41,000,000	U.S. Treasury Note, 2.00%, due 01/31/20		40,809,414
	41,000,000	U.S. Treasury Note, 2.25%, due 02/29/20		40,991,992

		Total U.S. Government		1,034,546,929


		U.S. Government Agency — 1.2%
	15,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR + 0.24%, 1.27%, due 03/06/19		14,993,741


		TOTAL DEBT OBLIGATIONS (COST $1,060,108,221)		1,049,540,670


		SHORT-TERM INVESTMENTS — 13.6%

		Money Market Funds — 0.6%
	7,508,030	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.32% ^(c)		7,508,030


		Repurchase Agreements — 10.2%
	124,999,517	Nomura Securities International Inc. Repurchase Agreement, dated 2/28/18, maturing on 3/1/18 with a maturity value of $125,006,895 and an effective yield of 2.125%, collateralized by a U.S. Treasury Note with maturity date 5/15/25 and a market value of $127,781,640.		124,999,517


		U.S. Government — 2.8%
	10,000,000	U.S. Treasury Bill, 1.53%, due 04/26/18 ^(d)		9,976,239
	12,500,000	U.S. Treasury Bill, 1.64%, due 05/31/18 ^(d)		12,448,575


Par Value†		Description	Value ($)
		U.S. Government — continued
	12,500,000	U.S. Treasury Bill, 1.78%, due 07/26/18 ^(d)		12,410,550

		Total U.S. Government		34,835,364


		TOTAL SHORT-TERM INVESTMENTS (COST $167,361,507)		167,342,911


		TOTAL INVESTMENTS — 99.2% (Cost $1,227,469,728)		1,216,883,581
		Other Assets and Liabilities (net) — 0.8%		9,259,529


		TOTAL NET ASSETS — 100.0%		$1,226,143,110

A summary of outstanding financial instruments at February 28, 2018 is as follows:

Forward Currency Contracts



Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
05/03/2018	JPM		AUD	34,280,000		USD	27,371,399	$	742,603
03/12/2018	JPM		CHF	35,585,314		USD	36,294,802		(1,416,031	)
03/20/2018	GS		EUR	6,920,000		USD	8,630,883		177,150
03/14/2018	BOA		GBP	7,930,000		USD	10,628,579		(293,846	)
03/14/2018	GS		GBP	1,110,000		USD	1,503,444		(25,421	)
03/07/2018	GS		JPY	703,909,617		USD	6,550,000		(49,114	)
05/03/2018	JPM		NZD	1,810,000		USD	1,320,082		15,276
05/03/2018	BCLY		SEK	10,872,882		USD	1,380,000		61,742
03/05/2018	BCLY		USD	19,799,508		NOK	152,141,400		(532,898	)
03/07/2018	GS		USD	12,876,640		JPY	1,443,243,406		653,689
03/12/2018	JPM		USD	4,450,000		CHF	4,293,517		99,969
05/02/2018	BOA		USD	1,760,000		CAD	2,156,686		(77,297	)
05/02/2018	GS		USD	12,435,998		CAD	15,283,344		(511,533	)
05/03/2018	BCLY		USD	4,470,000		SEK	35,890,941		(118,480	)
05/03/2018	JPM		USD	2,607,118		NZD	3,550,000		(47,968	)
05/03/2018	JPM		USD	6,230,757		SEK	48,792,351		(315,033	)

								$	(1,637,192	)


		See accompanying notes to the financial statements.		5

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2018

Reverse Repurchase Agreements


Average balance outstanding	$	(51,558,312	)
Average interest rate		(0.38	)%
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 year.

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	105,414,000		03/21/2023	Quarterly		—			(55,491	)		(55,491	)
3 Month NZD Bank Bill Rate	2.70%	NZD	48,784,000		03/21/2023	Quarterly		—			(62,989	)		(62,989	)
1.71%	6 Month GBP LIBOR	GBP	27,483,000		12/15/2027	Semi-Annually		—			206,232			206,232
2.53%	3 Month CAD LIBOR	CAD	9,925,000		03/15/2028	Semi-Annually		—			51,938			51,938
3 Month CAD LIBOR	2.74%	CAD	9,396,000		03/15/2028	Semi-Annually		—			85,999			85,999
2.66%	3 Month CAD LIBOR	CAD	5,578,000		03/15/2028	Semi-Annually		—			(20,281	)		(20,281	)
2.69%	3 Month CAD LIBOR	CAD	8,991,000		03/15/2028	Semi-Annually		—			(52,154	)		(52,154	)
6 Month EURIBOR	1.17%	EUR	30,625,000		03/15/2028	Semi-Annually		(9,252	)		240,680			249,932
1.69%	6 Month GBP LIBOR	GBP	84,806,000		03/15/2028	Semi-Annually		27,338			(949,323	)		(976,661	)
3 Month SEK STIBOR	1.41%	SEK	321,681,000		03/15/2028	Quarterly		(4,294	)		308,739			313,033
3 Month SEK STIBOR	1.17%	SEK	102,490,000		03/15/2028	Quarterly		—			(182,578	)		(182,578	)
1.50%	3 Month SEK STIBOR	SEK	56,323,000		03/15/2028	Annually		—			(112,318	)		(112,318	)
3 Month USD LIBOR	2.90%	USD	3,623,000		03/15/2028	Quarterly		—			2,896			2,896
3 Month USD LIBOR	2.71%	USD	5,804,000		03/15/2028	Quarterly		—			(93,504	)		(93,504	)
3 Month USD LIBOR	2.88%	USD	3,624,000		03/15/2028	Quarterly		—			(1,891	)		(1,891	)
3 Month USD LIBOR	2.88%	USD	7,247,000		03/15/2028	Quarterly		—			(4,100	)		(4,100	)
2.89%	3 Month USD LIBOR	USD	4,506,000		03/15/2028	Semi-Annually		—			(427	)		(427	)
3.08%	6 Month AUD BBSW	AUD	92,331,000		03/21/2028	Semi-Annually		(98,826	)		(733,089	)		(634,263	)
3 Month NZD Bank Bill Rate	3.31%	NZD	31,911,000		06/20/2028	Quarterly		—			23,323			23,323
6 Month CHF LIBOR	0.55%	CHF	6,942,000		06/21/2028	Semi-Annually		—			2,047			2,047

							$	(85,034	)	$	(1,346,291	)	$	(1,261,257	)

As of February 28, 2018, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

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

(c)	The rate disclosed is the 7 day net yield as of February 28, 2018.

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 46.


6		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Developed Rates & FX team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Core Plus Bond Fund returned +1.61% (net) for the fiscal year ended February 28, 2018, as compared with +0.51% for the Bloomberg Barclays U.S. Aggregate Index. The Fund outperformed its benchmark during the fiscal year by +1.10%.

The Fund’s investment exposure was achieved directly through bonds, swaps, and futures and indirectly through investment in underlying GMO Trust mutual funds, including GMO Opportunistic Income Fund (OIF), GMO Emerging Country Debt Fund (ECDF), and GMO U.S. Treasury Fund (USTF).

Exposure to asset-backed securities contributed positively to performance given sector selection and asset selection within securitized products.

Developed markets interest-rate positioning also contributed positively during the fiscal year. The Fund’s duration positions in the U.K., New Zealand, U.S., Mexico, Canada, and Switzerland added value, while losses from active duration positions in Sweden and the Eurozone partly offset gains.

Exposure to emerging debt added value, thanks to spread tightening on the asset class and positive contributions from both country selection and security selection.

The currency strategy detracted during the fiscal year. The Fund’s active positions in the Japanese yen, Norwegian krone, New Zealand dollar, and Swedish krona were successful during the year, while positions in the Swiss franc, sterling, Euro, Australian dollar, and Canadian dollar detracted.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Core Plus Bond Fund Class III Shares and the Bloomberg Barclays U.S. Aggregate Index

As of February 28, 2018

LOGO

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary†	% of Total Net Assets
Debt Obligations		92.5	%
Mutual Funds		15.5
Short-Term Investments		8.4
Loan Participations		0.1
Rights/Warrants		0.1
Swap Contracts		0.1
Futures Contracts		0.0	^
Purchased Options		0.0	^
Written Options/Credit Linked Options		0.0	^
Loan Assignments		0.0	^
Forward Currency Contracts		(0.9	)
Securities Sold Short		(1.4	)
Other		(14.4	)

		100.0	%


Country/Region Summary‡	% of Investments
United States		102.3	%
New Zealand		12.8
Sweden		6.8
Euro Region		5.9	§
Other Emerging		5.4	¥
Switzerland		1.2
Japan		0.2
Canada		(1.8	)
Australia		(11.2	)
United Kingdom		(21.6	)

		100.0	%

†

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

‡

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

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

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

^	Rounds to 0.00%.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 53.6%

		United States — 53.6%
		Asset-Backed Securities — 0.7%
	333,087	Bear Stearns Commercial Mortgage Securities Trust, Series 05-PW10, Class AJ, Variable Rate, 5.59%, due 12/11/40		350,165
	6,000,000	Commercial Mortgage Trust, Series 13-WWP, Class A2, 144A, 3.42%, due 03/10/31		6,114,587

		Total Asset-Backed Securities		6,464,752


		U.S. Government — 38.0%
	5,291,000	U.S. Treasury Bond, 6.25%, due 05/15/30		7,100,274
	11,634,000	U.S. Treasury Bond, 3.75%, due 11/15/43		12,934,190
	50,849,000	U.S. Treasury Bond, 3.38%, due 05/15/44 ^(a)		53,170,972
	31,941,000	U.S. Treasury Note, 1.50%, due 02/28/19		31,752,598
	98,515,000	U.S. Treasury Note, 2.00%, due 02/28/21		97,291,258
	51,233,000	U.S. Treasury Note, 1.75%, due 11/30/21		49,784,067
	33,055,000	U.S. Treasury Note, 2.00%, due 02/15/23		32,055,603
	36,868,000	U.S. Treasury Note, 2.50%, due 05/15/24		36,332,262
	27,877,000	U.S. Treasury Note, 2.00%, due 08/15/25 ^(a)		26,333,964
	16,615,000	U.S. Treasury Note, 2.25%, due 02/15/27		15,784,250

		Total U.S. Government		362,539,438


		U.S. Government Agency — 14.9%
	17,573,000	Federal Home Loan Mortgage Corp., TBA, 3.50%, due 03/13/48		17,553,778
	38,873,000	Federal National Mortgage Association, TBA, 2.50%, due 03/15/48		37,917,879
	12,507,000	Federal National Mortgage Association, TBA, 3.00%, due 03/13/48		12,120,554
	39,282,000	Federal National Mortgage Association, TBA, 4.00%, due 03/13/48		40,240,265
	34,719,000	Government National Mortgage Association, TBA, 3.50%, due 03/20/48		34,912,937

		Total U.S. Government Agency		142,745,413


		TOTAL DEBT OBLIGATIONS (COST $522,399,924)		511,749,603


		MUTUAL FUNDS — 43.1%

		United States — 43.1%
		Affiliated Issuers — 27.5%
	1,776,046	GMO Emerging Country Debt Fund, Class IV		50,741,626
	7,337,588	GMO Opportunistic Income Fund, Class VI		193,785,692
	741,411	GMO U.S. Treasury Fund		18,513,042

		Total Affiliated Issuers		263,040,360


Shares / Par Value†		Description	Value ($)
		United States — continued
		Exchange-Traded Funds — 15.6%
	1,267,900	iShares iBoxx $ Investment Grade Corporate Bond ETF		148,433,053


		TOTAL MUTUAL FUNDS (COST $411,992,931)		411,473,413


		SHORT-TERM INVESTMENTS — 18.2%

		Foreign Government Obligations — 17.5%
JPY	3,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 03/19/18		30,930,738
JPY	5,600,000,000	Japan Treasury Discount Bill, Zero Coupon, due 03/26/18		52,489,522
JPY	2,800,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/09/18		26,246,100
JPY	2,850,000,000	Japan Treasury Discount Bill, Zero Coupon, due 05/07/18		26,718,707
JPY	3,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 05/21/18		30,940,264

		Total Foreign Government Obligation		167,325,331


		Money Market Funds — 0.7%
	7,066,648	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.32% ^(b)		7,066,648


		TOTAL SHORT-TERM INVESTMENTS (COST $167,418,461)		174,391,979


		TOTAL INVESTMENTS — 114.9% (Cost $1,101,811,316)		1,097,614,995
		Other Assets and Liabilities (net) — (14.9%)		(142,337,556	)


		TOTAL NET ASSETS — 100.0%		$955,277,439

A summary of outstanding financial instruments at February 28, 2018 is as follows:

Forward Currency Contracts



Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
05/03/2018	JPM		AUD	48,830,000		USD	39,004,910		1,073,636
03/12/2018	JPM		CHF	53,515,299		USD	54,544,451		(2,167,328	)
03/20/2018	GS		EUR	9,920,000		USD	12,372,595		253,949
03/14/2018	BOA		GBP	12,030,000		USD	16,123,809		(445,771	)
03/14/2018	GS		GBP	1,120,000		USD	1,516,988		(25,650	)
03/07/2018	GS		JPY	1,057,484,472		USD	9,840,000		(73,860	)
03/07/2018	JPM		JPY	95,355,567		USD	850,000		(43,953	)
03/19/2018	GS		JPY	600,000,000		USD	5,353,902		(276,170	)
03/19/2018	MSCI		JPY	2,700,000,000		USD	23,924,929		(1,410,395	)
03/26/2018	DB		JPY	5,600,000,000		USD	50,112,978		(2,463,930	)
04/09/2018	GS		JPY	2,800,000,000		USD	24,837,580		(1,477,677	)


		See accompanying notes to the financial statements.		11

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2018

Forward Currency Contracts — continued



Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
05/07/2018	MSCI		JPY	2,850,000,000		USD	26,223,214		(610,806	)
05/21/2018	MSCI		JPY	3,300,000,000		USD	30,911,493		(187,509	)
05/03/2018	JPM		NZD	2,680,000		USD	1,954,596		22,618
05/03/2018	BCLY		SEK	16,388,112		USD	2,080,000		93,058
03/05/2018	BCLY		USD	28,556,302		NOK	219,429,478		(768,585	)
03/07/2018	GS		USD	19,610,767		JPY	2,198,019,828		995,550
03/12/2018	JPM		USD	9,010,000		CHF	8,707,359		217,451
05/02/2018	BOA		USD	2,480,000		CAD	3,038,967		(108,918	)
05/02/2018	GS		USD	18,007,252		CAD	22,130,193		(740,697	)
05/03/2018	BCLY		USD	6,260,000		SEK	50,263,901		(165,861	)
05/03/2018	JPM		USD	3,796,845		NZD	5,170,000		(69,858	)
05/03/2018	JPM		USD	9,014,788		SEK	70,593,774		(455,796	)

								$	(8,836,502	)

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
127	U.S. Long Bond (CBT)	June 2018		18,216,562		166,355
39	U.S. Ultra Bond (CBT)	June 2018		6,079,125		75,766
131	U.S. Treasury Note 10 Yr. (CBT)	June 2018		15,726,141		25,387
52	U.S. Treasury Note 5 Yr. (CBT)	June 2018		5,924,344		391
222	U.S. Treasury Note 2 Yr. (CBT)	June 2018		47,168,062		(10,593	)
122	U.S. Treasury Ultra 10 Yr. (CBT)	June 2018		15,623,625		13,385

			$	108,737,859	$	270,691

+	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	161,858,000		03/21/2023	Quarterly		—			(85,203	)		(85,203	)
3 Month NZD Bank Bill Rate	2.70%	NZD	74,903,000		03/21/2023	Quarterly		—			(96,713	)		(96,713	)
2.76%	3 Month NZD Bank Bill Rate	NZD	17,132,000		03/21/2023	Semi-Annually		—			(12,511	)		(12,511	)
1.71%	6 Month GBP LIBOR	GBP	9,772,000		12/15/2027	Semi-Annually		—			73,329			73,329
2.53%	3 Month CAD LIBOR	CAD	14,306,000		03/15/2028	Semi-Annually		—			74,864			74,864
3 Month CAD LIBOR	2.74%	CAD	13,762,000		03/15/2028	Semi-Annually		—			125,960			125,960
2.66%	3 Month CAD LIBOR	CAD	8,114,000		03/15/2028	Semi-Annually		—			(29,502	)		(29,502	)
2.69%	3 Month CAD LIBOR	CAD	12,782,000		03/15/2028	Semi-Annually		—			(74,145	)		(74,145	)
6 Month EURIBOR	1.17%	EUR	44,314,000		03/15/2028	Semi-Annually		(13,388	)		348,260			361,648
1.69%	6 Month GBP LIBOR	GBP	139,505,000		03/15/2028	Semi-Annually		44,971			(1,561,627	)		(1,606,598	)
3 Month SEK STIBOR	1.41%	SEK	456,926,000		03/15/2028	Quarterly		(6,099	)		438,543			444,642
3 Month SEK STIBOR	1.17%	SEK	158,085,000		03/15/2028	Quarterly		—			(281,616	)		(281,616	)
1.50%	3 Month SEK STIBOR	SEK	92,930,000		03/15/2028	Annually		—			(185,319	)		(185,319	)
3 Month USD LIBOR	2.90%	USD	5,144,000		03/15/2028	Quarterly		—			4,112			4,112
3 Month USD LIBOR	2.71%	USD	8,421,000		03/15/2028	Quarterly		—			(135,665	)		(135,665	)
3 Month USD LIBOR	2.88%	USD	5,145,000		03/15/2028	Quarterly		—			(2,684	)		(2,684	)
3 Month USD LIBOR	2.88%	USD	10,290,000		03/15/2028	Quarterly		—			(5,822	)		(5,822	)
2.89%	3 Month USD LIBOR	USD	6,704,000		03/15/2028	Semi-Annually		—			(635	)		(635	)
3.08%	6 Month AUD BBSW	AUD	130,906,000		03/21/2028	Semi-Annually		(140,115	)		(1,039,367	)		(899,252	)
3 Month NZD Bank Bill Rate	3.31%	NZD	43,987,000		06/20/2028	Quarterly		—			32,149			32,149
6 Month CHF LIBOR	0.55%	CHF	9,839,000		06/21/2028	Semi-Annually		—			2,902			2,902

							$	(114,631	)	$	(2,410,690	)	$	(2,296,059	)


12		See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2018

Notes to Schedule of Investments:

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

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

(b)	The rate disclosed is the 7 day net yield as of February 28, 2018.


		See accompanying notes to the financial statements.		13

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Emerging Country Debt team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Emerging Country Debt Fund returned +5.81% (net) for the fiscal year ended February 28, 2018, as compared with +3.31% for the J.P. Morgan EMBI Global (EMBIG). The Fund outperformed its benchmark during the fiscal year by +2.50%.

EMBIG spreads over U.S. Treasuries narrowed 23 basis points to 311 basis points, while the yield on the 10-year U.S. Treasury bond rose by 51 basis points to 2.87%.

The EMBIG index’s biggest gainers of the fiscal year were led by recoveries in two distressed sovereign credits — Belize and Mozambique — in which progress was made in debt restructuring. The Belize sub index was up 50.1% and Mozambique was up +31.4%. Lower quality credits in general performed very well, led by Ghana (+19.6%), El Salvador (+18.9%), Ukraine (+16.9%), and Angola (+16.6%). The single worst performing country was Venezuela (-39.5%) due to the worsening in socioeconomic conditions and the onset of sanctions in the regime. Bolivia (-3.7%), a moderate quality credit with very low yields, was the second worst performer on a total return basis.

Country selection was additive to the Fund’s relative performance. The largest sources of positive alpha from country positions came from overweights in Belize and Argentina, followed by overweights in Angola, Brazil, and Ukraine. The Fund has large negative country selection alpha from the overweight in Venezuela.

Security selection added to relative performance during the year. The Fund’s choice of holdings in Argentina, Mexico, Philippines, Tunisia, and Colombia were leading contributors. These were partially offset by negative contributions from the Fund’s choice of holdings in Venezuela and Turkey.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Emerging Country Debt Fund Class III Shares and the J.P. Morgan EMBI Global As of February 28, 2018

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of 0.75% on the purchase and 0.75% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited. Performance for classes may vary due to different fees.

For J.P. Morgan disclaimers please visit http://www.gmo.com/America/_Disclaimers/_BenchmarkDisclaimers.htm.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary†	% of Total Net Assets
Debt Obligations		77.5	%
Short-Term Investments		18.9
Loan Participations		1.4
Rights/Warrants		1.3
Loan Assignments		0.0	^
Purchased Options		0.0	^
Futures Contracts		0.0	^
Forward Currency Contracts		(0.0	)^
Written Options/Credit Linked Options		(0.0	)^
Securities Sold Short		(0.0	)^
Swap Contracts		(0.4	)
Other		1.3

		100.0	%


Country/Region Summary‡	% of Investments
Other Emerging		13.5	%•
Mexico		12.4
Turkey		7.4
Argentina		6.4
Russia		6.2
Indonesia		5.5
Brazil		5.4
Venezuela		3.7
South Africa		2.8
Ukraine		2.8
Pakistan		2.6
Tunisia		2.6
China		2.4
Philippines		2.0
Colombia		2.0
Ecuador		1.9
Dominican Republic		1.8
Peru		1.8
Israel		1.8
Uruguay		1.8
Costa Rica		1.7
Egypt		1.6
Chile		1.5
Kazakhstan		1.3
Sri Lanka		1.3
Congo		1.2
Bahrain		1.1
Hungary		1.1
Croatia		1.0
Serbia		1.0
Other Developed		0.4	¤

		100.0	%

†

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

‡

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

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

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

^	Rounds to 0.0%.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 79.6%

		Albania — 0.9%
		Foreign Government Obligations
	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 ^{(a) (b)}		36,340,532


		Argentina — 5.1%
		Foreign Government Obligations
JPY	407,485,276	Republic of Argentina, 4.33%, due 12/31/33 ^(c)		2,978,945
EUR	8,008,646	Republic of Argentina Discount Bond, 7.82%, due 12/31/33		10,894,162
	40,308,593	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		43,281,351
	10,786,557	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		11,784,313
EUR	57,150,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38		47,760,263
EUR	112,130,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38		92,339,070

		Total Argentina		209,038,104


		Armenia — 0.3%
		Foreign Government Obligations
	10,695,000	Republic of Armenia, Reg S, 7.15%, due 03/26/25		11,804,606


		Azerbaijan — 0.7%
		Foreign Government Agency — 0.5%
	12,650,000	Southern Gas Corridor CJSC, 144A, 6.88%, due 03/24/26		14,009,875
	7,987,000	State Oil Company of the Azerbaijan Republic, Reg S, 6.95%, due 03/18/30		8,785,700

				22,795,575


		Foreign Government Obligations — 0.2%
	7,100,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		7,117,750

		Total Azerbaijan		29,913,325


		Bahrain — 0.8%
		Foreign Government Obligations
	35,150,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		33,172,812


		Belarus — 0.1%
		Foreign Government Obligations
	3,700,000	Republic of Belarus International Bond, 144A, 6.20%, due 02/28/30		3,718,500


		Belize — 0.5%
		Foreign Government Obligations
	33,578,000	Republic of Belize, Reg S, Step Up, 4.94%, due 02/20/34		20,019,036


Par Value†		Description	Value ($)
		Brazil — 2.7%
		Foreign Government Agency — 2.0%
GBP	12,895,000	Petrobras Global Finance BV, 6.63%, due 01/16/34		18,950,835
	65,739,000	Petrobras Global Finance BV, 6.85%, due 06/05/2115		62,172,659

				81,123,494


		Foreign Government Obligations — 0.7%
	16,897,000	Republic of Brazil, 7.13%, due 01/20/37		19,735,696
	5,000,000	Republic of Brazil, 5.00%, due 01/27/45		4,475,000
	6,340,000	Republic of Brazil, 5.63%, due 02/21/47		6,118,100

				30,328,796

		Total Brazil		111,452,290


		Cameroon — 0.1%
		Foreign Government Obligations
	4,500,000	Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25		5,169,375


		Chile — 1.3%
		Corporate Debt — 0.6%
	20,411,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97 ^(c)		26,126,080


		Foreign Government Agency — 0.7%
	7,300,000	Corp Nacional del Cobre de Chile, 144A, 4.50%, due 08/01/47		7,272,625
	17,718,000	Corp Nacional del Cobre de Chile, Reg S, 4.50%, due 09/16/25		18,382,425
	3,600,000	Empresa Nacional del Petroleo, Reg. S, 4.50%, due 09/14/47		3,348,000

				29,003,050

		Total Chile		55,129,130


		Colombia — 1.8%
		Foreign Government Agency — 1.2%
	43,011,000	Ecopetrol SA, 7.38%, due 09/18/43		51,062,659


		Foreign Government Obligations — 0.6%
	647,000	Colombia Government International Bond, 8.38%, due 02/15/27		808,184
	15,200,000	Colombia Government International Bond, 5.63%, due 02/26/44		16,385,600
	3,800,000	Republic of Colombia, 11.85%, due 03/09/28 ^(b)		5,442,203

				22,635,987

		Total Colombia		73,698,646


		Congo Republic (Brazzaville) — 1.6%
		Foreign Government Obligations
	82,295,945	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 ^(c)		67,799,514


		See accompanying notes to the financial statements.		17

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		Costa Rica — 1.3%
		Foreign Government Agency — 0.1%
	5,500,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		4,895,000


		Foreign Government Obligations — 1.2%
	44,931,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		47,009,059

		Total Costa Rica		51,904,059


		Dominican Republic — 1.9%
		Asset-Backed Securities — 0.6%
	21,848,036	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24		23,355,054


		Foreign Government Agency — 0.1%
	3,116,000	Banco de Reservas de la Republica Dominicana, Reg S, 7.00%, due 02/01/23		3,268,139


		Foreign Government Obligations — 1.2%
	15,687,000	Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27		18,491,051
	29,811,000	Dominican Republic International Bond, Reg S, 6.85%, due 01/27/45		32,270,408

				50,761,459

		Total Dominican Republic		77,384,652


		Ecuador — 1.6%
		Foreign Government Obligations
	14,900,000	Ecuador Government International Bond, 144A, 9.63%, due 06/02/27		16,390,000
	31,400,000	Ecuador Government International Bond, 144A, 8.88%, due 10/23/27		33,048,500
	18,200,000	Ecuador Government International Bond, 144A, 7.88%, due 01/23/28		17,927,000

		Total Ecuador		67,365,500


		Egypt — 1.0%
		Foreign Government Obligations
	1,400,000	Egypt Government International Bond, Reg S, 8.50%, due 01/31/47		1,564,500
	39,000,000	Egypt Government International Bond, 144A, 7.90%, due 02/21/48		40,950,000

		Total Egypt		42,514,500


		El Salvador — 0.6%
		Foreign Government Obligations
	24,275,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		25,670,813


		Ethiopia — 0.1%
		Foreign Government Obligations
	4,190,000	Federal Democratic Republic of Ethiopia, Reg S, 6.63%, due 12/11/24		4,190,000


Par Value†		Description	Value ($)
		Gabon — 0.6%
		Foreign Government Obligations
	22,442,000	Gabonese Republic, Reg S, 6.38%, due 12/12/24		22,021,212
	4,744,000	Gabonese Republic, Reg S, 6.95%, due 06/16/25		4,749,930

		Total Gabon		26,771,142


		Ghana — 1.0%
		Foreign Government Agency — 0.4%
	15,264,297	Saderea, Ltd., Reg S, 12.50%, due 11/30/26		17,096,013


		Foreign Government Obligations — 0.6%
	17,482,000	Republic of Ghana, Reg S, 10.75%, due 10/14/30		23,513,290

		Total Ghana		40,609,303


		Greece — 0.1%
		Foreign Government Obligations
EUR	5,800,000	Hellenic Republic Government Bond, Reg S, Step Up, 3.00%, due 02/24/36		6,111,974


		Grenada — 0.2%
		Foreign Government Obligations
	7,149,357	Grenada Government International Bond, Reg S, Step Up, 7.00%, due 05/12/30		6,648,902


		Guatemala — 0.5%
		Foreign Government Obligations
	16,195,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		20,543,358


		Honduras — 0.3%
		Foreign Government Obligations
	5,516,000	Honduras Government International Bond, Reg S, 7.50%, due 03/15/24		6,012,440
	6,646,000	Honduras Government International Bond, Reg S, 6.25%, due 01/19/27		6,903,533

		Total Honduras		12,915,973


		Hungary — 0.4%
		Foreign Government Obligations
	12,084,000	Hungary Government International Bond, 7.63%, due 03/29/41		17,476,485


		Indonesia — 3.3%
		Foreign Government Agency — 0.4%
	14,400,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		16,439,040


		Foreign Government Obligations — 2.9%
	30,000,000	Indonesia Government International Bond, 4.35%, due 01/11/48		28,446,000


18		See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		Indonesia — continued
		Foreign Government Obligations — continued
	43,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		52,114,255
	35,780,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/17/42		37,579,734

				118,139,989

		Total Indonesia		134,579,029


		Iraq — 0.4%
		Foreign Government Obligations
	15,000,000	Republic of Iraq, Reg S, 5.80%, due 01/15/28		14,456,250


		Israel — 1.3%
		Foreign Government Agency
JPY	2,500,000,000	Israel Electric Corp., Ltd., 4.10%, due 01/14/32 ^(c)		26,617,929
	7,243,000	Israel Electric Corp., Ltd., Reg S, 7.88%, due 12/15/26		8,973,027
	12,798,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		16,381,440

		Total Israel		51,972,396


		Ivory Coast — 0.4%
		Foreign Government Obligations
	15,401,610	Ivory Coast Government International Bond, Reg S, Step Up, 5.75%, due 12/31/32		14,901,058


		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)		4,908,000


		Foreign Government Obligations — 0.5%
	16,875,000	Jamaica Government International Bond, 7.88%, due 07/28/45		20,418,750

		Total Jamaica		25,326,750


		Jordan — 0.4%
		Foreign Government Obligations
	8,500,000	Jordan Government International Bond, 144A, 7.38%, due 10/10/47		8,956,875
	6,887,000	Jordan Government International Bond, Reg S, 5.75%, due 01/31/27		6,843,956

		Total Jordan		15,800,831


		Kazakhstan — 0.8%
		Foreign Government Obligations
	28,499,000	Kazakhstan Government International Bond, Reg S, 6.50%, due 07/21/45		34,982,522


Par Value†		Description	Value ($)
		Kenya — 0.4%
		Foreign Government Obligations
	7,300,000	Kenya Government International Bond, 144A, 8.25%, due 02/28/48		7,491,625
	7,800,000	Kenya Government International Bond, Reg S, 6.88%, due 06/24/24		8,053,500

		Total Kenya		15,545,125


		Macedonia — 0.5%
		Foreign Government Obligations
EUR	9,039,000	Macedonia Government International Bond, Reg S, 5.63%, due 07/26/23		12,868,912
EUR	7,300,000	Macedonia Government International Bond, 144A, 2.75%, due 01/18/25		8,883,737

		Total Macedonia		21,752,649


		Mexico — 8.6%
		Foreign Government Agency — 3.3%
	10,500,000	Petroleos Mexicanos, 6.38%, due 01/23/45		10,185,000
	70,487,000	Petroleos Mexicanos, 6.75%, due 09/21/47		71,459,721
	51,451,000	Petroleos Mexicanos, 144A, 6.35%, due 02/12/48		50,066,968
	5,600,000	Petroleos Mexicanos, Reg S, 6.75%, due 09/21/47		5,677,280

				137,388,969


		Foreign Government Obligations — 5.3%
	144,478,000	United Mexican States, 5.75%, due 10/12/2110		145,417,107
GBP	49,396,000	United Mexican States, 5.63%, due 03/19/2114		72,253,657

				217,670,764

		Total Mexico		355,059,733


		Morocco — 0.6%
		Foreign Government Agency
	20,800,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		23,244,000


		Mozambique — 0.1%
		Foreign Government Obligations
	4,744,000	Mozambique International Bond, Reg S, 10.50%, due 01/18/23 ^(d)		4,097,630


		Nigeria — 0.4%
		Foreign Government Obligations
	10,750,000	Nigeria Government International Bond, 144A, 7.63%, due 11/28/47		11,032,188
	7,200,000	Nigeria Government International Bond, 144A, 7.70%, due 02/23/38		7,468,092

		Total Nigeria		18,500,280


		See accompanying notes to the financial statements.		19

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		Oman — 0.5%
		Foreign Government Obligations
	21,700,000	Oman Government International Bond, 144A, 6.75%, due 01/17/48		21,564,375


		Pakistan — 1.3%
		Foreign Government Obligations
	14,100,000	Islamic Republic of Pakistan, 144A, 6.88%, due 12/05/27		13,898,370
	41,062,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		41,164,655

		Total Pakistan		55,063,025


		Panama — 0.4%
		Foreign Government Obligations
	7,851,000	Panama Government International Bond, 8.13%, due 04/28/34		10,716,615
	6,252,000	Panama Government International Bond, 4.30%, due 04/29/53		6,142,590

		Total Panama		16,859,205


		Paraguay — 0.2%
		Foreign Government Obligations
	8,000,000	Republic of Paraguay, Reg S, 6.10%, due 08/11/44		8,790,000


		Peru — 1.7%
		Foreign Government Agency — 0.9%
	14,304,000	Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25 ^(c)		12,116,346
	25,895,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		26,202,374

				38,318,720


		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		26,754,000

				31,704,000

		Total Peru		70,022,720


		Philippines — 2.6%
		Foreign Government Agency
	9,000,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 ^(c)		16,504,956
	23,300,000	Central Bank of Philippines, Series A, 8.60%, due 06/15/27		31,346,422
	42,012,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		61,285,005

		Total Philippines		109,136,383


Par Value†		Description	Value ($)
		Romania — 0.2%
		Foreign Government Obligations
EUR	5,180,000	Romanian Government International Bond, Reg S, 3.88%, due 10/29/35		6,825,169


		Russia — 4.1%
		Foreign Government Agency — 1.9%
	13,575,000	Gazprom Neft OAO Via GPN Capital SA, Reg S, 4.38%, due 09/19/22		13,642,875
	37,067,000	Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34		49,577,112
	15,700,000	Sberbank of Russia Via SB Capital SA, Reg S, 5.13%, due 10/29/22		16,092,500

				79,312,487


		Foreign Government Obligations — 2.2%
	26,200,000	Russian Foreign Bond, 144A, 5.25%, due 06/23/47		27,280,750
	62,200,000	Russian Foreign Bond, Reg S, 5.25%, due 06/23/47		64,765,750

				92,046,500

		Total Russia		171,358,987


		Rwanda — 0.1%
		Foreign Government Obligations
	5,487,000	Rwanda International Government Bond, Reg S, 6.63%, due 05/02/23		5,672,186


		Serbia — 0.1%
		Foreign Government Obligations
	2,378,953	Republic of Serbia, Reg S, Step Up, 6.75%, due 11/01/24		2,395,380


		South Africa — 2.1%
		Foreign Government Agency — 0.7%
ZAR	163,000,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		2,204,430
	21,975,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		23,157,255
ZAR	27,300,000	Transnet, Ltd., 13.50%, due 04/18/28		2,753,715

				28,115,400


		Foreign Government Obligations — 1.4%
	58,000,000	Republic of South Africa Government International Bond, 5.65%, due 09/27/47		57,057,500

		Total South Africa		85,172,900


		Sri Lanka — 1.1%
		Foreign Government Obligations
	5,700,000	Sri Lanka Government International Bond, Reg S, 6.13%, due 06/03/25		5,745,030
	17,000,000	Sri Lanka Government International Bond, Reg S, 6.85%, due 11/03/25		17,788,800


20		See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		Sri Lanka — continued
		Foreign Government Obligations — continued
	14,280,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26		14,834,064
	7,144,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27		7,103,994

		Total Sri Lanka		45,471,888


		Suriname — 0.4%
		Foreign Government Obligations
	16,178,000	Republic of Suriname, 144A, 9.25%, due 10/26/26		16,703,785


		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		7,182,260
	7,292,000	Trinidad Generation UnLtd, 144A, 5.25%, due 11/04/27		7,292,000

		Total Trinidad And Tobago		14,474,260


		Tunisia — 1.8%
		Foreign Government Agency
JPY	7,340,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 ^(c)		55,723,324
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 ^(c)		18,510,708

		Total Tunisia		74,234,032


		Turkey — 4.7%
		Foreign Government Agency — 0.2%
	9,100,000	Turkiye Vakiflar Bankasi TAO, 144A, 5.75%, due 01/30/23		8,940,750


		Foreign Government Obligations — 4.5%
	30,744,000	Republic of Turkey, 6.75%, due 05/30/40		31,935,330
	83,302,000	Republic of Turkey, 6.00%, due 01/14/41		79,032,772
	84,513,000	Republic of Turkey, 5.75%, due 05/11/47		76,272,983

				187,241,085

		Total Turkey		196,181,835


		Ukraine — 2.3%
		Foreign Government Agency — 0.3%
	8,189,000	Oschadbank Via SSB #1 Plc, Reg S, Step Up, 9.63%, due 03/20/25		8,822,419
	3,700,000	Ukreximbank Via Biz Finance Plc, Reg S, 9.75%, due 01/22/25		3,986,750

				12,809,169


		Foreign Government Obligations — 2.0%
	33,100,000	Ukraine Government International Bond, 144A, 7.38%, due 09/25/32		32,189,750


Par Value†		Description	Value ($)
		Ukraine — continued
		Foreign Government Obligations — continued
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/21		6,365,093
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/22		6,342,521
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/23		6,897,787
	8,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24		8,896,206
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25		6,782,550
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26		6,184,523
	6,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27		7,049,311

				80,707,741

		Total Ukraine		93,516,910


		United States — 5.9%
		Asset-Backed Securities — 0.5%
	4,527,545	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + .24%, 1.83%, due 12/15/35 ◆		3,941,245
	2,473,522	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + .24%, 1.83%, due 12/15/35 ◆		2,192,087
	3,049,217	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + .20%, 1.79%, due 05/15/36 ◆		2,863,749
	10,470,404	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 1.77%, due 11/25/36 ◆		5,405,836
	10,610,009	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + .22%, 1.84%, due 11/25/36 ◆		5,515,108
	5,740,605	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + .36%, 1.98%, due 04/25/37 ◆		3,198,761

				23,116,786


		Corporate Debt — 0.1%
	385,403	AMBAC Assurance Corp., 144A, 5.10%, due 06/07/20		688,253
	1,852,790	AMBAC LSNI LLC, 144A, Variable Rate, 3 mo. LIBOR + 5.00%, 6.81%, due 02/12/23		1,866,686

				2,554,939


		See accompanying notes to the financial statements.		21

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		United States — continued
		U.S. Government — 5.3%
	76,245,400	U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22 ^(e)		75,310,914
	45,000,000	U.S. Treasury Note, 3 mo. USD LIBOR + .05%, 1.25%, due 11/30/18 ^(f)		44,745,118
	100,000,000	U.S. Treasury Note, 1.65%, due 01/31/20		99,959,060

				220,015,092

		Total United States		245,686,817


		Uruguay — 1.3%
		Foreign Government Obligations
	52,218,000	Uruguay Government International Bond, 5.10%, due 06/18/50		54,176,175


		Venezuela — 4.3%
		Foreign Government Agency — 2.3%
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18		36,226,125
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 ^(d)		44,897,600
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 ^(d)		15,491,750

				96,615,475


		Foreign Government Obligations — 2.0%
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34 ^(d)		2,012,500
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 ^(d)		4,899,710
	55,350,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 ^(d)		14,114,250
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 ^(d)		46,222,127
	51,500,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 ^(d)		14,677,500

				81,926,087

		Total Venezuela		178,541,562


		Vietnam — 0.6%
		Foreign Government Agency — 0.4%
	25,105,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		17,645,677


		Foreign Government Obligations — 0.2%
	6,428,000	Socialist Republic of Vietnam, Series 30 Yr., 6 Mo. LIBOR + .81%, 2.31%, due 03/13/28 ^(c)		5,688,780

		Total Vietnam		23,334,457


Par Value†		Description	Value ($)
		Zambia — 0.2%
		Foreign Government Obligations
	7,700,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27		8,210,125


		TOTAL DEBT OBLIGATIONS (COST $3,231,740,648)		3,290,972,960


		LOAN ASSIGNMENTS — 0.0%

		Indonesia — 0.0%
	544,093	Republic of Indonesia Loan Agreement, dated September 14, 1994, 6 mo. LIBOR + .75%, 2.18%, due 12/16/19 ^(c)		504,728
EUR	616,709	Republic of Indonesia, Indonesia Paris Club Debt, 4.00%, due 06/01/21 ^(c)		605,670


		TOTAL LOAN ASSIGNMENTS (COST $1,256,983)		1,110,398


		LOAN PARTICIPATIONS — 1.4%

		Angola — 0.8%
	20,850,000	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 7.69%, due 12/20/23 ^(c)		19,599,000
	14,961,750	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 7.69%, due 12/20/23 ^(c)		14,064,045

		Total Angola		33,663,045


		Egypt — 0.0%
CHF	77,747	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 ^(b)		70,893


		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)		2,902,575
	399,501	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR + .88%, 2.29%, due 10/14/19 ^(c)		370,598

		Total Indonesia		3,273,173


		Iraq — 0.5%
EUR	1,119,029	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 ^(b)		1,043,140
JPY	160,949,144	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 ^(c)		1,006,718


22		See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value† / Shares		Description	Value ($)
		Iraq — continued
JPY	2,898,045,722	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 ^(c)		18,244,781
JPY	378,662,743	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 ^(c)		2,368,454

		Total Iraq		22,663,093


		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.) ^{(c) (d)}		3


		TOTAL LOAN PARTICIPATIONS (COST $77,642,913)		59,670,207


		MUTUAL FUNDS — 2.3%

		United States — 2.3%
		Affiliated Issuers — 2.3%
	568,012	GMO Opportunistic Income Fund, Class VI		15,001,189
	3,251,005	GMO U.S. Treasury Fund		81,177,603


		TOTAL MUTUAL FUNDS (COST $93,156,925)		96,178,792


		RIGHTS/WARRANTS — 1.3%

		Argentina — 0.9%
EUR	335,089,675	Republic of Argentina GDP Linked, Expires 12/15/35 ^(e)		35,566,424
JPY	740,189,000	Republic of Argentina GDP Linked, Expires 12/15/35 ^(c)^(e)		554,994

		Total Argentina		36,121,418


		Nigeria — 0.1%
	28,000	Central Bank of Nigeria Oil Warrants, Expires 11/15/20 ^(c)		1,869,000


		Ukraine — 0.2%
	14,446,000	Government of Ukraine GDP Linked, Expires 05/31/40 ^(e)		9,841,337


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


		Venezuela — 0.1%
	1,080,062	Republic of Venezuela Oil Warrants Expires 04/15/20 ^(c)		4,050,233


		TOTAL RIGHTS/WARRANTS (COST $55,515,265)		51,881,988


Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 14.5%

		Money Market Funds — 1.6%
	66,548,408	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.32% ^(g)		66,548,408


		U.S. Government — 12.9%
	8,000,000	U.S. Treasury Bill, 0.00%, due 03/01/18 ^{(h) (i)}		8,000,000
	154,000,000	U.S. Treasury Bill, 2.00%, due 08/30/18 ^(h)		152,584,975
	77,000,000	U.S. Treasury Note, 1.13%, due 06/15/18		76,861,881
	27,000,000	U.S. Treasury Note, 1.38%, due 07/31/18		26,947,266
	22,000,000	U.S. Treasury Note, 1.50%, due 08/31/18		21,953,594
	47,000,000	U.S. Treasury Note, 1.00%, due 09/15/18		46,768,672
	200,000,000	U.S. Treasury Note, 1.50%, due 12/31/18		199,078,124

		Total U.S. Government		532,194,512


		TOTAL SHORT-TERM INVESTMENTS (COST $599,156,985)		598,742,920


		TOTAL INVESTMENTS — 99.1% (Cost $4,058,469,719)		4,098,557,265
		Other Assets and Liabilities (net) — 0.9%		37,607,967


		TOTAL NET ASSETS — 100.0%		$4,136,165,232

A summary of outstanding financial instruments at February 28, 2018 is as follows:

Forward Currency Contracts

Settlement
Date

Counter-
party

Currency
Sold

Currency
Purchased

Net

Unrealized
Appreciation
(Depreciation) ($)

03/20/2018

MSCI

GBP

12,000,000

USD

16,906,860

373,333

03/20/2018

JPM

EUR

52,827,600

USD

66,057,955

1,521,767

03/16/2018

MSCI

USD

14,009,782

JPY

1,500,000,000

62,006

1,957,106


		See accompanying notes to the financial statements.		23

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2018

Reverse Repurchase Agreements


Average balance outstanding	$	(23,032,519	)
Average interest rate		(0.47	)%
Maximum balance outstanding	$	(68,995,359	)

Credit Linked Options



Principal/ Notional Amount			Expiration Date	Description	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)		(1,420,222	)		38,852
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	)		(209,779	)
Put Sold	USD	45,000,000	01/20/2024	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) ^(b)		(416,875	)		133,524
Put Sold	USD	9,746,000	01/24/2024	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) ^(b)		(1,597	)		28,918
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	)		(788,747	)
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)		(2,377,222	)		(391,081	)
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)		(631,170	)		276,080

					$	(6,155,891	)	$	(912,233	)

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-EMS28V2-5Y

USD

282,000,000

1.00%

1.20%

N/A

12/20/2022

Quarterly

1,641,240

2,641,849

1,000,609


24		See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2018

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		(14,748	)		(1,287	)		13,461
State of Florida	JPM	USD	17,055,000		0.42%		0.08%		N/A		03/20/2018		Quarterly		(34,415	)		(3,004	)		31,411
State of Ohio	JPM	USD	12,182,000		0.49%		0.08%		N/A		03/20/2018		Quarterly		(29,597	)		(2,568	)		27,029
CDX-2I65BZCG5	BCLY	USD	20,222,950		5.00%		1.22%		N/A		06/20/2019		Quarterly		(504,450	)		(1,213,377	)		(708,927	)
Republic of Brazil	JPM	USD	50,000,000		1.00%		0.64%		N/A		06/20/2019		Quarterly		1,008,872			(234,098	)		(1,242,970	)
Republic Of Croatia	JPM	USD	44,000,000		1.00%		0.23%		N/A		06/20/2019		Quarterly		3,659,820			(439,456	)		(4,099,276	)
Commonwealth of Bahamas	DB	EUR	51,746,000		1.00%		1.60%		N/A		12/20/2020		Quarterly		7,730,397			1,048,538			(6,681,859	)
Commonwealth of Bahamas	DB	EUR	66,982,145		1.00%		3.68%		N/A		06/20/2025		Quarterly		9,635,537			3,155,781			(6,479,756	)
United States of Mexico	GS	USD	20,000,000		1.00%		1.88%		N/A		09/20/2031		Quarterly		2,640,655			1,756,022			(884,633	)

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	)		(12,397	)		1,256,093
Commonwealth of Bahamas	DB	USD	61,270,000		1.00%		1.90%		61,270,000 USD		12/20/2020		Quarterly		(7,515,364	)		(1,460,896	)		6,054,468
Republic of Malaysia	JPM	USD	10,000,000		1.00%		0.61%		10,000,000 USD		12/20/2022		Quarterly		(826,279	)		174,052			1,000,331
Commonwealth of Bahamas	DB	USD	3,487,000		1.00%		2.11%		3,487,000 USD		06/20/2023		Quarterly		(641,463	)		(181,080	)		460,383
Commonwealth of Bahamas	DB	USD	6,975,000		1.00%		2.11%		6,975,000 USD		06/20/2023		Quarterly		(1,263,915	)		(362,211	)		901,704
Republic of Croatia	JPM	USD	40,000,000		1.00%		1.06%		40,000,000 USD		06/20/2023		Quarterly		(6,395,816	)		(117,804	)		6,278,012
Republic of Malaysia	JPM	USD	20,000,000		1.00%		0.79%		20,000,000 USD		03/20/2024		Quarterly		(932,016	)		229,021			1,161,037
Peoples Republic of China	JPM	USD	60,000,000		1.00%		0.76%		60,000,000 USD		06/20/2024		Quarterly		(2,413,417	)		838,079			3,251,496
Peoples Republic of China	JPM	USD	4,873,000		1.00%		0.76%		4,873,000 USD		06/20/2024		Quarterly		3,073			68,066			64,993
Republic of Brazil	JPM	USD	27,250,000		1.00%		1.96%		27,250,000 USD		06/20/2024		Quarterly		(2,095,396	)		(1,448,337	)		647,059
Peoples Republic of China	GS	USD	25,000,000		1.00%		0.82%		25,000,000 USD		03/20/2025		Quarterly		(744,727	)		284,995			1,029,722
Commonwealth of Bahamas	DB	USD	89,694,857		1.00%		4.11%		89,694,857 USD		06/20/2025		Quarterly		(10,800,222	)		(4,149,732	)		6,650,490
Indonesia	GS	USD	36,208,000		1.00%		1.25%		36,208,000 USD		06/20/2025		Quarterly		(3,153,880	)		(587,924	)		2,565,956
Indonesia	GS	USD	10,000,000		1.00%		1.25%		10,000,000 USD		06/20/2025		Quarterly		(961,767	)		(162,374	)		799,393
Peoples Republic of China	GS	USD	22,436,000		1.00%		0.83%		22,436,000 USD		06/20/2025		Quarterly		(590,310	)		241,223			831,533
Republic of Brazil	BOA	USD	4,873,000		1.00%		2.27%		4,873,000 USD		12/20/2025		Quarterly		(726,705	)		(404,121	)		322,584
Russia	GS	USD	2,436,000		1.00%		1.56%		2,436,000 USD		12/20/2025		Quarterly		(238,040	)		(92,607	)		145,433
Russia	GS	USD	8,487,000		1.00%		1.67%		8,487,000 USD		12/20/2026		Quarterly		(1,059,663	)		(418,864	)		640,799
Republic of Brazil	JPM	USD	40,000,000		1.00%		2.57%		40,000,000 USD		03/20/2030		Quarterly		(5,674,358	)		(5,528,279	)		146,079

														$	(23,206,684	)	$	(9,024,639	)	$	14,182,045

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 February 28, 2018, 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.


		See accompanying notes to the financial statements.		25

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2018

OTC Cross-Currency Basis Swaps


Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month EURIBOR plus a spread of (0.35%)	3 Month USD LIBOR	JPM		EUR	122,436,000		09/11/2020		Quarterly		—		(5,052,247	)		(5,052,247	)

										$	—	$	(5,052,247	)	$	(5,052,247	)

OTC Cross-Currency Interest Rate Swaps


Fund Pays	Fund Receives	Counterparty		Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
(0.22)%	3 Month USD LIBOR		GS		JPY	14,852,761,000		04/28/2025		Quarterly		—		(5,643,388	)		(5,643,388	)
1.17%	3 Month USD LIBOR		JPM		GBP	53,411,000		03/10/2026		Quarterly		—		(438,790	)		(438,790	)
1.26%	3 Month USD LIBOR		JPM		EUR	1,462,000		09/04/2035		Annual		—		(57,391	)		(57,391	)

											$	—	$	(6,139,569	)	$	(6,139,569	)

Notes to Schedule of Investments:

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

*	Non-income producing security.

◆	These securities are primarily backed by subprime mortgages.

(a)	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 (Note 2).

(c)	Investment valued using significant unobservable inputs (Note 2).

(d)	Security is in default.

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

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

(g)	The rate disclosed is the 7 day net yield as of February 28, 2018.

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

(i)	Rate rounds to 0.00%.


26		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Structured Products team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the Barclays U.S. Securitized + Index is included for comparative purposes.

Class VI shares of GMO Opportunistic Income Fund returned +5.18% (net) for the fiscal year ended February 28, 2018, as compared with +0.21% for the Barclays U.S. Securitized + Index. The Fund outperformed the benchmark during the fiscal year by +4.97%, with both sector selection and asset selection within securitized products contributing to outperformance.

More specifically, outperformance was driven by sector allocations such as Student Loans, Residential and Commercial Mortgage-Backed Securities, which despite some market volatility and micro-events, were top performers on the year. In asset-backed products, such as Auto ABS and Small Balance Commercial ABS, the fund added additional performance in less volatile shorter duration markets. Securitizations related to corporate debt markets, such as collateralized loan obligations (CLO), outperformed, adding additional alpha throughout the year. At fiscal year-end, approximately 18% of the portfolio was rated AAA (including cash and cash equivalents), 38% of the portfolio was rated single-A or better, and 55% of the portfolio was rated below BBB.

*The Barclays U.S. Securitized + is an internally maintained benchmark computed by GMO, comprised of the J.P. Morgan U.S. 3 Month Cash index through 12/30/2016 and the Bloomberg Barclays U.S. Securitized: MBS, ABS, CMBS Index thereafter.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $300,000,000 Investment in

GMO Opportunistic Income Fund^ Class VI Shares, the Bloomberg Barclays U.S. Securitized +,

and the Bloomberg Barclays U.S. Securitized

As of February 28, 2018

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .40% on the purchase and .40% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

Beginning December 21, 2015 the pricing source for certain fixed income assets of the Fund changed, which may have had a material impact on the Fund’s performance for the period shown.

The Barclays U.S Securitiezed + is an internally maintained benchmark computed by GMO, comprised of the J.P. Morgan U.S. 3 Month Cash Index through December 31, 2016 and the Bloomberg Barclays U.S. Securitized: MBS, ABS, CMBS Index thereafter.

Effective February 12, 2014, GMO Debt Opportunities Fund (the “Acquired Fund”) merged into GMO Short-Duration Collateral Fund (the “Acquiring Fund”) and the surviving entity was renamed GMO Debt Opportunities Fund. For accounting and financial reporting purposes, the Acquired Fund is the surviving entity, meaning that the combined entity adopted the historical financial reporting and performance history of the Acquired Fund. The information shown prior to February 12, 2014 is that of the Acquired Fund and reflects the Acquired Fund’s performance.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Debt Obligations		99.1	%
Mutual Funds		4.8
Short-Term Investments		4.4
Swap Contracts		1.6
Purchased Options		0.0	^
Futures Contracts		0.0	^
Forward Currency Contracts		(0.0	)^
Written Options		(0.0	)^
Securities Sold Short		(6.9	)
Other		(3.0	)

		100.0	%


Industry Sector Summary	% of Debt Obligations
Student Loans		23.8	%
Small Balance Commercial Mortgages		14.9
Collateralized Loan Obligations		14.5
U.S. Government Agency		11.9
Commercial Mortgage-Backed Securities		11.6
Residential Mortgage-Backed Securities – Other		10.7
Auto Retail Subprime		4.3
Residential Mortgage-Backed Securities – Prime		2.3
Residential Mortgage-Backed Securities – Alt-A		2.2
CMBS Collateralized Debt Obligations		1.9
Residential Mortgage-Backed Securities – Subprime		1.0
Time Share		0.8
Auto Retail Prime		0.1

		100.0	%

^	Rounds to 0.0%.

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

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 99.1%

		Asset-Backed Securities — 87.3%
		Auto Retail Prime — 0.1%
	985,600	California Republic Auto Receivables Trust, Series 14-1, Class C, 3.40%, due 12/15/20		987,536


		Auto Retail Subprime — 4.2%
	13,720,000	AmeriCredit Automobile Receivables Trust, Series 14-2, Class E, 144A, 3.37%, due 11/08/21		13,795,763
	1,524,850	CarFinance Capital Auto Trust, Series 14-1A, Class D, 144A, 4.90%, due 04/15/20		1,539,282
	1,073,840	CarFinance Capital Auto Trust, Series 13-2A, Class E, 144A, 7.86%, due 10/15/20		1,074,588
	4,130,000	CFC LLC, Series 14-2A, Class E, 144A, 5.36%, due 11/15/21		4,119,930
	3,294,204	CPS Auto Receivables Trust, Series 14-A, Class C, 144A, 3.29%, due 02/18/20		3,300,638
	3,879,430	CPS Auto Receivables Trust, Series 14-A, Class D, 144A, 5.11%, due 02/18/20		3,927,645
	6,265,989	CPS Auto Receivables Trust, Series 14-B, Class D, 144A, 4.62%, due 05/15/20		6,298,703
	750,584	CPS Auto Receivables Trust, Series 13-B, Class D, 144A, 4.66%, due 09/15/20		754,661
	51,150	CPS Auto Receivables Trust, Series 13-B, Class E, 144A, 6.41%, due 09/15/20		51,807
	1,049,647	CPS Auto Receivables Trust, Series 15-C, Class D, 144A, 4.63%, due 08/16/21		1,068,313
	2,250,000	Exeter Automobile Receivables Trust, Series 14-2A, Class D, 144A, 4.93%, due 12/15/20		2,291,933
	6,000,000	Exeter Automobile Receivables Trust, Series 14-1A, Class D, 144A, 5.53%, due 02/16/21		6,083,568
	5,377,425	Flagship Credit Auto Trust, Series 14-1, Class D, 144A, 4.83%, due 06/15/20		5,449,424
	1,400,000	Flagship Credit Auto Trust, Series 14-1, Class E, 144A, 5.71%, due 08/16/21		1,420,400

		Total Auto Retail Subprime		51,176,655


		CMBS Collateralized Debt Obligations — 1.9%
	8,586,000	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		3,638,567
	5,417,774	Capitalsource Real Estate Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + .39%, 1.74%, due 01/20/37 ^(a)		5,350,051
	11,375,951	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.52%, due 03/21/46		10,136,834
	4,203,404	LNR CDO Ltd., Series 2002-1A Class EFX, 144A, 7.78%, due 07/24/37		1,597,294
	1,764,861	Sorin Real Estate CDO IV Ltd., Series 06-4A, Class C, 144A, 3 mo. LIBOR + .53%, 1.70%, due 10/28/46		1,756,891

		Total CMBS Collateralized Debt Obligations		22,479,637


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Collateralized Loan Obligations — 14.3%
	2,349,875	ACIS CLO Ltd., Series 13-1A, Class A2B, 144A, 3 mo. LIBOR + 1.65%, 3.38%, due 04/18/24		2,357,350
	17,190,000	ACIS CLO Ltd., Series 15-6A, Class A1, 144A, 3 mo. LIBOR + 1.59%, 3.36%, due 05/01/27		17,225,446
	37,276,500	Arrowpoint CLO Ltd., Series 15-4A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.55%, 3.28%, due 04/18/27		37,684,193
	1,714,600	BFNS LLC, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.98, 2.70%, due 01/25/29		1,714,600
	6,006,000	BlueMountain CLO Ltd., Series 14-3A, Class BR, 144A, 3 mo. LIBOR + 2.10%, 3.82%, due 10/15/26		6,039,796
	4,504,500	Carlyle Global Market Strategies CLO Ltd., Series 14-5A, Class BR, 144A, 3 mo. LIBOR + 2.05%, 3.77%, due 10/16/25		4,522,842
	5,603,000	CIFC Funding Ltd., Series 13A-4A, Class C2R, 144A, 3 mo. LIBOR + 2.25%, 4.21%, due 11/27/24		5,625,115
	7,327,000	CIFC Funding Ltd., Series 13A-4A, Class C1R, 144A, 3 mo. LIBOR + 2.25%, 4.21%, due 11/27/24		7,355,920
	8,573,000	CIFC Funding Ltd., Series 15-2A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.78%, 2.50%, due 04/15/27		8,572,923
	5,038,500	CIFC Funding Ltd., Series 15-5A, Class D, 144A, 3 mo. LIBOR + 6.30%, 8.05%, due 10/25/27		5,079,518
	7,289,600	CIFC Funding Ltd., Series 12-2RA, Class A1, 144A, 3 mo. LIBOR + 0.80%, 2.20%, due 01/20/28		7,290,416
	9,875,050	Crown Point CLO II Ltd., Series 13-2A, Class A3LR, 144A, 3 mo. LIBOR + 1.75%, 3.47%, due 12/31/23		9,874,961
	4,968,000	Cumberland Park CLO Ltd., Series 15-2A, Class C, 144A, 3 mo. LIBOR + 2.85%, 4.59%, due 07/20/26		4,993,093
	4,888,750	Dorchester Park CLO Ltd., Series 15-1A, Class E, 144A, 3 mo. LIBOR + 5.25%, 6.99%, due 01/20/27		4,898,787
	2,581,500	GoldenTree Loan Opportunities VII Ltd., Series 13-7A, Class E, 144A, 3 mo. LIBOR + 4.70%, 6.45%, due 04/25/25		2,589,159
	5,166,000	GoldenTree Loan Opportunities VII Ltd., Series 13-7A, Class B, 144A, 3 mo. LIBOR + 1.75%, 3.50%, due 04/25/25		5,174,214
	1,465,400	Madison Park Funding XII Ltd, Series 14-12A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 4.09%, due 07/20/26		1,467,336
	2,000,000	Madison Park Funding XX Ltd., Series 16-20A, Class C, 3 mo. LIBOR + 3.3%, 5.06%, due 04/27/27		2,005,240
	1,292,250	Magnetite XVII Ltd., Series 16-17X, Class E, Reg. S, 3 mo. LIBOR + 8.15%, 9.89%, due 04/20/28		1,304,086


		See accompanying notes to the financial statements.		31

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Collateralized Loan Obligations — continued
	4,307,500	Marathon CLO VIII Ltd., Series 15-8A, Class A1B, 144A, 3 mo. LIBOR + 1.49%, 3.22%, due 07/18/27		4,312,746
	6,871,400	Saratoga Investment CLO Ltd., Series 13-1A, Class CR, 144A, 3 mo. LIBOR + 3.36%, 5.10%, due 10/20/25		6,972,891
	3,456,398	Stratford CLO Ltd., Series 07-1A, Class C, 144A, 3 mo. LIBOR + 2.00%, 3.77%, due 11/01/21		3,459,765
	3,016,300	Tryon Park CLO Ltd., Series 13-1A, Class A2, 144A, 3 mo. LIBOR + 1.55%, 3.27%, due 07/15/25		3,022,559
	6,004,600	Venture VIII CDO Ltd., Series 07-8A, Class D, 144A, 3 mo. LIBOR + 2.35%, 4.09%, due 07/22/21		6,029,261
	3,606,120	Venture VIII CDO Ltd., Series 07-8X, Class D, Reg. S, 3 mo. LIBOR + 2.35%, 4.09%, due 07/22/21		3,620,930
	9,920,752	Zais CLO 1 Ltd., Series 14-1A, Class A1, 3 mo. LIBOR + 1.4%, 3.12%, due 04/15/26		9,931,536

		Total Collateralized Loan Obligations		173,124,683


		Commercial Mortgage-Backed Securities — 11.5%
	4,300,000	Banc of America Commercial Mortgage Trust, Series 06-2, Class D, 144A, Variable Rate, 5.49%, due 05/10/45		4,298,247
	4,958,543	Commercial Mortgage Trust, Series 07-GG9, Class AJ, Variable Rate, 5.51%, due 03/10/39		3,766,986
	1,715,200	Core Industrial Trust, Series 15-TEXW, Class D, 144A, Variable Rate, 3.85%, due 02/10/34		1,721,821
	5,151,600	Core Industrial Trust, Series 15-WEST, Class C, 144A, Variable Rate, 3.49%, due 02/10/37		5,057,697
	23,260,500	Core Industrial Trust, Series 15-WEST, Class E, 144A, Variable Rate, 4.23%, due 02/10/37		22,726,746
	3,398,594	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, 1 mo. LIBOR + .25%, 1.84%, due 04/15/37		3,241,730
	1,560,370	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		1,538,782
	2,756,806	Credit Suisse Mortgage Capital Certificates, Series 06-C4, Class AJ, Variable Rate, 5.43%, due 09/15/39		2,791,893
	11,025,000	GS Mortgage Securities Corp., Series 16-RENT, Class E, 144A, Variable Rate, 4.07%, due 02/10/29		10,889,463
	14,817,768	GS Mortgage Securities Corp., Series 16-GS2, Class D, 144A, 2.75%, due 05/10/49		11,920,924
	4,264,000	GS Mortgage Securities Trust, Series 11-GC3, Class F, 144A, Variable Rate, 5.00%, due 03/10/44		3,583,554


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Commercial Mortgage-Backed Securities — continued
	19,255,616	GS Mortgage Securities Trust, Series 11-GC3, Class D, 144A, Variable Rate, 5.64%, due 03/10/44		19,789,212
	15,187,775	Hyatt Hotel Portfolio Trust, Series 17-HYT2, Class G, 144A, Variable Rate, 1 mo. LIBOR + 4.15%, 5.74%, due 08/09/32		15,329,744
	2,765,941	JP Morgan Chase Commercial Mortgage Securities Corp., Series 05-CB13, Class AJ, Variable Rate, 5.58%, due 01/12/43		2,840,345
	4,307,500	JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-CB9, Class E, Variable Rate, 5.34%, due 06/12/41		4,307,743
	2,432,859	JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-CB9, Class F, 144A, Variable Rate, 5.34%, due 06/12/41		2,278,372
	2,833,136	JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-C3, Class H, 144A, Variable Rate, 5.83%, due 01/15/42		2,808,015
	20,137	LB-UBS Commercial Mortgage Trust, Series 06-C1, Class AJ, Variable Rate, 5.28%, due 02/15/41		20,141
	8,270,894	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 3.41%, due 03/23/45		8,261,774
	3,434,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.55%, due 04/16/35		3,288,648
	8,563,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.55%, due 04/16/35		7,953,363

		Total Commercial Mortgage-Backed Securities		138,415,200


		Residential Mortgage-Backed Securities — Other — 9.3%
	1,443,296	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, 1 mo. LIBOR + .28%, 1.90%, due 02/25/36		810,503
	21,222,553	American Home Mortgage Investment Trust, Series 06-2, Class 4A, 1 mo. LIBOR + .36%, 1.98%, due 02/25/36		4,103,884
	6,037,579	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		5,573,728
	8,850,728	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		3,614,453
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		1,238,859
	847,394	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .32%, 1.94%, due 02/25/37		1,886,933
	5,611,101	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,318,009


32		See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Residential Mortgage-Backed Securities — Other — continued
	8,322,531	Conseco Financial Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		8,325,150
	3,109,297	Conseco Financial Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,870,908
	2,704,047	Countrywide Home Equity Loan Trust, Series 07-E, Class A, FSA, 1 mo. LIBOR + .15%, 1.74%, due 06/15/37		2,387,317
	826,453	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, 1 mo. LIBOR + .50%, 2.06%, due 10/25/34		772,266
	2,244,475	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 6.81%, due 09/25/37		2,298,505
	7,885,267	Home Equity Loan Trust, Series 05-HS1, Class AI4, STEP, 5.61%, due 09/25/35		4,816,937
	32,018,380	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, 1 mo. LIBOR + .26%, 1.88%, due 06/25/36		4,697,420
	4,432,823	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .32%, 1.94%, due 03/25/36		977,996
	861,001	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, 1 mo. LIBOR + .25%, 1.81%, due 02/26/34		818,793
	14,488,576	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, 1 mo. LIBOR + .20%, 1.82%, due 03/25/36		1,312,022
	8,264,581	New Century Home Equity Loan Trust, Series 06-S1, Class A1, 1 mo. LIBOR + .34%, 1.96%, due 03/25/36		748,340
	22,034,282	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, 1 mo. LIBOR + .40%, 2.02%, due 03/25/36		1,995,083
	2,268,947	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, 1 mo. LIBOR + .90%, 2.52%, due 08/25/35		2,468,557
	9,307,502	Oakwood Mortgage Investors, Inc., Series 99-C, Class A2, 7.48%, due 08/15/27		9,240,171
	1,568,411	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,573,760
	2,836,239	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		2,882,878
	6,324,605	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		5,912,994
	11,224,353	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		6,310,219
	1,509,020	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		1,338,810
	3,207,069	PHH Mortgage Trust, Series 07-1SL, Class M2, 144A, STEP, 7.00%, due 12/25/27		3,460,329


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Residential Mortgage-Backed Securities — Other — continued
	20,889,413	Residential Funding Mortgage Securities II, Series 06-HI4, Class A4, STEP, 5.72%, due 09/25/36		16,696,412
	1,858,498	SACO I Trust, Series 05-10, Class 2A1, 1 mo. LIBOR + .52%, 2.14%, due 01/25/36		1,857,252
	14,550,043	Soundview Home Loan Trust, Series 06-A, Class A, 1 mo. LIBOR + .38%, 2.00%, due 11/25/35		2,024,013
	25,289,338	Terwin Mortgage Trust, Series 07-1SL, Class A1, 144A, 1 mo. LIBOR + .14%, 1.76%, due 01/25/38		3,645,357

		Total Residential Mortgage-Backed Securities — Other		111,977,858


		Residential Mortgage-Backed Securities — Prime — 2.6%
	2,425,775	Bear Stearns ARM Trust, Series 05-6, Class 3A1, Variable Rate, 3.66%, due 08/25/35		2,476,049
	2,131,805	Bear Stearns ARM Trust, Series 05-9, Class A1, U.S. Treasury Yield + 2.30%, 3.52%, due 10/25/35		2,176,058
	3,692,775	Chase Mortgage Finance Trust, Series 05-A1, Class 3A1, Variable Rate, 3.38%, due 12/25/35		3,635,062
	3,760,812	Chase Mortgage Finance Trust, Series 07-A1, Class 11M1, Variable Rate, 3.52%, due 03/25/37		3,729,502
	1,543,644	Citigroup Mortgage Loan Trust, Series 05-3, Class 2A2, Variable Rate, 3.50%, due 08/25/35		1,547,211
	3,336,482	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.68%, due 12/25/36		3,189,771
	2,530,759	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.66%, due 03/25/37		2,451,351
	4,328,443	RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 3.88%, due 09/25/35		4,258,153
	2,695,212	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 3.31%, due 09/25/35		2,724,846
	2,070,211	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, 2.00%, due 01/25/47		2,049,501
	3,544,191	Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 07-5, Class A6, 6.00%, due 06/25/37		3,535,289

		Total Residential Mortgage-Backed Securities — Prime		31,772,793


		See accompanying notes to the financial statements.		33

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Residential Mortgage-Backed Securities — Subprime — 1.8%
	2,578,393	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 1.81%, due 05/26/37		2,490,142
	5,584,225	Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 1.73%, due 04/25/31		7,018,324
	1,074,058	Carrington Mortgage Loan Trust, Series 06-RFC1, Class A3, 1 mo. LIBOR + .15%, 1.77%, due 05/25/36		1,072,449
	2,346,492	Meritage Mortgage Loan Trust, Series 05-2, Class M2, 1 mo. LIBOR + .75%, 2.37%, due 11/25/35		2,354,247
	4,347,797	Morgan Stanley Resecuritization Trust, Series 14-R8, Class 2A, 144A, 1 mo. LIBOR + .16%, 1.72%, due 06/26/47		4,331,159
	1,489,988	Ownit Mortgage Loan Trust, Series 06-3, Class A2C, 1 mo. LIBOR + .17%, 1.79%, due 03/25/37		1,488,757
	3,196,918	RAMP Trust, Series 07-RZ1, Class A2, 1 mo. LIBOR + .16%, 1.78%, due 02/25/37		3,169,067

		Total Residential Mortgage-Backed Securities — Subprime		21,924,145


		Residential Mortgage-Backed Securities — Alt-A — 2.4%
	2,559,703	Adjustable Rate Mortgage Trust, Series 05-1, Class 5M1, 1 mo. LIBOR + 1.05%, 2.67%, due 05/25/35		2,478,702
	2,743,398	Alternative Loan Trust, Series 06-7CB, Class 1A1, 1 mo. LIBOR + .70%, 2.32%, due 05/25/36		1,613,279
	2,667,962	Alternative Loan Trust, Series 06-28CB, Class A1, 1 mo. LIBOR + .70%, 2.32%, due 10/25/36		1,643,359
	2,785,647	Bear Stearns ARM Trust, Series 07-1, Class 2A1, Variable Rate, 3.84%, due 02/25/47		2,628,992
	7,786,877	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.45%, due 07/25/36		5,898,203
	2,090,813	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		2,166,886
	2,828,194	Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 05-7, Class 2CB1, 5.50%, due 08/25/35		2,854,510
	10,030,789	Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 06-AR10, Class A2A, 1 mo. LIBOR + .17%, 1.79%, due 12/25/36		9,021,530
	502,889	Wells Fargo Mortgage Backed Securities Trust, Series 05-AR14, Class A4, Variable Rate, 3.46%, due 08/25/35		502,992

		Total Residential Mortgage-Backed Securities — Alt-A		28,808,453


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Small Balance Commercial Mortgages — 14.8%
	709,629	Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, 1 mo. LIBOR + .84%, 2.18%, due 04/25/34		693,108
	394,639	Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A,, 1 mo. LIBOR + 1.80%, 2.82%, due 04/25/34		392,397
	687,687	Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, 1 mo. LIBOR + 2.85%, 3.52%, due 04/25/34		690,701
	6,652,630	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A,, 1 mo. LIBOR + .31%, 1.93%, due 08/25/35		6,312,404
	3,555,183	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 2.01%, due 01/25/36		3,332,885
	2,075,216	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, 1 mo. LIBOR + .38%, 1.94%, due 04/25/36		1,938,925
	2,738,101	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, 1 mo. LIBOR + .23%, 1.85%, due 07/25/36		2,643,531
	5,600,821	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, 1 mo. LIBOR + .28%, 1.90%, due 07/25/36		5,423,898
	8,203,782	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, 1 mo. LIBOR + .25%, 1.87%, due 10/25/36		7,811,089
	980,727	Bayview Commercial Asset Trust, Series 06-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 1.92%, due 10/25/36		935,919
	2,964,510	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, 1 mo. LIBOR + .24%, 1.86%, due 07/25/37		2,822,196
	12,361,400	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, 1 mo. LIBOR + .27%, 1.83%, due 07/25/37		11,808,317
	6,581,688	Bayview Commercial Asset Trust, Series 07-2A, Class A2, 144A, 1 mo. LIBOR + .32%, 1.88%, due 07/25/37		6,102,716
	6,267,622	Bayview Commercial Asset Trust, Series 07-4A, Class A1, 144A, 1 mo. LIBOR + .45%, 2.07%, due 09/25/37		5,986,585
	2,928,777	Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, 1 mo. LIBOR + .85%, 2.47%, due 12/25/37		2,896,330
	25,064,747	Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, 1 mo. LIBOR + 1.25%, 2.87%, due 12/25/37		25,050,846
	24,322,577	GE Business Loan Trust, Series 06-1x, Class A, 1 mo. LIBOR + .20%, 1.79%, due 05/15/34		23,459,583
	2,578,692	GE Business Loan Trust, Series 06-2A, Class A, 144A, 1 mo. LIBOR + .18%, 1.77%, due 11/15/34		2,529,476
	5,837,026	GE Business Loan Trust, Series 07-1A, Class A, 144A, 1 mo. LIBOR + .17%, 1.76%, due 04/16/35		5,677,203


34		See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Small Balance Commercial Mortgages — continued
	4,731,350	GE Business Loan Trust, Series 07-1A, Class D, 144A, 1 mo. LIBOR + 1.00%, 2.59%, due 04/16/35		4,239,860
	4,052,272	Lehman Brothers Small Balance Commercial, Series 06-1A, Class M1, 144A, 1 mo. LIBOR + .31%, 1.93%, due 04/25/31		4,041,327
	7,540,867	Lehman Brothers Small Balance Commercial, Series 06-2A, Class M1, 144A, 1 mo. LIBOR + .29%, 1.91%, due 09/25/36		7,439,156
	4,108,319	Lehman Brothers Small Balance Commercial, Series 06-3A, Class 1A, 144A, 1 mo. LIBOR + .20%, 1.82%, due 12/25/36		4,081,661
	4,300,000	Lehman Brothers Small Balance Commercial, Series 07-2A, Class M1, 144A, 1 mo. LIBOR + .40%, 1.96%, due 06/25/37		4,043,590
	6,041,434	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 1.87%, due 02/25/30		5,910,668
	1,744,539	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class M1, 1 mo. LIBOR + .40%, 2.02%, due 09/25/30		1,727,439
	2,002,843	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class M2, 1 mo. LIBOR + .52%, 2.14%, due 09/25/30		1,964,692
	5,445,606	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 1 mo. LIBOR + .53%, 2.15%, due 04/25/31		5,209,404
	2,022,599	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, 1 mo. LIBOR + 1.00%, 2.62%, due 04/25/31		1,914,108
	2,563,200	Morgan Stanley Capital I Trust, Series 12-STAR, Class C, 144A, 3.85%, due 08/05/34		2,575,753
	854,400	Morgan Stanley Capital I Trust, Series 12-STAR, Class D, 144A, 4.06%, due 08/05/34		859,103
	2,180,584	Velocity Commercial Capital Loan Trust, Series 16-2, Class AFL, 1 mo. LIBOR + 1.80%, 3.42%, due 10/25/46		2,201,017
	9,503,550	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class C, 144A, Variable Rate, 2.80%, due 12/27/49		9,509,021
	3,430,400	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 3.18%, due 12/27/49		3,430,614
	2,585,664	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 3.33%, due 12/27/49		2,565,746

		Total Small Balance Commercial Mortgages		178,221,268


		Student Loans — 23.6%
	7,379,440	Access Group, Inc., Series 05-A, Class B, 3 mo. LIBOR + .80%, 2.55%, due 07/25/34		6,980,941
	2,813,159	Access Group, Inc., Series 03-A, Class A2, 3 mo. USGG +1.20%, 2.64%, due 07/01/38		2,829,214


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Student Loans — continued
	10,277,550	AccessLex Institute, Series 07-1, Class A4, 3 mo. USGG + 0.06%, 1.81%, due 01/25/23		10,108,888
	9,130,149	AccessLex Institute, Series 04-2, Class A3, 3 mo. LIBOR + .19%, 1.94%, due 10/25/24		9,011,314
	11,055,585	AccessLex Institute, Series 04-2, Class B, 3 mo. LIBOR + .70%, 2.45%, due 01/25/43		9,581,210
	5,729,955	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, 3 mo. LIBOR + .32%, 2.01%, due 03/28/35 ^(a)		5,386,157
	4,285,982	KeyCorp Student Loan Trust, Series 00-B, Class A2, 3 mo. LIBOR + 0.31%, 2.06%, due 07/25/29		4,221,066
	2,306,263	KeyCorp Student Loan Trust, Series 99-B, Class CTFS, 3 mo. LIBOR + .90%, 2.84%, due 11/25/36		2,308,222
	25,090,320	KeyCorp Student Loan Trust, Series 06-A, Class 2B, 3 mo. LIBOR + .48%, 2.15%, due 12/27/41		24,500,627
	3,123,725	KeyCorp Student Loan Trust, Series 04-A, Class 2C, 3 mo. LIBOR + 0.80%, 2.56%, due 04/28/42		3,017,634
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, 3 mo. LIBOR + 1.25%, 3.01%, due 07/28/42		4,123,415
	7,077,136	KeyCorp Student Loan Trust, Series 04-A, Class 1A2, 3 mo. LIBOR + 0.24%, 2.00%, due 10/27/42		6,936,950
	18,250,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 5.16%, due 03/31/38 ^(a)		8,851,250
	7,437,293	National Collegiate Commutation Trust, Series 07-3, Class A3L, 144A, 1 mo. LIBOR + .84%, 2.41%, due 03/31/38		2,976,555
	2,189,853	National Collegiate Student Loan Trust, Series 06-2, Class A3, 1 mo. LIBOR + .21%, 1.83%, due 11/25/27		2,177,479
	4,036,928	National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.25%, 1.87%, due 03/27/28		4,011,958
	1,532,456	National Collegiate Student Loan Trust, Series 06-3, Class A4, 1 mo. LIBOR + .27%, 1.89%, due 03/26/29		1,506,345
	5,006,105	National Collegiate Student Loan Trust, Series 05-2, Class A4, 1 mo. LIBOR + .27%, 1.89%, due 09/25/29		4,922,948
	26,561,847	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 1.86%, due 07/25/30		25,915,852
	8,685,000	National Collegiate Student Loan Trust, Series 06-4, Class A4, 1 mo. LIBOR + .31%, 1.93%, due 05/25/32		7,711,907
	12,960,000	National Collegiate Student Loan Trust, Series 06-1, Class A5, 1 mo. LIBOR + .35%, 1.97%, due 03/25/33		11,877,876


		See accompanying notes to the financial statements.		35

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Student Loans — continued
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 5.16%, due 03/25/38 ^(a)		19,625
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 5.12%, due 03/25/38 ^(a)		58,875
	32,566,305	SLC Private Student Loan Trust, Series 06-A, Class C, 3 mo. LIBOR + .45%, 2.17%, due 07/15/36		31,146,440
	12,042,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 4.25%, due 06/15/32 ^(a)		12,039,592
	5,850,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 4.07%, due 09/15/32 ^(a)		5,850,000
	3,509,557	SLM Private Credit Student Loan Trust, Series 03-C, Class C, 3 mo. LIBOR + 1.60%, 3.19%, due 09/15/32		1,231,372
	9,000,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + .43%, 1.92%, due 09/15/33		8,643,870
	5,354,451	SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .28%, 1.87%, due 12/15/38		5,175,988
	47,615,000	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + .29%, 1.88%, due 06/15/39		46,360,226
	11,931,000	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + .33%, 1.92%, due 06/15/39		11,623,475
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, 3 mo. LIBOR + .39%, 1.98%, due 12/15/39		2,068,276
	1,255,232	South Carolina Student Loan Corp., Series 14-1, Class A1, 1 mo. LIBOR + .75%, 2.32%, due 05/01/30		1,261,427

		Total Student Loans		284,436,974

		Time Share — 0.8%
	657,766	BXG Receivables Note Trust, Series 12-A, Class B, 144A, 3.99%, due 12/02/27		654,052
	2,240,037	BXG Receivables Note Trust, Series 13-A, Class B, 144A, 4.00%, due 12/04/28		2,242,176
	1,030,827	Diamond Resorts Owner Trust, Series 13-2, Class A, 144A, 2.27%, due 05/20/26		1,030,390
	670,548	Diamond Resorts Owner Trust, Series 13-2, Class B, 144A, 2.62%, due 05/20/26		670,280
	1,425,485	Marriott Vacation Club Owner Trust, Series 12-1A, Class B, 144A, Variable Rate, 3.50%, due 05/20/30		1,422,812
	260,257	Orange Lake Timeshare Trust, Series 12-AA, Class B, 144A, 4.87%, due 03/10/27		260,971
	1,059,820	Silverleaf Finance XVII LLC, Series 13-A, Class B, 144A, 3.67%, due 03/16/26		1,058,283


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Time Share — continued
	2,050,547	Westgate Resorts LLC, Series 17-1A, Class A, 144A, 3.05%, due 12/20/30		2,039,401

		Total Time Share		9,378,365

		Total Asset-Backed Securities		1,052,703,567


		U.S. Government Agency — 11.8%
	192,974	Agency for International Development Floater (Support of Jamaica), Variable Rate, 3 mo. LIBOR + .30%, 2.32%, due 10/01/18 ^(b)		192,353
	6,912,500	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR – .02%, 2.17%, due 02/01/25 ^(b)		6,660,250
	6,750,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + .15%, 2.33%, due 10/29/26 ^(b)		6,502,726
	3,877,500	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR, 2.18%, due 07/01/23 ^(b)		3,768,211
	2,500,000	Federal Home Loan Banks, 3 mo. LIBOR – .31%, 1.53%, due 08/15/18		2,499,070
	100,000,000	Federal National Mortgage Association, TBA, 3.50%, due 08/25/31		101,678,950
	20,000,000	Federal National Mortgage Association, TBA, 4.00%, due 08/25/47		20,487,890

		Total U.S. Government Agency		141,789,450


		TOTAL DEBT OBLIGATIONS (COST $1,167,665,958)		1,194,493,017


		MUTUAL FUNDS — 4.8%

		United States — 4.8%
		Affiliated Issuers — 4.8%
	2,338,324	GMO U.S. Treasury Fund		58,387,949


		TOTAL MUTUAL FUNDS (COST $58,411,332)		58,387,949


		SHORT-TERM INVESTMENTS — 4.4%

		Money Market Funds — 1.0%
	12,150,941	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.32% ^(c)		12,150,941


		U.S. Government — 3.4%
	2,000,000	U.S. Treasury Bill, 1.31%, due 03/22/18 ^(d)		1,998,428
	25,000,000	U.S. Treasury Bill, 1.56%, due 05/10/18 ^(d) (e)		24,924,167
	1,000,000	U.S. Treasury Bill, 1.58%, due 05/17/18 ^(d) (e)		996,628
	10,000,000	U.S. Treasury Bill, 1.62%, due 05/24/18 ^(d)		9,962,521
	3,000,000	U.S. Treasury Bill, 1.72%, due 07/05/18 ^(d) (e)		2,982,124

		Total U.S. Government		40,863,868


		TOTAL SHORT-TERM INVESTMENTS (COST $53,018,007)		53,014,809


36		See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018

PURCHASED OPTIONS — 0.0%

Description

Counterparty

Exercise
Rate

Expiration
Date

Principal/
Notional
Amount

Floating
Rate Index

Pay/Receive
Floating Rate

Value ($)

Options on Credit Default Swaps – Puts — 0.0%

CDX.NA.HYS.29.V1-5Y

107.50

03/21/18

USD

17,090,000

Fixed Spread

Pay

172,653

CDX.NA.IGS.29.V1-5Y

60.00

03/21/18

USD

85,768,000

Fixed Spread

Pay

75,538

CDX.NA.IGS.29.V1-5Y

JPM

70.00

04/18/18

USD

128,010,000

Fixed Spread

Pay

107,988

CDX.NA.IGS.29.V1-5Y

CSI

60.00

04/18/18

USD

85,390,000

Fixed Spread

Pay

137,596



						Total Options on Credit Default Swaps – Puts			493,775


						TOTAL PURCHASED OPTIONS (COST $774,973)			493,775


						TOTAL INVESTMENTS — 108.3% (Cost $1,279,870,270)			1,306,389,550


Par Value†			Description	Value ($)
			SECURITIES SOLD SHORT — (6.9)%

			Debt Obligations — (6.9)%
			U.S. Government Agency — (6.9)%
	(67,000,000	)	Federal National Mortgage Association, TBA, 3.00%, due 9/25/32		(66,733,049	)
	(16,000,000	)	Federal National Mortgage Association, TBA, 3.50%, due 11/25/47		(15,974,999	)

			Total U.S. Government Agency		(82,708,048	)


			TOTAL DEBT OBLIGATIONS (PROCEEDS $(83,202,695))		(82,708,048	)


			TOTAL SECURITIES SOLD SHORT (PROCEEDS $83,202,695)		(82,708,048	)
			Other Assets and Liabilities (net) — (1.4%)		(17,727,233	)


			TOTAL NET ASSETS — 100.0%		$1,205,954,269


		See accompanying notes to the financial statements.		37

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2018

A summary of outstanding financial instruments at February 28, 2018 is as follows:

Forward Currency Contracts



Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
03/20/2018	DB		USD	767,061		EUR	613,245		(17,898	)

								$	(17,898	)

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
	Buys
385	U.S. Treasury Note 2 Yr. (CBT)	June 2018		81,800,468		(18,371	)
1,062	U.S. Treasury Note 5 Yr. (CBT)	June 2018		120,993,329		7,982
414	U.S. Treasury Ultra 10 Yr. (CBT)	June 2018		53,017,875		45,422

			$	255,811,672	$	35,033

+	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

Floating
Rate Index

Pay/Receive
Floating Rate

Value ($)

Written Options on Credit Default Swaps – Puts

CDX.NA.HYS.29.V1-5Y

104.50

03/21/18

USD

(17,090,000

)

Fixed Spread

Pay

(27,188)

CDX.NA.IGS.29.V1-5Y

80.00

03/21/18

USD

(87,320,000

)

Fixed Spread

Pay

(15,950)

CDX.NA.IGS.29.V1-5Y

CSI

90.00

06/20/18

USD

(85,390,000

)

Fixed Spread

Pay

(91,213)

CDX.NA.IGS.29.V1-5Y

JPM

100.00

06/20/18

USD

(128,010,000

)

Fixed Spread

Pay

(106,698)

TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS – PUTS (Premiums $504,258)

(241,049)

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	25,022,200		5.00%		0.03%		N/A		12/20/2021		Quarterly		(1,825,591	)		(1,794,971	)		30,620
ITRAXX-EUROPES27V1-5Y	EUR	25,800,000		1.00%		0.00%		N/A		06/20/2022		Quarterly		(327,126	)		(759,894	)		(432,768	)

Sell Protection^:
CDX.NA.IGS.28.V1-5Y	USD	17,200,000		1.00%		0.01%		17,200,000		06/20/2022		Quarterly		300,982			327,660			26,678

													$	(1,851,735	)	$	(2,227,205	)	$	(375,470	)


38		See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2018

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^:
CDX.NA.HYS.25.V1-5Y	BOA	USD	4,400,000		5.00%		0.15%		N/A		12/20/2020		Quarterly		369,771			(393,228	)		(762,999	)
CDX.NA.HYS.25.V1-5Y	JPM	USD	4,343,000		5.00%		0.15%		N/A		12/20/2020		Quarterly		(26,058	)		(388,134	)		(362,076	)
CDX.NA.IGS.25.V1-5Y	CITI	USD	4,300,000		1.00%		0.08%		N/A		12/20/2020		Quarterly		548,250			(19,540	)		(567,790	)
CDX.NA.IGS.25.V1-5Y	BOA	USD	4,400,000		1.00%		0.08%		N/A		12/20/2020		Quarterly		710,844			(19,994	)		(730,838	)
CDX.NA.HYS.27.V2-5Y	GS	USD	8,580,000		5.00%		0.28%		N/A		12/20/2021		Quarterly		21,450			(679,337	)		(700,787	)
CDX.NA.HYS.27.V2-5Y	JPM	USD	4,300,000		5.00%		0.28%		N/A		12/20/2021		Quarterly		(11,825	)		(340,460	)		(328,635	)
D.R. HORTON INC	BCLY	USD	17,200,000		1.00%		0.41%		N/A		06/20/2022		Quarterly		(165,250	)		(414,063	)		(248,813	)
CDX.NA.HYS.29.V1-5Y	JPM	USD	6,425,250		5.00%		0.44%		N/A		12/20/2022		Quarterly		(282,711	)		(163,267	)		119,444
Navient Corp.	BCLY	USD	2,576,400		5.00%		2.58%		N/A		12/20/2022		Quarterly		(208,665	)		(265,986	)		(57,321	)
Navient Corp.	BCLY	USD	2,576,400		5.00%		2.58%		N/A		12/20/2022		Quarterly		(198,694	)		(265,986	)		(67,292	)
Navient Corp.	BCLY	USD	3,435,200		5.00%		2.58%		N/A		12/20/2022		Quarterly		(264,646	)		(354,648	)		(90,002	)
CMBX.NA.AS.7	BOA	USD	4,505,000		1.00%		0.08%		N/A		01/17/2047		Monthly		47,352			(47,308	)		(94,660	)
CMBX.NA.AS.7	DB	USD	16,677,794		1.00%		0.08%		N/A		01/17/2047		Monthly		197,705			(175,139	)		(372,844	)
CMBX.NA.AS.7	GS	USD	4,400,000		1.00%		0.08%		N/A		01/17/2047		Monthly		112,812			(46,206	)		(159,018	)
CMBX.NA.AS.7	MSCS	USD	13,270,000		1.00%		0.08%		N/A		01/17/2047		Monthly		205,782			(139,353	)		(345,135	)
CMBX.NA.AA.8	CSI	USD	8,892,000		1.50%		0.17%		N/A		10/17/2057		Monthly		247,717			113,268			(134,449	)
CMBX.NA.AS.8	CITI	USD	8,892,000		1.00%		0.09%		N/A		10/17/2057		Monthly		73,095			(70,218	)		(143,313	)
CMBX.NA.AS.8	MSCS	USD	3,384,000		1.00%		0.09%		N/A		10/17/2057		Monthly		140,432			(26,723	)		(167,155	)
CMBX.NA.BBB-8	GS	USD	8,650,000		3.00%		0.60%		N/A		10/17/2057		Monthly		1,299,082			1,332,240			33,158
CMBX.NA.AAA.9	GS	USD	874,200		0.50%		0.05%		N/A		09/17/2058		Monthly		48,015			(1,884	)		(49,899	)
CMBX.NA.AAA.9	DB	USD	4,292,500		0.50%		0.05%		N/A		09/17/2058		Monthly		(5,380	)		(9,250	)		(3,870	)
CMBX.NA.AAA.9	DB	USD	21,462,500		0.50%		0.05%		N/A		09/17/2058		Monthly		(23,012	)		(46,249	)		(23,237	)
CMBX.NA.BBB-.9	DB	USD	4,400,000		3.00%		0.50%		N/A		09/17/2058		Monthly		950,085			523,861			(426,224	)
CMBX.NA.BBB-.9	GS	USD	1,760,000		3.00%		0.50%		N/A		09/17/2058		Monthly		346,611			209,544			(137,067	)
CMBX.NA.BBB-.9	MSCS	USD	8,528,000		3.00%		0.50%		N/A		09/17/2058		Monthly		974,545			1,015,338			40,793
CMBX.NA.BBB-.10	GS	USD	3,446,000		3.00%		0.46%		N/A		11/17/2059		Monthly		319,628			352,996			33,368
CMBX.NA.BBB-.10	GS	USD	1,720,200		3.00%		0.46%		N/A		11/17/2059		Monthly		185,913			176,211			(9,702	)

Sell Protection^:
CDX.NA.HYS.27.V2-5Y	GS	USD	12,870,000		5.00%		0.09%		12,870,000 USD		12/20/2021		Quarterly		1,657,013			1,917,237			260,224
CDX.NA.HYS.27.V2-5Y	JPM	USD	8,600,000		5.00%		0.09%		8,600,000 USD		12/20/2021		Quarterly		1,143,800			1,281,137			137,337
CDX.NA.HYS.27.V3-5Y	BOA	USD	8,545,000		5.00%		0.09%		8,545,000 USD		12/20/2021		Quarterly		1,369,764			1,272,944			(96,820	)
CDX.NA.HYS.29.V1-5Y	BOA	USD	25,885,000		5.00%		0.17%		25,885,000 USD		12/20/2022		Quarterly		4,283,968			3,827,336			(456,632	)
CDX.NA.HYS.29.V1-5Y	MSCS	USD	10,233,600		5.00%		0.17%		10,233,600 USD		12/20/2022		Quarterly		1,547,320			1,513,132			(34,188	)
CDX.NA.HYS.29.V1-5Y	JPM	USD	42,835,000		5.00%		0.05%		42,835,000 USD		12/20/2022		Quarterly		9,136,706			8,523,054			(613,652	)

														$	24,751,419		$	18,191,325		$	(6,560,094	)

⁽¹⁾

⁽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.


		See accompanying notes to the financial statements.		39

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2018

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		—			426,713		426,713
1.75%		3 Month USD LIBOR	USD	20,948,000		03/16/2021	Quarterly		6,500			561,811		555,311
2.10%		3 Month USD LIBOR	USD	1,715,000		11/24/2021	Quarterly		—			37,454		37,454
2.59%		3 Month USD LIBOR	USD	3,584,000		02/09/2022	Quarterly		462			17,003		16,541
2.06%		3 Month USD LIBOR	USD	11,981,000		11/10/2022	Quarterly		163,222			361,740		198,518
2.15%		3 Month USD LIBOR	USD	5,100,000		10/13/2024	Quarterly		—			202,102		202,102
2.00%		3 Month USD LIBOR	USD	19,668,000		04/16/2025	Quarterly		(91,173	)		1,071,677		1,162,850
1.65%		3 Month USD LIBOR	USD	10,466,000		05/19/2026	Quarterly		252,588			944,661		692,073
1.46%		3 Month USD LIBOR	USD	638,000		08/15/2026	Quarterly		41,706			68,469		26,763

								$	373,305		$	3,691,630	$	3,318,325

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	MSCS		USD	14,999,999		06/20/2018	Quarterly		30,477		61,859			31,382
Total Return on iBoxx USD Liquid Leveraged Loans Index		3 Month USD LIBOR	MSCS		USD	10,000,000		06/20/2018	Quarterly		21,672		35,215			13,543
Total Return on iBoxx USD Liquid Leveraged Loans Index		3 Month USD LIBOR	JPM		USD	40,000,000		06/20/2018	Quarterly		1		(285,552	)		(285,553	)

										$	52,150	$	(188,478	)	$	(240,628	)

Notes to Schedule of Investments:

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

(a)	Investment valued using significant unobservable inputs (Note 2).

(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 (Note 2).

(c)	The rate disclosed is the 7 day net yield as of February 28, 2018.

(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 securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).


40		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Cash Strategies team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

GMO U.S. Treasury Fund returned +0.96% (net) for the fiscal year ended February 28, 2018, as compared with +0.98% for the Citigroup 3-Month Treasury Bill Index.

The Fund underperformed the benchmark during the fiscal year by 0.02%, with contributions primarily coming from security selection in Treasury Bills and Notes. Longer U.S. Treasury positioning detracted during the fiscal year.

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO U.S. Treasury Fund and the Citigroup 3-Month Treasury Bill Index

As of February 28, 2018

LOGO

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary	% of Total Net Assets
Short-Term Investments		101.0	%
Other		(1.0	)

		100.0	%

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 101.0%

		U.S. Government — 89.9%
	46,750,000	U.S. Treasury Bill, 1.45%, due 04/05/18 ^(a)		46,683,414
	154,750,000	U.S. Treasury Bill, 1.50%, due 04/12/18 ^(a)		154,477,833
	50,000,000	U.S. Treasury Bill, 1.53%, due 04/26/18 ^(a)		49,881,194
	47,000,000	U.S. Treasury Bill, 1.53%, due 05/03/18 ^(a)		46,874,363
	100,000,000	U.S. Treasury Bill, 1.56%, due 05/10/18 ^(a)		99,696,667
	294,500,000	U.S. Treasury Bill, 1.62%, due 05/24/18 ^(a)		293,396,238
	50,000,000	U.S. Treasury Bill, 1.62%, due 06/07/18 ^(a)		49,780,691
	275,000,000	U.S. Treasury Bill, 1.72%, due 07/05/18 ^(a)		273,361,344
	168,500,000	U.S. Treasury Bill, 1.78%, due 07/26/18 ^(a)		167,294,207
	100,000,000	U.S. Treasury Bill, 1.82%, due 08/16/18 ^(a)		99,164,083
	230,000,000	U.S. Treasury Bill, 1.82%, due 08/23/18 ^(a)		227,998,680
	90,000,000	U.S. Treasury Note, 1.50%, due 08/31/18		89,810,156
	10,000,000	U.S. Treasury Note, 1.00%, due 09/15/18		9,950,781
	75,000,000	U.S. Treasury Note, 0.75%, due 09/30/18		74,481,445
	50,000,000	U.S. Treasury Note, 0.75%, due 10/31/18		49,595,703
	70,000,000	U.S. Treasury Note, 1.25%, due 11/30/18		69,603,516
	50,000,000	U.S. Treasury Note, 1.00%, due 11/30/18		49,628,906
	50,000,000	U.S. Treasury Note, 1.38%, due 11/30/18		49,763,672
	40,000,000	U.S. Treasury Note, 1.13%, due 01/31/19		39,654,688
	100,000,000	U.S. Treasury Note, 1.70%, due 10/31/19		100,062,688
	50,000,000	U.S. Treasury Note, 1.65%, due 01/31/20		49,979,530

		TOTAL U.S. GOVERNMENT (COST $2,092,174,515)		2,091,139,799


		U.S. Government Agency — 11.0%
	50,000,000	Federal Home Loan Banks, 0.88%, due 10/01/18		49,676,900
	25,000,000	Federal Home Loan Banks, 1 mo. LIBOR –.09%, 1.50%, due 01/14/19		24,998,686
	100,000,000	Federal Home Loan Banks, 3 mo. LIBOR –.16%, 1.61%, due 01/28/19		100,040,307
	25,000,000	Federal Home Loan Banks, 1 mo. LIBOR –.08%, 1.54%, due 04/26/19		24,997,020
	55,000,000	Federal Home Loan Banks, 3 mo. LIBOR –.16%, 1.63%, due 02/07/20		54,975,231

		TOTAL U.S. GOVERNMENT AGENCY (COST $254,860,516)		254,688,144


		Money Market Funds — 0.1%
	1,342,639	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.32%^(b)		1,342,639

		TOTAL SHORT-TERM INVESTMENTS (COST $2,348,377,670)		2,347,170,582


		TOTAL INVESTMENTS — 101.0% (Cost $2,348,377,670)		2,347,170,582
		Other Assets and Liabilities (net) — (1.0%)		(22,465,017	)


		TOTAL NET ASSETS — 100.0%		$2,324,705,565

Notes to Schedule of Investments:

†	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 February 28, 2018.


		See accompanying notes to the financial statements.		45

GMO Trust Funds

Schedule of Investments — (Continued)

February 28, 2018 (Unaudited)

Portfolio Abbreviations:

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

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

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.

CJSC - Closed Joint-Stock Company

CLO - Collateralized Loan Obligation

CMBS - Commercial Mortgage Backed Security

CP - Counterparty

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

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

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

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

GDP - Gross Domestic Product

LIBOR - London Interbank Offered Rate

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

OTC - Over-the-Counter

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

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona

TBA - To Be Announced-Delayed Delivery Security

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

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

USGG - U.S. Generic Government

VRRB - Variable Rate Reduction Bond

The rates shown on variable rate notes are the current interest rates at February 28, 2018, which are subject to change based on the terms of the security.

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.

MSCI - Morgan Stanley & Co.

International PLC

MSCS - Morgan Stanley Capital

Services LLC

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

ZAR - South African Rand


46		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2018


	Asset Allocation Bond Fund		Core Plus Bond Fund		Emerging Country Debt Fund		Opportunistic Income Fund		U.S. Treasury Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	—	$	263,040,360	$	96,178,792	$	58,387,949	$	—
Investments in unaffiliated issuers, at value (Note 2)^(b)		1,216,883,581		834,574,635		4,002,378,473		1,248,001,601		2,347,170,582
Foreign currency, at value (Note 2)^(c)		—		11		212,281		—		—
Cash		4,807		7,050		10,505,685		1,111		—
Receivable for investments sold		—		—		145,769,625		4,152,243		—
Receivable for Fund shares sold		4,523,755		2,876,758		—		1,587,706		—
Receivable for closed swap contracts (Note 4)		77,387		106,672		—		—		—
Dividends and interest receivable		2,267,679		1,336,270		59,811,604		3,233,159		1,558,218
Unrealized appreciation on open forward currency contracts (Note 4)		1,750,429		2,656,262		1,957,106		—		—
Receivable for variation margin on open futures contracts (Note 4)		—		253,017		—		287,154		—
Receivable for variation margin on open swap contracts (Note 4)		—		—		65,624		—		—
Due from broker (Note 2)		5,905,105		6,486,318		4,418,670		1,591,526		—
Receivable for open OTC swap contracts (Note 4)		—		—		7,795,777		22,155,372		—
Interest receivable for open OTC swap contracts (Note 4)		—		—		1,930,696		1,105,074		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		6,052		106,957		5,230		21,230		157,896
Receivable for purchases of delayed delivery securities		—		—		—		83,202,695		—
Receivable for options (Note 4)^(e)		—		—		477,374		—		—
Miscellaneous receivable		13,623		—		1,761		—		—

Total assets		1,231,432,418		1,111,444,310		4,331,508,698		1,423,726,820		2,348,886,696

Liabilities:
Investments sold short, at value (Note 2)^(d)		—		—		—		82,708,048		—
Foreign currency due to custodian		14,352		—		—		—		—
Payable for investments purchased		—		—		163,062,586		4,153,727		—
Payable for Fund shares repurchased		—		—		—		—		23,488,408
Payable for purchases of delayed delivery securities		—		143,754,470		—		122,703,125		—
Payable to affiliate for (Note 5):
Management fee		234,030		182,650		1,109,724		370,905		140,208
Shareholder service fee		66,569		73,629		361,872		51,000		—
Payable for variation margin on open cleared swap contracts (Note 4)		1,341,373		490,251		—		80,461		—
Payable for swap premiums (Note 4)		—		—		—		2,619,227		—
Dividend payable		—		—		—		—		361,774
Unrealized depreciation on open forward currency contracts (Note 4)		3,387,621		11,492,764		—		17,898		—
Interest payable for open OTC swap contracts (Note 4)		—		—		741,890		429,000		—
Payable for open OTC swap contracts (Note 4)		—		—		28,012,232		4,152,525		—
Payable for options (Note 4)^(e)		—		—		1,389,607		—		—
Written options outstanding, at value (Note 4)^(e)		—		—		—		241,049		—
Payable to agents unaffiliated with GMO		196		159		663		177		310
Payable to Trustees and related expenses		2,799		2,138		9,399		2,683		4,224
Accrued expenses		242,368		170,810		655,493		242,726		186,207

Total liabilities		5,289,308		156,166,871		195,343,466		217,772,551		24,181,131

Net assets	$	1,226,143,110	$	955,277,439	$	4,136,165,232	$	1,205,954,269	$	2,324,705,565

^(a) Cost of investments – affiliated issuers:	$	—	$	260,729,621	$	93,156,925	$	58,411,332	$	—
^(b) Cost of investments – unaffiliated issuers:	$	1,227,469,728	$	841,081,695	$	3,965,312,794	$	1,221,458,938	$	2,348,377,670
^(c) Cost of foreign currency:	$	—	$	11	$	213,930	$	—	$	—
^(d) Proceeds from securities sold short:	$	—	$	—	$	—	$	83,202,695	$	—
^(e) Premiums on options:	$	—	$	—	$	6,155,891	$	504,258	$	—


		See accompanying notes to the financial statements.		47

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2018 — (Continued)


	Asset Allocation Bond Fund			Core Plus Bond Fund			Emerging Country Debt Fund			Opportunistic Income Fund			U.S. Treasury Fund
Net assets consist of:
Paid-in capital	$	1,294,227,933		$	998,008,103		$	4,274,439,519		$	1,283,536,630		$	2,327,239,516
Accumulated undistributed (distributions in excess of) net investment income		8,714,984			5,487,946			(67,074,142	)		7,029,042			—
Accumulated net realized gain (loss)		(63,300,859	)		(33,160,419	)		(122,728,403	)		(108,047,841	)		(1,326,863	)
Net unrealized appreciation (depreciation)		(13,498,948	)		(15,058,191	)		51,528,258			23,436,438			(1,207,088	)

	$	1,226,143,110		$	955,277,439		$	4,136,165,232		$	1,205,954,269		$	2,324,705,565

Net assets attributable to:
Core Class	$	—		$	—		$	—		$	—		$	2,324,705,565

Class III	$	207,007,733		$	34,640,735		$	1,273,188,025		$	—		$	—

Class IV	$	—		$	920,636,704		$	2,862,977,207		$	—		$	—

Class VI	$	1,019,135,377		$	—		$	—		$	1,205,954,269		$	—

Shares outstanding:
Core Class		—			—			—			—			93,089,908

Class III		9,432,239			1,655,267			44,493,266			—			—

Class IV		—			43,888,588			100,200,500			—			—

Class VI		46,286,033			—			—			45,658,836			—

Net asset value per share:
Core Class	$	—		$	—		$	—		$	—		$	24.97

Class III	$	21.95		$	20.93		$	28.62		$	—		$	—

Class IV	$	—		$	20.98		$	28.57		$	—		$	—

Class VI	$	22.02		$	—		$	—		$	26.41		$	—


48		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2018


	Asset Allocation Bond Fund			Core Plus Bond Fund			Emerging Country Debt Fund			Opportunistic Income Fund			U.S. Treasury Fund
Investment Income:
Interest	$	25,272,141		$	7,105,588		$	205,568,598		$	60,568,688		$	24,362,744
Dividends from affiliated issuers (Note 10)		—			8,938,806			1,280,047			401,545			—
Dividends from unaffiliated issuers		37,594			3,987,770			4,381,786			58,326			17,834

Total investment income		25,309,735			20,032,164			211,230,431			61,028,559			24,380,578

Expenses:
Management fee (Note 5)		3,319,538			2,108,751			14,370,886			5,024,757			1,837,843
Shareholder service fee – Class III (Note 5)		364,134			25,464			1,615,021			—			—
Shareholder service fee – Class IV (Note 5)		—			826,524			3,029,286			—			—
Shareholder service fee – Class VI (Note 5)		596,782			—			—			690,904			—
Audit and tax fees		85,594			97,336			161,654			124,870			35,306
Custodian, fund accounting agent and transfer agent fees		156,791			109,201			920,837			218,084			239,455
Legal fees		33,813			27,936			48,842			124,847			17,960
Registration fees		2,920			7,187			28,280			1,405			1,285
Trustees’ fees and related expenses (Note 5)		31,205			18,943			95,649			29,312			53,309
Interest expense (Note 2)		39,674			6,842			101,347			8,098			—
Miscellaneous		11,167			7,796			62,265			36,258			12,007

Total expenses		4,641,618			3,235,980			20,434,067			6,258,535			2,197,165
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(272,201	)		(230,068	)		—			(403,791	)		(2,137,198	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			(836,112	)		(59,800	)		—			—
Indirectly incurred shareholder service fee waived or borne by GMO (Note 5)		—			(137,522	)		(8,222	)		—			—

Net expenses		4,369,417			2,032,278			20,366,045			5,854,744			59,967

Net investment income (loss)		20,940,318			17,999,886			190,864,386			55,173,815			24,320,611

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(1,575,472	)		532,311			103,437,247			(2,653,071	)		(1,278,414	)
Investments in affiliated issuers		—			525,128			(4,802	)		(50,518	)		—
Investments in securities sold short		—			—			—			689,844			—
Futures contracts		—			(2,071,930	)		—			(1,367,349	)		—
Options		—			—			120,135			2,859,944			—
Swap contracts		4,530,459			9,630,627			(7,064,595	)		(2,387,579	)		—
Forward currency contracts		(2,327,785	)		30,751			(10,000,291	)		(352,853	)		—
Foreign currency and foreign currency related transactions		67,304			(223,684	)		384,461			(81,333	)		—

Net realized gain (loss)		694,506			8,423,203			86,872,155			(3,342,915	)		(1,278,414	)

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(23,579,455	)		(8,275,111	)		(52,681,598	)		12,149,375			(1,139,646	)
Investments in affiliated issuers		—			1,291,668			262,718			(3,054	)		—
Investments in securities sold short		—			—			—			658,120			—
Futures contracts		—			(13,323	)		—			35,033			—
Options		—			—			1,073,487			(340,497	)		—
Swap contracts		4,404,844			(1,818,833	)		(2,862,574	)		(1,979,116	)		—
Forward currency contracts		(30,118	)		(8,841,457	)		1,755,645			(93,187	)		—
Foreign currency and foreign currency related transactions		(14,031	)		(1	)		471,784			34			—

Net change in unrealized appreciation (depreciation)		(19,218,760	)		(17,657,057	)		(51,980,538	)		10,426,708			(1,139,646	)

Net realized and unrealized gain (loss)		(18,524,254	)		(9,233,854	)		34,891,617			7,083,793			(2,418,060	)

Net increase (decrease) in net assets resulting from operations	$	2,416,064		$	8,766,032		$	225,756,003		$	62,257,608		$	21,902,551


		See accompanying notes to the financial statements.		49

GMO Trust Funds

Statements of Changes in Net Assets


	Asset Allocation Bond Fund						Core Plus Bond Fund
	Year Ended February 28,						Year Ended February 28,
	2018			2017			2018			2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	20,940,318		$	18,537,024		$	17,999,886		$	1,217,245
Net realized gain (loss)		694,506			(36,813,549	)		8,423,203			1,977,452
Change in net unrealized appreciation (depreciation)		(19,218,760	)		18,097,433			(17,657,057	)		3,180,345


Net increase (decrease) in net assets from operations		2,416,064			(179,092	)		8,766,032			6,375,042

Distributions to shareholders from:
Net investment income
Class III		(2,024,013	)		—			(332,939	)		(240,429	)
Class IV		—			—			(23,549,157	)		(3,760,584	)
Class VI		(10,978,139	)		—			—			—

Total distributions from net investment income		(13,002,152	)		—			(23,882,096	)		(4,001,013	)

Net share transactions (Note 9):
Class III		(73,760,828	)		(70,279,130	)		12,381,895			(30,050,465	)
Class IV		—			—			369,406,029			349,034,173
Class VI		(181,503,566	)		(678,881,916	)		—			—

Increase (decrease) in net assets resulting from net share transactions		(255,264,394	)		(749,161,046	)		381,787,924			318,983,708

Total increase (decrease) in net assets		(265,850,482	)		(749,340,138	)		366,671,860			321,357,737

Net assets:
Beginning of period		1,491,993,592			2,241,333,730			588,605,579			267,247,842

End of period	$	1,226,143,110		$	1,491,993,592		$	955,277,439		$	588,605,579

Accumulated undistributed (distributions in excess of) net investment income	$	8,714,984		$	1,181,698		$	5,487,946		$	1,128,597


50		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Emerging Country Debt Fund						Opportunistic Income Fund
	Year Ended February 28,						Year Ended February 28,
	2018			2017			2018			2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	190,864,386		$	280,182,427		$	55,173,815		$	59,643,313
Net realized gain (loss)		86,872,155			113,177,971			(3,342,915	)		(5,837,862	)
Change in net unrealized appreciation (depreciation)		(51,980,538	)		332,027,309			10,426,708			58,780,529


Net increase (decrease) in net assets from operations		225,756,003			725,387,707			62,257,608			112,585,980

Distributions to shareholders from:
Net investment income
Class III		(72,600,877	)		(62,354,207	)		—			—
Class IV		(207,887,262	)		(215,087,917	)		—			—
Class VI		—			—			(32,473,748	)		(37,550,318	)

Total distributions from net investment income		(280,488,139	)		(277,442,124	)		(32,473,748	)		(37,550,318	)

Net share transactions (Note 9):
Class III		220,374,650			142,444,973			—			—
Class IV		(118,629,623	)		(438,892,230	)		—			—
Class VI		—			—			(336,644,785	)		(213,820,554	)

Increase (decrease) in net assets resulting from net share transactions		101,745,027			(296,447,257	)		(336,644,785	)		(213,820,554	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		1,028,334			1,373,509			—			—
Class IV		2,878,920			4,896,963			—			—
Class VI		—			—			1,921,360			1,659,519

Increase in net assets resulting from purchase premiums and redemption fees		3,907,254			6,270,472			1,921,360			1,659,519

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		105,652,281			(290,176,785	)		(334,723,425	)		(212,161,035	)

Total increase (decrease) in net assets		50,920,145			157,768,798			(304,939,565	)		(137,125,373	)

Net assets:
Beginning of period		4,085,245,087			3,927,476,289			1,510,893,834			1,648,019,207

End of period	$	4,136,165,232		$	4,085,245,087		$	1,205,954,269		$	1,510,893,834

Accumulated undistributed (distributions in excess of) net investment income	$	(67,074,142	)	$	34,037,148		$	7,029,042		$	4,399,215


		See accompanying notes to the financial statements.		51

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	U.S. Treasury Fund
	Year Ended February 28,
	2018			2017

Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	24,320,611		$	15,360,860
Net realized gain (loss)		(1,278,414	)		1,442,520
Change in net unrealized appreciation (depreciation)		(1,139,646	)		162,701


Net increase (decrease) in net assets from operations		21,902,551			16,966,081

Distributions to shareholders from:
Net investment income
Core Class		(24,320,611	)		(15,360,860	)

Total distributions from net investment income		(24,320,611	)		(15,360,860	)

Net realized gains
Core Class		—			(1,586,333	)

Total distributions from net realized gains		—			(1,586,333	)

Net share transactions (Note 9):
Core Class		(339,573,514	)		(1,366,825,724	)

Increase (decrease) in net assets resulting from net share transactions		(339,573,514	)		(1,366,825,724	)

Total increase (decrease) in net assets		(341,991,574	)		(1,366,806,836	)

Net assets:
Beginning of period		2,666,697,139			4,033,503,975

End of period	$	2,324,705,565		$	2,666,697,139

Accumulated undistributed (distributions in excess of) net investment income	$	—		$	—


52		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

ASSET ALLOCATION BOND FUND


	Class III Shares																				Class VI Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2018				2017				2016				2015				2014				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	22.15			$	22.16			$	26.36			$	24.57			$	24.43			$	22.23			$	22.21			$	26.40			$	24.60			$	24.46

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.33				0.18				0.01				0.38				0.00	^(b)			0.36				0.21				0.06				0.22				0.03
Net realized and unrealized gain (loss)			(0.31	)			(0.19	)			(2.58	)			2.48				0.17				(0.33	)			(0.19	)			(2.61	)			2.68				0.16

Total from investment operations			0.02				(0.01	)			(2.57	)			2.86				0.17				0.03				0.02				(2.55	)			2.90				0.19

Less distributions to shareholders:
From net investment income			(0.22	)			—				(1.63	)			(0.67	)			(0.03	)			(0.24	)			—				(1.64	)			(0.70	)			(0.05	)
From net realized gains			—				—				—				(0.40	)			—				—				—				—				(0.40	)			—

Total distributions			(0.22	)			—				(1.63	)			(1.07	)			(0.03	)			(0.24	)			—				(1.64	)			(1.10	)			(0.05	)

Net asset value, end of period		$	21.95			$	22.15			$	22.16			$	26.36			$	24.57			$	22.02			$	22.23			$	22.21			$	26.40			$	24.60

Total Return^(c)			0.07	%			(0.05	)%			(9.88	)%			11.92	%			0.72	%			0.12	%			0.09	%			(9.79	)%			12.05	%			0.79	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	207,008			$	282,272			$	352,828			$	421,910			$	260,775			$	1,019,135			$	1,209,721			$	1,888,505			$	4,652,197			$	2,849,433
Net operating expenses to average daily net assets			0.41	%			0.41	%^(e)			0.40	%^(e)			0.40	%^(e)			0.40	%^(d)^(e)			0.31	%			0.31	%^(e)			0.31	%^(e)			0.31	%^(e)			0.31	%^(d)^(e)
Interest and/or dividend expenses to average daily net assets^(f)			0.00	%^(g)			0.00	%^(g)			0.02	%			0.01	%			0.00	%^(g)			0.00	%^(g)			0.00	%^(g)			0.02	%			0.01	%			0.00	%^(g)
Total net expenses to average daily net assets			0.41	%			0.41	%^(e)			0.42	%^(e)			0.41	%^(e)			0.40	%^(e)			0.31	%			0.31	%^(e)			0.33	%^(e)			0.32	%^(e)			0.31	%^(e)
Net investment income (loss) to average daily net assets^(a)			1.50	%			0.81	%			0.03	%			1.49	%			0.01	%			1.59	%			0.94	%			0.27	%			0.84	%			0.13	%
Portfolio turnover rate			89	%			130	%^(h)			177	%			177	%			32	%			89	%			130	%^(h)			177	%			177	%			32	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%			0.02	%			0.03	%			0.02	%			0.02	%			0.02	%			0.02	%			0.03	%			0.02	%			0.02	%

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

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

^(c)

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

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

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

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

^(g)	Ratio is less than 0.01%.

^(h)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the year ended February 28, 2017, including transactions in USTF, was 126% of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		53

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CORE PLUS BOND FUND


	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)				2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)
Net asset value, beginning of period		$	21.10			$	21.39			$	23.43			$	22.35			$	22.23			$	21.15			$	21.45			$	23.49			$	22.41			$	22.29

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.41				0.26				0.24				0.21				0.21				0.46				0.24				0.27				0.21				0.21
Net realized and unrealized gain (loss)			(0.06	)			0.25				(1.14	)			1.83				0.24				(0.10	)			0.29				(1.17	)			1.83				0.27

Total from investment operations			0.35				0.51				(0.90	)			2.04				0.45				0.36				0.53				(0.90	)			2.04				0.48

Less distributions to shareholders:
From net investment income			(0.52	)			(0.80	)			(1.14	)			(0.96	)			(0.33	)			(0.53	)			(0.83	)			(1.14	)			(0.96	)			(0.36	)

Total distributions			(0.52	)			(0.80	)			(1.14	)			(0.96	)			(0.33	)			(0.53	)			(0.83	)			(1.14	)			(0.96	)			(0.36	)

Net asset value, end of period		$	20.93			$	21.10			$	21.39			$	23.43			$	22.35			$	20.98			$	21.15			$	21.45			$	23.49			$	22.41

Total Return^(c)			1.61	%			2.44	%			(3.93	)%			9.25	%			2.15	%			1.68	%			2.55	%			(3.91	)%			9.32	%			2.15	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	34,641			$	22,172			$	52,187			$	51,045			$	48,632			$	920,637			$	566,433			$	215,060			$	191,054			$	191,571
Net operating expenses to average daily net assets^(d)			0.29	%			0.35	%			0.35	%			0.37	%			0.38	%			0.24	%			0.30	%			0.30	%			0.32	%			0.33	%
Interest and/or dividend expenses to average daily net assets^(f)			0.00	%^(e)			0.00	^%(e)			0.01	%			0.00	%^(e)			0.00	%^(e)			0.00	%^(e)			0.00	%^(e)			0.01	%			0.00	%^(e)			0.00	%^(e)
Total net expenses to average daily net assets^(d)			0.29	%			0.35	%			0.36	%			0.37	%			0.38	%			0.24	%			0.30	%			0.31	%			0.32	%			0.33	%
Net investment income (loss) to average daily net assets^(b)			1.91	%			1.21	%			1.14	%			0.89	%			0.95	%			2.14	%			1.10	%			1.17	%			0.94	%			0.99	%
Portfolio turnover rate			198	%^(g)			216	%^(g)			21	%			128	%			87	%			198	%^(g)			216	%^(g)			21	%			128	%			87	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:^(h)			0.14	%			0.30	%			0.21	%			0.15	%			0.12	%			0.14	%			0.26	%			0.21	%			0.15	%			0.12	%

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

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

^(c)

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

^(e)	Ratio is less than 0.01%.

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

^(g)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 221% and 325%, respectively, of the average value of its portfolio.

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

†	Calculated using average shares outstanding throughout the period.


54		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND


	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)				2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)
Net asset value, beginning of period		$	28.99			$	26.01			$	28.47			$	29.31			$	31.02			$	28.95			$	25.98			$	28.44			$	29.28			$	30.99

Income (loss) from investment operations:
Net investment income (loss)^(b)†			1.36				1.94				1.53				1.77	^(c)			1.80				1.39				1.95				1.53				1.80	^(c)			1.80
Net realized and unrealized gain (loss)			0.32				3.01	^(d)			(2.04	)			(0.03	)			(1.77	)			0.29				3.01	^(d)			(2.01	)			(0.06	)			(1.74	)

Total from investment operations			1.68				4.95				(0.51	)			1.74				0.03				1.68				4.96				(0.48	)			1.74				0.06

Less distributions to shareholders:
From net investment income			(2.05	)			(1.97	)			(1.95	)			(2.58	)			(1.74	)			(2.06	)			(1.99	)			(1.98	)			(2.58	)			(1.77	)

Total distributions			(2.05	)			(1.97	)			(1.95	)			(2.58	)			(1.74	)			(2.06	)			(1.99	)			(1.98	)			(2.58	)			(1.77	)

Net asset value, end of period		$	28.62			$	28.99			$	26.01			$	28.47			$	29.31			$	28.57			$	28.95			$	25.98			$	28.44			$	29.28

Total Return^(e)			5.81	%			19.47	%			(1.77	)%			6.03	%			0.27	%			5.83	%			19.50	%			(1.73	)%			6.07	%			0.33	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,273,188			$	1,067,086			$	827,667			$	746,182			$	582,639			$	2,862,977			$	3,018,159			$	3,099,809			$	3,262,104			$	2,465,331
Net operating expenses to average daily net assets^(f)			0.53	%			0.54	%			0.54	%			0.56	%			0.56	%^(g)			0.48	%			0.49	%			0.49	%			0.51	%			0.51	%^(g)
Interest and/or dividend expenses to average daily net assets^(h)			0.00	%⁽ⁱ⁾			—				0.00	%⁽ⁱ⁾			—				—				0.00	%⁽ⁱ⁾			—				0.00	%⁽ⁱ⁾			—				—
Total net expenses to average daily net assets^(f)			0.53	%			0.54	%			0.54	%			0.56	%			0.56	%^(g)			0.48	%			0.49	%			0.49	%			0.51	%			0.51	%^(g)
Net investment income (loss) to average daily net assets^(b)			4.57	%			6.76	%			5.58	%			5.86	%^(j)			5.99	%			4.67	%			6.81	%			5.60	%			5.93	%^(j)			6.02	%
Portfolio turnover rate			34	%^(k)			21	%^(k)			20	%			18	%			27	%			34	%^(k)			21	%^(k)			20	%			18	%			27	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:^(l)			0.00	%⁽ⁱ⁾			0.00	%⁽ⁱ⁾			0.00	%⁽ⁱ⁾			0.00	%⁽ⁱ⁾			—				0.00	%⁽ⁱ⁾			0.00	%⁽ⁱ⁾			0.00	%⁽ⁱ⁾			0.00	%⁽ⁱ⁾			—
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.03			$	0.04	^(a)		$	0.04	^(a)		$	0.06	^(a)		$	0.05	^(a)		$	0.03			$	0.04	^(a)		$	0.04	^(a)		$	0.06	^(a)		$	0.05	^(a)

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

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

^(c)

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

^(d)	Includes realized gain per share of $0.23 and $0.23, respectively, as a result of litigation on Argentinian sovereign debt. Excluding this income, the Fund’s realized gain per share would have been $2.78 and $2.78, respectively.

^(e)

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

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

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

⁽ⁱ⁾	Ratio is less than 0.01%.

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

^(k)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 33% and 23%, respectively, of the average value of its portfolio.

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

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		55

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND


	Class VI Shares
	Year Ended February 28/29,
	2018				2017				2016				2015^(a)				2014^(a)(b)
Net asset value, beginning of period		$	25.78			$	24.57			$	24.80			$	24.22			$	24.22

Income (loss) from investment operations:
Net investment income (loss)^(c)†			1.15				0.96				0.53				0.54				0.84
Net realized and unrealized gain (loss)			0.18				0.89				(0.34	)			0.42				0.14

Total from investment operations			1.33				1.85				0.19				0.96				0.98

Less distributions to shareholders:
From net investment income			(0.70	)			(0.64	)			(0.42	)			(0.38	)			(0.56	)
From net realized gains			—				—				—				—				(0.42	)

Total distributions			(0.70	)			(0.64	)			(0.42	)			(0.38	)			(0.98	)

Net asset value, end of period		$	26.41			$	25.78			$	24.57	^(d)		$	24.80			$	24.22

Total Return^(e)			5.18	%			7.62	%			0.77	%			3.98	%			4.27	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,205,954			$	1,510,894			$	1,648,019			$	1,790,805			$	2,111,080
Net operating expenses to average daily net assets^(f)			0.47	%			0.33	%			0.31	%			0.31	%			0.31	%^(g)
Interest and/or dividend expenses to average daily net assets⁽ⁱ⁾			0.00	%^(h)			0.00	%^(h)			0.00	%^(h)			0.00	%^(h)			—
Total net expenses to average daily net assets^(f)			0.47	%			0.33	%			0.31	%			0.31	%			0.31	%^(g)
Net investment income (loss) to average daily net assets^(c)			4.39	%			3.82	%			2.13	%			2.18	%			3.51	%
Portfolio turnover rate			152	%^(j)			66	%^(j)			66	%			37	%			30	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%			0.04	%			0.03	%			0.03	%			0.02	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.04			$	0.03			$	0.04			$	0.03			$	0.05

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

^(b)

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

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

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

^(e)

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

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

^(h)	Ratio is less than 0.01%.

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

^(j)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 175% and 75%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.


56		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. TREASURY FUND


	Core Shares
	Year Ended February 28/29,
	2018				2017				2016				2015				2014
Net asset value, beginning of period		$	25.00			$	25.00			$	25.00			$	25.00			$	25.00

Income (loss) from investment operations:
Net investment income (loss)†			0.26				0.12				0.04				0.01				0.02
Net realized and unrealized gain (loss)			(0.03	)			0.01				0.00				0.00	^(a)			0.01

Total from investment operations			0.23				0.13				0.04				0.01				0.03

Less distributions to shareholders:
From net investment income			(0.26	)			(0.12	)			(0.03	)			(0.01	)			(0.02	)
From net realized gains			—				(0.01	)			(0.01	)			(0.00	)^(b)			(0.01	)

Total distributions			(0.26	)			(0.13	)			(0.04	)			(0.01	)			(0.03	)

Net asset value, end of period		$	24.97			$	25.00			$	25.00			$	25.00			$	25.00

Total Return^(c)			0.96	%			0.54	%			0.19	%			0.06	%			0.11	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,324,706			$	2,666,697			$	4,033,504			$	2,243,931			$	1,909,864
Net expenses to average daily net assets			0.00	%^(d)			0.00	%^(d)			0.00	%^(d)			0.00	%^(d)			0.00	%^(d)(e)
Net investment income (loss) to average daily net assets			1.06	%			0.47	%			0.16	%			0.05	%			0.08	%
Portfolio turnover rate^(f)			0	%			0	%			0	%			0	%			0	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.09	%			0.10	%			0.10	%			0.10	%			0.10	%

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

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

^(c)

^(d)	Ratio is less than 0.01%.

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

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

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		57

GMO Trust Funds

Notes to Financial Statements

February 28, 2018

1.	Organization

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

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

Many of the Funds may invest without limitation in other GMO Funds (“underlying funds”). In particular, pursuant to an exemptive order granted by the Securities and Exchange Commission (“SEC”), some of the Funds may invest in Emerging Country Debt Fund, Opportunistic Income Fund and U.S. Treasury Fund. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

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



Fund Name	Benchmark	Investment Objective
Asset Allocation Bond Fund	Citigroup 3-Month Treasury Bill Index	Total return in excess of benchmark
Core Plus Bond Fund	Bloomberg Barclays U.S. Aggregate Index	Total return in excess of benchmark
Emerging Country Debt Fund	J.P. Morgan EMBI Global	Total return in excess of benchmark
Opportunistic Income Fund	Bloomberg Barclays U.S. Securitized Index	Capital appreciation and current income
U.S. Treasury Fund	Not Applicable	Liquidity and safety of principal with current income as a secondary objective

Asset Allocation Bond Fund and U.S. Treasury Fund currently limit subscriptions.

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

2.	Significant accounting policies

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

Portfolio valuation

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a specific relevant pricing source determined by GMO. Although GMO normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the year ended February 28, 2018, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets which close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds, held either directly or through investments in the underlying funds, if any, that were valued using fair value inputs obtained from that independent pricing service as of February 28, 2018. 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

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

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 February 28, 2018 is as follows:

Securities and derivatives



Fund Name	Fair valued using methods determined in good faith by or at the direction of the Trustees			Single source; No alternative pricing source was available
Asset Allocation Bond Fund		—			—
Core Plus Bond Fund		< 1%			1%
Emerging Country Debt Fund		1%	†		3%
Opportunistic Income Fund		1%	‡		3%
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, vendor) 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 February 28, 2018.

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 debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

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 February 28, 2018:



Description	Level 1		Level 2			Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	299,129,715	$	735,417,214		$	—	$	1,034,546,929
U.S. Government Agency		14,993,741		—			—		14,993,741

TOTAL DEBT OBLIGATIONS		314,123,456		735,417,214			—		1,049,540,670

Short-Term Investments		42,343,394		124,999,517			—		167,342,911

Total Investments		356,466,850		860,416,731			—		1,216,883,581

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		1,750,429			—		1,750,429
Swap Contracts
Interest Rate Risk		—		921,854			—		921,854

Total	$	356,466,850	$	863,089,014		$	—	$	1,219,555,864


Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(3,387,621	)	$	—	$	(3,387,621	)
Swap Contracts
Interest Rate Risk		—		(2,268,145	)		—		(2,268,145	)

Total	$	—	$	(5,655,766	)	$	—	$	(5,655,766	)


Core Plus Bond Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	6,464,752		$	—	$	6,464,752
U.S. Government		362,539,438		—			—		362,539,438
U.S. Government Agency		—		142,745,413			—		142,745,413

TOTAL DEBT OBLIGATIONS		362,539,438		149,210,165			—		511,749,603

Mutual Funds		411,473,413		—			—		411,473,413
Short-Term Investments		7,066,648		167,325,331			—		174,391,979

Total Investments		781,079,499		316,535,496			—		1,097,614,995

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018



Description	Level 1			Level 2			Level 3			Total
Core Plus Bond Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	2,656,262		$	—		$	2,656,262
Futures Contracts
Interest Rate Risk		281,284			—			—			281,284
Swap Contracts
Interest Rate Risk		—			1,100,119			—			1,100,119

Total	$	781,360,783		$	320,291,877		$	—		$	1,101,652,660


Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(11,492,764	)	$	—		$	(11,492,764	)
Futures Contracts
Interest Rate Risk		(10,593	)		—			—			(10,593	)
Swap Contracts
Interest Rate Risk		—			(3,510,809	)		—			(3,510,809	)

Total	$	(10,593	)	$	(15,003,573	)	$	—		$	(15,014,166	)


Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	46,471,840		$	—		$	46,471,840
Corporate Debt		—			2,554,939			26,126,080			28,681,019
Foreign Government Agency		—			788,417,425			134,381,263			922,798,688
Foreign Government Obligations		—			1,949,806,347			123,199,974			2,073,006,321
U.S. Government		144,704,178			75,310,914			—			220,015,092

TOTAL DEBT OBLIGATIONS		144,704,178			2,862,561,465			283,707,317			3,290,972,960

Loan Assignments		—			—			1,110,398			1,110,398
Loan Participations		—			—			59,670,207			59,670,207
Mutual Funds		96,178,792			—			—			96,178,792
Rights/Warrants		—			45,407,761			6,474,227			51,881,988
Short-Term Investments		598,742,920			—			—			598,742,920

Total Investments		839,625,890			2,907,969,226			350,962,149			4,098,557,265

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			1,957,106			—			1,957,106
Options
Credit Risk		—			—			477,374			477,374
Swap Contracts
Credit Risk		—			10,437,626			—			10,437,626

Total	$	839,625,890		$	2,920,363,958		$	351,439,523		$	4,111,429,371


Liability Valuation Inputs
Derivatives^
Options
Credit Risk	$	—		$	—		$	(1,389,607	)	$	(1,389,607	)
Swap Contracts
Credit Risk		—			(16,820,416	)		—			(16,820,416	)
Interest Rate Risk		—			(11,191,816	)		—			(11,191,816	)

Total	$	—		$	(28,012,232	)	$	(1,389,607	)	$	(29,401,839	)

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018



Description	Level 1			Level 2			Level 3		Total
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	1,015,148,017		$	37,555,550	$	1,052,703,567
U.S. Government Agency		2,499,070			122,166,840			17,123,540		141,789,450

TOTAL DEBT OBLIGATIONS		2,499,070			1,137,314,857			54,679,090		1,194,493,017

Mutual Funds		58,387,949			—			—		58,387,949
Short-Term Investments		53,014,809			—			—		53,014,809
Purchased Options		—			493,775			—		493,775

Total Investments		113,901,828			1,137,808,632			54,679,090		1,306,389,550

Derivatives^
Futures Contracts
Interest Rate Risk		53,404			—			—		53,404
Swap Contracts
Credit Risk		—			22,385,958			—		22,385,958
Interest Rate Risk		—			3,788,704			—		3,788,704

Total	$	113,955,232		$	1,163,983,294		$	54,679,090	$	1,332,617,616


Liability Valuation Inputs
Debt Obligations
U.S. Government Agency	$	—		$	(82,708,048	)	$	—	$	(82,708,048	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(17,898	)		—		(17,898	)
Futures Contracts
Interest Rate Risk		(18,371	)		—			—		(18,371	)
Written Options
Credit Risk		—			(241,049	)		—		(241,049	)
Swap Contracts
Credit Risk		—			(6,421,838	)		—		(6,421,838	)
Interest Rate Risk		—			(285,552	)		—		(285,552	)

Total	$	(18,371	)	$	(89,674,385	)	$	—	$	(89,692,756	)


U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	2,347,170,582		$	—		$	—	$	2,347,170,582

Total Investments		2,347,170,582			—			—		2,347,170,582

Total	$	2,347,170,582		$	—		$	—	$	2,347,170,582

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), in the case of forward currency contracts, 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 rights/warrants, if any, which are included in investments.

The underlying funds held at year 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

For all Funds for the year ended February 28, 2018, 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 February 28, 2018			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 28, 2018
Emerging Country Debt Fund
Debt Obligations
Asset-Backed Securities	$	22,085,437		$	1,257,957	$	(1,659,757	)	$	241,052		$	—		$	1,430,365		$	—		$	(23,355,054	)‡	$	—		$	—
Corporate Debt		20,060,000			4,576,198		—			(1,114	)		—			1,490,996			—			—			26,126,080			1,490,996
Foreign Government Agency		101,585,077			16,588,105		—			1,446,687			—			14,761,394			—			—			134,381,263			14,761,394
Foreign Government Obligations		51,158,299			3,801,642		—			1,715,283			—			(1,274,764	)		67,799,514	‡		—			123,199,974			(1,274,764	)

Total Debt Obligations		194,888,813			26,223,902		(1,659,757	)		3,401,908			—			16,407,991			67,799,514			(23,355,054	)		283,707,317			14,977,626

Loan Assignments		4,908,530			683,423		(4,905,268	)		531,698			—			(107,985	)		—			—			1,110,398			148,935
Loan Participations		64,195,406			4,355,377		(16,041,083	)		2,253,730			(19,280	)		4,926,057			—			—			59,670,207			4,568,250
Rights/Warrants		8,070,406			1,138,875		—			—			—			(2,735,054	)		—			—			6,474,227			(2,735,054	)

Total Investments		272,063,155			32,401,577		(22,606,108	)		6,187,336			(19,280	)		18,491,009			67,799,514			(23,355,054	)		350,962,149			16,959,757

Derivatives
Options		(2,056,772	)		—		(49,083	)		—			120,135			1,073,487			—			—			(912,233	)		3,595,626

Total	$	270,006,383		$	32,401,577	$	(22,655,191	)#	$	6,187,336		$	100,855		$	19,564,496		$	67,799,514		$	(23,355,054	)	$	350,049,916		$	20,555,383


Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	53,500,201		$	31,917,381	$	(37,562,086	)	$	1,105,353		$	430,723		$	1,145,013		$	—		$	(12,981,035	)‡	$	37,555,550		$	1,312,540
U.S. Government Agency		19,602,790			—		(2,604,608	)		(7,611	)		—			132,969			—			—			17,123,540			132,969

Total	$	73,102,991		$	31,917,381	$	(40,166,694	)##	$	1,097,742		$	430,723		$	1,277,982		$	—		$	(12,981,035	)	$	54,679,090		$	1,445,509

†

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

‡

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

Includes $19,434,373 of proceeds received from principal paydowns.

Includes $32,105,819 of proceeds received from principal paydowns.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

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 February 28, 2018 were as follows:



Fund Name	Level 3 securities and derivatives
Asset Allocation Bond Fund		—
Core Plus Bond Fund		1%
Emerging Country Debt Fund		8%
Opportunistic Income Fund		5%
U.S. Treasury Fund		—

Cash

Cash and foreign currency, if any, in the Statements of Assets and Liabilities consist of cash balances held with the custodian. Emerging Country Debt Fund’s cash balance includes $10,478,172 related to a failed trade.

Due to/from broker

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

Foreign currency translation

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

Indexed investments

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

Loan assignments and participations

The Funds (except U.S. Treasury Fund) may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of goods or services, or to other parties by corporate, governmental or other borrower. Such “loans” may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other receivables. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. Unless, under the terms of the loan or other indebtedness a Fund has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. Loan assignments and participations outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

Repurchase agreements

The Funds may enter into repurchase agreements with banks and brokers. Under a repurchase agreement a Fund acquires a security for a relatively short period for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and the value of the securities subject to the repurchase agreement is insufficient, the Fund’s recovery of cash from the seller may be delayed and, even if the Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. As of February 28, 2018, the Funds list below had entered into repurchase agreements. The value of related collateral for each broker listed below exceeds the value of the repurchase agreements at year end. Repurchase agreements outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Fund Name

Counterparty

Gross Value

Net Value (with
related collateral)

Weighted Average
Maturity (days)

Asset Allocation Bond Fund

Nomura Securities
International Inc.

$124,999,517

$127,781,640

1.0

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the year, 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 year, 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 year, if any, are listed in each applicable Fund’s Schedule of Investments.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

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 in the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Short sales outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Taxes and distributions

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 (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

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

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the year ended February 28, 2018, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations.

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

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

U.S. GAAP and tax accounting differences for each Fund primarily relate to reasons described in the following table:



Differences related to:	Asset Allocation Bond Fund	Core Plus Bond Fund	Emerging Country Debt Fund	Opportunistic Income Fund	U.S. Treasury Fund
Interest, accretion and amortization			X	X
Capital loss carry forwards	X	X	X	X
Defaulted bonds			X
Derivative contract transactions	X	X	X	X
Foreign currency transactions	X	X	X	X
Losses on wash sale transactions			X
Losses related to debt obligations				X
Post-October capital losses	X	X		X
There are no significant differences					X

The tax character of distributions declared by each Fund to shareholders is as follows:



	Tax year ended February 28, 2018				Tax year ended February 28, 2017

Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Total Distributions ($)
Asset Allocation Bond Fund		13,002,152		13,002,152		—		—
Core Plus Bond Fund		23,882,096		23,882,096		4,001,013		4,001,013
Emerging Country Debt Fund		280,488,139		280,488,139		277,442,124		277,442,124
Opportunistic Income Fund		32,473,748		32,473,748		37,550,318		37,550,318
U.S. Treasury Fund		24,320,611		24,320,611		16,947,193		16,947,193

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

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

As of February 28, 2018, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:



Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Capital Loss Carryforwards ($)		Post-October Capital Losses ($)
Asset Allocation Bond Fund		7,077,792		(61,180,207)		(1,850,864)
Core Plus Bond Fund		3,077,931		(27,840,924)		(5,029,797)
Emerging Country Debt Fund		40,329,868		(113,999,968)		(980,792)
Opportunistic Income Fund		6,842,414		(101,703,005)		(1,668,698)
U.S. Treasury Fund		—		(739,977)		(586,886)

As of February 28, 2018, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2018, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:



	Short-Term ($)						Long-Term ($)

Fund Name	Expiration Date 2/28/2019		No Expiration Date		Total Short- Term ($)		No Expiration Date
Asset Allocation Bond Fund		—		(24,215,916)		(24,215,916)		(36,964,291)
Core Plus Bond Fund		—		(291,118)		(291,118)		(27,549,806)
Emerging Country Debt Fund		(66,474,254)		(47,525,714)		(113,999,968)		—
Opportunistic Income Fund		—		—		—		(101,703,005)
U.S. Treasury Fund		—		(739,977)		(739,977)		—

As of February 28, 2018, 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		1,227,739,518		141,110		(10,997,047)		(10,855,937)		(1,261,257)
Core Plus Bond Fund		1,101,830,322		10,044,155		(14,259,482)		(4,215,327)		(8,722,546)
Emerging Country Debt Fund		4,130,645,514		260,203,961		(292,292,210)		(32,088,249)		4,402,543
Opportunistic Income Fund		1,201,363,733		40,191,654		(17,873,885)		22,317,769		(3,425,927)
U.S. Treasury Fund		2,348,377,670		118,158		(1,325,246)		(1,207,088)		—

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

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

Security transactions and related investment income

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

Expenses and class allocations

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

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

Purchases and redemptions of Fund shares

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

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

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion.

GMO also may waive or reduce the purchase premium or redemption fee for a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

GMO also may reduce the purchase premium to the extent that securities are used to purchase a Fund’s shares (taking into account transaction costs, stamp duties or transfer fees). GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

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

As of February 28, 2018, the premium on cash purchases and the fee on cash redemptions were as follows:



	Asset Allocation Bond Fund		Core Plus Bond Fund		Emerging Country Debt Fund⁽¹⁾		Opportunistic Income Fund	U.S. Treasury Fund
Purchase Premium		—		—		0.75%	0.40%		—
Redemption Fee		—		—		0.75%	0.40%		—

⁽¹⁾

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

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

3.	Investment and other risks

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



	Asset Allocation Bond Fund	Core Plus Bond Fund	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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

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,

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

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

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

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 SEC has proposed a rule under the 1940 Act, regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.

Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

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

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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.

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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.

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• 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.

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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.

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

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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.

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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

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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

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

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.

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Notes to Financial Statements — (Continued)

February 28, 2018

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.

4.	Derivative financial instruments

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

The Funds may use derivatives to gain long investment exposure to securities or other assets. In particular, the Funds may use swaps or other derivatives on an index, a single security, or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). For example, a Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer or may use a bond futures contract to short the bond market of a particular country. A Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency. The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies without actually having to sell existing 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.

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Notes to Financial Statements — (Continued)

February 28, 2018

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 year ended February 28, 2018, 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

Adjust exposure to foreign currencies

Futures contracts

Adjust interest rate exposure

Maintain the diversity and liquidity of the portfolio

Options (Purchased)

Adjust currency exchange rate risk

Adjust exposure to foreign currencies

Adjust interest rate exposure

Achieve exposure to a reference entity’s credit

Provide a measure of protection against default loss

Options (Written)

Achieve exposure to a reference entity’s credit

Adjust interest rate exposure

Provide a measure of protection against default loss

Options (Credit linked)

Achieve exposure to a reference entity’s credit

Swap contracts

Achieve exposure to a reference entity’s credit

Adjust interest rate exposure

Provide a measure of protection against default loss

Provide exposure to the Fund’s benchmark

Adjust exposure to foreign currencies

Rights and/or warrants

Achieve exposure to a reference commodity/economic statistic

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

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 year, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

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

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Notes to Financial Statements — (Continued)

February 28, 2018

market. Written option contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

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

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.

Swap contracts

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

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

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

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

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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

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

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

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

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

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

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2018 and the Statements of Operations for the year ended February 28, 2018^:

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	$	—	$	—	$	1,750,429		$	—		$	—	$	1,750,429
Swap Contracts, at value¤		—		—		—			921,854			—		921,854

Total	$	—	$	—	$	1,750,429		$	921,854		$	—	$	2,672,283

Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—

Total subject to Master Agreements	$	—	$	—	$	1,750,429		$	921,854		$	—	$	2,672,283

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	(3,387,621	)	$	—		$	—	$	(3,387,621	)
Swap Contracts, at value¤		—		—		—			(2,268,145	)		—		(2,268,145	)

Total	$	—	$	—	$	(3,387,621	)	$	(2,268,145	)	$	—	$	(5,655,766	)

Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—

Total subject to Master Agreements	$	—	$	—	$	(3,387,621	)	$	(2,268,145	)	$	—	$	(5,655,766	)

Net Realized Gain (Loss) on
Investments (purchased options)	$	—	$	—	$	(1,064,009	)	$	—		$	—	$	(1,064,009	)
Forward Currency Contracts		—		—		(2,327,785	)		—			—		(2,327,785	)
Swap Contracts		—		—		—			4,530,459			—		4,530,459

Total	$	—	$	—	$	(3,391,794	)	$	4,530,459		$	—	$	1,138,665

Change in Net Unrealized Appreciation (Depreciation) on
Investments (purchased options)	$	—	$	—	$	899,823		$	—		$	—	$	899,823
Forward Currency Contracts		—		—		(30,118	)		—			—		(30,118	)
Swap Contracts		—		—		—			4,404,844			—		4,404,844

Total	$	—	$	—	$	869,705		$	4,404,844		$	—	$	5,274,549


Core Plus Bond Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—	$	2,656,262		$	—		$	—	$	2,656,262
Unrealized Appreciation on Futures Contracts ¤		—		—		—			281,284			—		281,284
Swap Contracts, at value¤		—		—		—			1,100,119			—		1,100,119

Total	$	—	$	—	$	2,656,262		$	1,381,403		$	—	$	4,037,665

Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—

Total subject to Master Agreements	$	—	$	—	$	2,656,262		$	1,381,403		$	—	$	4,037,665

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	(11,492,764	)	$	—		$	—	$	(11,492,764	)
Unrealized Depreciation on Futures Contracts ¤		—		—		—			(10,593	)		—		(10,593	)
Swap Contracts, at value¤		—		—		—			(3,510,809	)		—		(3,510,809	)

Total	$	—	$	—	$	(11,492,764	)	$	(3,521,402	)	$	—	$	(15,014,166	)

Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—

Total subject to Master Agreements	$	—	$	—	$	(11,492,764	)	$	(3,521,402	)	$	—	$	(15,014,166	)

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018



	Credit Contracts			Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Core Plus Bond Fund (continued)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—	$	30,751		$	—		$	—	$	30,751
Futures Contracts		—			—		—			(2,071,930	)		—		(2,071,930	)
Swap Contracts		—			—		—			9,630,627			—		9,630,627

Total	$	—		$	—	$	30,751		$	7,558,697		$	—	$	7,589,448


Change in Net Unrealized Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	—	$	(8,841,457	)	$	—		$	—	$	(8,841,457	)
Futures Contracts		—			—		—			(13,323	)		—		(13,323	)
Swap Contracts		—			—		—			(1,818,833	)		—		(1,818,833	)

Total	$	—		$	—	$	(8,841,457	)	$	(1,832,156	)	$	—	$	(10,673,613	)


Emerging Country Debt Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—		$	—	$	—		$	—		$	51,881,988	$	51,881,988
Unrealized Appreciation on Forward Currency Contracts		—			—		1,957,106			—			—		1,957,106
Options, at value		477,374			—		—			—			—		477,374
Swap Contracts, at value¤		10,437,626			—		—			—			—		10,437,626

Total	$	10,915,000		$	—	$	1,957,106		$	—		$	51,881,988	$	64,754,094

Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	51,881,988	$	51,881,988

Total subject to Master Agreements	$	10,915,000		$	—	$	1,957,106		$	—		$	—	$	12,872,106

Liability Derivatives
Options, at value	$	(1,389,607	)	$	—	$	—		$	—		$	—	$	(1,389,607	)
Swap Contracts, at value¤		(16,820,416	)		—					(11,191,816	)		—		(28,012,232	)

Total	$	(18,210,023	)	$	—	$	—		$	(11,191,816	)	$	—	$	(29,401,839	)

Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—	$	—

Total subject to Master Agreements	$	(18,210,023	)	$	—	$	—		$	(11,191,816	)	$	—	$	(29,401,839	)

Net Realized Gain (Loss) on:
Forward Currency Contracts	$	—		$	—	$	(10,000,291	)	$	—		$	—	$	(10,000,291	)
Options		120,135			—		—			—			—		120,135
Swap Contracts		(5,032,765	)		—		—			(2,031,830	)		—		(7,064,595	)

Total	$	(4,912,630	)	$	—	$	(10,000,291	)	$	(2,031,830	)	$	—	$	(16,944,751	)

Change in Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—		$	—	$	—		$	—		$	3,159,451	$	3,159,451
Forward Currency Contracts		—			—		1,755,645			—			—		1,755,645
Options		1,073,487			—		—			—			—		1,073,487
Swap Contracts		2,073,913			—		—			(4,936,487	)		—		(2,862,574	)

Total	$	3,147,400		$	—	$	1,755,645		$	(4,936,487	)	$	3,159,451	$	3,126,009

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018



	Credit Contracts			Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Opportunistic Income Fund
Asset Derivatives
Investments, at value (purchased options)	$	493,775		$	—	$	—		$	—		$	—	$	493,775
Unrealized Appreciation on Future Contracts		—			—		—			53,404			—		53,404
Swap Contracts, at value¤		22,385,958			—		—			3,788,704			—		26,174,662

Total	$	22,879,733		$	—	$	—		$	3,842,108		$	—	$	26,721,841

Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—	$	—

Total subject to Master Agreements	$	22,879,733		$	—	$	—		$	3,842,108		$	—	$	26,721,841

Liability Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—	$	(17,898	)	$	—		$	—	$	(17,898	)
Futures					—		—			(18,371	)		—		(18,371	)
Written Options, at value		(241,049	)		—		—			—			—		(241,049	)
Swap Contracts, at value¤		(6,421,838	)		—		—			(285,552	)		—		(6,707,390	)

Total	$	(6,662,887	)	$	—	$	(17,898	)	$	(303,923	)	$	—	$	(6,984,708	)

Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—	$	—

Total subject to Master Agreements	$	(6,662,887	)	$	—	$	(17,898	)	$	(303,923	)	$	—	$	(6,984,708	)

Net Realized Gain (Loss) on
Investments (purchased options)	$	(4,309,414	)	$	—	$	—		$	(963,969	)	$	—	$	(5,273,383	)
Forward Currency Contracts		—			—		(352,853	)		—			—		(352,853	)
Futures Contracts		—			—		—			(1,367,349	)		—		(1,367,349	)
Written Options		2,303,637			—		—			556,307			—		2,859,944
Swap Contracts		(3,246,672	)		359,677		—			499,416			—		(2,387,579	)

Total	$	(5,252,449	)	$	359,677	$	(352,853	)	$	(1,275,595	)	$	—	$	(6,515,220	)

Change in Net Unrealized Appreciation (Depreciation) on
Investments (purchased options)	$	511,293		$	—	$	—		$	721,592		$	—	$	1,232,885
Forward Currency Contracts		—			—		(93,187	)		—			—		(93,187	)
Futures Contracts		—			—		—			35,033			—		35,033
Written Options		(114,099	)		—		—			(226,398	)		—		(340,497	)
Swap Contracts		(2,604,600	)		—		—			625,484			—		(1,979,116	)

Total	$	(2,207,406	)	$	—	$	(93,187	)	$	1,155,711		$	—	$	(1,144,882	)

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

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

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect an early termination of all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be paid by a Fund (or may be received by a Fund) in such an event is represented by the Net Amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at February 28, 2018, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of February 28, 2018:

Asset Allocation Bond Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Barclays Bank plc	$	61,742	$	—		$	61,742		$	—
Goldman Sachs International		830,839		(244,771	)		(586,068	)		—	*
JPMorgan Chase Bank, N.A.		857,848		—			857,848			—

Total	$	1,750,429	$	(244,771	)	$	333,522		$	—



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	371,143	$	(371,143	)	$	—		$	—	*
Barclays Bank plc		651,378		(494,583	)		(61,742	)		95,053
Goldman Sachs International		586,068		—			586,068			—
JPMorgan Chase Bank, N.A.		1,779,032		(921,184	)		(857,848	)		—	*

Total	$	3,387,621	$	(1,786,910	)	$	(333,522	)	$	95,053

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

Core Plus Bond Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Barclays Bank plc	$	93,058	$	—		$	93,058		$	—
Goldman Sachs International		1,249,499		—			1,249,499			—
JPMorgan Chase Bank, N.A.		1,313,705		—			1,313,705			—

Total	$	2,656,262	$	—		$	2,656,262		$	—



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	554,689	$	(554,689	)	$	—		$	—	*
Barclays Bank plc		934,446		(633,413	)		(93,058	)		207,975
Deutsche Bank AG		2,463,930		(2,164,159	)		—			299,771
Goldman Sachs International		2,594,054		(1,126,381	)		(1,249,499	)		218,174
JPMorgan Chase Bank, N.A.		2,736,935		(1,423,230	)		(1,313,705	)		—	*
Morgan Stanley & Co. International PLC		2,208,710		(1,652,339	)		—			556,371

Total	$	11,492,764	$	(7,554,211	)	$	(2,656,262	)	$	1,282,291

Emerging Country Debt Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Deutsche Bank AG	$	4,681,693	$	—		$	4,681,693		$	—
Goldman Sachs International		2,282,240		—			2,282,240			—
JPMorgan Chase Bank, N.A.		2,830,985		—			2,830,985			—
Morgan Stanley & Co. International PLC		435,339		—			—			435,339

Total	$	10,230,257	$	—		$	9,794,918		$	435,339



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	404,121	$	(404,121	)	$	—		$	—	*
Barclays Bank plc		1,213,377		(1,213,377	)		—			—	*
Deutsche Bank AG		7,555,923		(2,625,047	)		(4,681,693	)		249,183
Goldman Sachs International		6,905,157		(3,775,494	)		(2,282,240	)		847,423
JPMorgan Chase Bank, N.A.		13,323,261		(9,735,614	)		(2,830,985	)		756,662	*

Total	$	29,401,839	$	(17,753,653	)	$	(9,794,918	)	$	1,853,268

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

Opportunistic Income Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	5,100,280	$	(4,639,750	)	$	(460,530	)	$	—	*
Credit Suisse International		250,864		(80,000	)		(91,213	)		79,651
Deutsche Bank AG		772,052		(430,000	)		(291,674	)		50,378
Goldman Sachs International		3,988,228		(3,260,801	)		(727,427	)		—	*
JPMorgan Chase Bank, N.A.		9,912,179		(8,628,068	)		(1,284,111	)		—	*
Morgan Stanley Capital Services LLC		2,625,544		—			(166,076	)		2,459,468

Total	$	22,649,147	$	(17,038,619	)	$	(3,021,031	)	$	2,589,497



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	460,530	$	—		$	460,530		$	—
Barclays Bank plc		1,300,683		(1,300,683	)		—			—	*
Citibank N.A.		89,758		—			—			89,758
Credit Suisse International		91,213		—			91,213			—
Deutsche Bank AG		291,674		—			291,674			—
Goldman Sachs International		727,427		—			727,427			—
JPMorgan Chase Bank, N.A.		1,284,111		—			1,284,111			—
Morgan Stanley Capital Services LLC		166,076		—			166,076			—

Total	$	4,411,472	$	(1,300,683	)	$	3,021,031		$	89,758

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

The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts), market values (rights and/or warrants), and principal amounts or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the year ended February 28, 2018:



Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)		Options (Principal)		Options (Contracts)		Rights and/or Warrants ($)
Asset Allocation Bond Fund		572,833,240		—		543,336,280		10,287,500		—		—
Core Plus Bond Fund		174,280,141		95,738,135		521,016,485		—		—		—
Emerging Country Debt Fund		77,931,912		—		1,340,049,568		363,028,667		—		50,625,226
Opportunistic Income Fund		5,848,654		96,620,539		714,929,583		1,059,021,421		5,001		—

5.	Fees and other transactions with affiliates

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

Asset
Allocation
Bond Fund

Core Plus
Bond Fund

Emerging Country
Debt Fund

Opportunistic
Income Fund

U.S. Treasury
Fund

Management Fee

0.25%

0.35%

0.40%^(a)

0.08%^(b)

(a)

Prior to January 1, 2017, the management fee was 0.25%.

(b)

GMO has voluntarily waived the Fund’s entire management fee.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

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



Fund Name	Class III			Class IV		Class VI
Asset Allocation Bond Fund		0.15%					0.055%
Core Plus Bond Fund		0.15%			0.10%
Emerging Country Debt Fund		0.15%			0.10%
Opportunistic Income Fund		0.15%	*				0.055%

Class is offered but has no shareholders as of February 28, 2018.

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

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

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

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

These contractual waivers and reimbursements will continue through at least June 30, 2018 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.

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

The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the year ended February 28, 2018 is shown in the table below and is included in the Statements of Operations.



Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Asset Allocation Bond Fund		31,205		2,855
Core Plus Bond Fund		18,943		1,561
Emerging Country Debt Fund		95,649		8,139
Opportunistic Income Fund		29,312		2,552
U.S. Treasury Fund		53,309		4,658

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 28, 2018 these indirect fees and expenses expressed as a percentage of each Fund’s average daily net assets were as follows:



Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Indirect Interest Expense		Total Indirect Expenses
Asset Allocation Bond Fund		0.000%		0.000%		0.000%		0.000%
Core Plus Bond Fund		0.103%		0.017%		< 0.001%		0.120%
Emerging Country Debt Fund		0.002%		< 0.001%		< 0.001%		0.002%
Opportunistic Income Fund		< 0.001%		0.000%		0.000%		< 0.001%
U.S. Treasury Fund		0.000%		0.000%		0.000%		0.000%

The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the year ended February 28, 2018, the Funds did not engage in these transactions.

6.	Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the year ended February 28, 2018 are noted in the table below:



	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)

Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Asset Allocation Bond Fund		1,060,697,779		—		1,323,743,420		—
Core Plus Bond Fund		1,811,217,174		449,850,212		1,638,934,831		350,646,785
Emerging Country Debt Fund		238,614,205		983,219,998		359,501,648		1,274,070,472
Opportunistic Income Fund		1,278,584,922		1,035,421,954		1,260,236,200		1,260,761,396
U.S. Treasury Fund		—		—		—		—

Cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, in accordance with U.S. GAAP for the year ended February 28, 2018 are noted in the table below:



Fund Name	Purchases ($)		Sales ($)
Emerging Country Debt Fund		143,469,000*		—

$15,552,985 of the purchases in-kind were contributed by affiliates.

7.	Guarantees

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

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

8.	Principal shareholders and related parties as of February 28, 2018



Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund			Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund			Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers			Percentage of the Fund’s shares held by accounts for which GMO has investment discretion
Asset Allocation Bond Fund		2	‡		74.30	%		< 0.01	%		99.99%
Core Plus Bond Fund		4	#		80.01	%		< 0.01	%		98.52%
Emerging Country Debt Fund		—			—			0.15	%		18.60%
Opportunistic Income Fund		3	§		79.10	%		0.58	%		99.07%
U.S. Treasury Fund		1	‡		46.13	%		0.15	%		98.01%

‡

One of the shareholders is another fund of the Trust.

Two of the shareholders are other funds of the Trust.

Three of the shareholders are other funds of the Trust.

9.	Share transactions

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



	Year Ended February 28, 2018						Year Ended February 28, 2017

	Shares			Amount			Shares			Amount
Asset Allocation Bond Fund
Class III:
Shares sold		1,573,475		$	34,917,836			2,214,990		$	48,861,899
Shares issued to shareholders in reinvestment of distributions		91,336			2,024,013			—			—
Shares repurchased		(4,973,988	)		(110,702,677	)		(5,396,762	)		(119,141,029	)

Net increase (decrease)		(3,309,177	)	$	(73,760,828	)		(3,181,772	)	$	(70,279,130	)

Class VI:
Shares sold		2,580,795		$	57,553,648			1,080,206		$	23,894,585
Shares issued to shareholders in reinvestment of distributions		470,101			10,450,335			—			—
Shares repurchased		(11,188,462	)		(249,507,549	)		(31,684,438	)		(702,776,501	)

Net increase (decrease)		(8,137,566	)	$	(181,503,566	)		(30,604,232	)	$	(678,881,916	)


Core Plus Bond Fund
Class III:#
Shares sold		1,511,400		$	31,905,214			767,574		$	16,125,848
Shares issued to shareholders in reinvestment of distributions		15,651			332,939			11,511			240,429
Shares repurchased		(922,673	)		(19,856,258	)		(2,168,606	)		(46,416,742	)

Net increase (decrease)		604,378		$	12,381,895			(1,389,521	)	$	(30,050,465	)

Class IV:#
Shares sold		23,678,705		$	510,328,333			23,983,698		$	504,551,462
Shares issued to shareholders in reinvestment of distributions		1,076,119			22,940,052			177,829			3,760,584
Shares repurchased		(7,650,117	)		(163,862,356	)		(7,405,907	)		(159,277,873	)

Net increase (decrease)		17,104,707		$	369,406,029			16,755,620		$	349,034,173

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018



	Year Ended February 28, 2018						Year Ended February 28, 2017

	Shares			Amount			Shares			Amount
Emerging Country Debt Fund
Class III:#
Shares sold		11,880,407	^(a)	$	347,049,633	^(a)		8,275,889		$	239,701,434
Shares issued to shareholders in reinvestment of distributions		2,305,305			66,786,479			1,985,567			55,168,020
Shares repurchased		(6,501,002	)		(193,461,462	)		(5,267,885	)		(152,424,481	)
Purchase premiums		—			245,786			—			242,030
Redemption fees		—			782,548			—			1,131,479

Net increase (decrease)		7,684,710		$	221,402,984			4,993,571		$	143,818,482

Class IV:#
Shares sold		22,750,109	^(b)	$	673,666,225	^(b)		5,763,893		$	159,047,268
Shares issued to shareholders in reinvestment of distributions		6,058,977			175,314,884			6,895,496			191,536,760
Shares repurchased		(32,863,719	)		(967,610,732	)		(27,719,432	)		(789,476,258	)
Purchase premiums		—			638,653			—			861,411
Redemption fees		—			2,240,267			—			4,035,552

Net increase (decrease)		(4,054,633	)	$	(115,750,703	)		(15,060,043	)	$	(433,995,267	)


Opportunistic Income Fund
Class VI:
Shares sold		5,326,894		$	139,877,903			6,762,681		$	171,348,377
Shares issued to shareholders in reinvestment of distributions		1,013,058			26,556,559			1,438,264			36,271,611
Shares repurchased		(19,292,435	)		(503,079,247	)		(16,653,463	)		(421,440,542	)
Purchase premiums		—			234,774			—			330,391
Redemption fees		—			1,686,586			—			1,329,128

Net increase (decrease)		(12,952,483	)	$	(334,723,425	)		(8,452,518	)	$	(212,161,035	)


U.S. Treasury Fund
Core Class:
Shares sold		328,805,953		$	8,215,411,179			368,440,068		$	9,213,633,291
Shares issued to shareholders in reinvestment of distributions		793,804			19,832,371			549,319			13,735,786
Shares repurchased		(343,182,979	)		(8,574,817,064	)		(423,663,112	)		(10,594,194,801	)

Net increase (decrease)		(13,583,222	)	$	(339,573,514	)		(54,673,725	)	$	(1,366,825,724	)

^(a)

856,877 shares and $24,671,277 were purchased in-kind.

^(b)

4,131,686 shares and $118,797,723 were purchased in-kind. $15,552,985 of the purchases in-kind were contributed by affiliates.

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

100

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

10.

Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the year ended February 28, 2018 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	$	—	$	3,196,881	$	—		$	(1,242,520	)	$	50,741,626
GMO Opportunistic Income Fund, Class VI		113,920,146		91,254,524		14,500,000		5,069,960		569,419			2,541,603			193,785,692
GMO U.S. Treasury Fund		88,644,748		266,060,000		336,140,000		671,965		(44,291	)		(7,415	)		18,513,042

Totals	$	231,287,044	$	380,576,520	$	350,640,000	$	8,938,806	$	525,128		$	1,291,668		$	263,040,360


Emerging Country Debt Fund
GMO Opportunistic Income Fund, Class VI	$	14,643,342	$	—	$	—	$	396,302	$	—		$	357,847		$	15,001,189
GMO U.S. Treasury Fund		87,277,534		—		6,000,000		883,745		(4,802	)		(95,129	)		81,177,603

Totals	$	101,920,876	$	—	$	6,000,000	$	1,280,047	$	(4,802	)	$	262,718		$	96,178,792


Opportunistic Income Fund
GMO U.S. Treasury Fund	$	72,837,633	$	360,930,000	$	375,326,112	$	401,545	$	(50,518	)	$	(3,054	)	$	58,387,949

11.

Subsequent events

Maturity and interest payments due April 10, 2018 on GMO Emerging Country Debt Fund’s investment in Electricidad de Caracas Finance BV 8.50% bond were not received as of April 10, 2018. Related receivables of $4,737,263 which are reflected in the Fund’s Statement of Assets and Liabilities were removed from the Fund subsequent to February 28, 2018.

101

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of GMO Trust and Shareholders of

GMO Asset Allocation Bond Fund, GMO Core Plus Bond Fund, GMO Emerging Country Debt Fund,

GMO Opportunistic Income Fund, and GMO U.S. Treasury Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of GMO Asset Allocation Bond Fund, GMO Core Plus Bond Fund, GMO Emerging Country Debt Fund, GMO Opportunistic Income Fund, and GMO U.S. Treasury Fund (five of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 28, 2018, the related statements of operations for the year ended February 28, 2018, the statements of changes in net assets for each of the two years in the period ended February 28, 2018, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2018, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended February 28, 2018 and each of the financial highlights for each of the five years in the period ended February 28, 2018 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2018 by correspondence with the custodians, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Boston, Massachusetts

April 25, 2018

We have served as the auditor of one or more investment companies in the GMO mutual funds complex since 1985.

102

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

February 28, 2018 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2018.

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2017 through February 28, 2018.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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


	Actual						Hypothetical
	Beginning Account Value September 1, 2017		Ending Account Value February 28, 2018		Expenses Paid During the Period*		Beginning Account Value September 1, 2017		Ending Account Value February 28, 2018		Expenses Paid During the Period*		Annualized Expense Ratio
Asset Allocation Bond Fund
Class III		$1,000.00		$989.90		$1.97		$1,000.00		$1,022.81		$2.01		0.40%
Class VI		$1,000.00		$990.10		$1.53		$1,000.00		$1,023.26		$1.56		0.31%
Core Plus Bond Fund
Class III		$1,000.00		$984.00		$2.02		$1,000.00		$1,022.76		$2.06		0.41%
Class IV		$1,000.00		$984.50		$1.77		$1,000.00		$1,023.01		$1.81		0.36%
Emerging Country Debt Fund
Class III		$1,000.00		$992.90		$2.62		$1,000.00		$1,022.17		$2.66		0.53%
Class IV		$1,000.00		$992.80		$2.37		$1,000.00		$1,022.41		$2.41		0.48%
Opportunistic Income Fund
Class VI		$1,000.00		$1,018.30		$2.35		$1,000.00		$1,022.46		$2.36		0.47%
U.S. Treasury Fund
Core		$1,000.00		$1,005.60		$0.00		$1,000.00		$1,024.80		$0.00		0.00%

Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended February 28, 2018, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

103

GMO Trust Funds

Tax Information for the Tax Year Ended February 28, 2018 (Unaudited)

The following information is being provided in order to meet reporting requirements set forth by the Code and/or to meet state-specific requirements. Shareholders should consult their tax advisors.

With respect to distributions paid, the Funds designate the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year-ended February 28, 2018:



Fund Name	U.S. Government Obligation Income^(a)(b)		Interest- Related Dividend Income^(c) ($)
Asset Allocation Bond Fund		100%		13,002,152
Core Plus Bond Fund		28.62%		11,098,004
Emerging Country Debt Fund		3.01%		4,944,139
Opportunistic Income Fund		1.79%		27,046,238
U.S. Treasury Fund		91.70%		24,320,611

^(a)

Presented as a percentage of net investment income and short-term capital gain distributions paid, if any.

^(b)

All or a portion of these amounts may be exempt from taxation at the state level.

^(c)

These amounts are generally exempt from U.S. withholding taxes for non-U.S. shareholders, provided certain conditions are satisfied by both the Funds and the Funds’ shareholders. If applicable, interest related dividend amounts could include short-term capital gain dividends received from underlying funds.

In early 2019, the Funds will notify applicable shareholders of amounts for use in preparing 2018 U.S. federal income tax forms.

104

Trustees and Officers (Unaudited)

The following tables present information regarding each Trustee and officer of the Trust as of April 25, 2018. Each Trustee’s and officer’s year of birth (“YOB”) is set forth after his or her name. Unless otherwise noted, (i) each Trustee and officer has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity, and (ii) the address of each Trustee and officer is c/o GMO Trust, 40 Rowes Wharf, Boston, MA 02110. Each Trustee serves in office until the earlier of (a) the election and qualification of a successor at the next meeting of shareholders called to elect Trustees or (b) the Trustee dies, resigns, or is removed as provided in the Trust’s governing documents. Each of the Trustees of the Trust, other than Mr. Harrison, is not an “interested person” of the Trust, as such term is used in the 1940 Act (each, an “Independent Trustee”). Because the Funds do not hold annual meetings of shareholders, each Trustee will hold office for an indeterminate period. Each officer serves in office until his or her successor is elected and determined to be qualified to carry out the duties and responsibilities of the office, or until the officer resigns or is removed from office.

Independent Trustees

Name and
Year of Birth

Position(s)
Held with the Trust

Length of

Time Served

Principal Occupation(s)
During Past
5 Years

Number of
Portfolios in
Fund Complex¹
Overseen

Other
Directorships
Held in the Past
Five Years

Donald W. Glazer

YOB: 1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Law and Business; Author of Legal Treatises.

Director, BeiGene Ltd. (biotech research).

Peter Tufano

YOB: 1957

Trustee

Since December 2008.

Peter Moores Dean and Professor of Finance, University of Oxford Saïd Business School (as of July 1, 2011).

Trustee of State Street Navigator Securities Lending Trust

(5 Portfolios).

Paul Braverman

YOB: 1949

Trustee

Since March 2010.

Director of Leerink Swann Holdings, LLC (investment bank) (October 2013 – present); Director of Aesir Capital Management (investment advisor) (November 2012 – present); Director of Kieger (US) Ltd. (investment advisor) (January 2015 – present).

Director of Claren Road Asset Management, LLC (hedge fund); Trustee of HIMCO Variable Insurance Trust (27 Portfolios).

Interested Trustee and Officer

Jason B. Harrison.²

YOB: 1977

Trustee; President of the Trust

Trustee and President since March 2018.

Product Development, Grantham, Mayo, Van Otterloo & Co. LLC (October 2015 – present); Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2006 – 2015)

None.

¹	The Fund Complex includes series of each of GMO Trust and GMO Series Trust. Mr. Harrison also serves as a Trustee of GMO Series Trust.

²	Mr. Harrison is an “interested person” of the Trust, as such term is used in the 1940 Act (an “Interested Trustee”), by virtue of his positions with the Trust and GMO indicated in the table above and his interest as a member of GMO.

105


Officers

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Jason B. Harrison YOB: 1977	Trustee; President of the Trust	Trustee and President since March 2018.	Product Development, Grantham, Mayo, Van Otterloo & Co. LLC (October 2015 – present); Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2006 – 2015)

Sheppard N. Burnett YOB: 1968	Chief Executive Officer	Chief Executive Officer since June 2015; Chief Financial Officer, March 2007 – June 2015; Treasurer, November 2006 – June 2015; Assistant Treasurer, September 2004 – November 2006.	Head of Fund Treasury and Tax, Grantham, Mayo, Van Otterloo & Co. LLC (December 2006 – present).

Carly Cushman YOB: 1984	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer and Chief Financial Officer since June 2015; Chief Accounting Officer since May 2014; Assistant Treasurer, September 2013 – June 2015.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (December 2009 – present); Senior Accountant, Renaissance HealthCare (February 2009 – December 2009); Auditor/Senior Auditor, Deloitte & Touche (September 2006 – February 2009).

John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present).

Betty Maganzini YOB: 1972	Assistant Treasurer	Since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present); Assistant Treasurer (June 2009 – July 2010), Manager, Fund Administration and Regulatory Affairs (2006 – 2009), Hambrecht & Quist Capital Management LLC.

Mahmoodur Rahman YOB: 1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2007 – present).

Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present)

Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – present).

Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present); Associate, K&L Gates LLP (September 2007 – July 2015).

Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).

Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present); Associate, Dechert LLP (October 2010 – February 2015).

Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present); Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (March 2000 – May 2015).

Claire Wilkinson YOB: 1965	Anti-Money Laundering Officer	Since February 2016.	Compliance Associate, GMO UK Limited (April 2013 – present); General Counsel, MVision Private Equity Advisers Limited (November 2009 – January 2013).

*	Each officer of the Trust may also serve as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

106

GMO Trust

Annual Report

February 28, 2018

Climate Change Fund

Emerging Domestic Opportunities Fund

Emerging Markets Fund

Foreign Small Companies Fund

International Equity Fund

International Large/Mid Cap Equity Fund

Quality Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities Fund

U.S. Equity Allocation Fund

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

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

TABLE OF CONTENTS


Climate Change Fund
Management Discussion and Analysis of Fund Performance			2
Performance Graph			3
Investment Concentration Summary			4
Schedule of Investments			5
Emerging Domestic Opportunities Fund
Management Discussion and Analysis of Fund Performance			8
Performance Graph			9
Investment Concentration Summary			10
Schedule of Investments			11
Emerging Markets Fund
Management Discussion and Analysis of Fund Performance			14
Performance Graph			15
Investment Concentration Summary			16
Schedule of Investments			17
Foreign Small Companies Fund
Management Discussion and Analysis of Fund Performance			26
Performance Graph			27
Investment Concentration Summary			28
Schedule of Investments			29
International Equity Fund
Management Discussion and Analysis of Fund Performance			32
Performance Graph			33
Investment Concentration Summary			34
Schedule of Investments			35
International Large/Mid Cap Equity Fund
Management Discussion and Analysis of Fund Performance			42
Performance Graph			43
Investment Concentration Summary			44
Schedule of Investments			45
Quality Fund
Management Discussion and Analysis of Fund Performance			50
Performance Graph			51
Investment Concentration Summary			52
Schedule of Investments			53
Resources Fund
Management Discussion and Analysis of Fund Performance			56
Performance Graph			57
Investment Concentration Summary			58
Schedule of Investments			59
Risk Premium Fund
Management Discussion and Analysis of Fund Performance			62
Performance Graph			63
Investment Concentration Summary			64
Schedule of Investments			65
Tax-Managed International Equities Fund
Management Discussion and Analysis of Fund Performance			66
Performance Graph			67
Investment Concentration Summary			68
Schedule of Investments			69
U.S. Equity Allocation Fund
Management Discussion and Analysis of Fund Performance			76
Performance Graph			77
Investment Concentration Summary			78
Schedule of Investments			79
Portfolio, Counterparty and Currency Abbreviations			83
Fund Financial Statements:
Statements of Assets and Liabilities			84
Statements of Operations			90
Statements of Changes in Net Assets			93
Financial Highlights			99
Notes to Financial Statements			111
Report of Independent Registered Public Accounting Firm			166
Fund Expenses			167
Tax Information			169
Trustees and Officers			170

GMO Climate Change Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Focused Equity Team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Climate Change Fund returned 23.28% (net) for the period from the Fund’s inception on April 5, 2017 through February 28, 2018, as compared with 17.63% for the MSCI ACWI.

The Fund’s large overweight to clean energy provided negative allocation and positive selection impacts. An overweight to wind companies detracted. The Fund’s solar companies did especially well, up over 107%, with SolarEdge Technologies and First Solar leading the way.

The Fund’s overweight to copper provided positive allocation and selection impacts. Freeport-McMoRan was among the largest contributors.

The Fund’s overweight to agriculture provided positive allocation and negative selection impacts. The Fund’s farming exposure suffered from lower grain prices that detracted from the Fund’s return.

GMO Climate Change Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Climate Change Fund Class III Shares and the MSCI ACWI

As of February 28, 2018

LOGO

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Climate Change Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		92.5	%
Preferred Stocks		4.7
Mutual Funds		2.8
Short-Term Investments		0.2
Other		(0.2	)

		100.0	%


Country Summary¤	% of Investments
United States		24.5	%
Japan		10.5
France		9.0
China		7.0
Germany		6.4
Norway		5.7
Chile		4.3
Denmark		4.0
Russia		3.6
United Kingdom		2.9
Spain		2.7
Canada		2.6
Poland		2.6
Netherlands		2.5
Australia		2.2
Italy		2.0
Other Developed		1.9	‡
Argentina		1.2
Other Emerging		1.2	†
South Korea		1.1
Portugal		1.1
Brazil		1.0

		100.0	%


Industry Group Summary	% of Equity Investments^#
Clean Energy		40.8	%
Agriculture		20.8
Energy Efficiency		19.0
Copper		9.9
Smart Grid		5.3
Water		4.2

		100.0	%

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

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

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

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

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

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		COMMON STOCKS— 92.5%

		Argentina — 1.2%
	35,553	Adecoagro SA ^*		319,621


		Australia — 2.2%
	33,717	Galaxy Resources Ltd ^*		89,492
	193,132	Neometals Ltd ^*		53,425
	34,277	OZ Minerals Ltd		253,617
	53,371	Quintis Ltd ^{* (a)}		12,229
	21,759	Sandfire Resources NL		127,922
	18,270	Tassal Group Ltd		53,710

		Total Australia		590,395


		Austria — 0.3%
	6,887	Zumtobel Group AG		73,452


		Canada — 2.6%
	16,063	Canadian Solar Inc ^*		252,189
	88,371	Capstone Mining Corp ^*		95,037
	7,102	Nutrien Ltd ^*		348,957

		Total Canada		696,183


		Chile — 0.6%
	166,240	Enel Generacion Chile SA		155,746


		China — 7.0%
	1,280,000	Century Sunshine Group Holdings Ltd ^*		40,842
	231,000	Chaowei Power Holdings Ltd		141,497
	305,000	China Datang Corp Renewable Power Co Ltd – Class H		37,651
	185,000	China High Speed Transmission Equipment Group Co Ltd		318,384
	804,000	China Singyes Solar Technologies Holdings Ltd ^*		320,657
	1,229,000	Guodian Technology & Environment Group Corp Ltd – Class H ^*		84,911
	44,100	Sino Agro Food, Inc. ^*		34,835
	182,000	Tianneng Power International Ltd		179,861
	240,000	Wasion Group Holdings Ltd		126,026
	232,600	Xinjiang Goldwind Science & Technology Co Ltd – Class H		363,909
	60,000	Zhengzhou Yutong Bus Co Ltd – Class A		218,039

		Total China		1,866,612


		Denmark — 4.0%
	14,836	Vestas Wind Systems A/S		1,072,213


		France — 9.0%
	2,763	Albioma SA		69,059
	18,535	Electricite de France SA		240,343
	992	Nexans SA		52,275
	6,126	Schneider Electric SE ^*		530,933
	23,328	STMicroelectronics NV		530,532


Shares		Description	Value ($)
		France — continued
	22,614	Suez		310,583
	3,524	Valeo SA		227,890
	10,347	Veolia Environnement SA		251,309
	1,966	Vilmorin & Cie SA		178,565

		Total France		2,391,489


		Germany — 6.4%
	3,538	CENTROTEC Sustainable AG		61,716
	8,157	CropEnergies AG		61,973
	5,228	Energiekontor AG		87,360
	6,742	Innogy SE		268,891
	11,635	K+S AG (Registered)		324,009
	5,010	Nordex SE ^*		57,562
	980	OSRAM Licht AG		77,377
	30,027	PNE Wind AG (Registered)		107,985
	13,773	Senvion SA ^*		166,460
	3,770	Siemens AG (Registered)		494,024

		Total Germany		1,707,357


		Israel — 0.8%
	51,952	Israel Chemicals Ltd		220,826


		Italy — 2.0%
	10,466	CNH Industrial NV		140,841
	7,966	Prysmian SPA		250,155
	26,250	Terna Rete Elettrica Nazionale SPA		145,500

		Total Italy		536,496


		Japan — 10.5%
	18,300	ADEKA Corp		332,780
	1,400	Central Japan Railway Co		260,033
	2,000	East Japan Railway Co		187,624
	5,200	Ebara Corp		191,906
	46,000	GS Yuasa Corp		254,827
	28,800	Hitachi Zosen Corp		144,970
	4,100	Kubota Corp		74,193
	1,500	Kurita Water Industries Ltd		45,848
	1,500	Odelic Co Ltd		66,382
	2,100	Organo Corp		67,215
	13,000	Osaki Electric Co Ltd		97,501
	26,900	Panasonic Corp		418,724
	13,400	Renesas Electronics Corp ^*		153,239
	12,500	Sumitomo Forestry Co Ltd		208,397
	8,100	Takuma Co Ltd		96,961
	2,800	West Japan Railway Co		194,134

		Total Japan		2,794,734


		Kenya — 0.2%
	543,600	Kenya Electricity Generating Co Ltd ^*		48,454


		See accompanying notes to the financial statements.		5

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Malaysia — 0.1%
	36,200	Mega First Corp BHD		33,373


		Netherlands — 2.5%
	8,717	Arcadis NV		208,831
	7,699	Philips Lighting NV		304,996
	7,599	SIF Holding NV		150,197

		Total Netherlands		664,024


		Norway — 5.7%
	48,077	Austevoll Seafood ASA		430,991
	3,641	Bakkafrost P/F		183,837
	8,276	Grieg Seafood ASA		72,778
	4,029	Marine Harvest ASA		77,609
	10,769	Salmar ASA		382,856
	8,591	Yara International ASA		379,612

		Total Norway		1,527,683


		Poland — 2.6%
	3,838	Grupa Azoty SA		65,036
	20,592	KGHM Polska Miedz SA		624,915

		Total Poland		689,951


		Portugal — 1.1%
	90,225	EDP – Energias de Portugal SA		301,598


		Russia — 3.6%
	12,960	PhosAgro PJSC GDR (Registered)		196,889
	48,703	Ros Agro Plc GDR (Registered)		481,485
	8,616,159	RusHydro PJSC		119,388
	89,932	Uralkali PJSC ^*		165,076

		Total Russia		962,838


		South Africa — 0.1%
	3,481	Tongaat Hulett Ltd		31,762


		South Korea — 1.1%
	859	LG Chem Ltd		303,336


		Spain — 2.7%
	796	Acciona SA		67,376
	777	Construcciones y Auxiliar de Ferrocarriles SA		37,484
	9,287	Endesa SA		194,958
	38,928	Iberdrola SA		286,484
	2,277	Red Electrica Corp SA		44,303
	5,896	Saeta Yield SA		87,429

		Total Spain		718,034


		Switzerland — 0.8%
	3,189	ABB Ltd (Registered)		77,170
	150	Gurit Holding AG ^*		150,218

		Total Switzerland		227,388


Shares		Description	Value ($)
		Ukraine — 0.8%
	14,204	Kernel Holding SA ^*		201,508


		United Kingdom — 2.9%
	15,363	Antofagasta Plc		182,642
	6,993	Go-Ahead Group Plc		146,860
	19,151	National Grid Plc		193,816
	23,808	Polypipe Group Plc		127,362
	61,215	Stagecoach Group Plc		119,233

		Total United Kingdom		769,913


		United States — 21.7%
	1,400	AGCO Corp.		93,240
	1,100	Albemarle Corp.		110,473
	4,600	BorgWarner, Inc.		225,768
	7,500	Darling Ingredients, Inc. ^*		136,425
	1,900	Deere & Co.		305,653
	4,900	Delphi Technologies Plc		233,975
	5,500	Eaton Corp Plc		443,850
	2,100	EnerSys		146,349
	8,200	Exelon Corp.		303,728
	10,900	First Solar, Inc. ^*		685,065
	68,551	Freeport-McMoRan, Inc. ^*		1,275,049
	1,500	Mosaic Co. (The)		39,480
	1,600	NRG Yield, Inc. – Class A		24,608
	3,000	PG&E Corp.		123,270
	8,600	Renewable Energy Group, Inc. ^*		95,460
	28,700	SolarEdge Technologies, Inc. ^*		1,436,435
	16,900	SunPower Corp. ^*		119,821

		Total United States		5,798,649


		TOTAL COMMON STOCKS (COST $23,342,442)		24,703,635


		PREFERRED STOCKS^(b) — 4.7%

		Brazil — 1.0%
	70,000	Cia Energetica de Minas Gerais Sponsored ADR		175,000
	12,100	Companhia Paranaense de Energia Sponsored ADR		94,985

		Total Brazil		269,985


		Chile — 3.7%
	19,700	Sociedad Quimica y Minera de Chile SA Sponsored ADR		983,030


		TOTAL PREFERRED STOCKS (COST $1,133,687)		1,253,015


6		See accompanying notes to the financial statements.

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		MUTUAL FUNDS— 2.8%

		United States — 2.8%
		Affiliated Issuers — 2.8%
	30,098	GMO U.S. Treasury Fund		751,549


		TOTAL MUTUAL FUNDS (COST $751,849)		751,549


		SHORT-TERM INVESTMENTS— 0.2%

		Money Market Funds — 0.2%
	47,925	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33%^(c)		47,925


		TOTAL SHORT-TERM INVESTMENTS (COST $47,925)		47,925


		TOTAL INVESTMENTS — 100.2% (Cost $25,275,903)		26,756,124
		Other Assets and Liabilities (net) — (0.2%)		(62,039	)


		TOTAL NET ASSETS — 100.0%		$26,694,085

Notes to Schedule of Investments:

*	Non-income producing security.

(a)	Investment valued using significant unobservable inputs (Note 2).

(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 February 28, 2018.


		See accompanying notes to the financial statements.		7

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Emerging Markets Equity team at Grantham, Mayo, Van Otterloo & Co. LLC and GMO Singapore Pte. Limited.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any index or benchmark, a discussion of the Fund’s performance relative to the MSCI Emerging Markets Index is included for comparative purposes. Please note that, in GMO’s view, only approximately half of the stocks in the MSCI Emerging Markets Index are stocks that GMO considers to be suitable investments for the Fund.

Class II shares of GMO Emerging Domestic Opportunities Fund returned +29.10% (net) for the fiscal year ended February 28, 2018, as compared with +30.51% for the MSCI Emerging Markets Index.

Country-sector allocation detracted from the Fund’s relative returns for the fiscal year. The Fund’s holdings in Philippines Consumer Staples and South Korea Information Technology hurt relative performance.

Stock selection overall had a positive impact on relative returns for the fiscal year. In particular, the Fund’s stock selections in China Consumer Discretionary and China Consumer Staples added to relative performance.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Emerging Domestic Opportunities Class II Shares and the MSCI Emerging Markets Index

As of February 28, 2018

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .80% on the purchase and .80% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited. Performance for classes may vary due to different fees.

For the period from March 1, 2011 to March 24, 2011, no Class II shares were outstanding. Performance for that period is that of Class V, which has lower expenses. Therefore, the performance shown is higher than it would have been if Class II expenses had been applied throughout.

For the period from October 27, 2011 to November 29, 2013, no Class V shares were outstanding. Performance for that period is that of Class II, which has higher expenses. Therefore, the performance shown is lower than it would have been if Class V expenses had been applied throughout.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		72.2	%
Investment Funds		14.4
Mutual Funds		5.4
Preferred Stocks		3.0
Fully Funded Total Return Swaps		0.9
Short-Term Investments		0.8
Rights/Warrants		0.2
Forward Currency Contracts		0.1
Futures Contracts		0.0	^
Other		3.0

		100.0	%


Country Summary¤	% of Investments
China		34.5	%
United States		16.5	*
Brazil		13.0
India		10.3
Philippines		5.5
Taiwan		4.4
Russia		4.2
Thailand		3.9
Hong Kong		3.5
Indonesia		2.6
Vietnam		2.0
South Africa		1.0
Poland		1.0
Hungary		0.9
Peru		0.9
Malaysia		0.6
United Kingdom		0.3	*
Singapore		(5.1	)

		100.0	%


Industry Group Summary	% of Equity Investments^#
Banks		28.5	%
Software & Services		18.2
Food, Beverage & Tobacco		10.2
Consumer Durables & Apparel		7.7
Insurance		5.6
Capital Goods		4.4
Diversified Financials		4.4
Transportation		3.3
Consumer Services		2.8
Food & Staples Retailing		2.8
Real Estate		2.6
Telecommunication Services		2.2
Retailing		2.1
Materials		1.9
Media		1.1
Automobiles & Components		0.9
Energy		0.9
Commercial & Professional Services		0.4

		100.0	%

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

*	Includes companies that derive more than 50% of their revenues or profits from emerging markets.

^	Rounds to 0.0%.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		COMMON STOCKS— 72.2%

		Brazil — 5.1%
	885,400	B3 SA – Brasil Bolsa Balcao		6,986,340
	3,946,739	Banco BTG Pactual SA		28,006,057
	2,573,982	BR Malls Participacoes SA		9,457,515
	4,957,057	JHSF Participacoes SA ^*		2,748,068
	3,711,747	LPS Brasil Consultoria de Imoveis SA ^*		6,161,667
	1,313,387	M Dias Branco SA		24,201,529
	10,347,800	Rumo SA ^*		45,382,572

		Total Brazil		122,943,748


		China — 32.0%
	31,542,300	Agricultural Bank of China Ltd – Class H		17,330,930
	628,307	Alibaba Group Holding Ltd Sponsored ADR ^*		116,953,065
	2,139,500	Anhui Conch Cement Co Ltd – Class H		11,367,240
	27,024,550	China Construction Bank Corp – Class H		27,708,605
	8,030,700	China International Capital Corp Ltd – Class H		15,580,497
	103,004	China Lodging Group Ltd Sponsored ADR		15,646,308
	9,909,021	China Merchants Bank Co Ltd – Class H		41,311,867
	2,841,200	China Vanke Co Ltd – Class H		12,605,679
	1,111,700	Foshan Haitian Flavouring & Food Co Ltd – Class A		9,732,839
	3,549,616	Gree Electric Appliances Inc of Zhuhai – Class A		28,805,725
	10,708,000	Greentown Service Group Co Ltd		7,746,238
	4,254,700	Haitian International Holdings Ltd		13,033,544
	1,764,343	Hangzhou Robam Appliances Co Ltd – Class A		11,288,194
	1,740,245	Huayu Automotive Systems Co Ltd – Class A		7,205,793
	33,446,000	Industrial & Commercial Bank of China Ltd – Class H		28,514,041
	947,600	Inner Mongolia Yili Industrial Group Co Ltd – Class A		4,843,662
	318,043	Jiangsu Yanghe Brewery Joint-Stock Co Ltd – Class A		5,898,653
	218,794	Kweichow Moutai Co Ltd – Class A		24,896,640
	4,136,138	Midea Group Co Ltd – Class A		35,724,397
	1,608,761	Minth Group Ltd		9,440,846
	161,600	New Oriental Education & Technology Group Inc Sponsored ADR		14,768,624
	4,698,500	Ping An Insurance Group Co of China Ltd – Class H		49,490,725
	3,777,300	Qingdao Haier Co Ltd – Class A		11,619,644
	553,005	TAL Education Group ADR		20,881,469
	2,676,600	Tencent Holdings Ltd		146,432,812
	1,276,800	Vipshop Holdings Ltd ADR ^*		22,203,552
	307,400	Weibo Corp Sponsored ADR ^*		39,507,048
	739,532	Wuxi Little Swan Co Ltd – Class A		8,149,863
	1,425,381	Zhejiang Supor Cookware Co Ltd – Class A		9,854,312

		Total China		768,542,812


Shares		Description	Value ($)
		Hong Kong — 3.3%
	6,370,896	AIA Group Ltd		52,869,445
	21,711,500	WH Group Ltd		26,739,982

		Total Hong Kong		79,609,427


		Hungary — 0.9%
	482,555	OTP Bank Plc		21,499,712


		India — 9.8%
	1,550,416	Action Construction Equipment Ltd		4,419,432
	499,595	Amber Enterprises India Ltd ^{* (a)}		8,381,256
	555,538	Asian Granito India Ltd		4,147,837
	1,191,068	BLS International Services Ltd		3,121,886
	588,896	Bombay Burmah Trading Co		12,780,722
	997,041	CCL Products India Ltd		4,520,438
	1,206,095	CMI Ltd ^(b)		4,657,808
	339,751	Dixon Technologies India Ltd ^{* (a)}		17,920,960
	612,007	Dollar Industries Ltd		4,257,617
	2,748,839	Edelweiss Financial Services Ltd		11,254,704
	10,683,040	Gayatri Highways Ltd ^{* (b) (c)}		1,147,898
	10,683,040	Gayatri Projects Ltd ^{* (b)}		34,529,636
	1,396,166	HDFC Bank Ltd ^(d)		41,068,324
	20,814,127	Himachal Futuristic Communications Ltd ^*		9,443,785
	1,272,593	Indiabulls Real Estate Ltd ^*		4,176,113
	951,680	Mahindra & Mahindra Financial Services Ltd		6,305,913
	1,850,095	Muthoot Finance Ltd		11,063,560
	644,404	Navin Fluorine International Ltd		7,942,387
	1,584,561	PC Jeweller Ltd		8,043,083
	1,508,942	Sangam India Ltd		3,340,627
	34,158	Shree Cement Ltd		8,705,889
	1,139,949	Srikalahasthi Pipes Ltd		6,026,217
	850,015	Sun TV Network Ltd		12,031,589
	286,335	V-Mart Retail Ltd		7,066,599
	280,392	Vakrangee Ltd		692,171

		Total India		237,046,451


		Indonesia — 2.5%
	11,875,662	Bank Central Asia Tbk PT		19,986,263
	56,153,900	Bank Tabungan Negara Persero Tbk PT		15,179,337
	57,133,700	Malindo Feedmill Tbk PT		2,990,538
	77,097,514	Telekomunikasi Indonesia Persero Tbk PT		22,326,018

		Total Indonesia		60,482,156


		Malaysia — 0.6%
	12,376,770	AirAsia Berhad		13,816,943


		Peru — 0.9%
	98,700	Credicorp Ltd		21,363,615


		Philippines — 5.3%
	5,595,440	Bank of the Philippine Islands		12,863,979
	8,180,602	BDO Unibank Inc		24,379,157


		See accompanying notes to the financial statements.		11

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Philippines — continued
	21,104,800	Century Pacific Food Inc		6,580,001
	13,449,276	Concepcion Industrial Corp		16,596,875
	5,124,042	Philippine Seven Corp		11,560,469
	22,084,490	Puregold Price Club Inc		21,984,040
	9,250,351	Robinsons Retail Holdings Inc		16,901,731
	22,291,868	Semirara Mining & Power Corp		15,757,693

		Total Philippines		126,623,945


		Poland — 0.9%
	571,331	Bank Pekao SA		21,949,465


		Russia — 4.1%
	3,662,226	Sberbank of Russia Sponsored ADR		74,160,369
	573,900	Yandex NV – Class A ^*		23,581,551

		Total Russia		97,741,920


		South Africa — 0.9%
	31,635	Naspers Ltd – N Shares		8,587,380
	291,357	Nedbank Group Ltd		7,069,204
	392,483	Standard Bank Group Ltd		7,197,505

		Total South Africa		22,854,089


		Taiwan — 0.9%
	9,327,366	Uni-President Enterprises Corp		21,838,133


		Thailand — 2.8%
	7,029,500	Kiatnakin Bank Pcl (Foreign Registered)		17,403,210
	28,006,200	Krung Thai Bank Pcl (Foreign Registered)		18,032,355
	133,796,983	Quality Houses Pcl (Foreign Registered)		12,686,247
	7,105,100	Tisco Financial Group Pcl (Foreign Registered)		19,946,576

		Total Thailand		68,068,388


		United Kingdom — 0.3%
	117,334	British American Tobacco Plc		6,925,341


		Vietnam — 1.9%
	8,255,620	Ho Chi Minh City Development Joint Stock Commercial Bank ^*		16,107,111
	3,345,580	Vietnam Dairy Products JSC		28,783,069

		Total Vietnam		44,890,180


		TOTAL COMMON STOCKS (COST $1,454,214,512)		1,736,196,325


		PREFERRED STOCKS^(e) — 3.0%

		Brazil — 3.0%
	4,172,900	Itau Unibanco Holding SA		64,748,130
	250,000	Randon SA Implementos e Participacoes		712,988
	487,900	Telefonica Brasil SA		7,610,993

		Total Brazil		73,072,111


		TOTAL PREFERRED STOCKS (COST $65,627,883)		73,072,111


Shares		Description	Value ($)
		INVESTMENT FUNDS— 14.4%

		Brazil — 4.3%
	2,258,500	iShares MSCI Brazil Capped ETF		102,716,580


		Taiwan — 3.4%
	2,195,223	iShares MSCI Taiwan Capped ETF		80,454,923


		Thailand — 0.9%
	46,668,092	Digital Telecommunication Infrastructure Fund		21,564,148


		United States — 5.8%
	2,917,285	iShares MSCI Emerging Markets ETF		140,088,026


		TOTAL INVESTMENT FUNDS (COST $351,832,653)		344,823,677


		RIGHTS/WARRANTS— 0.2%

		China — 0.2%
	217,310	Jiangsu Yanghe Brewery Joint Stock Co Ltd Warrants, Expires 05/14/18 ^*		4,049,338


		TOTAL RIGHTS/WARRANTS (COST $2,259,415)		4,049,338


		MUTUAL FUNDS— 5.4%

		United States — 5.4%
		Affiliated Issuers — 5.4%
	5,239,270	GMO U.S. Treasury Fund		130,824,583


		TOTAL MUTUAL FUNDS (COST $130,870,512)		130,824,583


		FULLY FUNDED TOTAL RETURN SWAPS— 0.9%

		China — 0.9%
	1,789,300	Total Return on Wuliangye Yibin Co Ltd, Expires 4/9/2018. Premium Paid/(Received): $11,177,399. Periodic Payment Frequency: N/A. Net Unrealized Appreciation (Depreciation): $9,632,908 (OTC) (CP-GS)		20,810,307


		TOTAL FULLY FUNDED TOTAL RETURN SWAPS (COST $11,177,399)		20,810,307


		SHORT-TERM INVESTMENTS— 0.8%

		Money Market Fund — 0.2%
	6,251,757	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33%^(f)		6,251,757


		U.S. Government — 0.6%
	3,000,000	U.S. Treasury Bill, 1.31%, due 03/22/18 ^(g) (h)		2,997,642
	2,000,000	U.S. Treasury Bill, 1.72%, due 07/05/18 ^(g) (h)		1,988,083
	6,000,000	U.S. Treasury Bill, 1.58%, due 05/17/18 ^(g) (h)		5,979,771


12		See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		U.S. Government — continued
	3,000,000	U.S. Treasury Bill, 1.96%, due 01/03/19 ^(g)^(h)		2,950,784

		Total U.S. Government		13,916,280


		TOTAL SHORT-TERM INVESTMENTS (COST $20,175,398)		20,168,037


		TOTAL INVESTMENTS — 96.9% (Cost $2,036,157,772)		2,329,944,378
		Other Assets and Liabilities (net) — 3.1%		73,357,476


		TOTAL NET ASSETS — 100.0%		$2,403,301,854

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 February 28, 2018
Amber Enterprises India Ltd	12/11/2017	$	6,214,810	0.35%	$	8,381,256
Dixon Technologies India Ltd	8/04/2017		9,417,811	0.75%		17,920,960

					$	26,302,216

A summary of outstanding financial instruments at February 28, 2018 is as follows:

Forward Currency Contracts



Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
01/24/2019	MSCI		PHP	1,999,356,086		USD	38,279,841	$	783,042
02/20/2019	MSCI		PHP	1,020,320,426		USD	19,069,628		(38,794	)
06/08/2018	MSCI		PHP	1,979,635,372		USD	39,251,222		1,611,524

								$	2,355,772

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
Buys 1,843	Mini MSCI Emerging Markets	March 2018	$	109,013,450	$	585,358

Sales 5,627	SGX CNX Nifty Index 50	March 2018	$	118,380,826	$	(1,721,609	)

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Notes to Schedule of Investments:

*	Non-income producing security.

(a)	The security is restricted as to resale.

(b)	Affiliated company (Note 10).

(c)	Investment valued using significant unobservable inputs (Note 2).

(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 yield as of February 28, 2018.

(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 (Note 4).


		See accompanying notes to the financial statements.		13

GMO Emerging Markets Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Emerging Markets Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class II shares of GMO Emerging Markets Fund returned +24.66% (net) for the fiscal year ended February 28, 2018, as compared with +30.37% for the S&P/IFCI Composite Index.

Country-sector allocation detracted from the Fund’s relative returns for the fiscal year. The Fund’s underweight in China Information Technology and overweight in China Telecommunications negatively impacted relative performance. The Fund’s overweight in Russia Financials and India Financials added to relative performance.

Stock selection hurt performance during the fiscal year. The Fund’s stock selections in Taiwan Information Technology and South Korea Consumer Discretionary hurt relative performance, while the stock selections in China Consumer Discretionary and China Consumer Staples helped relative performance.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Emerging Markets Fund Class II Shares and the S&P/IFCI Composite Index

As of February 28, 2018

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .80% on the purchase and .80% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited. Performance for classes may vary due to different fees.

For the period from January 9, 1998 to August 12, 2009, no Class II shares were outstanding. Performance for that period is that of Class III shares, which have been adjusted downward to reflect Class II’s higher gross expenses (Class II’s expenses during these periods were calculated by adjusting Class III’s gross expenses during such periods upward by the current differential between the gross shareholder service fees for Class II and Class III shares).

GMO Emerging Markets Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		92.1	%
Preferred Stocks		3.3
Mutual Funds		1.9
Investment Funds		1.7
Futures Contracts		0.4
Short-Term Investments		0.1
Swap Contracts		0.0	^
Rights/Warrants		0.0	^
Other		0.5

		100.0	%


Country Summary¤	% of Investments
Taiwan		21.1	%
China		17.8
Russia		12.3
South Korea		11.7
United States		9.2	^*
Thailand		8.2
Turkey		4.1
India		3.5
Brazil		2.7
Indonesia		2.1
South Africa		2.0
Greece		1.1
Mexico		0.8
Philippines		0.7
Peru		0.6
Qatar		0.6
United Arab Emirates		0.3
Czech Republic		0.3
Colombia		0.2
Poland		0.2
Vietnam		0.2
Malaysia		0.1
Hungary		0.1
Chile		0.1
Egypt		0.0	^
Pakistan		0.0	^
Sri Lanka		0.0	^

		100.0	%


Industry Group Summary	% of Equity Investments^#
Banks		20.6	%
Technology Hardware & Equipment		13.0
Telecommunication Services		8.3
Materials		7.2
Energy		7.1
Semiconductors & Semiconductor Equipment		6.1
Software & Services		5.7
Diversified Financials		4.3
Real Estate		4.3
Capital Goods		3.9
Insurance		3.1
Food, Beverage & Tobacco		3.0
Automobiles & Components		2.4
Consumer Durables & Apparel		2.1
Utilities		2.0
Transportation		1.8
Consumer Services		1.5
Retailing		1.4
Food & Staples Retailing		1.0
Health Care Equipment & Services		0.4
Pharmaceuticals, Biotechnology & Life Sciences		0.4
Media		0.3
Commercial & Professional Services		0.1
Household & Personal Products		0.0	^

		100.0	%

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

*	Includes companies that derive more than 50% of their revenues or profits from emerging markets.

^	Rounds to 0.0%.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		COMMON STOCKS — 92.1%

		Brazil — 2.3%
	3,889,773	AES Tiete Energia SA		13,597,254
	1,229,746	Banco BTG Pactual SA		8,726,277
	306,200	B3 Sa- Brasil Bolsa Balcao		2,416,103
	717,583	BR Malls Participacoes SA		2,636,597
	497,723	EDP – Energias do Brasil SA		2,038,780
	1,204,800	Engie Brasil Energia SA		14,527,063
	1,510,404	JHSF Participacoes SA ^*		837,330
	2,007,400	LPS Brasil Consultoria de Imoveis SA ^*		3,332,374
	457,750	M Dias Branco SA		8,434,871
	139,800	Multiplus SA		1,482,434
	11,000,435	Rumo SA ^*		48,244,847
	1,495,351	Transmissora Alianca de Energia Eletrica SA		9,441,219

		Total Brazil		115,715,149


		Chile — 0.1%
	162,009	Inversiones La Construccion SA		3,250,141


		China — 18.7%
	3,288,000	361 Degrees International Ltd		1,198,082
	113,125,990	Agricultural Bank of China Ltd – Class H		62,157,122
	3,442,757	Aier Eye Hospital Group Co Ltd – Class A		19,731,141
	383,372	Alibaba Group Holding Ltd Sponsored ADR ^*		71,360,864
	510,900	Anhui Conch Cement Co Ltd – Class H		2,714,430
	956,000	Anhui Expressway Co Ltd – Class H		748,787
	121,998,682	Bank of China Ltd – Class H		65,607,415
	1,802,000	Baoye Group Co Ltd – Class H ^*		1,166,830
	448,400	Changyou.com Ltd ADR ^*		12,689,720
	15,116,560	China Communications Services Corp Ltd – Class H		8,936,288
	139,472,606	China Construction Bank Corp – Class H		143,002,987
	1,665,700	China International Capital Corp Ltd – Class H		3,231,653
	2,127,368	China International Travel Service Corp Ltd – Class A		17,491,660
	22,400	China Lodging Group Ltd Sponsored ADR		3,402,560
	23,466,000	China Machinery Engineering Corp – Class H		14,154,932
	2,140,808	China Merchants Bank Co Ltd – Class H		8,925,279
	6,532,337	China Mobile Ltd		60,835,835
	291,600	China Mobile Ltd Sponsored ADR		13,556,484
	828,000	China Overseas Land & Investment Ltd		2,876,930
	2,986,000	China Petroleum & Chemical Corp – Class H		2,369,901
	1,649,000	China Power International Development Ltd		413,770
	490,000	China Resources Land Ltd		1,731,066
	334,500	China Shenhua Energy Co Ltd – Class H		946,736
	589,200	China Vanke Co Ltd – Class H		2,614,130
	231,100	Foshan Haitian Flavouring & Food Co Ltd – Class A		2,023,261
	725,600	Gree Electric Appliances Inc of Zhuhai – Class A		5,888,365
	2,558,000	Greentown Service Group Co Ltd		1,850,474


Shares		Description	Value ($)
		China — continued
	7,520,000	Guangdong Investment Ltd		11,465,435
	1,069,500	Haitian International Holdings Ltd		3,276,230
	918,637	Hangzhou Robam Appliances Co Ltd – Class A		5,877,608
	10,248,000	Hua Han Health Industry Holdings Ltd ^{* (a)}		680,939
	8,866,000	Huabao International Holdings Ltd		6,647,539
	442,612	Huayu Automotive Systems Co Ltd – Class A		1,832,713
	113,662,947	Industrial & Commercial Bank of China Ltd – Class H		96,902,168
	193,486	Inner Mongolia Yili Industrial Group Co Ltd – Class A		989,005
	10,718,000	Jiangnan Group Ltd		680,574
	890,000	Jiangsu Expressway Co Ltd – Class H		1,378,265
	111,500	Jiangsu Yanghe Brewery JSC Ltd – Class A		2,067,959
	411,405	Jumei International Holding Ltd ADR ^*		1,172,504
	137,228	Kweichow Moutai Co Ltd – Class A		15,615,219
	44,731	Kweichow Moutai Co Ltd – Class A		5,089,955
	1,168,555	Midea Group Co Ltd – Class A		10,092,971
	860,157	Midea Group Co Ltd – Class A		7,429,295
	334,090	Minth Group Ltd		1,960,572
	35,100	New Oriental Education & Technology Group Inc Sponsored ADR		3,207,789
	1,625,000	PAX Global Technology Ltd		805,779
	20,304,000	PICC Property & Casualty Co Ltd – Class H		39,823,767
	979,000	Ping An Insurance Group Co of China Ltd – Class H		10,312,104
	772,142	Qingdao Haier Co Ltd – Class A		2,375,246
	4,816,400	Qingling Motors Co Ltd – Class H		1,544,047
	2,227,600	SAIC Motor Corp Ltd – Class A		11,809,391
	1,066,000	Shenzhen Investment Ltd		442,090
	3,453,500	Sinopec Engineering Group Co Ltd – Class H		3,346,682
	112,936	TAL Education Group ADR		4,264,463
	1,937,565	Tencent Holdings Ltd		106,001,305
	261,000	Vipshop Holdings Ltd ADR ^*		4,538,790
	32,956,000	Want Want China Holdings Ltd		27,668,486
	63,900	Weibo Corp Sponsored ADR ^*		8,212,428
	365,729	Wuliangye Yibin Co Ltd – Class A		4,253,580
	150,400	Wuxi Little Swan Co Ltd – Class A		1,657,453
	7,974,000	Xtep International Holdings Ltd		3,526,081
	2,402,200	Yangzijiang Shipbuilding Holdings Ltd		2,710,853
	8,976,000	Zhejiang Expressway Co Ltd – Class H		9,758,805
	797,045	Zhejiang Supor Cookware Co Ltd – Class A		5,510,337

		Total China		956,555,129


		Czech Republic — 0.3%
	2,197,267	Moneta Money Bank AS		8,864,524
	6,011	Philip Morris CR AS		4,878,541

		Total Czech Republic		13,743,065


		See accompanying notes to the financial statements.		17

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Egypt — 0.0%
	2,296,865	Alexandria Mineral Oils Co		1,167,738
	260,839	Commercial International Bank Egypt SAE		1,138,510

		Total Egypt		2,306,248


		Greece — 1.1%
	6,008,655	Alpha Bank AE ^*		14,266,106
	14,057,681	Eurobank Ergasias SA ^*		14,103,953
	35,399,812	National Bank of Greece SA ^*		12,988,335
	3,679,377	Piraeus Bank SA ^*		16,065,942

		Total Greece		57,424,336


		Hungary — 0.1%
	100,351	OTP Bank Plc		4,471,029


		India — 3.7%
	317,300	Action Construction Equipment Ltd		904,458
	125,042	Asian Granito India Ltd		933,606
	1,070,235	Aurobindo Pharma Ltd		10,029,092
	14,320	BLS International Services Ltd		37,534
	122,465	Bombay Burmah Trading Co		2,657,840
	202,610	CCL Products India Ltd		918,604
	293,346	CMI Ltd		1,132,870
	200,375	Coal India Ltd		951,473
	574,247	Divi’s Laboratories Ltd		9,011,413
	38,430	Dixon Technologies India Ltd ^*		2,027,080
	101,163	Dollar Industries Ltd		703,772
	569,766	Edelweiss Financial Services Ltd		2,332,820
	16,772,852	Gayatri Highways Ltd ^{* (a)}^(b)		1,802,252
	16,772,852	Gayatri Projects Ltd ^{* (b)}		54,213,078
	289,390	HDFC Bank Ltd ^(c)		8,512,428
	146,657	Hero MotoCorp Ltd		8,046,255
	6,258,236	Himachal Futuristic Communications Ltd ^*		2,839,487
	175,992	Hindustan Zinc Ltd		873,372
	263,777	Indiabulls Real Estate Ltd ^*		865,605
	884,400	Infosys Ltd Sponsored ADR		15,618,504
	3,013,682	Jai Balaji Industries Ltd ^*		647,854
	1,322,083	Kiri Industries Ltd ^*		10,209,105
	193,392	Mahindra & Mahindra Financial Services Ltd		1,281,432
	252,274	Mphasis Ltd		3,322,319
	383,478	Muthoot Finance Ltd		2,293,197
	151,676	Navin Fluorine International Ltd		1,869,432
	152,116	NIIT Technologies Ltd		1,937,151
	264,774	PC Jeweller Ltd		1,343,968
	528,333	Sangam India Ltd		1,169,670
	7,084	Shree Cement Ltd		1,805,507
	253,494	Srikalahasthi Pipes Ltd		1,340,069
	176,187	Sun TV Network Ltd		2,493,850
	469,712	Tata Consultancy Services Ltd		21,796,081
	64,136	V-Mart Retail Ltd		1,582,843
	61,615	Vakrangee Ltd		152,102


Shares		Description	Value ($)
		India — continued
	2,004,223	Wipro Ltd		8,962,360
	640,800	Wipro Ltd ADR		3,530,808

		Total India		190,149,291


		Indonesia — 2.2%
	3,110,200	Adaro Energy Tbk PT		528,780
	12,828,600	Astra International Tbk PT		7,503,493
	8,213,500	Bank Central Asia Tbk PT		13,822,992
	19,377,900	Bank Mandiri Persero Tbk PT		11,656,612
	8,365,300	Bank Negara Indonesia Persero Tbk PT		5,907,324
	80,850,800	Bank Pembangunan Daerah Jawa Timur Tbk PT		4,343,323
	78,002,300	Bank Rakyat Indonesia Persero Tbk PT		21,476,012
	12,223,100	Bank Tabungan Negara Persero Tbk PT		3,304,108
	7,310,191	Indo Tambangraya Megah Tbk PT		16,341,552
	25,560,700	Lippo Karawaci Tbk PT		957,147
	12,048,200	Malindo Feedmill Tbk PT		630,637
	155,826,700	Panin Financial Tbk PT ^*		3,113,283
	22,806,700	Summarecon Agung Tbk PT		1,834,737
	55,836,241	Telekomunikasi Indonesia Persero Tbk PT		16,169,146
	116,300	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		3,376,189
	580,000	United Tractors Tbk PT		1,493,809

		Total Indonesia		112,459,144


		Malaysia — 0.2%
	2,566,704	AirAsia Berhad		2,865,368
	2,806,800	Berjaya Sports Toto Berhad		1,610,361
	6,070,888	KSL Holdings Berhad ^*		1,578,106
	3,329,467	UOA Development Berhad		2,207,354

		Total Malaysia		8,261,189


		Mexico — 0.8%
	1,613,665	Banco Santander Mexico -B SA Institucion de Banca Multiple Grupo Financiero Santand		2,277,886
	20,600	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand ADR		145,642
	3,352,964	Cemex SAB de CV CPO ^*		2,212,702
	3,117,848	Cemex SAB de CV Sponsored ADR ^*		20,421,904
	1,881,800	Corp Inmobiliaria Vesta SAB de CV		2,587,511
	2,635,700	Gentera SAB de CV		2,154,628
	118,100	Grupo Aeroportuario del Centro Norte SAB de CV		577,636
	11,300	Grupo Aeroportuario del Centro Norte SAB de CV ADR		442,508
	365,600	Kimberly-Clark de Mexico SAB de CV – Class A		664,457
	75,070	Promotora y Operadora de Infraestructura SAB de CV		767,201
	4,426,400	Wal-Mart de Mexico SAB de CV		10,360,002

		Total Mexico		42,612,077


18		See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Pakistan — 0.0%
	158,300	Engro Corp Ltd		431,081
	306,400	Oil & Gas Development Co Ltd		451,957

		Total Pakistan		883,038


		Peru — 0.7%
	159,700	Credicorp Ltd		34,567,065


		Philippines — 0.8%
	1,141,880	Bank of the Philippine Islands		2,625,195
	1,701,224	BDO Unibank Inc		5,069,848
	4,697,400	Century Pacific Food Inc		1,464,543
	3,020,358	Concepcion Industrial Corp		3,727,227
	3,146,277	First Gen Corp		875,659
	976,590	Manila Electric Co		6,309,850
	6,978,800	Manila Water Co Inc		3,480,406
	18,500,000	Megaworld Corp		1,720,284
	1,226,643	Philippine Seven Corp		2,767,457
	4,592,648	Puregold Price Club Inc		4,571,758
	2,039,633	Robinsons Retail Holdings Inc		3,726,705
	5,170,580	Semirara Mining & Power Corp		3,654,984

		Total Philippines		39,993,916


		Poland — 0.2%
	118,813	Bank Pekao SA		4,564,572
	7,513	KRUK SA		463,540
	53,088	Polski Koncern Naftowy ORLEN SA		1,484,326
	354,896	Polskie Gornictwo Naftowe i Gazownictwo SA		625,351
	170,307	Powszechny Zaklad Ubezpieczen SA		2,112,968

		Total Poland		9,250,757


		Qatar — 0.6%
	710,782	Barwa Real Estate Co		6,564,857
	245,915	Doha Bank QPSC		2,198,773
	15,134	Industries Qatar QSC		426,781
	334,279	Masraf Al Rayan QSC		3,455,782
	42,017	Ooredoo QPSC		1,000,606
	30,320	Qatar Electricity & Water Co QSC		1,428,491
	54,295	Qatar Insurance Co SAQ		577,844
	57,628	Qatar International Islamic Bank QSC		947,183
	82,590	Qatar Islamic Bank SAQ		2,180,381
	309,754	Qatar National Bank QPSC		10,152,686
	32,828	Qatar Navigation QSC		561,111
	187,024	United Development Co QSC		845,511

		Total Qatar		30,340,006


		Russia — 12.8%
	4,799,800	Aeroflot PJSC		12,019,331
	15,529,800	Alrosa PJSC		23,638,164
	224,540	Gazprom Neft PJSC		1,126,876
	4,516	Gazprom Neft PJSC Sponsored ADR		113,697
	16,892,141	Gazprom PJSC Sponsored ADR		83,437,261


Shares		Description	Value ($)
		Russia — continued
	682,419	Globaltrans Investment Plc Sponsored GDR (Registered)		7,505,256
	26,914,000	Inter RAO UES PJSC		1,762,616
	908,547	LUKOIL PJSC Sponsored ADR		60,203,227
	583,957	M.Video PJSC ^*		4,271,018
	380,379	Magnit PJSC Sponsored GDR (Registered)		7,839,917
	2,119,500	Magnitogorsk Iron & Steel OJSC		1,784,660
	5,587	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		60,312
	2,553,692	MegaFon PJSC GDR (Registered)		27,079,753
	3,183,264	MMC Norilsk Nickel PJSC ADR		63,182,398
	7,315,515	Mobile TeleSystems PJSC Sponsored ADR		87,493,559
	10,958,457	Moscow Exchange MICEX-RTS PJSC		21,596,929
	258,486	Novatek PJSC Sponsered GDR (Registered)		35,095,490
	787,300	Novolipetsk Steel PJSC		2,027,850
	646,952	Novolipetsk Steel PJSC GDR		16,817,777
	25,837	PhosAgro PJSC GDR (Registered)		392,517
	30,218	Polyus PJSC		2,479,695
	127,488	Polyus PJSC GDR (Registered)		5,096,989
	524,433	QIWI Plc Sponsored ADR		8,820,963
	7,636,345	Rostelecom PJSC		9,176,420
	33,228	Rostelecom PJSC Sponsored ADR		236,461
	5,650,902	Sberbank of Russia Sponsored ADR		114,431,218
	484,034	Severstal PJSC GDR (Registered)		7,840,893
	403,956	Sistema PJSC Sponsered GDR (Registered)		1,732,293
	3,682,846	Surgutneftegas OJSC Sponsored ADR		18,201,417
	290,768	Tatneft PJSC Sponsored ADR		18,193,273
	114,250	TCS Group Holding Plc GDR (Registered)		2,629,885
	117,300	Yandex NV – Class A ^*		4,819,857

		Total Russia		651,107,972


		South Africa — 2.2%
	393,879	AECI Ltd		3,788,720
	1,148,595	Barloworld Ltd		17,171,711
	306,125	Brait SE ^*		1,163,981
	3,107,975	FirstRand Ltd		19,294,117
	182,697	Hyprop Investments Ltd (REIT)		1,670,627
	494,786	Kumba Iron Ore Ltd		14,548,030
	1,383,275	Lewis Group Ltd		4,725,454
	101,427	Liberty Holdings Ltd		1,154,220
	627,729	Mr Price Group Ltd		14,964,295
	4,778,577	Murray & Roberts Holdings Ltd		4,556,387
	6,561	Naspers Ltd – N Shares		1,780,996
	60,391	Nedbank Group Ltd		1,465,269
	105,500	Net 1 UEPS Technologies, Inc. ^*		1,081,375
	365,461	RMB Holdings Ltd		2,681,937
	1,434,822	SA Corporate Real Estate Ltd		564,574
	154,115	Sanlam Ltd		1,175,263
	81,351	Standard Bank Group Ltd		1,491,846
	649,884	Truworths International Ltd		5,530,893
	152,376	Vodacom Group Ltd		2,092,502


		See accompanying notes to the financial statements.		19

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		South Africa — continued
	607,391	Wilson Bayly Holmes-Ovcon Ltd		8,849,419
	240,142	Woolworths Holdings Ltd		1,323,476

		Total South Africa		111,075,092


		South Korea — 9.9%
	28,539	Aekyung Petrochemical Co Ltd		476,027
	2,870,108	BNK Financial Group Inc		29,593,956
	42,576	Com2uSCorp		6,382,599
	7,393	Cuckoo Electronics Co Ltd		666,753
	370,130	Daou Data Corp		4,487,285
	604,801	Daou Technology Inc		12,954,676
	455,805	DB Insurance Co Ltd		29,132,236
	29,471	Dong Ah Tire & Rubber Co Ltd		1,028,067
	1,543,047	Dongwon Development Co Ltd		6,674,093
	1,119,146	Grand Korea Leisure Co Ltd		23,943,603
	73,427	GS Home Shopping Inc		13,662,821
	57,544	GS Retail Co Ltd		1,913,574
	102,849	Han Kuk Carbon Co Ltd		612,375
	2,259	Hankook Shell Oil Co Ltd		754,215
	188,805	Hankook Tire Co Ltd		10,311,311
	792,553	Hankook Tire Worldwide Co Ltd		14,552,487
	163,229	Hanon Systems		1,885,624
	86,595	Hansol Paper Co Ltd		1,327,542
	265,057	Hyundai Engineering & Construction Co Ltd		9,426,936
	128,456	Hyundai Home Shopping Network Corp		13,085,476
	486,003	Hyundai Hy Communications & Network Co Ltd		2,041,857
	537,463	Hyundai Marine & Fire Insurance Co Ltd		20,464,305
	107,038	Hyundai Mobis Co Ltd		22,524,610
	69,817	iMarketKorea Inc		662,801
	86,816	Innocean Worldwide Inc		5,195,216
	668,849	Kangwon Land Inc		17,834,540
	58,609	KEPCO Plant Service & Engineering Co Ltd		2,187,131
	803,740	Kia Motors Corp		25,519,414
	81,828	KISCO Corp		2,787,882
	3,094	KIWOOM Securities Co Ltd		282,307
	707,382	Korea Asset In Trust Co Ltd		4,442,692
	31,079	Korea Zinc Co Ltd		14,666,681
	285,879	KT Skylife Co Ltd		3,433,972
	427,386	KT&G Corp		39,413,077
	232,738	Kyobo Securities Co Ltd		2,240,188
	214,060	LF Corp		5,759,682
	23,818	LOTTE Himart Co Ltd		1,540,513
	101,257	Maeil Holdings Co Ltd		1,396,473
	177,915	Meritz Financial Group Inc		2,576,361
	147,865	Meritz Fire & Marine Insurance Co Ltd		3,114,540
	1,433,382	Meritz Securities Co Ltd		6,438,394
	21,818	S&T Motiv Co Ltd		893,581
	157,929	Samsung Card Co Ltd		5,303,388
	21,838	Samsung Electronics Co Ltd		47,455,482
	14,427	Samsung Electronics Co Ltd GDR		15,490,741


Shares		Description	Value ($)
		South Korea — continued
	61,094	Samsung Fire & Marine Insurance Co Ltd		16,310,733
	7,274	Samsung SDS Co Ltd		1,589,983
	48,042	Samsung Securities Co Ltd		1,749,073
	441,768	Seoyon E-Hwa Co Ltd		4,074,702
	185,984	Shinhan Financial Group Co Ltd		8,083,159
	43,834	Sindoh Co Ltd		2,692,675
	30,985	SK Innovation Co Ltd		5,833,099
	54,743	SK Telecom Co Ltd		12,083,044
	202,900	SK Telecom Co Ltd Sponsored ADR		4,940,615
	30,627	SL Corp		679,093
	29,318	Spigen Korea Co Ltd		1,329,640
	758,990	Woori Bank		11,583,454

		Total South Korea		507,486,754


		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd ^{* (b)}		788,630


		Taiwan — 22.1%
	12,073,000	AcBel Polytech Inc		8,804,147
	1,342,000	Actron Technology Corp		4,868,899
	1,115,000	Advanced Semiconductor Engineering Inc		1,500,358
	1,416,532	Advantech Co Ltd		10,416,559
	906,000	Alpha Networks Inc		762,002
	13,928,940	AmTRAN Technology Co Ltd		8,053,636
	6,553,620	Asustek Computer Inc		61,908,406
	272,200	Aurora Corp		852,655
	3,989,000	Catcher Technology Co Ltd		47,330,206
	10,959,000	Cathay Financial Holding Co Ltd		20,057,016
	9,043,000	Chailease Holding Co Ltd		29,930,214
	280,000	Chaun-Choung Technology Corp		886,529
	6,057,200	Cheng Shin Rubber Industry Co Ltd		10,381,276
	812,855	Chicony Electronics Co Ltd		1,986,367
	488,800	Chicony Power Technology Co Ltd		990,353
	4,699,100	Chin-Poon Industrial Co Ltd		8,746,428
	2,050,190	China Life Insurance Co Ltd		2,039,293
	1,265,000	China Motor Corp		1,158,459
	1,202,000	Chipbond Technology Corp		2,760,020
	187,000	Chlitina Holding Ltd		935,634
	10,268,259	Chunghwa Telecom Co Ltd		38,440,890
	128,421	Chunghwa Telecom Co Ltd Sponsored ADR		4,752,861
	330,000	Cleanaway Co Ltd		1,990,698
	26,400,611	Compal Electronics Inc		17,926,125
	4,944,400	Coretronic Corp		7,549,772
	46,677,720	CTBC Financial Holding Co Ltd		33,738,831
	3,222,000	CTCI Corp		4,943,759
	237,000	Delta Electronics Inc		1,106,396
	1,997,000	Dynapack International Technology Corp		2,869,296
	424,000	Elite Advanced Laser Corp		1,745,757
	955,000	Everlight Electronics Co Ltd		1,495,665
	8,852,084	Far EasTone Telecommunications Co Ltd		22,414,048
	3,822,000	Farglory Land Development Co Ltd		4,227,789


20		See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Taiwan — continued
	435,000	Formosa Advanced Technologies Co Ltd		445,434
	936,000	Formosa Chemicals & Fibre Corp		3,429,431
	375,000	Formosa Petrochemical Corp		1,478,103
	2,380,000	Formosa Plastics Corp		8,336,071
	3,193,303	Formosan Rubber Group Inc		1,678,322
	14,367,075	Foxconn Technology Co Ltd		38,351,493
	28,195,460	Fubon Financial Holding Co Ltd		49,624,597
	7,737,200	Gigabyte Technology Co Ltd		18,076,376
	539,000	Greatek Electronics Inc		1,033,998
	1,723,700	Green Seal Holding Ltd		3,424,848
	10,202,754	Highwealth Construction Corp		15,280,593
	2,198,000	Holtek Semiconductor Inc		5,982,616
	16,380,250	Hon Hai Precision Industry Co Ltd		48,266,285
	2,594,000	Huaku Development Co Ltd		6,359,972
	3,266,900	IEI Integration Corp		4,536,991
	4,603,700	Inventec Corp		3,625,757
	124,000	Iron Force Industrial Co Ltd		422,424
	958,000	ITEQ Corp		2,459,728
	618,000	Kenda Rubber Industrial Co Ltd		765,128
	36,000	King Slide Works Co Ltd		522,547
	831,000	King’s Town Bank Co Ltd		1,117,068
	235,000	Kung Long Batteries Industrial Co Ltd		1,143,271
	32,521,141	Lite-On Technology Corp		45,958,546
	206,000	Lotes Co Ltd		1,385,736
	923,785	Makalot Industrial Co Ltd		4,287,416
	750,667	Mercuries Life Insurance Co Ltd		405,524
	405,000	Merida Industry Co Ltd		1,761,999
	1,334,600	MIN AIK Technology Co Ltd		1,091,720
	1,744,000	Nan Ya Plastics Corp		4,760,013
	54,000	Nien Made Enterprise Co Ltd		526,137
	3,789,810	Novatek Microelectronics Corp		16,319,793
	1,589,853	OptoTech Corp		1,247,273
	15,963,470	Pegatron Corp		40,134,494
	9,470,000	Pou Chen Corp		11,800,866
	104,000	President Chain Store Corp		1,037,518
	9,734,850	Quanta Computer Inc		19,731,787
	1,100,000	Quanta Storage Inc		1,060,959
	12,677,870	Radiant Opto-Electronics Corp		35,181,968
	5,622,720	Realtek Semiconductor Corp		21,872,895
	1,317,000	Rechi Precision Co Ltd		1,344,488
	3,417,151	Ruentex Development Co Ltd ^*		3,710,896
	12,002,000	Ruentex Industries Ltd ^*		20,904,406
	1,563,000	Sercomm Corp		4,492,102
	198,000	Shin Zu Shing Co Ltd		607,383
	807,000	ShunSin Technology Holding Ltd		3,643,972
	543,000	Sigurd Microelectronics Corp		672,601
	2,680,068	Simplo Technology Co Ltd		16,802,757
	633,000	Sinbon Electronics Co Ltd		1,724,390
	2,518,200	Sitronix Technology Corp		7,176,391
	294,000	Soft-World International Corp		655,954
	38,000	St Shine Optical Co Ltd		1,158,143
	2,835,000	Syncmold Enterprise Corp		6,177,601


Shares		Description	Value ($)
		Taiwan — continued
	605,000	Taiwan Cement Corp		760,764
	1,260,000	Taiwan Fertilizer Co Ltd		1,667,742
	636,000	Taiwan Mobile Co Ltd		2,329,908
	822,000	Taiwan PCB Techvest Co Ltd		838,076
	478,000	Taiwan Semiconductor Co Ltd		1,146,891
	9,195,000	Taiwan Semiconductor Manufacturing Co Ltd		76,351,550
	2,535,120	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		109,897,452
	3,805,269	Taiwan Surface Mounting Technology Corp		3,804,956
	966,000	Teco Electric and Machinery Co Ltd		866,651
	1,370,000	Test Research Inc		2,582,666
	628,000	Tong Hsing Electronic Industries Ltd		2,408,501
	687,981	Topco Scientific Co Ltd		1,929,333
	1,270,000	Transcend Information Inc		3,657,237
	3,026,160	Tripod Technology Corp		9,906,210
	2,051,000	TXC Corp		2,752,989
	8,042,112	Uni-President Enterprises Corp		18,828,972
	5,256,000	United Integrated Services Co Ltd		10,349,796
	1,058,641	Wistron NeWeb Corp		2,929,578
	636,000	Xxentria Technology Materials Corp		1,367,330
	5,641,000	Yuanta Financial Holding Co Ltd		2,502,326
	2,006,000	Yulon Motor Co Ltd		1,596,468
	3,951,670	Yungtay Engineering Co Ltd		7,997,682
	279,000	Zeng Hsing Industrial Co Ltd		1,202,516

		Total Taiwan		1,129,242,719


		Thailand — 8.5%
	8,758,700	Advanced Info Service Pcl (Foreign Registered)		55,111,511
	8,823,200	Amata Corp Pcl (Foreign Registered)		7,063,763
	9,728,000	AP Thailand Pcl (Foreign Registered)		2,593,904
	590,700	Bangkok Bank Pcl (Foreign Registered) ^(c)		4,309,021
	1,466,600	Bangkok Bank Pcl NVDR		9,815,050
	7,727,600	Central Pattana Pcl (Foreign Registered)		20,707,463
	2,250,200	Delta Electronics Thailand Pcl (Foreign Registered) ^*		4,863,603
	1,889,200	Eastern Polymer Group Pcl (Foreign Registered)		436,943
	4,420,901	Glow Energy Pcl (Foreign Registered)		11,895,802
	4,201,300	Hana Microelectronics Pcl (Foreign Registered)		5,503,855
	5,672,900	Intouch Holdings Pcl (Foreign Registered) ^(c)		10,721,488
	6,452,800	Intouch Holdings Pcl NVDR		11,683,034
	9,034,600	Jasmine International Pcl (Foreign Registered)		1,979,709
	3,305,100	Kasikornbank Pcl NVDR		24,290,710
	2,475,800	Kiatnakin Bank Pcl (Foreign Registered)		6,129,436
	29,062,200	Krung Thai Bank Pcl (Foreign Registered)		18,712,281
	38,800,000	Land & Houses PCL (Foreign Registered)		13,602,527
	18,678,450	LPN Development Pcl (Foreign Registered)		6,123,455
	4,006,100	MC Group Pcl (Foreign Registered)		1,639,988
	2,987,500	Platinum Group PCL (The)		829,972
	4,746,900	Pruksa Holding Pcl (Foreign Registered)		3,559,554
	3,423,900	PTT Exploration & Production Pcl (Foreign Registered)		12,471,146


		See accompanying notes to the financial statements.		21

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Thailand — continued
	9,029,200	PTT Global Chemical Pcl (Foreign Registered)		28,380,916
	2,176,500	PTT Pcl (Foreign Registered)		39,044,296
	77,182,792	Quality Houses Pcl (Foreign Registered)		7,318,252
	5,328,402	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		9,027,704
	75,602,123	Sansiri Pcl (Foreign Registered)		4,645,448
	2,617,700	Siam Cement Pcl (The) (Foreign Registered)		40,768,578
	5,315,900	Siam Commercial Bank Pcl (The) (Foreign Registered)		25,096,034
	16,972,100	Star Petroleum Refining Pcl (Foreign Registered)		9,526,300
	7,865,200	STP & I Pcl (Foreign Registered)		1,260,803
	7,391,000	Supalai Pcl (Foreign Registered)		5,418,260
	4,206,700	Thai Beverage Pcl		2,648,594
	2,487,500	Thai Oil Pcl (Foreign Registered)		8,132,698
	1,874,000	Thai Vegetable Oil Pcl (Foreign Registered)		1,875,964
	859,600	Thanachart Capital Pcl (Foreign Registered)		1,521,636
	1,721,000	Tipco Asphalt PCL (Foreign Registered)		1,087,905
	1,477,500	Tisco Financial Group Pcl (Foreign Registered)		4,147,875
	28,184,650	TTW Pcl (Foreign Registered)		11,937,241

		Total Thailand		435,882,719


		Turkey — 4.3%
	3,041,306	Adana Cimento Sanayii TAS – Class C		830,046
	1,890,565	Akbank Turk AS		5,251,682
	701,752	BIM Birlesik Magazalar AS		13,821,756
	65,950,739	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT) ^*		45,606,441
	2,853,527	Enka Insaat ve Sanayi AS		4,118,896
	8,712,567	Eregli Demir ve Celik Fabrikalari TAS		25,914,177
	2,792,161	Haci Omer Sabanci Holding AS		7,856,340
	8,213,630	Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim AS ^*		10,774,895
	116,724	Otokar Otomotiv Ve Savunma Sanayi AS		3,632,147
	12,152,990	Soda Sanayii AS		16,154,794
	138,158	TAV Havalimanlari Holding AS		839,570
	660,758	Tekfen Holding AS		3,141,257
	149,093	Tupras Turkiye Petrol Rafineriler AS		4,575,835
	14,597	Turk Traktor ve Ziraat Makineleri AS		296,612
	12,087,306	Turkiye Garanti Bankasi AS		37,138,592
	8,210,813	Turkiye Halk Bankasi AS		20,722,092
	3,054,376	Turkiye Is Bankasi – Class C		6,061,496
	10,716,685	Turkiye Sinai Kalkinma Bankasi AS		4,761,010
	2,197,252	Turkiye Vakiflar Bankasi TAO – Class D		4,225,942
	2,185,049	Yapi ve Kredi Bankasi AS^*		2,722,654

		Total Turkey		218,446,234


		United Arab Emirates — 0.3%
	2,776,178	Aldar Properties PJSC		1,628,079
	12,253,240	DAMAC Properties Dubai Co PJSC		9,989,158
	538,550	Emirates Telecommunications Group Co PJSC		2,518,844


Shares		Description	Value ($)
		United Arab Emirates — continued
	8,006,860	RAK Properties PJSC		1,770,791

		Total United Arab Emirates		15,906,872


		Vietnam — 0.2%
	1,715,690	Ho Chi Minh City Development Joint Stock Commercial Bank ^*		3,347,394
	680,510	Vietnam Dairy Products JSC		5,854,640

		Total Vietnam		9,202,034


		TOTAL COMMON STOCKS (COST $3,997,264,301)		4,701,120,606


		PREFERRED STOCKS^(d) — 3.3%

		Brazil — 0.5%
	1,392,740	Itau Unibanco Holding SA		21,610,226
	1,086,600	Randon SA Implementos e Participacoes		3,098,930
	133,681	Telefonica Brasil SA		2,085,356

		Total Brazil		26,794,512


		Colombia — 0.2%
	220,700	Bancolombia SA Sponsored ADR		9,309,126
	1,227,847	Grupo Aval Acciones y Valores SA		531,345

		Total Colombia		9,840,471


		Russia — 0.2%
	98,616	Bashneft PJSC^*		2,817,826
	22	Surgutneftegas OJSC^*		11
	1,787	Transneft PJSC		5,840,195

		Total Russia		8,658,032


		South Korea — 2.4%
	64,939	Samsung Electronics Co Ltd		119,292,406


		Taiwan — 0.0%
	605,412	CTBC Financial Holding Co Ltd^*		1,260,778


		TOTAL PREFERRED STOCKS (COST $117,692,400)		165,846,199


		INVESTMENT FUNDS — 1.7%

		India — 0.0%
	1,371,900	TDA India Technology Fund II LP ^{* (e) (f)}		98,736


		Russia — 0.1%
	5,431,855	NCH Eagle Fund LP ^{* (e) (f)}		2,704,993


22		See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Thailand — 0.1%
	9,523,700	Digital Telecommunication Infrastructure Fund		4,400,661


		United States — 1.5%
	1,671,099	iShares MSCI Emerging Markets ETF		80,246,174


		TOTAL INVESTMENT FUNDS (COST $88,049,223)		87,450,564


		RIGHTS/WARRANTS — 0.0%

		Thailand — 0.0%
	689,175	Supalai Public Co Rights, Expires 10/19/18 ^*		423,736


		TOTAL RIGHTS/WARRANTS (COST $0)		423,736


		MUTUAL FUNDS — 1.9%

		United States — 1.9%
		Affiliated Issuers — 1.9%
	3,909,508	GMO U.S. Treasury Fund		97,620,412


		TOTAL MUTUAL FUNDS (COST $97,625,430)		97,620,412


Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.1%

		Money Market Fund — 0.1%
	4,470,406	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33% ^(g)		4,470,406


		TOTAL SHORT-TERM INVESTMENTS (COST $4,470,406)		4,470,406


		TOTAL INVESTMENTS — 99.1% (Cost $4,305,101,760)		5,056,931,923
		Other Assets and Liabilities (net) — 0.9%		45,105,114


		TOTAL NET ASSETS — 100.0%		$5,102,037,037

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 February 28, 2018
NCH Eagle Fund LP	4/6/09	$	5,452,004	0.05%	$	2,704,993
TDA India Technology Fund II LP	2/3/00-3/23/04		—	0.00%		98,736

					$	2,803,729

A summary of outstanding financial instruments at February 28, 2018 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

March 2018

314,678,000

17,822,856

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.


		See accompanying notes to the financial statements.		23

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2018

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	24,649,248		03/21/2018		At Maturity		—		435,941		435,941

										$	—	$	435,941	$	435,941

Notes to Schedule of Investments:

*	Non-income producing security.

(a)	Investment valued using significant unobservable inputs (Note 2).

(b)	Affiliated company (Note 10).

(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 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 (Note 2).

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

(g)	The rate disclosed is the 7 day net yield as of February 28, 2018.


24		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio was the responsibility of the International Active team and transitioned to the Global Equity team as of June 30, 2017, both at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Foreign Small Companies Fund returned +23.52% (net) for the fiscal year ended February 28, 2018, as compared with +26.00% for the S&P Developed ex-U.S. Small Cap Index.

Stock selection detracted from relative performance across both countries and sectors. Holdings in Japan, Germany, and Emerging Markets were the largest detractors from relative returns. The largest negative impacts came from Air France in France, Nisshin OilliO Group in Japan, and Precision Drilling Corporation in Canada. In contrast, positioning in the U.K. and Austria added value. Holdings that contributed positively to relative performance included Showa Denko K. K. in Japan, Deutsche Lufthansa in Germany, and FACC AG in Austria.

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Foreign Small Companies Fund Class III Shares and the S&P Developed ex-U.S. Small Cap Index

As of February 28, 2018

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .50% on the purchase and .50% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited. Performance for classes may vary due to different fees.

For the period from March 16, 2009 to August 12, 2009, no Class IV shares were outstanding. Performance for that period is that of Class III shares, which have higher expenses. Therefore, the performance shown is lower than it would have been if Class IV expenses had been applied throughout.

For S&P disclaimers please visit http://www.gmo.com/America/_Disclaimers/_BenchmarkDisclaimers.htm.

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		96.7	%
Mutual Funds		1.1
Short-Term Investments		0.2
Futures Contracts		0.0	^
Other		2.0

		100.0	%


Country Summary¤	% of Investments
Japan		26.3	%
United Kingdom		11.3
Germany		8.0
South Korea		7.1
Switzerland		5.9
France		5.4
Canada		4.5
Italy		4.1
Australia		3.2
United States		2.6
Austria		2.6
Taiwan		2.4
Hong Kong		2.3
Singapore		2.3
China		2.3
Other Developed		1.9	‡
Norway		1.7
Other Emerging		1.5	†
Finland		1.3
Malaysia		1.2
Spain		1.1
Poland		1.0

		100.0	%


Industry Group Summary	% of Equity Investments^#
Capital Goods		18.6	%
Materials		13.7
Technology Hardware & Equipment		8.3
Food, Beverage & Tobacco		6.8
Automobiles & Components		6.0
Real Estate		5.7
Transportation		5.3
Pharmaceuticals, Biotechnology & Life Sciences		4.8
Diversified Financials		4.5
Consumer Durables & Apparel		4.0
Retailing		3.8
Media		3.4
Insurance		3.3
Software & Services		2.8
Utilities		2.5
Energy		2.0
Health Care Equipment & Services		1.1
Semiconductors & Semiconductor Equipment		1.0
Commercial & Professional Services		0.9
Household & Personal Products		0.9
Consumer Services		0.5
Food & Staples Retailing		0.1

		100.0	%

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

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

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

^	Rounds to 0.0%.

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		COMMON STOCKS — 96.7%

		Australia — 3.2%
	219,815	Charter Hall Group (REIT)		992,510
	46,973	Codan Ltd		87,931
	288,903	GDI Property Group (REIT)		279,668
	226,015	Mineral Resources Ltd		3,293,675

		Total Australia		4,653,784


		Austria — 2.6%
	111,210	FACC AG ^*		2,891,004
	39,040	POLYTEC Holding AG		832,662

		Total Austria		3,723,666


		Belgium — 0.7%
	193,640	AGFA-Gevaert NV ^*		949,586
	1,550	Recticel SA		18,707

		Total Belgium		968,293


		Canada — 4.5%
	56,100	AGF Management Ltd – Class B		300,785
	4,600	Aimia Inc ^*		6,094
	6,400	Air Canada ^*		134,963
	100	Altus Group Ltd		2,447
	87,218	BRP Inc Sub Voting		3,057,932
	30,700	Canfor Corp ^*		725,393
	700	Capital Power Corp		12,929
	39,400	Cogeco Inc		2,201,512
	7,700	Morguard North American Residential Real Estate Investment Trust		79,688

		Total Canada		6,521,743


		China — 2.3%
	226,000	China National Materials Co Ltd – Class H		187,686
	1,763,000	Powerlong Real Estate Holdings Ltd		878,922
	178,000	Road King Infrastructure Ltd		322,178
	3,089,000	Yuzhou Properties Co Ltd		1,887,845

		Total China		3,276,631


		Finland — 1.3%
	125,244	Finnair Oyj		1,858,314


		France — 5.3%
	130,726	Air France-KLM ^*		1,542,648
	1,115	Cie des Alpes		43,096
	12,029	Euler Hermes Group		1,785,998
	25,075	Gaztransport Et Technigaz SA		1,600,380
	46,705	Metropole Television SA		1,328,046
	5,745	Vilmorin & Cie SA		521,800
	17,869	Worldline SA ^*		909,509

		Total France		7,731,477


Shares		Description	Value ($)
		Germany — 8.0%
	63,285	Bauer AG		1,670,158
	101,469	Deutsche Lufthansa AG (Registered)		3,388,057
	39,932	Elmos Semiconductor AG		1,322,432
	17,753	Leoni AG		1,207,250
	92,373	Wacker Neuson SE		3,288,837
	24,700	Wuestenrot & Wuerttembergische AG		689,902

		Total Germany		11,566,636


		Hong Kong — 2.3%
	747,000	Johnson Electric Holdings Ltd		2,947,661
	1,594,000	Singamas Container Holdings Ltd		313,324
	139,000	Sunlight Real Estate Investment Trust REIT		96,601

		Total Hong Kong		3,357,586


		India — 0.8%
	757,701	PTC India Ltd		1,184,630


		Italy — 4.0%
	506,737	Arnoldo Mondadori Editore SPA ^*		1,180,457
	22,491	ASTM SPA		544,288
	35,672	ERG SPA		739,088
	6,293	Iren SPA		18,652
	44,858	La Doria SPA		729,475
	400	Massimo Zanetti Beverage Group SPA		3,520
	10,497	Prima Industrie SPA		441,843
	181,887	Societa Cattolica di Assicurazioni SC		2,164,028

		Total Italy		5,821,351


		Japan — 26.1%
	53,400	Arakawa Chemical Industries Ltd		1,010,054
	73,300	Dai-ichi Seiko Co Ltd		1,981,404
	4,500	Daiichi Kigenso Kagaku-Kogyo Co Ltd		57,244
	30,600	Denka Co Ltd		1,119,373
	37,200	Fancl Corp		1,334,920
	2,700	Fuji Pharma Co Ltd		109,044
	1,000	Fujikura Ltd		7,297
	59,400	Fujitsu Frontech Ltd		1,004,903
	26,500	Fuyo General Lease Co Ltd		1,766,292
	9,400	Hosokawa Micron Corp		711,468
	71,100	House Foods Group Inc		2,379,959
	46,300	Ishihara Sangyo Kaisha Ltd ^*		657,464
	31,900	JSP Corp		1,010,276
	44,300	Juki Corp		698,398
	13,000	Kamei Corp		194,388
	300	Konoike Transport Co Ltd		5,276
	148,000	Kyosan Electric Manufacturing Co Ltd		1,057,313
	46,300	Mitsui Mining & Smelting Co Ltd		2,302,518
	39,000	NET One Systems Co Ltd		599,403
	45,600	Nisshin OilliO Group Ltd (The)		1,239,819
	505,000	Prima Meat Packers Ltd		3,034,846


		See accompanying notes to the financial statements.		29

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Japan — continued
	20,000	Rion Co Ltd		548,268
	59,800	Rohto Pharmaceutical Co Ltd		1,655,464
	18,700	Shikoku Chemicals Corp		263,294
	154,400	Showa Corp		2,433,448
	64,400	Showa Denko KK		3,142,636
	177,100	Tatsuta Electric Wire and Cable Co Ltd		1,203,122
	70,000	Toyo Ink SC Holdings Co Ltd		437,846
	73,800	TS Tech Co Ltd		2,983,250
	92,600	Ube Industries Ltd		2,874,224

		Total Japan		37,823,211


		Malaysia — 1.2%
	1,403,400	Padini Holdings Berhad		1,780,124


		Norway — 1.7%
	19,635	Entra ASA		271,617
	768,226	Kongsberg Automotive ASA ^*		964,507
	661,185	Kvaerner ASA ^*		1,225,981

		Total Norway		2,462,105


		Poland — 1.0%
	494,504	Energa SA		1,496,240


		Portugal — 0.4%
	111,103	Navigator Co SA (The)		602,105


		Singapore — 2.3%
	11,300	Venture Corp Ltd		232,986
	2,491,300	Yanlord Land Group Ltd		3,100,358

		Total Singapore		3,333,344


		South Africa — 0.6%
	349,098	Blue Label Telecoms Ltd		386,411
	36,959	Wilson Bayly Holmes-Ovcon Ltd		538,476

		Total South Africa		924,887


		South Korea — 7.0%
	439	CJ O Shopping Co Ltd		85,357
	4,697	Daihan Pharmaceutical Co Ltd		185,102
	21,734	DongKook Pharmaceutical Co Ltd		1,351,129
	16,617	Dongwha Pharm Co Ltd		174,694
	5,959	F&F Co Ltd		227,553
	1,278	Green Cross Holdings Corp		48,565
	43,022	Hyundai Corp		747,907
	235,587	Kwang Dong Pharmaceutical Co Ltd		2,200,249
	21,962	Kyungdong Pharm Co Ltd		473,453
	19,505	LF Corp		524,818
	54,485	LOTTE Himart Co Ltd		3,524,010
	12,610	Samjin Pharmaceutical Co Ltd		481,185
	64,283	Seohan Co Ltd		150,317

		Total South Korea		10,174,339


Shares		Description	Value ($)
		Spain — 1.1%
	235,126	Ence Energia y Celulosa SA		1,534,710


		Sweden — 0.9%
	879	KNOW IT AB		17,958
	106,320	Mr. Green & Co AB ^*		656,365
	7,735	Nolato AB – B Shares		547,097

		Total Sweden		1,221,420


		Switzerland — 5.8%
	15,530	ALSO Holding AG (Registered) ^*		2,189,467
	24,142	Bobst Group SA (Registered)		3,002,801
	133	Coltene Holding AG (Registered)		13,394
	2,224	Georg Fischer AG (Registered)		3,255,598

		Total Switzerland		8,461,260


		Taiwan — 2.4%
	1,464,000	Coretronic Corp		2,235,431
	418,000	Elitegroup Computer Systems Co Ltd ^*		261,206
	38,000	Gigabyte Technology Co Ltd		88,779
	43,000	Holtek Semiconductor Inc		117,039
	56,000	Lotes Co Ltd		376,705
	177,000	Wah Lee Industrial Corp		340,348

		Total Taiwan		3,419,508


		United Kingdom — 11.2%
	790	Bellway Plc		33,675
	156,862	Computacenter Plc		2,372,698
	209,153	Electrocomponents Plc		1,804,940
	54,175	Games Workshop Group Plc		1,776,271
	350,807	Jupiter Fund Management Plc		2,456,468
	23,450	McColl’s Retail Group Plc		80,689
	68,191	Morgan Sindall Group Plc		1,161,848
	18,028	Ophir Energy Plc ^*		12,962
	109,127	Plus500 Ltd		1,782,753
	134,749	RPS Group Plc		420,627
	3,280	Savills Plc		43,050
	10,981	Spirent Communications Plc		15,680
	106,045	SThree Plc		502,883
	413,550	Stock Spirits Group Plc		1,561,361
	279,141	Vesuvius Plc		2,256,185

		Total United Kingdom		16,282,090


		TOTAL COMMON STOCKS (COST $128,591,943)		140,179,454


30		See accompanying notes to the financial statements.

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		MUTUAL FUNDS — 1.1%

		United States — 1.1%
		Affiliated Issuers — 1.1%
	63,909	GMO U.S. Treasury Fund		1,595,796


		TOTAL MUTUAL FUNDS (COST $1,595,796)		1,595,796


		SHORT-TERM INVESTMENTS — 0.2%

		Money Market Funds — 0.2%
	274,792	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33% ^(a)		274,792

		Total Money Market Funds		274,792


		TOTAL SHORT-TERM INVESTMENTS (COST $274,792)		274,792


		TOTAL INVESTMENTS — 98.0% (Cost $130,462,531)		142,050,042
		Other Assets and Liabilities (net) — 2.0%		2,883,086


		TOTAL NET ASSETS — 100.0%		$144,933,128

A summary of outstanding financial instruments at February 28, 2018 is as follows:

Futures Contracts

Number

Contracts +

Type

Expiration
Date

Notional
Amount

Value/Net
Unrealized
Appreciation
(Depreciation)

Buys

Mini MSCI
EAFE

March 2018

2,138,325

(32,848

)

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Notes to Schedule of Investments:

*	Non-income producing security.

(a)	The rate disclosed is the 7 day net yield as of February 28, 2018.


		See accompanying notes to the financial statements.		31

GMO International Equity Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Global Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI EAFE Index is included for comparative purposes.

Class II shares of GMO International Equity Fund returned +20.85% (net) for the fiscal year ended February 28, 2018, as compared with +20.13% for the MSCI EAFE Index.

The Fund added value from stock selection decisions, with additional positive contributions from both country and sector allocation. Germany, Switzerland, and Italy were the top country contributors. Germany and Italy were both overweight on average, with performance driven primarily by stock selection. Value added in Switzerland came from a combination of stock selection and underweight positioning.

Stock selection was also the primary reason for the outperformance of top sector contributors; Industrials, Consumer Discretionary, and Real Estate. Top stock contributors included overweight positions in Deutsche Lufthansa (Germany Industrial), Fiat Chrysler Automobiles (Italy Consumer Discretionary), and Christian Dior (France Consumer Discretionary).

Areas with negative contributions over the period included stock selection in the U.K. and Japan. Top stock detractors included overweight positions in GlaxoSmithKline (U.K. Health Care), WPP (U.K. Consumer Discretionary), and Sumitomo Mitsui Financial Group (Japan Financials).

GMO International Equity Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO International Equity Fund Class II Shares and the MSCI EAFE Index

As of February 28, 2018

LOGO

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The MSCI EAFE Value Index has been removed from the performance graph as GMO does not believe it to be representative of the Fund’s investment strategy.

GMO International Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		97.5	%
Mutual Funds		1.2
Preferred Stocks		0.7
Short-Term Investments		0.1
Futures Contracts		0.0	^
Other		0.5

		100.0	%


Country Summary¤	% of Investments
Japan		26.9	%
United Kingdom		13.6
Germany		12.4
France		12.2
Italy		5.1
Switzerland		5.0
Hong Kong		4.8
Australia		3.7
Sweden		3.4
Norway		3.3
Netherlands		3.2
United States		2.1
Austria		1.5
Other Developed		1.4	‡
Spain		1.4

		100.0	%


Industry Group Summary	% of Equity Investments^#
Capital Goods		12.7	%
Materials		11.2
Automobiles & Components		9.0
Banks		9.0
Pharmaceuticals, Biotechnology & Life Sciences		8.0
Insurance		7.4
Energy		6.8
Food, Beverage & Tobacco		5.8
Technology Hardware & Equipment		5.1
Consumer Durables & Apparel		5.0
Transportation		2.9
Semiconductors & Semiconductor Equipment		2.7
Telecommunication Services		2.5
Diversified Financials		2.1
Real Estate		2.0
Software & Services		1.8
Household & Personal Products		1.6
Utilities		1.5
Retailing		0.9
Commercial & Professional Services		0.8
Consumer Services		0.4
Health Care Equipment & Services		0.3
Food & Staples Retailing		0.3
Media		0.2

		100.0	%

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

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

^	Rounds to 0.0%.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		COMMON STOCKS — 97.5%

		Australia — 3.7%
	321,081	Abacus Property Group (REIT)		853,420
	38,751	Adelaide Brighton Ltd		196,796
	832,950	Australia & New Zealand Banking Group Ltd		18,614,862
	1,376,398	Caltex Australia Ltd		37,310,248
	288,182	Charter Hall Group (REIT)		1,301,201
	77,854	CIMIC Group Ltd		2,808,200
	1,399,572	Costa Group Holdings Ltd		7,868,466
	128,589	Credit Corp Group Ltd		2,095,372
	4,104,340	CSR Ltd		16,330,488
	6,215,449	Downer EDI Ltd		33,155,299
	125,824	Elders Ltd		673,339
	341,167	Goodman Group (REIT)		2,157,324
	66,022	Investa Office Fund (REIT)		215,737
	79,206	Macquarie Group Ltd		6,310,647
	1,485,829	Metcash Ltd		3,715,589
	1,819,151	Mineral Resources Ltd		26,510,151
	1,518,586	Nine Entertainment Co Holdings Ltd		2,680,337
	2,200,788	OZ Minerals Ltd		16,283,716
	581,223	Pact Group Holdings Ltd		2,513,066
	100	Rio Tinto Ltd		6,200
	1,176,271	Shopping Centres Australasia Property Group (REIT)		2,036,806
	394,187	Sigma Healthcare Ltd		271,633
	17,983	Sonic Healthcare Ltd		339,256
	288,481	Southern Cross Media Group Ltd		245,155
	75,035	Tabcorp Holdings Ltd		268,768
	364,680	Tassal Group Ltd		1,072,082
	69,894	Vicinity Centres (REIT)		134,044
	19,738	Virtus Health Ltd		87,898
	30,282	Woodside Petroleum Ltd		675,968
	263,632	WorleyParsons Ltd		3,096,409

		Total Australia		189,828,477


		Austria — 1.5%
	79,093	Oesterreichische Post AG		3,808,104
	881,922	OMV AG		50,144,546
	357,486	voestalpine AG		20,622,707

		Total Austria		74,575,357


		Belgium — 0.2%
	615,191	AGFA-Gevaert NV ^*		3,016,817
	1,134	Barco NV		138,376
	14,350	bpost SA		486,946
	46,444	D’ieteren SA/NV		1,997,424
	7,450	Elia System Operator SA/NV		470,369
	90,674	Orange Belgium SA		1,678,753
	23,237	UCB SA		1,919,522

		Total Belgium		9,708,207


Shares		Description	Value ($)
		Denmark — 0.3%
	346	AP Moeller – Maersk A/S – Class B		562,035
	2,643	Dfds A/S		145,557
	284,000	Novo Nordisk A/S Sponsored ADR		14,620,320
	12,564	Per Aarsleff Holding A/S		449,767
	8,571	Schouw & Co AB		893,523

		Total Denmark		16,671,202


		Finland — 0.0%
	26,395	Metso Oyj		843,026
	27,313	Tieto Oyj		967,288

		Total Finland		1,810,314


		France — 12.3%
	2,118,107	Air France-KLM ^*		24,994,976
	77,277	Amundi SA		6,299,321
	3,560,567	AXA SA		111,513,587
	837,339	BNP Paribas SA		66,208,808
	1,788	Casino Guichard Perrachon SA		96,856
	132,571	Christian Dior SE		49,239,342
	706,407	CNP Assurances		17,118,730
	3,216,416	Credit Agricole SA		55,113,925
	17,255	IPSOS		661,346
	4,612	Legrand SA		361,572
	238,372	Metropole Television SA		6,778,056
	160,540	Sanofi		12,674,608
	309,330	SCOR SE		13,114,524
	7,768	Societe BIC SA		814,977
	1,497,637	Societe Generale SA		85,095,172
	2,202,400	STMicroelectronics NV – NY Shares		50,214,720
	2,474,739	STMicroelectronics NV		56,281,207
	1,148,394	TOTAL SA		65,319,196

		Total France		621,900,923


		Germany — 11.8%
	131,069	ADVA Optical Networking SE ^*		990,680
	570,196	Allianz SE (Registered)		132,451,529
	140,552	BASF SE		14,683,402
	1,110,263	Bayerische Motoren Werke AG		116,649,667
	92,048	Bechtle AG		7,817,937
	5,852	Cewe Stiftung & Co KGAA		596,632
	95,485	Covestro AG		10,771,693
	1,590,176	Daimler AG (Registered Shares)		135,779,794
	2,882,610	Deutsche Lufthansa AG (Registered)		96,250,552
	9,759	Diebold Nixdorf AG ^*		805,521
	5,773	Duerr AG		706,073
	20,395	Evonik Industries AG		750,945
	7,958	Fraport AG Frankfurt Airport Services Worldwide		812,050
	8,141	Henkel AG & Co KGaA		978,778
	6,881	Indus Holding AG		511,924
	57,696	Jenoptik AG		1,981,004


		See accompanying notes to the financial statements.		35

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Germany — continued
	2,151	Koenig & Bauer AG		188,755
	125,707	Leoni AG		8,548,404
	215,662	RHOEN-KLINIKUM AG		7,520,378
	1,293	RTL Group SA		113,232
	1,068,702	RWE AG ^*		21,241,817
	6,606	Salzgitter AG		376,731
	575	Siltronic AG ^*		83,900
	120,086	Software AG		6,303,869
	1,784	STADA Arzneimittel AG		186,161
	52,163	Talanx AG		2,305,769
	141,483	Volkswagen AG		28,105,657

		Total Germany		597,512,854


		Hong Kong — 4.8%
	8,838,600	BOC Hong Kong Holdings Ltd		44,418,246
	2,881,600	Champion (REIT)		2,046,140
	2,361,100	Dah Sing Banking Group Ltd		5,247,454
	469,800	Dah Sing Financial Holdings Ltd		3,041,706
	5,255,990	Esprit Holdings Ltd ^*		2,061,380
	333,000	Fortune Real Estate Investment Trust		395,935
	4,350,000	Global Brands Group Holding Ltd ^*		314,935
	2,478,900	Hysan Development Co Ltd		14,326,123
	5,696,075	I-CABLE Communications Ltd ^*		142,574
	2,735,700	Kerry Properties Ltd		12,366,060
	917,200	Luk Fook Holdings International Ltd		3,158,397
	932,800	Man Wah Holdings Ltd		857,173
	1,621,000	Pacific Textiles Holdings Ltd		1,551,303
	1,075,700	PCCW Ltd		611,163
	16,961,100	SJM Holdings Ltd		16,156,278
	1,526,200	SmarTone Telecommunications Holdings Ltd		1,658,188
	162,400	Swire Properties Ltd		553,374
	39,000	Swire Pacific Ltd – Class A		392,040
	135,500	Techtronic Industries Co Ltd		850,126
	435,800	Television Broadcasts Ltd		1,435,638
	51,329,500	WH Group Ltd		63,217,645
	3,432,900	Wharf Holdings Ltd (The)		12,754,290
	4,219,900	Wharf Real Estate Investment Co Ltd ^*		28,686,628
	1,718,500	Wheelock & Co Ltd		12,457,168
	845,075	Xinyi Automobile Glass Hong Kong Enterprises Ltd ^*		229,703
	3,383,800	Yue Yuen Industrial Holdings Ltd		14,462,699

		Total Hong Kong		243,392,366


		Ireland — 0.1%
	28,300	ICON Plc ^*		3,206,673


		Israel — 0.3%
	71,321	Bank Hapoalim BM		507,817
	274,626	El Al Israel Airlines		98,953
	4,169,122	Israel Discount Bank Ltd – Class A ^*		11,954,688
	36,740	Mizrahi Tefahot Bank Ltd		677,232


Shares		Description	Value ($)
		Israel — continued
	18,700	SodaStream International Ltd ^*		1,513,204
	10,496	Teva Pharmaceutical Industries Ltd		196,835

		Total Israel		14,948,729


		Italy — 5.1%
	474,840	A2A SPA		839,573
	78,636	De’ Longhi SPA		2,218,476
	6,787,484	Enel SPA		39,399,730
	3,284	Eni SPA		54,530
	686,272	EXOR NV		49,798,477
	5,117,100	Fiat Chrysler Automobiles NV		108,431,349
	67,312	Fiat Chrysler Automobiles NV ^*		1,420,826
	1,297,941	Hera SPA		4,414,708
	1,540,676	Iren SPA		4,566,491
	51,526	La Doria SPA		837,909
	754,646	Recordati SPA		26,978,003
	9,720	Reply SPA		582,909
	1,681,711	Saras SPA		3,525,042
	1,357,586	Societa Cattolica di Assicurazioni SC		16,152,084
	595,147	Telecom Italia SPA ^*		534,138

		Total Italy		259,754,245


		Japan — 27.0%
	30,700	Yamaha Motor Co Ltd		970,841
	7,700	Kose Corp		1,432,401
	35,800	Seiko Holdings Corp		973,670
	4,800	Keyence Corp		2,906,880
	65,300	Denso Corp		3,811,419
	215,700	Astellas Pharma Inc		3,168,839
	19,600	ADEKA Corp		356,420
	7,000	Aichi Corp		48,621
	1,200	Ain Holdings Inc		80,206
	140,800	Alpine Electronics Inc		2,794,589
	83,700	AOKI Holdings Inc		1,339,258
	23,800	Aoyama Trading Co Ltd		990,251
	3,074,100	Asahi Kasei Corp		39,394,552
	127,800	Autobacs Seven Co Ltd		2,488,093
	1,989,000	Brother Industries Ltd		49,465,281
	909,100	Canon Inc		34,644,700
	52,100	Cawachi Ltd		1,276,365
	215,100	CKD Corp		5,381,833
	6,200	Computer Engineering & Consulting Ltd		190,060
	395,800	Cosmo Energy Holdings Co Ltd		13,721,774
	21,200	Credit Saison Co Ltd		363,905
	29,580	Daikyo Inc		628,272
	71,100	Daiwabo Holdings Co Ltd		2,939,441
	809,700	DCM Holdings Co Ltd		7,972,462
	340,640	Denka Co Ltd		12,460,890
	109,900	DIC Corp		3,920,914
	70,600	Doutor Nichires Holdings Co Ltd		1,637,707
	17,300	DTS Corp		621,722


36		See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Japan — continued
	7,500	Ehime Bank Ltd (The)		93,046
	108,000	Fancl Corp		3,875,574
	116,000	Fuji Electric Co Ltd		877,795
	15,300	Fuji Oil Holdings Inc		451,319
	315,200	Fujikura Ltd		2,300,031
	10,882,000	Fujitsu Ltd		64,939,393
	176,500	Furukawa Electric Co Ltd		9,617,171
	34,400	Fuyo General Lease Co Ltd		2,292,847
	170,000	Geo Holdings Corp		3,103,651
	23,250	Gunze Ltd		1,291,272
	278,940	Hanwa Co Ltd		12,587,617
	106,800	Hiroshima Bank Ltd (The)		828,412
	13,600	Hitachi Capital Corp		351,792
	227,600	Hitachi Chemical Co Ltd		5,055,017
	12,208,000	Hitachi Ltd		92,318,132
	7,200	Hitachi Transport System Ltd		177,755
	2,300	Hokuetsu Bank Ltd (The)		51,324
	148,100	House Foods Group Inc		4,957,411
	26,700	Isuzu Motors Ltd		417,719
	6,855,000	ITOCHU Corp		131,770,530
	81,800	Itochu Techno-Solutions Corp		3,339,889
	36,700	Kagome Co Ltd		1,248,026
	184,600	Kanematsu Corp		2,486,074
	103,200	Keihin Corp		2,145,900
	61,200	Kohnan Shoji Co Ltd		1,435,744
	9,900	Koito Manufacturing Co Ltd		683,095
	68,100	Kokuyo Co Ltd		1,276,031
	48,900	Kuraray Co Ltd		849,840
	8,200	Kyowa Exeo Corp		217,847
	57,800	Mandom Corp		2,030,937
	6,592,100	Marubeni Corp		50,227,007
	2,400	Maruwa Co Ltd		197,245
	10,166,100	Mitsubishi Chemical Holdings Corp		102,564,619
	831,600	Mitsubishi Corp		23,297,444
	905,200	Mitsubishi Electric Corp		15,268,451
	818,500	Mitsubishi Gas Chemical Co Inc		20,244,115
	988,300	Mitsubishi Tanabe Pharma Corp		21,051,063
	2,301,500	Mitsui & Co Ltd		41,712,201
	715,100	Mitsui Chemicals Inc		21,699,204
	3,600	Mitsui Sugar Co Ltd		146,569
	91,500	Modec Inc		2,284,018
	171,000	Nachi-Fujikoshi Corp		1,063,834
	87,000	Namura Shipbuilding Co Ltd		523,707
	429,800	NET One Systems Co Ltd		6,605,729
	347,000	Nichias Corp		4,607,487
	5,400	Nichiha Corp		212,073
	343,700	Nichirei Corp		8,739,886
	9,900	Nifco Inc		708,560
	127,000	Nippo Corp		2,994,433
	20,500	Nippon Chemi-Con Corp		549,307
	711,700	Nippon Light Metal Holdings Co Ltd		1,918,778


Shares		Description	Value ($)
		Japan — continued
	21,800	Nippon Paper Industries Co Ltd		428,869
	2,413,000	Nippon Telegraph & Telephone Corp		112,075,653
	9,160	Nippon Television Holdings Inc		173,032
	77,900	Nippon Signal Co Ltd		760,716
	119,300	Nishi-Nippon Financial Holdings Inc		1,465,073
	17,400	Nisshinbo Holdings Inc		264,212
	40,200	Nissin Electric Co Ltd		392,660
	88,500	Nomura Holdings Inc		538,733
	800	NuFlare Technology Inc		59,538
	10,500	Okamura Corp		145,241
	122,700	Okinawa Electric Power Co (The)		3,314,340
	205,800	Onward Holdings Co Ltd		1,752,722
	452,200	Orient Corp		719,380
	12,000	Osaki Electric Co Ltd		90,001
	174,100	Pola Orbis Holdings Inc		7,298,993
	108,200	Press Kogyo Co Ltd		666,411
	1,393,000	Prima Meat Packers Ltd		8,371,367
	32,000	Relo Group Inc		897,048
	106,200	Rengo Co Ltd		920,834
	126,200	Rohto Pharmaceutical Co Ltd		3,493,637
	43,300	San-A Co Ltd		2,245,798
	6,800	Sankyu Inc		328,038
	1,723,200	Sekisui Chemical Co Ltd		32,284,763
	192,300	Showa Denko KK		9,383,991
	38,200	Softbank Technology Corp		739,370
	13,387,400	Sojitz Corp		43,685,051
	8,632,000	Sumitomo Chemical Co Ltd		53,222,085
	525,300	Sumitomo Forestry Co Ltd		8,757,691
	355,260	Sumitomo Heavy Industries Ltd		13,839,512
	15,200	Suzuken Co Ltd		618,838
	162,300	T-Gaia Corp		4,656,742
	25,100	Token Corp		2,824,487
	9,330	Tokyo Electric Power Co Holdings Inc ^*		35,693
	154,000	Tokyo Electron Ltd		30,092,021
	56,000	Toppan Printing Co Ltd		478,397
	8,800	Toshiba Plant Systems & Services Corp		177,714
	2,697,000	Tosoh Corp		55,754,816
	55,500	Towa Pharmaceutical Co Ltd		3,590,943
	23,100	Toyoda Gosei Co Ltd		559,288
	1,124,300	Toyota Tsusho Corp		41,627,433
	31,900	TPR Co Ltd		904,375
	235,800	TS Tech Co Ltd		9,531,847
	87,400	TSI Holdings Co Ltd		630,317
	88,000	Tsubakimoto Chain Co		746,606
	17,000	Tsumura & Co		566,875
	481,910	Ube Industries Ltd		14,958,068
	6,800	UKC Holdings Corp		149,104
	225,800	Valor Holdings Co Ltd		6,160,963
	26,600	Warabeya Nichiyo Holdings Co Ltd		632,770
	30,500	Yahagi Construction Co Ltd		234,449
	46,600	Yamaguchi Financial Group Inc		562,498


		See accompanying notes to the financial statements.		37

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Japan — continued
	625,000	Zeon Corp		9,339,109

		Total Japan		1,368,816,399


		Malta — 0.0%
	15,984,486	BGP Holdings Plc ^(a)		—


		Netherlands — 3.2%
	19,741	Aalberts Industries NV		987,585
	104,679	BinckBank NV		616,717
	364,200	Constellium NV – Class A ^*		4,224,720
	19,187	Corbion NV		595,398
	147,212	Heineken Holding NV		14,643,371
	6,645,300	ING Groep NV		116,611,593
	224,998	Philips Lighting NV		8,913,296
	250,147	Unilever NV CVA		13,091,726
	48,474	Wolters Kluwer NV		2,455,397

		Total Netherlands		162,139,803


		New Zealand — 0.0%
	550,314	Air New Zealand Ltd		1,302,047
	237,499	Chorus Ltd		638,875
	43,683	Fletcher Building Ltd		203,413

		Total New Zealand		2,144,335


		Norway — 3.3%
	11,876	Austevoll Seafood ASA		106,464
	164,609	Bakkafrost P/F		8,311,219
	499,824	BW LPG Ltd ^*		2,180,562
	1,800,258	DNB ASA		35,312,652
	12,831	Salmar ASA		456,164
	12,295	SpareBank 1 Nord Norge		106,368
	2,934,201	Statoil ASA		66,786,837
	1,502,199	Storebrand ASA		13,067,120
	2,179,097	Subsea 7 SA		32,358,105
	315,163	Telenor ASA		7,072,717
	16,108	Yara International ASA		711,767

		Total Norway		166,469,975


		Portugal — 0.2%
	148,834	Altri SGPS SA		846,283
	859,006	CTT-Correios de Portugal SA		3,556,183
	178,954	Navigator Co SA (The)		969,813
	730,139	REN-Redes Energeticas Nacionais SGPS SA		2,197,247

		Total Portugal		7,569,526


		Singapore — 0.3%
	537,100	CapitaLand Commercial Trust (REIT)		697,502
	9,300	CapitaLand Mall Trust (REIT)		14,154
	1,380,400	Mapletree Greater China Commercial Trust (REIT)		1,236,679
	706,500	Mapletree Industrial Trust (REIT)		1,044,397


Shares		Description	Value ($)
		Singapore — continued
	538,900	Venture Corp Ltd		11,111,164
	2,497,000	Yangzijiang Shipbuilding Holdings Ltd		2,817,834
	93,000	Yanlord Land Group Ltd		115,736

		Total Singapore		17,037,466


		Spain — 1.4%
	584,700	Ebro Foods SA		14,691,104
	37,655	Mapfre SA		126,350
	3,123,731	Repsol SA		55,500,726
	11,674	Viscofan SA		741,562

		Total Spain		71,059,742


		Sweden — 3.4%
	36,580	Bilia AB – A Shares		374,749
	72,688	Electrolux AB – Series B		2,386,345
	6,511	Granges AB		70,637
	32,183	Industrivarden AB – C Shares		767,735
	60,408	Klovern AB – B Shares		74,144
	17,435	NCC AB – B Shares		332,471
	2,512,047	Sandvik AB		46,504,227
	427,845	SAS AB ^*		1,094,007
	35,435	Securitas AB – B Shares		608,813
	13,261	Skanska AB – B Shares		263,723
	1,073,264	Svenska Cellulosa AB SCA – Class B		10,636,051
	23,199	Swedish Match AB		985,429
	5,745,177	Volvo AB – B Shares		108,020,346
	53,861	Wihlborgs Fastigheter AB		1,238,323

		Total Sweden		173,357,000


		Switzerland — 5.0%
	58,679	Ascom Holding AG (Registered)		1,480,393
	13,484	Autoneum Holding AG		4,289,741
	1,774	Banque Cantonale Vaudoise (Registered)		1,484,897
	5,696	BKW AG		325,997
	343	Bobst Group SA (Registered)		42,663
	9,397	Bucher Industries AG (Registered)		3,946,171
	2,018	Cembra Money Bank AG ^*		189,887
	372	dormakaba Holding AG ^*		341,189
	3,408	Emmi AG (Registered) ^*		2,571,299
	1,534	EMS-Chemie Holding AG (Registered)		977,837
	210	Forbo Holdings AG (Registered)		339,716
	128,845	GAM Holding AG ^*		2,314,990
	17,470	Georg Fischer AG (Registered)		25,573,428
	42	Gurit Holding AG ^*		42,061
	12,324	Implenia AG (Registered)		925,456
	9,576	Kardex AG (Registered) ^*		1,237,487
	5,439	Komax Holding AG (Registered)		1,735,957
	830,953	Logitech International SA (Registered)		32,613,226
	18,638	Lonza Group AG (Registered)		4,722,112
	10,546	Mobilezone Holding AG (Registered)		132,783
	129,064	Nestle SA (Registered)		10,254,265


38		See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Switzerland — continued
	238,871	Novartis AG (Registered)		19,927,040
	31,024	Roche Holding AG		7,310,941
	7,111	Sika AG		58,312,658
	3,695	Straumann Holding AG (Registered)		2,489,080
	1,316	Swatch Group AG (The) (Registered)		105,160
	51,444	Swiss Life Holding AG (Registered) ^*		18,577,611
	440,621	Swiss Re AG		44,830,788
	1,640	Valora Holding AG (Registered)		594,512
	61,457	Vontobel Holding AG (Registered)		4,121,224
	5,161	Zehnder Group AG – Class RG		240,025

		Total Switzerland		252,050,594


		United Kingdom — 13.6%
	1,969,815	3i Group Plc		25,337,761
	1,951,793	AstraZeneca Plc		127,749,195
	180,546	Barratt Developments Plc		1,334,303
	68,448	Bellway Plc		2,917,728
	759,773	Berkeley Group Holdings Plc (The)		40,208,590
	1,501,128	British American Tobacco Plc		88,600,269
	776,174	Cairn Energy Plc ^*		1,980,985
	1,579,090	Carillion Plc ^(a)		—
	1,032,420	Coca-Cola HBC AG ^*		33,751,985
	4,316,811	Debenhams Plc		1,695,459
	65,300	Diageo Plc Sponsored ADR		8,857,292
	1,177,176	Electrocomponents Plc		10,158,748
	28,644	Fenner Plc		186,977
	3,499,013	Ferrexpo Plc		14,954,927
	7,495,818	Firstgroup Plc ^*		8,398,123
	414,892	Galliford Try Plc		5,213,108
	6,956,856	GlaxoSmithKline Plc		124,762,385
	197,000	GlaxoSmithKline Plc Sponsored ADR		7,153,070
	133,725	Halfords Group Plc		652,068
	335,928	Hunting Plc ^*		2,785,175
	1,286,778	Inchcape Plc		11,987,074
	2,593,708	Indivior Plc ^*		13,468,692
	37,025	Intermediate Capital Group Plc		535,599
	1,865	Jupiter Fund Management Plc		13,059
	2,158,582	Lloyds Banking Group Plc		2,039,496
	154,003	Mitie Group Plc		332,297
	406,874	National Express Group Plc		1,955,032
	202,500	Nomad Foods Ltd ^*		3,318,975
	30,089	Pearson Plc		303,013
	2,270,260	Persimmon Plc		81,158,409
	57,252	Playtech Plc		614,078
	155,839	Plus500 Ltd		2,545,863
	249,518	QinetiQ Group Plc		701,625
	616,790	Reckitt Benckiser Group Plc		48,958,553
	98,543	Royal Mail Plc		759,037
	70,646	Savills Plc		927,220
	221,096	Spectris Plc		8,262,413
	357,694	Vesuvius Plc		2,891,098


Shares		Description	Value ($)
		United Kingdom — continued
	26,237	Victrex Plc		932,925
	10,727	WH Smith Plc		298,784

		Total United Kingdom		688,701,390


		TOTAL COMMON STOCKS (COST $4,201,796,567)		4,942,655,577


		PREFERRED STOCKS ^(b) — 0.7%

		Germany — 0.7%
	164,043	Jungheinrich AG		7,985,146
	5,379	Porsche Automobil Holding SE		448,069
	131,642	Volkswagen AG		25,609,431

		Total Germany		34,042,646


		TOTAL PREFERRED STOCKS (COST $25,006,345)		34,042,646


		MUTUAL FUNDS — 1.2%

		United States — 1.2%
		Affiliated Issuers — 1.2%
	2,445,699	GMO U.S. Treasury Fund		61,069,100


		TOTAL MUTUAL FUNDS (COST $61,084,746)		61,069,100


		SHORT-TERM INVESTMENTS — 0.1%

		Money Market Funds — 0.1%
	4,916,014	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33% ^(c)		4,916,014


		TOTAL SHORT-TERM INVESTMENTS (COST $4,916,014)		4,916,014


		TOTAL INVESTMENTS — 99.5% (Cost $4,292,803,672)		5,042,683,337
		Other Assets and Liabilities (net) — 0.5%		25,001,627


		TOTAL NET ASSETS — 100.0%		$5,067,684,964


		See accompanying notes to the financial statements.		39

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2018

A summary of outstanding financial instruments at February 28, 2018 is as follows:

Futures Contracts

Number

Contracts +

Type

Expiration
Date

Notional
Amount

Value/Net
Unrealized
Appreciation
(Depreciation)

Buys

425

Mini MSCI EAFE

March 2018

43,275,625

(5,376

)

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Notes to Schedule of Investments:

*	Non-income producing security.

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

(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 February 28, 2018.


40		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Global Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI EAFE Index is included for comparative purposes.

Class III shares of GMO International Large/Mid Cap Equity Fund returned +20.64% (net) for the fiscal year ended February 28, 2018, as compared with +20.13% for the MSCI EAFE Index.

The Fund added value from stock selection decisions, with additional positive contributions from both country and sector allocation. Germany, Switzerland, Australia, and Austria were the top country contributors. Germany was a strong contributor to value added from stock selection. Value added in Switzerland came from a combination of stock selection and underweight positioning. Underweight positioning in Australia and overweight positioning in Austria added value primarily from country allocation.

Top sector contributors included Consumer Discretionary, Industrials, and Materials. Top stock contributors included overweight positions in Deutsche Lufthansa (Germany Industrial), Porsche Automobil Holding (Germany Consumer Discretionary), and Christian Dior (France Consumer Discretionary).

Areas with negative contributions over the period included stock selection in the U.K., Japan, and the Information Technology sector. Top stock detractors included overweight positions in WPP (U.K. Consumer Discretionary), Sumitomo Mitsui Financial Group (Japan Financials), and GlaxoSmithKline (U.K. Health Care).

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO International Large/Mid Cap Equity Fund Class III Shares and the MSCI EAFE Index

As of February 28, 2018

LOGO

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		95.4	%
Preferred Stocks		2.3
Mutual Funds		1.4
Short-Term Investments		0.4
Futures Contracts		0.0	^
Other		0.5

		100.0	%


Country Summary¤	% of Investments
Japan		27.1	%
United Kingdom		13.9
Germany		12.8
France		12.5
Hong Kong		5.5
Switzerland		4.9
Netherlands		4.1
Australia		3.2
Sweden		2.9
United States		2.8
Austria		2.6
Italy		2.5
Other Developed		2.3	‡
Spain		1.5
Finland		1.4

		100.0	%


Industry Group Summary	% of Equity Investments^#
Capital Goods		12.7	%
Materials		11.3
Automobiles & Components		9.2
Banks		8.8
Pharmaceuticals, Biotechnology & Life Sciences		7.9
Insurance		7.7
Technology Hardware & Equipment		6.0
Energy		5.7
Consumer Durables & Apparel		5.6
Food, Beverage & Tobacco		5.1
Real Estate		4.4
Transportation		3.6
Telecommunication Services		2.4
Semiconductors & Semiconductor Equipment		2.1
Diversified Financials		1.9
Software & Services		1.5
Household & Personal Products		1.5
Retailing		0.8
Commercial & Professional Services		0.8
Consumer Services		0.4
Utilities		0.3
Food & Staples Retailing		0.2
Health Care Equipment & Services		0.1
Media		0.0	^

		100.0	%

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

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

^	Rounds to 0.0%.

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		COMMON STOCKS— 95.4%

		Australia — 3.2%
	98	Australia & New Zealand Banking Group Ltd		2,190
	22,737	BHP Billiton Ltd		533,916
	17,135	Caltex Australia Ltd		464,481
	18,566	Charter Hall Group (REIT)		83,829
	2,141	CIMIC Group Ltd		77,226
	43,807	Downer EDI Ltd		233,681
	5,949	Fairfax Media Ltd		3,482
	8,729	Goodman Group (REIT)		55,197
	40,930	GPT Group (The) (REIT)		150,204
	2,248	IOOF Holdings Ltd		18,109
	2,495	Macquarie Group Ltd		198,786
	18,270	Mineral Resources Ltd		266,246
	31,886	Qantas Airways Ltd		145,143
	1,299	Shopping Centres Australasia Property Group (REIT)		2,249
	293	Sonic Healthcare Ltd		5,528
	18,748	Stockland (REIT)		58,601
	1,834	Suncorp Group Ltd		19,147
	9,858	Westpac Banking Corp		233,618
	6,074	WorleyParsons Ltd		71,340

		Total Australia		2,622,973


		Austria — 2.6%
	26,626	OMV AG		1,513,908
	10,882	voestalpine AG		627,762

		Total Austria		2,141,670


		Belgium — 0.0%
	84	Ageas		4,398
	361	bpost SA		12,250
	288	UCB SA		23,791

		Total Belgium		40,439


		Denmark — 0.9%
	326	AP Moeller – Maersk A/S – Class B		529,548
	4,000	Novo Nordisk A/S Sponsored ADR		205,920

		Total Denmark		735,468


		Finland — 1.5%
	34,873	UPM – Kymmene Oyj		1,193,138


		France — 12.6%
	32,776	Air France-KLM ^*		386,777
	380	Amundi SA		30,976
	106	Atos SE		13,944
	71,181	AXA SA		2,229,322
	25,260	BNP Paribas SA		1,997,321
	1,930	Christian Dior SE		716,838
	2,472	CNP Assurances		59,905


Shares		Description	Value ($)
		France — continued
	41,509	Credit Agricole SA		711,265
	1,235	Sanofi		97,503
	10,657	SCOR SE		451,820
	28,091	Societe Generale SA		1,596,120
	16,400	STMicroelectronics NV – NY Shares		373,920
	26,398	STMicroelectronics NV		600,351
	18,232	TOTAL SA		1,037,013

		Total France		10,303,075


		Germany — 10.6%
	7,883	Allianz SE (Registered)		1,831,152
	75	Aurubis AG		6,282
	2,633	BASF SE		275,068
	17,959	Bayerische Motoren Werke AG		1,886,860
	168	Bechtle AG		14,269
	223	Beiersdorf AG		24,402
	3,144	Covestro AG		354,676
	26,115	Daimler AG (Registered Shares)		2,229,872
	45,561	Deutsche Lufthansa AG (Registered)		1,521,285
	63	Henkel AG & Co KGaA		7,574
	900	Leoni AG		61,202
	715	METRO AG		13,945
	148	Rheinmetall AG		19,540
	5,816	RWE AG ^*		115,600
	198	Siltronic AG ^*		28,891
	1,937	Uniper SE		58,821
	1,110	Volkswagen AG		220,502

		Total Germany		8,669,941


		Hong Kong — 5.5%
	108,500	BOC Hong Kong Holdings Ltd		545,265
	197,233	I-CABLE Communications Ltd ^*		4,937
	96,000	Link (REIT)		816,095
	355,000	SJM Holdings Ltd		338,155
	2,500	Techtronic Industries Co Ltd		15,685
	373,000	WH Group Ltd		459,388
	156,000	Wharf Holdings Ltd (The)		579,588
	156,000	Wharf Real Estate Investment Co Ltd ^*		1,060,479
	81,000	Wheelock & Co Ltd		587,158
	30,000	Xinyi Glass Holdings Ltd		46,376
	9,500	Yue Yuen Industrial Holdings Ltd		40,604

		Total Hong Kong		4,493,730


		Ireland — 0.1%
	1,100	ICON Plc ^*		124,641


		Israel — 0.0%
	100	Check Point Software Technologies Ltd ^*		10,389
	400	Teva Pharmaceutical Industries Ltd Sponsored ADR		7,488

		Total Israel		17,877


		See accompanying notes to the financial statements.		45

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Italy — 2.5%
	477	De’ Longhi SPA		13,457
	1,463	Enel SPA		8,492
	10,600	EXOR NV		769,176
	7,703	Fiat Chrysler Automobiles NV ^*		162,595
	41,800	Fiat Chrysler Automobiles NV		885,742
	1,861	Recordati SPA		66,529
	41,711	Saras SPA		87,431
	4,165	Societa Cattolica di Assicurazioni SC		49,554
	2,141	Unipol Gruppo SPA		10,648

		Total Italy		2,053,624


		Japan — 27.2%
	100	Aoyama Trading Co Ltd		4,161
	55,800	Asahi Kasei Corp		715,076
	500	Azbil Corp		22,114
	24,000	Brother Industries Ltd		596,866
	29,400	Canon Inc		1,120,398
	1,100	Daicel Corp		12,533
	2,600	Daiwa House Industry Co Ltd		96,325
	1,000	DCM Holdings Co Ltd		9,846
	1,200	Denka Co Ltd		43,897
	300	Denso Corp		17,510
	100	Disco Corp		23,308
	5,900	Fujikura Ltd		43,053
	153,000	Fujitsu Ltd		913,042
	100	Fuji Oil Holdings Inc		2,950
	3,400	Furukawa Electric Co Ltd		185,260
	1,100	Gree Inc		6,915
	14,174	Haseko Corp		207,599
	1,700	Hino Motors Ltd		22,309
	200	Hitachi Chemical Co Ltd		4,442
	236,000	Hitachi Ltd		1,784,656
	400	Horiba Ltd		29,579
	2,500	House Foods Group Inc		83,684
	200	Ibiden Co Ltd		3,222
	113,300	ITOCHU Corp		2,177,914
	100	Itochu Techno-Solutions Corp		4,083
	1,100	JSR Corp		26,465
	7,440	K’s Holdings Corp		206,821
	100	Kagome Co Ltd		3,401
	2,000	Kajima Corp		19,042
	300	Keyence Corp		181,680
	100	Kobayashi Pharmaceutical Co Ltd		6,490
	100	Kose Corp		18,603
	200	Lion Corp		3,739
	203,500	Marubeni Corp		1,550,522
	1,300	MINEBEA MITSUMI Inc		29,403
	163,900	Mitsubishi Chemical Holdings Corp		1,653,568
	12,300	Mitsubishi Electric Corp		207,470
	13,000	Mitsubishi Gas Chemical Co Inc		321,531


Shares		Description	Value ($)
		Japan — continued
	22,500	Mitsubishi Tanabe Pharma Corp		479,256
	51,100	Mitsui & Co Ltd		926,132
	11,700	Mitsui Chemicals Inc		355,028
	100	Mitsui Mining & Smelting Co Ltd		4,973
	700	Nexon Co Ltd ^*		25,223
	3,100	Nichirei Corp		78,829
	38,900	Nippon Telegraph & Telephone Corp		1,806,773
	2,200	Nisshinbo Holdings Inc		33,406
	700	Omron Corp		41,197
	16,100	Otsuka Holdings Co Ltd		807,369
	1,400	Pola Orbis Holdings Inc		58,694
	1,200	Resona Holdings Inc		6,798
	1,400	Rohm Co Ltd		147,047
	2,400	Rohto Pharmaceutical Co Ltd		66,440
	1,500	Seiko Epson Corp		28,625
	46,000	Sekisui Chemical Co Ltd		861,826
	8,600	Showa Denko KK		419,669
	245,500	Sojitz Corp		801,103
	95,000	Sumitomo Chemical Co Ltd		585,739
	900	Sumitomo Corp		15,788
	1,100	Sumitomo Dainippon Pharma Co Ltd		16,736
	400	Suntory Beverage & Food Ltd		18,560
	3,800	Takeda Pharmaceutical Co., Ltd		215,463
	2,300	Tokyo Electron Ltd		449,426
	11,200	Tokyo Electric Power Co Holdings Inc ^*		42,847
	1,000	Tosoh Corp		20,673
	39,700	Toyota Tsusho Corp		1,469,900
	200	TS Tech Co Ltd		8,085
	500	Tsumura & Co		16,673
	2,000	Ube Industries Ltd		62,078
	500	Ulvac Inc		30,489
	200	Yokohama Rubber Co Ltd (The)		4,912

		Total Japan		22,265,234


		Malta — 0.0%
	15,998,662	BGP Holdings Plc ^(a)		—


		Netherlands — 4.2%
	2,772	ASR Nederland NV		124,683
	309	BE Semiconductor Industries NV		30,318
	5,084	Heineken Holding NV		505,712
	102,498	ING Groep NV		1,798,633
	3,886	Philips Lighting NV		153,944
	4,452	Unilever NV CVA		233,000
	3,500	Unilever NV – NY Shares		183,050
	7,582	Wolters Kluwer NV		384,058

		Total Netherlands		3,413,398


46		See accompanying notes to the financial statements.

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		New Zealand — 0.2%
	30,563	Fletcher Building Ltd		143,340
	2,722	Spark New Zealand Ltd		6,576

		Total New Zealand		149,916


		Norway — 0.6%
	692	Bakkafrost P/F		34,940
	5,958	DNB ASA		116,868
	1,291	Norsk Hydro ASA		8,674
	3,508	Storebrand ASA		30,515
	14,752	Subsea 7 SA		219,057
	2,825	Telenor ASA		63,397

		Total Norway		473,451


		Portugal — 0.0%
	1,179	CTT-Correios de Portugal SA		4,881


		Singapore — 0.4%
	800	DBS Group Holdings Ltd		17,193
	15,500	Venture Corp Ltd		319,582

		Total Singapore		336,775


		Spain — 1.5%
	67,314	Repsol SA		1,195,998


		Sweden — 2.9%
	412	Atlas Copco AB – A Shares		17,525
	617	Electrolux AB – Series B		20,256
	21,149	Sandvik AB		391,521
	23,000	Svenska Cellulosa AB SCA – Class B		227,930
	93,165	Volvo AB – B Shares		1,751,681

		Total Sweden		2,408,913


		Switzerland — 4.9%
	127	Baloise Holding AG (Registered)		19,980
	97	Bucher Industries AG (Registered)		40,734
	158	Georg Fischer AG (Registered)		231,288
	174	LafargeHolcim Ltd (Registered) ^*		10,142
	10,790	Logitech International SA (Registered)		423,486
	212	Lonza Group AG (Registered)		53,712
	3,605	Nestle SA (Registered)		286,421
	2,342	Novartis AG (Registered)		195,374
	1,189	Roche Holding AG		274,635
	247	Roche Holding AG		58,207
	129	Sika AG		1,057,845
	44	Straumann Holding AG (Registered)		29,640
	89	Swatch Group AG (The) (Registered)		7,112
	1,849	Swiss Life Holding AG (Registered) ^*		667,716
	6,605	Swiss Re AG		672,023

		Total Switzerland		4,028,315


Shares		Description	Value ($)
		United Kingdom — 14.0%
	25,157	3i Group Plc		323,595
	31,942	AstraZeneca Plc		2,090,675
	1,277	Bellway Plc		54,435
	20,568	Berkeley Group Holdings Plc (The)		1,088,497
	36,015	British American Tobacco Plc		2,125,694
	8,817	Coca-Cola HBC AG ^*		288,246
	1,000	Diageo Plc Sponsored ADR		135,640
	26,673	Electrocomponents Plc		230,182
	17,935	Ferrexpo Plc		76,655
	953	Galliford Try Plc		11,974
	77,170	GlaxoSmithKline Plc		1,383,946
	500	GlaxoSmithKline Plc Sponsored ADR		18,155
	2,198	Hammerson Plc (REIT)		13,472
	4,305	IG Group Holdings Plc		47,766
	18,410	Inchcape Plc		171,500
	20,279	Indivior Plc ^*		105,305
	734	Intermediate Capital Group Plc		10,618
	1,244	J Sainsbury Plc		4,422
	337	Johnson Matthey Plc		14,482
	11,266	Jupiter Fund Management Plc		78,888
	12,256	Kingfisher Plc		60,321
	6,956	Man Group Plc		16,345
	89	Mondi Plc		2,315
	4,900	Nomad Foods Ltd ^*		80,311
	40,922	Persimmon Plc		1,462,901
	8,037	Reckitt Benckiser Group Plc		637,948
	40,659	Royal Mail Plc		313,180
	23,559	Sage Group Plc (The)		223,388
	103	Spectris Plc		3,849
	7,911	WH Smith Plc		220,349
	45,310	WM Morrison Supermarkets Plc		140,560

		Total United Kingdom		11,435,614


		TOTAL COMMON STOCKS (COST $65,784,025)		78,109,071


		PREFERRED STOCKS ^(b)— 2.3%

		Germany — 2.3%
	18,191	Porsche Automobil Holding SE		1,515,303
	1,793	Volkswagen AG		348,807

		Total Germany		1,864,110


		TOTAL PREFERRED STOCKS (COST $1,630,835)		1,864,110


		See accompanying notes to the financial statements.		47

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		MUTUAL FUNDS— 1.4%

		United States — 1.4%
		Affiliated Issuers — 1.4%
	47,302	GMO U.S. Treasury Fund		1,181,128


		TOTAL MUTUAL FUNDS (COST $1,181,854)		1,181,128


		SHORT-TERM INVESTMENTS— 0.4%

		Money Market Fund — 0.4%
	348,184	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33%^(c)		348,184


		TOTAL SHORT-TERM INVESTMENTS (COST $348,184)		348,184


		TOTAL INVESTMENTS — 99.5% (Cost $68,944,898)		81,502,493
		Other Assets and Liabilities (net) — 0.5%		392,220


		TOTAL NET ASSETS — 100.0%		$81,894,713

A summary of outstanding financial instruments at February 28, 2018 is as follows:

Futures Contracts

Number
of
Contracts +

Type

Expiration
Date

Notional
Amount

Value/Net
Unrealized
Appreciation
(Depreciation)

Buys

Mini MSCI EAFE

March 2018

1,120,075

(24,404

)

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Notes to Schedule of Investments:

*	Non-income producing security.

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

(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 February 28, 2018.


48		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Quality Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Focused Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any index or securities benchmark, a discussion of the Fund’s performance relative to the S&P 500 Index is included for comparative purposes. Please note that there are significant differences between the Fund’s portfolio holdings and those companies held in the S&P 500.

Class III shares of GMO Quality Fund returned +23.32% (net) for the fiscal year ended February 28, 2018, as compared with +17.1% for the S&P 500 Index.

Stock selection had a positive impact on returns relative to the S&P 500 Index. Stock selection in Consumer Staples and Health Care were among the most significant contributors. Stock selection in Information Technology was the most significant detractor. Overweight positions in Microsoft, United Health, and Alphabet, as well as not owning General Electric were significant single stock contributors. Positions in Medtronic and British American Tobacco, as well as not owning Amazon detracted from relative returns.

Sector selection contributed to returns relative to the S&P 500 Index. Sector weightings adding to relative performance included an overweight position in Information Technology and an underweight position in Energy. An overweight position in Consumer Staples and an underweight position in Consumer Discretionary had negative impacts on relative performance.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC Management as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments.

GMO Quality Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Quality Fund Class III Shares, the S&P 500 Index and MSCI World Index

As of February 28, 2018

LOGO

For S&P disclaimers please visit http://www.gmo.com/America/_Disclaimers/_BenchmarkDisclaimers.htm.

GMO Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		97.5	%
Short-Term Investments		1.8
Mutual Funds		0.6
Other		0.1

		100.0	%


Country Summary¤	% of Investments
United States		88.2	%
United Kingdom		5.6
Switzerland		2.4
Taiwan		2.1
Other Developed		1.7	‡

		100.0	%


Industry Group Summary	% of Equity Investments^#
Software & Services		29.7	%
Health Care Equipment & Services		14.0
Technology Hardware & Equipment		10.3
Semiconductors & Semiconductor Equipment		7.1
Pharmaceuticals, Biotechnology & Life Sciences		7.1
Food, Beverage & Tobacco		6.4
Banks		5.1
Capital Goods		4.8
Household & Personal Products		3.3
Food & Staples Retailing		3.0
Diversified Financials		2.6
Retailing		2.3
Consumer Durables & Apparel		1.6
Materials		1.4
Energy		0.9
Consumer Services		0.4

		100.0	%

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

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

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		COMMON STOCKS — 97.5%

		Banks — 5.0%
	3,795,862	US Bancorp		206,343,058
	3,454,987	Wells Fargo & Co.		201,805,791

		Total Banks		408,148,849


		Capital Goods — 4.7%
	277,804	3M Co.		65,425,620
	1,095,884	Emerson Electric Co.		77,873,517
	528,619	Honeywell International, Inc.		79,879,617
	1,189,111	United Technologies Corp.		160,220,816

		Total Capital Goods		383,399,570


		Consumer Durables & Apparel — 1.5%
	231,625	LVMH Moet Hennessy Louis Vuitton SE		69,278,362
	745,955	VF Corp.		55,625,865

		Total Consumer Durables & Apparel		124,904,227


		Consumer Services — 0.4%
	1,486,871	Compass Group Plc		31,588,849


		Diversified Financials — 2.5%
	2,125,475	American Express Co.		207,255,067


		Energy — 0.9%
	1,123,622	Schlumberger Ltd.		73,754,548


		Food & Staples Retailing — 2.9%
	978,490	Costco Wholesale Corp.		186,793,741
	758,673	CVS Health Corp.		51,384,922

		Total Food & Staples Retailing		238,178,663


		Food, Beverage & Tobacco — 6.3%
	2,636,014	British American Tobacco Plc		155,584,033
	2,507,302	Coca-Cola Co. (The)		108,365,592
	1,433,702	Nestle SA (Registered)		113,909,071
	286,326	PepsiCo, Inc.		31,418,552
	1,002,165	Philip Morris International, Inc.		103,774,186

		Total Food, Beverage & Tobacco		513,051,434


		Health Care Equipment & Services — 13.6%
	2,049,266	Abbott Laboratories		123,632,218
	571,516	Anthem, Inc.		134,523,436
	371,672	Becton Dickinson and Co.		82,518,617
	203,165	Humana, Inc.		55,224,310
	2,881,435	Medtronic Plc		230,197,842
	536,311	Stryker Corp.		86,968,192
	1,784,317	UnitedHealth Group, Inc.		403,541,133

		Total Health Care Equipment & Services		1,116,605,748


Shares		Description	Value ($)
		Household & Personal Products — 3.2%
	1,182,540	Reckitt Benckiser Group Plc		93,865,737
	3,321,333	Unilever Plc		170,776,763

		Total Household & Personal Products		264,642,500


		Materials — 1.4%
	946,502	Monsanto Co.		116,769,952


		Pharmaceuticals, Biotechnology & Life Sciences — 6.9%
	529,876	Eli Lilly & Co.		40,811,050
	2,928,340	Johnson & Johnson		380,332,799
	355,789	Novartis AG (Registered)		29,680,546
	1,929,243	Pfizer, Inc.		70,050,813
	202,370	Roche Holding AG		46,743,418

		Total Pharmaceuticals, Biotechnology & Life Sciences		567,618,626


		Retailing — 2.2%
	2,199,460	TJX Cos, Inc. (The)		181,851,353


		Semiconductors & Semiconductor Equipment — 7.0%
	394,974	Analog Devices, Inc.		35,606,906
	3,471,418	QUALCOMM, Inc.		225,642,170
	20,700,577	Taiwan Semiconductor Manufacturing Co Ltd		171,889,194
	1,284,701	Texas Instruments, Inc.		139,197,353

		Total Semiconductors & Semiconductor Equipment		572,335,623


		Software & Services — 28.9%
	1,635,548	Accenture Plc – Class A		263,339,584
	278,212	Alphabet, Inc. – Class A^*		307,123,791
	258,799	Alphabet, Inc. – Class C^*		285,903,019
	2,704,994	Cognizant Technology Solutions Corp. – Class A		221,863,608
	708,807	Mastercard, Inc. – Class A		124,579,918
	5,992,628	Microsoft Corp.		561,928,728
	9,903,723	Oracle Corp.		501,821,644
	619,691	SAP SE		64,670,585
	1,096,014	Teradata Corp.^*		40,355,235

		Total Software & Services		2,371,586,112


		Technology Hardware & Equipment — 10.1%
	542,979	Amphenol Corp. – Class A		49,622,851
	2,943,315	Apple, Inc.		524,263,268
	5,572,534	Cisco Systems, Inc.		249,538,072

		Total Technology Hardware & Equipment		823,424,191


		TOTAL COMMON STOCKS (COST $5,369,294,966)		7,995,115,312


		See accompanying notes to the financial statements.		53

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 0.6%

		Affiliated Issuers — 0.6%
	2,046,137	GMO U.S. Treasury Fund		51,092,040


		TOTAL MUTUAL FUNDS (COST $51,112,501)		51,092,040


		SHORT-TERM INVESTMENTS — 1.8%

		Money Market Funds — 0.0%
	1,737,793	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33%^(a)		1,737,793


		U.S. Government — 1.8%
	70,000,000	U.S. Treasury Bill, -1.63%, due 07/26/18^(b)		69,499,078
	58,000,000	U.S. Treasury Bill, 1.82%, due 08/16/18^(b)		57,515,168
	20,000,000	U.S. Treasury Bill, 1.85%, due 08/23/18^(b)		19,825,972


		TOTAL U.S. GOVERNMENT (COST $146,887,407)		146,840,218


		TOTAL SHORT-TERM INVESTMENTS (COST $148,625,200)		148,578,011


		TOTAL INVESTMENTS — 99.9% (Cost $5,569,032,667)		8,194,785,363
		Other Assets and Liabilities (net) — 0.1%		5,280,222


		TOTAL NET ASSETS — 100.0%		$8,200,065,585

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 February 28, 2018.

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


54		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Resources Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Focused Equity Team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Resources Fund returned 26.00% (net) for the period ended February 28, 2018, as compared with 12.66% for the MSCI ACWI Commodity Producers.

The Fund’s large underweight to energy provided both positive allocation and selection impacts. In particular, the clean energy securities were up over 130% with SolarEdge Technologies and First Solar leading the way.

The Fund’s overweight to industrial metals provided positive allocation and selection impacts. Quimica Y Minera, Anglo American, and Bradespar were among the largest contributors.

GMO Resources Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Resources Fund Class III Shares, the MSCI ACWI Commodity Producers and MSCI ACWI

As of February 28, 2018

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .30% on the purchase and .30% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited. Performance for classes may vary due to different fees.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Resources Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		87.2	%
Preferred Stocks		10.5
Mutual Funds		1.8
Short-Term Investments		0.3
Other		0.2

		100.0	%


Country Summary¤	% of Equity Investments
United Kingdom		21.8	%
United States		16.1
Russia		12.0
Norway		6.7
Brazil		6.1
Japan		5.2
France		3.8
Chile		3.1
Other Emerging		2.8	†
China		2.5
Denmark		2.5
Thailand		2.4
Australia		2.1
Poland		2.0
Other Developed		2.0	‡
Israel		1.8
South Africa		1.8
Spain		1.3
Canada		1.3
Germany		1.3
Ukraine		0.8
Colombia		0.6

		100.0	%


Industry Group Summary	% of Equity Investments^#
Energy		42.5	%
Industrial Metals		39.9
Agriculture		15.0
Water		2.6

		100.0	%

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

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

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

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		COMMON STOCKS — 87.2%

		Argentina — 0.8%
	314,900	Adecoagro SA ^*		2,830,951


		Australia — 2.1%
	184,464	Beach Energy Ltd		186,814
	250,954	Mineral Resources Ltd		3,657,106
	248,503	Sandfire Resources NL		1,460,962
	213,663	Tassal Group Ltd		628,124
	40,403	Woodside Petroleum Ltd		901,893
	56,213	WorleyParsons Ltd		660,233

		Total Australia		7,495,132


		Austria — 0.7%
	45,826	OMV AG		2,605,586


		Brazil — 0.6%
	126,800	Cosan SA Industria e Comercio		1,693,713
	91,757	Sao Martinho SA		518,569

		Total Brazil		2,212,282


		Canada — 1.3%
	158,700	Canadian Solar Inc ^*		2,491,590
	17,631	Nutrien Ltd ^*		868,327
	24,540	Nutrien Ltd ^*		1,205,772

		Total Canada		4,565,689


		China — 2.5%
	1,815,000	China High Speed Transmission Equipment Group Co Ltd		3,123,611
	936,000	China Singyes Solar Technologies Holdings Ltd ^*		373,303
	1,080,000	First Tractor Co Ltd – Class H		426,409
	255,100	Inner Mongolia Eerduosi Resourses Co Ltd – Class A		499,253
	6,154,000	Shunfeng International Clean Energy Ltd ^*		285,167
	2,598,000	Xinjiang Goldwind Science & Technology Co Ltd – Class H		4,064,647

		Total China		8,772,390


		Colombia — 0.6%
	2,533,487	Ecopetrol SA		2,219,235


		Denmark — 2.5%
	120,566	Vestas Wind Systems A/S		8,713,430


		Finland — 0.2%
	40,529	Kemira Oyj		553,189


		France — 3.8%
	138,597	Suez		1,903,507
	141,905	TOTAL SA		8,071,377


Shares		Description	Value ($)
		France — continued
	89,947	Veolia Environnement SA		2,184,641
	11,551	Vilmorin & Cie SA		1,049,140

		Total France		13,208,665


		Germany — 1.3%
	111,744	K+S AG (Registered)		3,111,823
	54,246	Nordex SE ^*		623,258
	96,011	PNE Wind AG (Registered)		345,280
	27,027	Senvion SA ^*		326,648

		Total Germany		4,407,009


		Hungary — 0.6%
	205,430	MOL Hungarian Oil & Gas Plc		2,240,381


		India — 0.5%
	612,003	Oil & Natural Gas Corp Ltd		1,745,174


		Israel — 1.8%
	936,708	Israel Chemicals Ltd		3,981,542
	8,050	Israel Corp Ltd (The) ^*		1,566,297
	10,565	Jerusalem Oil Exploration ^*		630,261

		Total Israel		6,178,100


		Italy — 0.3%
	269,947	Saipem SPA ^*		1,095,869


		Japan — 5.2%
	128,700	ADEKA Corp		2,340,369
	55,600	Ebara Corp		2,051,923
	241,900	Hitachi Zosen Corp		1,217,648
	24,300	Japan Petroleum Exploration Co Ltd		562,661
	160,200	Mitsubishi Materials Corp		5,000,297
	24,800	Modec Inc		619,056
	22,500	Nittetsu Mining Co Ltd		1,508,381
	63,000	Shinko Plantech Co Ltd		562,709
	124,900	Sumitomo Forestry Co Ltd		2,082,306
	25,521	Sumitomo Metal Mining Co Ltd		1,185,146
	49,800	Takuma Co Ltd		596,132
	18,300	Toyo Kanetsu KK		580,673

		Total Japan		18,307,301


		Netherlands — 0.1%
	16,083	SIF Holding NV		317,887


		Norway — 6.6%
	307,504	Austevoll Seafood ASA		2,756,648
	31,071	Bakkafrost P/F		1,568,796
	234,359	Grieg Seafood ASA		2,060,931
	239,025	Leroy Seafood Group ASA		1,428,637
	108,001	Ocean Yield ASA		994,852


		See accompanying notes to the financial statements.		59

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Norway — continued
	184,761	Petroleum Geo-Services ASA ^*		586,138
	53,734	Salmar ASA		1,910,334
	199,799	Statoil ASA		4,547,726
	158,459	Subsea 7 SA		2,353,008
	114,488	Yara International ASA		5,058,899

		Total Norway		23,265,969


		Poland — 2.0%
	16,129	Grupa Azoty SA		273,312
	188,109	KGHM Polska Miedz SA		5,708,629
	532,322	Polskie Gornictwo Naftowe i Gazownictwo SA		937,988

		Total Poland		6,919,929


		Qatar — 0.1%
	76,406	Gulf International Services QSC ^*		366,488


		Russia — 10.0%
	1,314,680	Gazprom Neft PJSC		6,597,851
	128,944	LUKOIL PJSC Sponsored ADR		8,544,241
	35,993	Novatek PJSC Sponsered GDR (Registered)		4,886,887
	145,157	PhosAgro PJSC GDR (Registered)		2,205,231
	513,398	Ros Agro Plc GDR (Registered)		5,075,531
	484,031	Rosneft PJSC GDR (Registered)		2,804,848
	9	Surgutneftegas OJSC		5
	65,437	Tatneft PJSC Sponsored ADR		4,094,375
	79,948	TMK PJSC GDR (Registered)		455,046
	145,590	Uralkali PJSC ^*		267,240

		Total Russia		34,931,255


		Singapore — 0.1%
	3,529,686	Ezion Holdings Ltd ^{* (a)}		174,788
	2,725,600	Ezra Holdings Ltd ^{* (b)}		22,632

		Total Singapore		197,420


		South Africa — 1.8%
	133,341	African Rainbow Minerals Ltd		1,359,482
	123,867	Sasol Ltd		4,311,381
	52,644	Tongaat Hulett Ltd		480,349

		Total South Africa		6,151,212


		South Korea — 0.6%
	4,416	Korea Zinc Co Ltd		2,083,982


		Spain — 1.3%
	236,009	Repsol SA		4,193,278
	14,359	Tecnicas Reunidas SA		465,313

		Total Spain		4,658,591


		Sweden — 0.6%
	48,501	Boliden AB		1,714,892


Shares		Description	Value ($)
		Sweden — continued
	47,068	Tethys Oil AB		367,100

		Total Sweden		2,081,992


		Thailand — 2.4%
	1,747,900	Esso Thailand Pcl ^*		987,570
	568,164	PTT Exploration & Production Pcl (Foreign Registered)		2,069,469
	291,421	PTT Pcl (Foreign Registered)		5,227,810

		Total Thailand		8,284,849


		Turkey — 0.1%
	25,467	Turk Traktor ve Ziraat Makineleri AS		517,491


		Ukraine — 0.8%
	191,135	Kernel Holding SA		2,711,578


		United Kingdom — 21.7%
	750,151	Anglo American Plc		18,167,615
	618,694	BHP Billiton Plc		12,560,091
	538,857	BP Plc		3,502,439
	1,259,238	EnQuest Plc ^*		512,315
	2,526,449	Glencore Plc ^*		13,285,715
	243,018	Petrofac Ltd		1,488,123
	161,772	Polypipe Group Plc		865,409
	403,088	Premier Oil Plc ^*		394,180
	347,006	Rio Tinto Plc		18,601,158
	138,961	Royal Dutch Shell Plc A Shares (London)		4,388,542
	73,123	Royal Dutch Shell Plc B Shares (London)		2,319,403

		Total United Kingdom		76,084,990


		United States — 14.2%
	216,002	Chesapeake Energy Corp. ^*		609,126
	13,600	Deere & Co.		2,187,832
	334,408	Denbury Resources, Inc. ^*		732,353
	53,500	Diamond Offshore Drilling, Inc. ^*		775,750
	321,084	Ensco Plc – Class A		1,425,613
	60,700	First Solar, Inc. ^*		3,814,995
	993,754	Freeport-McMoRan, Inc. ^*		18,483,824
	141,618	Gran Tierra Energy, Inc. ^*		354,045
	237,800	Noble Corp Plc ^*		922,664
	80,400	Renewable Energy Group, Inc. ^*		892,440
	23,000	Rexnord Corp. ^*		666,540
	78,000	Rowan Cos Plc – Class A ^*		948,480
	346,055	SolarEdge Technologies, Inc. ^*		17,320,053
	31,764	Unit Corp. ^*		608,598

		Total United States		49,742,313


		TOTAL COMMON STOCKS (COST $232,041,394)		305,466,329


60		See accompanying notes to the financial statements.

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		PREFERRED STOCKS^(c) — 10.5%

		Brazil — 5.4%
	1,799,199	Bradespar SA		18,934,562

		Chile — 3.1%
	216,378	Sociedad Quimica y Minera de Chile SA Sponsored ADR		10,797,262


		Russia — 2.0%
	46,950	Bashneft PJSC^*		1,341,536
	7,078,784	Surgutneftegas OJSC^*		3,693,068
	280,511	Tatneft PJSC^*		2,000,491

		Total Russia		7,035,095


		TOTAL PREFERRED STOCKS (COST $19,823,566)		36,766,919


		MUTUAL FUNDS — 1.8%

		United States — 1.8%
		Affiliated Issuers — 1.8%
	260,493	GMO U.S. Treasury Fund		6,504,509


		TOTAL MUTUAL FUNDS (COST $6,506,313)		6,504,509


		SHORT-TERM INVESTMENTS — 0.3%

		Money Market Funds — 0.3%
	952,465	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33% ^(d)		952,465


		TOTAL SHORT-TERM INVESTMENTS (COST $952,465)		952,465


		TOTAL INVESTMENTS — 99.8% (Cost $259,323,738)		349,690,222
		Other Assets and Liabilities (net) — 0.2%		543,348


		TOTAL NET ASSETS — 100.0%		$350,233,570

Notes to Schedule of Investments:

*	Non-income producing security.

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

(b)	Investment valued using significant unobservable inputs (Note 2).

(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 February 28, 2018.


		See accompanying notes to the financial statements.		61

GMO Risk Premium Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Global Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI World Index is included for comparative purposes.

Class III shares of GMO Risk Premium Fund returned +6.09% (net) for the fiscal year ended February 28, 2018, as compared with +17.36% for the MSCI World Index. As of March 31, 2018, the Fund’s benchmark will be changing to the CBOE S&P 500 PutWrite Index, which GMO believes to be a better representation of the Fund’s strategy.

Because the Fund gains its investment exposure by writing (selling) options on equity indices, the Fund typically benefits (relative to equity markets) in a sharply or modestly declining market, a trending market, or a modestly climbing market. During periods when equity markets increase sharply, such as during the Fund’s fiscal period, the Fund may tend to underperform the equity markets. The Fund’s geographic exposure during the fiscal year was mainly in the U.S. and Europe, with positions in Europe making the largest positive contribution to performance in early to mid-2017, before modestly detracting from performance in early 2018.

GMO Risk Premium Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Risk Premium Fund Class III Shares, the MSCI World Index

and the CBOE S&P 500 PutWrite Index

As of February 28, 2018

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .15% on the purchase and .15% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited. Performance for classes may vary due to different fees.

For the period from November 15, 2012 to December 14, 2012, no Class III shares were outstanding. Performance for that period is that of Class VI, which has lower expenses. Therefore, the performance shown is higher than it would have been if Class III expenses had been applied throughout.

Effective March 31, 2018, the Fund changed its benchmark to the CBOE S&P 500 PutWrite Index because GMO believes the CBOE S&P 500 PutWrite Index is more representative of the Fund’s investment strategy.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Risk Premium Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Debt Obligations		51.3	%
Short-Term Investments		47.4
Written Options		(0.8	)
Other		2.1

		100.0	%

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

GMO Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 51.3%

		U.S. Government — 37.6%
	30,000,000	U.S. Treasury Note, 1.00%, due 11/30/18^(a)		29,777,344
	25,000,000	U.S. Treasury Note, USBM + 0.05%, 1.70%, due 10/31/19		25,015,672

		Total U.S. Government		54,793,016


		U.S. Government Agency — 13.7%
	10,000,000	Federal Home Loan Bank, Variable Rate, 1 mo. U.S. LIBOR – 0.11%, 1.49%, due 04/22/19		9,996,768
	10,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. U.S. LIBOR – 0.16%, 1.39%, due 06/12/19		9,996,917

		Total U.S. Government Agency		19,993,685


		TOTAL DEBT OBLIGATIONS (COST $74,902,354)		74,786,701


		SHORT-TERM INVESTMENTS — 47.4%

		Money Market Funds — 0.9%
	1,239,855	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33%^(b)		1,239,855


		TOTAL MONEY MARKET FUNDS (COST $1,239,855)		1,239,855


Shares / Par Value†		Description	Value ($)
		U.S. Government — 44.4%
	20,750,000	U.S. Treasury Bill, 1.53%, due 04/26/18^(c)		20,700,695
	25,000,000	U.S. Treasury Bill, 1.74%, due 07/12/18^(a) (c)		24,841,601
	1,500,000	U.S. Treasury Bill, 1.82%, due 08/23/18^(c)		1,486,948
	17,700,000	U.S. Treasury Note, 1.50%, due 08/31/18^(a)		17,662,664


		TOTAL U.S. GOVERNMENT (COST $64,746,760)		64,691,908


		U.S. Government Agency — 2.1%
	3,000,000	Federal Home Loan Bank, Variable Rate, 3 mo. LIBOR – 0.25%, 1.49%, due 10/18/18		2,999,475


		TOTAL U.S. GOVERNMENT AGENCY (COST $2,999,016)		2,999,475


		TOTAL SHORT-TERM INVESTMENTS (COST $68,985,631)		68,931,238


		TOTAL INVESTMENTS — 98.7% (Cost $143,887,985)		143,717,939
		Other Assets and Liabilities (net) — 1.3%		1,953,659


		TOTAL NET ASSETS — 100.0%		$145,671,598

A summary of outstanding financial instruments at February 28, 2018 is as follows:

Written Options - Puts

Index Options


Description	Counterparty	Exercise Price		Expiration Date		Number of Contracts		Notional Amount			Value ($)
Euro STOXX 50	GSCO		3,400.00		03/16/18		674		EUR	23,178,590	$	(338,564	)
FTSE 100 Index	MSLC		7,275.00		03/16/18		139		GBP	10,052,355		(239,974	)
S&P 500 Index	MSLC		2,715.00		03/02/18		150		USD	40,707,450		(205,500	)
S&P 500 Index	MSLC		2,720.00		03/02/18		192		USD	52,105,536		(301,440	)
S&P ASX 200 Index	MSLC		5,925.00		03/15/18		152		USD	9,144,320		(52,294	)

					TOTAL INDEX OPTIONS - PUTS (Premiums $1,564,787)						$	(1,137,772	)

Notes to Schedule of Investments:

The rates shown on variable rate notes are the current interest rates at February 28, 2018, 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 (Note 4).

(b)	The rate disclosed is the 7 day net yield as of February 28, 2018.

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


		See accompanying notes to the financial statements.		65

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Global Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI EAFE Index is included for comparative purposes.

Class III shares of GMO Tax-Managed International Equities Fund returned +22.70% (net) for the fiscal year ended February 28, 2018, as compared with +20.13% for the MSCI EAFE Index.

The Fund added value from stock selection decisions, with additional positive contributions from region, country, and sector allocations. The Fund’s stock selection in Europe was the largest positive contributor to performance relative to the benchmark, with additional notable contributions from stock selection in Australia. Exposure to emerging markets was the top contributor from an allocation perspective.

At a sector level, the Fund benefited from both strong stock selection and allocation. Top sector contributors included Industrials, Financials, Consumer Discretionary, and Materials. Materials added value from a mix of an overweight allocation and selection decisions, while value added in the other top performing sectors was primarily from stock selection. Only two sectors, Health Care and Telecommunications Services, detracted value over the period.

Top stock contributors included overweight positions in Deutsche Lufthansa (Germany Industrial), Fiat Chrysler Automobiles (Italy Consumer Discretionary), and Tokyo Electron (Japan Information Technology). Top stock detractors included overweight positions in GlaxoSmithKline (U.K. Health Care), Fujitsu Limited (Japan Information Technology), and WPP (U.K. Consumer Discretionary).

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Tax-Managed International Equities Fund Class III Shares, the MSCI EAFE Index (After Tax)

and the MSCI EAFE Index

As of February 28, 2018

LOGO

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		95.8	%
Preferred Stocks		2.3
Mutual Funds		1.5
Short-Term Investments		0.1
Rights/Warrants		0.0	^
Futures Contracts		(0.1	)
Other		0.4

		100.0	%


Country Summary¤	% of Investments
Japan		24.2	%
United Kingdom		12.5
Germany		11.4
France		11.3
Other Emerging		5.1	†
Italy		5.0
Switzerland		4.4
Sweden		3.7
Hong Kong		3.6
Australia		3.4
China		2.9
United States		2.8
Other Developed		2.8	‡
Netherlands		2.0
Austria		1.8
South Korea		1.6
Norway		1.5

		100.0	%


Industry Group Summary	% of Equity Investments^#
Capital Goods		13.4	%
Materials		11.8
Banks		11.1
Automobiles & Components		9.0
Insurance		6.4
Food, Beverage & Tobacco		6.0
Pharmaceuticals, Biotechnology & Life Sciences		5.6
Technology Hardware & Equipment		4.8
Energy		4.8
Semiconductors & Semiconductor Equipment		4.0
Consumer Durables & Apparel		3.9
Real Estate		3.4
Telecommunication Services		3.0
Transportation		2.5
Diversified Financials		2.3
Software & Services		2.0
Utilities		1.8
Retailing		1.3
Household & Personal Products		1.2
Consumer Services		0.8
Health Care Equipment & Services		0.3
Food & Staples Retailing		0.3
Commercial & Professional Services		0.3
Media		0.0	^

		100.0	%

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

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

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

^	Rounds to 0.0%.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		COMMON STOCKS — 95.8%

		Australia — 3.4%
	34,089	BlueScope Steel Ltd		424,289
	18,509	Caltex Australia Ltd		501,727
	1,735	CIMIC Group Ltd		62,582
	14,312	Costa Group Holdings Ltd		80,463
	1,982	CSL Ltd		249,610
	24,947	CSR Ltd		99,260
	12,973	Genworth Mortgage Insurance Australia Ltd		25,231
	353	LendLease Group		4,846
	157	Macquarie Group Ltd		12,509
	12,713	Mineral Resources Ltd		185,264
	22,167	OZ Minerals Ltd		164,014
	1,760	Primary Health Care Ltd		5,417
	2,729	Rio Tinto Ltd		169,192
	59,754	South32 Ltd		150,887
	3,682	Stockland (REIT)		11,509
	228	Wesfarmers Ltd		7,292
	14,702	WorleyParsons Ltd		172,678

		Total Australia		2,326,770


		Austria — 1.8%
	10,064	OMV AG		572,221
	6,409	Raiffeisen Bank International AG ^*		248,311
	7,566	voestalpine AG		436,469

		Total Austria		1,257,001


		Belgium — 0.2%
	2,430	Ageas		127,236
	4,294	AGFA-Gevaert NV ^*		21,057

		Total Belgium		148,293


		Brazil — 0.4%
	600	Banco do Brasil SA		7,724
	3,200	Centrais Eletricas Brasileiras SA ^*		24,412
	2,000	Cia de Saneamento Basico do Estado de Sao Paulo		23,192
	5,300	JBS SA		16,176
	5,000	Kroton Educacional SA		23,869
	300	Tim Participacoes SA ADR		6,384
	10,182	Vale SA		141,273
	400	Via Varejo SA		3,374

		Total Brazil		246,404


		China — 2.9%
	8,000	Agile Group Holdings Ltd		13,643
	291,000	Agricultural Bank of China Ltd – Class H		159,890
	2,000	Anhui Conch Cement Co Ltd – Class H		10,626
	10,000	ANTA Sports Products Ltd		49,200
	11,000	BAIC Motor Corp Ltd – Class H		13,839
	13,000	Bank of China Ltd – Class H		6,991


Shares		Description	Value ($)
		China — continued
	32,000	Beijing Capital International Airport Co Ltd – Class H		47,200
	88,000	China Communications Services Corp Ltd – Class H		52,022
	37,000	China Evergrande Group ^*		108,067
	7,000	China Lesso Group Holdings Ltd		4,590
	2,000	China Mengniu Dairy Co Ltd		6,579
	68,000	China National Building Material Co Ltd – Class H		66,715
	12,000	China National Materials Co Ltd – Class H		9,966
	102,000	China Petroleum & Chemical Corp – Class H		80,954
	2,500	China Railway Construction Corp Ltd – Class H		2,675
	44,000	China Resources Cement Holdings Ltd		33,697
	31,000	China Shenhua Energy Co Ltd – Class H		87,739
	4,000	China Southern Airlines Co Ltd – Class H		5,351
	264,000	China Telecom Corp Ltd – Class H		115,108
	300	China Yuchai International Ltd		6,723
	7,000	Chongqing Rural Commercial Bank Co Ltd – Class H		5,637
	20,000	Country Garden Holdings Co Ltd		35,520
	70,000	Dongfeng Motor Group Co Ltd – Class H		87,967
	51,000	Geely Automobile Holdings Ltd		163,637
	2,000	Guangdong Investment Ltd		3,049
	21,600	Guangzhou R&F Properties Co Ltd – Class H		50,160
	7,000	Haier Electronics Group Co Ltd ^*		23,845
	8,000	Haitian International Holdings Ltd		24,507
	20,000	Harbin Electric Co Ltd – Class H		8,076
	39,000	Huabao International Holdings Ltd		29,241
	18,000	Jiangsu Expressway Co Ltd – Class H		27,875
	19,500	Kingboard Chemical Holdings Ltd		97,999
	23,000	Kingboard Laminates Holdings Ltd		39,952
	18,000	Lee & Man Paper Manufacturing Ltd		20,338
	6,000	Lonking Holdings Ltd		2,485
	10,000	Nine Dragons Paper Holdings Ltd		17,793
	13,000	People’s Insurance Co Group of China Ltd (The) – Class H		6,960
	8,000	Shanghai Industrial Holdings Ltd		22,268
	14,100	Shanghai Pharmaceuticals Holding Co Ltd – Class H		35,289
	16,000	Shenzhen Expressway Co Ltd – Class H		16,091
	25,000	Shimao Property Holdings Ltd		61,607
	14,000	Sino Biopharmaceutical Ltd		26,232
	23,000	Sinopec Engineering Group Co Ltd – Class H		22,289
	5,500	Sinotruk Hong Kong Ltd		6,976
	2,600	Tencent Holdings Ltd		142,242
	34,000	TravelSky Technology Ltd – Class H		107,494
	31,000	Weichai Power Co Ltd – Class H		34,559
	18,000	Zhejiang Expressway Co Ltd – Class H		19,570

		Total China		2,021,233


		Colombia — 0.1%
	2,700	Ecopetrol SA Sponsored ADR		47,277


		See accompanying notes to the financial statements.		69

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Finland — 0.7%
	339	Amer Sports Oyj		10,222
	12,784	UPM-Kymmene Oyj		437,389

		Total Finland		447,611


		France — 11.4%
	25,703	Air France-KLM ^*		303,311
	81	Amundi SA		6,603
	1,011	Atos SE		132,996
	26,212	AXA SA		820,935
	13,681	BNP Paribas SA		1,081,764
	2,981	Bouygues SA		150,803
	1,773	Christian Dior SE		658,525
	1,591	Cie Generale des Etablissements Michelin		244,544
	113	Cie Plastic Omnium SA		5,293
	2,159	CNP Assurances		52,320
	4,191	Credit Agricole SA		71,814
	2,933	Derichebourg SA		26,295
	665	Jacquet Metal Service		24,074
	1,162	L’Oreal SA		249,853
	316	LVMH Moet Hennessy Louis Vuitton SE		94,515
	303	Nexity SA		18,926
	16,301	Peugeot SA		367,814
	4,517	Renault SA		489,958
	4,565	Sanofi		360,406
	703	Schneider Electric SE		60,928
	59	SEB SA		12,036
	23,516	Societe Generale SA		1,336,170
	17,400	STMicroelectronics NV – NY Shares		396,720
	39,231	STMicroelectronics NV		892,203
	195	TOTAL SA		11,091

		Total France		7,869,897


		Germany — 10.2%
	6,577	Allianz SE (Registered)		1,527,779
	6,439	Bayer AG (Registered)		751,406
	7,630	Bayerische Motoren Werke AG		801,645
	119	bet-at-home.com AG		14,480
	306	Covestro AG		34,520
	9,593	Daimler AG (Registered Shares)		819,114
	34,987	Deutsche Lufthansa AG (Registered)		1,168,218
	678	Deutsche Post AG (Registered)		30,931
	3,916	Duerr AG		478,951
	806	Elmos Semiconductor AG		26,692
	134	Fielmann AG		11,042
	4,428	Freenet AG		153,020
	396	Grammer AG		24,750
	864	Hannover Rueck SE		117,520
	32	Isra Vision AG		7,756
	4,973	Leoni AG		338,177


Shares		Description	Value ($)
		Germany — continued
	1,772	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		396,237
	5,166	RWE AG ^*		102,681
	494	Siltronic AG ^*		72,081
	1,970	Uniper SE		59,823
	236	Volkswagen AG		46,881
	1,594	Wacker Neuson SE		56,753

		Total Germany		7,040,457


		Greece — 0.0%
	559	Mytilineos Holdings SA ^*		6,570


		Hong Kong — 3.7%
	84,000	BOC Hong Kong Holdings Ltd		422,141
	1,000	CLP Holdings Ltd		10,114
	11,200	Dah Sing Banking Group Ltd		24,892
	20,000	First Pacific Co Ltd		12,412
	3,000	Hysan Development Co Ltd		17,338
	8,000	Kerry Properties Ltd		36,162
	62,000	Link (REIT)		527,061
	4,000	Minth Group Ltd		23,474
	677,000	WH Group Ltd		833,796
	46,000	Wharf Holdings Ltd (The)		170,904
	43,000	Wharf Real Estate Investment Co Ltd ^*		292,311
	22,000	Wheelock & Co Ltd		159,475

		Total Hong Kong		2,530,080


		Hungary — 0.2%
	2,708	MOL Hungarian Oil & Gas Plc		29,533
	900	OTP Bank Plc		40,098
	1,681	Richter Gedeon Nyrt		36,993

		Total Hungary		106,624


		India — 0.9%
	8,528	Bharat Electronics Ltd		20,073
	589	Cadila Healthcare Ltd		3,634
	7,227	HCL Technologies Ltd		104,235
	335	Hero MotoCorp Ltd		18,380
	11,445	Hindalco Industries Ltd		42,533
	6,576	Hindustan Petroleum Corp Ltd		38,241
	2,593	Indiabulls Housing Finance Ltd		49,278
	1,512	Indian Oil Corp Ltd		8,727
	2,139	Karnataka Bank Ltd (The)		4,378
	537	Maruti Suzuki India Ltd		72,628
	293	Merck Ltd		7,005
	10,263	NMDC Ltd		20,199
	18,387	Power Finance Corp Ltd		29,442
	2,833	PTC India Ltd		4,429
	1,398	Reliance Industries Ltd		20,285
	11,857	Rural Electrification Corp Ltd		26,079


70		See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		India — continued
	4,026	Syndicate Bank ^*		3,715
	2,390	Tata Steel Ltd		24,519
	1,296	UPL Ltd		14,394
	9,740	Vedanta Ltd		48,703
	4,331	Wipro Ltd		19,367
	700	Yes Bank Ltd		3,428

		Total India		583,672


		Ireland — 0.3%
	6,190	Smurfit Kappa Group Plc		215,372


		Israel — 0.0%
	200	SodaStream International Ltd ^*		16,184


		Italy — 5.0%
	72,814	A2A SPA		128,744
	11,005	Arnoldo Mondadori Editore SPA ^*		25,636
	638	Danieli & C Officine Meccaniche SPA – RSP		12,559
	688	Datalogic SPA		25,682
	596	El.En. SPA		18,708
	134,294	Enel SPA		779,545
	556	Eni SPA		9,232
	9,637	EXOR NV		699,297
	433	Ferrari NV		53,658
	54,400	Fiat Chrysler Automobiles NV		1,152,736
	13,208	Fiat Chrysler Automobiles NV ^*		278,795
	14,508	Fincantieri SPA ^*		23,035
	591	Prima Industrie SPA		24,877
	14,860	Societa Cattolica di Assicurazioni SC		176,799
	16,800	Telecom Italia SPA-RSP		12,794
	3,937	Unipol Gruppo SPA		19,579
	1,828	Vittoria Assicurazioni SPA		29,073

		Total Italy		3,470,749


		Japan — 24.4%
	600	Acom Co Ltd ^*		2,703
	900	Arakawa Chemical Industries Ltd		17,023
	5,900	Asahi Group Holdings Ltd		301,698
	35,400	Asahi Kasei Corp		453,651
	23,700	Brother Industries Ltd		589,405
	7,900	Canon Inc		301,060
	2,500	CKD Corp		62,550
	200	Dai-ichi Seiko Co Ltd		5,406
	2,700	Daito Trust Construction Co Ltd		447,147
	7,500	Daiwa House Industry Co Ltd		277,862
	200	DIC Corp		7,135
	100	Disco Corp		23,308
	400	Fancl Corp		14,354
	90,000	Fujitsu Ltd		537,084
	200	Furukawa Electric Co Ltd		10,898


Shares		Description	Value ($)
		Japan — continued
	2,800	Hanwa Co Ltd		126,355
	31,700	Haseko Corp		464,292
	145,000	Hitachi Ltd		1,096,505
	100	House Foods Group Inc		3,347
	3,700	Idemitsu Kosan Co Ltd		140,513
	71,900	ITOCHU Corp		1,382,101
	1,400	Juki Corp		22,071
	7,120	K’s Holdings Corp		197,925
	7,000	Kajima Corp		66,647
	1,400	Kamei Corp		20,934
	1,400	Kao Corp		102,193
	25,700	KDDI Corp		631,122
	100	Keyence Corp		60,560
	2,400	Kitz Corp		19,617
	1,200	Konica Minolta Inc		11,020
	3,000	Kuraray Co Ltd		52,137
	1,100	Leopalace21 Corp		8,664
	400	Lion Corp		7,477
	800	Mandom Corp		28,110
	65,600	Marubeni Corp		499,824
	6,300	Medipal Holdings Corp		128,142
	125,300	Mitsubishi Chemical Holdings Corp		1,264,137
	16,600	Mitsubishi Corp		465,052
	26,500	Mitsubishi Electric Corp		446,989
	6,700	Mitsubishi Gas Chemical Co Inc		165,712
	100	Mitsubishi Tanabe Pharma Corp		2,130
	3,000	Mitsui Chemicals Inc		91,033
	1,900	Mitsui Mining & Smelting Co Ltd		94,488
	800	Modec Inc		19,970
	4,000	Nachi-Fujikoshi Corp		24,885
	1,300	Nagase & Co Ltd		22,459
	6,600	NET One Systems Co Ltd		101,437
	1,700	Nexon Co Ltd ^*		61,255
	2,000	Nichias Corp		26,556
	300	Nippon Chemi-Con Corp		8,039
	21,100	Nippon Telegraph & Telephone Corp		980,023
	1,200	Nisshin Oillio Group Ltd (The)		32,627
	800	NSK Ltd		11,868
	700	NTT DOCOMO Inc		17,908
	500	Omron Corp		29,426
	400	Pola Orbis Holdings Inc		16,770
	13,000	Prima Meat Packers Ltd		78,125
	4,100	Recruit Holdings Co Ltd		99,148
	1,400	Rohm Co Ltd		147,047
	1,300	Rohto Pharmaceutical Co Ltd		35,988
	3,300	Sekisui Chemical Co Ltd		61,827
	100	Shimamura Co Ltd		11,890
	6,400	Showa Denko KK		312,312
	127,500	Sojitz Corp		416,051
	100	ST Corp		2,181


		See accompanying notes to the financial statements.		71

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Japan — continued
	101,000	Sumitomo Chemical Co Ltd		622,733
	21,200	Sumitomo Corp		371,889
	220	Suzuken Co Ltd		8,957
	3,800	Suzuki Motor Corp		216,774
	1,000	T-Gaia Corp		28,692
	600	Takeda Pharmaceutical Co Ltd		34,020
	100	TDK Corp		9,049
	100	Token Corp		11,253
	3,800	Tokyo Electron Ltd		742,530
	38,200	Tosoh Corp		789,705
	15,400	Toyota Tsusho Corp		570,188
	10,660	USS Co Ltd		218,803

		Total Japan		16,792,766


		Malta — 0.0%
	1,718,063	BGP Holdings Plc ^(a)		—


		Mexico — 0.3%
	17,400	America Movil SAB de CV – Class L		15,996
	7,200	Arca Continental SAB de CV		50,028
	330	Gruma SAB de CV – Class B		3,820
	300	Grupo Aeroportuario del Pacifico SAB de CV – Class B		2,897
	1,260	Grupo Aeroportuario del Sureste SAB de CV – Class B		22,323
	6,300	OHL Mexico SAB de CV		11,189
	38,100	Wal-Mart de Mexico SAB de CV		89,173

		Total Mexico		195,426


		Netherlands — 2.1%
	58,673	ING Groep NV		1,029,593
	7,296	Unilever NV CVA		381,844

		Total Netherlands		1,411,437


		New Zealand — 0.1%
	1,750	Fletcher Building Ltd		8,207
	23,158	Spark New Zealand Ltd		55,952

		Total New Zealand		64,159


		Norway — 1.5%
	14,802	DNB ASA		290,346
	458	Norsk Hydro ASA		3,077
	2,652	SpareBank 1 SR Bank ASA		31,102
	18,824	Statoil ASA		428,463
	706	Storebrand ASA		6,141
	18,960	Subsea 7 SA		281,543

		Total Norway		1,040,672


		Poland — 0.1%
	234	KGHM Polska Miedz SA		7,101


Shares		Description	Value ($)
		Poland — continued
	689	PGE Polska Grupa Energetyczna SA ^*		2,034
	82	Polski Koncern Naftowy ORLEN SA		2,293
	13,569	Polskie Gornictwo Naftowe i Gazownictwo SA		23,910

		Total Poland		35,338


		Portugal — 0.0%
	19,283	Sonae SGPS SA		28,209


		Russia — 0.1%
	72,000	Inter RAO UES PJSC		4,715
	79	LUKOIL PJSC Sponsored ADR		5,235
	341,000	RusHydro PJSC		4,725
	2,219	Sberbank of Russia Sponsored ADR		44,935
	55	Tatneft PJSC Sponsored ADR		3,441

		Total Russia		63,051


		Singapore — 0.9%
	19,400	DBS Group Holdings Ltd		416,921
	1,100	Singapore Exchange Ltd		6,233
	920	United Overseas Bank Ltd		19,271
	6,200	Venture Corp Ltd		127,833
	37,400	Yanlord Land Group Ltd		46,544

		Total Singapore		616,802


		South Africa — 1.0%
	169	Astral Foods Ltd		4,064
	1,818	AVI Ltd		18,674
	5,141	Barclays Africa Group Ltd		85,530
	4,867	Barloworld Ltd		72,763
	3,080	Bidvest Group Ltd (The)		58,325
	2,157	Blue Label Telecoms Ltd		2,388
	2,367	Clicks Group Ltd		33,699
	1,413	Imperial Holdings Ltd		29,609
	437	Kumba Iron Ore Ltd		12,849
	2,292	Liberty Holdings Ltd		26,082
	6,093	MMI Holdings Ltd		11,160
	2,419	Mondi Ltd		62,989
	2,079	Nedbank Group Ltd		50,443
	742	Rand Merchant Investment Holdings Ltd		2,806
	2,621	Raubex Group Ltd		5,029
	619	RMB Holdings Ltd		4,543
	2,088	Sibanye Gold Ltd		1,974
	9,791	Standard Bank Group Ltd		179,551

		Total South Africa		662,478


		South Korea — 1.2%
	41	Coway Co Ltd		3,263
	341	DB Insurance Co Ltd		21,795
	81	DongKook Pharmaceutical Co Ltd		5,035


72		See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		South Korea — continued
	153	E-MART Inc		43,011
	1,864	Hana Financial Group Inc		84,450
	190	Hankook Tire Co Ltd		10,377
	26	Hanssem Co Ltd		3,595
	2,867	Hanwha Life Insurance Co Ltd		17,726
	625	Hyundai Marine & Fire Insurance Co Ltd		23,797
	4,502	Industrial Bank of Korea		71,225
	1,518	KB Financial Group Inc		89,572
	114	Kia Motors Corp		3,620
	47	Korea Investment Holdings Co Ltd		3,391
	39	KT&G Corp		3,596
	126	LG Corp		10,042
	831	LG Electronics Inc		76,422
	80	LOTTE Himart Co Ltd		5,174
	14	Lotte Shopping Co Ltd		2,673
	783	Meritz Fire & Marine Insurance Co Ltd		16,493
	75	NHN Entertainment Corp ^*		5,435
	61	SeAH Steel Corp		4,892
	1,221	Shinhan Financial Group Co Ltd		53,067
	119	Shinsegae Inc		37,596
	2,677	SK Hynix Inc		188,791
	400	SK Telecom Co Ltd Sponsored ADR		9,740
	3,340	Woori Bank		50,974

		Total South Korea		845,752


		Spain — 0.5%
	891	ACS Actividades de Construccion y Servicios SA		30,542
	2,019	Amadeus IT Group SA		148,227
	120	Ferrovial SA		2,590
	4,380	Grifols SA		119,754
	4,181	Repsol SA		74,286

		Total Spain		375,399


		Sweden — 3.7%
	11,722	Atlas Copco AB – A Shares		498,621
	1,915	Atlas Copco AB – B Shares		72,399
	1,647	Bufab AB		22,505
	516	JM AB		11,243
	31,497	Sandvik AB		583,088
	3,438	Svenska Cellulosa AB SCA – Class B		34,071
	2,991	Volvo AB – A Shares		56,334
	68,232	Volvo AB – B Shares		1,282,892

		Total Sweden		2,561,153


		Switzerland — 4.5%
	450	Adecco Group AG (Registered)		36,149
	698	ALSO Holding AG (Registered) ^*		98,406
	933	Baloise Holding AG (Registered)		146,781
	44	Bell Food Group AG (Registered)		18,462
	327	BKW AG		18,715


Shares		Description	Value ($)
		Switzerland — continued
	690	Bobst Group SA (Registered)		85,823
	32	Comet Holding AG (Registered) ^*		4,712
	207	Georg Fischer AG (Registered)		303,017
	20	Helvetia Holding AG (Registered)		12,026
	632	Idorsia Ltd ^*		17,139
	3,407	Logitech International SA (Registered)		133,718
	1,026	Mobilezone Holding AG (Registered)		12,918
	9,048	Nestle SA (Registered)		718,873
	2,112	Novartis AG (Registered)		176,187
	255	Orior AG		20,429
	524	Roche Holding AG		121,033
	54	Roche Holding AG		12,725
	45	Sika AG		369,016
	164	Swatch Group AG (The) (Registered)		13,105
	1,420	Swiss Life Holding AG (Registered) ^*		512,795
	700	Zurich Insurance Group AG		230,157

		Total Switzerland		3,062,186


		Taiwan — 0.8%
	26,186	Advanced Semiconductor Engineering Inc		35,236
	2,000	Asustek Computer Inc		18,893
	22,428	Chang Hwa Commercial Bank Ltd		12,815
	2,010	Chicony Power Technology Co Ltd		4,072
	20,000	Compal Electronics Inc		13,580
	1,000	Formosa Chemicals & Fibre Corp		3,664
	2,000	Fubon Financial Holding Co Ltd		3,520
	53,200	Hon Hai Precision Industry Co Ltd		156,760
	62,000	Inventec Corp		48,830
	4,000	Mitac Holdings Corp		4,408
	1,000	Nan Ya Plastics Corp		2,729
	7,000	Novatek Microelectronics Corp		30,144
	3,000	Nuvoton Technology Corp		7,329
	2,000	Phison Electronics Corp		19,324
	34,000	Pou Chen Corp		42,369
	8,000	Radiant Opto-Electronics Corp		22,201
	11,000	Sunplus Technology Co Ltd		5,982
	900	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		39,015
	2,304	Topco Scientific Co Ltd		6,461
	2,000	Uni-President Enterprises Corp		4,683
	138,000	United Microelectronics Corp		66,166
	7,000	Yuanta Financial Holding Co Ltd		3,105

		Total Taiwan		551,286


		Thailand — 0.4%
	10,000	Amata Corp Pcl NVDR		8,006
	17,900	GFPT Pcl NVDR		7,432
	15,400	Indorama Ventures Pcl NVDR		26,370
	500	Kasikornbank Pcl (Foreign Registered) ^(b)		3,675
	8,300	PTT Exploration & Production Pcl NVDR		30,232


		See accompanying notes to the financial statements.		73

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Thailand — continued
	7,400	PTT Pcl (Foreign Registered)		132,749
	2,400	PTT Pcl NVDR		43,054
	6,600	Supalai Pcl NVDR		4,838
	9,200	Thai Airways International Pcl NVDR ^*		4,415
	30,700	Thai Beverage Pcl		19,329

		Total Thailand		280,100


		Turkey — 0.4%
	28,711	Eregli Demir ve Celik Fabrikalari TAS		85,397
	19,508	KOC Holding AS		92,230
	11,208	Turkiye Garanti Bankasi AS		34,437
	24,480	Turkiye Is Bankasi – Class C		48,581
	22,954	Turkiye Sise ve Cam Fabrikalari AS		28,711

		Total Turkey		289,356


		United Kingdom — 12.6%
	48,702	3i Group Plc		626,455
	11,408	AstraZeneca Plc		746,679
	1,587	Barratt Developments Plc		11,729
	592	Bellway Plc		25,235
	5,923	Berkeley Group Holdings Plc (The)		313,456
	9,420	BHP Billiton Plc		191,235
	17,944	British American Tobacco Plc		1,059,099
	6,072	Bunzl Plc		162,972
	7,727	Coca-Cola HBC AG ^*		252,612
	2,445	CYBG Plc CDI		10,071
	13,484	Diageo Plc		457,519
	200	Diageo Plc Sponsored ADR		27,128
	10,536	Electrocomponents Plc		90,923
	1,262	Fenner Plc		8,238
	38,474	Ferrexpo Plc		164,440
	1,120	Galliford Try Plc		14,073
	58,472	GlaxoSmithKline Plc		1,048,621
	600	GlaxoSmithKline Plc Sponsored ADR		21,786
	3,589	Halfords Group Plc		17,501
	113,965	HSBC Holdings Plc		1,120,763
	24,791	Inchcape Plc		230,942
	15,692	Man Group Plc		36,873
	1,218	Morgan Sindall Group Plc		20,752
	499	Next Plc		33,278
	1,800	Nomad Foods Ltd ^*		29,502
	19,760	Persimmon Plc		706,391
	4,385	Plus500 Ltd		71,636
	834	QinetiQ Group Plc		2,345
	3,687	Rio Tinto Plc		197,641
	14,218	Royal Dutch Shell Plc A Shares (London)		449,020
	7,290	RPS Group Plc		22,756
	15,925	Spirent Communications Plc		22,739
	116,717	Thomas Cook Group Plc		196,312
	11,989	TUI AG		253,402


Shares		Description	Value ($)
		United Kingdom — continued
	5,055	William Hill Plc		22,731

		Total United Kingdom		8,666,855


		TOTAL COMMON STOCKS (COST $42,363,146)		65,876,619


		PREFERRED STOCKS^(c) — 2.3%

		Brazil — 0.7%
	13,758	Banco Bradesco SA		164,279
	7,900	Bradespar SA		83,139
	500	Braskem SA – Class A		7,151
	7,600	Centrais Eletricas Brasileiras SA – Class B		65,305
	2,700	Cia Energetica de Sao Paulo – Class B		12,640
	27,422	Itausa – Investimentos Itau SA		110,806

		Total Brazil		443,320


		Germany — 1.2%
	1,142	Bayerische Motoren Werke AG		103,124
	112	Draegerwerk AG & Co KGaA		11,457
	88	Henkel AG & Co KGaA		11,675
	3,627	Porsche Automobil Holding SE		302,127
	2,144	Volkswagen AG		417,090

		Total Germany		845,473


		South Korea — 0.4%
	97	Hyundai Motor Co		8,013
	371	Hyundai Motor Co 2nd Preference		33,294
	142	LG Electronics Inc		5,394
	121	Samsung Electronics Co Ltd		222,276

		Total South Korea		268,977


		TOTAL PREFERRED STOCKS (COST $860,820)		1,557,770


		RIGHTS/WARRANTS — 0.0%

		Brazil — 0.0%
	823	Itausa – Investimentos Itau SA, Expires 03/29/18^*^(d)		1,369


		Thailand — 0.0%
	1,650	Supalai Pcl, Expires 10/19/18^*		1,010


		TOTAL RIGHTS/WARRANTS (COST $0)		2,379


74		See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		MUTUAL FUNDS — 1.5%

		United States — 1.5%
		Affiliated Issuers — 1.5%
	42,724	GMO U.S. Treasury Fund		1,066,810


		TOTAL MUTUAL FUNDS (COST $1,067,237)		1,066,810


		SHORT-TERM INVESTMENTS — 0.1%

		Money Market Funds — 0.1%
	83,395	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33% ^(e)		83,395


		TOTAL SHORT-TERM INVESTMENTS (COST $83,395)		83,395


		TOTAL INVESTMENTS — 99.7% (Cost $44,374,598)		68,586,973
		Other Assets and Liabilities (net) — 0.3%		194,759


		TOTAL NET ASSETS — 100.0%		$68,781,732

A summary of outstanding financial instruments at February 28, 2018 is as follows:

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
Buys 8	Mini MSCI EAFE	March 2018	$	814,600	$	(44,217	)
1	Mini MSCI Emerging Markets	March 2018		59,150		(2,532	)

			$	873,750	$	(46,749	)

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Notes to Schedule of Investments:

*	Non-income producing security.

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

(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)	Investment valued using significant unobservable inputs (Note 2).

(e)	The rate disclosed is the 7 day net yield as of February 28, 2018.


		See accompanying notes to the financial statements.		75

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Global Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the S&P 500 Index is included for comparative purposes.

Class III shares of GMO U.S. Equity Allocation Fund returned +13.76% (net) for the fiscal year ended February 28, 2018, as compared with +17.10% for the S&P 500 Index. As of March 31, 2018, the Fund’s benchmark will be changing to the Russell 3000 index, which GMO believes to be a better representation of the Fund’s strategy.

Stock selection detracted from relative performance, while sector allocation was incrementally positive over the period. Stock selection was most challenging in the Information Technology and Consumer Discretionary sectors. Top detractors included having no exposure, or underweight positioning, to the strongly performing Amazon.Com, Microsoft, Apple, and Boeing. Within Information Technology, holding International Business Machines also detracted from performance.

Areas of positive performance included Consumer Staples and Energy, from a mix of stock selection and allocation. Top stock contributors included overweight positions in Micron Technology, Anthem, and Applied Materials. The portfolio also benefited from not holding General Electric and Exxon Mobil, which lost value over the period.

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO U.S. Equity Allocation Fund Class III Shares, the S&P 500 Index and the Russell 3000 Index

As of February 28, 2018

LOGO

Effective March 31, 2018, the Fund changed its benchmark to the Russell 3000 Index because GMO believes the Russell 3000 Index is more representative of the Fund’s investment strategy.

For S&P disclaimers please visit http://www.gmo.com/America/_Disclaimers/_BenchmarkDisclaimers.htm.

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		99.1	%
Mutual Funds		0.5
Short-Term Investments		0.1
Futures Contracts		0.0	^
Other		0.3

		100.0	%


Industry Group Summary	% of Equity Investments^#
Capital Goods		11.0	%
Software & Services		10.3
Pharmaceuticals, Biotechnology & Life Sciences		8.3
Semiconductors & Semiconductor Equipment		7.6
Technology Hardware & Equipment		7.4
Diversified Financials		6.6
Insurance		6.4
Automobiles & Components		4.6
Health Care Equipment & Services		4.3
Banks		3.7
Real Estate		3.6
Consumer Durables & Apparel		3.6
Consumer Services		3.4
Materials		3.4
Energy		3.0
Food, Beverage & Tobacco		2.5
Household & Personal Products		2.3
Utilities		2.1
Retailing		2.1
Media		1.3
Commercial & Professional Services		1.1
Food & Staples Retailing		1.1
Telecommunication Services		0.3

		100.0	%

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

^	Rounds to 0.0%.

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		COMMON STOCKS — 99.1%

		Automobiles & Components — 4.5%
	139,200	Aptiv Plc		12,713,136
	131,300	BorgWarner, Inc.		6,444,204
	24,500	Cooper-Standard Holding, Inc. ^*		2,985,080
	175,000	Dana, Inc.		4,649,750
	178,400	Ford Motor Co.		1,892,824
	500,700	General Motors Co.		19,702,545
	42,080	Lear Corp.		7,850,866
	43,200	Tenneco, Inc.		2,270,160
	32,265	Tower International, Inc.		842,116
	24,100	Visteon Corp. ^*		2,984,544

		Total Automobiles & Components		62,335,225


		Banks — 3.6%
	4,236	American National Bankshares, Inc.		152,920
	4,500	CNB Financial Corp.		120,960
	11,400	Federal Agricultural Mortgage Corp. – Class C		867,084
	121,100	Fifth Third Bancorp		4,002,355
	3,200	First Bancorp, Inc.		86,272
	5,550	German American Bancorp, Inc.		183,871
	279,163	JPMorgan Chase & Co.		32,243,326
	91,800	Popular, Inc.		3,856,518
	385,100	Regions Financial Corp.		7,474,791
	4,900	Territorial Bancorp, Inc.		146,363
	13,341	Walker & Dunlop, Inc.		644,771

		Total Banks		49,779,231


		Capital Goods — 10.9%
	46,644	AGCO Corp.		3,106,491
	28,800	Applied Industrial Technologies, Inc.		2,027,520
	51,100	Briggs & Stratton Corp.		1,148,728
	73,700	Cummins, Inc.		12,394,129
	41,600	Deere & Co.		6,692,192
	80,300	Dover Corp.		8,038,030
	36,400	EMCOR Group, Inc.		2,777,684
	171,371	Emerson Electric Co.		12,177,623
	220,100	Honeywell International, Inc.		33,259,311
	79,900	Illinois Tool Works, Inc.		12,899,056
	57,500	Ingersoll-Rand Plc		5,106,000
	56,900	ITT, Inc.		2,855,242
	37,900	Manitowoc Co., Inc. (The) ^*		1,126,388
	100,900	Meritor, Inc. ^*		2,472,050
	48,500	Moog, Inc. – Class A ^*		4,065,755
	52,300	Oshkosh Corp.		4,128,039
	78,000	Owens Corning		6,341,400
	73,500	Parker-Hannifin Corp.		13,117,545
	39,156	SPX Corp. ^*		1,222,842
	41,400	Stanley Black & Decker, Inc.		6,590,466
	13,900	Teledyne Technologies, Inc. ^*		2,584,705


Shares		Description	Value ($)
		Capital Goods — continued
	94,500	Textron, Inc.		5,655,825
	9,500	Vectrus, Inc. ^*		259,255

		Total Capital Goods		150,046,276


		Commercial & Professional Services — 1.1%
	212,829	ACCO Brands Corp.		2,692,287
	42,000	Brady Corp. – Class A		1,570,800
	31,242	Deluxe Corp.		2,218,182
	6,700	Heidrick & Struggles International, Inc.		176,880
	51,800	Herman Miller, Inc.		1,859,620
	21,200	ICF International, Inc. ^*		1,208,400
	43,500	ManpowerGroup, Inc.		5,153,010

		Total Commercial & Professional Services		14,879,179


		Consumer Durables & Apparel — 3.6%
	6,400	Bassett Furniture Industries, Inc.		206,080
	50,500	Brunswick Corp.		2,888,600
	4,100	CSS Industries, Inc.		75,481
	6,700	Culp, Inc.		186,260
	117,900	DR Horton, Inc.		4,940,010
	4,295	Flexsteel Industries, Inc.		166,904
	67,500	Hasbro, Inc.		6,450,975
	9,900	Johnson Outdoors, Inc. – Class A		610,236
	64,100	KB Home		1,778,775
	28,000	La-Z-Boy, Inc.		859,600
	30,900	MDC Holdings, Inc.		855,312
	12,400	Movado Group, Inc.		384,400
	1,040	NVR, Inc. ^*		2,956,897
	9,300	Oxford Industries, Inc.		743,256
	124,200	PulteGroup, Inc.		3,486,294
	90,300	PVH Corp.		13,028,484
	126,800	VF Corp.		9,455,476

		Total Consumer Durables & Apparel		49,073,040


		Consumer Services — 3.4%
	64,400	Adtalem Global Education, Inc. ^*		2,965,620
	12,300	Bridgepoint Education, Inc. ^*		82,041
	18,480	Drive Shack, Inc. ^*		93,324
	3,800	Graham Holdings Co. – Class B		2,204,380
	33,200	Grand Canyon Education, Inc. ^*		3,258,580
	202,900	McDonald’s Corp.		32,005,446
	60,200	Penn National Gaming, Inc. ^*		1,601,922
	102,700	Service Corp. International		3,844,061

		Total Consumer Services		46,055,374


		Diversified Financials — 6.6%
	127,100	Ameriprise Financial, Inc.		19,883,524
	5,221	Ares Commercial Real Estate Corp. (REIT)		64,323
	31,800	Artisan Partners Asset Management, Inc. – Class A		1,073,250


		See accompanying notes to the financial statements.		79

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Diversified Financials — continued
	222,300	BGC Partners, Inc. – Class A		2,938,806
	4,888	BlackRock Capital Investment Corp.		26,933
	63,400	ETRADE Financial Corp. ^		3,311,382
	4,104	Encore Capital Group, Inc. ^*		175,651
	43,300	Enova International, Inc. ^*		952,600
	87,900	Federated Investors, Inc. – Class B		2,863,782
	169,100	Franklin Resources, Inc.		6,539,097
	141,500	Invesco Ltd.		4,604,410
	57,500	Invesco Mortgage Capital, Inc. (REIT)		883,775
	17,900	Investment Technology Group, Inc.		354,778
	62,300	Lazard Ltd.– Class A		3,362,331
	32,600	MSCI, Inc.		4,613,552
	6,573	OneMain Holdings, Inc. ^*		201,528
	90,700	Raymond James Financial, Inc.		8,408,797
	26,212	Regional Management Corp. ^*		784,263
	74,900	SEI Investments Co.		5,454,967
	143,100	State Street Corp.		15,190,065
	75,705	T. Rowe Price Group, Inc.		8,471,390

		Total Diversified Financials		90,159,204


		Energy — 3.0%
	57,205	Andeavor		5,126,712
	4,652	Dorian LPG Ltd. ^*		34,053
	35,178	Exterran Corp. ^*		910,055
	199,100	Marathon Petroleum Corp.		12,754,346
	421,924	Marathon Oil Corp.		6,126,336
	215,750	McDermott International, Inc. ^*		1,574,975
	74,300	Newpark Resources, Inc. ^*		612,975
	62,700	Phillips 66		5,666,199
	21,000	SEACOR Holdings, Inc. ^*		871,710
	76,086	Valero Energy Corp.		6,879,696

		Total Energy		40,557,057


		Food & Staples Retailing — 1.1%
	74,800	US Foods Holding Corp. ^*		2,497,572
	136,100	Wal-Mart Stores, Inc.		12,250,361

		Total Food & Staples Retailing		14,747,933


		Food, Beverage & Tobacco — 2.4%
	231,300	PepsiCo, Inc.		25,380,549
	55,300	Pilgrim’s Pride Corp. ^*		1,393,560
	73,800	Tyson Foods, Inc.– Class A		5,489,244
	27,600	Universal Corp.		1,356,540

		Total Food, Beverage & Tobacco		33,619,893


		Health Care Equipment & Services — 4.3%
	108,169	Anthem, Inc.		25,460,819
	282,700	Baxter International, Inc.		19,164,233
	139,400	Danaher Corp.		13,630,532


Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	21,400	Triple-S Management Corp. – Class B ^*		520,020

		Total Health Care Equipment & Services		58,775,604


		Household & Personal Products — 2.3%
	12,890	Central Garden & Pet Co. ^*		497,941
	34,100	Central Garden & Pet Co. – Class A ^*		1,235,784
	87,300	Church & Dwight Co., Inc.		4,294,287
	32,100	Clorox Co. (The)		4,143,468
	147,500	Estee Lauder Cos, Inc. (The) – Class A		20,419,900
	19,500	Inter Parfums, Inc.		826,800

		Total Household & Personal Products		31,418,180


		Insurance — 6.3%
	129,899	Aflac, Inc.		11,545,423
	9,100	American National Insurance Co.		1,063,790
	153,200	CNO Financial Group, Inc.		3,453,128
	57,776	First American Financial Corp.		3,352,741
	160,200	Hartford Financial Services Group, Inc. (The)		8,466,570
	129,128	Lincoln National Corp.		9,835,680
	189,800	Principal Financial Group, Inc.		11,830,234
	400,300	Progressive Corp. (The)		23,049,274
	86,500	Prudential Financial, Inc.		9,196,680
	4,412	Selective Insurance Group, Inc.		250,822
	89,298	Unum Group		4,550,626
	2,372	W.R. Berkley Corp.		162,198

		Total Insurance		86,757,166


		Materials — 3.3%
	92,547	Avery Dennison Corp.		10,934,428
	60,400	Chemours Co. (The)		2,869,604
	58,300	Crown Holdings, Inc. ^*		2,905,672
	62,300	Eastman Chemical Co.		6,297,284
	265,200	Huntsman Corp.		8,558,004
	23,600	Koppers Holdings, Inc. ^*		953,440
	44,400	Louisiana-Pacific Corp.		1,265,400
	185,900	Owens-Illinois, Inc. ^*		4,008,004
	37,800	Reliance Steel & Aluminum Co.		3,408,426
	55,600	Trinseo SA		4,425,760

		Total Materials		45,626,022


		Media — 1.3%
	113,100	CBS Corp. – Class B NVDR		5,990,907
	83,800	Gannett Co., Inc.		841,352
	42,000	Live Nation Entertainment, Inc. ^*		1,881,600
	59,300	New York Times Co. (The) – Class A		1,429,130
	269,916	News Corp. – Class A		4,353,745
	139,206	News Corp. – Class B		2,282,978
	30,900	Scholastic Corp.		1,125,069

		Total Media		17,904,781


80		See accompanying notes to the financial statements.

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — 8.2%
	93,600	Agilent Technologies, Inc.		6,420,024
	42,900	Catalent, Inc. ^*		1,791,075
	377,700	Eli Lilly & Co.		29,090,454
	88,247	Johnson & Johnson		11,461,520
	375,300	Merck & Co., Inc.		20,348,766
	8,600	Mettler-Toledo International, Inc. ^*		5,299,492
	1,059,838	Pfizer, Inc.		38,482,718

		Total Pharmaceuticals, Biotechnology & Life Sciences		112,894,049


		Real Estate — 3.6%
	164,300	Apple Hospitality REIT, Inc.		2,791,457
	243,300	CBRE Group, Inc. – Class A ^*		11,374,275
	43,100	Chatham Lodging Trust (REIT)		783,989
	114,900	CoreCivic, Inc. (REIT)		2,388,771
	105,000	GEO Group, Inc. (The) (REIT)		2,236,500
	91,800	Hospitality Properties Trust (REIT)		2,335,392
	411,000	Host Hotels & Resorts, Inc. (REIT)		7,628,160
	37,643	Jones Lang LaSalle, Inc.		6,045,842
	33,200	Potlatch Corp. (REIT)		1,698,180
	52,400	Preferred Apartment Communities, Inc. (REIT) – Class A		729,932
	53,500	Prologis, Inc. (REIT)		3,246,380
	66,100	Realogy Holdings Corp.		1,688,855
	35,200	Ryman Hospitality Properties, Inc. (REIT)		2,427,392
	19,800	Tier REIT, Inc.		367,884
	188,800	Xenia Hotels & Resorts, Inc. (REIT)		3,713,696

		Total Real Estate		49,456,705


		Retailing — 2.1%
	35,300	Big Lots, Inc.		1,983,860
	9,400	Children’s Place, Inc. (The)		1,337,620
	172,500	Gap Inc. (The)		5,447,550
	38,400	Guess?, Inc.		606,336
	62,600	Kohl’s Corp.		4,137,234
	298,500	Liberty Interactive Corp. QVC Group – Class A ^*		8,617,695
	160,500	LKQ Corp. ^*		6,336,540

		Total Retailing		28,466,835


		Semiconductors & Semiconductor Equipment — 7.5%
	442,100	Applied Materials, Inc.		25,460,539
	55,700	KLA-Tencor Corp.		6,311,367
	52,300	Lam Research Corp.		10,034,278
	34,000	Microchip Technology, Inc.		3,023,620
	586,400	Micron Technology, Inc. ^*		28,622,184
	159,000	ON Semiconductor Corp. ^*		3,803,280
	242,000	Texas Instruments, Inc.		26,220,700

		Total Semiconductors & Semiconductor Equipment		103,475,968


Shares		Description	Value ($)
		Software & Services — 10.2%
	39,800	Adobe Systems, Inc. *		8,323,374
	74,555	Amdocs Ltd.		4,904,974
	111,180	CA, Inc.		3,902,418
	273,200	Cadence Design Systems, Inc. ^*		10,591,964
	24,800	CSG Systems International, Inc.		1,157,664
	172,700	DXC Technology Co.		17,708,658
	382,300	eBay, Inc. ^*		16,385,378
	64,600	Intuit, Inc.		10,779,156
	48,600	Leidos Holdings, Inc.		3,076,866
	103,700	Mastercard, Inc. – Class A		18,226,312
	41,441	Net 1 UEPS Technologies, Inc. ^*		424,770
	525,900	Oracle Corp.		26,647,353
	28,700	Progress Software Corp.		1,345,169
	24,400	Red Hat, Inc. ^*		3,596,560
	32,180	Sykes Enterprises, Inc. ^*		935,151
	148,700	Synopsys, Inc.^*		12,590,429

		Total Software & Services		140,596,196


		Technology Hardware & Equipment — 7.4%
	73,500	Apple, Inc.		13,091,820
	47,200	Arrow Electronics, Inc. ^*		3,850,576
	12,282	ePlus, Inc. ^*		940,187
	1,378,500	HP, Inc.		32,243,115
	33,702	Insight Enterprises, Inc. ^*		1,177,211
	255,700	Juniper Networks, Inc.		6,561,262
	34,400	Motorola Solutions, Inc.		3,651,560
	100,500	NetApp, Inc.		6,085,275
	158,600	TE Connectivity Ltd.		16,350,074
	30,238	Tech Data Corp. ^*		3,124,795
	80,500	Vishay Intertechnology, Inc.		1,481,200
	107,700	Western Digital Corp.		9,374,208
	109,000	Xerox Corp.		3,304,880

		Total Technology Hardware & Equipment		101,236,163


		Telecommunication Services — 0.3%
	125,900	Telephone & Data Systems, Inc.		3,530,236
	23,100	United States Cellular Corp. ^*		891,429

		Total Telecommunication Services		4,421,665


		Utilities — 2.1%
	80,300	Ameren Corp.		4,360,290
	100,000	American Electric Power Co., Inc.		6,558,000
	63,589	DTE Energy Co.		6,408,499
	157,600	Exelon Corp.		5,837,504
	169,700	NiSource, Inc.		3,925,161
	41,300	UGI Corp.		1,779,617

		Total Utilities		28,869,071


		TOTAL COMMON STOCKS (COST $1,203,120,732)		1,361,150,817


		See accompanying notes to the financial statements.		81

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		MUTUAL FUNDS — 0.5%

		Affiliated Issuers — 0.5%
	298,759	GMO U.S. Treasury Fund		7,460,010


		TOTAL MUTUAL FUNDS (COST $7,462,998)		7,460,010


		SHORT-TERM INVESTMENTS — 0.1%

		Money Market Funds — 0.1%
	1,193,552	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33%^(a)		1,193,552


		TOTAL SHORT-TERM INVESTMENTS (COST $1,193,552)		1,193,552


		TOTAL INVESTMENTS — 99.7% (Cost $1,211,777,282)		1,369,804,379
		Other Assets and Liabilities (net) — 0.3%		3,911,967


		TOTAL NET ASSETS — 100.0%		$1,373,716,346

A summary of outstanding financial instruments at February 28, 2018 is as follows:

Futures Contracts

Number
of
Contracts +

Type

Expiration
Date

Notional
Amount

Value/Net
Unrealized
Appreciation
(Depreciation)

Buys

S&P 500 E-mini

March 2018

2,714,400

74,241

+	Buys - Fund is long the futures contract. Sales - Fund is short the futures contract.

Notes to Schedule of Investments:

*	Non-income producing security.

(a)	The rate disclosed is the 7 day net yield as of February 28, 2018.


82		See accompanying notes to the financial statements.

GMO Trust Funds

Schedule of Investments — (Continued)

February 28, 2018 (Unaudited)

Portfolio Abbreviations:

ADR - American Depositary Receipt

CDI - Certificado de Deposito Interbancario

CP - Counterparty

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)

ETF - Exchange-Traded Fund

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

GDR - Global Depository Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depository Receipt

OJSC - Open Joint-Stock Company

OTC - Over-the-Counter

PJSC - Private Joint-Stock Company

QPSC - Qatari Public Shareholding Company

REIT - Real Estate Investment Trust

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

Counterparty Abbreviations:

GSCO - Goldman Sachs & Co.

GS - Goldman Sachs International

MSCI - Morgan Stanley & Co. International PLC

MSLC - Morgan Stanley & Co. LLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

EUR - Euro

GBP - British Pound

PHP - Philippine Peso

THB - Thai Baht

USD - United States Dollar


		See accompanying notes to the financial statements.		83

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2018


	Climate Change Fund		Emerging Domestic Opportunities Fund		Emerging Markets Fund		Foreign Small Companies Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	751,549	$	171,159,925	$	154,424,372	$	1,595,796
Investments in unaffiliated issuers, at value (Note 2)^(b)		26,004,575		2,158,784,453		4,902,507,551		140,454,246
Foreign currency, at value (Note 2)^(c)		4,945		734,323		11,989,910		52,637
Cash		—		—		135,219		3
Receivable for investments sold		—		80,210,828		34,628,246		2,073,876
Receivable for Fund shares sold		—		6,000,000		1,374,347		—
Dividend withholding tax receivable		12,293		170,004		7,285		526,154
Dividends and interest receivable		14,018		9,147,433		21,837,825		502,064
Unrealized appreciation on open forward currency contracts (Note 4)		—		2,394,566		—		—
Receivable for variation margin on open futures contracts (Note 4)		—		483,765		—		—
Due from broker (Note 2)		—		731,820		15,216,000		59,615
Receivable for open OTC swap contracts (Note 4)		—		—		435,941		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		5,344		32,032		524,018		17,019

Total assets		26,792,724		2,429,849,149		5,143,080,714		145,281,410

Liabilities:
Payable for investments purchased		952		22,585,793		21,508,215		3,015
Payable for Fund shares repurchased		—		—		7,539,429		—
Accrued foreign capital gains tax payable (Note 2)		—		277,504		1,961,331		—
Payable to affiliate for (Note 5):
Management fee		12,279		1,397,730		2,959,594		81,902
Shareholder service fee		3,070		241,177		320,613		15,765
Payable for variation margin on open futures contracts (Note 4)		—		1,437,540		4,149,600		24,322
Unrealized depreciation on open forward currency contracts (Note 4)		—		38,794		—		—
Miscellaneous payable		—		—		1,008,500		—
Payable to agents unaffiliated with GMO		1		402		784		18
Payable to Trustees and related expenses		552		4,633		8,899		575
Accrued expenses		81,785		563,722		1,586,712		222,685

Total liabilities		98,639		26,547,295		41,043,677		348,282

Net assets	$	26,694,085	$	2,403,301,854	$	5,102,037,037	$	144,933,128

^(a) Cost of investments – affiliated issuers:	$	751,849	$	142,900,591	$	116,231,497	$	1,595,796
^(b) Cost of investments – unaffiliated issuers:	$	24,524,054	$	1,893,257,181	$	4,188,870,263	$	128,866,735
^(c) Cost of foreign currency:	$	4,975	$	737,958	$	12,002,528	$	52,602


84		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2018 — (Continued)


	Climate Change Fund		Emerging Domestic Opportunities Fund			Emerging Markets Fund			Foreign Small Companies Fund
Net assets consist of:
Paid-in capital	$	24,584,750	$	1,922,323,662		$	5,846,814,045		$	130,822,404
Accumulated undistributed (distributions in excess of) net investment income		123,555		(13,085,275	)		(17,207,475	)		(656,513	)
Accumulated net realized gain (loss)		504,955		199,312,610			(1,495,893,329	)		3,203,730
Net unrealized appreciation (depreciation)		1,480,825		294,750,857			768,323,796			11,563,507

	$	26,694,085	$	2,403,301,854		$	5,102,037,037		$	144,933,128

Net assets attributable to:
Class II	$	—	$	700,210,679		$	479,639,678		$	—

Class III	$	26,694,085	$	121,510,793		$	390,826,722		$	55,169,245

Class IV	$	—	$	300,729,735		$	485,103,665		$	89,763,883

Class V	$	—	$	1,280,850,647		$	170,962,220		$	—

Class VI	$	—	$	—		$	3,575,504,752		$	—

Shares outstanding:
Class II		—		24,261,204			13,171,241			—

Class III		1,121,361		4,209,931			10,703,604			3,864,831

Class IV		—		10,413,480			13,413,860			6,305,116

Class V		—		44,403,783			4,740,117			—

Class VI		—		—			98,890,676			—

Net asset value per share:
Class II	$	—	$	28.86		$	36.42		$	—

Class III	$	23.81	$	28.86		$	36.51		$	14.27

Class IV	$	—	$	28.88		$	36.16		$	14.24

Class V	$	—	$	28.85		$	36.07		$	—

Class VI	$	—	$	—		$	36.16		$	—


		See accompanying notes to the financial statements.		85

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2018 — (Continued)


	International Equity Fund		International Large/Mid Cap Equity Fund		Quality Fund		Resources Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	61,069,100	$	1,181,128	$	51,092,040	$	6,504,509
Investments in unaffiliated issuers, at value (Note 2)^(b)		4,981,614,237		80,321,365		8,143,693,323		343,185,713
Foreign currency, at value (Note 2)^(c)		294,206		17,733		456,493		3,726
Cash		—		—		234		162
Receivable for investments sold		—		—		8,917,821		—
Receivable for Fund shares sold		9,511,738		2,023		1,485,506		82,398
Dividend withholding tax receivable		7,923,171		439,008		1,667,397		12,202
Dividends and interest receivable		8,650,352		131,169		14,694,575		754,114
Due from broker (Note 2)		1,965,104		55,302		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		92,664		2,212		83,217		—

Total assets		5,071,120,572		82,149,940		8,222,090,606		350,542,824

Liabilities:
Payable for investments purchased		—		—		11,867,866		—
Payable for Fund shares repurchased		891		—		6,705,733		—
Payable for recoupment of past waived and/or reimbursement fees (Note 5)		—		—		—		3,106
Payable to affiliate for (Note 5):
Management fee		1,960,726		24,097		2,077,325		130,667
Shareholder service fee		375,633		6,000		642,844		28,077
Payable for variation margin on open futures contracts (Note 4)		456,875		11,825		—		—
Payable to agents unaffiliated with GMO		773		9		1,326		66
Payable to Trustees and related expenses		11,324		208		18,554		710
Accrued expenses		629,386		213,088		711,373		146,628

Total liabilities		3,435,608		255,227		22,025,021		309,254

Net assets	$	5,067,684,964	$	81,894,713	$	8,200,065,585	$	350,233,570

^(a) Cost of investments – affiliated issuers:	$	61,084,746	$	1,181,854	$	51,112,501	$	6,506,313
^(b) Cost of investments – unaffiliated issuers:	$	4,231,718,926	$	67,763,044	$	5,517,920,166	$	252,817,425
^(c) Cost of foreign currency:	$	294,455	$	17,910	$	461,067	$	3,664


86		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2018 — (Continued)


	International Equity Fund			International Large/Mid Cap Equity Fund			Quality Fund		Resources Fund
Net assets consist of:
Paid-in capital	$	5,462,671,757		$	70,774,782		$	5,307,390,160	$	314,189,702
Accumulated undistributed (distributions in excess of) net investment income		(13,818,897	)		(1,455,458	)		11,906,414		(6,055,705	)
Accumulated net realized gain (loss)		(1,131,404,250	)		120,055			254,973,346		(48,275,525	)
Net unrealized appreciation (depreciation)		750,236,354			12,455,334			2,625,795,665		90,375,098

	$	5,067,684,964		$	81,894,713		$	8,200,065,585	$	350,233,570

Net assets attributable to:
Class II	$	23,736,185		$	—		$	—	$	—

Class III	$	485,781,711		$	81,118,949		$	3,524,102,926	$	54,037,103

Class IV	$	4,558,167,068		$	775,764		$	957,900,413	$	296,196,467

Class V	$	—		$	—		$	156,086,403	$	—

Class VI	$	—		$	—		$	3,561,975,843	$	—

Shares outstanding:
Class II		1,004,597			—			—		—

Class III		20,309,340			3,081,317			140,221,544		2,587,405

Class IV		190,932,196			29,526			38,055,118		14,231,327

Class V		—			—			6,200,351		—

Class VI		—			—			141,724,824		—

Net asset value per share:
Class II	$	23.63		$	—		$	—	$	—

Class III	$	23.92		$	26.33		$	25.13	$	20.88

Class IV	$	23.87		$	26.27		$	25.17	$	20.81

Class V	$	—		$	—		$	25.17	$	—

Class VI	$	—		$	—		$	25.13	$	—


		See accompanying notes to the financial statements.		87

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2018 — (Continued)


	Risk Premium Fund		Tax-Managed International Equities Fund		U.S. Equity Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	—	$	1,066,810	$	7,460,010
Investments in unaffiliated issuers, at value (Note 2)^(b)		143,717,939		67,520,163		1,362,344,369
Foreign currency, at value (Note 2)^(c)		—		23,951		—
Cash		8		—		—
Receivable for investments sold		—		1,016,766		—
Receivable for Fund shares sold		1,621,523		—		2,983,095
Dividend withholding tax receivable		—		133,253		—
Dividends and interest receivable		147,042		175,360		2,525,975
Receivable for variation margin on open futures contracts (Note 4)		—		—		—
Due from broker (Note 2)		1,469,954		43,144		365,008
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		5,847		17,243		12,257

Total assets		146,962,313		69,996,690		1,375,690,714

Liabilities:
Payable for Fund shares repurchased		—		1,000,000		1,359,591
Accrued foreign capital gains tax payable (Note 2)		—		9,143		—
Payable to affiliate for (Note 5):
Management fee		49,576		27,016		328,312
Shareholder service fee		6,309		8,105		65,378
Payable for variation margin on open futures contracts (Note 4)		—		9,380		17,767
Written options outstanding, at value (Note 4)^(d)		1,137,772		—		—
Payable to agents unaffiliated with GMO		28		9		224
Payable to Trustees and related expenses		365		286		3,062
Accrued expenses		96,665		161,019		200,034

Total liabilities		1,290,715		1,214,958		1,974,368

Net assets	$	145,671,598	$	68,781,732	$	1,373,716,346

^(a) Cost of investments – affiliated issuers:	$	—	$	1,067,237	$	7,462,998
^(b)Cost of investments – unaffiliated issuers:	$	143,887,985	$	43,307,361	$	1,204,314,284
^(c)Cost of foreign currency:	$	—	$	24,075	$	—
^(d)Premiums on written options:	$	1,564,787	$	—	$	—


88		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2018 — (Continued)


	Risk Premium Fund			Tax-Managed International Equities Fund			U.S. Equity Allocation Fund
Net assets consist of:
Paid-in capital	$	149,347,612		$	58,955,565		$	1,133,899,202
Accumulated undistributed (distributions in excess of) net investment income		219,156			(525,892	)		2,966,523
Accumulated net realized gain (loss)		(4,152,139	)		(13,803,737	)		78,749,283
Net unrealized appreciation (depreciation)		256,969			24,155,796			158,101,338

	$	145,671,598		$	68,781,732		$	1,373,716,346

Net assets attributable to:
Class III	$	3,433,995		$	68,781,732		$	77,297,134

Class IV	$	—		$	—		$	36,025,165

Class V	$	—		$	—		$	60,386,201

Class VI	$	142,237,603		$	—		$	1,200,007,846

Shares outstanding:
Class III		128,418			4,045,179			5,016,035

Class IV		—			—			2,335,768

Class V		—			—			3,934,848

Class VI		5,290,606			—			78,393,091

Net asset value per share:
Class III	$	26.74		$	17.00		$	15.41

Class IV	$	—		$	—		$	15.42

Class V	$	—		$	—		$	15.35

Class VI	$	26.88		$	—		$	15.31


		See accompanying notes to the financial statements.		89

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2018


	Climate Change Fund*			Emerging Domestic Opportunities Fund			Emerging Markets Fund			Foreign Small Companies Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)^(a)	$	278,653		$	42,854,237		$	158,716,148		$	14,516,010
Dividends from affiliated issuers (Note 10)		8,482			2,701,266			2,763,805			88,965
Interest		—			404,419			997,839			30,167

Total investment income		287,135			45,959,922			162,477,792			14,635,142

Expenses:
Management fee (Note 5)		92,433			17,119,290			38,424,346			2,954,842
Shareholder service fee – Class II (Note 5)		—			1,443,793			1,062,887			—
Shareholder service fee – Class III (Note 5)		23,108			196,330			344,456			222,409
Shareholder service fee – Class IV (Note 5)		—			360,349			701,816			299,358
Shareholder service fee – Class V (Note 5)		—			977,529			123,090			—
Shareholder service fee – Class VI (Note 5)		—			1,205	**		1,978,499			—
Audit and tax fees		69,052			142,601			308,878			143,400
Custodian, fund accounting agent and transfer agent fees		21,416			2,171,940			5,630,309			424,248
Legal fees		7,568			34,712			70,455			15,457
Registration fees		4,265			8,520			35,787			3,631
Trustees’ fees and related expenses (Note 5)		828			51,266			114,094			11,080
Miscellaneous		13,562			27,510			59,183			24,533

Total expenses		232,232			22,535,045			48,853,800			4,098,958
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(112,432	)		(494,378	)		(6,940,822	)		(1,829,072	)

Net expenses		119,800			22,040,667			41,912,978			2,269,886

Net investment income (loss)		167,335			23,919,255			120,564,814			12,365,256

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(b)		1,135,823			385,509,752			598,371,085			152,781,161
Investments in affiliated issuers		(2,633	)		(1,058,480	)		1,869,309			(6,332	)
Futures contracts		—			17,257,928			31,278,684			648,798
Swap contracts		—			14,964,975			2,819,214			—
Forward currency contracts		—			(1,400,179	)		—			—
Foreign currency and foreign currency related transactions		(4,870	)		(202,305	)		(1,080,393	)		(440,344	)

Net realized gain (loss)		1,128,320			415,071,691			633,257,899			152,983,283	***

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(c)		1,480,521			126,216,547			333,398,850			(55,460,519	)
Investments in affiliated issuers		(300	)		13,301,504			13,223,985			2,788
Futures contracts		—			(6,704,219	)		17,956,362			(32,848	)
Swap contracts		—			(740,882	)		(599,390	)		—
Forward currency contracts		—			1,866,853			—			302,043
Foreign currency and foreign currency related transactions		604			2,135,069			(995,090	)		77,777

Net change in unrealized appreciation (depreciation)		1,480,825			136,074,872			362,984,717			(55,110,759	)

Net realized and unrealized gain (loss)		2,609,145			551,146,563			996,242,616			97,872,524

Net increase (decrease) in net assets resulting from operations	$	2,776,480		$	575,065,818		$	1,116,807,430		$	110,237,780

^(a) Withholding tax:	$	29,786		$	2,916,868		$	23,884,686		$	1,444,110
^(b) Foreign capital gains tax on net realized gain (loss):	$	—		$	8,273,206		$	6,282,014		$	—
^(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	(1,961,460	)	$	(627,721	)	$	—
* Period from April 5, 2017 (commencement of operations) through February 28, 2018.
** Class VI liquidated on March 29, 2017.
*** For the details related to in-kind redemption realized gain (loss) please refer to Note 6.


90		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2018 — (Continued)


	International Equity Fund			International Large/Mid Cap Equity Fund			Quality Fund			Resources Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)^(a)	$	169,484,117		$	4,122,804		$	162,708,383		$	6,702,106
Dividends from affiliated issuers (Note 10)		380,748			14,518			1,384,313			49,233
Interest		27,477			8,431			987,345			5,961

Total investment income		169,892,342			4,145,753			165,080,041			6,757,300

Expenses:
Management fee (Note 5)		27,686,400			415,971			27,662,431			1,237,343
Shareholder service fee –Class II (Note 5)		37,201			—			—			—
Shareholder service fee –Class III (Note 5)		832,764			13,607			5,265,532			35,794
Shareholder service fee –Class IV (Note 5)		4,468,675			90,312			1,060,238			223,606
Shareholder service fee –Class V (Note 5)		—			—			314,289			—
Shareholder service fee –Class VI (Note 5)		—			26	*		1,920,984			—
Audit and tax fees		181,907			226,071			102,984			86,708
Custodian, fund accounting agent and transfer agent fees		1,885,086			170,352			1,140,562			284,251
Legal fees		66,501			7,945			92,340			9,549
Registration fees		21,503			14,756			28,149			2,484
Trustees’ fees and related expenses (Note 5)		126,574			1,623			195,855			5,587
Recoupment of past waived and/or reimbursed fees (Note 5)		—			—			—			14,512
Miscellaneous		50,856			14,314			25,052			15,409

Total expenses		35,357,467			954,977			37,808,416			1,915,243
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(2,110,216	)		(293,752	)		(1,348,128	)		(144,580	)

Net expenses		33,247,251			661,225			36,460,288			1,770,663

Net investment income (loss)		136,645,091			3,484,528			128,619,753			4,986,637

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)		327,569,146			13,618,416			713,207,992			12,985,895
Investments in affiliated issuers		(33,122	)		(11,145	)		(120,039	)		(2,988	)
Futures contracts		5,402,203			172,648			—			—
Foreign currency and foreign currency related transactions		196,933			(94,394	)		100,379			(3,692	)

Net realized gain (loss)		333,135,160			13,685,525			713,188,332			12,979,215

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)		609,281,995			5,426,445			922,362,340			42,858,314
Investments in affiliated issuers		(15,646	)		(730	)		(37,441	)		(2,585	)
Futures contracts		(5,376	)		(42,734	)		—			—
Foreign currency and foreign currency related transactions		1,745,603			224,282			556,969			15,318

Net change in unrealized appreciation (depreciation)		611,006,576			5,607,263			922,881,868			42,871,047

Net realized and unrealized gain (loss)		944,141,736			19,292,788			1,636,070,200			55,850,262

Net increase (decrease) in net assets resulting from operations	$	1,080,786,827		$	22,777,316		$	1,764,689,953		$	60,836,899

^(a) Withholding tax:	$	16,792,495		$	412,504		$	2,605,420		$	640,262
* Class VI liquidated on March 29, 2017.


		See accompanying notes to the financial statements.		91

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2018 — (Continued)


		Risk Premium Fund			Tax-Managed International Equities Fund			U.S. Equity Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)^(a)		$	5,332		$	3,222,538		$	35,258,008
Interest			1,468,466			—			29,436
Dividends from affiliated issuers (Note 10)			—			11,993			122,889

Total investment income			1,473,798			3,234,531			35,410,333

Expenses:
Management fee (Note 5)			679,159			529,525			4,875,611
Shareholder service fee – Class III (Note 5)			6,472			158,857			110,609
Shareholder service fee – Class IV (Note 5)			—			—			29,815
Shareholder service fee – Class V (Note 5)			—			—			110,546
Shareholder service fee – Class VI (Note 5)			80,636			—			736,543
Audit and tax fees			51,970			129,205			71,447
Custodian, fund accounting agent and transfer agent fees			35,275			237,910			168,465
Legal fees			2,056			8,916			31,606
Registration fees			3,769			2,765			22,845
Trustees’ fees and related expenses (Note 5)			3,530			2,564			36,718
Miscellaneous			26,277			38,910			13,556

Total expenses			889,144			1,108,652			6,207,761
Fees and expenses reimbursed and/or waived by GMO (Note 5)			(118,582	)		(363,311	)		(295,942	)

Net expenses			770,562			745,341			5,911,819

Net investment income (loss)			703,236			2,489,190			29,498,514

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)			7,118			17,504,488			188,004,161
Investments in affiliated issuers			—			(347	)		(7,109	)
Futures contracts			—			99,587			2,120,298
Written options			9,169,404			—			—
Foreign currency and foreign currency related transactions			(79,414	)		(14,753	)		—

Net realized gain (loss)			9,097,108			17,588,975			190,117,350

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(b)			(153,639	)		4,163,998			(18,525,563	)
Investments in affiliated issuers			—			(430	)		(2,988	)
Futures contracts			—			(45,489	)		74,241
Written options			(273,901	)		—			—
Foreign currency and foreign currency related transactions			—			43,864			—

Net change in unrealized appreciation (depreciation)			(427,540	)		4,161,943			(18,454,310	)

Net realized and unrealized gain (loss)			8,669,568			21,750,918			171,663,040

Net increase (decrease) in net assets resulting from operations		$	9,372,804		$	24,240,108		$	201,161,554

^(a)	Withholding tax:	$	—		$	359,947		$	4,693
^(b)	Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	9,143		$	—


92		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets


	Climate Change Fund			Emerging Domestic Opportunities Fund
	Period from April 5, 2017 (commencement of operations) through February 28,			Year Ended February 28,
	2018			2018			2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	167,335		$	23,919,255		$	24,223,477
Net realized gain (loss)		1,128,320			415,071,691			63,783,078
Change in net unrealized appreciation (depreciation)		1,480,825			136,074,872			286,724,494


Net increase (decrease) in net assets from operations		2,776,480			575,065,818			374,731,049

Distributions to shareholders from:
Net investment income
Class II		—			(8,577,224	)		(16,074,541	)
Class III		(176,067	)		(1,697,769	)		(4,625,740	)
Class IV		—			(4,239,894	)		(16,393,890	)
Class V		—			(16,995,140	)		(22,714,666	)
Class VI		—			—	*		(301,900	)

Total distributions from net investment income		(176,067	)		(31,510,027	)		(60,110,737	)

Net realized gains
Class III		(491,078	)		—			—

Total distributions from net realized gains		(491,078	)		—			—

Net share transactions (Note 9):
Class II		—			(60,122,470	)		(49,674,608	)
Class III		24,584,750			(39,709,374	)		(148,973,139	)
Class IV		—			(119,146,650	)		(551,680,333	)
Class V		—			61,706,976			584,300,107
Class VI		—			(16,244,932	)*		4,115,333

Increase (decrease) in net assets resulting from net share transactions		24,584,750			(173,516,450	)		(161,912,640	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class II		—			617,648			666,973
Class III		—			118,506			189,178
Class IV		—			312,031			789,104
Class V		—			1,095,122			627,488
Class VI		—			2,117	*		12,335

Increase in net assets resulting from purchase premiums and redemption fees		—			2,145,424			2,285,078

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		24,584,750			(171,371,026	)		(159,627,562	)

Total increase (decrease) in net assets		26,694,085			372,184,765			154,992,750

Net assets:
Beginning of period		—			2,031,117,089			1,876,124,339

End of period	$	26,694,085		$	2,403,301,854		$	2,031,117,089

Accumulatedundistributed (distributions in excess of) net investment income	$	123,555		$	(13,085,275	)	$	(26,884,070	)

* Class VI liquidated on March 29, 2017.


		See accompanying notes to the financial statements.		93

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Emerging Markets Fund						Foreign Small Companies Fund
	Year Ended February 28,						Year Ended February 28,
	2018			2017			2018			2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	120,564,814		$	112,638,039		$	12,365,256		$	16,996,400
Net realized gain (loss)		633,257,899			(370,563,280	)		152,983,283			18,702,055
Change in net unrealized appreciation (depreciation)		362,984,717			1,756,659,281			(55,110,759	)		88,052,231


Net increase (decrease) in net assets from operations		1,116,807,430			1,498,734,040			110,237,780			123,750,686

Distributions to shareholders from:
Net investment income
Class II		(11,956,275	)		(9,908,272	)		—			—
Class III		(5,490,308	)		(5,175,773	)		(3,824,869	)		(8,085,286	)
Class IV		(14,250,088	)		(6,690,386	)		(9,440,862	)		(15,561,235	)
Class V		(4,213,667	)		(9,258,670	)		—			—
Class VI		(100,502,683	)		(78,005,121	)		—			—

Total distributions from net investment income		(136,413,021	)		(109,038,222	)		(13,265,731	)		(23,646,521	)

Net realized gains
Class III		—			—			(13,747,999	)		—
Class IV		—			—			(32,945,889	)		—

Total distributions from net realized gains		—			—			(46,693,888	)		—

Net share transactions (Note 9):
Class II		(111,903,150	)		(177,168,152	)		—			—
Class III		42,508,224			52,256,879			(209,670,456	)		(103,344,633	)
Class IV		(225,782,751	)		241,413,390			(514,884,481	)		(102,922,984	)
Class V		33,512,592			(258,808,154	)		—			—
Class VI		(650,491,952	)		(1,166,985,719	)		—			—

Increase (decrease) in net assets resulting from net share transactions		(912,157,037	)		(1,309,291,756	)		(724,554,937	)		(206,267,617	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class II		1,611,194			1,529,910			—			—
Class III		737,313			719,593			398,979			332,346
Class IV		2,193,709			922,716			830,322			843,880
Class V		479,079			1,099,805			—			—
Class VI		11,838,878			11,065,007			—			—

Increase in net assets resulting from purchase premiums and redemption fees		16,860,173			15,337,031			1,229,301			1,176,226

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(895,296,864	)		(1,293,954,725	)		(723,325,636	)		(205,091,391	)

Total increase (decrease) in net assets		85,097,545			95,741,093			(673,047,475	)		(104,987,226	)

Net assets:
Beginning of period		5,016,939,492			4,921,198,399			817,980,603			922,967,829

End of period	$	5,102,037,037		$	5,016,939,492		$	144,933,128		$	817,980,603

Accumulated undistributed (distributions in excess of) net investment income	$	(17,207,475	)	$	(33,369,509	)	$	(656,513	)	$	(7,947,837	)


94		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	International Equity Fund						International Large/Mid Cap Equity Fund
	Year Ended February 28,						Year Ended February 28,
	2018			2017			2018			2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	136,645,091		$	234,589,376		$	3,484,528		$	35,443,205
Net realized gain (loss)		333,135,160			(369,427,536	)		13,685,525			(97,865,009	)
Change in net unrealized appreciation (depreciation)		611,006,576			1,244,221,114			5,607,263			197,009,217


Net increase (decrease) in net assets from operations		1,080,786,827			1,109,382,954			22,777,316			134,587,413

Distributions to shareholders from:
Net investment income
Class II		(592,109	)		(1,695,696	)		—			—
Class III		(15,748,937	)		(29,374,478	)		(520,210	)		(8,124,692	)
Class IV		(157,085,524	)		(231,403,335	)		(3,905,515	)		(17,599,928	)
Class VI		—			—			—	*		(14,995,054	)

Total distributions from net investment income		(173,426,570	)		(262,473,509	)		(4,425,725	)		(40,719,674	)

Net realized gains
Class III		—			—			(391,628	)		—
Class IV		—			—			(9,849,041	)		—

Total distributions from net realized gains		—			—			(10,240,669	)		—

Net share transactions (Note 9):
Class II		11,254,887			(77,406,799	)		—			—
Class III		(340,134,465	)		(418,557,020	)		41,540,025			(454,115,817	)
Class IV		(1,324,181,462	)		(2,713,470,910	)		(152,989,906	)		(549,754,619	)
Class VI		—			—			(616,556	)*		(285,325,217	)

Increase (decrease) in net assets resulting from net share transactions		(1,653,061,040	)		(3,209,434,729	)		(112,066,437	)		(1,289,195,653	)


Total increase (decrease) in net assets		(745,700,783	)		(2,362,525,284	)		(103,955,515	)		(1,195,327,914	)

Net assets:
Beginning of period		5,813,385,747			8,175,911,031			185,850,228			1,381,178,142

End of period	$	5,067,684,964		$	5,813,385,747		$	81,894,713		$	185,850,228

Accumulated undistributed (distributions in excess of) net investment income	$	(13,818,897	)	$	(1,659,043	)	$	(1,455,458	)	$	(801,660	)

* Class VI liquidated on March 29, 2017.


		See accompanying notes to the financial statements.		95

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Quality Fund						Resources Fund
	Year Ended February 28,						Year Ended February 28,
	2018			2017			2018			2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	128,619,753		$	144,430,599		$	4,986,637		$	4,336,029
Net realized gain (loss)		713,188,332			124,186,937			12,979,215			(15,646,712	)
Change in net unrealized appreciation (depreciation)		922,881,868			1,215,507,372			42,871,047			92,766,423


Net increase (decrease) in net assets from operations		1,764,689,953			1,484,124,908			60,836,899			81,455,740

Distributions to shareholders from:
Net investment income
Class III		(56,641,958	)		(57,275,158	)		(880,349	)		(537,264	)
Class IV		(15,493,213	)		(22,564,133	)		(10,056,534	)		(5,489,443	)
Class V		(4,742,268	)		(7,845,378	)		—			—
Class VI		(59,448,671	)		(60,728,903	)		—			—

Total distributions from net investment income		(136,326,110	)		(148,413,572	)		(10,936,883	)		(6,026,707	)

Net realized gains
Class III		(219,320,323	)		(70,068,944	)		—			—
Class IV		(58,604,732	)		(20,077,057	)		—			—
Class V		(16,385,208	)		(7,430,364	)		—			—
Class VI		(218,783,386	)		(57,344,795	)		—			—

Total distributions from net realized gains		(513,093,649	)		(154,921,160	)		—			—

Net share transactions (Note 9):
Class III		(524,533,540	)		(947,621,009	)		27,821,128			2,267,643
Class IV		(403,819,622	)		(265,229,455	)		59,123,014			(49,883,908	)
Class V		(369,399,954	)		132,591,501			—			—
Class VI		(249,653,450	)		1,259,875,418			—			—

Increase (decrease) in net assets resulting from net share transactions		(1,547,406,566	)		179,616,455			86,944,142			(47,616,265	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			60,364			19,745
Class IV		—			—			507,680			204,990

Increase in net assets resulting from purchase premiums and redemption fees		—			—			568,044			224,735

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(1,547,406,566	)		179,616,455			87,512,186			(47,391,530	)

Total increase (decrease) in net assets		(432,136,372	)		1,360,406,631			137,412,202			28,037,503

Net assets:
Beginning of period		8,632,201,957			7,271,795,326			212,821,368			184,783,865

End of period	$	8,200,065,585		$	8,632,201,957		$	350,233,570		$	212,821,368

Accumulated undistributed (distributions in excess of) net investment income	$	11,906,414		$	12,124,473		$	(6,055,705	)	$	(1,125,547	)


96		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Risk Premium Fund						Tax-Managed International Equities Fund
	Year Ended February 28,						Year Ended February 28,
	2018			2017			2018			2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	703,236		$	(149,080	)	$	2,489,190		$	4,929,895
Net realized gain (loss)		9,097,108			38,623,802			17,588,975			12,543,953
Change in net unrealized appreciation (depreciation)		(427,540	)		(1,976,415	)		4,161,943			7,346,320


Net increase (decrease) in net assets from operations		9,372,804			36,498,307			24,240,108			24,820,168

Distributions to shareholders from:
Net investment income
Class III		(7,176	)		—			(3,315,762	)		(5,479,378	)
Class VI		(463,232	)		—			—			—

Total distributions from net investment income		(470,408	)		—			(3,315,762	)		(5,479,378	)

Net realized gains
Class III		(717,032	)		(544,070	)		—			—
Class VI		(23,541,333	)		(12,713,932	)		—			—

Total distributions from net realized gains		(24,258,365	)		(13,258,002	)		—			—

Net share transactions (Note 9):
Class III		(1,182,676	)		(2,521,322	)		(67,875,263	)		(119,585,524	)
Class VI		1,739,919			(91,116,939	)		—			—

Increase (decrease) in net assets resulting from net share transactions		557,243			(93,638,261	)		(67,875,263	)		(119,585,524	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		1,406			6,093			—			—
Class VI		45,191			154,283			—			—

Increase in net assets resulting from purchase premiums and redemption fees		46,597			160,376			—			—

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		603,840			(93,477,885	)		(67,875,263	)		(119,585,524	)

Total increase (decrease) in net assets		(14,752,129	)		(70,237,580	)		(46,950,917	)		(100,244,734	)

Net assets:
Beginning of period		160,423,727			230,661,307			115,732,649			215,977,383

End of period	$	145,671,598		$	160,423,727		$	68,781,732		$	115,732,649

Accumulated undistributed (distributions in excess of) net investment income	$	219,156		$	(8,343	)	$	(525,892	)	$	(375,725	)


		See accompanying notes to the financial statements.		97

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	U.S. Equity Allocation Fund
	Year Ended February 28,
	2018			2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	29,498,514		$	53,844,150
Net realized gain (loss)		190,117,350			308,821,319
Change in net unrealized appreciation (depreciation)		(18,454,310	)		274,479,806


Net increase (decrease) in net assets from operations		201,161,554			637,145,275

Distributions to shareholders from:
Net investment income
Class III		(1,071,935	)		(3,242,235	)
Class IV		(426,461	)		(3,297,483	)
Class V		(2,144,892	)		(2,051,735	)
Class VI		(24,505,927	)		(54,438,157	)

Total distributions from net investment income		(28,149,215	)		(63,029,610	)

Net realized gains
Class III		(6,499,591	)		(10,903,518	)
Class IV		(2,930,389	)		(4,144,649	)
Class V		(12,130,947	)		(14,444,911	)
Class VI		(123,226,362	)		(169,453,338	)

Total distributions from net realized gains		(144,787,289	)		(198,946,416	)

Net share transactions (Note 9):
Class III		(32,682,528	)		(102,529,429	)
Class IV		18,607,196			(534,602,197	)
Class V		(106,801,014	)		162,994,661
Class VI		(294,652,578	)		(2,687,005,631	)

Increase (decrease) in net assets resulting from net share transactions		(415,528,924	)		(3,161,142,596	)

Total increase (decrease) in net assets		(387,303,874	)		(2,785,973,347	)

Net assets:
Beginning of period		1,761,020,220			4,546,993,567

End of period	$	1,373,716,346		$	1,761,020,220

Accumulated undistributed (distributions in excess of) net investment income	$	2,966,523		$	1,744,705


98		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

CLIMATE CHANGE FUND


	Class III Shares
	Period from April 5, 2017 (commencement of operations) through February 28, 2018
Net asset value, beginning of period		$	20.00

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.23
Net realized and unrealized gain (loss)			4.41

Total from investment operations			4.64

Less distributions to shareholders:
From net investment income			(0.22	)
From net realized gains			(0.61	)

Total distributions			(0.83	)

Net asset value, end of period		$	23.81

Total Return^(b)			23.28	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	26,694
Net expenses to average daily net assets^(c)			0.78	%*
Net investment income (loss) to average daily net assets^(a)			1.09	%*
Portfolio turnover rate^(d)			44	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.73	%*

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

^(b)

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

^(d)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended February 28, 2018, including transactions in USTF, was 174% of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		99

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND


	Class II Shares																				Class III Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2018				2017				2016				2015				2014				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	22.64			$	19.36			$	23.99			$	22.55			$	24.60			$	22.64			$	19.35			$	23.98			$	22.54			$	24.59

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.25				0.25				0.34				0.28				0.26				0.27				0.27				0.36				0.29				0.30
Net realized and unrealized gain (loss)			6.33				3.68				(4.60	)			1.55				(1.22	)			6.32				3.68				(4.60	)			1.55				(1.24	)

Total from investment operations			6.58				3.93				(4.26	)			1.83				(0.96	)			6.59				3.95				(4.24	)			1.84				(0.94	)

Less distributions to shareholders:
From net investment income			(0.36	)			(0.65	)			(0.37	)			(0.23	)			(0.30	)			(0.37	)			(0.66	)			(0.39	)			(0.24	)			(0.32	)
From net realized gains			—				—				—				(0.16	)			(0.79	)			—				—				—				(0.16	)			(0.79	)

Total distributions			(0.36	)			(0.65	)			(0.37	)			(0.39	)			(1.09	)			(0.37	)			(0.66	)			(0.39	)			(0.40	)			(1.11	)

Net asset value, end of period		$	28.86			$	22.64			$	19.36			$	23.99			$	22.55			$	28.86			$	22.64			$	19.35			$	23.98			$	22.54

Total Return^(b)			29.10	%			20.62	%			(17.91	)%			8.18	%			(4.01	)%			29.17	%			20.73	%			(17.86	)%			8.23	%			(3.95	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	700,211			$	603,565			$	556,539			$	738,035			$	621,278			$	121,511			$	129,068			$	242,740			$	336,488			$	384,757
Net expenses to average daily net assets^(c)			1.06	%			1.06	%			1.07	%			1.07	%			1.07	%^(d)			0.99	%			0.99	%			1.00	%			1.00	%			1.00	%^(d)
Net investment income (loss) to average daily net assets^(a)			0.96	%			1.12	%			1.51	%			1.21	%			1.09	%			1.05	%			1.26	%			1.61	%			1.26	%			1.23	%
Portfolio turnover rate			201	%^(e)			227	%^(e)			250	%			204	%			274	%			201	%^(e)			227	%^(e)			250	%			204	%			274	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%			0.04	%			0.04	%			0.03	%			0.03	%			0.02	%			0.05	%			0.04	%			0.03	%			0.03	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.03			$	0.02			$	0.04			$	0.03			$	0.10			$	0.02			$	0.02			$	0.03			$	0.03			$	0.09

	Class IV Shares																				Class V Shares
	Year Ended February 28/29,																				Year Ended February 28/29,																Period from November 29, 2013 (commencement of operations) through February 28,
	2018				2017				2016				2015				2014				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	22.65			$	19.36			$	24.00			$	22.56			$	24.60			$	22.62			$	19.35			$	23.98			$	22.54			$	24.52

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.27				0.29				0.36				0.30				0.31				0.29				0.23				0.37				0.31				0.01
Net realized and unrealized gain (loss)			6.34				3.67				(4.60	)			1.56				(1.23	)			6.33				3.73				(4.59	)			1.55				(1.20	)

Total from investment operations			6.61				3.96				(4.24	)			1.86				(0.92	)			6.62				3.96				(4.22	)			1.86				(1.19	)

Less distributions to shareholders:
From net investment income			(0.38	)			(0.67	)			(0.40	)			(0.26	)			(0.33	)			(0.39	)			(0.69	)			(0.41	)			(0.26	)			(0.34	)
From net realized gains			—				—				—				(0.16	)			(0.79	)			—				—				—				(0.16	)			(0.45	)

Total distributions			(0.38	)			(0.67	)			(0.40	)			(0.42	)			(1.12	)			(0.39	)			(0.69	)			(0.41	)			(0.42	)			(0.79	)

Net asset value, end of period		$	28.88			$	22.65			$	19.36			$	24.00			$	22.56			$	28.85			$	22.62			$	19.35			$	23.98			$	22.54

Total Return^(b)			29.24	%			20.80	%			(17.84	)%			8.29	%			(3.88	)%			29.31	%			20.78	%			(17.79	)%			8.32	%			(4.95	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	300,730			$	335,225			$	745,300			$	686,589			$	659,592			$	1,280,851			$	948,052			$	322,379			$	255,379			$	235,753
Net expenses to average daily net assets^(c)			0.94	%			0.95	%			0.96	%			0.95	%			0.95	%^(d)			0.92	%			0.93	%			0.94	%			0.93	%			0.94	%*^(d)
Net investment income (loss) to average daily net assets^(a)			1.05	%			1.34	%			1.61	%			1.29	%			1.29	%			1.09	%			1.04	%			1.65	%			1.32	%			0.09	%
Portfolio turnover rate			201	%^(e)			227	%^(e)			250	%			204	%			274	%			201	%^(e)			227	%^(e)			250	%			204	%			274	%**††
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%			0.04	%			0.04	%			0.03	%			0.03	%			0.02	%			0.05	%			0.04	%			0.03	%			0.06	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02			$	0.03			$	0.03			$	0.03			$	0.10			$	0.03			$	0.03			$	0.04			$	0.03			$	0.02

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

^(b)

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

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

^(e)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 254% and 271%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

††	Calculation represents portfolio turnover of the Fund for the year ended February 28, 2014.

*	Annualized.

**	Not annualized.


100		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND


	Class II Shares																				Class III Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)				2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)
Net asset value, beginning of period		$	29.98			$	22.80			$	30.48			$	30.60			$	35.22			$	30.05			$	22.83			$	30.57			$	30.69			$	35.31

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.75				0.57				0.72				0.84				0.75				0.72				0.57				0.66				0.81				0.81
Net realized and unrealized gain (loss)			6.58				7.22				(7.59	)			0.00	^(c)			(4.56	)			6.64				7.27				(7.56	)			0.06				(4.62	)

Total from investment operations			7.33				7.79				(6.87	)			0.84				(3.81	)			7.36				7.84				(6.90	)			0.87				(3.81	)

Less distributions to shareholders:
From net investment income			(0.89	)			(0.61	)			(0.81	)			(0.96	)			(0.81	)			(0.90	)			(0.62	)			(0.84	)			(0.99	)			(0.81	)

Total distributions			(0.89	)			(0.61	)			(0.81	)			(0.96	)			(0.81	)			(0.90	)			(0.62	)			(0.84	)			(0.99	)			(0.81	)

Net asset value, end of period		$	36.42			$	29.98			$	22.80			$	30.48			$	30.60			$	36.51			$	30.05			$	22.83			$	30.57			$	30.69

Total Return^(d)			24.66	%			34.47	%			(22.76	)%			2.84	%			(10.92	)%			24.71	%			34.67	%			(22.80	)%			2.91	%			(10.87	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	479,640			$	498,564			$	532,366			$	1,000,299			$	1,308,100			$	390,827			$	301,786			$	189,907			$	283,712			$	447,963
Net expenses to average daily net assets^(e)			0.96	%			1.07	%			1.09	%			1.07	%			1.06	%^(f)			0.91	%			1.01	%			1.04	%			1.02	%			1.01	%^(f)
Net investment income (loss) to average daily net assets^(b)			2.25	%			2.08	%			2.57	%			2.66	%			2.33	%			2.14	%			2.07	%			2.45	%			2.55	%			2.45	%
Portfolio turnover rate			87	%^(g)			62	%^(g)			104	%			94	%			98	%			87	%^(g)			62	%^(g)			104	%			94	%			98	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.13	%			0.04	%			0.03	%			0.03	%			0.03	%			0.11	%			0.03	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.11			$	0.09	^(a)		$	0.10	^(a)		$	0.11	^(a)		$	0.10	^(a)		$	0.11			$	0.09	^(a)		$	0.10	^(a)		$	0.11	^(a)		$	0.11	^(a)

	Class IV Shares																				Class V Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)				2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)
Net asset value, beginning of period		$	29.78			$	22.65			$	30.30			$	30.45			$	35.04			$	29.70			$	22.59			$	30.24			$	30.39			$	34.98

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.83				0.53				0.69				0.84				0.84				0.77				0.61				0.72				0.87				0.78
Net realized and unrealized gain (loss)			6.47				7.24				(7.50	)			0.00	^(c)			(4.59	)			6.53				7.15				(7.50	)			0.00	^(c)			(4.50	)

Total from investment operations			7.30				7.77				(6.81	)			0.84				(3.75	)			7.30				7.76				(6.78	)			0.87				(3.72	)

Less distributions to shareholders:
From net investment income			(0.92	)			(0.64	)			(0.84	)			(0.99	)			(0.84	)			(0.93	)			(0.65	)			(0.87	)			(1.02	)			(0.87	)

Total distributions			(0.92	)			(0.64	)			(0.84	)			(0.99	)			(0.84	)			(0.93	)			(0.65	)			(0.87	)			(1.02	)			(0.87	)

Net asset value, end of period		$	36.16			$	29.78			$	22.65			$	30.30			$	30.45			$	36.07			$	29.70			$	22.59			$	30.24			$	30.39

Total Return^(d)			24.74	%			34.61	%			(22.69	)%			2.88	%			(10.81	)%			24.83	%			34.67	%			(22.67	)%			2.93	%			(10.74	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	485,104			$	582,311			$	268,085			$	837,963			$	748,429			$	170,962			$	110,257			$	269,570			$	170,125			$	406,384
Net expenses to average daily net assets^(e)			0.87	%			0.96	%			0.99	%			0.97	%			0.96	%^(f)			0.81	%			0.91	%			0.94	%			0.92	%			0.91	%^(f)
Net investment income (loss) to average daily net assets^(b)			2.50	%			1.92	%			2.55	%			2.64	%			2.57	%			2.29	%			2.24	%			2.69	%			2.77	%			2.39	%
Portfolio turnover rate			87	%^(g)			62	%^(g)			104	%			94	%			98	%			87	%^(g)			62	%^(g)			104	%			94	%			98	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.11	%			0.03	%			0.01	%			0.01	%			0.01	%			0.14	%			0.06	%			0.04	%			0.04	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.11			$	0.09	^(a)		$	0.10	^(a)		$	0.11	^(a)		$	0.10	^(a)		$	0.11			$	0.08	^(a)		$	0.10	^(a)		$	0.10	^(a)		$	0.10	^(a)

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

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

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

^(d)

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

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

^(g)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 117% and 80%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		101

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)


	Class VI Shares
	Year Ended February 28/29,
	2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)
Net asset value, beginning of period		$	29.77			$	22.62			$	30.30			$	30.45			$	35.04

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.78				0.63				0.69				0.90				0.78
Net realized and unrealized gain (loss)			6.56				7.17				(7.50	)			(0.03	)^(c)			(4.47	)

Total from investment operations			7.34				7.80				(6.81	)			0.87				(3.69	)

Less distributions to shareholders:
From net investment income			(0.95	)			(0.65	)			(0.87	)			(1.02	)			(0.90	)

Total distributions			(0.95	)			(0.65	)			(0.87	)			(1.02	)			(0.90	)

Net asset value, end of period		$	36.16			$	29.77			$	22.62			$	30.30			$	30.45

Total Return^(d)			24.90	%			34.83	%			(22.71	)%			2.96	%			(10.69	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,575,505			$	3,524,022			$	3,661,271			$	5,194,557			$	5,220,293
Net expenses to average daily net assets^(e)			0.78	%			0.89	%			0.91	%			0.89	%			0.88	%^(f)
Net investment income (loss) to average daily net assets^(b)			2.36	%			2.32	%			2.61	%			2.79	%			2.43	%
Portfolio turnover rate			87	%^(g)			62	%^(g)			104	%			94	%			98	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.14	%			0.06	%			0.04	%			0.04	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.11			$	0.08	^(a)		$	0.09	^(a)		$	0.11	^(a)		$	0.10	^(a)

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

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

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

^(d)

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

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

^(g)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 117% and 80%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.


102		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

FOREIGN SMALL COMPANIES FUND


	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2018				2017				2016				2015				2014				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	14.41			$	12.94			$	15.31			$	17.29			$	14.40			$	14.38			$	12.91			$	15.28			$	17.25			$	14.37

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.41				0.26				0.26				0.20				0.27				0.43				0.25				0.27				0.21				0.25
Net realized and unrealized gain (loss)			2.93				1.56				(1.86	)			(1.34	)			3.62				2.92				1.58				(1.86	)			(1.34	)			3.64

Total from investment operations			3.34				1.82				(1.60	)			(1.14	)			3.89				3.35				1.83				(1.59	)			(1.13	)			3.89

Less distributions to shareholders:
From net investment income			(0.35	)			(0.35	)			(0.28	)			(0.23	)			(0.48	)			(0.36	)			(0.36	)			(0.29	)			(0.23	)			(0.49	)
From net realized gains			(3.13	)			—				(0.49	)			(0.61	)			(0.52	)			(3.13	)			—				(0.49	)			(0.61	)			(0.52	)

Total distributions			(3.48	)			(0.35	)			(0.77	)			(0.84	)			(1.00	)			(3.49	)			(0.36	)			(0.78	)			(0.84	)			(1.01	)

Net asset value, end of period		$	14.27			$	14.41			$	12.94			$	15.31			$	17.29			$	14.24			$	14.38			$	12.91			$	15.28			$	17.25

Total Return^(b)			23.52	%			14.25	%			(10.82	)%			(6.34	)%			27.54	%			23.64	%			14.34	%			(10.80	)%			(6.25	)%			27.61	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	55,169			$	246,852			$	316,303			$	353,778			$	236,393			$	89,764			$	571,129			$	606,665			$	760,850			$	851,384
Net expenses to average daily net assets^(c)			0.52	%			0.86	%			0.86	%			0.85	%			0.86	%^(d)			0.50	%			0.81	%			0.81	%			0.80	%			0.81	%^(d)
Net investment income (loss) to average daily net assets^(a)			2.67	%			1.84	%			1.73	%			1.26	%			1.73	%			2.81	%			1.81	%			1.79	%			1.32	%			1.56	%
Portfolio turnover rate			106	%^(e)			49	%^(e)			60	%			58	%			57	%			106	%^(e)			49	%^(e)			60	%			58	%			57	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.44	%			0.07	%			0.07	%			0.07	%			0.07	%			0.39	%			0.07	%			0.07	%			0.07	%			0.07	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.04			$	0.02			$	0.01			$	0.01			$	0.00	^(f)		$	0.04			$	0.02			$	0.01			$	0.01			$	0.00	^(f)

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

^(b)

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

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

^(e)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 128% and 51%, respectively, of the average value of its portfolio.

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

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		103

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND


	Class II Shares																				Class III Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2018				2017				2016				2015				2014				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	20.18			$	18.17			$	23.43			$	26.16			$	20.94			$	20.41			$	18.38			$	23.70			$	26.44			$	21.16

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.41				0.70				0.57				0.66				0.80				0.61				0.63				0.59				0.69				0.86
Net realized and unrealized gain (loss)			3.78				2.07				(5.19	)			(1.42	)			4.88				3.64				2.19				(5.25	)			(1.45	)			4.90

Total from investment operations			4.19				2.77				(4.62	)			(0.76	)			5.68				4.25				2.82				(4.66	)			(0.76	)			5.76

Less distributions to shareholders:
From net investment income			(0.74	)			(0.76	)			(0.64	)			(1.07	)			(0.46	)			(0.74	)			(0.79	)			(0.66	)			(1.08	)			(0.48	)
From net realized gains			—				—				—				(0.90	)			—				—				—				—				(0.90	)			—

Total distributions			(0.74	)			(0.76	)			(0.64	)			(1.97	)			(0.46	)			(0.74	)			(0.79	)			(0.66	)			(1.98	)			(0.48	)

Net asset value, end of period		$	23.63			$	20.18			$	18.17			$	23.43			$	26.16			$	23.92			$	20.41			$	18.38			$	23.70			$	26.44

Total Return^(b)			20.85	%			15.45	%			(19.99	)%			(2.55	)%			27.41	%			20.96	%			15.53	%			(19.95	)%			(2.50	)%			27.53	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	23,736			$	10,302			$	81,206			$	118,737			$	139,401			$	485,782			$	731,060			$	1,043,305			$	1,523,128			$	1,555,509
Net expenses to average daily net assets^(c)			0.72	%			0.72	%			0.72	%			0.72	%			0.72	%^(d)			0.65	%			0.65	%			0.65	%			0.65	%			0.65	%^(d)
Net investment income (loss) to average daily net assets^(a)			1.77	%			3.62	%			2.65	%			2.63	%			3.47	%			2.68	%			3.16	%			2.70	%			2.73	%			3.62	%
Portfolio turnover rate			45	%^(e)			27	%^(e)			75	%			70	%			48	%			45	%^(e)			27	%^(e)			75	%			70	%			48	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%			0.04	%			0.04	%			0.04	%			0.04	%			0.04	%			0.04	%			0.04	%			0.04	%			0.04	%


	Class IV Shares
	Year Ended February 28/29,
	2018				2017				2016				2015				2014
Net asset value, beginning of period		$	20.38			$	18.36			$	23.66			$	26.41			$	21.14

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.56				0.63				0.62				0.67				0.89
Net realized and unrealized gain (loss)			3.69				2.19				(5.25	)			(1.42	)			4.88

Total from investment operations			4.25				2.82				(4.63	)			(0.75	)			5.77

Less distributions to shareholders:
From net investment income			(0.76	)			(0.80	)			(0.67	)			(1.10	)			(0.50	)
From net realized gains			—				—				—				(0.90	)			—

Total distributions			(0.76	)			(0.80	)			(0.67	)			(2.00	)			(0.50	)

Net asset value, end of period		$	23.87			$	20.38			$	18.36			$	23.66			$	26.41

Total Return^(b)			20.98	%			15.57	%			(19.85	)%			(2.47	)%			27.60	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	4,558,167			$	5,072,024			$	7,051,400			$	11,374,017			$	11,926,293
Net expenses to average daily net assets^(c)			0.59	%			0.59	%			0.59	%			0.59	%			0.59	%^(d)
Net investment income (loss) to average daily net assets^(a)			2.45	%			3.19	%			2.80	%			2.66	%			3.74	%
Portfolio turnover rate			45	%^(e)			27	%^(e)			75	%			70	%			48	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%			0.04	%			0.04	%			0.04	%			0.04	%

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

^(b)

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

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

^(e)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 61% and 50%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.


104		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL LARGE/MID CAP EQUITY FUND


	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2018				2017				2016				2015				2014				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	25.44			$	23.46			$	30.16			$	35.20			$	28.96			$	25.40			$	23.44			$	30.14			$	35.18			$	28.94

Income (loss) from investment operations:
Net investment income (loss)^(a)†			1.01				0.96				0.81				0.92				1.18				0.84				1.04				0.87				0.96				1.17
Net realized and unrealized gain (loss)			4.06				2.40				(6.71	)			(2.19	)			6.56				4.23				2.34				(6.75	)			(2.21	)			6.60

Total from investment operations			5.07				3.36				(5.90	)			(1.27	)			7.74				5.07				3.38				(5.88	)			(1.25	)			7.77

Less distributions to shareholders:
From net investment income			(0.90	)			(1.38	)			(0.80	)			(1.46	)			(1.50	)			(0.92	)			(1.42	)			(0.82	)			(1.48	)			(1.53	)
From net realized gains			(3.28	)			—				—				(2.31	)			—				(3.28	)			—				—				(2.31	)			—

Total distributions			(4.18	)			(1.38	)			(0.80	)			(3.77	)			(1.50	)			(4.20	)			(1.42	)			(0.82	)			(3.79	)			(1.53	)

Net asset value, end of period		$	26.33			$	25.44			$	23.46			$	30.16			$	35.20			$	26.27			$	25.40			$	23.44			$	30.14			$	35.18

Total Return^(b)			20.64	%			14.70	%			(19.82	)%			(3.33	)%			27.30	%			20.69	%			14.79	%			(19.78	)%			(3.28	)%			27.40	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	81,119			$	39,141			$	459,614			$	592,365			$	598,840			$	776			$	146,112			$	641,750			$	1,346,483			$	1,262,615
Net expenses to average daily net assets^(c)			0.60	%			0.54	%			0.53	%			0.53	%			0.53	%^(d)			0.60	%			0.48	%			0.47	%			0.47	%			0.47	%^(d)
Net investment income (loss) to average daily net assets^(a)			3.81	%			3.84	%			2.90	%			2.80	%			3.70	%			3.12	%			4.14	%			3.08	%			2.91	%			3.69	%
Portfolio turnover rate			47	%^(e)			26	%^(e)			88	%			82	%			54	%			47	%^(e)			26	%^(e)			88	%			82	%			54	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.28	%			0.08	%			0.06	%			0.07	%			0.06	%			0.27	%			0.08	%			0.06	%			0.07	%			0.06	%

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

^(b)

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

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

^(e)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 128% and 51%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		105

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY FUND


	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2018				2017				2016				2015				2014				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	22.05			$	18.99			$	22.98			$	25.08			$	23.81			$	22.08			$	19.01			$	23.01			$	25.10			$	23.83

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.36				0.35				0.38				0.42				0.51				0.37				0.36				0.39				0.43				0.53
Net realized and unrealized gain (loss)			4.70				3.44				(1.04	)			2.91				3.70				4.70				3.45				(1.05	)			2.92				3.70

Total from investment operations			5.06				3.79				(0.66	)			3.33				4.21				5.07				3.81				(0.66	)			3.35				4.23

Less distributions to shareholders:
From net investment income			(0.41	)			(0.35	)			(0.42	)			(0.49	)			(0.53	)			(0.41	)			(0.36	)			(0.43	)			(0.50	)			(0.55	)
From net realized gains			(1.57	)			(0.38	)			(2.91	)			(4.94	)			(2.41	)			(1.57	)			(0.38	)			(2.91	)			(4.94	)			(2.41	)

Total distributions			(1.98	)			(0.73	)			(3.33	)			(5.43	)			(2.94	)			(1.98	)			(0.74	)			(3.34	)			(5.44	)			(2.96	)

Net asset value, end of period		$	25.13			$	22.05			$	18.99			$	22.98			$	25.08			$	25.17			$	22.08			$	19.01			$	23.01			$	25.10

Total Return^(b)			23.32	%			20.25	%			(2.89	)%			14.73	%			18.38	%			23.37	%			20.33	%			(2.88	)%			14.81	%			18.43	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,524,103			$	3,587,627			$	3,968,156			$	5,336,063			$	5,747,512			$	957,900			$	1,222,874			$	1,294,033			$	2,201,876			$	2,134,444
Net expenses to average daily net assets^(c)			0.48	%			0.48	%			0.48	%			0.48	%			0.48	%^(d)			0.44	%			0.44	%			0.44	%			0.44	%			0.44	%^(d)
Net investment income (loss) to average daily net assets^(a)			1.48	%			1.72	%			1.79	%			1.71	%			2.04	%			1.53	%			1.76	%			1.83	%			1.77	%			2.07	%
Portfolio turnover rate			10	%^(e)			29	%^(e)			37	%			60	%			48	%			10	%^(e)			29	%^(e)			37	%			60	%			48	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%			0.02	%			0.02	%			0.02	%			0.01	%			0.02	%			0.02	%			0.02	%			0.02	%			0.01	%

	Class V Shares																				Class VI Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2018				2017				2016				2015				2014				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	22.08			$	19.01			$	23.01			$	25.10			$	23.82			$	22.05			$	18.99			$	22.99			$	25.09			$	23.82

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.41				0.36				0.39				0.44				0.56				0.38				0.36				0.40				0.45				0.54
Net realized and unrealized gain (loss)			4.66				3.46				(1.05	)			2.92				3.68				4.70				3.46				(1.04	)			2.90				3.70

Total from investment operations			5.07				3.82				(0.66	)			3.36				4.24				5.08				3.82				(0.64	)			3.35				4.24

Less distributions to shareholders:
From net investment income			(0.41	)			(0.37	)			(0.43	)			(0.51	)			(0.55	)			(0.43	)			(0.38	)			(0.45	)			(0.51	)			(0.56	)
From net realized gains			(1.57	)			(0.38	)			(2.91	)			(4.94	)			(2.41	)			(1.57	)			(0.38	)			(2.91	)			(4.94	)			(2.41	)

Total distributions			(1.98	)			(0.75	)			(3.34	)			(5.45	)			(2.96	)			(2.00	)			(0.76	)			(3.36	)			(5.45	)			(2.97	)

Net asset value, end of period		$	25.17			$	22.08			$	19.01			$	23.01			$	25.10			$	25.13			$	22.05			$	18.99			$	22.99			$	25.09

Total Return^(b)			23.38	%			20.39	%			(2.89	)%			14.86	%			18.49	%			23.43	%			20.39	%			(2.83	)%			14.83	%			18.50	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	156,086			$	462,677			$	277,186			$	267,809			$	653,307			$	3,561,976			$	3,359,025			$	1,732,420			$	2,496,930			$	3,675,950
Net expenses to average daily net assets^(c)			0.42	%			0.42	%			0.42	%			0.42	%			0.42	%^(d)			0.39	%			0.39	%			0.39	%			0.39	%			0.39	%^(d)
Net investment income (loss) to average daily net assets^(a)			1.74	%			1.72	%			1.85	%			1.81	%			2.22	%			1.57	%			1.73	%			1.88	%			1.83	%			2.13	%
Portfolio turnover rate			10	%^(e)			29	%^(e)			37	%			60	%			48	%			10	%^(e)			29	%^(e)			37	%			60	%			48	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%			0.02	%			0.02	%			0.02	%			0.01	%			0.02	%			0.02	%			0.02	%			0.02	%			0.01	%

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

^(b)

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

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

^(e)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 23% and 48%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.


106		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RESOURCES FUND


	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2018				2017				2016				2015				2014				2018				2017				2016				2015				2014^(a)
Net asset value, beginning of period		$	17.31			$	11.74			$	16.33			$	21.88			$	21.59			$	17.25			$	11.71			$	16.28			$	21.86			$	21.40

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.33				0.30				0.47				0.87				0.51				0.38				0.34				0.46				0.75				0.45
Net realized and unrealized gain (loss)			4.02				5.75				(4.67	)			(3.77	)			0.45				3.97				5.68				(4.63	)			(3.65	)			0.70

Total from investment operations			4.35				6.05				(4.20	)			(2.90	)			0.96				4.35				6.02				(4.17	)			(2.90	)			1.15

Less distributions to shareholders:
From net investment income			(0.78	)			(0.48	)			(0.39	)			(1.03	)			(0.40	)			(0.79	)			(0.48	)			(0.40	)			(1.06	)			(0.42	)
From net realized gains			—				—				—				(1.62	)			(0.27	)			—				—				—				(1.62	)			(0.27	)

Total distributions			(0.78	)			(0.48	)			(0.39	)			(2.65	)			(0.67	)			(0.79	)			(0.48	)			(0.40	)			(2.68	)			(0.69	)

Net asset value, end of period		$	20.88			$	17.31			$	11.74			$	16.33			$	21.88			$	20.81			$	17.25			$	11.71			$	16.28			$	21.86

Total Return^(c)			26.00	%			51.75	%			(25.76	)%			(12.81	)%			4.54	%			26.12	%			51.72	%			(25.68	)%			(12.82	)%			5.48	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	54,037			$	22,562			$	13,864			$	23,734			$	81,646			$	296,196			$	190,260			$	170,919			$	119,308			$	138,358
Net expenses to average daily net assets^(d)			0.76	%			0.77	%			0.77	%			0.76	%			0.75	%^(e)			0.71	%			0.72	%			0.72	%			0.71	%			0.70	%*^(e)
Net investment income (loss) to average daily net assets^(b)			1.77	%			1.99	%			3.36	%			4.01	%			2.36	%			2.04	%			2.26	%			3.31	%			3.58	%			2.23	%*
Portfolio turnover rate			48	%^(f)			29	%^(f)			130	%			126	%			40	%			48	%^(f)			29	%^(f)			130	%			126	%			40	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.06	%^(e)			0.10	%			0.10	%			0.08	%			0.10	%			0.06	%^(e)			0.10	%			0.11	%			0.09	%			0.11	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.05			$	0.02			$	0.03			$	0.07			$	0.06			$	0.04			$	0.02			$	0.02			$	0.03			$	0.03

^(a)	Period from March 20, 2013 (commencement of operations) through February 28, 2014.

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

^(c)

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

^(e)	Includes recoupment of past reimbursed and/or waived fees (Note 5).

^(f)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 85% and 40%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		107

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RISK PREMIUM FUND


	Class III Shares																				Class VI Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)				2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)
Net asset value, beginning of period		$	29.93			$	26.91			$	29.73			$	31.74			$	31.59			$	30.07			$	27.00			$	29.82			$	31.80			$	31.59

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.10				(0.05	)			(0.12	)			(0.18	)			(0.18	)			0.14				(0.02	)			(0.12	)			(0.15	)			(0.15	)
Net realized and unrealized gain (loss)			1.78				5.22				(0.30	)			1.02				2.13				1.78				5.24				(0.30	)			1.02				2.16

Total from investment operations			1.88				5.17				(0.42	)			0.84				1.95				1.92				5.22				(0.42	)			0.87				2.01

Less distributions to shareholders:
From net investment income			(0.06	)			—				—				—				—				(0.10	)			—				—				—				—
From net realized gains			(5.01	)			(2.15	)			(2.40	)			(2.85	)			(1.80	)			(5.01	)			(2.15	)			(2.40	)			(2.85	)			(1.80	)

Total distributions			(5.07	)			(2.15	)			(2.40	)			(2.85	)			(1.80	)			(5.11	)			(2.15	)			(2.40	)			(2.85	)			(1.80	)

Net asset value, end of period		$	26.74			$	29.93			$	26.91			$	29.73			$	31.74			$	26.88			$	30.07			$	27.00			$	29.82			$	31.80

Total Return^(c)			6.09	%			19.50	%			(1.66	)%			3.19	%			6.42	%			6.17	%			19.62	%			(1.65	)%			3.29	%			6.61	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,434			$	5,049			$	6,807			$	4,832			$	7,489			$	142,238			$	155,375			$	223,854			$	432,465			$	730,196
Net expenses to average daily net assets			0.60	%			0.61	%			0.60	%			0.61	%^(d)			0.60	%^(d)(e)			0.51	%			0.51	%			0.51	%			0.51	%^(d)			0.51	%^(d)(e)
Net investment income (loss) to average daily net assets^(b)			0.34	%			(0.16	)%			(0.45	)%			(0.58	)%			(0.57	)%			0.47	%			(0.07	)%			(0.37	)%			(0.49	)%			(0.48	)%
Portfolio turnover rate			0	%			0	%			0	%			112	%			0	%			0	%			0	%			0	%			112	%			0	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.08	%			0.06	%			0.05	%			0.04	%			0.05	%			0.08	%			0.06	%			0.05	%			0.03	%			0.05	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.02	^(a)		$	0.08	^(a)		$	0.14	^(a)		$	0.01	^(a)		$	0.01			$	0.02	^(a)		$	0.07	^(a)		$	0.13	^(a)		$	0.01	^(a)

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

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

^(c)

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

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

†	Calculated using average shares outstanding throughout the period.


108		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

TAX-MANAGED INTERNATIONAL EQUITIES FUND


	Class III Shares
	Year Ended February 28/29,
	2018				2017				2016				2015				2014
Net asset value, beginning of period		$	14.28			$	12.92			$	16.80			$	18.03			$	14.56

Income (loss) from investment operations:
Net investment income (loss)†^(a)			0.38				0.41				0.40				0.47				0.57
Net realized and unrealized gain (loss)			2.84				1.50				(3.82	)			(1.05	)			3.37

Total from investment operations			3.22				1.91				(3.42	)			(0.58	)			3.94

Less distributions to shareholders:
From net investment income			(0.50	)			(0.55	)			(0.46	)			(0.65	)			(0.47	)

Total distributions			(0.50	)			(0.55	)			(0.46	)			(0.65	)			(0.47	)

Net asset value, end of period		$	17.00			$	14.28			$	12.92			$	16.80			$	18.03

Total Return^(b)			22.70	%			15.05	%			(20.63	)%			(3.10	)%			27.37	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	68,782			$	115,733			$	215,977			$	427,048			$	485,665
Net expenses to average daily net assets^(c)			0.70	%			0.68	%			0.66	%			0.66	%			0.66	%
Net investment income (loss) to average daily net assets^(a)			2.35	%			2.95	%			2.59	%			2.71	%			3.54	%
Portfolio turnover rate			43	%^(d)			47	%^(d)			79	%			69	%			49	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.34	%			0.23	%			0.14	%			0.12	%			0.10	%

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

^(b)

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

^(d)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 80% and 54%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		109

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. EQUITY ALLOCATION FUND


	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2018				2017				2016				2015				2014				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	15.14			$	13.79			$	16.61			$	17.27			$	14.51			$	15.16			$	13.76			$	16.58			$	17.24			$	14.48

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.27				0.27				0.24				0.28				0.28				0.30				0.25				0.25				0.29				0.29
Net realized and unrealized gain (loss)			1.73				2.89				(1.20	)			1.66				2.77				1.70				2.92				(1.20	)			1.66				2.77

Total from investment operations			2.00				3.16				(0.96	)			1.94				3.05				2.00				3.17				(0.95	)			1.95				3.06

Less distributions to shareholders:
From net investment income			(0.28	)			(0.34	)			(0.26	)			(0.31	)			(0.29	)			(0.29	)			(0.30	)			(0.27	)			(0.32	)			(0.30	)
From net realized gains			(1.45	)			(1.47	)			(1.60	)			(2.29	)			—				(1.45	)			(1.47	)			(1.60	)			(2.29	)			—

Total distributions			(1.73	)			(1.81	)			(1.86	)			(2.60	)			(0.29	)			(1.74	)			(1.77	)			(1.87	)			(2.61	)			(0.30	)

Net asset value, end of period		$	15.41			$	15.14			$	13.79			$	16.61			$	17.27			$	15.42			$	15.16			$	13.76			$	16.58			$	17.24

Total Return^(b)			13.76	%			23.59	%			(6.17	)%			12.18	%			21.11	%			13.74	%			23.69	%			(6.10	)%			12.27	%			21.21	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	77,297			$	109,726			$	194,615			$	286,934			$	488,982			$	36,025			$	16,707			$	513,751			$	431,841			$	288,782
Net expenses to average daily net assets^(c)			0.46	%			0.46	%			0.46	%			0.46	%			0.46	%^(d)			0.41	%			0.41	%			0.41	%			0.41	%			0.41	%^(d)
Net investment income (loss) to average daily net assets^(a)			1.78	%			1.80	%			1.57	%			1.59	%			1.71	%			1.94	%			1.73	%			1.65	%			1.63	%			1.75	%
Portfolio turnover rate			79	%^(e)			66	%^(e)			89	%			67	%			74	%			79	%^(e)			66	%^(e)			89	%			67	%			74	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%


	Class V Shares																Class VI Shares
	Year Ended February 28,				Period from August 9, 2016 through February 28,				Period from March 1, 2014 through July 30,				Period from January 21, 2014 (commencement of operations) through February 28,				Year Ended February 28/29,
	2018				2017				2014^(f)				2014				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	15.09			$	14.95			$	17.24			$	17.17			$	15.06			$	13.73			$	16.54			$	17.21			$	14.47

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.29				0.16				0.12				0.04				0.29				0.27				0.26				0.30				0.30
Net realized and unrealized gain (loss)			1.71				1.50				0.90				0.03				1.71				2.89				(1.19	)			1.65				2.74

Total from investment operations			2.00				1.66				1.02				0.07				2.00				3.16				(0.93	)			1.95				3.04

Less distributions to shareholders:
From net investment income			(0.29	)			(0.19	)			(0.04	)			—				(0.30	)			(0.36	)			(0.28	)			(0.33	)			(0.30	)
From net realized gains			(1.45	)			(1.33	)			(0.43	)			—				(1.45	)			(1.47	)			(1.60	)			(2.29	)			—

Total distributions			(1.74	)			(1.52	)			(0.47	)			—				(1.75	)			(1.83	)			(1.88	)			(2.62	)			(0.30	)

Net asset value, end of period		$	15.35			$	15.09			$	17.79			$	17.24			$	15.31			$	15.06			$	13.73			$	16.54			$	17.21

Total Return^(b)			13.84	%			11.37	%**			5.88	%**			0.39	%**			13.84	%			23.68	%			(6.02	)%			12.28	%			21.14	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	60,386			$	164,652			$	220,333			$	259,581			$	1,200,008			$	1,469,935			$	3,838,628			$	6,031,361			$	7,082,304
Net expenses to average daily net assets^(c)			0.40	%			0.40	%*			0.40	%*			0.40	%*^(d)			0.37	%			0.37	%			0.37	%			0.37	%			0.37	%^(d)
Net investment income (loss) to average daily net assets^(a)			1.88	%			1.93	%*			1.69	%*			1.97	%*			1.88	%			1.87	%			1.68	%			1.70	%			1.85	%
Portfolio turnover rate			79	%^(e)			66	%**^(e)			34	%**^(g)			74	%**			79	%^(e)			66	%^(e)			89	%			67	%			74	%
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets:			0.02	%			0.02	%*			0.02	%*			0.01	%*			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%

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

^(b)

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

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

^(e)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 100% and 91%, respectively, of the average value of its portfolio.

^(f)	The class was inactive from July 31, 2014 to August 8, 2016.

^(g)	Calculation represents portfolio turnover of the fund for the period ended July 30, 2014.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


110		See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

February 28, 2018

1.	Organization

Each of Climate Change Fund (commenced operations on April 5, 2017), Emerging Domestic Opportunities Fund, Emerging Markets Fund, Foreign Small Companies Fund, International Equity Fund, International Large/Mid Cap Equity Fund, Quality Fund, Resources Fund, Risk Premium Fund, Tax-Managed International Equities Fund and U.S. Equity Allocation Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO. The Funds may also invest in other GMO Funds (“underlying funds”). The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.

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



Fund Name	Benchmark	Investment Objective
Climate Change Fund	Not Applicable	High total return
Emerging Domestic Opportunities Fund	Not Applicable	Total Return
Emerging Markets Fund	S&P/IFCI Composite Index	Total return in excess of benchmark
Foreign Small Companies Fund	S&P Developed ex-U.S. Small Cap Index	Total return in excess of benchmark
International Equity Fund	Not Applicable	High total return
International Large/Mid Cap Equity Fund	Not Applicable	High total return
Quality Fund	Not Applicable	Total return
Resources Fund	Not Applicable	Total return
Risk Premium Fund	Not Applicable	Total return
Tax-Managed International Equities Fund	Not Applicable	High after-tax total return
U.S. Equity Allocation Fund	Not Applicable	High total return

International Large/Mid Cap Equity Fund currently limits subscriptions.

2.	Significant accounting policies

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,

111

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the year ended February 28, 2018, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

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 February 28, 2018 is as follows:

112

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Notes to Financial Statements — (Continued)

February 28, 2018

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		—		67%
Emerging Domestic Opportunities Fund		—		65%
Emerging Markets Fund		< 1%		87%
Foreign Small Companies Fund		—		92%
International Equity Fund		0%§		94%
International Large/Mid Cap Equity Fund		0%§		95%
Quality Fund		—		12%
Resources Fund		< 1%		78%
Risk Premium Fund		—		(1)%
Tax-Managed International Equities Fund		0%§		95%
U.S. Equity Allocation Fund		—		—

Represents the interest in securities that were determined to have a value of zero at February 28, 2018.

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 February 28, 2018, direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure are described in the Level 3 securities and derivatives table below.

The three levels are defined as follows:

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

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

The types of assets and liabilities categorized in Level 2 generally include 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.

113

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February 28, 2018

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 February 28, 2018:



Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	319,621	$	—	$	—	$	319,621
Australia		—		578,166		12,229		590,395
Austria		—		73,452		—		73,452
Canada		696,183		—		—		696,183
Chile		—		155,746		—		155,746
China		34,835		1,831,777		—		1,866,612
Denmark		—		1,072,213		—		1,072,213
France		—		2,391,489		—		2,391,489
Germany		—		1,707,357		—		1,707,357
Israel		—		220,826		—		220,826
Italy		—		536,496		—		536,496
Japan		—		2,794,734		—		2,794,734
Kenya		—		48,454		—		48,454
Malaysia		—		33,373		—		33,373
Netherlands		—		664,024		—		664,024
Norway		—		1,527,683		—		1,527,683
Poland		—		689,951		—		689,951
Portugal		—		301,598		—		301,598
Russia		—		962,838		—		962,838
South Africa		—		31,762		—		31,762
South Korea		—		303,336		—		303,336
Spain		—		718,034		—		718,034
Switzerland		—		227,388		—		227,388
Ukraine		—		201,508		—		201,508
United Kingdom		—		769,913		—		769,913
United States		5,798,649		—		—		5,798,649

TOTAL COMMON STOCKS		6,849,288		17,842,118		12,229		24,703,635

Preferred Stocks
Brazil		269,985		—		—		269,985
Chile		983,030		—		—		983,030

TOTAL PREFERRED STOCKS		1,253,015		—		—		1,253,015

Mutual Funds
United States		751,549		—		—		751,549

TOTAL MUTUAL FUNDS		751,549		—		—		751,549

Short-Term Investments		47,925		—		—		47,925

Total Investments		8,901,777		17,842,118		12,229		26,756,124

Total	$	8,901,777	$	17,842,118	$	12,229	$	26,756,124

114

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Notes to Financial Statements — (Continued)

February 28, 2018



Description	Level 1		Level 2			Level 3		Total
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	122,943,748		$	—	$	122,943,748
China		229,960,066		538,582,746			—		768,542,812
Hong Kong		—		79,609,427			—		79,609,427
Hungary		—		21,499,712			—		21,499,712
India		—		209,596,337			27,450,114		237,046,451
Indonesia		—		60,482,156			—		60,482,156
Malaysia		—		13,816,943			—		13,816,943
Peru		21,363,615		—			—		21,363,615
Philippines		—		126,623,945			—		126,623,945
Poland		—		21,949,465			—		21,949,465
Russia		23,581,551		74,160,369			—		97,741,920
South Africa		—		22,854,089			—		22,854,089
Taiwan		—		21,838,133			—		21,838,133
Thailand		—		68,068,388			—		68,068,388
United Kingdom		—		6,925,341			—		6,925,341
Vietnam		—		44,890,180			—		44,890,180

TOTAL COMMON STOCKS		274,905,232		1,433,840,979			27,450,114		1,736,196,325

Preferred Stocks
Brazil		—		73,072,111			—		73,072,111

TOTAL PREFERRED STOCKS		—		73,072,111			—		73,072,111

Investment Funds
Brazil		102,716,580		—			—		102,716,580
Taiwan		80,454,923		—			—		80,454,923
Thailand		—		21,564,148			—		21,564,148
United States		140,088,026		—			—		140,088,026

TOTAL INVESTMENT FUNDS		323,259,529		21,564,148			—		344,823,677

Rights/Warrants
China		—		4,049,338			—		4,049,338

TOTAL RIGHTS/WARRANTS		—		4,049,338			—		4,049,338

Mutual Funds
United States		130,824,583		—			—		130,824,583

TOTAL MUTUAL FUNDS		130,824,583		—			—		130,824,583

Fully Funded Total Return Swaps		—		20,810,307			—		20,810,307

Short-Term Investments		20,168,037		—			—		20,168,037

Total Investments		749,157,381		1,553,336,883			27,450,114		2,329,944,378

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		2,394,566			—		2,394,566
Futures Contracts
Equity Risk		585,358		—			—		585,358

Total	$	749,742,739	$	1,555,731,449		$	27,450,114	$	2,332,924,302


Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(38,794	)	$	—	$	(38,794	)
Futures Contracts
Equity Risk		—		(1,721,609	)		—		(1,721,609	)

Total	$	—	$	(1,760,403	)	$	—	$	(1,760,403	)

115

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Notes to Financial Statements — (Continued)

February 28, 2018



Description	Level 1		Level 2		Level 3		Total
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	115,715,149	$	—	$	115,715,149
Chile		—		3,250,141		—		3,250,141
China		122,405,602		833,468,588		680,939		956,555,129
Czech Republic		—		13,743,065		—		13,743,065
Egypt		—		2,306,248		—		2,306,248
Greece		—		57,424,336		—		57,424,336
Hungary		—		4,471,029		—		4,471,029
India		19,149,312		169,197,727		1,802,252		190,149,291
Indonesia		3,376,189		109,082,955		—		112,459,144
Malaysia		—		8,261,189		—		8,261,189
Mexico		42,612,077		—		—		42,612,077
Pakistan		—		883,038		—		883,038
Peru		34,567,065		—		—		34,567,065
Philippines		—		39,993,916		—		39,993,916
Poland		—		9,250,757		—		9,250,757
Qatar		—		30,340,006		—		30,340,006
Russia		101,134,379		549,973,593		—		651,107,972
South Africa		1,081,375		109,993,717		—		111,075,092
South Korea		4,940,615		502,546,139		—		507,486,754
Sri Lanka		—		788,630		—		788,630
Taiwan		114,650,313		1,014,592,406		—		1,129,242,719
Thailand		—		435,882,719		—		435,882,719
Turkey		—		218,446,234		—		218,446,234
United Arab Emirates		—		15,906,872		—		15,906,872
Vietnam		—		9,202,034		—		9,202,034

TOTAL COMMON STOCKS		443,916,927		4,254,720,488		2,483,191		4,701,120,606

Preferred Stocks
Brazil		—		26,794,512		—		26,794,512
Colombia		9,840,471		—		—		9,840,471
Russia		—		8,658,032		—		8,658,032
South Korea		—		119,292,406		—		119,292,406
Taiwan		—		1,260,778		—		1,260,778

TOTAL PREFERRED STOCKS		9,840,471		156,005,728		—		165,846,199

Investment Funds
India		—		—		98,736		98,736
Russia		—		—		2,704,993		2,704,993
Thailand		—		4,400,661		—		4,400,661
United States		80,246,174		—		—		80,246,174

TOTAL INVESTMENT FUNDS		80,246,174		4,400,661		2,803,729		87,450,564

Rights/Warrants
Thailand		423,736		—		—		423,736

TOTAL RIGHTS/WARRANTS		423,736		—		—		423,736

Mutual Funds
United States		97,620,412		—		—		97,620,412

TOTAL MUTUAL FUNDS		97,620,412		—		—		97,620,412

Short-Term Investments		4,470,406		—		—		4,470,406

Total Investments		636,518,126		4,415,126,877		5,286,920		5,056,931,923

116

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Notes to Financial Statements — (Continued)

February 28, 2018



Description	Level 1		Level 2		Level 3		Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Futures Contracts
Equity Risk	$	17,822,856	$	—	$	—	$	17,822,856
Swap Contracts
Equity Risk		—		435,941		—		435,941

Total	$	654,340,982	$	4,415,562,818	$	5,286,920	$	5,075,190,720


Foreign Small Companies Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	4,653,784	$	—	$	4,653,784
Austria		—		3,723,666		—		3,723,666
Belgium		—		968,293		—		968,293
Canada		6,521,743		—		—		6,521,743
China		—		3,276,631		—		3,276,631
Finland		—		1,858,314		—		1,858,314
France		—		7,731,477		—		7,731,477
Germany		—		11,566,636		—		11,566,636
Hong Kong		—		3,357,586		—		3,357,586
India		—		1,184,630		—		1,184,630
Italy		—		5,821,351		—		5,821,351
Japan		—		37,823,211		—		37,823,211
Malaysia		—		1,780,124		—		1,780,124
Norway		—		2,462,105		—		2,462,105
Poland		—		1,496,240		—		1,496,240
Portugal		—		602,105		—		602,105
Singapore		—		3,333,344		—		3,333,344
South Africa		—		924,887		—		924,887
South Korea		—		10,174,339		—		10,174,339
Spain		—		1,534,710		—		1,534,710
Sweden		—		1,221,420		—		1,221,420
Switzerland		—		8,461,260		—		8,461,260
Taiwan		—		3,419,508		—		3,419,508
United Kingdom		—		16,282,090		—		16,282,090

TOTAL COMMON STOCKS		6,521,743		133,657,711		—		140,179,454

Mutual Funds
United States		1,595,796		—		—		1,595,796

TOTAL MUTUAL FUNDS		1,595,796		—		—		1,595,796

Short-Term Investments		274,792		—		—		274,792

Total Investments		8,392,331		133,657,711		—		142,050,042

Total	$	8,392,331	$	133,657,711	$	—	$	142,050,042

117

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Notes to Financial Statements — (Continued)

February 28, 2018



Description	Level 1			Level 2		Level 3			Total
Foreign Small Companies Fund (continued)
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(32,848	)	$	—	$	—		$	(32,848	)


International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	189,828,477	$	—		$	189,828,477
Austria		—			74,575,357		—			74,575,357
Belgium		—			9,708,207		—			9,708,207
Denmark		14,620,320			2,050,882		—			16,671,202
Finland		—			1,810,314		—			1,810,314
France		50,214,720			571,686,203		—			621,900,923
Germany		—			597,512,854		—			597,512,854
Hong Kong		—			243,392,366		—			243,392,366
Ireland		3,206,673			—		—			3,206,673
Israel		1,513,204			13,435,525		—			14,948,729
Italy		108,431,349			151,322,896		—			259,754,245
Japan		—			1,368,816,399		—			1,368,816,399
Malta		—			—		0	§		0	§
Netherlands		4,224,720			157,915,083		—			162,139,803
New Zealand		—			2,144,335		—			2,144,335
Norway		—			166,469,975		—			166,469,975
Portugal		—			7,569,526		—			7,569,526
Singapore		—			17,037,466		—			17,037,466
Spain		—			71,059,742		—			71,059,742
Sweden		—			173,357,000		—			173,357,000
Switzerland		—			252,050,594		—			252,050,594
United Kingdom		19,329,337			669,372,053		0	§		688,701,390

TOTAL COMMON STOCKS		201,540,323			4,741,115,254		0	§		4,942,655,577

Preferred Stocks
Germany		—			34,042,646		—			34,042,646

TOTAL PREFERRED STOCKS		—			34,042,646		—			34,042,646

Mutual Funds
United States		61,069,100			—		—			61,069,100

TOTAL MUTUAL FUNDS		61,069,100			—		—			61,069,100

Short-Term Investments		4,916,014			—		—			4,916,014

Total Investments		267,525,437			4,775,157,900		0	§		5,042,683,337

Total	$	267,525,437		$	4,775,157,900	$	0	§	$	5,042,683,337


Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(5,376	)	$	—	$	—		$	(5,376	)


International Large/Mid Cap Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	2,622,973	$	—		$	2,622,973
Austria		—			2,141,670		—			2,141,670
Belgium		—			40,439		—			40,439
Denmark		205,920			529,548		—			735,468

118

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Notes to Financial Statements — (Continued)

February 28, 2018



Description	Level 1			Level 2		Level 3			Total
International Large/Mid Cap Equity Fund (continued)
Asset Valuation Inputs (continued)
Finland	$	—		$	1,193,138	$	—		$	1,193,138
France		373,920			9,929,155		—			10,303,075
Germany		—			8,669,941		—			8,669,941
Hong Kong		—			4,493,730		—			4,493,730
Ireland		124,641			—		—			124,641
Israel		17,877			—		—			17,877
Italy		885,742			1,167,882		—			2,053,624
Japan		—			22,265,234		—			22,265,234
Malta		—			—		0	§		0	§
Netherlands		183,050			3,230,348		—			3,413,398
New Zealand		—			149,916		—			149,916
Norway		—			473,451		—			473,451
Portugal		—			4,881		—			4,881
Singapore		—			336,775		—			336,775
Spain		—			1,195,998		—			1,195,998
Sweden		—			2,408,913		—			2,408,913
Switzerland		—			4,028,315		—			4,028,315
United Kingdom		234,106			11,201,508		—			11,435,614

TOTAL COMMON STOCKS		2,025,256			76,083,815		0	§		78,109,071

Preferred Stocks
Germany		—			1,864,110		—			1,864,110

TOTAL PREFERRED STOCKS		—			1,864,110		—			1,864,110

Mutual Funds
United States		1,181,128			—		—			1,181,128

TOTAL MUTUAL FUNDS		1,181,128			—		—			1,181,128

Short-Term Investments		348,184			—		—			348,184

Total Investments		3,554,568			77,947,925		0	§		81,502,493

Total	$	3,554,568		$	77,947,925	$	0	§	$	81,502,493


Liability Valuation Inputs
Derivatives^
Futures Contracts Equity Risk	$	(24,404	)	$	—	$	—		$	(24,404	)


Quality Fund
Asset Valuation Inputs
Common Stocks
France	$	—		$	69,278,362	$	—		$	69,278,362
Germany		—			64,670,585		—			64,670,585
Switzerland		—			190,333,035		—			190,333,035
Taiwan		—			171,889,194		—			171,889,194
United Kingdom		—			451,815,382		—			451,815,382
United States		7,047,128,754			—		—			7,047,128,754

TOTAL COMMON STOCKS		7,047,128,754			947,986,558		—			7,995,115,312

Mutual Funds
United States		51,092,040			—		—			51,092,040

TOTAL MUTUAL FUNDS		51,092,040			—		—			51,092,040

Short-Term Investments		148,578,011			—		—			148,578,011

Total Investments		7,246,798,805			947,986,558		—			8,194,785,363

Total	$	7,246,798,805		$	947,986,558	$	—		$	8,194,785,363

119

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Notes to Financial Statements — (Continued)

February 28, 2018



Description	Level 1		Level 2		Level 3		Total
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	2,830,951	$	—	$	—	$	2,830,951
Australia		—		7,495,132		—		7,495,132
Austria		—		2,605,586		—		2,605,586
Brazil		—		2,212,282		—		2,212,282
Canada		4,565,689		—		—		4,565,689
China		—		8,772,390		—		8,772,390
Colombia		2,219,235		—		—		2,219,235
Denmark		—		8,713,430		—		8,713,430
Finland		—		553,189		—		553,189
France		—		13,208,665		—		13,208,665
Germany		—		4,407,009		—		4,407,009
Hungary		—		2,240,381		—		2,240,381
India		—		1,745,174		—		1,745,174
Israel		—		6,178,100		—		6,178,100
Italy		—		1,095,869		—		1,095,869
Japan		—		18,307,301		—		18,307,301
Netherlands		—		317,887		—		317,887
Norway		—		23,265,969		—		23,265,969
Poland		—		6,919,929		—		6,919,929
Qatar		—		366,488		—		366,488
Russia		—		34,931,255		—		34,931,255
Singapore		—		—		197,420		197,420
South Africa		—		6,151,212		—		6,151,212
South Korea		—		2,083,982		—		2,083,982
Spain		—		4,658,591		—		4,658,591
Sweden		—		2,081,992		—		2,081,992
Thailand		—		8,284,849		—		8,284,849
Turkey		—		517,491		—		517,491
Ukraine		—		2,711,578		—		2,711,578
United Kingdom		—		76,084,990		—		76,084,990
United States		49,742,313		—		—		49,742,313

TOTAL COMMON STOCKS		59,358,188		245,910,721		197,420		305,466,329

Preferred Stocks
Brazil		—		18,934,562		—		18,934,562
Chile		10,797,262		—		—		10,797,262
Russia		—		7,035,095		—		7,035,095

TOTAL PREFERRED STOCKS		10,797,262		25,969,657		—		36,766,919

Mutual Funds
United States		6,504,509		—		—		6,504,509

TOTAL MUTUAL FUNDS		6,504,509		—		—		6,504,509

Short-Term Investments		952,465		—		—		952,465

Total Investments		77,612,424		271,880,378		197,420		349,690,222

Total	$	77,612,424	$	271,880,378	$	197,420	$	349,690,222

120

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018



Description	Level 1		Level 2			Level 3			Total
Risk Premium Fund
Asset Valuation Inputs
Debt Obligations
United States	$	74,786,701	$	—		$	—		$	74,786,701

TOTAL DEBT OBLIGATIONS		74,786,701		—			—			74,786,701

Short-Term Investments		68,931,238		—			—			68,931,238

Total Investments		143,717,939		—			—			143,717,939

Total	$	143,717,939	$	—		$	—		$	143,717,939


Liability Valuation Inputs
Derivatives^
Written Options
Equity Risk	$	—	$	(1,137,772	)	$	—		$	(1,137,772	)


Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	2,326,770		$	—		$	2,326,770
Austria		—		1,257,001			—			1,257,001
Belgium		—		148,293			—			148,293
Brazil		6,384		240,020			—			246,404
China		6,723		2,014,510			—			2,021,233
Colombia		47,277		—			—			47,277
Finland		—		447,611			—			447,611
France		396,720		7,473,177			—			7,869,897
Germany		—		7,040,457			—			7,040,457
Greece		—		6,570			—			6,570
Hong Kong		—		2,530,080			—			2,530,080
Hungary		—		106,624			—			106,624
India		—		583,672			—			583,672
Ireland		—		215,372			—			215,372
Israel		16,184		—			—			16,184
Italy		1,152,736		2,318,013			—			3,470,749
Japan		—		16,792,766			—			16,792,766
Malta		—		—			0	§		0	§
Mexico		195,426		—			—			195,426
Netherlands		—		1,411,437			—			1,411,437
New Zealand		—		64,159			—			64,159
Norway		—		1,040,672			—			1,040,672
Poland		—		35,338			—			35,338
Portugal		—		28,209			—			28,209
Russia		—		63,051			—			63,051
Singapore		—		616,802			—			616,802
South Africa		—		662,478			—			662,478
South Korea		9,740		836,012			—			845,752
Spain		—		375,399			—			375,399
Sweden		—		2,561,153			—			2,561,153
Switzerland		—		3,062,186			—			3,062,186
Taiwan		39,015		512,271			—			551,286
Thailand		—		280,100			—			280,100
Turkey		—		289,356			—			289,356
United Kingdom		78,416		8,588,439			—			8,666,855

TOTAL COMMON STOCKS		1,948,621		63,927,998			0	§		65,876,619

121

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018



Description	Level 1			Level 2		Level 3		Total
Tax-Managed International Equities Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil	$	—		$	443,320	$	—	$	443,320
Germany		—			845,473		—		845,473
South Korea		—			268,977		—		268,977

TOTAL PREFERRED STOCKS		—			1,557,770		—		1,557,770

Rights/Warrants
Brazil		—			—		1,369		1,369
Thailand		1,010			—		—		1,010

TOTAL RIGHTS/WARRANTS		1,010			—		1,369		2,379

Mutual Funds
United States		1,066,810			—		—		1,066,810

TOTAL MUTUAL FUNDS		1,066,810			—		—		1,066,810

Short-Term Investments		83,395			—		—		83,395

Total Investments		3,099,836			65,485,768		1,369		68,586,973

Total	$	3,099,836		$	65,485,768	$	1,369	$	68,586,973


Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(46,749	)	$	—	$	—	$	(46,749	)


U.S. Equity Allocation Fund
Asset Valuation Inputs
Common Stocks	$	1,361,150,817		$	—	$	—	$	1,361,150,817
Mutual Funds		7,460,010			—		—		7,460,010
Short-Term Investments		1,193,552			—		—		1,193,552

Total Investments		1,369,804,379			—		—		1,369,804,379

Derivatives^
Futures Contracts Equity Risk		74,241			—		—		74,241

Total	$	1,369,878,620		$	—	$	—	$	1,369,878,620

The tables above are based on market values or unrealized appreciation/(depreciation), in the case of forward currency contracts, 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 fully funded total return swaps and rights/warrants, if any, which are included in investments.

Represents the interest in securities that were determined to have a value of zero at February 28, 2018.

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

For all Funds for the year ended February 28, 2018, there were no significant transfers between Level 1 and Level 2.

122

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

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 February 28, 2018			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 28, 2018
Climate Change Fund
Common Stocks
Australia	$	—	$	46,107	$	—		$	—	$	—		$	(33,878	)	$	—	$	—	$	12,229		$	(33,878	)

Total	$	—	$	46,107	$	—		$	—	$	—		$	(33,878	)	$	—	$	—	$	12,229		$	(33,878	)


Emerging Domestic Opportunities Fund
Common Stocks
India	$	—	$	16,858,097	$	—		$	—	$	—		$	10,592,017		$	—	$	—	$	27,450,114		$	10,592,017

Total	$	—	$	16,858,097	$	—		$	—	$	—		$	10,592,017		$	—	$	—	$	27,450,114		$	10,592,017


Emerging Markets Fund
Common Stocks
China	$	686,465	$	—	$	—		$	—	$	—		$	(5,526	)	$	—	$	—	$	680,939		$	(5,526	)
India		—		1,924,051		—			—		—			(121,799	)		—		—		1,802,252			(121,799	)

Total Common Stocks	$	686,465	$	1,924,051	$	—		$	—	$	—		$	(127,325	)	$	—	$	—	$	2,483,191		$	(127,325	)


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	)		—		—			641,615			—		—		2,704,993			641,615

Total Investment Funds	$	7,926,094	$	—	$	(3,219,401	)	$	—	$	(6,989,828	)	$	5,086,864		$	—	$	—	$	2,803,729		$	626,330


Rights/Warrants
India	$	23,428	$	—	$	0		$	—	$	—		$	(23,428	)	$	—	$	—	$	—		$	—

Total	$	8,635,987	$	1,924,051	$	(3,219,401	)	$	—	$	(6,989,828	)	$	4,936,111		$	—	$	—	$	5,286,920		$	499,005


International Equity Fund
Common Stocks
Malta	$	248,929	$	—	$	—		$	—	$	—		$	(248,929	)	$	—	$	—	$	0	§	$	(248,929	)

Total	$	248,929	$	—	$	—		$	—	$	—		$	(248,929	)	$	—	$	—	$	0	§	$	(248,929	)


International Large/Mid Cap Equity Fund
Common Stocks
Malta	$	249,150	$	—	$	—		$	—	$	—		$	(249,150	)	$	—	$	—	$	0	§	$	(249,150	)

Total	$	249,150	$	—	$	—		$	—	$	—		$	(249,150	)	$	—	$	—	$	0	§	$	(249,150	)

123

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018



	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 February 28, 2018			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 28, 2018
Resources Fund
Common Stocks
Singapore	$	—	$	—	$	—	$	—	$	—	$	—		$	197,420	‡	$	—	$	197,420		$	—

Total	$	—	$	—	$	—	$	—	$	—	$	—		$	197,420		$	—	$	197,420		$	—


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	$	0	$	—	$	—	$	379		$	—		$	—	$	1,369		$	1,369

Total	$	27,746	$	0	$	0	$	—	$	—	$	(26,377	)	$	—		$	—	$	1,369		$	(25,387	)

†

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

‡

Financial assets transferred between levels 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 February 28, 2018.



Fund Name	Level 3 securities and derivatives
Climate Change Fund		< 1%
Emerging Domestic Opportunities Fund		1%	*
Emerging Markets Fund		< 1%
Foreign Small Companies Fund		—
International Equity Fund		0%	§
International Large/Mid Cap Equity Fund		0%	§
Quality Fund		—
Resources Fund		< 1%
Risk Premium Fund		—
Tax-Managed International Equities Fund		< 1%
U.S. Equity Allocation Fund		—

Includes Dixon Technologies India Ltd, which represents 0.75% of the Fund’s total net assets and is valued using the exchange last traded price and is restricted from sale until September 18, 2018.

Represents the interest in securities that were determined to have a value of zero at February 28, 2018.

Cash

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

124

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

Due to/from broker

Foreign currency translation

Taxes and distributions

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

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

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

125

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

U.S. GAAP and tax accounting differences for each Fund primarily relate to reasons described in the following table:

Differences related to:

Climate Change Fund

Emerging Domestic Opportunities Fund

Emerging Markets Fund

Foreign Small Companies Fund

International Equity Fund

International Large/Mid Cap Equity Fund

Quality Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities Fund

U.S. Equity Allocation Fund

Capital loss carry forwards

Derivative contract transactions

Dividend income and withholding tax reclaim reserves

Dividends received from underlying investments

Foreign currency transactions

Late-year ordinary losses

Losses on wash sale transactions

Passive foreign investment company transactions

Post-October capital losses

Redemption in-kind transactions

Foreign capital gains taxes

Partnership interest tax allocations

The tax character of distributions declared by each Fund to shareholders is as follows:



	Tax year ended February 28, 2018						Tax year ended February 28, 2017

Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Net Long- Term Capital Gain ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long- Term Capital Gain ($)		Total Distributions ($)
Climate Change Fund		667,145		—		667,145		N/A		N/A		N/A
Emerging Domestic Opportunities Fund		31,510,027		—		31,510,027		60,110,737		—		60,110,737
Emerging Markets Fund		136,413,021		—		136,413,021		109,038,222		—		109,038,222
Foreign Small Companies Fund		34,869,346		25,090,273		59,959,619		23,646,521		—		23,646,521
International Equity Fund		173,426,570		—		173,426,570		262,473,509		—		262,473,509
International Large/Mid Cap Equity Fund		7,566,372		7,100,022		14,666,394		40,719,674		—		40,719,674
Quality Fund		212,456,599		436,963,160		649,419,759		148,413,572		154,921,160		303,334,732
Resources Fund		10,936,883		—		10,936,883		6,026,707		—		6,026,707
Risk Premium Fund		10,150,823		14,577,950		24,728,773		5,207,663		8,050,339		13,258,002
Tax-Managed International Equities Fund		3,315,762		—		3,315,762		5,479,378		—		5,479,378
U.S. Equity Allocation Fund		36,913,913		136,022,591		172,936,504		63,029,610		198,946,416		261,976,026

126

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

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

As of February 28, 2018, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:



Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Undistributed Net Long-Term Capital Gain ($)		Late-Year Ordinary Loss Deferral ($)		Capital Loss Carryforwards ($)		Post-October Capital Losses ($)
Climate Change Fund		646,791		—		—		—		—
Emerging Domestic Opportunities Fund		62,597,656		139,865,479		(2,255,504)		—		—
Emerging Markets Fund		—		—		(3,555,452)		(1,449,497,339)		—
Foreign Small Companies Fund		414,255		3,046,036		—		—		—
International Equity Fund		11,839,498		—		—		(1,117,881,400)		—
International Large/Mid Cap Equity Fund		361,726		666,973		—		—		—
Quality Fund		17,458,443		261,615,527		—		—		—
Resources Fund		5,068,629		—		—		(45,339,799)		(74,843)
Risk Premium Fund		219,156		—		—		—		(3,798,674)
Tax-Managed International Equities Fund		73,503		1,772,364		—		(15,390,229)		—
U.S. Equity Allocation Fund		2,966,523		80,406,113		—		—		—

As of February 28, 2018, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2018, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:



	Short-Term ($)		Long-Term ($)

Fund Name	No Expiration Date		No Expiration Date
Climate Change Fund		—		—
Emerging Domestic Opportunities Fund		—		—
Emerging Markets Fund		(128,012,850)		(1,321,484,489)
Foreign Small Companies Fund		—		—
International Equity Fund		(692,086,892)		(425,794,508)
International Large/Mid Cap Equity Fund		—		—
Quality Fund		—		—
Resources Fund		(20,440,224)		(24,899,575)
Risk Premium Fund		—		—
Tax-Managed International Equities Fund		(15,390,229)		—
U.S. Equity Allocation Fund		—		—

127

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018


	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		25,292,569		2,483,881		(1,020,326)		1,463,555		—
Emerging Domestic Opportunities Fund		2,049,176,513		325,959,168		(45,191,303)		280,767,865		625,954
Emerging Markets Fund		4,350,334,178		822,983,483		(116,385,738)		706,597,745		435,941
Foreign Small Companies Fund		130,659,466		15,362,989		(3,972,413)		11,390,576		—
International Equity Fund		4,321,142,630		857,748,335		(136,207,628)		721,540,707		—
International Large/Mid Cap Equity Fund		69,831,651		13,047,116		(1,376,274)		11,670,842		—
Quality Fund		5,578,827,925		2,668,041,774		(52,084,336)		2,615,957,438		—
Resources Fund		273,120,372		84,087,781		(7,517,931)		76,569,850		—
Risk Premium Fund		143,887,985		16,206		(186,252)		(170,046)		73,550
Tax-Managed International Equities Fund		44,934,972		24,060,763		(408,762)		23,652,001		—
U.S. Equity Allocation Fund		1,213,359,871		182,751,490		(26,306,982)		156,444,508		—

Security transactions and related investment income

128

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

Expenses and class allocations

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian and fund accounting agent except for Emerging Markets Fund’s holdings in Indian assets, for which Brown Brothers Harriman & Co. (“BBH”) serves as custodian. Prior to November 3, 2017, BBH served as the Funds’ custodian and fund accounting agent except for Climate Change Fund, Quality Fund, U.S. Equity Allocation Fund and Risk Premium Fund. State Street serves as the transfer agent for all Funds. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations. Any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

129

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

As of February 28, 2018, the premium on cash purchases and the fee on cash redemptions were as follows:



	Climate Change Fund	Emerging Domestic Opportunities Fund	Emerging Markets Fund	Foreign Small Companies Fund	International Equity Fund	International Large/Mid Cap Equity Fund	Quality Fund	Resources Fund	Risk Premium Fund	Tax-Managed International Equities Fund	U.S. Equity Allocation Fund
Purchase Premium	—	0.80%	0.80%	0.50%	—	—	—	0.30%	0.15%	—	—
Redemption Fee	—	0.80%	0.80%	0.50%	—	—	—	0.30%	0.15%	—	—

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 February 28, 2018 and is included within miscellaneous payable within the Statements of Assets and Liabilities. 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.

3.	Investment and other risks

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

Climate Change Fund

Emerging Domestic Opportunities Fund

Emerging Markets Fund

Foreign Small Companies Fund

International Equity Fund

International Large/Mid Cap Equity Fund

Quality Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities Fund

U.S. Equity Allocation Fund

Commodities Risk

Counterparty Risk

Credit Risk

Currency Risk

Derivatives and Short Sales Risk

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Climate Change Fund

Emerging Domestic Opportunities Fund

Emerging Markets Fund

Foreign Small Companies Fund

International Equity Fund

International Large/Mid Cap Equity Fund

Quality Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities Fund

U.S. Equity Allocation Fund

Focused Investment Risk

Fund of Funds Risk

Illiquidity Risk

Large Shareholder Risk

Leveraging Risk

Management and Operational Risk

Market Disruption and Geopolitical Risk

Market Risk – Equities

Market Risk – Fixed Income

Merger Arbitrage Risk

Non-Diversified Funds

Non-U.S. Investment Risk

Small Company Risk

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

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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.

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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.

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Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk.

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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.

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February 28, 2018

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.

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February 28, 2018

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.

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February 28, 2018

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.

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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.

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.

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.

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• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and 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.

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February 28, 2018

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.

• 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:

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.

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February 28, 2018

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

• 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.

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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

For information on possible special Singapore tax consequences of an investment in the Funds, see the Funds’ Prospectus and Statement of Additional Information.

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February 28, 2018

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.

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.

4.	Derivative financial instruments

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February 28, 2018

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.

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February 28, 2018

For Funds that held derivatives during the year ended February 28, 2018, 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

Resources
Fund

Risk

Premium

Fund

Tax-Managed

International

Equities
Fund

U.S.
Equity

Allocation

Fund

Forward currency contracts

Adjust exposure to foreign currencies

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

Futures contracts

Adjust exposure to certain securities markets

Maintain the diversity and liquidity of the portfolio

Options (Written)

Substitute for direct equity investment

Swap contracts

Substitute for direct equity investment

Achieve returns comparable to holding and lending a direct equity position

Rights and/or warrants

Received as a result of corporate actions

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.

Futures contracts

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February 28, 2018

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

Options

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

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February 28, 2018

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

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February 28, 2018

Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2018 and the Statements of Operations for the year ended February 28, 2018^:



	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Emerging Domestic Opportunities Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	4,049,338		$	—		$	—	$	—	$	4,049,338
Investments, at value (fully funded total return swaps)¤		—		20,810,307			—			—		—		20,810,307
Unrealized Appreciation on Forward Currency Contracts		—		—			2,394,566			—		—		2,394,566
Unrealized Appreciation on Futures Contracts¤		—		585,358			—			—		—		585,358

Total	$	—	$	25,445,003		$	2,394,566		$	—	$	—	$	27,839,569

Derivatives not subject to Master Agreements	$	—	$	4,049,338		$	—		$	—	$	—	$	4,049,338

Total subject to Master Agreements	$	—	$	21,395,665		$	2,394,566		$	—	$	—	$	23,790,231

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(38,794	)	$	—	$	—	$	(38,794	)
Unrealized Depreciation on Futures Contracts¤		—		(1,721,609	)		—			—		—		(1,721,609	)

Total	$		$	(1,721,609	)	$	(38,794	)	$		$		$	(1,760,403	)

Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—

Total subject to Master Agreements	$	—	$	(1,721,609	)	$	(38,794	)	$	—	$	—	$	(1,760,403	)

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	4,029,148		$	—		$	—	$	—	$	4,029,148
Forward Currency Contracts		—		—			(1,400,179	)		—		—		(1,400,179	)
Futures Contracts		—		17,257,928			—			—		—		17,257,928
Swap Contracts		—		14,964,975			—			—		—		14,964,975

Total	$	—	$	36,252,051		$	(1,400,179	)	$	—	$	—	$	34,851,872

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February 28, 2018



	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Emerging Domestic Opportunities Fund (continued)
Change in Net Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	709,036		$	—	$	—	$	—	$	709,036
Investments (fully funded total return swaps)¤		—		6,222,642			—		—		—		6,222,642
Forward Currency Contracts		—		—			1,866,853		—		—		1,866,853
Futures Contracts		—		(6,704,219	)		—		—		—		(6,704,219	)
Swap Contracts		—		(740,882	)		—		—		—		(740,882	)

Total	$	—	$	(513,423	)	$	1,866,853	$	—	$	—	$	1,353,430


Emerging Markets Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	423,736		$	—	$	—	$	—	$	423,736
Unrealized Appreciation on Futures Contracts¤		—		17,822,856			—		—		—		17,822,856
Swap Contracts, at value¤		—		435,941			—		—		—		435,941

Total	$	—	$	18,682,533		$	—	$	—	$	—	$	18,682,533

Derivatives not subject to Master Agreements	$	—	$	423,736		$	—	$	—	$	—	$	423,736

Total subject to Master Agreements	$	—	$	18,258,797		$	—	$	—	$	—	$	18,258,797

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	73,491		$	—	$	—	$	—	$	73,491
Futures Contracts		—		31,278,684			—		—		—		31,278,684
Swap Contracts		—		2,819,214			—		—		—		2,819,214

Total	$	—	$	34,171,389		$	—	$	—	$	—	$	34,171,389

Change in Net Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	290,562		$	—	$	—	$	—	$	290,562
Investments (fully funded total return swaps)		—		(20,418	)		—		—		—		(20,418	)
Futures Contracts		—		17,956,362			—		—		—		17,956,362
Swap Contracts		—		(599,390	)		—		—		—		(599,390	)

Total	$	—	$	17,627,116		$	—	$	—	$	—	$	17,627,116


Foreign Small Companies Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—	$	(32,848	)	$	—	$	—	$	—	$	(32,848	)

Total	$	—	$	(32,848	)	$	—	$	—	$	—	$	(32,848	)

Derivatives not subject to Master Agreements	$		$	—		$		$		$		$	—

Total subject to Master Agreements	$	—	$	(32,848	)	$	—	$	—	$	—	$	(32,848	)

Net Realized Gain (Loss) on
Futures Contracts	$	—	$	648,798		$	—	$	—	$	—	$	648,798

Total	$	—	$	648,798		$	—	$	—	$	—	$	648,798

Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—	$	302,043		$	—	$	—	$	—	$	302,043

Futures Contracts	$	—	$	(32,848	)	$	—	$	—	$	—	$	(32,848	)

Total	$	—	$	(269,195	)	$	—	$	—	$	—	$	(269,195	)


International Equity Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—	$	(5,376	)	$	—	$	—	$	—	$	(5,376	)

Total	$	—	$	(5,376	)	$	—	$	—	$	—	$	(5,376	)

Derivatives not subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—

Total subject to Master Agreements	$	—	$	(5,376	)	$	—	$	—	$	—	$	(5,376	)

150

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Notes to Financial Statements — (Continued)

February 28, 2018



	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
International Equity Fund (continued)
Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	138,588		$	—	$	—	$	—	$	138,588
Futures Contracts	$	—	$	5,402,203		$	—	$	—	$	—	$	5,402,203

Total	$	—	$	5,540,791		$	—	$	—	$	—	$	5,540,791

Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	(5,376	)	$	—	$	—	$	—	$	(5,376	)

Total	$	—	$	(5,376	)	$	—	$	—	$	—	$	(5,376	)


International Large/Mid Cap Equity Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—	$	(24,404	)	$	—	$	—	$	—	$	(24,404	)

Total	$	—	$	(24,404	)	$	—	$	—	$	—	$	(24,404	)

Derivatives not subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—

Total subject to Master Agreements	$	—	$	(24,404	)	$	—	$	—	$	—	$	(24,404	)

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	0		$	—	$	—	$	—	$	0
Futures Contracts		—		172,648			—		—		—		172,648

Total	$	—	$	172,648		$	—	$	—	$	—	$	172,648

Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	(42,734	)	$	—	$	—	$	—	$	(42,734	)

Total	$	—	$	(42,734	)	$	—	$	—	$	—	$	(42,734	)


Resources Fund
Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	(2,480	)	$	—	$	—	$	—	$	(2,480	)

Total	$	—	$	(2,480	)	$	—	$	—	$	—	$	(2,480	)


Risk Premium Fund
Liability Derivatives
Written Options, at value	$	—	$	(1,137,772	)	$	—	$	—	$	—	$	(1,137,772	)

Total	$	—	$	(1,137,772	)	$	—	$	—	$	—	$	(1,137,772	)

Derivatives not subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—

Total subject to Master Agreements	$	—	$	(1,137,772	)	$	—	$	—	$	—	$	(1,137,772	)

Net Realized Gain (Loss) on
Written Options	$	—	$	9,169,404		$	—	$	—	$	—	$	9,169,404

Total	$	—	$	9,169,404		$	—	$	—	$	—	$	9,169,404

Change in Net Appreciation (Depreciation) on
Written Options	$	—	$	(273,901	)	$	—	$	—	$	—	$	(273,901	)

Total	$	—	$	(273,901	)	$	—	$	—	$	—	$	(273,901	)

151

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Notes to Financial Statements — (Continued)

February 28, 2018



	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Tax-Managed International Equities Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	2,379		$	—	$	—	$	—	$	2,379

Total	$	—	$	2,379		$		$		$		$	2,379

Derivatives not subject to Master Agreements	$	—	$	2,379		$	—	$	—	$	—	$	2,379

Total subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—

Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—	$	(46,749	)	$	—	$	—	$	—	$	(46,749	)

Total	$	—	$	(46,749	)	$	—	$	—	$	—	$	(46,749	)

Derivatives not subject to Master Agreements	$		$	—		$		$		$		$	—

Total subject to Master Agreements	$	—	$	(46,749	)	$	—	$	—	$	—	$	(46,749	)

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	29,540		$	—	$	—	$	—	$	29,540
Futures Contracts		—		99,587			—		—		—		99,587

Total	$	—	$	129,127		$	—	$	—	$	—	$	129,127

Change in Net Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	1,389		$	—	$	—	$	—	$	1,389
Futures Contracts		—		(45,489	)		—		—		—		(45,489	)

Total	$	—	$	(44,100	)	$	—	$	—	$	—	$	(44,100	)


U.S. Equity Allocation Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	—	$	74,241		$	—	$	—	$	—	$	74,241

Total	$	—	$	74,241		$	—	$	—	$	—	$	74,241

Derivatives not subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—

Total subject to Master Agreements	$	—	$	74,241		$	—	$	—	$	—	$	74,241

Net Realized Gain (Loss) on
Futures Contracts	$	—	$	2,120,298		$	—	$	—	$	—	$	2,120,298

Total	$	—	$	2,120,298		$	—	$	—	$	—	$	2,120,298

Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	74,241		$	—	$	—	$	—	$	74,241

Total	$	—	$	74,241		$	—	$	—	$	—	$	74,241

152

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the set-off and netting provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect an early termination of all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be paid by a Fund (or may be received by a Fund) in such an event is represented by the Net Amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.

Emerging Domestic Opportunities Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Goldman Sachs International	$	20,810,307	$	(620,000	)	$	—		$	20,190,307
Morgan Stanley & Co. International PLC		2,394,566		(2,355,772	)		(38,794	)		—	*

Total	$	23,204,873	$	(2,975,772	)	$	(38,794	)	$	20,190,307



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Morgan Stanley & Co. International PLC	$	38,794	$	—		$	38,794		$	—

Total	$	38,749	$	—		$	38,794		$	—

Emerging Markets Fund




Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Assets
Morgan Stanley & Co. International PLC	$	435,941	$	(435,941	)	$	—	$	—	*

Total	$	435,941	$	(435,941	)	$	—	$	—

153

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Notes to Financial Statements — (Continued)

February 28, 2018

Risk Premium Fund



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Goldman Sachs & Co	$	338,564	$	(338,564	)	$	—	$	—	*
Morgan Stanley & Co. LLC		799,208		(799,208	)		—		—	*

Total	$	1,137,772	$	(1,137,772	)	$	—	$	—

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

The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts), market values (rights and/ or warrants) and number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the year ended February 28, 2018:



Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)			Options (Contracts)		Rights and/or Warrants ($)
Climate Change Fund		—		—		—			—		422	*
Emerging Domestic Opportunities Fund		95,599,635		319,628,972		39,456,818	**		—		8,404,874
Emerging Markets Fund		—		244,117,917		26,774,052	**		—		214,569
Foreign Small Companies Fund		2,685,485		963,616		—			—		—
International Equity Fund		—		16,645,393		—			—		484,888
International Large/Mid Cap Equity Fund		—		888,241		—			—		8,880
Resources Fund		—		—		—			—		7,532
Risk Premium Fund		—		—		—			2,366		—
Tax-Managed International Equities Fund		—		902,842		—			—		3,735
U.S. Equity Allocation Fund		—		4,171,309		—			—		—

During the period ended February 28, 2018, the Fund did not hold this investment type at any month-end; therefore, the average amount outstanding was calculated using daily outstanding absolute values.

Includes fully funded total return swap average derivative activity for the year ended February 28, 2018.

5.	Fees and other transactions with affiliates

Climate
Change
Fund

Emerging
Domestic
Opportunities
Fund

Emerging
Markets
Fund

Foreign
Small
Companies
Fund

International
Equity Fund

International
Large/Mid
Cap Equity
Fund

Quality
Fund

Resources
Fund

Risk
Premium
Fund

Tax-Managed
International
Equities
Fund

U.S.
Equity
Allocation
Fund

Management Fee

0.60%^(a)

0.75%

0.75%^(b)

0.60%^(c)

0.50%

0.38%

0.33%

0.50%

0.45%

0.50%

0.31%

^(a)

GMO has contractually agreed to reduce its annual management fee by 0.15% through December 31, 2018.

^(b)

GMO has contractually agreed to reduce, through at least June 30, 2018, its annual management fee to an annual rate of 0.65% of the Fund’s average daily net asset value.

^(c)

Prior to June 30, 2017, the management fee was 0.70%. For the period from May 1, 2017 through July 31, 2017, GMO waived its management fee.

154

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Notes to Financial Statements — (Continued)

February 28, 2018

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



Fund Name	Class II		Class III		Class IV		Class V			Class VI
Climate Change Fund				0.15%		0.10%*		0.085%	*		0.055%	*
Emerging Domestic Opportunities Fund		0.22%		0.15%		0.105%		0.085%			0.055%	*
Emerging Markets Fund		0.22%		0.15%		0.105%		0.085%			0.055%
Foreign Small Companies Fund^(a)				0.15%		0.10%
International Equity Fund		0.22%		0.15%		0.09%
International Large/Mid Cap Equity Fund				0.15%		0.09%					0.055%	*
Quality Fund				0.15%		0.105%		0.085%			0.055%
Resources Fund				0.15%		0.10%		0.085%	*		0.055%	*
Risk Premium Fund				0.15%		0.10%*		0.085%	*		0.055%
Tax-Managed International Equities Fund				0.15%
U.S. Equity Allocation Fund				0.15%		0.10%		0.085%			0.055%

Class is offered but has no shareholders as of February 28, 2018.

^(a)

For the period from May 1, 2017 through July 31, 2017, GMO waived its shareholder service fees.

For each Fund, other than Climate Change Fund and Resources Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). For Climate Change Fund and Resources Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.10% of the Fund’s average daily net assets (“Expense Threshold Amount”). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO.

Subject to the exclusions noted below, “Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses. In the case of Emerging Markets Fund, “Specified Operating Expenses” does not include custody expenses, and in the case of Emerging Domestic Opportunities Fund, “Specified Operating Expenses” only includes custody expenses to the extent that they exceed 0.10% of the Fund’s average daily net assets.

For Climate Change Fund and Resources Fund, GMO is permitted to recover from the Fund, on a class-by-class basis, as applicable, the “Specified Operating Expenses” GMO has borne or reimbursed (whether through reduction of its fees or otherwise) to the extent that the Fund(s)’ “Specified Operating Expense(s)” later fall below the Expense Threshold Amount or the lower expense limit in effect when GMO seeks to recover the expenses. A Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. The amount GMO is entitled to recover may not cause a Fund to exceed the Expense Threshold Amount or the lower expense limit in effect when GMO seeks recovery.

For the year ended February 28, 2018, GMO recouped the following previously recorded waivers and/or reimbursements.



	Recoupment Amount ($)
Resources Fund		14,512

155

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Notes to Financial Statements — (Continued)

February 28, 2018

On February 28, 2018, the reimbursements and/or waivers subject to possible future recoupment are as follows:



	Expiring year ending February 28, 2019		Expiring year ending February 29, 2020		Expiring year ending February 28, 2021
Climate Change Fund, Class III		—		—		$60,800
Resources Fund, Class III		—		—		$ 5,581
Resources Fund, Class IV		—		—		$62,830

In addition, for Emerging Markets Fund only, GMO has contractually agreed to waive the shareholder service fees charged to holders of each class of shares of the Fund to the extent necessary to prevent the shareholder service fees borne by each class of shares of the Fund from exceeding the percentage of the class’s average daily net assets as follows: 0.20% for Class II shares, 0.15% for Class III shares, 0.10% of Class IV shares, 0.05% for Class V shares, and 0.02% for Class VI shares.



Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Climate Change Fund		828		2
Emerging Domestic Opportunities Fund		51,266		4,408
Emerging Markets Fund		114,094		10,118
Foreign Small Companies Fund		11,080		1,153
International Equity Fund		126,574		11,238
International Large/Mid Cap Equity Fund		1,623		255
Quality Fund		195,855		16,652
Resources Fund		5,587		403
Risk Premium Fund		3,530		365
Tax-Managed International Equities Fund		2,564		255
U.S. Equity Allocation Fund		36,718		3,104

156

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Notes to Financial Statements — (Continued)

February 28, 2018



Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Indirect Interest Expense		Total Indirect Expenses
Climate Change Fund		< 0.001%		0.000%		0.000%		< 0.001%
Emerging Domestic Opportunities Fund		< 0.001%		0.000%		0.000%		< 0.001%
Emerging Markets Fund		< 0.001%		0.000%		0.000%		< 0.001%
Foreign Small Companies Fund		< 0.001%		0.000%		0.000%		< 0.001%
International Equity Fund		< 0.001%		0.000%		0.000%		< 0.001%
International Large/Mid Cap Equity Fund		< 0.001%		0.000%		0.000%		< 0.001%
Quality Fund		< 0.001%		0.000%		0.000%		< 0.001%
Resources Fund		< 0.001%		0.000%		0.000%		< 0.001%
Risk Premium Fund		0.000%		0.000%		0.000%		0.000%
Tax-Managed International Equities Fund		< 0.001%		0.000%		0.000%		< 0.001%
U.S. Equity Allocation Fund		< 0.001%		0.000%		0.000%		< 0.001%

6.	Purchases and sales of securities



	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)

Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Climate Change Fund		—		52,982,094		—		28,895,533
Emerging Domestic Opportunities Fund		—		5,555,390,198		—		5,754,073,481
Emerging Markets Fund		—		5,901,913,790		—		6,827,711,552
Foreign Small Companies Fund		—		553,454,979		—		756,902,482
International Equity Fund		—		3,353,930,097		—		5,021,611,571
International Large/Mid Cap Equity Fund		—		139,584,018		—		261,175,153
Quality Fund		—		1,878,682,138		—		4,113,171,483
Resources Fund		—		293,820,264		—		212,003,651
Risk Premium Fund		74,856,338		—		—		—
Tax-Managed International Equities Fund		—		83,755,205		—		151,683,723
U.S. Equity Allocation Fund		—		1,562,702,143		—		2,120,151,419

157

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Notes to Financial Statements — (Continued)

February 28, 2018



Fund Name	Purchases ($)		Sales ($)
Foreign Small Companies Fund		—		$541,686,701*

$503,881,179 of the redemptions in-kind were redeemed by affiliates.

For the year ended February 28, 2018, the Funds had the following net realized gains/(losses) attributed to redemption in-kind transactions:



Fund Name	Net realized gains/(losses) attributed to redemption in-kind transactions ($)
Foreign Small Companies Fund		$92,227,938

7.	Guarantees

8.	Principal shareholders and related parties as of February 28, 2018



Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund			Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund		Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers		Percentage of the Fund’s shares held by accounts for which GMO has investment discretion
Climate Change Fund		3			60.87%		69.20%		—
Emerging Domestic Opportunities Fund*		2			29.19%		1.59%		—
Emerging Markets Fund*		3	#		34.91%		0.31%		71.57%
Foreign Small Companies Fund		3			96.60%		0.03%		—
International Equity Fund		5	§		67.67%		0.01%		92.03%
International Large/Mid Cap Equity Fund		1			94.77%		—		—
Quality Fund		—			—		0.22%		16.47%
Resources Fund		1			77.55%		6.55%		2.98%
Risk Premium Fund		2	‡		97.09%		0.31%		99.34%
Tax-Managed International Equities Fund		4			63.53%		0.12%		—
U.S. Equity Allocation Fund		4	#		70.20%		0.03%		98.23%

The Fund’s outstanding shares were owned by more than 10 shareholders as of February 28, 2018.

‡

One of the shareholders is another fund of the Trust.

Four of the shareholders are other funds of the Trust.

Two of the shareholders are other funds of the Trust.

158

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

9.	Share transactions

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



	Year Ended February 28, 2018						Year Ended February 28, 2017

	Shares			Amount			Shares			Amount
Climate Change Fund
Class III:*
Shares sold		1,093,126		$	23,929,134
Shares issued to shareholders in reinvestment of distributions		28,235			655,616

Net increase (decrease)		1,121,361		$	24,584,750


Emerging Domestic Opportunities Fund
Class II:
Shares sold		1,817,724		$	49,043,727			7,485,284		$	160,982,074
Shares issued to shareholders in reinvestment of distributions		272,286			7,617,993			697,230			14,510,206
Shares repurchased		(4,486,864	)		(116,784,190	)		(10,275,533	)		(225,166,888	)
Purchase premiums		—			74,964			—			78,467
Redemption fees		—			542,684			—			588,506

Net increase (decrease)		(2,396,854	)	$	(59,504,822	)		(2,093,019	)	$	(49,007,635	)

Class III:
Shares sold		—		$	—			2,933,935		$	62,998,906
Shares issued to shareholders in reinvestment of distributions		60,784			1,697,769			222,746			4,625,740
Shares repurchased		(1,551,984	)		(41,407,143	)		(10,000,083	)		(216,597,785	)
Purchase premiums		—			14,320			—			24,572
Redemption fees		—			104,186			—			164,606

Net increase (decrease)		(1,491,200	)	$	(39,590,868	)		(6,843,402	)	$	(148,783,961	)

Class IV:
Shares sold		—		$	—			6,037,293		$	129,016,957
Shares issued to shareholders in reinvestment of distributions		151,953			4,239,893			782,540			16,393,889
Shares repurchased		(4,539,880	)		(123,386,543	)		(30,511,626	)		(697,091,179	)
Purchase premiums		—			37,899			—			104,701
Redemption fees		—			274,132			—			684,403

Net increase (decrease)		(4,387,927	)	$	(118,834,619	)		(23,691,793	)	$	(550,891,229	)

Class V:
Shares sold		2,321,991		$	57,701,679			26,717,121		$	614,385,969
Shares issued to shareholders in reinvestment of distributions		598,836			16,696,891			1,075,943			22,220,013
Shares repurchased		(422,783	)		(12,691,594	)		(2,550,388	)		(52,305,875	)
Purchase premiums		—			132,470			—			58,196
Redemption fees		—			962,652			—			569,292

Net increase (decrease)		2,498,044		$	62,802,098			25,242,676		$	584,927,595

Class VI:‡
Shares sold		546,851		$	12,564,071			205,646		$	4,338,151
Shares issued to shareholders in reinvestment of distributions		—			—			13,943			290,287
Shares repurchased		(1,215,116	)		(28,809,003	)		(23,501	)		(513,105	)
Purchase premiums		—			48			—			1,413
Redemption fees		—			2,069			—			10,922

Net increase (decrease)		(668,265	)	$	(16,242,815	)		196,088		$	4,127,668

159

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018



	Year Ended February 28, 2018						Year Ended February 28, 2017

	Shares			Amount			Shares			Amount
Emerging Markets Fund
Class II:#
Shares sold		2,144,525		$	76,615,465			823,187		$	23,902,466
Shares issued to shareholders in reinvestment of distributions		298,236			10,137,847			317,627			8,547,393
Shares repurchased		(5,901,364	)		(198,656,462	)		(7,873,707	)		(209,618,011	)
Purchase premiums		—			412,144			—			206,220
Redemption fees		—			1,199,050			—			1,323,690

Net increase (decrease)		(3,458,603	)	$	(110,291,956	)		(6,732,893	)	$	(175,638,242	)

Class III:#
Shares sold		5,262,213		$	189,034,182			1,646,735		$	50,110,147
Shares issued to shareholders in reinvestment of distributions		160,773			5,490,307			101,508			2,737,447
Shares repurchased		(4,761,245	)		(152,016,265	)		(20,839	)		(590,715	)
Purchase premiums		—			163,459			—			115,197
Redemption fees		—			573,854			—			604,396

Net increase (decrease)		661,741		$	43,245,537			1,727,404		$	52,976,472

Class IV:#
Shares sold		12,287,373		$	414,505,112			12,277,358		$	367,988,726
Shares issued to shareholders in reinvestment of distributions		200,918			6,727,048			106,683			2,851,160
Shares repurchased		(18,629,708	)		(647,014,911	)		(4,671,454	)		(129,426,496	)
Purchase premiums		—			616,336			—			188,279
Redemption fees		—			1,577,373			—			734,437

Net increase (decrease)		(6,141,417	)	$	(223,589,042	)		7,712,587		$	242,336,106

Class V:#
Shares sold		913,530		$	29,688,750			3,283,522		$	87,142,351
Shares issued to shareholders in reinvestment of distributions		124,905			4,213,667			326,859			8,709,058
Shares repurchased		(10,910	)		(389,825	)		(11,837,332	)		(354,659,563	)
Purchase premiums		—			124,417			—			107,715
Redemption fees		—			354,662			—			992,090

Net increase (decrease)		1,027,525		$	33,991,671			(8,226,951	)	$	(257,708,349	)

Class VI:#
Shares sold		14,003,693		$	460,981,387			9,646,816		$	286,707,394
Shares issued to shareholders in reinvestment of distributions		2,950,428			99,601,307			2,878,228			76,876,100
Shares repurchased		(36,424,149	)		(1,211,074,646	)		(55,955,886	)		(1,530,569,213	)
Purchase premiums		—			2,981,424			—			1,452,890
Redemption fees		—			8,857,454			—			9,612,117

Net increase (decrease)		(19,470,028	)	$	(638,653,074	)		(43,430,842	)	$	(1,155,920,712	)


Foreign Small Companies Fund
Class III:
Shares sold		1,205,904		$	18,448,098			4,911,945		$	70,841,467
Shares issued to shareholders in reinvestment of distributions		1,155,505			17,572,868			529,271			7,195,678
Shares repurchased		(15,628,838	)^(a)		(245,691,422	)^(a)		(12,753,958	)		(181,381,778	)
Purchase premiums		—			1,984			—			4,090
Redemption fees		—			396,995			—			328,256

Net increase (decrease)		(13,267,429	)	$	(209,271,477	)		(7,312,742	)	$	(103,012,287	)

160

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018



	Year Ended February 28, 2018						Year Ended February 28, 2017

	Shares			Amount			Shares			Amount
Foreign Small Companies Fund (continued)
Class IV:
Shares sold		4,509,349		$	70,616,166			8,926		$	123,290
Shares issued to shareholders in reinvestment of distributions		2,798,225			42,386,751			1,147,196			15,561,235
Shares repurchased		(40,727,929	)^(b)		(627,887,398	)^(b)		(8,423,117	)		(118,607,509	)
Purchase premiums		—			5,741			—			11,501
Redemption fees		—			824,581			—			832,379

Net increase (decrease)		(33,420,355	)	$	(514,054,159	)		(7,266,995	)	$	(102,079,104	)


International Equity Fund
Class II:
Shares sold		489,231		$	11,146,918			394,169		$	7,758,214
Shares issued to shareholders in reinvestment of distributions		15,844			367,095			53,704			1,036,907
Shares repurchased		(11,060	)		(259,126	)		(4,406,766	)		(86,201,920	)

Net increase (decrease)		494,015		$	11,254,887			(3,958,893	)	$	(77,406,799	)

Class III:
Shares sold		5,618,387		$	134,845,293			3,202,195		$	63,057,431
Shares issued to shareholders in reinvestment of distributions		676,948			15,748,936			1,458,230			28,472,050
Shares repurchased		(21,799,987	)		(490,728,694	)		(25,597,340	)		(510,086,501	)

Net increase (decrease)		(15,504,652	)	$	(340,134,465	)		(20,936,915	)	$	(418,557,020	)

Class IV:
Shares sold		8,188,636		$	186,191,569			11,139,274		$	215,725,536
Shares issued to shareholders in reinvestment of distributions		6,749,246			156,837,529			11,785,933			229,782,109
Shares repurchased		(72,887,892	)		(1,667,210,560	)		(158,196,157	)		(3,158,978,555	)

Net increase (decrease)		(57,950,010	)	$	(1,324,181,462	)		(135,270,950	)	$	(2,713,470,910	)


International Large/Mid Cap Equity Fund
Class III:
Shares sold		2,952,020		$	78,517,708			411,984		$	10,495,496
Shares issued to shareholders in reinvestment of distributions		19,019			497,829			253,763			6,161,168
Shares repurchased		(1,428,325	)		(37,475,512	)		(18,719,775	)		(470,772,481	)

Net increase (decrease)		1,542,714		$	41,540,025			(18,054,028	)	$	(454,115,817	)

Class IV:
Shares sold		25,357		$	667,693			1,317,734		$	33,127,702
Shares issued to shareholders in reinvestment of distributions		524,624			13,754,556			728,389			17,599,928
Shares repurchased		(6,273,065	)		(167,412,155	)		(23,672,201	)		(600,482,249	)

Net increase (decrease)		(5,723,084	)	$	(152,989,906	)		(21,626,078	)	$	(549,754,619	)

Class VI:‡
Shares sold		—		$	—			—		$	—
Shares issued to shareholders in reinvestment of distributions		—			—			623,703			14,995,054
Shares repurchased		(23,527	)		(616,556	)		(12,536,597	)		(300,320,271	)

Net increase (decrease)		(23,527	)	$	(616,556	)		(11,912,894	)	$	(285,325,217	)

161

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018



	Year Ended February 28, 2018						Year Ended February 28, 2017

	Shares			Amount			Shares			Amount
Quality Fund
Class III:
Shares sold		9,569,371		$	233,792,192			27,204,984		$	577,084,371
Shares issued to shareholders in reinvestment of distributions		9,710,900			236,338,887			5,427,657			111,954,229
Shares repurchased		(41,778,688	)		(994,664,619	)		(78,926,958	)		(1,636,659,609	)

Net increase (decrease)		(22,498,417	)	$	(524,533,540	)		(46,294,317	)	$	(947,621,009	)

Class IV:
Shares sold		2,687,351		$	65,544,766			23,563,655		$	498,378,900
Shares issued to shareholders in reinvestment of distributions		3,024,905			73,674,810			2,065,342			42,641,190
Shares repurchased		(23,049,188	)		(543,039,198	)		(38,313,485	)		(806,249,545	)

Net increase (decrease)		(17,336,932	)	$	(403,819,622	)		(12,684,488	)	$	(265,229,455	)

Class V:
Shares sold		15,240,672		$	355,202,520			9,463,322		$	197,196,406
Shares issued to shareholders in reinvestment of distributions		753,632			18,275,903			717,958			14,824,416
Shares repurchased		(30,753,264	)		(742,878,377	)		(3,801,010	)		(79,429,321	)

Net increase (decrease)		(14,758,960	)	$	(369,399,954	)		6,380,270		$	132,591,501

Class VI:
Shares sold		29,403,277		$	709,386,725			91,893,911		$	1,913,611,617
Shares issued to shareholders in reinvestment of distributions		11,410,443			277,711,590			5,665,767			116,815,260
Shares repurchased		(51,435,726	)		(1,236,751,765	)		(36,449,428	)		(770,551,459	)

Net increase (decrease)		(10,622,006	)	$	(249,653,450	)		61,110,250		$	1,259,875,418


Resources Fund
Class III:
Shares sold		1,468,960		$	30,964,916			570,839		$	8,566,354
Shares issued to shareholders in reinvestment of distributions		48,976			868,248			32,759			537,264
Shares repurchased		(234,190	)		(4,012,036	)		(480,753	)		(6,835,975	)
Purchase premiums		—			43,889			—			2,754
Redemption fees		—			16,475			—			16,991

Net increase (decrease)		1,283,746		$	27,881,492			122,845		$	2,287,388

Class IV:
Shares sold		5,366,277		$	102,162,843			169,620		$	2,585,614
Shares issued to shareholders in reinvestment of distributions		549,915			9,781,398			315,651			5,118,000
Shares repurchased		(2,712,619	)		(52,821,227	)		(4,055,808	)		(57,587,522	)
Purchase premiums		—			351,383			—			29,756
Redemption fees		—			156,297			—			175,234

Net increase (decrease)		3,203,573		$	59,630,694			(3,570,537	)	$	(49,678,918	)


Risk Premium Fund
Class III:#
Shares sold		—		$	—			2,862		$	85,653
Shares issued to shareholders in reinvestment of distributions		25,484			724,208			18,814			544,069
Shares repurchased		(65,778	)		(1,906,884	)		(105,987	)		(3,151,044	)
Purchase premiums		—			122			—			—
Redemption fees		—			1,284			—			6,093

Net increase (decrease)		(40,294	)	$	(1,181,270	)		(84,311	)	$	(2,515,229	)

162

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018



	Year Ended February 28, 2018						Year Ended February 28, 2017

	Shares			Amount			Shares			Amount
Risk Premium Fund (continued)
Class VI:#
Shares sold		122,003		$	3,443,846			390		$	10,630
Shares issued to shareholders in reinvestment of distributions		845,070			24,004,565			437,685			12,713,932
Shares repurchased		(844,262	)		(25,708,492	)		(3,562,411	)		(103,841,501	)
Purchase premiums		—			5,052			—			16
Redemption fees		—			40,139			—			154,267

Net increase (decrease)		122,811		$	1,785,110			(3,124,336	)	$	(90,962,656	)


Tax-Managed International Equities Fund
Class III:
Shares sold		34,844		$	588,984			51,654		$	709,686
Shares issued to shareholders in reinvestment of distributions		118,562			1,953,043			226,091			3,089,352
Shares repurchased		(4,210,695	)		(70,417,290	)		(8,885,564	)		(123,384,562	)

Net increase (decrease)		(4,057,289	)	$	(67,875,263	)		(8,607,819	)	$	(119,585,524	)


U.S. Equity Allocation Fund
Class III:
Shares sold		1,426,974		$	22,200,337			254,123		$	3,737,099
Shares issued to shareholders in reinvestment of distributions		503,101			7,560,282			964,254			14,133,772
Shares repurchased		(4,161,819	)		(62,443,147	)		(8,083,310	)		(120,400,300	)

Net increase (decrease)		(2,231,744	)	$	(32,682,528	)		(6,864,933	)	$	(102,529,429	)

Class IV:
Shares sold		4,181,151		$	64,392,213			353,391		$	5,084,358
Shares issued to shareholders in reinvestment of distributions		221,349			3,311,107			482,865			7,017,672
Shares repurchased		(3,169,071	)		(49,096,124	)		(37,081,635	)^(c)		(546,704,227	)^(c)

Net increase (decrease)		1,233,429		$	18,607,196			(36,245,379	)	$	(534,602,197	)

Class V:
Shares sold		—		$	—			11,302,431		$	168,755,254
Shares issued to shareholders in reinvestment of distributions		953,644			14,275,839			1,125,283			16,496,645
Shares repurchased		(7,929,615	)		(121,076,853	)		(1,516,895	)		(22,257,238	)

Net increase (decrease)		(6,975,971	)	$	(106,801,014	)		10,910,819		$	162,994,661

Class VI:
Shares sold		3,148,627		$	46,726,515			1,279,791		$	19,202,615
Shares issued to shareholders in reinvestment of distributions		9,856,724			147,659,798			15,359,314			223,790,989
Shares repurchased		(32,244,150	)		(489,038,891	)		(198,687,826	)		(2,929,999,235	)

Net increase (decrease)		(19,238,799	)	$	(294,652,578	)		(182,048,721	)	$	(2,687,005,631	)

The period under the heading “Year Ended February 28, 2018” represents the period from April 5, 2017 (commencement of operations) through February 28, 2018.

‡

Class VI liquidated on March 29, 2017.

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

^(a)

2,421,878 shares and $37,805,522 were redeemed in-kind.

^(b)

32,418,183 shares and $503,881,179 were redeemed in-kind by affiliates.

^(c)

10,797,603 shares and $153,780,220 were redeemed in-kind.

163

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

10.

Investments in affiliated companies and other Funds of the Trust



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	$	—	$	22,680,482	$	21,926,000	$	8,482	$	(2,633	)	$	(300	)	$	751,549


Emerging Domestic Opportunities Fund
CMI Ltd	$	3,202,269	$	115,802	$	—	$	18,823	$	—		$	1,339,737		$	4,657,808
Gayatri Highways Ltd		—		1,225,475		—		—		—			(77,577	)		1,147,898
Gayatri Projects Ltd		22,225,368		—		—		1,225,475		—			12,304,268			34,529,636
GMO U.S. Treasury Fund		66,772,614		1,318,599,097		1,254,425,000		851,092		(76,199	)		(45,929	)		130,824,583
TICON Industrial Growth Leasehold Property Fund		16,408,121		—		15,206,845		605,876		(982,281	)		(218,995	)		—	#

Totals	$	108,608,372	$	1,319,940,374	$	1,269,631,845	$	2,701,266	$	(1,058,480	)	$	13,301,504		$	171,159,925


Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	1,028,843	$	—	$	—	$	—	$	—		$	(240,213	)	$	788,630
Gayatri Highways Ltd		—		1,924,051		—		—		—			(121,799	)		1,802,252
Gayatri Projects Ltd		35,159,348		—		348,270		1,924,051		267,091			19,134,909			54,213,078
GMO U.S. Treasury Fund		89,875,673		1,580,442,610		1,572,609,999		839,754		(82,854	)		(5,018	)		97,620,412
Kiri Industries Ltd		7,867,156		—		2,428,022		—		1,685,072			(5,543,894	)		—	#

Totals	$	133,931,020	$	1,582,366,661	$	1,575,386,291	$	2,763,805	$	1,869,309		$	13,223,985		$	154,424,372


Foreign Small Companies Fund
GMO U.S. Treasury Fund	$	7,030,375	$	101,738,965	$	107,170,000	$	88,965	$	(6,332	)	$	2,788		$	1,595,796


International Equity Fund
GMO U.S. Treasury Fund	$	21,767,868	$	932,500,000	$	893,150,000	$	380,748	$	(33,122	)	$	(15,646	)	$	61,069,100


International Large/Mid Cap Equity Fund
GMO U.S. Treasury Fund	$	2,408,002	$	89,185,000	$	90,399,999	$	14,518	$	(11,145	)	$	(730	)	$	1,181,128


Quality Fund
GMO U.S. Treasury Fund	$	240,449,520	$	1,057,500,000	$	1,246,700,000	$	1,384,313	$	(120,039	)	$	(37,441	)	$	51,092,040


Resources Fund
GMO U.S. Treasury Fund	$	6,150,081	$	95,920,000	$	95,559,999	$	49,233	$	(2,988	)	$	(2,585	)	$	6,504,509


Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	427,587	$	38,960,000	$	38,320,000	$	11,993	$	(347	)	$	(430	)	$	1,066,810


U.S. Equity Allocation Fund
GMO U.S. Treasury Fund	$	11,180,107	$	333,890,000	$	337,600,000	$	122,889	$	(7,109	)	$	(2,988	)	$	7,460,010

No longer an affiliate at year end.

164

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

11.

Subsequent Events

Effective March 31, 2018, GMO Risk Premium Fund’s benchmark is CBOE S&P 500 PutWrite Index.

Effective March 31, 2018, the name of GMO U.S. Equity Allocation Fund was changed to GMO U.S. Equity Fund. As of the same date, the Fund’s benchmark is the Russell 3000 Index.

Subsequent to February 28, 2018, GMO Foreign Small Companies Fund and GMO International Large/Mid Cap Equity Fund received redemption requests in the amount of $84,766,094 and $25,000,426, respectively.

165

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of GMO Trust and Shareholders of

GMO Climate Change Fund, GMO Emerging Domestic Opportunities Fund, GMO Emerging Markets Fund, GMO Foreign Small Companies Fund, GMO International Equity Fund, GMO International Large/Mid Cap Equity Fund, GMO Quality Fund, GMO Resources Fund, GMO Risk Premium Fund, GMO Tax-Managed International Equities Fund, and GMO U.S. Equity Allocation Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of GMO Climate Change Fund, GMO Emerging Domestic Opportunities Fund, GMO Emerging Markets Fund, GMO Foreign Small Companies Fund, GMO International Equity Fund, GMO International Large/Mid Cap Equity Fund, GMO Quality Fund, GMO Resources Fund, GMO Risk Premium Fund, GMO Tax-Managed International Equities Fund, and GMO U.S. Equity Allocation Fund (eleven of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 28, 2018, the related statements of operations and the statements of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2018, the results of each of their operations and the changes in each of their net assets for the periods indicated in the table below and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.


GMO Emerging Domestic Opportunities Fund, GMO Emerging Markets Fund, GMO Foreign Small Companies Fund, GMO International Equity Fund, GMO International Large/Mid Cap Equity Fund, GMO Quality Fund, GMO Resources Fund, GMO Risk Premium Fund, GMO Tax-Managed International Equities Fund, GMO U.S. Equity Allocation Fund		Statements of operations for the year ended February 28, 2018 and the statements of changes in net assets for each of the two years in the period ended February 28, 2018
GMO Climate Change Fund		Statements of operations and changes in net assets for the period April 5, 2017 (commencement of operations) through February 28, 2018

Basis for Opinions

/s/PricewaterhouseCoopers LLP

Boston, Massachusetts

April 25, 2018

We have served as the auditor of one or more investment companies in the GMO mutual funds complex since 1985.

166

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

February 28, 2018 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2018.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2017 through February 28, 2018.

Actual Expenses

Hypothetical Example for Comparison Purposes


			Actual						Hypothetical
	Beginning Account Value September 1, 2017		Ending Account Value February 28, 2018		Expenses Paid During the Period**		Beginning Account Value September 1, 2017		Ending Account Value February 28, 2018		Expenses Paid During the Period**		Annualized Expense Ratio
Climate Change Fund
Class III		$1,000.00		$1,079.50		$3.97		$1,000.00		$1,020.98		$3.86		0.77%
Emerging Domestic Opportunities Fund
Class II		$1,000.00		$1,105.40		$5.43		$1,000.00		$1,019.64		$5.21		1.04%
Class III		$1,000.00		$1,105.40		$5.06		$1,000.00		$1,019.98		$4.86		0.97%
Class IV		$1,000.00		$1,106.00		$4.80		$1,000.00		$1,020.23		$4.61		0.92%
Class V		$1,000.00		$1,106.40		$4.70		$1,000.00		$1,020.33		$4.51		0.90%
Emerging Markets Fund
Class II		$1,000.00		$1,086.90		$4.97		$1,000.00		$1,020.03		$4.81		0.96%
Class III		$1,000.00		$1,087.00		$4.50		$1,000.00		$1,020.48		$4.36		0.87%
Class IV		$1,000.00		$1,087.00		$4.45		$1,000.00		$1,020.53		$4.31		0.86%
Class V		$1,000.00		$1,087.50		$4.09		$1,000.00		$1,020.88		$3.96		0.79%
Class VI		$1,000.00		$1,087.80		$3.99		$1,000.00		$1,020.98		$3.86		0.77%
Foreign Small Companies Fund
Class III		$1,000.00		$1,100.80		$4.01		$1,000.00		$1,020.98		$3.86		0.77%
Class IV		$1,000.00		$1,101.40		$3.75		$1,000.00		$1,021.22		$3.61		0.72%
International Equity Fund
Class II		$1,000.00		$1,070.70		$3.75		$1,000.00		$1,021.17		$3.66		0.73%
Class III		$1,000.00		$1,071.00		$3.34		$1,000.00		$1,021.57		$3.26		0.65%
Class IV		$1,000.00		$1,071.10		$3.08		$1,000.00		$1,021.82		$3.01		0.60%

167

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses — (Continued)

February 28, 2018 (Unaudited)


			Actual						Hypothetical
	Beginning Account Value September 1, 2017		Ending Account Value February 28, 2018		Expenses Paid During the Period**		Beginning Account Value September 1, 2017		Ending Account Value February 28, 2018		Expenses Paid During the Period**		Annualized Expense Ratio
International Large/Mid Cap Equity Fund
Class III		$1,000.00		$1,075.90		$3.40		$1,000.00		$1,021.52		$3.31		0.66%
Class IV		$1,000.00		$1,075.90		$2.99		$1,000.00		$1,021.92		$2.91		0.58%
Quality Fund
Class III		$1,000.00		$1,113.10		$2.51		$1,000.00		$1,022.41		$2.41		0.48%
Class IV		$1,000.00		$1,113.20		$2.31		$1,000.00		$1,022.61		$2.21		0.44%
Class V		$1,000.00		$1,113.40		$2.20		$1,000.00		$1,022.71		$2.11		0.42%
Class VI		$1,000.00		$1,113.30		$2.04		$1,000.00		$1,022.86		$1.96		0.39%
Resources Fund
Class III		$1,000.00		$1,160.00		$4.07		$1,000.00		$1,021.03		$3.81		0.76%
Class IV		$1,000.00		$1,160.30		$3.80		$1,000.00		$1,021.27		$3.56		0.71%
Risk Premium Fund
Class III		$1,000.00		$ 999.90		$2.98		$1,000.00		$1,021.82		$3.01		0.60%
Class VI		$1,000.00		$1,000.30		$2.53		$1,000.00		$1,022.27		$2.56		0.51%
Tax-Managed International Equities Fund
Class III		$1,000.00		$1,067.30		$3.74		$1,000.00		$1,021.17		$3.66		0.73%
U.S. Equity Allocation Fund
Class III		$1,000.00		$1,107.40		$2.40		$1,000.00		$1,022.51		$2.31		0.46%
Class IV		$1,000.00		$1,108.10		$2.14		$1,000.00		$1,022.76		$2.06		0.41%
Class V		$1,000.00		$1,108.40		$2.09		$1,000.00		$1,022.81		$2.01		0.40%
Class VI		$1,000.00		$1,108.20		$1.93		$1,000.00		$1,022.96		$1.86		0.37%

168

GMO Trust Funds

Tax Information for the Tax Year Ended February 28, 2018 (Unaudited)

The following information is being provided in order to meet reporting requirements set forth by the Code and/or to meet state-specific requirements. Shareholders should consult their tax advisors.



Fund Name	Dividend Received Deduction (corporate shareholders)⁽¹⁾		Qualified Dividend Income (non-corporate shareholders)⁽¹⁾		U.S. Government Obligation Income^(1,2)		Interest- Related Dividend Income⁽³⁾ ($)		Short- Term Capital Gain Dividends⁽³⁾ ($)		Long-Term Capital Gain Distributions ($)		Foreign Taxes Paid⁽⁴⁾ ($)		Foreign Source Income⁽⁴⁾ ($)
Climate Change Fund		3.33%		33.63%		—		—		491,078		—		28,171		279,964
Emerging Domestic Opportunities Fund		—		86.62%		—		—		—		—		12,325,817		46,730,778
Emerging Markets Fund		—		69.71%		—		—		—		—		27,179,175		182,095,958
Foreign Small Companies Fund		—		69.74%		—		—		21,603,615		25,090,273		1,370,291		16,244,656
International Equity Fund		—		100.00%		—		—		—		—		16,025,558		190,699,362
International Large/Mid Cap Equity Fund		—		65.88%		—		—		3,140,647		7,100,023		—		—
Quality Fund		59.93%		79.84%		—		—		76,130,489		436,963,160		—		—
Resources Fund		—		58.81%		—		—		—		—		581,299		7,299,612
Risk Premium Fund		—		—		4.63%		470,408		9,678,641		14,579,724		—		—
Tax-Managed International Equities Fund		—		100.00%		—		—		—		—		287,025		3,546,403
U.S. Equity Allocation Fund		91.05%		96.36%		—		—		8,764,698		136,022,591		—		—

⁽¹⁾

Presented as a percentage of net investment income and short-term capital gain distributions paid, if any.

⁽²⁾

All or a portion of these amounts may be exempt from taxation at the state level.

⁽³⁾

⁽⁴⁾

The Funds expect to elect to treat foreign taxes attributed to foreign source income from certain of its investments, as if incurred directly by the Funds’ shareholders.

In early 2019, the Funds will notify applicable shareholders of amounts for use in preparing 2018 U.S. federal income tax forms.

169

Trustees and Officers (Unaudited)

Independent Trustees

Name and
Year of Birth

Position(s)
Held with the Trust

Length of
Time Served

Principal Occupation(s)
During Past 5 Years

Number of
Portfolios in
Fund Complex¹
Overseen

Other Directorships
Held in the
Past Five Years

Donald W. Glazer
YOB: 1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Law and Business; Author of Legal Treatises.

Director, BeiGene Ltd. (biotech research).

Peter Tufano
YOB: 1957

Trustee

Since December 2008.

Peter Moores Dean and Professor of Finance, University of Oxford Saïd Business School (as of July 1, 2011).

Trustee of State Street Navigator Securities Lending Trust (5 Portfolios).

Paul Braverman
YOB: 1949

Trustee

Since March 2010.

Director of Claren Road Asset Management, LLC (hedge fund); Trustee of HIMCO Variable Insurance Trust
(27 Portfolios).

Interested Trustee and Officer

Name and
Year of Birth

Position(s)
Held with the Trust

Length of
Time Served

Principal Occupation(s)
During Past 5 Years

Number of
Portfolios in
Fund Complex¹
Overseen

Other Directorships
Held in the
Past Five Years

Jason B. Harrison.²
YOB: 1977

Trustee; President of the Trust

Trustee and President since March 2018.

Product Development, Grantham, Mayo, Van Otterloo & Co. LLC (October 2015 – present); Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC
(2006 – 2015)

None

¹	The Fund Complex includes series of each of GMO Trust and GMO Series Trust. Mr. Harrison also serves as a Trustee of GMO Series Trust.

²	Mr. Harrison is an “interested person” of the Trust, as such term is used in the 1940 Act (an “Interested Trustee”), by virtue of his positions with the Trust and GMO indicated in the table above and his interest as a member of GMO.

170


Officers
Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Jason B. Harrison YOB: 1977	Trustee; President of the Trust	Trustee and President since March 2018.	Product Development, Grantham, Mayo, Van Otterloo & Co. LLC (October 2015 – present); Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2006 – 2015)

Sheppard N. Burnett YOB: 1968	Chief Executive Officer	Chief Executive Officer since June 2015; Chief Financial Officer, March 2007 – June 2015; Treasurer, November 2006 – June 2015; Assistant Treasurer, September 2004 – November 2006.	Head of Fund Treasury and Tax, Grantham, Mayo, Van Otterloo & Co. LLC (December 2006 – present).

Carly Cushman YOB: 1984	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer and Chief Financial Officer since June 2015; Chief Accounting Officer since May 2014; Assistant Treasurer, September 2013 – June 2015.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (December 2009 – present); Senior Accountant, Renaissance HealthCare (February 2009 – December 2009); Auditor/Senior Auditor, Deloitte & Touche (September 2006 – February 2009).

John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present).

Betty Maganzini YOB: 1972	Assistant Treasurer	Since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present); Assistant Treasurer (June 2009 – July 2010), Manager, Fund Administration and Regulatory Affairs (2006 – 2009), Hambrecht & Quist Capital Management LLC.

Mahmoodur Rahman YOB: 1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2007 – present).

Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present)

Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – present).

Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present); Associate, K&L Gates LLP (September 2007 – July 2015).

Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).

Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present); Associate, Dechert LLP (October 2010 – February 2015).

Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present); Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (March 2000 – May 2015).

Claire Wilkinson YOB: 1965	Anti-Money Laundering Officer	Since February 2016.	Compliance Associate, GMO UK Limited (April 2013 – present); General Counsel, MVision Private Equity Advisers Limited (November 2009 – January 2013).

*	Each officer of the Trust may also serve as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

171

GMO Trust

Annual Report

February 28, 2018

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

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

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

TABLE OF CONTENTS


Alpha Only Fund
Management Discussion and Analysis of Fund Performance			2
Performance Graph			3
Investment Concentration Summary			4
Schedule of Investments			5
Benchmark-Free Allocation Fund
Management Discussion and Analysis of Fund Performance			16
Performance Graph			17
Investment Concentration Summary			18
Schedule of Investments			19
Benchmark-Free Fund
Management Discussion and Analysis of Fund Performance			20
Performance Graph			21
Investment Concentration Summary			22
Schedule of Investments			23
Global Asset Allocation Fund
Management Discussion and Analysis of Fund Performance			44
Performance Graph			45
Investment Concentration Summary			46
Schedule of Investments			47
Global Developed Equity Allocation Fund
Management Discussion and Analysis of Fund Performance			48
Performance Graph			49
Investment Concentration Summary			50
Schedule of Investments			51
Global Equity Allocation Fund
Management Discussion and Analysis of Fund Performance			52
Performance Graph			53
Investment Concentration Summary			54
Schedule of Investments			55
Implementation Fund
Management Discussion and Analysis of Fund Performance			56
Performance Graph			57
Investment Concentration Summary			58
Schedule of Investments			59
International Developed Equity Allocation Fund
Management Discussion and Analysis of Fund Performance			88
Performance Graph			89
Investment Concentration Summary			90
Schedule of Investments			91
International Equity Allocation Fund
Management Discussion and Analysis of Fund Performance			92
Performance Graph			93
Investment Concentration Summary			94
Schedule of Investments			95
SGM Major Markets Fund
Management Discussion and Analysis of Fund Performance			96
Performance Graph			97
Investment Concentration Summary			98
Schedule of Investments			99
Special Opportunities Fund
Management Discussion and Analysis of Fund Performance			102
Performance Graph			103
Investment Concentration Summary			104
Schedule of Investments			105


Strategic Opportunities Allocation Fund
Management Discussion and Analysis of Fund Performance			108
Performance Graph			109
Investment Concentration Summary			110
Schedule of Investments			111
Portfolio, Counterparty and Currency Abbreviations			112
Fund Financial Statements:
Statements of Assets and Liabilities			113
Statements of Operations			119
Statements of Changes in Net Assets			122
Financial Highlights			128
Notes to Financial Statements			142
Report of Independent Registered Public Accounting Firm			202
Fund Expenses			203
Tax Information			205
Trustees and Officers			206

GMO Alpha Only Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Alpha Only Fund returned 5.22% (net) for the fiscal year ended February 28, 2018, as compared with +0.98% for the Citigroup 3-Month Treasury Bill Index.

The Fund’s long positions in Quality and Emerging Value both outperformed the S&P 500, which was held correspondingly short (there was also a modest Russell 2000 short at the very start of the period), and so were additive to performance. The Fund also had a long EAFE Value position held against a short S&P 500 position, which we implemented on a currency hedged basis, and this detracted from performance. Although EAFE Value outperformed the S&P 500 for the period, much of this was due to a weakening of the dollar and the hedged implementation of this trade meant that the Fund did not accrue this benefit.

GMO Alpha Only Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Alpha Only Fund Class III Shares and the Citigroup 3-Month Treasury Bill Index

As of February 28, 2018

LOGO

GMO Alpha Only Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		85.2	%
Mutual Funds		6.0
Short-Term Investments		5.4
Preferred Stocks		1.5
Forward Currency Contracts		0.1
Rights/Warrants		0.0	^
Futures Contracts		(2.3	)
Other		4.1

		100.0	%

In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. The Fund’s investment program involves having both long and short investment exposures. The additional short exposures that the Fund has to futures contracts based on notional amounts are (88.6)% of net assets.

^	Rounds to 0.0%.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)

		COMMON STOCKS— 85.2%

		Australia — 0.3%
	9,534	AusNet Services		12,538
	15,376	Australia & New Zealand Banking Group Ltd		343,625
	340	CIMIC Group Ltd		12,264
	82	Commonwealth Bank of Australia		4,826
	1,954	Crown Resorts Ltd		20,340
	1,643	Fortescue Metals Group Ltd		6,319
	1,712	Incitec Pivot Ltd		4,994
	7,363	Mineral Resources Ltd		107,300
	7,229	Mirvac Group (REIT)		11,837
	1,218	National Australia Bank Ltd		28,313
	8,784	Scentre Group (REIT)		26,082
	6,961	Tabcorp Holdings Ltd		24,934
	12,793	Telstra Corp Ltd		32,996
	1,408	Vocus Group Ltd		2,662
	2,766	Westfield Corp (REIT)		18,750

		Total Australia		657,780


		Austria — 0.2%
	5,765	OMV AG		327,788
	951	Zumtobel Group AG		10,143

		Total Austria		337,931


		Belgium — 0.0%
	3,708	AGFA-Gevaert NV ^*		18,184
	166	Proximus SADP		5,330
	354	Umicore SA		19,955

		Total Belgium		43,469


		Brazil — 1.0%
	3,200	AES Tiete Energia SA		11,186
	36,145	Banco Bradesco SA		409,997
	23,400	Banco do Brasil SA		301,247
	30,100	Banco Santander Brasil SA		340,872
	650	BR Malls Participacoes SA		2,388
	69,400	Centrais Eletricas Brasileiras SA ^*		529,440
	9,400	Cia de Saneamento Basico do Estado de Sao Paulo		108,999
	3,000	Eletropaulo Metropolitana Eletricidade de Sao Paulo SA		16,169
	60,200	JBS SA		183,739
	2,654	Sul America SA		17,452
	1,500	Suzano Papel e Celulose SA		10,048
	13,200	TIM Participacoes SA		57,323
	23,282	Vale SA		323,033

		Total Brazil		2,311,893


		Chile — 0.0%
	1,237	Cia Cervecerias Unidas SA		17,351
	4,777	Latam Airlines Group SA		77,451

		Total Chile		94,802


Shares		Description	Value ($)

		China — 9.1%
	454,000	Agile Group Holdings Ltd		774,210
	3,284,000	Agricultural Bank of China Ltd – Class H		1,804,395
	46,500	Anhui Conch Cement Co Ltd – Class H		247,056
	1,157,000	Bank of China Ltd – Class H		622,202
	596,000	Bank of Communications Co Ltd – Class H		473,823
	10,000	Beijing Capital International Airport Co Ltd – Class H		14,750
	32,000	Beijing Enterprises Holdings Ltd		177,297
	500	Changyou.com Ltd ADR ^*		14,150
	667,000	China CITIC Bank Corp Ltd – Class H		482,322
	31,000	China Coal Energy Co Ltd – Class H		14,099
	384,000	China Communications Services Corp Ltd – Class H		227,005
	4,500	China Conch Venture Holdings Ltd		13,479
	925,000	China Construction Bank Corp – Class H		948,414
	4,000	China Everbright Ltd		8,725
	305,000	China Huarong Asset Management Co Ltd – Class H		137,642
	2,000	China Merchants Port Holdings Co Ltd		4,644
	12,000	China Mobile Ltd		111,756
	400	China Mobile Ltd Sponsored ADR		18,596
	402,000	China National Building Material Co Ltd – Class H		394,406
	256,000	China National Materials Co Ltd – Class H		212,600
	11,000	China Pacific Insurance Group Co Ltd – Class H		53,511
	2,020,000	China Petroleum & Chemical Corp – Class H		1,603,215
	711,500	China Railway Construction Corp Ltd – Class H		761,424
	323,000	China Railway Group Ltd – Class H		233,418
	44,500	China Resources Pharmaceutical Group Ltd		59,873
	45,000	China SCE Property Holdings Ltd		22,021
	418,500	China Shenhua Energy Co Ltd – Class H		1,184,481
	3,066,000	China Telecom Corp Ltd – Class H		1,336,821
	900	China Yuchai International Ltd		20,169
	275,000	Chongqing Rural Commercial Bank Co Ltd – Class H		221,463
	1,032,000	Dongfeng Motor Group Co Ltd – Class H		1,296,877
	2,400	Fuyao Glass Industry Group Co Ltd – Class H		9,580
	3,000	GF Securities Co Ltd – Class H		5,728
	6,000	Greentown China Holdings Ltd		8,921
	266,800	Guangzhou R&F Properties Co Ltd – Class H		619,572
	322,000	Haier Electronics Group Co Ltd ^*		1,096,881
	30,000	Haitian International Holdings Ltd		91,900
	76,000	Harbin Electric Co Ltd – Class H		30,687
	368,000	HengTen Networks Group Ltd ^*		16,305
	20,000	Hua Hong Semiconductor Ltd		38,306
	1,418,000	Industrial & Commercial Bank of China Ltd – Class H		1,208,901
	28,000	Jiangsu Expressway Co Ltd – Class H		43,361
	204,000	Jiangxi Copper Co Ltd – Class H		319,626
	109,500	Kingboard Chemical Holdings Ltd		550,303
	82,000	Kingboard Laminates Holdings Ltd		142,437
	99,000	Lee & Man Paper Manufacturing Ltd		111,861


		See accompanying notes to the financial statements.		5

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)

		China — continued
	114,000	Longfor Properties Co Ltd		327,335
	602,000	Lonking Holdings Ltd		249,326
	99,000	Nexteer Automotive Group Ltd ^*		218,528
	231,000	People’s Insurance Co Group of China Ltd (The) – Class H		123,677
	68,000	PICC Property & Casualty Co Ltd – Class H		133,374
	5,500	Ping An Insurance Group Co of China Ltd – Class H		57,933
	23,000	Road King Infrastructure Ltd		41,630
	25,000	Shandong Chenming Paper Holdings Ltd – Class H		42,418
	108,000	Shandong Weigao Group Medical Polymer Co Ltd – Class H		73,643
	66,000	Shanghai Industrial Holdings Ltd		183,710
	21,200	Shanghai Pharmaceuticals Holding Co Ltd – Class H		53,058
	229,000	Shimao Property Holdings Ltd		564,320
	254,500	Sino-Ocean Group Holding Ltd		179,294
	98,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		58,383
	3,500	Sun Art Retail Group Ltd		4,621
	10,000	Tingyi Cayman Islands Holding Corp		20,989
	372,000	Weichai Power Co Ltd – Class H		414,704
	470,000	Yuzhou Properties Co Ltd		287,241
	32,000	Zhejiang Expressway Co Ltd – Class H		34,791
	34,000	Zijin Mining Group Co Ltd – Class H		15,505
	42,200	ZTE Corp – Class H ^*		146,970

		Total China		21,020,663


		Colombia — 0.1%
	76,893	Ecopetrol SA		67,355
	3,655	Grupo de Inversiones Suramericana SA		49,007

		Total Colombia		116,362


		Czech Republic — 0.1%
	4,574	CEZ AS		110,651
	4,446	Moneta Money Bank AS		17,937

		Total Czech Republic		128,588


		Denmark — 0.0%
	94	Schouw & Co AB		9,799
	604	Tryg A/S		14,326

		Total Denmark		24,125


		Egypt — 0.0%
	15,874	Talaat Moustafa Group		8,795


		Finland — 0.0%
	338	Elisa Oyj		14,519
	271	Kesko Oyj – B Shares		15,769
	336	Metso Oyj		10,732


Shares		Description	Value ($)

		Finland — continued
	85	Neste Oyj		6,223
	518	Orion Oyj – Class B		16,871

		Total Finland		64,114


		France — 1.3%
	328	Accor SA		18,905
	14,622	AXA SA		457,947
	3,898	BNP Paribas SA		308,217
	1,245	Casino Guichard Perrachon SA		67,442
	3,420	CNP Assurances		82,879
	23,460	Credit Agricole SA		401,992
	222	Eurazeo SA		21,188
	169	Fonciere Des Regions (REIT)		17,632
	189	ICADE (REIT)		18,277
	192	Imerys SA		19,584
	2,368	LVMH Moet Hennessy Louis Vuitton SE		708,262
	13,015	Natixis SA		111,490
	424	Neopost SA		12,321
	2,019	Peugeot SA		45,556
	1,069	Rallye SA		19,556
	1,413	Renault SA		153,268
	942	Rexel SA		16,544
	1,465	Sanofi		115,662
	891	SCOR SE		37,775
	6,719	Societe Generale SA		381,771
	411	Suez		5,645
	205	TOTAL SA		11,660
	75	Wendel SA		12,998

		Total France		3,046,571


		Germany — 1.4%
	1,060	Allianz SE (Registered)		246,229
	231	Axel Springer SE		20,800
	261	BASF SE		27,267
	4,669	Bayerische Motoren Werke AG		490,548
	6,765	Daimler AG (Registered Shares)		577,641
	11,327	Deutsche Lufthansa AG (Registered)		378,209
	134	Hannover Rueck SE		18,226
	207	RTL Group SA		18,128
	14,515	RWE AG ^*		288,504
	9,438	SAP AG		984,944
	770	Suedzucker AG		13,802
	688	Volkswagen AG		136,671

		Total Germany		3,200,969


		Greece — 0.0%
	1,629	FF Group ^*		34,664


		Hong Kong — 0.2%
	46,500	BOC Hong Kong Holdings Ltd		233,685
	6,000	Cathay Pacific Airways Ltd ^*		10,122


6		See accompanying notes to the financial statements.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)

		Hong Kong — continued
	12,000	First Pacific Co Ltd		7,447
	14,000	HK Electric Investments & HK Electric Investments Ltd – Class SS		13,128
	3,500	Kerry Properties Ltd		15,821
	32,000	Li & Fung Ltd		16,069
	3,000	MTR Corp Ltd		15,833
	8,000	NWS Holdings Ltd		15,027
	23,000	PCCW Ltd		13,068
	1,500	Power Assets Holdings Ltd		12,726
	47,000	SJM Holdings Ltd		44,770
	13,000	Wharf Real Estate Investment Co Ltd ^*		88,373
	6,000	Wheelock & Co Ltd		43,493
	3,000	Yue Yuen Industrial Holdings Ltd		12,822

		Total Hong Kong		542,384


		Hungary — 0.0%
	47,419	Magyar Telekom Telecommunications Plc		83,660
	1,102	MOL Hungarian Oil & Gas Plc		12,018

		Total Hungary		95,678


		India — 3.0%
	4,296	Aditya Birla Capital Ltd ^*		10,884
	3,050	Ambuja Cements Ltd		11,784
	54,837	Apollo Tyres Ltd		229,211
	996	Balkrishna Industries Ltd		16,523
	637	Container Corp Of India Ltd		12,678
	7,250	GAIL India Ltd		50,757
	359	Grasim Industries Ltd		6,303
	14,643	HCL Technologies Ltd		211,196
	3,529	Hero MotoCorp Ltd		193,617
	96,322	Hindalco Industries Ltd		357,960
	50,221	Hindustan Petroleum Corp Ltd		292,048
	6,401	Idea Cellular Ltd ^*		8,161
	14,749	IDFC Bank Ltd		11,557
	671	Indiabulls Housing Finance Ltd		12,752
	58,072	Indian Oil Corp Ltd		335,187
	215,824	Jaiprakash Associates Ltd ^*		57,613
	60,305	Karnataka Bank Ltd (The)		123,434
	18,000	Larsen & Toubro Ltd		362,196
	873	Mahindra & Mahindra Financial Services Ltd		5,785
	20,712	Mahindra & Mahindra Ltd		229,911
	222,090	Oil & Natural Gas Corp Ltd		633,307
	302,802	Power Finance Corp Ltd		484,859
	67,496	PTC India Ltd		105,527
	21,389	Reliance Capital Ltd		153,292
	2,862	Reliance Home Finance Ltd ^*		3,045
	49,616	Reliance Industries Ltd		719,918
	329,849	Rural Electrification Corp Ltd		725,501
	418	Siemens Ltd		7,453
	3,682	State Bank of India		15,056


Shares		Description	Value ($)

		India — continued
	58,271	Syndicate Bank ^*		53,766
	1,362	Tata Motors Ltd ^*		7,678
	126,290	Tata Steel Ltd		1,295,596
	49,792	Union Bank of India ^*		79,637

		Total India		6,824,192


		Indonesia — 0.1%
	71,200	Adaro Energy Tbk PT		12,105
	52,300	Bank Danamon Indonesia Tbk PT		25,033
	8,700	Bank Negara Indonesia Persero Tbk PT		6,144
	2,500	Gudang Garam Tbk PT		14,503
	31,800	Hanjaya Mandala Sampoerna Tbk PT		11,149
	23,400	Indo Tambangraya Megah Tbk PT		52,310
	12,400	Indofood Sukses Makmur Tbk PT		6,820
	83,600	Media Nusantara Citra Tbk PT		9,300
	59,500	Perusahaan Gas Negara Persero Tbk		11,524
	20,300	Semen Indonesia Persero Tbk PT		16,398
	40,500	United Tractors Tbk PT		104,309
	62,600	XL Axiata Tbk PT ^*		13,404

		Total Indonesia		282,999


		Ireland — 0.0%
	820	Bank of Ireland Group Plc ^*		7,661


		Israel — 0.0%
	80	Azrieli Group Ltd		3,939
	2,139	Bank Leumi Le-Israel BM		12,893
	10,565	Bezeq The Israeli Telecommunication Corp Ltd		16,152
	2,729	Israel Chemicals Ltd		11,600
	687	Teva Pharmaceutical Industries Ltd		12,883
	400	Teva Pharmaceutical Industries Ltd Sponsored ADR		7,488

		Total Israel		64,955


		Italy — 0.4%
	311	Assicurazioni Generali SPA		5,818
	46,976	Enel SPA		272,684
	5,327	EXOR NV		386,547
	2,050	Fiat Chrysler Automobiles NV ^*		43,272
	12,421	Fincantieri SPA ^*		19,721
	4,986	Intesa Sanpaolo SPA – RSP		19,786
	3,244	Saipem SPA ^*		13,169
	1,642	Societa Cattolica di Assicurazioni SC		19,536
	46,159	Telecom Italia SPA ^*		41,427
	160,969	Telecom Italia SPA-RSP		122,582

		Total Italy		944,542


		Japan — 2.3%
	600	AEON Financial Service Co Ltd		13,943
	400	Aeon Mall Co Ltd		8,322
	3,900	Aisin Seiki Co Ltd		226,968


		See accompanying notes to the financial statements.		7

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)

		Japan — continued
	400	Alfresa Holdings Corp		8,941
	2,200	Asahi Glass Co Ltd		90,861
	29,500	Asahi Kasei Corp		378,042
	200	Benesse Holdings Inc		7,159
	8,800	Canon Inc		335,357
	700	Chubu Electric Power Co Inc		9,511
	900	Chugoku Bank Ltd (The)		11,060
	1,500	Chugoku Electric Power Co Inc (The)		17,504
	100	Daiichi Sankyo Co Ltd		3,541
	500	Daiwa House Industry Co Ltd		18,524
	7	Daiwa House REIT Investment Corp		16,850
	1,400	DIC Corp		49,948
	2,300	Gree Inc		14,458
	2,100	Hachijuni Bank Ltd (The)		12,595
	400	Hakuhodo DY Holdings Inc		5,775
	100	Hirose Electric Co Ltd		14,862
	1,500	Hiroshima Bank Ltd (The)		11,635
	100	Hisamitsu Pharmaceutical Co Inc		7,175
	1,600	Hitachi Chemical Co Ltd		35,536
	50,000	Hitachi Ltd		378,105
	900	Hokuriku Electric Power Co		6,996
	1,200	Ibiden Co Ltd		19,331
	400	IHI Corp		13,544
	400	Iida Group Holdings Co Ltd		7,523
	22,700	ITOCHU Corp		436,352
	4	Japan Prime Realty Investment Corp (REIT)		13,768
	100	JGC Corp		2,283
	500	Kamigumi Co Ltd		10,928
	1,000	Kaneka Corp		10,124
	1,000	Kansai Electric Power Co Inc (The)		12,146
	500	Kitz Corp		4,087
	500	Kurita Water Industries Ltd		15,283
	500	Kyowa Hakko Kirin Co Ltd		10,481
	900	Kyushu Financial Group Inc		4,996
	200	Lawson Inc		13,057
	11,400	Marubeni Corp		86,860
	300	Maruichi Steel Tube Ltd		9,402
	1,100	Marui Group Co Ltd		21,071
	4,680	Mebuki Financial Group Inc		18,761
	900	Medipal Holdings Corp		18,306
	39,900	Mitsubishi Chemical Holdings Corp		402,547
	3,500	Mitsubishi Electric Corp		59,036
	800	Mitsubishi Gas Chemical Co Inc		19,787
	9,700	Mitsubishi Tanabe Pharma Corp		206,613
	700	Mitsubishi UFJ Lease & Finance Co Ltd		4,430
	1,400	Mitsui & Co Ltd		25,373
	1,600	Mitsui Mining & Smelting Co Ltd		79,569
	200	Mixi Inc		8,067
	100	NEC Corp		3,034
	900	NET One Systems Co Ltd		13,832
	1,000	Nichiha Corp		39,273


Shares		Description	Value ($)

		Japan — continued
	800	Nikon Corp		16,249
	9,900	Nippon Telegraph & Telephone Corp		459,821
	500	Nisshin Seifun Group Inc		9,873
	500	NOK Corp		10,657
	700	Nomura Real Estate Holdings Inc		16,816
	440	Nomura Research Institute Ltd		19,706
	2,000	Oji Holdings Corp		13,034
	100	Rohm Co Ltd		10,503
	200	Sankyo Co Ltd		7,170
	1,100	SBI Holdings Inc		25,137
	1,300	Sega Sammy Holdings Inc		18,859
	4,400	Seiko Epson Corp		83,967
	3,800	Sekisui Chemical Co Ltd		71,194
	1,000	Shinsei Bank Ltd		15,704
	2,700	Showa Denko KK		131,756
	1,000	Showa Shell Sekiyu KK		12,839
	900	Sony Financial Holdings Inc		16,591
	45,000	Sumitomo Chemical Co Ltd		277,455
	1,900	Sumitomo Corp		33,330
	700	Sumitomo Electric Industries Ltd		11,042
	1,100	Sumitomo Heavy Industries Ltd		42,852
	250	Suzuken Co Ltd		10,178
	900	T&D Holdings Inc		14,758
	100	Taisho Pharmaceutical Holdings Co Ltd		9,074
	1,100	Takeda Pharmaceutical Co Ltd		62,371
	800	Tocalo Co Ltd		10,848
	1,200	Tohoku Electric Power Co Inc		15,682
	4,900	Tokyo Electric Power Co Holdings Inc ^*		18,745
	1,100	Tokyo Electron Ltd		214,943
	2,700	Tokyu Fudosan Holdings Corp		19,865
	2,000	Toppan Printing Co Ltd		17,086
	100	Toyoda Gosei Co Ltd		2,421
	4,600	Toyota Tsusho Corp		170,316
	200	Trend Micro Inc		11,281
	600	USS Co Ltd		12,315
	3,100	Yamada Denki Co Ltd		19,565
	1,000	Yamaguchi Financial Group Inc		12,071
	100	Yokohama Rubber Co Ltd (The)		2,456

		Total Japan		5,202,062


		Malaysia — 0.3%
	60,400	AirAsia Berhad		67,428
	16,800	Alliance Financial Group Berhad		17,594
	3,300	AMMB Holdings Berhad		3,476
	4,000	Berjaya Sports Toto Berhad		2,295
	8,744	CIMB Group Holdings Berhad		15,994
	4,000	Gamuda Berhad		5,059
	55,800	Genting Berhad		125,628
	3,800	Hong Leong Financial Group Berhad		18,461
	20,000	IJM Corp Berhad		13,864


8		See accompanying notes to the financial statements.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)

		Malaysia — continued
	32,375	IOI Properties Group Berhad		15,269
	161,900	Petronas Chemicals Group Berhad		333,505
	1,200	Petronas Dagangan Berhad		7,860
	13,341	RHB Bank Berhad		18,295
	12,300	RHB Capital Berhad ^(a)		—
	7,800	UMW Holdings Berhad ^*		12,839
	8,600	Westports Holdings Berhad		8,063
	34,476	YTL Power International Berhad		9,937

		Total Malaysia		675,567


		Mexico — 1.0%
	121,200	Alfa SAB de CV – Class A		143,828
	291,864	America Movil SAB de CV – Series L		268,320
	16,541	Arca Continental SAB de CV		114,932
	7,700	Coca-Cola Femsa SAB de CV – Series L		51,868
	15,392	Genomma Lab Internacional SAB de CV – Class B ^*		16,641
	7,600	Grupo Carso SAB de CV – Series A1		26,637
	1,165	Industrias Penoles SAB de CV		25,363
	9,500	Kimberly-Clark de Mexico SAB de CV – Class A		17,266
	1,900	OHL Mexico SAB de CV		3,374
	656,800	Wal-Mart de Mexico SAB de CV		1,537,242

		Total Mexico		2,205,471


		Netherlands — 0.3%
	2,108	Aegon NV		14,635
	300	AerCap Holdings NV ^*		14,883
	502	Boskalis Westminster		18,893
	30,501	ING Groep NV		535,231
	1,421	Philips Lighting NV		56,293

		Total Netherlands		639,935


		New Zealand — 0.0%
	3,835	Contact Energy Ltd		14,589
	1,280	Fletcher Building Ltd		6,003
	6,852	Meridian Energy Ltd		13,844

		Total New Zealand		34,436


		Norway — 0.2%
	9,528	DNB ASA		186,895
	1,069	Gjensidige Forsikring ASA		19,506
	2,174	Norsk Hydro ASA		14,607
	1,557	Statoil ASA		35,440
	6,069	Storebrand ASA		52,792
	7,349	Subsea 7 SA		109,128
	1,000	Telenor ASA		22,441

		Total Norway		440,809


		Peru — 0.2%
	1,300	Cia de Minas Buenaventura SAA ADR		20,215


Shares		Description	Value ($)

		Peru — continued
	1,500	Credicorp Ltd		324,675

		Total Peru		344,890


		Philippines — 0.1%
	105,700	Alliance Global Group Inc ^*		30,102
	2,280	Bank of the Philippine Islands		5,242
	23,513	Energy Development Corp		2,512
	555	Globe Telecom Inc		18,328
	8,480	International Container Terminal Services Inc		17,876
	16,780	JG Summit Holdings Inc		23,160
	188,000	Megaworld Corp		17,482
	59,800	Metro Pacific Investments Corp		6,462
	820	PLDT Inc		23,887
	27,300	Robinsons Land Corp		10,126
	1,840	Security Bank Corp		8,690
	710	SM Investments Corp		12,744

		Total Philippines		176,611


		Poland — 0.5%
	510	Bank Handlowy w Warszawie SA		12,506
	12,948	Enea SA		38,120
	53,187	Energa SA		160,930
	747	Grupa Azoty SA		12,658
	13,243	KGHM Polska Miedz SA		401,891
	45,852	PGE Polska Grupa Energetyczna SA ^*		135,379
	12,681	Powszechny Zaklad Ubezpieczen SA		157,331
	187,582	Tauron Polska Energia SA ^*		138,945

		Total Poland		1,057,760


		Qatar — 0.0%
	1,134	Barwa Real Estate Co		10,474
	954	Masraf Al Rayan QSC		9,863
	1,248	Ooredoo QPSC		29,720
	299	Qatar Electricity & Water Co QSC		14,087

		Total Qatar		64,144


		Russia — 0.1%
	1,339,000	Inter RAO UES PJSC		87,692
	472	LUKOIL PJSC Sponsored ADR		31,276
	1,286	Novolipetsk Steel PJSC GDR		33,430
	2,826	Sistema PJSC FC Sponsored GDR (Registered)		12,119

		Total Russia		164,517


		Singapore — 0.0%
	11,100	CapitaLand Commercial Trust (REIT)		14,415
	800	City Developments Ltd		7,649
	18,700	Golden Agri-Resources Ltd		5,062
	27,900	Hutchison Port Holdings Trust – Class U		10,117
	5,600	Singapore Press Holdings Ltd		10,941
	12,900	Suntec Real Estate Investment Trust		19,156


		See accompanying notes to the financial statements.		9

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)

		Singapore — continued
	2,600	UOL Group Ltd		16,588
	13,000	Yangzijiang Shipbuilding Holdings Ltd		14,670

		Total Singapore		98,598


		South Africa — 2.5%
	587	Anglo American Platinum Ltd ^*		18,161
	1,224	AngloGold Ashanti Ltd		11,106
	63,910	Barclays Africa Group Ltd		1,063,260
	714	Barloworld Ltd		10,675
	13,162	Bidvest Group Ltd (The)		249,245
	1,169	Exxaro Resources Ltd		12,986
	1,575	Hyprop Investments Ltd (REIT)		14,402
	13,196	Imperial Holdings Ltd		276,519
	1,270	Kumba Iron Ore Ltd		37,342
	20,690	Liberty Holdings Ltd		235,448
	135,693	MMI Holdings Ltd		248,532
	4,000	Mondi Ltd		104,157
	41,277	Nedbank Group Ltd		1,001,505
	745	Pioneer Foods Group Ltd		8,266
	18,173	Reunert Ltd		115,842
	131,875	Standard Bank Group Ltd		2,418,375

		Total South Africa		5,825,821


		South Korea — 3.0%
	1,933	BNK Financial Group Inc		19,931
	497	CJ O Shopping Co Ltd		96,634
	822	Daelim Industrial Co Ltd		56,276
	773	DB Insurance Co Ltd		49,405
	544	DGB Financial Group Inc		6,210
	203	Dongsuh Cos Inc		5,216
	798	Doosan Heavy Industries & Construction Co Ltd ^*		11,002
	1,419	E-MART Inc		398,904
	88	GS Holdings Corp		5,352
	9,215	Hana Financial Group Inc		417,495
	5,377	Hankook Tire Co Ltd		293,657
	4,163	Hanwha Corp		169,985
	41,409	Hanwha Life Insurance Co Ltd		256,025
	312	Hanwha Techwin Co Ltd ^*		8,384
	38	Hyundai Construction Equipment Co Ltd ^*		5,953
	40	Hyundai Electric & Energy System Co Ltd ^*		3,330
	4,115	Hyundai Marine & Fire Insurance Co Ltd		156,682
	3,194	Hyundai Motor Co		475,464
	273	Hyundai Wia Corp		14,688
	39,093	Industrial Bank of Korea		618,480
	4,678	KB Financial Group Inc		276,032
	31	KCC Corp		10,362
	11,203	Kia Motors Corp		355,705
	173	Korea Investment Holdings Co Ltd		12,483
	87	KT Corp		2,239
	1,031	KT&G Corp		95,078
	142	Kumho Petrochemical Co Ltd		11,803


Shares		Description	Value ($)

		South Korea — continued
	2,257	Kwang Dong Pharmaceutical Co Ltd		21,079
	185	LG Chem Ltd		65,328
	4,185	LG Corp		333,540
	458	Lotte Chemical Corp		192,668
	3	Lotte Chilsung Beverage Co Ltd		4,310
	3,755	LOTTE Himart Co Ltd		242,868
	474	NH Investment & Securities Co Ltd		6,215
	458	Posco Daewoo Corp		8,521
	243	Samsung Card Co Ltd		8,160
	370	Samsung Electronics Co Ltd		804,036
	1,424	Samsung Heavy Industries Co Ltd ^*		11,183
	18,832	Shinhan Financial Group Co Ltd		818,469
	629	SK Holdings Co Ltd		165,122
	472	SK Innovation Co Ltd		88,857
	1,433	SK Networks Co Ltd		7,927
	314	SK Telecom Co Ltd		69,307
	6,100	SK Telecom Co Ltd Sponsored ADR		148,535
	3,671	Woori Bank		56,026

		Total South Korea		6,884,926


		Spain — 0.2%
	18,635	Banco Santander SA		127,735
	3,554	CaixaBank SA		17,255
	7,072	Mapfre SA		23,730
	10,909	Repsol SA		193,825
	584	Zardoya Otis SA		6,151

		Total Spain		368,696


		Sweden — 0.4%
	7,033	Alfa Laval AB		168,942
	1,695	Electrolux AB – Series B		55,647
	431	ICA Gruppen AB		15,376
	620	Kinnevik AB – Class B		22,628
	465	Nordea Bank AB		5,277
	12,366	Sandvik AB		228,925
	616	SKF AB – B Shares		12,875
	522	Swedbank AB – A Shares		13,102
	16,473	Volvo AB – B Shares		309,724

		Total Sweden		832,496


		Switzerland — 1.6%
	472	Aryzta AG ^*		11,764
	23,245	Nestle SA (Registered)		1,846,839
	10,079	Novartis AG (Registered)		840,808
	92	Pargesa Holding SA		8,122
	3,003	Roche Holding AG		693,633
	21	Swatch Group AG (The)		8,851
	615	Swiss Life Holding AG (Registered) ^*		222,090

		Total Switzerland		3,632,107


10		See accompanying notes to the financial statements.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)

		Taiwan — 5.1%
	38,000	Asia Pacific Telecom Co Ltd ^*		12,243
	80,000	Asia Vital Components Co Ltd		79,860
	46,000	Asustek Computer Inc		434,536
	2,000	Casetek Holdings Ltd		6,497
	21,000	Catcher Technology Co Ltd		249,169
	86,000	Cathay Financial Holding Co Ltd		157,396
	8,520	Chang Hwa Commercial Bank Ltd		4,868
	44,000	China Airlines Ltd ^*		17,159
	15,826	China Life Insurance Co Ltd		15,742
	41,000	China Synthetic Rubber Corp		68,844
	54,000	Elan Microelectronics Corp		82,594
	35,277	Eva Airways Corp		18,005
	15,000	Evergreen Marine Corp Taiwan Ltd ^*		7,818
	4,000	Far Eastern New Century Corp		3,508
	23,190	First Financial Holding Co Ltd		15,754
	121,000	Formosa Chemicals & Fibre Corp		443,335
	4,000	Formosa Petrochemical Corp		15,766
	149,000	Formosa Plastics Corp		521,880
	13,000	Formosa Taffeta Co Ltd		14,099
	161,000	Fubon Financial Holding Co Ltd		283,363
	45,000	Gigabyte Technology Co Ltd		105,133
	269,000	Grand Pacific Petrochemical		264,925
	32,000	Holtek Semiconductor Inc		87,099
	766,525	Hon Hai Precision Industry Co Ltd		2,258,654
	6,000	HTC Corp ^*		12,475
	6,432	Hua Nan Financial Holdings Co Ltd – Class C		3,765
	104,000	Inventec Corp		81,908
	74,000	Lite-On Semiconductor Corp		99,197
	4,000	Long Chen Paper Co Ltd		4,944
	27,000	Lotes Co Ltd		181,626
	4,000	MediaTek Inc		40,175
	15,000	Mega Financial Holding Co Ltd		12,716
	2,000	Merida Industry Co Ltd		8,701
	138,000	Mitac Holdings Corp		152,074
	303,000	Nan Ya Plastics Corp		826,998
	51,000	Novatek Microelectronics Corp		219,618
	1,000	OBI Pharma Inc ^*		5,798
	173,000	Pegatron Corp		434,947
	42,000	Phison Electronics Corp		405,811
	245,000	Pou Chen Corp		305,302
	24,000	Primax Electronics Ltd		60,628
	31,000	Quanta Computer Inc		62,835
	177,000	Radiant Opto-Electronics Corp		491,187
	16,800	Ruentex Development Co Ltd ^*		18,244
	10,000	Ruentex Industries Ltd ^*		17,417
	24,000	Shin Kong Financial Holding Co Ltd		9,764
	2,000	Siliconware Precision Industries Co Ltd		3,479
	7,000	Simplo Technology Co Ltd		43,887
	12,989	SinoPac Financial Holdings Co Ltd		4,475
	72,350	Synnex Technology International Corp		94,601


Shares		Description	Value ($)

		Taiwan — continued
	33,063	Taiwan Business Bank		9,749
	12,000	Taiwan Fertilizer Co Ltd		15,883
	8,000	Taiwan Semiconductor Co Ltd		19,195
	57,331	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		2,485,299
	3,000	Transcend Information Inc		8,639
	80,000	Uni-President Enterprises Corp		187,304
	301,000	United Microelectronics Corp		144,318
	175,503	Wistron Corp		144,507
	7,000	WPG Holdings Ltd		8,915
	2,000	Zhen Ding Technology Holding Ltd		4,279

		Total Taiwan		11,798,907


		Thailand — 0.6%
	55,800	Bangchak Corp PCL		71,694
	9,200	Banpu Pcl (Foreign Registered)		6,850
	6,900	BEC World Pcl (Foreign Registered)		2,213
	32,700	BTS Group Holdings Pcl (Foreign Registered)		8,481
	2,800	Glow Energy Pcl (Foreign Registered)		7,534
	220,900	Indorama Ventures Pcl (Foreign Registered)		378,264
	53,900	IRPC Pcl (Foreign Registered)		13,963
	21,000	Krung Thai Bank Pcl (Foreign Registered)		13,521
	6,000	PTT Exploration & Production Pcl (Foreign Registered)		21,854
	170,600	PTT Global Chemical Pcl (Foreign Registered)		536,236
	16,500	PTT Pcl (Foreign Registered)		295,994
	4,600	Thai Oil Pcl (Foreign Registered)		15,040
	50,300	TMB Bank Pcl (Foreign Registered)		4,794

		Total Thailand		1,376,438


		Turkey — 1.2%
	113,295	Eregli Demir ve Celik Fabrikalari TAS		336,978
	130,445	KOC Holding AS		616,720
	1,778	TAV Havalimanlari Holding AS		10,805
	9,008	Turk Telekomunikasyon AS ^*		15,389
	144,759	Turkiye Garanti Bankasi AS		444,776
	355,802	Turkiye Is Bankasi – Class C		706,099
	54,836	Turkiye Sise ve Cam Fabrikalari AS		68,589
	268,727	Turkiye Vakiflar Bankasi TAO – Class D		516,839
	902	Ulker Biskuvi Sanayi AS		5,333
	14,969	Yapi ve Kredi Bankasi AS ^*		18,652

		Total Turkey		2,740,180


		United Arab Emirates — 0.0%
	7,875	Abu Dhabi Commercial Bank PJSC		15,631
	40,288	DAMAC Properties Dubai Co PJSC		32,844
	32,700	Dubai Islamic Bank PJSC		53,806
	4,957	Emaar Malls PJSC		2,862

		Total United Arab Emirates		105,143


		See accompanying notes to the financial statements.		11

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)

		United Kingdom — 3.6%
	17,494	3i Group Plc		225,026
	5,386	888 Holdings Plc		21,140
	734	Antofagasta Plc		8,726
	700	AstraZeneca Plc Sponsored ADR		23,233
	3,236	AstraZeneca Plc		211,803
	2,982	Aviva Plc		20,657
	1,356	Babcock International Group Plc		12,106
	2,068	Barratt Developments Plc		15,283
	152	BHP Billiton Plc		3,086
	12,658	BP Plc		82,274
	20,261	British American Tobacco Plc		1,195,854
	8,101	Chemring Group Plc		21,252
	9,151	Cobham Plc ^*		14,206
	3,080	Direct Line Insurance Group Plc		16,198
	852	easyJet Plc		19,562
	4,185	Electrocomponents Plc		36,116
	962	Fenner Plc		6,280
	12,309	Ferrexpo Plc		52,609
	654	Galliford Try Plc		8,218
	3,000	GlaxoSmithKline Plc Sponsored ADR		108,930
	1,026	Hammerson Plc (REIT)		6,289
	57,977	HSBC Holdings Plc		570,162
	494	Inmarsat Plc		3,176
	5,037	Intu Properties Plc (REIT)		13,967
	1,662	Investec Plc		14,489
	1,346	Investec Plc		11,675
	2,400	Land Securities Group Plc (REIT)		30,498
	72,600	Legal & General Group Plc		261,537
	546,089	Lloyds Banking Group Plc		515,962
	1,544	Meggitt Plc		9,569
	614	Mondi Plc		15,972
	2,990	Northgate Plc		13,459
	7,673	Persimmon Plc		274,298
	5,520	QinetiQ Group Plc		15,522
	19,488	Reckitt Benckiser Group Plc		1,546,887
	6,672	Royal Dutch Shell Plc A Shares (London)		210,709
	3,765	Royal Dutch Shell Plc B Shares (London)		119,423
	439	Severn Trent Plc		10,281
	143	Spectris Plc		5,344
	292	Travis Perkins Plc		5,153
	1,680	UBM Plc		21,179
	49,415	Unilever Plc		2,540,827
	1,767	Vedanta Resources Plc		17,752
	1,032	Vesuvius Plc		8,341
	1,296	WM Morrison Supermarkets Plc		4,020

		Total United Kingdom		8,349,050


		United States — 44.8%
	4,011	3M Co.		944,631
	39,071	Abbott Laboratories		2,357,153


Shares		Description	Value ($)

		United States — continued
	23,500	Accenture Plc – Class A		3,783,735
	1,328	Alphabet, Inc. – Class A ^*		1,466,006
	6,200	Alphabet, Inc. – Class C ^*		6,849,326
	30,829	American Express Co.		3,006,136
	7,800	Amphenol Corp. – Class A		712,842
	5,659	Analog Devices, Inc.		510,159
	8,069	Anthem, Inc.		1,899,281
	40,600	Apple, Inc.		7,231,672
	5,279	Becton Dickinson and Co.		1,172,044
	75,051	Cisco Systems, Inc.		3,360,784
	36,867	Coca-Cola Co. (The)		1,593,392
	38,966	Cognizant Technology Solutions Corp. – Class A		3,195,991
	14,314	Costco Wholesale Corp.		2,732,543
	10,300	CVS Health Corp.		697,619
	7,700	Eli Lilly & Co.		593,054
	14,841	Emerson Electric Co.		1,054,601
	7,700	Honeywell International, Inc.		1,163,547
	4,754	Humana, Inc.		1,292,232
	42,500	Johnson & Johnson		5,519,900
	9,963	Mastercard, Inc. – Class A		1,751,097
	40,167	Medtronic Plc		3,208,942
	89,351	Microsoft Corp.		8,378,443
	11,221	Monsanto Co.		1,384,335
	145,682	Oracle Corp.		7,381,707
	4,366	PepsiCo, Inc.		479,081
	27,800	Pfizer, Inc.		1,009,418
	26,984	Philip Morris International, Inc.		2,794,193
	49,209	QUALCOMM, Inc.		3,198,585
	16,494	Schlumberger Ltd.		1,082,666
	9,926	Stryker Corp.		1,609,600
	20,300	Teradata Corp. ^*		747,446
	18,181	Texas Instruments, Inc.		1,969,911
	32,116	TJX Cos., Inc. (The)		2,655,351
	24,792	UnitedHealth Group, Inc.		5,606,959
	16,889	United Technologies Corp.		2,275,624
	52,753	US Bancorp		2,867,653
	11,112	VF Corp.		828,622
	48,228	Wells Fargo & Co.		2,816,997

		Total United States		103,183,278


		TOTAL COMMON STOCKS (COST $161,273,922)		196,054,979


		PREFERRED STOCKS ^(b) — 1.5%

		Brazil — 1.0%
	47,608	Banco Bradesco SA		568,469
	12,100	Braskem SA – Class A		173,065
	8,300	Centrais Eletricas Brasileiras SA – Class B		71,320
	4,800	Cia Brasileira de Distribuicao		101,251
	17,640	Itau Unibanco Holding SA		273,708
	26,300	Itau Unibanco Holding SA Sponsored ADR		409,491


12		See accompanying notes to the financial statements.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Brazil — continued
	145,104	Itausa – Investimentos Itau SA		586,333
	49,000	Metalurgica Gerdau SA		118,920

		Total Brazil		2,302,557


		Colombia — 0.0%
	37,891	Grupo Aval Acciones y Valores SA		16,397
	1,758	Grupo de Inversiones Suramericana SA		21,805

		Total Colombia		38,202


		Germany — 0.1%
	136	Draegerwerk AG & Co KGaA		13,912
	1,131	Volkswagen AG		220,023

		Total Germany		233,935


		Russia — 0.0%
	27,445	Surgutneftegas OJSC		14,318


		South Korea — 0.4%
	1,338	Hyundai Motor Co		110,529
	1,708	Hyundai Motor Co 2nd Preference		153,277
	127	LG Chem Ltd		25,084
	254	Samsung Electronics Co Ltd		466,596
	148	Samsung Electronics Co Ltd GDR (Registered)		134,273

		Total South Korea		889,759


		TOTAL PREFERRED STOCKS (COST $2,471,970)		3,478,771


		RIGHTS/WARRANTS— 0.0%

		Brazil — 0.0%
	3,410	Itausa – Investimentos Itau SA Rights, Expires 4/05/18 ^* (a)		5,671


		TOTAL RIGHTS/WARRANTS (COST $0)		5,671


		MUTUAL FUNDS— 6.0%

		United States — 6.0%
		Affiliated Issuers — 6.0%
	554,604	GMO U.S. Treasury Fund		13,848,473


		TOTAL MUTUAL FUNDS (COST $13,849,266)		13,848,473


		SHORT-TERM INVESTMENTS— 5.4%

		Money Market Funds — 0.2%
	533,644	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33% ^(c)		533,644


Shares		Description	Value ($)
		U.S. Government — 5.2%
	3,000,000	U.S. Treasury Bill, 1.58%, due 05/17/18 ^{(d) (e)}		2,989,886
	3,500,000	U.S. Treasury Bill, 1.64%, due 05/31/18 ^{(d) (e)}		3,485,601
	1,500,000	U.S. Treasury Bill, 1.77%, due 07/19/18 ^{(d) (e)}		1,489,806
	4,000,000	U.S. Treasury Bill, 1.78%, due 07/26/18 ^{(d) (e)}		3,971,376

		Total U.S. Government		11,936,669


		TOTAL SHORT-TERM INVESTMENTS (COST $12,476,310)		12,470,313


		TOTAL INVESTMENTS — 98.1% (Cost $190,071,468)		225,858,207
		Other Assets and Liabilities (net) — 1.9%		4,473,190


		TOTAL NET ASSETS — 100.0%		$230,331,397

A summary of outstanding financial instruments at February 28, 2018 is as follows:

Forward Currency Contracts



Settlement Date	Counter party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
03/13/2018	GS		AUD	919,581		USD	691,773	$	(22,470	)
03/12/2018	JPM		CHF	660,889		USD	671,345		(29,019	)
03/20/2018	JPM		EUR	5,982,642		USD	7,480,959		172,338
03/20/2018	MSCI		GBP	2,153,184		USD	3,033,632		66,988
03/16/2018	GS		JPY	546,625,877		USD	5,105,537		(22,465	)
03/12/2018	BOA		NOK	2,917,200		USD	353,630		(15,875	)
03/12/2018	DB		SEK	7,485,600		USD	892,203		(11,693	)

								$	137,804

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
Sales
1,503	S&P 500 E-Mini	March 2018	$	203,987,160	$	(5,317,837	)

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.


		See accompanying notes to the financial statements.		13

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2018

Notes to Schedule of Investments:

*	Non-income producing security.

(a)	Investment valued using significant unobservable inputs (Note 2).

(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 February 28, 2018.

(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 (Note 4).


14		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the Consumer Price Index (“CPI”) is included for comparative purposes only.

Class III shares of GMO Benchmark-Free Allocation Fund returned +10.28% (net) for the fiscal year ended February 28, 2018, as compared with +2.11% for the CPI.

The Fund’s exposure to equities, particularly in emerging markets, was the primary driver of the strong performance. The Fund’s exposure to alternative strategies also contributed as all of the strategies enjoyed positive performance, with Special Opportunities being particularly strong. Fixed income strategies were mildly additive to performance, with the high yield / distressed debt portfolio having the largest positive impact, although the exposure to TIPS had a small negative return for the period. The cash and short duration bond holdings had a marginal positive impact on performance.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Benchmark-Free Allocation Fund Class III Shares, the Consumer Price Index, MSCI ACWI and Bloomberg Barclays U.S. Treasury Inflation Notes: 1-10 Year Index

As of February 28, 2018

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .20% on the purchase and .20% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited. Performance for classes may vary due to different fees.

Prior to January 1, 2012, the Fund served as a principal component of a broader GMO real return strategy that also included a pooled investment vehicle with a cash-like benchmark. The returns shown for periods prior to January 1, 2012 are for Class III shares of the Fund under the Fund’s prior fee arrangement. Under the Fund’s current fee arrangement, the returns for periods prior to January 1, 2012 would have been lower.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		50.1	%
Debt Obligations		35.4
Short-Term Investments		13.2
Preferred Stocks		1.2
Mutual Funds		0.6
Swap Contracts		0.1
Investment Funds		0.0	^
Rights/Warrants		0.0	^
Purchased Options		0.0	^
Loan Participations		0.0	^
Futures Contracts		0.0	^
Loan Assignments		0.0	^
Exchange-Traded Funds		(0.0	)^
Written/Credit Linked Options		(0.1	)
Forward Currency Contracts		(0.1	)
Securities Sold Short		(1.6	)
Other		1.2

		100.0	%


Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		13.3	%
Other Emerging		2.0	†
Euro Region		0.0	^±
Other Developed		(0.6	)‡
Japan		(1.2	)
United Kingdom		(6.5	)

		7.0	%


Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		11.8	%
China		5.5
Taiwan		4.8
Other Developed		4.7	‡
South Korea		3.5
Japan		2.8
United Kingdom		2.2
Russia		1.9
Thailand		1.9
Germany		1.9
Other Emerging		1.8	†
South Africa		1.7
India		1.6
France		1.3
Brazil		1.2
Netherlands		1.1
Turkey		1.0

		50.7	%

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

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

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

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

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

^	Rounds to 0.0%.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%

		Affiliated Issuers — 99.9%
	11,842,598	GMO Emerging Country Debt Fund, Class IV		338,343,014
	778,780,409	GMO Implementation Fund		10,973,015,970
	20,535,481	GMO Opportunistic Income Fund, Class VI		542,342,069
	31,969,116	GMO SGM Major Markets Fund, Class VI		1,015,978,511
	26,478,015	GMO Special Opportunities Fund, Class VI		669,099,430


		TOTAL MUTUAL FUNDS (COST $12,615,693,767)		13,538,778,994


		SHORT-TERM INVESTMENTS — 0.1%

		Money Market Funds — 0.1%
	6,838,048	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.32% ^(a)		6,838,048


		TOTAL SHORT-TERM INVESTMENTS (COST $6,838,048)		6,838,048


		TOTAL INVESTMENTS — 100.0% (Cost $12,622,531,815)		13,545,617,042
		Other Assets and Liabilities (net) — (0.0%)		(5,437,090	)


		TOTAL NET ASSETS — 100.0%		$13,540,179,952

Notes to Schedule of Investments:

(a)	The rate disclosed is the 7 day net yield as of February 28, 2018.


		See accompanying notes to the financial statements.		19

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any index or benchmark, a discussion of the Fund’s performance relative to the Consumer Price Index (“CPI”) is included for comparative purposes only.

GMO Benchmark-Free Fund returned +13.59% (net) for the fiscal year ended February 28, 2018, as compared with +2.11% for the CPI.

The Fund’s exposure to equities, particularly in emerging markets, was the primary driver of the strong performance. The Fund’s exposure to alternative strategies also contributed as both SGM and Special Opportunities enjoyed positive performance, with Special Opportunities being particularly strong. Fixed income strategies were mildly additive to performance, although the exposure to TIPS had a small negative return for the period. The cash and short duration bond holdings had a marginal positive impact on performance.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Benchmark-Free Fund Class III Shares, the Consumer Price Index, MSCI ACWI and

Bloomberg Barclays U.S. Treasury Inflation Notes: 1-10 Year Index

As of February 28, 2018

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .25% on the purchase and .25% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		54.7	%
Debt Obligations		32.8
Short-Term Investments		11.5
Preferred Stocks		1.7
Investment Funds		0.2
Swap Contracts		0.1
Futures Contracts		0.0	^
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Purchased Options		0.0	^
Forward Currency Contracts		0.0	^
Loan Assignments		0.0	^
Written/Credit Linked Options		(0.0	)^
Securities Sold Short		(0.3	)
Other		(0.7	)

		100.0	%


Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		15.2	%
Other Emerging		2.3	†
Euro Region		0.0	^#
Other Developed		(0.7	)‡

		16.8	%


Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		9.9	%
China		7.6
Other Developed		6.2	‡
Taiwan		5.5
South Korea		3.8
Japan		3.7
United Kingdom		2.7
Other Emerging		2.3	†
India		2.2
Germany		2.2
Russia		2.1
Thailand		2.1
South Africa		2.0
Brazil		1.8
France		1.6

		55.7	%

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

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

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

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

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

^	Rounds to 0.0%.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		COMMON STOCKS— 37.5%

		Australia— 0.5%
	15,166	Adelaide Brighton Ltd		77,020
	1,434	ASX Ltd		64,517
	134,693	Caltex Australia Ltd		3,651,145
	83,953	Charter Hall Group (REIT)		379,065
	14,205	CIMIC Group Ltd		512,376
	40,010	Codan Ltd		74,896
	112,161	Costa Group Holdings Ltd		630,575
	41,522	Credit Corp Group Ltd		676,606
	385,581	CSR Ltd		1,534,163
	735,327	Downer EDI Ltd		3,922,482
	253,594	Genworth Mortgage Insurance Australia Ltd		493,208
	177,322	Goodman Group (REIT)		1,121,272
	9,446	Macquarie Group Ltd		752,599
	379,812	Metcash Ltd		949,790
	186,433	Mineral Resources Ltd		2,716,854
	50,306	Myer Holdings Ltd		17,521
	3,444	Navitas Ltd		12,819
	224,830	OZ Minerals Ltd		1,663,526
	169,874	Pact Group Holdings Ltd		734,493
	27,413	Resolute Mining Ltd		23,577
	58,493	Shopping Centres Australasia Property Group (REIT)		101,285
	75,159	Sigma Healthcare Ltd		51,792
	3,762	Virtus Health Ltd		16,753
	49,237	WorleyParsons Ltd		578,298
	34,707	WPP AUNZ Ltd		26,906

		Total Australia		20,783,538


		Austria— 0.2%
	7,647	Oesterreichische Post AG		368,181
	94,528	OMV AG		5,374,697
	4,441	POLYTEC Holding AG		94,720
	44,429	voestalpine AG		2,563,027

		Total Austria		8,400,625


		Belgium— 0.0%
	17,705	AGFA-Gevaert NV ^*		86,823
	2,692	Barco NV		328,491
	6,404	D’ieteren SA/NV		275,418
	420	Orange Belgium SA		7,776

		Total Belgium		698,508


		Brazil— 0.7%
	111,500	AES Tiete Energia SA		389,764
	47,500	Banco BTG Pactual SA		337,060
	200,000	Banco do Brasil SA		2,574,764
	166,700	Banco Santander Brasil SA		1,887,819


Shares		Description	Value ($)
		Brazil— continued
	561,800	Centrais Eletricas Brasileiras SA ^*		4,285,868
	334,600	Cia de Saneamento Basico do Estado de Sao Paulo		3,879,913
	11,500	EcoRodovias Infraestrutura e Logistica SA		35,595
	21,800	EDP – Energias do Brasil SA		89,297
	21,400	Eletropaulo Metropolitana Eletricidade de Sao Paulo SA		115,341
	48,700	Engie Brasil Energia SA		587,208
	124,500	Estacio Participacoes SA		1,299,871
	82,000	Grendene SA		717,491
	1,326,700	JBS SA		4,049,277
	42,800	LPS Brasil Consultoria de Imoveis SA ^*		71,050
	8,900	Multiplus SA		94,375
	224,600	Oi SA ^*		279,462
	26,500	Qualicorp SA		234,647
	215,700	Rumo SA ^*		946,000
	15,900	Tim Participacoes SA ADR		338,352
	23,000	Transmissora Alianca de Energia Eletrica SA		145,215
	619,935	Vale SA		8,601,457
	106,400	Via Varejo SA		897,563

		Total Brazil		31,857,389


		Canada— 0.8%
	28,600	AGF Management Ltd – Class B		153,342
	102,100	Air Canada ^*		2,153,075
	61,000	Bank of Nova Scotia (The)		3,779,224
	42,700	Baytex Energy Corp ^*		108,885
	26,637	BRP Inc Sub Voting		933,914
	8,100	Canfor Corp ^*		191,390
	33,800	Cascades Inc		418,549
	7,400	Celestica Inc ^*		80,512
	2,600	Celestica Inc ^*		28,306
	30,300	CI Financial Corp		673,911
	700	Cominar Real Estate Investment Trust		7,561
	2,700	Corus Entertainment Inc – B Shares		16,917
	5,040	Dream Industrial Real Estate Investment Trust		36,842
	22,300	Empire Co Ltd – Class A		412,911
	10,300	IAMGOLD Corp ^*		54,181
	1,800	IGM Financial Inc		54,973
	11,800	Industrial Alliance Insurance & Financial Services Inc		500,157
	45,100	Just Energy Group Inc		217,557
	17,300	Labrador Iron Ore Royalty Corp		339,340
	900	Laurentian Bank of Canada		35,637
	23,000	Magna International Inc		1,265,430
	21,100	Medical Facilities Corp		248,951
	145,000	Metro Inc		4,574,190
	17,000	North West Co Inc (The)		363,131


		See accompanying notes to the financial statements.		23

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Canada— continued
	13,600	Pure Industrial Real Estate Trust (REIT)		85,000
	37,800	Rogers Sugar Inc		182,343
	154,400	Royal Bank of Canada		12,163,572
	36,500	Russel Metals Inc		838,260
	10,100	Toromont Industries Ltd		453,445
	71,400	Transcontinental Inc – Class A		1,343,758
	14,200	Valener Inc		227,076
	11,200	Wajax Corp		196,559
	47,200	West Fraser Timber Co Ltd		3,287,668
	6,530	WestJet Airlines Ltd		131,546
	2,900	Westshore Terminals Investment Corp		56,364
	26,000	ZCL Composites Inc		222,475

		Total Canada		35,836,952


		Chile— 0.0%
	536,531	Enel Chile SA		66,388
	3,516	Inversiones La Construccion SA		70,536

		Total Chile		136,924


		China— 5.1%
	88,000	361 Degrees International Ltd		32,065
	1,648,000	Agile Group Holdings Ltd		2,810,348
	34,198,000	Agricultural Bank of China Ltd – Class H		18,790,105
	7,800	Alibaba Group Holding Ltd Sponsored ADR ^*		1,451,892
	944,000	Anhui Conch Cement Co Ltd – Class H		5,015,506
	36,000	Anhui Expressway Co Ltd – Class H		28,197
	1,452,500	BAIC Motor Corp Ltd – Class H		1,827,406
	11,096,000	Bank of China Ltd – Class H		5,967,113
	4,550,000	Bank of Communications Co Ltd – Class H		3,617,275
	44,000	Baoye Group Co Ltd – Class H ^*		28,491
	82,000	Beijing Capital International Airport Co Ltd – Class H		120,950
	14,075	Changyou.com Ltd ADR ^*		398,322
	60,000	Chaowei Power Holdings Ltd		36,753
	1,484,000	China BlueChemical Ltd – Class H		445,359
	2,730,000	China CITIC Bank Corp Ltd – Class H		1,974,122
	6,432,000	China Communications Services Corp Ltd – Class H		3,802,334
	3,544,000	China Construction Bank Corp – Class H		3,633,707
	1,081,000	China Everbright Bank Co Ltd – Class H		553,211
	2,154,000	China Greenfresh Group Co Ltd		365,456
	2,136,000	China Huarong Asset Management Co Ltd – Class H		963,944
	60,000	China Jinmao Holdings Group Ltd		36,272
	2,688,000	China Lesso Group Holdings Ltd		1,762,634
	2,850,000	China Machinery Engineering Corp – Class H		1,719,149


Shares		Description	Value ($)
		China— continued
	302,500	China Mobile Ltd		2,817,191
	8,292,000	China National Building Material Co Ltd – Class H		8,135,360
	3,274,000	China National Materials Co Ltd – Class H		2,718,959
	16,000	China Overseas Land & Investment Ltd		55,593
	12,900	China Petroleum & Chemical Corp ADR		1,020,390
	20,392,000	China Petroleum & Chemical Corp – Class H		16,184,534
	7,991,000	China Railway Construction Corp Ltd – Class H		8,551,711
	1,327,000	China Railway Group Ltd – Class H		958,966
	10,000	China Resources Land Ltd		35,328
	1,970,000	China Shenhua Energy Co Ltd – Class H		5,575,693
	31,006,000	China Telecom Corp Ltd – Class H		13,519,074
	168,600	China Vanke Co Ltd – Class H		748,035
	18,300	China Yuchai International Ltd		410,103
	1,630,000	Chongqing Rural Commercial Bank Co Ltd – Class H		1,312,674
	447,000	Country Garden Holdings Co Ltd		793,860
	10,464,000	Dongfeng Motor Group Co Ltd – Class H		13,149,730
	138,000	Guangdong Investment Ltd		210,403
	214,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		578,732
	3,417,600	Guangzhou R&F Properties Co Ltd – Class H		7,936,461
	2,133,000	Haier Electronics Group Co Ltd ^*		7,265,986
	176,000	Haitian International Holdings Ltd		539,146
	1,544,000	Harbin Electric Co Ltd – Class H		623,432
	513,000	Hi Sun Technology China Ltd ^*		105,919
	774,000	Hisense Kelon Electrical Holdings Co Ltd – Class H		946,980
	379,000	Hua Hong Semiconductor Ltd		725,902
	3,542,000	Huabao International Holdings Ltd		2,655,717
	59,000	IGG Inc		74,396
	3,255,000	Industrial and Commercial Bank of China Ltd – Class H		2,775,016
	306,000	Jiangnan Group Ltd		19,430
	1,082,000	Jiangsu Expressway Co Ltd – Class H		1,675,598
	12,893	Jumei International Holding Ltd ADR ^*		36,745
	1,303,000	Kingboard Chemical Holdings Ltd		6,548,357
	1,562,000	Kingboard Laminates Holdings Ltd		2,713,240
	837,000	Lee & Man Paper Manufacturing Ltd		945,732
	107,100	Legend Holdings Corp – Class H		365,237
	213,900	Livzon Pharmaceutical Group Inc – Class H		1,590,101
	600,000	Longfor Properties Co Ltd		1,722,816
	7,480,000	Lonking Holdings Ltd		3,097,938
	200	NetEase Inc ADR		58,670
	576,000	Nexteer Automotive Group Ltd ^*		1,271,433
	514,000	Nine Dragons Paper Holdings Ltd		914,579


24		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		China— continued
	23,000	PAX Global Technology Ltd		11,405
	642,000	PICC Property & Casualty Co Ltd – Class H		1,259,203
	1,659,000	Postal Savings Bank of China Co Ltd – Class H		1,018,262
	1,235,000	Powerlong Real Estate Holdings Ltd		615,694
	102,000	Qingling Motors Co Ltd – Class H		32,699
	278,000	Road King Infrastructure Ltd		503,177
	1,048,000	Shandong Weigao Group Medical Polymer Co Ltd – Class H		714,613
	769,000	Shanghai Industrial Holdings Ltd		2,140,503
	1,457,100	Shanghai Pharmaceuticals Holding Co Ltd – Class H		3,646,755
	88,000	Shenzhen Expressway Co Ltd – Class H		88,499
	2,314,500	Shimao Property Holdings Ltd		5,703,571
	79,500	SINA Corp ^*		9,295,935
	690,000	Sino Biopharmaceutical Ltd		1,292,858
	1,649,500	Sino-Ocean Group Holding Ltd		1,162,062
	959,500	Sinopec Engineering Group Co Ltd – Class H		929,822
	12,000	Sinotrans Ltd – Class H		6,645
	1,807,500	Sinotruk Hong Kong Ltd		2,292,696
	4,000	SOHO China Ltd		2,289
	127,000	Spring Real Estate Investment Trust		53,831
	40,400	Tencent Holdings Ltd		2,210,224
	267,500	Texhong Textile Group Ltd		348,548
	706,000	Tianjin Port Development Holdings Ltd ^*		102,374
	42,000	Tianneng Power International Ltd		41,506
	2,283,000	TravelSky Technology Ltd – Class H		7,217,921
	8,000	Truly International Holdings Ltd		2,651
	895,000	Want Want China Holdings Ltd		751,405
	3,495,000	Weichai Power Co Ltd – Class H		3,896,213
	733,000	Xinhua Winshare Publishing and Media Co Ltd – Class H		562,843
	1,809,500	Xtep International Holdings Ltd		800,156
	496,000	Yuexiu Transport Infrastructure Ltd		371,702
	6,832,000	Yuzhou Properties Co Ltd		4,175,383
	1,976,000	Zhejiang Expressway Co Ltd – Class H		2,148,329

		Total China		230,165,552


		Colombia— 0.1%
	144,314	Almacenes Exito SA		845,106
	239,100	Ecopetrol SA Sponsored ADR		4,186,641

		Total Colombia		5,031,747


		Cyprus — 0.0%
	2,277	TCS Group Holding Plc GDR		52,414


		Czech Republic— 0.0%
	23,799	CEZ AS		575,731
	42,490	Moneta Money Bank AS		171,419
	558	Philip Morris CR AS		452,874

		Total Czech Republic		1,200,024


Shares		Description	Value ($)
		Denmark— 0.1%
	12	AP Moeller – Maersk A/S – Class B		19,492
	1,010	Dfds A/S		55,623
	37,000	Novo Nordisk A/S Sponsored ADR		1,904,760
	4,494	Schouw & Co AB		468,498

		Total Denmark		2,448,373


		Egypt— 0.0%
	43,450	Alexandria Mineral Oils Co		22,090


		Finland— 0.1%
	9,043	Cramo Oyj		211,562
	1,330	Kesko Oyj – B Shares		77,390
	102,498	UPM-Kymmene Oyj		3,506,847

		Total Finland		3,795,799


		France— 1.6%
	266,881	Air France-KLM ^*		3,149,361
	8,227	Alten SA		790,930
	15,434	Amundi SA		1,258,120
	481,425	AXA SA		15,077,775
	119,723	BNP Paribas SA		9,466,557
	176	Capgemini SE		21,938
	3,879	Casino Guichard Perrachon SA		210,126
	15,922	Christian Dior SE		5,913,728
	103,139	CNP Assurances		2,499,421
	257,744	Credit Agricole SA		4,416,494
	11,982	Derichebourg SA		107,422
	9,969	IPSOS		382,090
	2,872	Jacquet Metal Service		103,972
	8,238	LVMH Moet Hennessy Louis Vuitton SE		2,463,962
	3,147	MGI Coutier		120,495
	2,513	Neopost SA		73,025
	7,417	Rallye SA		135,684
	17,428	Sanofi		1,375,938
	62,526	SCOR SE		2,650,887
	172,360	Societe Generale SA		9,793,430
	287,000	STMicroelectronics NV – NY Shares		6,543,600
	218,501	STMicroelectronics NV		4,969,211

		Total France		71,524,166


		Germany— 1.8%
	73,541	Allianz SE (Registered)		17,082,929
	50,315	BASF SE		5,256,385
	9,627	Bayer AG (Registered)		1,123,433
	133,506	Bayerische Motoren Werke AG		14,026,794
	4,253	Cewe Stiftung & Co KGAA		433,609
	19,670	Covestro AG		2,218,979
	209,361	Daimler AG (Registered Shares)		17,876,633
	371,602	Deutsche Lufthansa AG (Registered)		12,407,817


		See accompanying notes to the financial statements.		25

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Germany— continued
	161	Duerr AG		19,691
	1,010	Isra Vision AG		244,787
	2,694	Koenig & Bauer AG		236,405
	5,272	Leoni AG		358,510
	223,009	RWE AG ^*		4,432,589
	28,317	SAP AG		2,955,145
	9,573	Software AG		502,531
	5,859	STADA Arzneimittel AG		611,388
	24,767	Talanx AG		1,094,779
	9,434	Volkswagen AG		1,874,068
	2,422	Washtec AG		200,501

		Total Germany		82,956,973


		Greece— 0.0%
	142,457	Alpha Bank AE ^*		338,230
	333,287	Eurobank Ergasias SA ^*		334,384
	12,055	FF Group ^*		256,522
	31,012	Mytilineos Holdings SA ^*		364,493
	865,949	National Bank of Greece SA ^*		317,720
	75,408	Piraeus Bank SA ^*		329,268

		Total Greece		1,940,617


		Hong Kong— 0.8%
	1,186,900	BOC Hong Kong Holdings Ltd		5,964,747
	833,400	Champion (REIT)		591,773
	41,700	Dah Sing Banking Group Ltd		92,677
	4,000	Dah Sing Financial Holdings Ltd		25,898
	308,000	Fortune Real Estate Investment Trust		366,210
	40,000	HKT Trust & HKT Ltd – Class SS		50,956
	147,100	Hysan Development Co Ltd		850,124
	831,638	I-CABLE Communications Ltd ^*		20,816
	169,800	Kerry Properties Ltd		767,539
	374,400	Link (REIT)		3,182,771
	71,800	Luk Fook Holdings International Ltd		247,245
	162,000	Man Wah Holdings Ltd		148,866
	10,000	Minth Group Ltd		58,684
	29,700	New World Development Co Ltd		44,918
	60,000	Shenzhen Investment Ltd		24,883
	2,402,900	SJM Holdings Ltd		2,288,880
	14,300	SmarTone Telecommunications Holdings Ltd		15,537
	566,000	SSY Group Ltd.		427,944
	2,000	Swire Pacific Ltd – Class A		20,104
	1,400	Television Broadcasts Ltd		4,612
	7,017,500	WH Group Ltd		8,642,785
	750,100	Wharf Holdings Ltd (The)		2,786,854
	750,100	Wharf Real Estate Investment Co Ltd ^*		5,099,135
	365,500	Wheelock & Co Ltd		2,649,459
	55,425	Xinyi Automobile Glass Hong Kong Enterprises Ltd ^*		15,065


Shares		Description	Value ($)
		Hong Kong— continued
	63,400	Xinyi Glass Holdings Ltd		98,008
	164,900	Yue Yuen Industrial Holdings Ltd		704,799

		Total Hong Kong		35,191,289


		Hungary— 0.1%
	733,294	Magyar Telekom Telecommunications Plc		1,293,732
	95,834	Richter Gedeon Nyrt		2,108,948

		Total Hungary		3,402,680


		India— 1.7%
	510,282	Andhra Bank ^*		356,819
	118,116	Aurobindo Pharma Ltd		1,106,856
	14,333	Balmer Lawrie & Co Ltd		50,519
	1,002,244	Bharat Electronics Ltd		2,359,021
	70,904	Cadila Healthcare Ltd		437,504
	245,039	Canara Bank		1,111,965
	122,894	Chambal Fertilizers and Chemicals Ltd		315,788
	55,041	Claris Lifesciences Ltd		330,337
	2,766	Coal India Ltd		13,134
	12,475	Divi’s Laboratories Ltd		195,765
	172,521	Firstsource Solutions Ltd ^*		135,090
	58,094	Gujarat Industries Power Co Ltd		99,217
	675,908	HCL Technologies Ltd		9,748,613
	30,965	Hero MotoCorp Ltd		1,698,878
	390,379	Hexaware Technologies Ltd		2,060,461
	319,690	Hindustan Petroleum Corp Ltd		1,859,081
	54,456	Hindustan Unilever Ltd		1,096,029
	3,854	Hindustan Zinc Ltd		19,126
	949,209	IFCI Ltd ^*		327,372
	131,083	Indian Bank		664,299
	510,545	Indian Oil Corp Ltd		2,946,826
	52,257	Infosys Ltd		930,999
	128,948	Jaypee Infratech Ltd ^*		24,711
	525,920	Karnataka Bank Ltd (The)		1,076,472
	82,528	Maruti Suzuki India Ltd		11,161,644
	3,290	Merck Ltd		78,662
	6,880	MOIL Ltd		23,726
	32,012	Mphasis Ltd		421,582
	156,365	NIIT Technologies Ltd		1,991,261
	869,526	NMDC Ltd		1,711,362
	1,514,258	Oil & Natural Gas Corp Ltd		4,318,024
	669	Oracle Financial Services Software Ltd		40,716
	9,941	Piramal Enterprises Ltd		392,092
	432	Piramal Enterprises Ltd ^*		17,095
	3,070,823	Power Finance Corp Ltd		4,917,123
	859,667	PTC India Ltd		1,344,049
	195,449	Reliance Capital Ltd		1,400,758
	3,418,367	Rural Electrification Corp Ltd		7,518,681
	159,138	Sonata Software Ltd		773,506


26		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		India— continued
	337,888	Syndicate Bank ^*		311,768
	17,906	Tata Consultancy Services Ltd		830,893
	658,403	Tata Steel Ltd		6,754,486
	2,789	Tech Mahindra Ltd		26,186
	44,755	Uflex Ltd		252,476
	797,285	Wipro Ltd		3,565,250
	7,700	Wipro Ltd ADR		42,427

		Total India		76,858,649


		Indonesia— 0.1%
	262,100	Adaro Energy Tbk PT		44,561
	50,700	Astra International Tbk PT		29,655
	119,900	Bank Central Asia Tbk PT		201,787
	422,900	Bank Mandiri Persero Tbk PT		254,392
	166,000	Bank Negara Indonesia Persero Tbk PT		117,224
	868,800	Bank Pembangunan Daerah Jawa Timur Tbk PT		46,672
	1,627,000	Bank Rakyat Indonesia Persero Tbk PT		447,954
	107,800	Bukit Asam Persero Tbk PT		24,769
	618,300	Harum Energy Tbk PT ^*		152,279
	913,600	Indo Tambangraya Megah Tbk PT		2,042,305
	39,500	Indofood Sukses Makmur Tbk PT		21,726
	29,100	Matahari Department Store Tbk PT		22,416
	6,154,600	Panin Financial Tbk PT ^*		122,964
	866,600	Ramayana Lestari Sentosa Tbk PT		73,904
	1,124,000	Telekomunikasi Indonesia Persero Tbk PT		325,490
	3,300	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		95,799
	18,100	United Tractors Tbk PT		46,617

		Total Indonesia		4,070,514


		Ireland— 0.0%
	5,100	ICON Plc ^*		577,881


		Israel— 0.0%
	168	B Communications Ltd ^*		2,933
	32,209	Discount Investment Corp Ltd (Registered)		120,095
	566	Mizrahi Tefahot Bank Ltd		10,433
	11,216	Nova Measuring Instruments Ltd ^*		308,966
	1,900	SodaStream International Ltd ^*		153,748

		Total Israel		596,175


		Italy— 0.7%
	34,038	A2A SPA		60,183
	38,149	ACEA SPA		661,904
	3,586	ASTM SPA		86,782
	127,818	Cofide SPA		82,896
	6,272	El.En. SPA		196,871


Shares		Description	Value ($)
		Italy— continued
	131,216	Enel SPA		761,678
	3,475	Eni SPA		57,702
	86,058	EXOR NV		6,244,692
	7,248	Fiat Chrysler Automobiles NV ^*		152,991
	665,000	Fiat Chrysler Automobiles NV		14,091,350
	139,571	Fincantieri SPA ^*		221,601
	302,992	Iren SPA		898,054
	15,426	MARR SPA		409,644
	2,326	Prima Industrie SPA		97,907
	97,124	Recordati SPA		3,472,107
	169,716	Saras SPA		355,743
	187,140	Societa Cattolica di Assicurazioni SC		2,226,526
	11,076	Vittoria Assicurazioni SPA		176,157

		Total Italy		30,254,788


		Japan— 3.7%
	9,700	Aisin Seiki Co Ltd		564,511
	23,000	AOKI Holdings Inc		368,016
	514,700	Asahi Kasei Corp		6,595,874
	50,800	Astellas Pharma Inc		746,301
	2,000	Autobacs Seven Co Ltd		38,937
	209,200	Brother Industries Ltd		5,202,683
	151,000	Canon Inc		5,754,427
	13,700	Cawachi Ltd		335,628
	500	Central Japan Railway Co		92,869
	30,000	CKD Corp		750,604
	24,100	Cosmo Energy Holdings Co Ltd		835,510
	400	Daiichi Sankyo Co Ltd		14,165
	5,100	Daiwabo Holdings Co Ltd		210,846
	108,400	DCM Holdings Co Ltd		1,067,327
	18,360	Denka Co Ltd		671,624
	9,000	Denso Corp		525,310
	28,800	DIC Corp		1,027,501
	9,400	Doutor Nichires Holdings Co Ltd		218,052
	12,700	DTS Corp		456,409
	8,200	Ehime Bank Ltd (The)		101,730
	11,800	Elecom Co Ltd		264,194
	7,800	Exedy Corp		252,776
	14,700	Fancl Corp		527,509
	6,600	Fujicco Co Ltd		145,792
	5,100	Fujitsu General Ltd		97,274
	1,069,000	Fujitsu Ltd		6,379,361
	20,000	Furukawa Electric Co Ltd		1,089,764
	3,600	Fuyo General Lease Co Ltd		239,949
	34,460	Hanwa Co Ltd		1,555,063
	4,300	Heiwado Co Ltd		99,396
	24,700	Hitachi Chemical Co Ltd		548,589
	1,423,000	Hitachi Ltd		10,760,870
	1,500	Hitachi Transport System Ltd		37,032
	1,700	Hosokawa Micron Corp		128,670


		See accompanying notes to the financial statements.		27

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Japan— continued
	23,000	House Foods Group Inc		769,888
	872,100	ITOCHU Corp		16,763,979
	13,400	Itochu Techno-Solutions Corp		547,121
	7,400	Kaneka Corp		74,919
	90,400	Kanematsu Corp		1,217,449
	1,400	Kasai Kogyo Co Ltd		19,289
	1,110	Kawasaki Kisen Kaisha Ltd ^*		26,751
	2,100	Keihin Corp		43,667
	15,000	Kitz Corp		122,609
	1,400	Kokuyo Co Ltd		26,233
	17,300	Kyowa Exeo Corp		459,605
	800	Kyudenko Corp		37,004
	334,900	Marubeni Corp		2,551,694
	33,000	MCJ Co Ltd		442,637
	1,320,900	Mitsubishi Chemical Holdings Corp		13,326,409
	58,600	Mitsubishi Corp		1,641,691
	319,600	Mitsubishi Electric Corp		5,390,849
	102,700	Mitsubishi Gas Chemical Co Inc		2,540,098
	187,800	Mitsubishi Tanabe Pharma Corp		4,000,192
	149,900	Mitsui & Co Ltd		2,716,776
	65,100	Mitsui Chemicals Inc		1,975,413
	3,100	Mitsui Engineering & Shipbuilding Co Ltd		55,813
	6,000	Mitsui Sugar Co Ltd		244,282
	12,100	NET One Systems Co Ltd		185,969
	1,200	NHK Spring Co Ltd		12,593
	37,000	Nichias Corp		491,288
	22,200	Nichiha Corp		871,857
	19,000	Nichirei Corp		483,148
	41,000	Nippo Corp		966,707
	311,200	Nippon Telegraph & Telephone Corp		14,454,183
	2,500	Nippon Signal Co Ltd		24,413
	4,700	Nishi-Nippon Financial Holdings Inc		57,719
	3,900	Nissin Electric Co Ltd		38,094
	14,200	Noritsu Koki Co Ltd		318,964
	2,600	Okamura Corp		35,964
	21,100	Open House Co Ltd		1,265,387
	5,700	Osaka Gas Co Ltd		112,422
	27,000	Osaki Electric Co Ltd		202,503
	59,200	Pola Orbis Holdings Inc		2,481,909
	2,200	Press Kogyo Co Ltd		13,550
	203,000	Prima Meat Packers Ltd		1,219,948
	900	Rock Field Co Ltd		17,969
	17,800	Rohto Pharmaceutical Co Ltd		492,763
	6,600	Roland DG Corp		169,192
	5,100	Sakata INX Corp		66,892
	34,200	Seiko Epson Corp		652,652
	4,700	Seiko Holdings Corp		127,828
	3,800	Seiren Co Ltd		73,707
	217,500	Sekisui Chemical Co Ltd		4,074,940


Shares		Description	Value ($)
		Japan— continued
	34,000	Showa Denko KK		1,659,156
	1,348,100	Sojitz Corp		4,399,048
	17,000	Sumitomo Bakelite Co Ltd		147,747
	905,000	Sumitomo Chemical Co Ltd		5,579,934
	59,700	Sumitomo Forestry Co Ltd		995,306
	31,840	Sumitomo Heavy Industries Ltd		1,240,359
	33,200	Suzuki Motor Corp		1,893,922
	1,900	T RAD Co Ltd		71,772
	25,200	T-Gaia Corp		723,043
	1,600	Takasago International Corp		47,350
	20,800	Takeda Pharmaceutical Co., Ltd		1,179,375
	11,200	Tocalo Co Ltd		151,878
	3,000	Token Corp		337,588
	26,600	Tokyo Electron Ltd		5,197,713
	270,500	Tosoh Corp		5,592,020
	1,900	Toyoda Gosei Co Ltd		46,002
	75,800	Toyota Tsusho Corp		2,806,510
	11,700	TPR Co Ltd		331,699
	20,700	TS Tech Co Ltd		836,765
	7,200	TSI Holdings Co Ltd		51,925
	3,000	TV Asahi Holdings Corp		60,868
	11,800	UKC Holdings Corp		258,740
	4,800	Unipres Corp		116,669
	4,100	UT Group Co Ltd ^*		144,478
	12,500	Wacoal Holdings Corp		369,871
	700	Yellow Hat Ltd		20,883
	12,300	Yuasa Trading Co Ltd		428,428

		Total Japan		166,300,541


		Malaysia— 0.0%
	84,600	Berjaya Sports Toto Berhad		48,538
	232,700	DRB-Hicom Berhad		154,616
	156,500	KSL Holdings Berhad ^*		40,681
	132,600	Malayan Flour Mills Berhad		69,191
	32,900	Malaysian Pacific Industries Berhad		76,626
	86,900	Oldtown Berhad		70,173
	193,600	Padini Holdings Berhad		245,569
	164,600	Top Glove Corp Berhad		407,763
	77,600	UOA Development Berhad		51,447

		Total Malaysia		1,164,604


		Mexico— 0.6%
	766,300	Arca Continental SAB de CV		5,324,483
	18,000	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand ADR		127,260
	42,105	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand – Class B		59,436
	308,529	Bolsa Mexicana de Valores SAB de CV		572,682


28		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Mexico— continued
	961,700	Cemex SAB de CV CPO ^*		634,649
	7,000	Coca-Cola Femsa SAB de CV Sponsored ADR		471,940
	35,000	Corp Inmobiliaria Vesta SAB de CV		48,126
	1,245,100	Genomma Lab Internacional SAB de CV – Class B ^*		1,346,115
	74,000	Gentera SAB de CV		60,493
	2,600	Grupo Aeroportuario del Centro Norte SAB de CV		12,717
	200	Grupo Aeroportuario del Centro Norte SAB de CV ADR		7,832
	4,300	Grupo Aeroportuario del Pacifico SAB de CV – Class B		41,516
	87,000	Grupo Financiero Interacciones SA de CV – Class O		405,355
	171,042	Grupo Herdez SAB de CV		417,201
	7,900	Kimberly-Clark de Mexico SAB de CV – Class A		14,358
	148,900	Megacable Holdings SAB de CV CPO		653,953
	1,655	Promotora y Operadora de Infraestructura SAB de CV		16,914
	6,418,338	Wal-Mart de Mexico SAB de CV		15,022,138

		Total Mexico		25,237,168


		Netherlands— 0.6%
	8,421	ASR Nederland NV		378,772
	26,100	Constellium NV – Class A ^*		302,760
	19,868	Heineken Holding NV		1,976,296
	865,014	ING Groep NV		15,179,249
	41,446	Philips Lighting NV		1,641,883
	16,279	Unilever NV CVA		851,980
	17,600	VEON Ltd ADR		50,864
	90,992	Wolters Kluwer NV		4,609,099

		Total Netherlands		24,990,903


		New Zealand— 0.0%
	640,296	Air New Zealand Ltd		1,514,945
	9,932	Fletcher Building Ltd		46,581
	19,898	Fletcher Building Ltd		92,656

		Total New Zealand		1,654,182


		Norway— 0.3%
	8,812	Austevoll Seafood ASA		78,996
	25,729	Bakkafrost P/F		1,299,075
	76,856	BW LPG Ltd ^*		335,297
	255,782	DNB ASA		5,017,248
	1,716	Salmar ASA		61,007
	19,206	SpareBank 1 Nord Norge		166,157
	10,671	SpareBank 1 SR Bank ASA		125,147
	82,815	Statoil ASA		1,884,994
	140,241	Storebrand ASA		1,219,909


Shares		Description	Value ($)
		Norway— continued
	250,952	Subsea 7 SA		3,726,466
	20,147	Telenor ASA		452,128

		Total Norway		14,366,424


		Pakistan— 0.0%
	5,700	Engro Corp Ltd		15,522
	10,100	Oil & Gas Development Co Ltd		14,898

		Total Pakistan		30,420


		Peru— 0.0%
	3,200	Credicorp Ltd		692,640


		Philippines— 0.0%
	107,500	First Gen Corp		29,919
	269,200	Lopez Holding Corp		27,780
	20,720	Manila Electric Co		133,874
	169,800	Manila Water Co Inc		84,681
	379,000	Megaworld Corp		35,243

		Total Philippines		311,497


		Poland— 0.2%
	108,611	Asseco Poland SA		1,488,773
	329,756	Enea SA		970,838
	386,963	Energa SA		1,170,849
	66,040	Impexmetal SA ^*		84,623
	2,975	KGHM Polska Miedz SA		90,284
	396,000	PGE Polska Grupa Energetyczna SA ^*		1,169,193
	1,135	Polski Koncern Naftowy ORLEN SA		31,734
	7,773	Polskie Gornictwo Naftowe i Gazownictwo SA		13,697
	5,706	Powszechny Zaklad Ubezpieczen SA		70,793
	2,229,868	Tauron Polska Energia SA^*		1,651,703

		Total Poland		6,742,487


		Portugal— 0.0%
	63,731	CTT-Correios de Portugal SA		263,839


		Qatar— 0.0%
	17,586	Barwa Real Estate Co		162,426
	6,084	Doha Bank QPSC		54,398
	1,272	Industries Qatar QSC		35,871
	8,271	Masraf Al Rayan QSC		85,506
	797	Ooredoo QPSC		18,980
	584	Qatar Electricity & Water Co QSC		27,514
	1,341	Qatar Insurance Co SAQ		14,272
	797	Qatar International Islamic Bank QSC		13,100
	2,043	Qatar Islamic Bank SAQ		53,935
	4,110	Qatar National Bank QPSC		134,712
	1,678	Qatar Navigation QSC		28,681
	3,178	United Development Co QSC		14,367

		Total Qatar		643,762


		See accompanying notes to the financial statements.		29

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Russia— 0.4%
	119,100	Aeroflot PJSC		298,242
	405,000	Alrosa PJSC		616,457
	9,472,000	ENEL RUSSIA PJSC		260,577
	12,930	Gazprom Neft PJSC		64,891
	423,588	Gazprom PJSC Sponsored ADR		2,092,276
	14,545	Globaltrans Investment Plc Sponsored GDR (Registered)		159,966
	1,151,000	Inter RAO UES PJSC		75,380
	21,601	LUKOIL PJSC Sponsored ADR		1,431,351
	12,080	M.Video PJSC ^*		88,352
	9,710	Magnit PJSC Sponsored GDR (Registered)		200,131
	62,300	Magnitogorsk Iron & Steel OJSC		52,458
	4,588	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR		49,528
	63,450	MegaFon PJSC GDR (Registered)		672,834
	85,308	MMC Norilsk Nickel PJSC ADR		1,693,219
	195,100	Mobile TeleSystems PJSC Sponsored ADR		2,333,396
	271,710	Moscow Exchange MICEX-RTS PJSC		535,486
	6,217	Novatek PJSC Sponsored GDR (Registered)		844,102
	18,300	Novolipetsk Steel PJSC		47,135
	17,109	Novolipetsk Steel PJSC GDR		444,755
	1,625	PhosAgro PJSC GDR (Registered)		24,687
	633	Polyus PJSC		51,944
	3,480	Polyus PJSC GDR (Registered)		139,131
	12,882	QIWI Plc Sponsored ADR		216,675
	188,280	Rostelecom PJSC		226,252
	1,611	Rostelecom PJSC ADR		11,464
	237,717	Sberbank of Russia Sponsored ADR		4,813,788
	15,508	Severstal PJSC GDR (Registered)		251,215
	36,637	Sistema PJSC FC Sponsored GDR (Registered)		157,111
	134,700	Surgutneftegas OJSC		67,970
	77,157	Surgutneftegas OJSC Sponsored ADR		381,327
	1,240	Tatneft PAO		12,958
	7,382	Tatneft PJSC Sponsored ADR		461,890
	30,600	Yandex NV – Class A ^*		1,257,354

		Total Russia		20,034,302


		Singapore— 0.2%
	71,700	CapitaLand Commercial Trust (REIT)		93,113
	19,100	China Aviation Oil Singapore Corp Ltd		22,640
	152,200	Frasers Centrepoint Trust (REIT)		254,330
	120,300	Japfa Ltd		42,399
	543,900	Mapletree Greater China Commercial Trust (REIT)		487,272
	308,100	Mapletree Industrial Trust (REIT)		455,455
	63,910	Mapletree Logistics Trust (REIT)		57,854


Shares		Description	Value ($)
		Singapore— continued
	107,400	Parkway Life Real Estate Investment Trust		228,257
	800	SATS Ltd		3,129
	196,400	Venture Corp Ltd		4,049,420
	741,300	Yangzijiang Shipbuilding Holdings Ltd		836,548
	266,000	Yanlord Land Group Ltd		331,030

		Total Singapore		6,861,447


		South Africa— 1.7%
	11,816	AECI Ltd		113,658
	53,391	African Rainbow Minerals Ltd		544,349
	74,735	Astral Foods Ltd		1,797,332
	498,052	Aveng Ltd ^*		63,395
	48,320	AVI Ltd		496,325
	679,409	Barclays Africa Group Ltd		11,303,217
	296,092	Barloworld Ltd		4,426,631
	100,038	Bidvest Group Ltd (The)		1,894,388
	1,417,033	Blue Label Telecoms Ltd		1,568,491
	6,332	Brait SE ^*		24,076
	4,765	Clicks Group Ltd		67,839
	43,011	DataTec Ltd		90,796
	254,239	Emira Property Fund Ltd (REIT)		339,729
	88,289	FirstRand Ltd		548,093
	7,015	Hyprop Investments Ltd (REIT)		64,147
	16,386	KAP Industrial Holdings Ltd		12,073
	163,616	Kumba Iron Ore Ltd		4,810,748
	31,694	Lewis Group Ltd		108,271
	338,574	Liberty Holdings Ltd		3,852,908
	1,565,404	Merafe Resources Ltd		214,055
	821,115	MMI Holdings Ltd		1,503,934
	204,985	Mondi Ltd		5,337,660
	17,674	Mr Price Group Ltd		421,327
	689,813	Murray & Roberts Holdings Ltd		657,739
	524,740	Nedbank Group Ltd		12,731,782
	140,492	Raubex Group Ltd		269,587
	239,623	Reunert Ltd		1,527,458
	5,891	RMB Holdings Ltd		43,231
	8,141	Sanlam Ltd		62,082
	22,259	Santam Ltd		578,131
	40,525	Shoprite Holdings Ltd		887,780
	955,198	Standard Bank Group Ltd		17,516,791
	37,251	Sun International Ltd ^*		210,495
	31,272	Telkom SA SOC Ltd		136,203
	20,217	Truworths International Ltd		172,059
	27,884	Tsogo Sun Holdings Ltd		60,269
	10,473	Vodacom Group Ltd		143,820
	78,125	Wilson Bayly Holmes-Ovcon Ltd		1,138,247
	13,681	Woolworths Holdings Ltd		75,399

		Total South Africa		75,814,515


30		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		South Korea— 1.8%
	2,119	Aekyung Petrochemical Co Ltd		35,345
	245	Amorepacific Group		28,426
	68,408	BNK Financial Group Inc		705,361
	4,067	CJ O Shopping Co Ltd		790,769
	824	Com2uSCorp		123,526
	475	Coway Co Ltd		37,807
	97	Cuckoo Homesys Co Ltd ^*		15,944
	22,126	Daishin Securities Co Ltd		298,435
	22,144	Daou Data Corp		268,464
	14,070	Daou Technology Inc		301,376
	11,381	DB Insurance Co Ltd		727,403
	14,738	DGB Financial Group Inc		168,226
	983	Dongsuh Cos Inc		25,258
	24,043	Dongwon Development Co Ltd		103,992
	1,456	Douzone Bizon Co Ltd		74,333
	9,817	E-MART Inc		2,759,720
	27,607	Grand Korea Leisure Co Ltd		590,639
	4,733	GS Home Shopping Inc		880,686
	1,485	GS Retail Co Ltd		49,382
	58,348	Hana Financial Group Inc		2,643,517
	32	Hankook Shell Oil Co Ltd		10,684
	21,796	Hankook Tire Co Ltd		1,190,357
	16,201	Hankook Tire Worldwide Co Ltd		297,475
	9,177	Hanon Systems		106,013
	1,110	Hansol Paper Co Ltd		17,017
	17,377	Hanwha Corp		709,543
	300,789	Hanwha Life Insurance Co Ltd		1,859,731
	9,775	Hyundai Corp		169,931
	6,758	Hyundai Engineering & Construction Co Ltd		240,353
	414	Hyundai Glovis Co Ltd		54,610
	4,436	Hyundai Home Shopping Network Corp		451,884
	10,462	Hyundai Hy Communications & Network Co Ltd		43,954
	60,350	Hyundai Marine & Fire Insurance Co Ltd		2,297,871
	3,842	Hyundai Mobis Co Ltd		808,494
	24,748	Hyundai Motor Co		3,684,030
	1,280	iMarketKorea Inc		12,152
	364,687	Industrial Bank of Korea		5,769,614
	2,479	Innocean Worldwide Inc		148,348
	95,986	JB Financial Group Co Ltd		560,434
	16,503	Kangwon Land Inc		440,045
	112,779	KB Financial Group Inc		6,654,678
	1,060	KEPCO Plant Service & Engineering Co Ltd		39,556
	219,362	Kia Motors Corp		6,964,926
	1,563	KISCO Corp		53,251
	208	KIWOOM Securities Co Ltd		18,979
	15,538	Korea Asset In Trust Co Ltd		97,586


Shares		Description	Value ($)
		South Korea— continued
	7,679	Korea Real Estate Investment & Trust Co Ltd		20,924
	766	Korea Zinc Co Ltd		361,488
	18,338	Korean Reinsurance Co		201,184
	2,000	KT Corp Sponsored ADR ^*		26,560
	8,335	KT Hitel Co Ltd ^*		47,107
	6,301	KT Skylife Co Ltd		75,687
	12,646	KT&G Corp		1,166,200
	27,927	Kwang Dong Pharmaceutical Co Ltd		260,822
	14,392	Kwangju Bank		164,364
	4,218	Kyobo Securities Co Ltd		40,600
	26,550	LF Corp		714,377
	21,303	LG Corp		1,697,826
	55,474	LG Electronics Inc		5,101,580
	30,912	LOTTE Himart Co Ltd		1,999,343
	3,922	LS Industrial Systems Co Ltd		202,534
	6,289	Meritz Financial Group Inc		91,070
	6,194	Meritz Fire & Marine Insurance Co Ltd		130,467
	24,359	Meritz Securities Co Ltd		109,415
	297	Namyang Dairy Products Co Ltd		188,184
	20,839	NHN Entertainment Corp ^*		1,510,110
	40	Ottogi Corp		26,179
	2,127	Posco Daewoo Corp		39,571
	1,145	S&T Motiv Co Ltd		46,895
	2,181	Samjin Pharmaceutical Co Ltd		83,225
	5,593	Samsung Card Co Ltd		187,818
	945	Samsung Electronics Co Ltd		2,053,550
	1,514	Samsung Fire & Marine Insurance Co Ltd		404,204
	421	Samsung Life Insurance Co Ltd		47,307
	4,618	Samsung SDS Co Ltd		1,009,423
	1,946	Samsung Securities Co Ltd		70,848
	3,901	Seah Besteel Corp		102,631
	4,977	SeAH Steel Corp		399,176
	11,764	Seoyon E-Hwa Co Ltd		108,507
	56,847	Shinhan Financial Group Co Ltd		2,470,661
	899	Shinsegae Inc		284,023
	818	Sindoh Co Ltd		50,249
	505	SK Gas Ltd		43,748
	5,023	SK Holdings Co Ltd		1,318,613
	94,336	SK Hynix Inc		6,652,893
	906	SK Innovation Co Ltd		170,560
	2,733	SK Telecom Co Ltd		603,236
	93,700	SK Telecom Co Ltd Sponsored ADR		2,281,595
	17,498	SL Corp		387,983
	1,272	Spigen Korea Co Ltd		57,688
	39,258	Tongyang Life Insurance Co Ltd		260,592
	2,651	Unid Co Ltd		112,876
	250,423	Woori Bank		3,821,873

		Total South Korea		80,535,891


		See accompanying notes to the financial statements.		31

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Spain— 0.3%
	18,912	Ebro Foods SA		475,181
	41,217	Endesa SA		865,250
	667,511	Repsol SA		11,859,966

		Total Spain		13,200,397


		Sweden— 0.6%
	33,973	Acando AB		121,049
	4,587	Alfa Laval AB		110,186
	3,173	Axfood AB		58,452
	23,926	Bilia AB – A Shares		245,113
	11,765	Bufab AB		160,761
	24,301	Electrolux AB – Series B		797,801
	1,768	Evolution Gaming Group AB		117,446
	11,522	KappAhl AB		45,261
	4,438	KNOW IT AB		90,671
	1,025	NCC AB – B Shares		19,546
	25,268	Nobina AB		167,931
	7,609	Ratos AB – B Shares		30,748
	480,081	Sandvik AB		8,887,491
	56,935	SAS AB ^*		145,584
	1,216	Securitas AB – B Shares		20,892
	105,696	Svenska Cellulosa AB – Class B		1,047,448
	10,437	Volvo AB – A Shares		196,577
	738,306	Volvo AB – B Shares		13,881,569

		Total Sweden		26,144,526


		Switzerland— 0.9%
	3,840	ALSO Holding AG (Registered) ^*		541,375
	719	Autoneum Holding AG		228,740
	340	Bell Food Group AG (Registered)		142,665
	6,969	BKW AG		398,854
	4,224	Bobst Group SA (Registered)		525,384
	1,782	Bossard Holding AG (Registered) – A Shares		431,963
	1,192	Bucher Industries AG (Registered)		500,568
	640	Coltene Holding AG (Registered)		64,452
	1,395	Comet Holding AG (Registered) ^*		205,415
	44	Emmi AG (Registered) ^*		33,198
	16,208	GAM Holding AG ^*		291,213
	2,161	Georg Fischer AG (Registered)		3,163,376
	108	Gurit Holding AG ^*		108,157
	708	Inficon Holding AG (Registered) ^*		418,189
	23	Intershop Holding AG		11,635
	3,348	Kardex AG (Registered)		432,655
	525	Kuehne & Nagel International AG (Registered)		85,661
	50,274	Logitech International SA (Registered)		1,973,153
	2,263	Lonza Group AG (Registered) ^*		573,352
	3,000	Luxoft Holding Inc ^*		129,450
	56,261	Nestle SA (Registered)		4,469,993


Shares		Description	Value ($)
		Switzerland— continued
	47,602	Novartis AG (Registered)		3,971,043
	2,116	Orior AG		169,523
	29,269	Roche Holding AG		6,760,553
	2,028	Roche Holding AG		477,907
	744	Sika AG		6,101,057
	9,696	Swiss Life Holding AG (Registered) ^*		3,501,449
	27,814	Swiss Re AG		2,829,923

		Total Switzerland		38,540,903


		Taiwan— 2.6%
	298,000	AcBel Polytech Inc		217,314
	32,000	Actron Technology Corp		116,099
	35,000	Advantech Co Ltd		257,375
	23,000	Alpha Networks Inc		19,344
	123,000	AmTRAN Technology Co Ltd		71,118
	296,000	Ardentec Corp		352,156
	502,000	Asia Vital Components Co Ltd		501,124
	46,000	ASROCK Inc		124,919
	254,000	Asustek Computer Inc		2,399,397
	8,400	Aurora Corp		26,313
	16,625	Casetek Holdings Ltd		54,005
	106,000	Catcher Technology Co Ltd		1,257,709
	266,000	Cathay Financial Holding Co Ltd		486,830
	221,000	Chailease Holding Co Ltd		731,458
	50,000	Channel Well Technology Co Ltd		54,842
	211,000	Cheng Shin Rubber Industry Co Ltd		361,627
	9,105	Chicony Electronics Co Ltd		22,250
	131,110	Chicony Power Technology Co Ltd		265,641
	110,000	Chin-Poon Industrial Co Ltd		204,743
	322,000	China Motor Corp		294,880
	209,600	China Synthetic Rubber Corp		351,944
	6,000	Chlitina Holding Ltd		30,020
	10,000	Chong Hong Construction Co Ltd		28,273
	320,000	Chunghwa Telecom Co Ltd		1,197,972
	5,000	Cleanaway Co Ltd		30,162
	852,000	Compal Electronics Inc		578,512
	499,000	Coretronic Corp		761,940
	1,127,000	CTBC Financial Holding Co Ltd		814,600
	60,000	CTCI Corp		92,063
	96,000	Cyberlink Corp		209,594
	146,000	Darfon Electronics Corp		145,915
	5,000	Delta Electronics Inc		23,342
	58,000	Dynapack International Technology Corp		83,335
	4,040	Eclat Textile Co Ltd		42,361
	721,000	Elan Microelectronics Corp		1,102,781
	357,000	Elitegroup Computer Systems Co Ltd ^*		223,087
	12,000	Everlight Electronics Co Ltd		18,794
	210,000	Far EasTone Telecommunications Co Ltd		531,734


32		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Taiwan— continued
	285,000	Farglory Land Development Co Ltd		315,259
	62,000	Formosa Advanced Technologies Co Ltd		63,487
	9,000	Formosa Chemicals & Fibre Corp		32,975
	9,000	Formosa Petrochemical Corp		35,474
	60,000	Formosa Plastics Corp		210,153
	84,600	Formosan Rubber Group Inc		44,464
	428,000	Foxconn Technology Co Ltd		1,142,504
	4,233,000	Fubon Financial Holding Co Ltd		7,450,168
	129,000	Gemtek Technology Corp		121,353
	1,170,000	Gigabyte Technology Co Ltd		2,733,464
	1,160,000	Grand Pacific Petrochemical		1,142,428
	2,000	Grape King Bio Ltd		14,655
	1,456,000	Great Wall Enterprise Co Ltd		1,681,732
	79,000	Greatek Electronics Inc		151,551
	43,000	Green Seal Holding Ltd		85,437
	236,000	Highwealth Construction Corp		353,455
	500,000	Holtek Semiconductor Inc		1,360,923
	6,239,300	Hon Hai Precision Industry Co Ltd		18,384,813
	59,000	Huaku Development Co Ltd		144,656
	83,000	IEI Integration Corp		115,268
	3,078,000	Inventec Corp		2,424,154
	18,000	ITEQ Corp		46,216
	16,000	King’s Town Bank Co Ltd		21,508
	2,000	Kung Long Batteries Industrial Co Ltd		9,730
	989,000	Lite-On Semiconductor Corp		1,325,759
	869,000	Lite-On Technology Corp		1,228,062
	205,000	Lotes Co Ltd		1,379,009
	29,000	Makalot Industrial Co Ltd		134,593
	886,005	Mercuries Life Insurance Co Ltd		478,636
	8,000	Merida Industry Co Ltd		34,805
	33,600	MIN AIK Technology Co Ltd		27,485
	1,524,000	Mitac Holdings Corp		1,679,425
	807,000	Nan Ya Plastics Corp		2,202,598
	3,000	Nien Made Enterprise Co Ltd		29,230
	236,000	Novatek Microelectronics Corp		1,016,270
	406,000	Nuvoton Technology Corp		991,913
	3,000	On-Bright Electronics, Inc.		26,915
	901,105	OptoTech Corp		706,936
	4,019,000	Pegatron Corp		10,104,353
	420,000	Phison Electronics Corp		4,058,110
	2,540,000	Pou Chen Corp		3,165,174
	5,000	President Chain Store Corp		49,881
	424,000	Quanta Computer Inc		859,415
	21,000	Quanta Storage Inc		20,255
	2,188,000	Radiant Opto-Electronics Corp		6,071,852
	150,000	Realtek Semiconductor Corp		583,514
	27,000	Rechi Precision Co Ltd		27,564
	111,000	Ruentex Development Co Ltd ^*		120,542
	307,000	Ruentex Industries Ltd ^*		534,715


Shares		Description	Value ($)
		Taiwan— continued
	31,000	Sercomm Corp		89,095
	173,000	Sheng Yu Steel Co Ltd		166,676
	60,000	Shinkong Insurance Co Ltd		61,352
	17,000	ShunSin Technology Holding Ltd		76,763
	497,000	Sigurd Microelectronics Corp		615,621
	114,800	Simplo Technology Co Ltd		719,742
	9,000	Sinbon Electronics Co Ltd		24,517
	30,000	Sinmag Equipment Corp		164,220
	53,000	Sitronix Technology Corp		151,040
	214,000	Soft-World International Corp		477,463
	1,000	St Shine Optical Co Ltd		30,477
	519,000	Sunonwealth Electric Machine Industry Co Ltd		885,484
	1,936,000	Sunplus Technology Co Ltd		1,052,838
	291,000	Syncmold Enterprise Corp		634,103
	14,700	TaiDoc Technology Corp		47,744
	245,000	Taiflex Scientific Co Ltd		402,262
	26,000	Taiwan Fertilizer Co Ltd		34,414
	8,000	Taiwan Mobile Co Ltd		29,307
	13,000	Taiwan PCB Techvest Co Ltd		13,254
	653,000	Taiwan Semiconductor Co Ltd		1,566,777
	281,000	Taiwan Semiconductor Manufacturing Co Ltd		2,333,310
	200,142	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		8,676,156
	269,000	Taiwan Surface Mounting Technology Corp		268,978
	7,000	Teco Electric and Machinery Co Ltd		6,280
	21,000	Test Research Inc		39,588
	32,000	Tong Hsing Electronic Industries Ltd		122,726
	60,470	TOPBI International Holdings Ltd		214,942
	299,485	Topco Scientific Co Ltd		839,858
	24,000	Transcend Information Inc		69,113
	576,000	Tripod Technology Corp		1,885,550
	22,000	TXC Corp		29,530
	733,000	Uni-President Enterprises Corp		1,716,171
	112,000	United Integrated Services Co Ltd		220,544
	73,000	Well Shin Technology Co Ltd		136,508
	6,062,312	Winbond Electronics Corp		4,046,695
	17,505	Wistron NeWeb Corp		48,442
	160,000	WPG Holdings Ltd		203,767
	15,000	Xxentria Technology Materials Corp		32,248
	56,000	Yuanta Financial Holding Co Ltd		24,841
	102,000	Yungtay Engineering Co Ltd		206,435
	6,000	Zeng Hsing Industrial Co Ltd		25,861

		Total Taiwan		117,419,103


		Thailand— 1.0%
	229,200	Advanced Info Service Pcl NVDR		1,442,172
	97,700	Airports of Thailand Pcl NVDR		219,017


		See accompanying notes to the financial statements.		33

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Thailand— continued
	306,400	Amata Corp Pcl NVDR		245,300
	285,500	AP Thailand Pcl NVDR		76,127
	330,200	Bangchak Petroleum Pcl NVDR		424,277
	16,200	Bangkok Bank Pcl (Foreign Registered) ^(a)		118,175
	33,000	Bangkok Bank Pcl NVDR		220,849
	87,200	Bangkok Dusit Medical Services Pcl NVDR		61,271
	179,300	Banpu Pcl NVDR		133,505
	8,700	Bumrungrad Hospital Pcl NVDR		56,972
	111,800	Central Pattana Pcl NVDR		299,587
	164,900	GFPT Pcl (Foreign Registered)		68,468
	272,700	GFPT Pcl NVDR		113,228
	91,200	Glow Energy Pcl NVDR		245,402
	57,900	Hana Microelectronics Pcl NVDR		75,851
	1,933,100	Indorama Ventures Pcl NVDR		3,310,195
	183,800	Intouch Holdings Pcl NVDR		332,777
	83,600	Kasikornbank Pcl NVDR		614,415
	28,700	KCE Electronics Pcl NVDR		63,852
	203,200	Kiatnakin Bank Pcl NVDR		503,070
	545,100	Krung Thai Bank Pcl NVDR		350,973
	1,144,900	Land & Houses Pcl NVDR		401,380
	310,900	LPN Development Pcl NVDR		101,924
	37,200	Malee Group Pcl (Foreign Registered)		27,239
	86,200	MC Group Pcl NVDR		35,288
	99,700	Mega Lifesciences Pcl (Foreign Registered)		140,949
	304,700	Mega Lifesciences Pcl NVDR		430,763
	35,000	Minor International Pcl NVDR		44,950
	125,900	Pruksa Holding Pcl NVDR		94,408
	1,485,000	PTT Exploration & Production Pcl NVDR		5,408,932
	782,200	PTT Global Chemical Pcl NVDR		2,458,640
	167,500	PTT Pcl (Foreign Registered)		3,004,787
	310,300	PTT Pcl NVDR		5,566,481
	1,422,700	Quality Houses Pcl NVDR		134,896
	71,000	Ratchaburi Electricity Generating Holding Pcl NVDR		120,293
	8,721,100	Sansiri Pcl NVDR		535,876
	84,600	Siam Cement Pcl (The) (Foreign Registered)		1,317,577
	80,300	Siam Cement Pcl (The) NVDR		1,250,608
	131,100	Siam Commercial Bank Pcl (The) NVDR		618,915
	122,900	Siamgas & Petrochemicals Pcl NVDR		120,658
	32,900	Sino-Thai Engineering & Construction Pcl NVDR		20,900
	241,800	Sri Trang Agro-Industry Pcl NVDR		86,697
	1,722,400	Star Petroleum Refining Pcl NVDR		966,768
	169,300	STP & I Pcl NVDR		27,139
	369,300	Supalai Pcl NVDR		270,730


Shares		Description	Value ($)
		Thailand— continued
	12,127,500	Thai Beverage Pcl		7,635,633
	213,700	Thai Oil Pcl (Foreign Registered)		698,676
	121,200	Thai Oil Pcl NVDR		396,254
	52,600	Thai Vegetable Oil Pcl NVDR		52,655
	835,700	Thanachart Capital Pcl (Foreign Registered)		1,479,329
	310,900	Thanachart Capital Pcl NVDR		550,345
	62,600	Tipco Asphalt Pcl NVDR		39,572
	14,800	Tisco Financial Group Pcl NVDR		41,549
	15,400	Total Access Communication Pcl NVDR		22,301
	283,100	TTW Pcl NVDR		119,903
	502,900	WHA Corp Pcl NVDR		65,817

		Total Thailand		43,264,315


		Turkey— 0.7%
	96,423	Adana Cimento Sanayii TAS – Class C		26,316
	66,217	Akbank Turk AS		183,940
	2,683	Arcelik AS		13,348
	11,566	BIM Birlesik Magazalar AS		227,805
	37,572	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		41,126
	1,862,002	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)^*		1,287,617
	80,307	Enka Insaat ve Sanayi AS		115,918
	2,215,667	Eregli Demir ve Celik Fabrikalari TAS		6,590,157
	15,428	Ford Otomotiv Sanayi AS		253,613
	84,686	Haci Omer Sabanci Holding AS		238,282
	66,057	Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim AS ^*		86,656
	815,656	KOC Holding AS		3,856,270
	2,088	Koza Altin Isletmeleri AS ^*		17,917
	3,678	Otokar Otomotiv Ve Savunma Sanayi AS		114,450
	90,907	Selcuk Ecza Deposu Ticaret ve Sanayi AS		89,362
	313,612	Soda Sanayii AS		416,880
	3,050	TAV Havalimanlari Holding AS		18,535
	34,112	Tekfen Holding AS		162,169
	3,312	Tupras-Turkiye Petrol Rafineriler AS		101,649
	342,688	Turkiye Garanti Bankasi AS		1,052,919
	214,990	Turkiye Halk Bankasi AS		542,582
	5,901,420	Turkiye Is Bankasi – Class C		11,711,536
	210,684	Turkiye Sinai Kalkinma Bankasi AS		93,599
	2,604,168	Turkiye Vakiflar Bankasi TAO – Class D		5,008,557
	62,134	Yapi ve Kredi Bankasi AS ^*		77,421

		Total Turkey		32,328,624


		United Arab Emirates— 0.0%
	114,502	Aldar Properties PJSC		67,150


34		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		United Arab Emirates— continued
	310,129	DAMAC Properties Dubai Co PJSC		252,825
	10,269	Emaar Properties PJSC		17,217
	10,445	Emirates Telecommunications Group Co PJSC		48,852
	204,758	RAK Properties PJSC		45,284

		Total United Arab Emirates		431,328


		United Kingdom— 2.1%
	306,078	3i Group Plc		3,937,086
	242,823	AstraZeneca Plc		15,893,306
	3,900	AstraZeneca Plc		129,441
	53,738	Barratt Developments Plc		397,144
	9,934	Bellway Plc		423,456
	103,302	Berkeley Group Holdings Plc (The)		5,466,933
	984,056	BP Plc		6,396,125
	281,142	British American Tobacco Plc		16,593,693
	7,368	Centrica Plc		14,456
	117,590	Coca-Cola HBC AG ^*		3,844,265
	31,985	Computacenter Plc		483,806
	8,500	Diageo Plc Sponsored ADR		1,152,940
	155,337	Electrocomponents Plc		1,340,521
	450,251	Ferrexpo Plc		1,924,392
	256,156	Firstgroup Plc ^*		286,991
	41,762	Galliford Try Plc		524,738
	185,647	GlaxoSmithKline Plc		3,329,343
	127,800	GlaxoSmithKline Plc Sponsored ADR		4,640,418
	747	HSBC Holdings Plc		7,346
	22,379	Hunting Plc ^*		185,544
	19,845	IG Group Holdings Plc		220,189
	113,383	Inchcape Plc		1,056,228
	366,489	Indivior Plc ^*		1,903,116
	15,182	Intermediate Capital Group Plc		219,621
	31,721	Jupiter Fund Management Plc		222,121
	6,529	Legal & General Group Plc		23,520
	29,290	Lookers Plc		35,911
	13,100	Mitie Group Plc		28,266
	6,302	Morgan Sindall Group Plc		107,374
	26,400	Nomad Foods Ltd ^*		432,696
	281,757	Persimmon Plc		10,072,393
	22,313	Plus500 Ltd		364,516
	112,366	QinetiQ Group Plc		315,964
	55,180	Reckitt Benckiser Group Plc		4,379,988
	47,397	RPS Group Plc		147,952
	100,154	Sage Group Plc (The)		949,667
	18,842	Spectris Plc		704,130
	20,712	SSP Group Plc		171,231
	10,166	TUI AG		214,689
	126,373	Unilever Plc		6,497,865
	2,197	WH Smith Plc		61,194

		Total United Kingdom		95,100,575


Shares		Description	Value ($)
		United States— 5.4%
	6,173	3M Co.		1,453,803
	73,474	Abbott Laboratories		4,432,686
	59,782	Accenture Plc – Class A		9,625,500
	17,425	Alphabet, Inc. – Class C ^*		19,249,920
	71,694	American Express Co.		6,990,882
	19,804	Amphenol Corp. – Class A		1,809,888
	14,081	Analog Devices, Inc.		1,269,402
	24,569	Anthem, Inc.		5,783,051
	97,685	Apple, Inc.		17,399,652
	13,534	Becton Dickinson and Co.		3,004,819
	161,484	Cisco Systems, Inc.		7,231,253
	94,475	Coca-Cola Co. (The)		4,083,209
	98,717	Cognizant Technology Solutions Corp. – Class A		8,096,768
	34,867	Costco Wholesale Corp.		6,656,110
	28,095	CVS Health Corp.		1,902,874
	19,485	Eli Lilly & Co.		1,500,735
	38,816	Emerson Electric Co.		2,758,265
	19,510	Honeywell International, Inc.		2,948,156
	7,297	Humana, Inc.		1,983,471
	107,926	Johnson & Johnson		14,017,429
	13,823	Mastercard, Inc. – Class A		2,429,530
	105,411	Medtronic Plc		8,421,285
	201,199	Microsoft Corp.		18,866,430
	32,442	Monsanto Co.		4,002,370
	1,300	Net 1 UEPS Technologies, Inc. ^*		13,325
	339,159	Oracle Corp.		17,185,187
	11,337	PepsiCo, Inc.		1,244,009
	70,760	Pfizer, Inc.		2,569,296
	37,036	Philip Morris International, Inc.		3,835,078
	111,984	QUALCOMM, Inc.		7,278,960
	41,784	Schlumberger Ltd.		2,742,702
	18,370	Stryker Corp.		2,978,879
	39,836	Teradata Corp. ^*		1,466,762
	45,702	Texas Instruments, Inc.		4,951,812
	94,474	TJX Cos., Inc. (The)		7,811,110
	61,614	UnitedHealth Group, Inc.		13,934,622
	41,169	United Technologies Corp.		5,547,111
	127,784	US Bancorp		6,946,338
	26,273	VF Corp.		1,959,178
	119,785	Wells Fargo & Co.		6,996,642

		Total United States		243,378,499


		TOTAL COMMON STOCKS (COST $1,422,561,607)		1,683,256,559


		See accompanying notes to the financial statements.		35

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		DEBT OBLIGATIONS— 24.4%

		United States— 24.4%
		Asset-Backed Securities— 3.5%
	536,389	AccessLex Institute, Series 05-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.18%, 2.08%, due 11/22/24		536,397
	2,152,879	Acis CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.87%, 2.60%, due 04/18/24		2,153,996
	413,060	AMMC CLO 21 Ltd., Series 17-21A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 2.63%, due 11/02/30		413,702
	1,258,746	AMMC CLO XII Ltd., Series 13-12A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.46%, due 11/10/30		1,258,746
	519,233	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.69%, due 07/24/29		520,910
	966,822	AMMC CLO XIV Ltd., Series 14-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.70%, due 07/25/29		969,277
	222,563	Anchorage Capital CLO 6 Ltd., Series 15-6A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.62%, due 07/15/30		222,949
	260,880	Anchorage Capital CLO Ltd., Series 14-5RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.32%, due 01/15/30		260,878
	580,186	Anchorage Capital CLO Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.37%, due 10/13/30		580,181
	482,577	Apidos CLO X, Series 12-10A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.42%, 3.19%, due 10/30/22		482,905
	956,560	Apidos CLO XII, Series 13-12A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.64%, due 04/15/31		958,846
	6,119,175	Apidos CLO XV, Series 13-15A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.84%, due 10/20/25		6,127,840
	737,223	Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.48%, due 11/17/27		737,221
	309,225	Atlas Senior Loan Fund X Ltd., Series 18-10A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.36%, due 01/15/31		309,224
	5,146,517	Atrium X, Series 10A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.67%, due 07/16/25		5,150,979
	392,407	Avery Point III CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.85%, due 01/18/25		393,542


Par Value†		Description	Value ($)
		United States— continued
		Asset-Backed Securities— continued
	412,300	Babson CLO Ltd., Series 15-IA, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.28%, due 01/20/31		412,299
	516,325	Bain Capital Credit CLO, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.54%, due 07/20/30		516,320
	1,174,885	Ballyrock CLO LLC, Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.18%, 3.06%, due 05/20/25		1,177,415
	402,734	Benefit Street Partners CLO III Ltd., Series 13-IIIA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 2.59%, due 07/20/29		403,192
	232,500	Black Diamond CLO Ltd., Series 17-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.36%, due 04/24/29		233,037
	1,450,475	BlueMountain CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.89%, 2.65%, due 10/29/25		1,451,841
	431,830	BlueMountain CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.26%, 3.03%, due 04/30/26		432,470
	946,596	BlueMountain CLO Ltd., Series 13-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.39%, due 10/22/30		946,587
	456,460	Brookside Mill CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.30%, due 01/17/28		456,456
	1,649,200	Carlyle Global Market Strategies CLO Ltd., Series 13-2A, Class YR, 144A, Variable Rate, 3 mo. LIBOR + 0.50%, 2.23%, due 01/18/29		1,649,193
	441,750	Carlyle US CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.54%, due 07/20/31		442,084
	180,042	Catamaran CLO Ltd., Series 12-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.19%, 2.82%, due 12/20/23		180,537
	413,060	Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.34%, due 04/22/30		413,056
	1,342,445	CBAM Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 2.07%, due 10/17/29		1,342,410
	1,032,650	CBAM Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.54%, due 07/20/30		1,033,047
	2,065,300	CBAM Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.19%, due 01/15/31		2,065,205
	178,575	Cent CLO, Series 12-16A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 3.02%, due 08/01/24		178,918
	662,862	Cent CLO, Series 13-17A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.30%, 3.07%, due 01/30/25		663,470


36		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		United States— continued
		Asset-Backed Securities— continued
	1,084,282	CIFC Funding II Ltd., Series 13-2A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.38%, due 10/18/30		1,084,273
	520,800	CIFC Funding III Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.54%, due 07/20/30		521,194
	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		1,393,026
	543,500	CIFC Funding Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.39%, due 01/18/31		543,495
	204,699	Citigroup Global Markets Mortgage Securities VII, Inc., Series 01-MMA, Class F4, 144A, 6.50%, due 02/18/34		205,663
	732,375	Crown Point CLO Ltd., Series 18-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.88%, due 04/20/31		732,375
	347,840	CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.87%, due 01/16/26		347,976
	1,008,192	Dryden 30 Senior Loan Fund, Series 13-30A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.44%, due 11/15/28		1,008,188
	883,190	Dryden 31 Senior Loan Fund, Series 14-31A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.08%, 2.81%, due 04/18/26		884,064
	3,338,173	Dryden XXVI Senior Loan Fund, Series 13-26A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.82%, due 07/15/25		3,340,453
	309,795	Dryden XXVIII Senior Loan Fund, Series 13-28A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.59%, due 08/15/30		309,865
	619,590	Elevation CLO Ltd., Series 14-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.00%, due 10/15/29		619,584
	415,642	Galaxy XV CLO Ltd., Series 13-15A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.37%, due 10/15/30		417,304
	1,167,460	Galaxy XX CLO Ltd., Series 15-20A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.34%, due 04/20/31		1,167,460
	6,403,380	GCO Education Loan Funding Master Trust-II, Series 07-1A, Class A6L, 144A, Variable Rate, 3 mo. LIBOR + .11%, 2.05%, due 11/25/26		6,360,001
	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		1,054,371


Par Value†		Description	Value ($)
		United States— continued
		Asset-Backed Securities— continued
	115,634	GoldenTree Loan Opportunities VII Ltd., Series 13-7A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.90%, due 04/25/25		115,657
	760,900	Goldentree Loan Opportunities XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.33%, due 01/18/31		760,893
	722,855	Greywolf CLO V Ltd., Series 15-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.40%, due 01/27/31		722,849
	489,757	Halcyon Loan Advisors Funding Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.87%, due 04/15/25		490,011
	742,140	Highbridge Loan Management Ltd., Series 6A-2015, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.49%, due 02/05/31		742,140
	309,795	Highbridge Loan Management Ltd., Series 3A-2014, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.53%, due 07/18/29		310,026
	361,428	Highbridge Loan Management Ltd., Series 13-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.39%, due 10/20/29		361,425
	3,412,979	Higher Education Funding I, Series 05-1, Class A5, Variable Rate, 3 mo. LIBOR + 0.16%, 2.10%, due 02/25/32		3,403,544
	859,320	ICG US CLO Ltd., Series 14-2A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + .55%, 2.77%, due 01/15/31		859,320
	722,855	Jamestown CLO X Ltd., Series 17-10A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.37%, due 07/17/29		724,200
	354,340	KeyCorp Student Loan Trust, Series 00-A, Class A2, Variable Rate, 3 mo. LIBOR + 0.32%, 2.26%, due 05/25/29		352,459
	536,834	KeyCorp Student Loan Trust, Series 06-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.31%, 1.98%, due 09/27/35		536,322
	1,572,760	KeyCorp Student Loan Trust, Series 99-B, Class CTFS, Variable Rate, 3 mo. LIBOR + 0.90%, 2.84%, due 11/25/36		1,574,097
	585,353	KeyCorp Student Loan Trust, Series 05-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.34%, 2.01%, due 06/27/38		585,230
	677,706	KeyCorp Student Loan Trust, Series 04-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.53%, 2.29%, due 01/27/42		677,774


		See accompanying notes to the financial statements.		37

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		United States— continued
		Asset-Backed Securities— continued
	618,450	Kingsland VIII Ltd., Series 18-8A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 2.53%, due 04/20/31		618,450
	489,150	KKR CLO Ltd., Series 9, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.67%, due 07/15/30		490,061
	2,544	LB-UBS Commercial Mortgage Trust, Series 06-C1, Class AJ, Variable Rate, 5.28%, due 02/15/41		2,545
	528,282	LCM XXV Ltd., Series 25A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.69%, due 07/20/30		529,852
	5,888,931	Montana Higher Education Student Assistance Corp., Series 05-1, Class B, Variable Rate, 3 mo. LIBOR + 0.12%, 1.45%, due 06/20/30		5,870,146
	619,590	Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.52%, due 01/16/31		619,661
	761,117	Mountain View CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.46%, due 10/12/30		761,110
	326,100	MP CLO III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.39%, due 10/20/30		326,097
	1,460,885	National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.25%, 1.87%, due 03/27/28		1,451,849
	138,979	National Collegiate Student Loan Trust, Series 07-2, Class A2, Variable Rate, 1 mo. LIBOR + 0.13%, 1.75%, due 06/26/28		138,842
	6,510,000	National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 1.85%, due 03/26/29		6,356,558
	1,690,576	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 1.86%, due 07/25/30		1,649,461
	361,428	Neuberger Berman CLO XV, Series 13-15A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.37%, due 10/15/29		361,424
	553,757	Neuberger Berman CLO XVII Ltd., Series 14-17A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.74%, due 04/22/29		555,027
	637,735	Newcastle CDO V Ltd., Series 04-5A, Class 3, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.20%, due 12/24/39		636,624


Par Value†		Description	Value ($)
		United States— continued
		Asset-Backed Securities— continued
	4,372,469	NewMark Capital Funding CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.94%, 2.43%, due 06/02/25		4,373,344
	1,318,936	NewMark Capital Funding CLO Ltd., Series 13-1A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.61%, due 06/02/25		1,319,731
	81,375	Oaktree CLO, Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.72%, due 05/13/29		81,408
	2,293,546	Ocean Trails CLO IV, Series 13-4A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.72%, due 08/13/25		2,293,938
	412,300	Octagon Investment Partners XIV Ltd., Series 12-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.88%, 2.60%, due 07/15/19		412,761
	344,579	Octagon Investment Partners XV Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.54%, due 07/19/30		344,912
	759,500	Octagon Investment Partners XVII Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.58%, due 01/25/31		759,500
	1,059,595	OFSI Fund V Ltd., Series 13-5A, Class A1LA, 144A, Variable Rate, 3 mo. LIBOR + 0.93%, 2.66%, due 04/17/25		1,059,917
	309,795	OFSI Fund V Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 2.57%, due 08/16/29		310,198
	3,255,000	OFSI Fund VI Ltd., Series 14-6A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.38%, due 03/20/25		3,255,000
	3,170,116	OFSI Fund VI Ltd., Series 14-6A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.03%, 2.75%, due 03/20/25		3,175,185
	1,147,384	OHA Credit Partners Ltd., Series 13-8A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.86%, due 04/20/25		1,149,463
	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		380,443
	795,141	OZLM Funding Ltd., Series 13-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.39%, due 10/22/30		795,133
	394,581	OZLM XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.52%, due 10/30/30		394,733
	3,513,230	Palmer Square Loan Funding Ltd., Series 18-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.88%, due 04/15/26		3,513,230


38		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		United States— continued
		Asset-Backed Securities— continued
	1,017,730	Seneca Park CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.85%, due 07/17/26		1,018,966
	516,325	Shackleton CLO Ltd., Series 13-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.32%, due 07/15/30		516,312
	5,789,336	SLC Student Loan Trust, Series 08-2, Class A3, Variable Rate, 3 mo. LIBOR + .65%, 2.24%, due 09/15/18		5,789,346
	4,857,561	SLM Private Credit Student Loan Trust, Series 07-A, Class A3, Variable Rate, 3 mo. LIBOR + 0.17%, 1.76%, due 12/15/26		4,853,327
	1,148,767	SLM Private Education Loan Trust, Series 14-A, Class A2B, 144A, Variable Rate, 1 mo. LIBOR + 1.15%, 2.74%, due 01/15/26		1,155,737
	566,151	SLM Private Education Loan Trust, Series 11-A, Class A2, 144A, 4.37%, due 04/17/28		572,532
	2,219,654	SLM Private Education Loan Trust, Series 11-A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.50%, 4.09%, due 01/15/43		2,293,021
	3,011,907	SLM Private Education Loan Trust, Series 10-A, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + 3.25%, 4.84%, due 05/16/44		3,094,485
	1,034,090	SLM Private Education Loan Trust, Series 11-C, Class A2B, 144A, 4.54%, due 10/17/44		1,054,284
	501,214	SLM Private Education Loan Trust, Series 12-C, Class A2, 144A, 3.31%, due 10/15/46		501,554
	4,844,588	SLM Student Loan Trust, Series 07-6, Class A4, Variable Rate, 3 mo. LIBOR + 0.38%, 2.13%, due 10/25/24		4,848,347
	1,770,540	SMB Private Education Loan Trust, Series 17-A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.45%, 2.04%, due 06/17/24		1,772,639
	124,731	South Carolina Student Loan Corp., Series 08-1, Class A3, Variable Rate, 3 mo. LIBOR + 0.75%, 2.23%, due 03/02/20		124,824
	1,399,715	South Carolina Student Loan Corp., Series 05, Class A3, Variable Rate, 3 mo. LIBOR + 0.14%, 1.62%, due 12/01/23		1,394,928
	1,433,140	Symphony CLO V Ltd., Series 07-5A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.47%, due 01/15/24		1,433,639
	62,630	Symphony CLO VIII LP, Series 12-8A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.80%, due 01/09/23		62,692


Par Value†		Description	Value ($)
		United States— continued
		Asset-Backed Securities— continued
	513,608	TCI-Symphony CLO Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.52%, due 07/15/30		514,050
	309,795	Telos CLO, Series 13-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.73%, due 07/17/26		310,265
	867,426	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.48%, due 01/17/30		867,417
	180,381	THL Credit Wind River CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.64%, due 07/20/30		180,700
	743,508	THL Credit Wind River CLO Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .60%, 2.48%, due 11/20/30		743,505
	783,832	Tryon Park CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.84%, due 07/15/25		785,400
	706,686	Velocity Commercial Capital Loan Trust, Series 15-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 2.43%, 4.05%, due 06/25/45		714,927
	2,299,005	Voya CLO Ltd., Series 13-3A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 2.78%, due 01/18/26		2,299,695
	542,141	Voya CLO Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.54%, due 07/20/30		542,141
	1,239,180	Voya CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.32%, due 10/15/30		1,239,169
	330,448	Voya CLO Ltd., Series 16-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.32%, due 01/20/31		330,446
	155,684	WhiteHorse VI Ltd., Series 12-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 2.98%, due 02/03/25		155,926
	5,141,510	WhiteHorse VIII Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.28%, due 05/01/26		5,146,549
	225,476	Ziggurat CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.63%, due 04/17/29		225,759

		Total Asset-Backed Securities		155,809,554


		Mortgage Backed Securities— 0.1%
	1,262,494	JP Morgan Chase Commercial Mortgage Securities Trust, Series 14-CBM, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.90%, 2.49%, due 10/15/29		1,262,493


		See accompanying notes to the financial statements.		39

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		United States— continued
		Mortgage Backed Securities— continued
	652,625	JP Morgan Chase Commercial Mortgage Securities Trust, Series 14-FL6, Class A, 144A, Variable Rate, 1 mo. LIBOR + 1.40%, 2.99%, due 11/15/31		652,966
	392,308	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 1.87%, due 02/25/30		383,816
	146,487	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 1.87%, due 09/25/30		146,174
	139,131	Nationslink Funding Corp. Commercial Loan Pass Through Certificate, Series 99-LTL1, Class D, 144A, 6.45%, due 01/22/26		142,289

		Total Mortgage Backed Securities		2,587,738


		U.S. Government— 20.2%
	10,416,592	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25 ^(b)		10,224,306
	100,604,096	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 ^(b)		100,023,013
	101,250,771	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/26 ^(b)		96,666,134
	149,734,969	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 ^(b)		144,984,544
	65,722,313	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 ^(b)		63,688,953
	100,100,763	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 ^(b)		109,535,233
	50,818,100	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 ^(b)		59,965,011
	51,057,500	U.S. Treasury Note, 1.38%, due 09/30/19		50,389,365
	55,958,000	U.S. Treasury Note, 1.50%, due 10/31/19		55,297,870
	7,900,000	U.S. Treasury Note, USBM + 0.05%, 1.70%, due 10/31/19		7,904,952
	45,000,000	U.S. Treasury Note, 1.75%, due 11/30/19		44,623,828
	45,500,000	U.S. Treasury Note, 1.88%, due 12/31/19 ^(c)		45,197,852
	61,591,500	U.S. Treasury Note, 2.00%, due 01/31/20		61,305,196
	55,500,000	U.S. Treasury Note, 2.25%, due 02/29/20		55,489,160

		Total U.S. Government		905,295,417


		U.S. Government Agency— 0.6%
	10,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR – 0.22%, 1.58%, due 11/09/18		10,499,530


Par Value† / Shares		Description	Value ($)
		United States— continued
		U.S. Government Agency— continued
	3,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR – 0.24%, 1.27%, due 03/06/19		2,998,748
	10,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR – 0.16%, 1.63%, due 02/07/20		10,495,271
	181,563	Government National Mortgage Association, Series 12-H15, Class FA, Variable Rate, 1 mo. LIBOR + 0.45%, 2.01%, due 05/20/62		181,801
	2,923,480	Government National Mortgage Association, Series 17-H12, Class FE, Variable Rate, 1 mo. LIBOR + 0.20%, 1.76%, due 06/20/66		2,922,183
	1,149,833	Government National Mortgage Association, Series 17-H05, Class FJ, Variable Rate, 1 mo. LIBOR + 0.27%, 1.83%, due 01/20/67		1,150,000
	1,437,167	Government National Mortgage Association, Series 17-H13, Class FJ, Variable Rate, 1 mo. LIBOR + 0.20%, 1.76%, due 05/20/67		1,437,555

		Total U.S. Government Agency		29,685,088

		Total United States		1,093,377,797


		TOTAL DEBT OBLIGATIONS (COST $1,105,552,879)		1,093,377,797


		PREFERRED STOCKS ^(d) — 1.3%

		Brazil— 0.7%
	62,500	Banco do Estado do Rio Grande do Sul SA – Class B		349,372
	447,400	Braskem SA – Class A		6,399,106
	283,300	Centrais Eletricas Brasileiras SA – Class B		2,434,343
	2,700	Cia Brasileira de Distribuicao		56,954
	14,200	Cia de Saneamento do Parana		45,177
	302,460	Itau Unibanco Holding SA		4,693,072
	264,700	Itau Unibanco Holding SA Sponsored ADR		4,121,379
	2,907,097	Itausa – Investimentos Itau SA		11,746,932
	556,000	Metalurgica Gerdau SA		1,349,373
	268,500	Oi SA ^*		314,238

		Total Brazil		31,509,946


		Colombia— 0.0%
	4,600	Bancolombia SA Sponsored ADR		194,028
	53,372	Grupo Aval Acciones y Valores SA		23,097

		Total Colombia		217,125


		Germany— 0.1%
	13,184	Bayerische Motoren Werke AG		1,190,530
	2,217	Draegerwerk AG & Co KGaA		226,786


40		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Germany— continued
	1,256	Jungheinrich AG		61,138
	7,690	Volkswagen AG		1,496,001

		Total Germany		2,974,455


		Russia— 0.0%
	1,793	Bashneft PJSC		51,233
	398,800	Sberbank of Russia PJSC		1,591,029
	37	Transneft PJSC		120,922

		Total Russia		1,763,184


		South Korea— 0.5%
	1,665	Hyundai Motor Co		137,542
	25,809	Hyundai Motor Co 2nd Preference		2,316,109
	34,862	LG Electronics Inc		1,324,255
	8,258	Samsung Electronics Co Ltd		15,169,878
	1,854	Samsung Electronics Co Ltd GDR (Registered)		1,682,043

		Total South Korea		20,629,827


		Taiwan— 0.0%
	14,463	CTBC Financial Holding Co Ltd ^*		30,119


		TOTAL PREFERRED STOCKS (COST $38,973,985)		57,124,656


		RIGHTS/WARRANTS— 0.0%

		Brazil— 0.0%
	68,320	Itausa – Investimentos Itau SA Rights, Expires 4/05/18 ^(e) *		113,625


		Chile— 0.0%
	79,108	Enel Chile SA, Expires 3/19/18 ^*		1


		Thailand— 0.0%
	48,800	Supalai Pcl Rights, Expires 10/19/18 ^*		29,868
	74,250	Supalai Public Co Rights, Expires 10/19/18 ^*		45,652

		Total Thailand		75,520


		TOTAL RIGHTS/WARRANTS (COST $60,200)		189,146


		INVESTMENT FUNDS— 0.0%

		United States— 0.0%
	13,504	iShares MSCI Emerging Markets ETF		648,462


		TOTAL INVESTMENT FUNDS (COST $661,208)		648,462


Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS— 31.8%

		United States— 31.8%
		Affiliated Issuers— 31.8%
	4,661,724	GMO Emerging Country Debt Fund, Class IV		133,185,460
	15,754,451	GMO Emerging Markets Fund, Class VI		569,680,947
	8,239,477	GMO Opportunistic Income Fund, Class VI		217,604,583
	5,803,937	GMO SGM Major Markets Fund, Class VI		184,449,116
	12,805,496	GMO Special Opportunities Fund, Class VI		323,594,896


		TOTAL MUTUAL FUNDS (COST $1,214,411,315)		1,428,515,002


		SHORT-TERM INVESTMENTS— 5.8%

		Foreign Government Obligation— 1.9%
JPY	1,445,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/23/18		13,545,770
JPY	2,840,000,000	Japan Treasury Discount Bill, Zero Coupon, due 05/14/18		26,626,128
JPY	1,900,000,000	Japan Treasury Discount Bill, Zero Coupon, due 03/19/18		17,808,607
JPY	560,000,000	Japan Treasury Discount Bill, Zero Coupon, due 03/26/18		5,248,952
JPY	1,465,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/09/18		13,732,334
JPY	800,000,000	Japan Treasury Discount Bill, Zero Coupon, due 05/21/18		7,500,670


		TOTAL FOREIGN GOVERNMENT OBLIGATION (COST $81,239,493)		84,462,461


		Money Market Funds— 0.1%
	7,380,562	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33% ^(f)		7,380,562


		Repurchase Agreements— 2.7%
	119,737,426	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 02/28/18, maturing on 03/01/18 with a maturity value of $119,742,082 and an effective yield of 1.40%, collateralized by a U.S. Treasury Note with maturity date 02/15/20 and a market value of $122,216,205.		119,737,426


		U.S. Government— 1.0%
	11,725,000	U.S. Treasury Bill, 1.80%, due 08/23/18 ^(g)		11,622,976
	24,630,000	U.S. Treasury Note, 0.75%, due 10/31/18 ^(c)		24,430,843


		See accompanying notes to the financial statements.		41

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		U.S. Government— continued
	9,775,000	U.S. Treasury Note, 1.38%, due 11/30/18		9,728,798

		Total U.S. Government		45,782,617


		U.S. Government Agency— 0.1%
	3,000,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 07/02/18		2,981,550


		TOTAL SHORT-TERM INVESTMENTS (COST $257,225,069)		260,344,616


		TOTAL INVESTMENTS — 100.8% (Cost $4,039,446,263)		4,523,456,238
		Other Assets and Liabilities (net) — (0.8%)		(36,967,303	)


		TOTAL NET ASSETS — 100.0%		$4,486,488,935

A summary of outstanding financial instruments at February 28, 2018 is as follows:

Forward Currency Contracts



Settlement Date	Counter party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
03/19/2018	MSCI		JPY	1,900,000,000		USD	16,836,061	$	(992,500	)
03/26/2018	CITI		JPY	560,000,000		USD	5,021,031		(236,660	)
04/09/2018	GS		JPY	1,465,000,000		USD	12,995,377		(773,141	)
04/23/2018	MSCI		JPY	1,445,000,000		USD	13,061,116		(531,839	)
05/14/2018	MSCI		JPY	2,840,000,000		USD	26,045,010		(706,912	)
05/21/2018	MSCI		JPY	800,000,000		USD	7,493,695		(45,457	)

								$	(3,286,509	)

Reverse Repurchase Agreements


Average balance outstanding	$	(62,942,589	)
Average interest rate		(0.24	)%
Maximum balance outstanding	$	(74,914,958	)

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
Buys
120	Mini MSCI Emerging Markets	March 2018	$	7,098,000	$	401,740

Sales
1,887	S&P 500 E-Mini	March 2018	$	256,103,640	$	2,898,576

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.


42		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2018

Notes to Schedule of Investments:

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

*	Non-income producing security.

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

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

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

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

(e)	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 (Note 2).

(f)	The rate disclosed is the 7 day net yield as of February 28, 2018.

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


		See accompanying notes to the financial statements.		43

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

GMO Global Asset Allocation Fund returned +12.04% (net) for the fiscal year ended February 28, 2018, as compared with +12.15% for the Fund’s benchmark, the GMO Global Asset Allocation Index (65% MSCI ACWI and 35% Bloomberg Barclays U.S. Aggregate Index).

The Fund’s underweight in equities, compared to the benchmark, detracted from relative performance. Within equities, the overweighting to emerging markets and the underweighting to the U.S. helped relative performance. Stock selection within equities was additive for developed ex-U.S. markets and was also positive in the U.S., due to our allocation to Quality. Stock selection in emerging markets was challenging as it was a particularly difficult year for valuation-driven investing. The Fund’s exposure to alternative strategies detracted from relative performance, as they significantly underperformed the very strong returns generated by equity markets. The underweighting to fixed income was beneficial to performance as the asset class did relatively poorly, and the Fund also enjoyed decent outperformance within fixed income, driven primarily by emerging market debt and asset backed securities. Our exposure to cash/cash plus detracted from relative performance.

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Global Asset Allocation Fund Class III Shares, the GMO Global Asset Allocation Index,

MSCI ACWI and Bloomberg Barclays U.S. Aggregate Index

As of February 28, 2018

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .15% on the purchase and .15% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

The GMO Global Asset Allocation Index is comprised of 48.75% S&P 500 Index, 16.25% MSCI ACWI ex USA and 35% Bloomberg Barclays U.S. Aggregate Index through 3/31/2007, and 65% MSCI ACWI (All CountryWorld Index) and 35% Bloomberg Barclays U.S. Aggregate Index thereafter.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For S&P disclaimers please visit http://www.gmo.com/America/_Disclaimers/_BenchmarkDisclaimers.htm.

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		56.3	%
Debt Obligations		29.7
Short-Term Investments		15.3
Mutual Funds		1.6
Preferred Stocks		0.8
Investment Funds		0.3
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Swap Contracts		0.0	^
Purchased Options		0.0	^
Loan Assignments		0.0	^
Written/Credit Linked Options		(0.0	)^
Futures Contracts		(0.1	)
Forward Currency Contracts		(0.1	)
Securities Sold Short		(0.3	)
Other		(3.5	)

		100.0	%


Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		17.9	%
Other Emerging		2.2	†
Euro Region		0.0	^#
Other Developed		(0.5	)‡

		19.6	%


Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		14.9	%
Other Emerging		8.1	†
Japan		5.8
Other Developed		5.0	‡
Taiwan		4.5
United Kingdom		3.4
Germany		2.7
France		2.7
Russia		2.4
South Korea		2.4
Thailand		1.7
Switzerland		1.3
Hong Kong		1.0
Euro Region		0.0	^#

		55.9	%

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

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

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

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

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

^	Rounds to 0.0%.

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS— 100.0%

		Affiliated Issuers— 100.0%
	3,436,356	GMO Alpha Only Fund, Class IV		74,946,917
	18,127,944	GMO Asset Allocation Bond Fund, Class VI		399,177,319
	11,897,741	GMO Core Plus Bond Fund, Class IV		249,614,612
	1,943,671	GMO Emerging Country Debt Fund, Class IV		55,530,671
	12,934,678	GMO Emerging Markets Fund, Class VI		467,717,958
	21,750,478	GMO International Equity Fund, Class IV		519,183,914
	1,848,284	GMO Opportunistic Income Fund, Class VI		48,813,182
	7,097,791	GMO Quality Fund, Class VI		178,367,480
	2,319,581	GMO Risk Premium Fund, Class VI		62,350,340
	2,314,886	GMO SGM Major Markets Fund, Class VI		73,567,091
	11,685,746	GMO U.S. Equity Allocation Fund, Class VI		178,908,774
	6,689,893	GMO U.S. Treasury Fund		167,046,625


		TOTAL MUTUAL FUNDS (COST $2,388,255,464)		2,475,224,883


		DEBT OBLIGATIONS — 0.0%

		Asset-Backed Securities— 0.0%
	32,873	ACE Securities Corp., Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + .28%, 1.84%, due 02/25/36 ◆		18,460
	27,548	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .50%, 2.06%, due 10/25/34 ◆		25,742
	22,899	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 1.88%, due 02/26/34		21,777

		Total Asset-Backed Securities		65,979


		TOTAL DEBT OBLIGATIONS (COST $58,083)		65,979


		SHORT-TERM INVESTMENTS — 0.0%

		Money Market Funds— 0.0%
	353,500	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33% ^(a)		353,500


		TOTAL SHORT-TERM INVESTMENTS (COST $353,500)		353,500


		TOTAL INVESTMENTS — 100.0% (Cost $2,388,667,047)		2,475,644,362
		Other Assets and Liabilities (net) — (0.0%)		(39,805	)


		TOTAL NET ASSETS — 100.0%		$2,475,604,557

Notes to Schedule of Investments:

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

◆	These securities are primarily backed by subprime mortgages.

(a)	The rate disclosed is the 7 day net yield as of February 28, 2018.


		See accompanying notes to the financial statements.		47

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

GMO Global Developed Equity Allocation Fund returned +20.39% (net) for the fiscal year ended February 28, 2018, as compared with +17.36% for the Fund’s benchmark, the MSCI World Index.

The Fund’s exposure to emerging markets was the largest positive contributor to performance relative to the benchmark. The Fund also benefitted from being underweight the U.S. and Canada. The Fund’s modest cash holdings were a drag on relative performance given the strong returns generated by equities. Stock selection detracted from relative performance in the U.K., Japan, and emerging markets (where it was a particularly difficult year for valuation-driven investing), but this was more than compensated by excellent stock selection results in the U.S. and Germany.

Allocation between sectors proved additive, driven primarily by an overweight position in Information Technology. Stock selection within sectors also added value, with a positive outcome in every sector except Information Technology. Top stock detractors included having no exposure to (the strongly performing) Amazon and Boeing, as well as an overweight position in GlaxoSmithKline. Top stock contributors included having no exposure to General Electric Company, as well as overweight positions in Deutsche Lufthansa and Fiat Chrysler.

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Global Developed Equity Allocation Fund Class III Shares and the MSCI World Index

As of February 28, 2018

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .08% on the purchase and .08% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		97.3	%
Short-Term Investments		1.5
Preferred Stocks		0.6
Investment Funds		0.2
Futures Contracts		0.0	^
Swap Contracts		0.0	^
Rights/Warrants		0.0	^
Other		0.4

		100.0	%


Country/Region Summary¤	% of Investments
United States		40.4	%
Japan		12.8
United Kingdom		7.6
Germany		6.0
France		6.0
Other Emerging		3.4	†
Switzerland		2.9
Taiwan		2.9
Italy		2.4
Hong Kong		2.3
China		2.1
Other Developed		2.0	‡
Australia		1.8
Sweden		1.6
Norway		1.6
Netherlands		1.5
South Korea		1.4
Russia		1.3

		100	%

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

The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

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

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

^	Rounds to 0.0%.

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%

		Affiliated Issuers— 100.0%
	1,299,530	GMO Emerging Markets Fund, Class VI		46,991,022
	9,106,820	GMO International Equity Fund, Class IV		217,379,783
	4,090,196	GMO Quality Fund, Class VI		102,786,624
	6,661,313	GMO U.S. Equity Allocation Fund, Class VI		101,984,701


		TOTAL MUTUAL FUNDS (COST $412,488,926)		469,142,130


		SHORT-TERM INVESTMENTS — 0.0%

		Money Market Funds— 0.0%
	201,846	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33% ^(a)		201,846


		TOTAL SHORT-TERM INVESTMENTS (COST $201,846)		201,846


		TOTAL INVESTMENTS — 100.0% (Cost $412,690,772)		469,343,976
		Other Assets and Liabilities (net) — (0.0%)		(61,154	)


		TOTAL NET ASSETS — 100.0%		$469,282,822

Notes to Schedule of Investments:

(a)	The rate disclosed is the 7 day net yield as of February 28, 2018.


		See accompanying notes to the financial statements.		51

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

GMO Global Equity Allocation Fund returned +21.06% (net) for the fiscal year ended February 28, 2018, as compared with +18.79% for the Fund’s benchmark, the MSCI All Country World Index (“ACWI”).

The Fund’s exposure to emerging markets was the largest positive contributor to performance relative to the benchmark. The Fund also benefitted from being underweight the U.S. and Canada. The Fund’s very modest cash holdings were a marginal drag on relative performance, given the strong returns generated by equities. Stock selection detracted from relative performance in the UK, Japan, and emerging markets (where it was a particularly difficult year for valuation-driven investing), but this was compensated by excellent stock selection results in the U.S. and Germany.

Allocation between sectors proved additive, driven primarily by an overweight position in Information Technology and also helped by underweight positions in Energy and Consumer Staples. Stock selection within sectors also added value, with a positive outcome in every sector except Information Technology. Top stock detractors included having no exposure to (the strongly performing) Amazon and Boeing, as well as an overweight position in GlaxoSmithKline. Top stock contributors included having no exposure to General Electric Company, as well as overweight positions in Deutsche Lufthansa and Fiat Chrysler.

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Global Equity Allocation Fund Class III Shares, the MSCI ACWI + and the MSCI ACWI

As of February 28, 2018

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .18% on the purchase and .18% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

The MSCI ACWI + represents 75% S&P 500 Index and 25% MSCI ACWI ex-USA prior to May 30, 2008 and MSCI ACWI thereafter.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For S&P disclaimers please visit http://www.gmo.com/America/_Disclaimers/_BenchmarkDisclaimers.htm.

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		96.4	%
Short-Term Investments		1.6
Preferred Stocks		1.1
Investment Funds		0.4
Futures Contracts		0.1
Swap Contracts		0.0	^
Rights/Warrants		0.0	^
Other		0.4

		100.0	%


Country/Region Summary¤	% of Investments
United States		32.6	%
Japan		10.5
Taiwan		6.6
United Kingdom		6.3
China		5.5
Germany		5.0
France		4.9
Other Emerging		4.0	†
South Korea		3.5
Russia		3.4
Switzerland		2.4
Thailand		2.3
Italy		2.0
Hong Kong		1.9
Other Developed		1.6	‡
Australia		1.5
Sweden		1.3
Norway		1.3
Netherlands		1.2
India		1.1
Turkey		1.1

		100.0	%

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

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

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

^	Rounds to 0.0%.

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares	Description	Value ($)
	MUTUAL FUNDS— 100.0%

	Affiliated Issuers— 100.0%
16,830,027	GMO Emerging Markets Fund, Class VI		608,573,770
37,571,486	GMO International Equity Fund, Class IV		896,831,372
16,426,866	GMO Quality Fund, Class VI		412,807,154
26,779,462	GMO U.S. Equity Allocation Fund, Class VI		409,993,568


	TOTAL MUTUAL FUNDS (COST $2,148,942,887)		2,328,205,864


	SHORT-TERM INVESTMENTS — 0.0%

	Money Market Funds— 0.0%
807,905	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33% ^(a)		807,905


	TOTAL SHORT-TERM INVESTMENTS (COST $807,905)		807,905


	TOTAL INVESTMENTS — 100.0% (Cost $2,149,750,792)		2,329,013,769
	Other Assets and Liabilities (net) — (0.0%)		(93,139	)


	TOTAL NET ASSETS — 100.0%		$2,328,920,630

Notes to Schedule of Investments:

(a)	The rate disclosed is the 7 day net yield as of February 28, 2018.


		See accompanying notes to the financial statements.		55

GMO Implementation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC. Allocations among asset classes are made by the Asset Allocation team and specific security selection is primarily handled by other GMO investment teams in collaboration with the Asset Allocation team. For example, the Global Equity team selects equity securities within GMO Implementation Fund.

Management Discussion and Analysis of Fund Performance

GMO Implementation Fund returned +11.12% (net) for the fiscal year ended February 28, 2018, as compared with +2.11% for the CPI.

The Fund’s exposure to equities, particularly in emerging markets, was the primary driver of the strong performance. Despite U.S. TIPS delivering a negative return, the Fund’s exposure to fixed income also contributed to performance — with distressed debt being most noteworthy. Alternative strategies had a minimal positive impact on performance, as did cash and short duration bond holdings.

GMO Implementation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Implementation Fund, the Consumer Price Index and Bloomberg Barclays U.S. Treasury Inflation Notes: 1-10 Year Index

As of February 28, 2018

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, please call (617) 330-7500. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .20% on the purchase and .20% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		57.2	%
Debt Obligations		33.8
Short-Term Investments		7.2
Preferred Stocks		1.5
Mutual Funds		0.7
Futures Contracts		0.2
Investment Funds		0.1
Purchased Options		0.0	^
Rights/Warrants		0.0	^
Repurchase Agreements		0.0	^
Swap Contracts		0.0	^
Written Options		(0.1	)
Forward Currency Contracts		(0.2	)
Securities Sold Short		(1.6	)
Other		1.2

		100.0	%


Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		15.3	%
Other Emerging		0.0	^†
Euro Region		0.0	^§
Other Developed		(0.1	)‡
Australia		(1.7	)
United Kingdom		(3.7	)

		9.8	%


Country/Region Summary¤	Equity Investments % of Total Net Assets
United States		11.0	%
China		6.8
Taiwan		6.0
Other Developed		4.8	‡
South Korea		4.3
Japan		3.5
Russia		2.4
Thailand		2.4
United Kingdom		2.2
Germany		2.1
Other Emerging		2.0	†
India		2.0
South Africa		2.0
France		1.6
Brazil		1.4
Turkey		1.3
Netherlands		1.2
Switzerland		1.0

		58.0	%


Industry Group Summary	% of Equity Investments^#
Banks		14.1	%
Technology Hardware & Equipment		9.3
Materials		8.5
Software & Services		7.9
Capital Goods		6.7
Semiconductors & Semiconductor Equipment		6.2
Energy		5.8
Food, Beverage & Tobacco		4.6
Automobiles & Components		4.4
Telecommunication Services		4.3
Health Care Equipment & Services		3.5
Pharmaceuticals, Biotechnology & Life Sciences		3.5
Real Estate		3.2
Insurance		3.0
Diversified Financials		2.7
Consumer Durables & Apparel		2.7
Utilities		2.3
Transportation		1.8
Food & Staples Retailing		1.4
Retailing		1.3
Household & Personal Products		1.2
Media		0.7
Commercial & Professional Services		0.5
Consumer Services		0.4

		100.0	%

(a)	GMO Implementation SPC Ltd. is a 100% owned subsidiary of GMO Implementation Fund. As such, the holdings of GMO Implementation SPC Ltd. have been included with GMO Implementation Fund.

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

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

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

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

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

^	Rounds to 0.0%.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		COMMON STOCKS — 57.2%

		Australia — 0.7%
	137,358	Australian Pharmaceutical Industries Ltd		162,037
	51,024	BWP Trust (REIT)		114,495
	445,105	Caltex Australia Ltd		12,065,535
	102,628	Charter Hall Group (REIT)		463,387
	13,841	CIMIC Group Ltd		499,246
	112,691	Codan Ltd		210,951
	411,365	Costa Group Holdings Ltd		2,312,715
	72,352	Credit Corp Group Ltd		1,178,984
	265,437	CSR Ltd		1,056,130
	10,133	Dexus (REIT)		72,730
	2,000,446	Downer EDI Ltd		10,671,053
	41,300	Elders Ltd		221,014
	165,829	GDI Property Group		160,529
	573,610	Genworth Mortgage Insurance Australia Ltd		1,115,598
	553,329	Goodman Group (REIT)		3,498,903
	27,911	Investa Office Fund (REIT)		91,204
	34,706	Macquarie Group Ltd (REIT)		2,765,160
	11,979	McMillan Shakespeare Ltd		162,500
	408,287	Metcash Ltd		1,020,997
	374,373	Mineral Resources Ltd		5,455,668
	15,020	Monadelphous Group Ltd		190,497
	128,794	Monash IVF Group Ltd		121,329
	922,165	Nine Entertainment Co Holdings Ltd		1,627,641
	170,289	NRW Holdings Ltd ^*		226,868
	548,392	OZ Minerals Ltd		4,057,574
	13,711	Sims Metal Management Ltd		183,216
	298,897	Tassal Group Ltd		878,694
	5,788	Virtus Health Ltd		25,775
	3,664,900	Westfield Corp (REIT)		24,843,902

		Total Australia		75,454,332


		Austria — 0.2%
	43,489	FACC AG ^*		1,130,536
	306,283	OMV AG		17,414,717
	23,033	POLYTEC Holding AG		491,258
	112,327	voestalpine AG		6,479,937

		Total Austria		25,516,448


		Belgium — 0.0%
	231,456	AGFA-Gevaert NV ^*		1,135,030
	3,659	Barco NV		446,490
	385	Groupe Bruxelles Lambert SA		43,957
	11,671	UCB SA		964,098

		Total Belgium		2,589,575


		Brazil — 0.8%
	1,673,600	AES Tiete Energia SA		5,850,306


Shares		Description	Value ($)
		Brazil — continued
	115,673	Banco Bradesco SA		1,312,094
	118,600	Banco BTG Pactual SA		841,585
	651,400	Banco do Brasil SA		8,386,005
	317,200	Banco Santander Brasil SA		3,592,178
	2,377,300	Centrais Eletricas Brasileiras SA ^*		18,135,982
	738,000	Cia de Saneamento Basico do Estado de Sao Paulo		8,557,609
	334,800	EDP – Energias do Brasil SA		1,371,413
	744,300	Engie Brasil Energia SA		8,974,513
	311,300	Estacio Participacoes SA		3,250,199
	177,300	Grendene SA		1,551,355
	4,389,800	JBS SA		13,398,293
	402,900	LPS Brasil Consultoria de Imoveis SA ^*		668,832
	61,400	Multiplus SA		651,083
	3,110,700	Rumo SA ^*		13,642,665
	542,900	Transmissora Alianca de Energia Eletrica SA		3,427,716
	265,300	Via Varejo SA		2,238,001

		Total Brazil		95,849,829


		Canada — 0.8%
	139,500	AGF Management Ltd – Class B		747,943
	251,100	Air Canada ^*		5,295,173
	899,200	Alignvest Acquisition II Corp ^*		6,860,324
	111,300	Bank of Nova Scotia (The)		6,895,535
	23,100	Baytex Energy Corp ^*		58,905
	97,100	Bird Construction Inc		671,951
	56,248	BRP Inc Sub Voting		1,972,099
	51,800	Canfor Corp ^*		1,223,953
	11,800	Cogeco Inc		659,336
	67,600	Empire Co Ltd		1,251,696
	4,400	Industrial Alliance Insurance & Financial Services Inc		186,499
	19,400	Labrador Iron Ore Royalty Corp		380,531
	80,300	Magna International Inc		4,418,002
	81,300	Manulife Financial Corp		1,547,952
	388,700	Metro Inc		12,261,982
	13,500	Morguard North American Residential Real Estate Investment Trust		139,713
	15,100	Rocky Mountain Dealerships Inc		145,446
	194,400	Rogers Sugar Inc		937,762
	330,300	Royal Bank of Canada		26,020,906
	32,900	Russel Metals Inc		755,582
	5,600	Sierra Wireless Inc ^*		89,320
	2,300	TMX Group Ltd		137,495
	18,000	Toromont Industries Ltd		808,120
	107,600	Toronto-Dominion Bank (The)		6,205,112
	26,000	Transat AT Inc ^*		215,789
	198,920	Transcontinental Inc – Class A		3,743,702


		See accompanying notes to the financial statements.		59

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Canada — continued
	9,100	Wajax Corp		159,704
	148,100	West Fraser Timber Co Ltd		10,315,756
	37,160	WestJet Airlines Ltd		748,586
	7,600	Westshore Terminals Investment Corp		147,712

		Total Canada		95,002,586

		Chile — 0.0%
	96,048	Empresa Nacional de Telecomunicaciones SA		1,115,318
	11,212,040	Enel Chile SA		1,387,332

		Total Chile		2,502,650


		China — 7.3%
	5,503,000	361 Degrees International Ltd		2,005,184
	5,772,000	Agile Group Holdings Ltd		9,843,040
	119,758,000	Agricultural Bank of China Ltd – Class H		65,801,083
	119,900	Alibaba Group Holding Ltd Sponsored ADR ^*		22,318,186
	4,603,500	Anhui Conch Cement Co Ltd – Class H		24,458,560
	69,822,000	Bank of China Ltd – Class H		37,548,282
	11,382,000	Bank of Communications Co Ltd – Class H		9,048,752
	209,300	Changyou.com Ltd ADR ^*		5,923,190
	6,811,000	China CITIC Bank Corp Ltd – Class H		4,925,182
	3,000	China Communications Construction Co Ltd – Class H		3,335
	22,028,000	China Communications Services Corp Ltd – Class H		13,022,047
	57,024,000	China Construction Bank – Class H		58,467,412
	2,697,000	China Everbright Bank Co Ltd – Class H		1,380,213
	8,997,000	China Greenfresh Group Co Ltd		1,526,468
	3,509,000	China Huarong Asset Management Co Ltd – Class H		1,583,559
	176,000	China Jinmao Holdings Group Ltd		106,397
	8,388,000	China Lesso Group Holdings Ltd		5,500,361
	11,297,000	China Machinery Engineering Corp – Class H		6,814,466
	4,681,000	China Mobile Ltd		43,594,282
	21,322,000	China National Building Material Co Ltd – Class H		20,919,217
	5,716,000	China National Materials Co Ltd – Class H		4,746,968
	276,000	China Overseas Land & Investment Ltd		958,977
	17,400	China Petroleum & Chemical Corp ADR		1,376,340
	52,516,000	China Petroleum & Chemical Corp – Class H		41,680,414


Shares		Description	Value ($)
		China — continued
	19,940,700	China Railway Construction Corp Ltd – Class H		21,339,895
	4,128,000	China Resources Cement Holdings Ltd		3,161,363
	158,000	China Resources Land Ltd		558,180
	5,782,500	China Shenhua Energy Co Ltd – Class H		16,366,215
	194,000	China Shineway Pharmaceutical Group Ltd		272,087
	77,112,000	China Telecom Corp Ltd – Class H		33,621,971
	9,400	China Yuchai International Ltd		210,654
	2,708,000	Chongqing Rural Commercial Bank Co Ltd – Class H		2,180,810
	144,570	CKH Food & Health Ltd ^*		112,279
	416,000	Dah Chong Hong Holdings Ltd		205,205
	133,000	Digital China Holdings Ltd ^*		74,949
	26,000,000	Dongfeng Motor Group Co Ltd – Class H		32,673,258
	4,050,000	Geely Automobile Holdings Ltd		12,994,697
	2,904,000	Guangdong Investment Ltd		4,427,609
	382,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		1,033,063
	9,697,200	Guangzhou R&F Properties Co Ltd – Class H		22,519,151
	4,645,000	Haier Electronics Group Co Ltd ^*		15,823,021
	2,205,100	Haitian International Holdings Ltd		6,754,946
	4,353,700	Harbin Electric Co Ltd – Class H		1,757,924
	996,000	Hi Sun Technology China Ltd ^*		205,644
	1,593,000	Hisense Kelon Electrical Holdings Co Ltd – Class H		1,949,016
	72,000	Hopson Development Holdings Ltd		67,914
	746,000	Hua Hong Semiconductor Ltd		1,428,820
	14,796,000	Huabao International Holdings Ltd		11,093,727
	43,032,000	Industrial and Commercial Bank of China Ltd – Class H		36,686,486
	4,344,000	Jiangsu Expressway Co Ltd – Class H		6,727,170
	888,000	Ju Teng International Holdings Ltd		251,670
	472,300	Jumei International Holding Ltd ADR ^*		1,346,055
	3,953,500	Kingboard Chemical Holdings Ltd		19,868,709
	3,357,000	Kingboard Laminates Holdings Ltd		5,831,208
	2,755,000	Lee & Man Paper Manufacturing Ltd		3,112,893
	107,000	Legend Holdings Corp – Class H		364,896
	575,800	Livzon Pharmaceutical Group Inc – Class H		4,280,411
	3,303,000	Longfor Properties Co Ltd		9,484,102
	16,459,000	Lonking Holdings Ltd		6,816,706
	700	Momo Inc Sponsored ADR ^*		23,135
	2,500	NetEase Inc ADR		733,375
	979,000	Nexteer Automotive Group Ltd ^*		2,160,995


60		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		China — continued
	1,515,000	PAX Global Technology Ltd		751,234
	8,762,000	PICC Property & Casualty Co Ltd – Class H		17,185,572
	4,334,000	Postal Savings Bank of China Co Ltd – Class H		2,660,125
	2,234,000	Powerlong Real Estate Holdings Ltd		1,113,733
	94,000	Shandong Chenming Paper Holdings Ltd – Class H		159,491
	1,536,000	Shandong Weigao Group Medical Polymer Co Ltd – Class H		1,047,372
	2,595,000	Shanghai Industrial Holdings Ltd		7,223,155
	4,689,000	Shanghai Pharmaceuticals Holding Co Ltd – Class H		11,735,387
	1,912,000	Shenzhen Expressway Co Ltd – Class H		1,922,845
	6,429,000	Shimao Property Holdings Ltd		15,842,843
	14,400	SINA Corp ^*		1,683,792
	791,000	Sino Biopharmaceutical Ltd		1,482,102
	346,000	Sinofert Holdings Ltd ^*		48,700
	1,058,000	Sino-Ocean Group Holding Ltd		745,354
	1,874,000	Sinopec Engineering Group Co Ltd – Class H		1,816,037
	3,205,500	Sinotruk Hong Kong Ltd		4,065,967
	47,250	Sohu.com, Inc. ^*		1,589,963
	1,340,000	SSY Group Ltd.		1,013,153
	617,300	Tencent Holdings Ltd		33,771,567
	1,631,000	Texhong Textile Group Ltd		2,125,167
	708,000	Tianjin Development Holdings Ltd		321,367
	988,000	Tianjin Port Development Holdings Ltd ^*		143,266
	1,512,000	Tianneng Power International Ltd		1,494,229
	6,153,000	TravelSky Technology Ltd – Class H		19,453,293
	14,010,000	Want Want China Holdings Ltd		11,762,213
	9,794,000	Weichai Power Co Ltd – Class H		10,918,316
	4,354,500	XTEP International Holdings Ltd		1,925,548
	2,986,000	Yadea Group Holdings Ltd		1,026,172
	12,014,000	Yuzhou Properties Co Ltd		7,342,367
	7,344,000	Zhejiang Expressway Co Ltd – Class H		7,984,477

		Total China		842,426,931


		Colombia — 0.1%
	525,117	Almacenes Exito SA		3,075,098
	707,100	Ecopetrol SA Sponsored ADR		12,381,321

		Total Colombia		15,456,419


		Cyprus — 0.0%
	37,103	TCS Group Holding Plc GDR (Registered)		854,063


Shares		Description	Value ($)
		Czech Republic — 0.1%
	341,705	CEZ AS		8,266,313
	1,344,257	Moneta Money Bank AS		5,423,191

		Total Czech Republic		13,689,504


		Denmark — 0.0%
	90,200	Novo Nordisk A/S Sponsored ADR		4,643,496
	2,726	Schouw & Co AB		284,184

		Total Denmark		4,927,680


		Egypt — 0.0%
	78,776	Commercial International Bank Egypt SAE		343,841


		Finland — 0.1%
	34,438	Finnair Oyj		510,975
	12,803	Sanoma Oyj		154,289
	205,991	UPM-Kymmene Oyj		7,047,738

		Total Finland		7,713,002


		France — 1.7%
	683,319	Air France-KLM ^*		8,063,588
	29,555	Amundi SA		2,409,209
	1,139,605	AXA SA		35,691,350
	384,306	BNP Paribas SA		30,387,265
	42,840	Christian Dior SE		15,911,575
	226,153	CNP Assurances		5,480,484
	692,754	Credit Agricole SA		11,870,477
	54,477	Derichebourg SA		488,403
	4,649	Gaztransport Et Technigaz SA		296,717
	31,623	LVMH Moet Hennessy Louis Vuitton SE		9,458,347
	4,146	Mersen SA		202,378
	14,179	Metropole Television SA		403,177
	7,721	Neopost SA		224,365
	18,334	Rallye SA		335,397
	5,647	Rexel SA		99,178
	43,897	Sanofi		3,465,661
	147,011	SCOR SE		6,232,759
	533,912	Societe Generale SA		30,336,679
	706,342	STMicroelectronics NV		16,063,827
	673,800	STMicroelectronics NV – NY Shares		15,362,640
	3,168	Vilmorin & Cie SA		287,739

		Total France		193,071,215


		Germany — 2.1%
	188,381	Allianz SE (Registered)		43,759,254
	212,980	BASF SE		22,249,922
	12,091	Bauer AG		319,094
	320,538	Bayerische Motoren Werke AG		33,677,292
	2,053	Cewe Stiftung & Co KGAA		209,311


		See accompanying notes to the financial statements.		61

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Germany — continued
	31,249	Covestro AG		3,525,210
	502,014	Daimler AG (Registered Shares)		42,865,291
	929,897	Deutsche Lufthansa AG (Registered)		31,049,327
	46,863	Deutsche Post AG (Registered)		2,137,947
	4,362	Eckert & Ziegler AG		188,748
	12,736	Elmos Semiconductor AG		421,779
	3,906	Gesco AG		143,574
	969	Isra Vision AG		234,850
	18,582	Leoni AG		1,263,624
	135,926	Linde AG ^*		30,161,830
	4,074	OHB SE		199,722
	1,031	Pfeiffer Vacuum Technology AG		183,482
	3,476	ProSiebenSat.1 Media SE		137,474
	280,086	RWE AG ^*		5,567,067
	108,611	SAP SE		11,334,579
	2,219	Software AG		116,486
	7,926	STADA Arzneimittel AG		827,080
	46,950	Talanx AG		2,075,337
	30,089	Uniper SE		913,707
	13,717	Volkswagen AG		2,724,888
	27,833	Wacker Neuson SE		990,963
	18,109	Wuestenrot & Wuerttembergische AG		505,807

		Total Germany		237,783,645


		Greece — 0.2%
	2,241,634	Alpha Bank AE ^*		5,322,221
	5,244,465	Eurobank Ergasias SA ^*		5,261,727
	118,862	Intralot SA ^*		194,074
	38,915	Mytilineos Holdings SA ^*		457,380
	8,980,949	National Bank of Greece SA ^*		3,295,147
	1,199,968	Piraeus Bank SA ^*		5,239,642
	134,542	Public Power Corp SA ^*		456,785

		Total Greece		20,226,976


		Hong Kong — 0.8%
	2,580,000	BOC Hong Kong Holdings Ltd		12,965,750
	179,500	CK Asset Holdings Ltd.		1,542,315
	520,000	Dah Sing Banking Group Ltd		1,155,680
	319,200	Dah Sing Financial Holdings Ltd		2,066,651
	22,000	Fortune Real Estate Investment Trust		26,158
	193,000	Hysan Development Co Ltd		1,115,391
	2,310,213	I-CABLE Communications Ltd ^*		57,825
	225,500	Johnson Electric Holdings Ltd		889,823
	888,000	Kerry Properties Ltd		4,013,986
	1,112,500	Link (REIT)		9,457,352
	170,000	Luk Fook Holdings International Ltd		585,398
	404,000	Man Wah Holdings Ltd		371,245
	772,000	Singamas Container Holdings Ltd		151,748
	5,635,000	SJM Holdings Ltd		5,367,613
	3,000	Sun Hung Kai Properties Ltd		49,767


Shares		Description	Value ($)
		Hong Kong — continued
	14,072,000	WH Group Ltd		17,331,139
	1,831,000	Wharf Holdings Ltd (The)		6,802,734
	2,032,000	Wharf Real Estate Investment Co Ltd ^*		13,813,414
	961,000	Wheelock & Co Ltd		6,966,156
	232,500	Xinyi Automobile Glass Hong Kong Enterprises Ltd ^*		63,197
	376,000	Yue Yuen Industrial Holdings Ltd		1,607,061

		Total Hong Kong		86,400,403


		Hungary — 0.1%
	2,257,270	Magyar Telekom Telecommunications Plc		3,982,444
	177,069	Richter Gedeon Nyrt		3,896,627

		Total Hungary		7,879,071


		India — 2.0%
	1,241,778	Andhra Bank ^*		868,324
	395,015	Aurobindo Pharma Ltd		3,701,656
	1,313,008	Bharat Electronics Ltd		3,090,478
	669,709	Canara Bank		3,039,080
	507,101	Chambal Fertilizers and Chemicals Ltd		1,303,046
	90,659	Coal India Ltd		430,491
	33,227	DCM Shriram Ltd		287,294
	211,718	Divi’s Laboratories Ltd		3,322,400
	141,156	Firstsource Solutions Ltd ^*		110,530
	1,949,385	HCL Technologies Ltd		28,115,956
	131,205	Hero MotoCorp Ltd		7,198,489
	1,068,246	Hexaware Technologies Ltd		5,638,312
	988,233	Hindustan Petroleum Corp Ltd		5,746,834
	61,370	Hindustan Zinc Ltd		304,553
	45,502	IDBI Bank Ltd ^*		51,590
	641,376	IFCI Ltd ^*		221,204
	882,107	Indian Oil Corp Ltd		5,091,453
	94,525	Infosys Ltd		1,684,035
	658,600	Infosys Ltd Sponsored ADR		11,630,876
	1,644,357	Jaypee Infratech Ltd ^*		315,121
	1,292,603	Karnataka Bank Ltd (The)		2,645,747
	16,547	KPIT Technologies Ltd		54,545
	49,247	Maruti Suzuki India Ltd		6,660,497
	8,130	Merck Ltd		194,382
	327,929	MOIL Ltd		1,130,880
	261,273	Mphasis Ltd		3,440,831
	589,365	NIIT Technologies Ltd		7,505,385
	1,969,727	NMDC Ltd		3,876,728
	20,862	Nucleus Software Exports Ltd		145,768
	5,318,710	Oil & Natural Gas Corp Ltd		15,166,713
	11,532	Oil India Ltd		61,346
	250,793	Oriental Bank of Commerce ^*		384,566
	7,639,150	Power Finance Corp Ltd		12,232,110


62		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		India — continued
	2,086,433	PTC India Ltd		3,262,041
	487,722	Reliance Capital Ltd		3,495,441
	8,430,860	Rural Electrification Corp Ltd		18,543,633
	296,824	Sonata Software Ltd		1,442,743
	140,819	Steel Authority of India Ltd ^*		178,148
	842,120	Syndicate Bank ^*		777,021
	415,229	Tata Consultancy Services Ltd		19,267,903
	382,842	Tata Global Beverages Ltd		1,602,041
	1,958,917	Tata Steel Ltd		20,096,321
	88,360	Tech Mahindra Ltd		829,616
	31,075	Unichem Laboratories Ltd		158,119
	1,687,323	Union Bank of India ^*		2,698,691
	2,797,474	Unitech Ltd ^*		300,345
	3,286,047	Wipro Ltd		14,694,342
	96,300	Wipro Ltd ADR		530,613
	18,009	Zensar Technologies Ltd		246,795
	74,402	Zuari Agro Chemicals Ltd		598,885

		Total India		224,373,918


		Indonesia — 0.3%
	2,666,400	Adaro Energy Tbk PT		453,327
	306,500	Astra International Tbk PT		179,273
	1,967,600	Bank Central Asia Tbk PT		3,311,392
	6,707,400	Bank Mandiri Persero Tbk PT		4,034,780
	2,840,800	Bank Negara Indonesia Persero Tbk PT		2,006,088
	12,179,600	Bank Pembangunan Daerah Jawa Timur Tbk PT		654,291
	27,730,900	Bank Rakyat Indonesia Persero Tbk PT		7,635,021
	2,742,500	Gajah Tunggal Tbk PT		165,811
	3,773,200	Harum Energy Tbk PT ^*		929,291
	4,274,200	Indo Tambangraya Megah Tbk PT		9,554,752
	1,931,400	Indofood Sukses Makmur Tbk PT		1,062,300
	628,000	Matahari Department Store Tbk PT		483,763
	21,753,500	Panin Financial Tbk PT ^*		434,616
	5,603,800	Summarecon Agung Tbk PT		450,811
	15,052,400	Telekomunikasi Indonesia Persero Tbk PT		4,358,897
	68,700	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		1,994,361
	376,300	United Tractors Tbk PT		969,173

		Total Indonesia		38,677,947


		Ireland — 0.0%
	14,800	ICON Plc ^*		1,676,988
	1,854	Smurfit Kappa Group Plc		64,507

		Total Ireland		1,741,495


		Israel — 0.0%
	48,676	Discount Investment Corp Ltd (Registered)		181,494


Shares		Description	Value ($)
		Israel — continued
	29,471	Nova Measuring Instruments Ltd ^*		811,834
	200	Orbotech Ltd ^*		10,992
	10,000	SodaStream International Ltd ^*		809,200
	9,196	SodaStream International Ltd ^*		745,470
	5,531	Teva Pharmaceutical Industries Ltd		103,725

		Total Israel		2,662,715


		Italy — 0.7%
	845	ACEA SPA		14,661
	178,721	Arnoldo Mondadori Editore SPA ^*		416,335
	13,606	ASTM SPA		329,269
	35,971	Carraro SpA ^*		149,430
	5,328	El.En. SPA		167,240
	2,366,841	Enel SPA		13,738,949
	210,452	EXOR NV		15,271,189
	96,202	Falck Renewables SPA		243,237
	26,768	Fiat Chrysler Automobiles NV ^*		565,021
	1,609,924	Fiat Chrysler Automobiles NV		34,114,290
	139,651	Fincantieri SPA ^*		221,728
	221,943	IMMSI SPA ^*		187,572
	636,537	Iren SPA		1,886,665
	20,889	La Doria SPA		339,694
	13,622	Prima Industrie SPA		573,382
	193,999	Recordati SPA		6,935,312
	4,804	Reply SPA		288,096
	6,037	Sabaf SPA		126,719
	977,423	Saras SPA		2,048,781
	365,112	Societa Cattolica di Assicurazioni SC		4,343,975
	16,483	Societa Iniziative Autostradali e Servizi SPA		283,532

		Total Italy		82,245,077


		Japan — 3.5%
	25,300	Aisin Seiki Co Ltd		1,472,383
	65,000	AOKI Holdings Inc		1,040,045
	2,800	Aoyama Trading Co Ltd		116,500
	783,800	Asahi Kasei Corp		10,044,387
	7,100	Autobacs Seven Co Ltd		138,227
	14,900	Belluna Co Ltd		179,736
	506,200	Brother Industries Ltd		12,588,901
	526,600	Canon Inc		20,068,088
	16,000	Chiba Bank Ltd (The)		131,326
	64,200	CKD Corp		1,606,293
	3,800	Daicel Corp		43,295
	9,500	Dai-ichi Seiko Co Ltd		256,799
	86,800	Daiwa House Industry Co Ltd		3,215,789
	4,800	Daiwabo Holdings Co Ltd		198,443
	118,000	DCM Holdings Co Ltd		1,161,851
	48,000	Denka Co Ltd		1,755,879
	6,200	Duskin Co Ltd		153,118


		See accompanying notes to the financial statements.		63

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Japan — continued
	52,300	Fancl Corp		1,876,783
	4,800	Fuji Pharma Co Ltd		193,857
	39,300	Fujikura Ltd		286,774
	5,000	Fujitsu General Ltd		95,367
	3,053,000	Fujitsu Ltd		18,219,074
	36,200	Furukawa Electric Co Ltd		1,972,474
	2,500	Fuyo General Lease Co Ltd		166,631
	5,600	Hamakyorex Co Ltd		186,997
	4,500	Hanwa Co Ltd		203,070
	8,900	Hazama Ando Corp		64,001
	8,600	Heiwado Co Ltd		198,793
	1,100	Hitachi High-Technologies Corp		53,381
	3,534,000	Hitachi Ltd		26,724,466
	9,900	Hochiki Corp		186,844
	4,200	Hosokawa Micron Corp		317,890
	51,100	House Foods Group Inc		1,710,491
	4,700	Idemitsu Kosan Co Ltd		178,489
	2,111,100	ITOCHU Corp		40,580,710
	19,700	Itochu Techno-Solutions Corp		804,350
	4,800	JSP Corp		152,016
	10,100	Juki Corp		159,229
	11,200	Kamei Corp		167,473
	18,000	Kaneka Corp		182,235
	234,600	Kanematsu Corp		3,159,442
	4,400	Kato Sangyo Co Ltd		148,771
	28,900	Keihin Corp		600,935
	42,700	Kitz Corp		349,027
	3,800	Kose Corp		706,899
	30,000	Kyosan Electric Manufacturing Co Ltd		214,320
	6,000	Makino Milling Machine Co Ltd		60,370
	9,000	Mandom Corp		316,236
	2,117,700	Marubeni Corp		16,135,334
	41,100	MCJ Co Ltd		551,284
	3,304	Medipal Holdings Corp		67,203
	3,216,900	Mitsubishi Chemical Holdings Corp		32,454,936
	71,800	Mitsubishi Corp		2,011,492
	641,200	Mitsubishi Electric Corp		10,815,434
	260,900	Mitsubishi Gas Chemical Co Inc		6,452,889
	480,900	Mitsubishi Tanabe Pharma Corp		10,243,303
	163,700	Mitsui Chemicals Inc		4,967,361
	415,774	Mitsui & Co Ltd		7,535,454
	31,800	Mitsui Mining & Smelting Co Ltd		1,581,427
	42,900	Modec Inc		1,070,868
	4,400	Morinaga & Co Ltd		200,533
	62,000	Nachi-Fujikoshi Corp		385,717
	99,400	NET One Systems Co Ltd		1,527,709
	56,000	Nichias Corp		743,571
	16,500	Nichiha Corp		648,002
	107,000	Nippo Corp		2,522,869
	5,200	Nippon Chemi-Con Corp		139,337


Shares		Description	Value ($)
		Japan — continued
	11,000	Nippon Flour Mills Co Ltd		169,227
	4,000	Nippon Paper Industries Co Ltd		78,692
	759,000	Nippon Telegraph & Telephone Corp		35,252,972
	6,900	Nippon Valqua Industries Ltd		209,067
	16,700	Nisshin Oillio Group Ltd (The)		454,056
	3,500	Noritake Co Ltd		176,796
	121,000	Onward Holdings Co Ltd		1,030,512
	17,000	Osaki Electric Co Ltd		127,502
	4,200	Otsuka Holdings Co Ltd		210,618
	21,300	Pola Orbis Holdings Inc		892,984
	308,000	Prima Meat Packers Ltd		1,850,956
	28,400	Rohm Co Ltd		2,982,950
	24,600	Rohto Pharmaceutical Co Ltd		681,010
	9,000	Sakata INX Corp		118,045
	3,400	Sanyo Special Steel Co Ltd		74,952
	12,500	Seiko Epson Corp		238,543
	555,800	Sekisui Chemical Co Ltd		10,413,110
	900	Shimamura Co Ltd		107,006
	15,200	Shin-Etsu Polymer Co Ltd		178,859
	12,100	Shionogi & Co Ltd		629,845
	14,700	Showa Corp		231,682
	88,500	Showa Denko KK		4,318,685
	1,700	SMC Corp		708,520
	4,159,200	Sojitz Corp		13,572,080
	1,700	Sugi Holdings Co Ltd		93,099
	114,000	Sumitomo Bakelite Co Ltd		990,773
	2,195,000	Sumitomo Chemical Co Ltd		13,533,651
	79,300	Sumitomo Forestry Co Ltd		1,322,073
	300	Sumitomo Seika Chemicals Co Ltd		15,303
	2,900	Suntory Beverage & Food Ltd		134,561
	169,100	Suzuki Motor Corp		9,646,453
	153,800	Takeda Pharmaceutical Co Ltd		8,720,569
	48,600	Tatsuta Electric Wire and Cable Co Ltd		330,162
	15,600	T-Gaia Corp		447,598
	3,737	TIS Inc		137,244
	15,200	Tocalo Co Ltd		206,120
	21,500	Token Corp		2,419,382
	900	Tokyo Century Corp		50,812
	40,600	Tokyo Electric Power Co Holdings Inc^*		155,320
	58,600	Tokyo Electron Ltd		11,450,600
	550,000	Tosoh Corp		11,370,096
	28,000	Toyo Ink SC Holdings Co Ltd		175,138
	270,300	Toyota Tsusho Corp		10,007,912
	54,000	TS Tech Co Ltd		2,182,866
	15,000	Tsubakimoto Chain Co		127,262
	5,600	Ube Industries Ltd		173,819
	24,500	Unipres Corp		595,496
	19,700	Wacoal Holdings Corp		582,917


64		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Japan — continued
	29,700	Warabeya Nichiyo Holdings Co Ltd		706,514
	2,000	Yamaguchi Financial Group Inc		24,142
	6,400	Yokohama Rubber Co Ltd (The)		157,178

		Total Japan		404,928,907


		Malaysia — 0.0%
	289,300	DRB-Hicom Berhad		192,224
	1,915,800	KSL Holdings Berhad ^*		498,005
	166,700	Padini Holdings Berhad		211,448
	125,500	Petronas Chemicals Group Berhad		258,523
	593,000	Ta Ann Holdings Berhad		519,154
	488,100	Top Glove Corp Berhad		1,209,167

		Total Malaysia		2,888,521


		Mexico — 0.6%
	2,028,662	Arca Continental SAB de CV		14,095,755
	661,080	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand		933,195
	20,600	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand ADR		145,642
	1,460,246	Bolsa Mexicana de Valores SAB de CV		2,710,464
	1,432,800	Cemex SAB de CV Sponsored ADR ^*		9,384,840
	16,100	Coca-Cola Femsa SAB de CV Sponsored ADR		1,085,462
	936,500	Corp Inmobiliaria Vesta SAB de CV		1,287,705
	126,400	Credito Real SAB de CV SOFOM ER		175,948
	35,700	El Puerto de Liverpool SAB de CV		244,020
	2,283,300	Genomma Lab Internacional SAB de CV – Class B ^*		2,468,544
	1,106,900	Gentera SAB de CV		904,867
	41,500	Grupo Aeroportuario del Centro Norte SAB de CV		202,980
	4,000	Grupo Aeroportuario del Centro Norte SAB de CV ADR		156,640
	700	Grupo Aeroportuario del Sureste SAB de CV ADR		124,096
	35,900	Grupo Financiero Banorte SAB de CV – Class O		215,221
	97,691	Grupo Financiero Interacciones SA de CV – Class O		455,167
	267,213	Grupo Herdez SAB de CV		651,779
	173,100	Grupo Lala SAB de CV		252,984
	126,600	Kimberly-Clark de Mexico SAB de CV – Class A		230,088
	253,100	Megacable Holdings SAB de CV CPO		1,111,588
	26,330	Promotora y Operadora de Infraestructura SAB de CV		269,088


Shares		Description	Value ($)
		Mexico — continued
	13,172,400	Wal-Mart de Mexico SAB de CV		30,830,040

		Total Mexico		67,936,113


		Netherlands — 1.2%
	21,145	ASR Nederland NV		951,092
	36,700	Constellium NV – Class A ^*		425,720
	28,058	ForFarmers NV		308,361
	410,970	Gemalto NV		24,686,046
	42,621	Heineken Holding NV		4,239,567
	1,909,127	ING Groep NV		33,501,323
	417,928	NXP Semiconductors NV ^* (a)		52,098,905
	50,334	Philips Lighting NV		1,993,981
	91,823	Unilever NV CVA		4,805,661
	70,778	Unilever NV – NY Shares ^(a)		3,701,689
	159,300	VEON Ltd ADR		460,377
	211,539	Wolters Kluwer NV		10,715,273

		Total Netherlands		137,887,995


		New Zealand — 0.0%
	1,108,332	Air New Zealand Ltd		2,622,321


		Norway — 0.3%
	18,917	Austevoll Seafood ASA		169,583
	62,063	Bakkafrost P/F		3,133,603
	233,681	BW LPG Ltd ^*		1,019,471
	111,152	DNB ASA		2,180,283
	384,556	Kongsberg Automotive ASA ^*		482,810
	112,598	Kvaerner ASA ^*		208,781
	295	Salmar ASA		10,488
	45,694	SpareBank 1 SR Bank ASA		535,889
	509,905	Statoil ASA		11,606,206
	434,008	Storebrand ASA		3,775,288
	459,553	Subsea 7 SA		6,824,049
	65,566	Telenor ASA		1,471,397

		Total Norway		31,417,848


		Peru — 0.1%
	49,700	Credicorp Ltd		10,757,565


		Philippines — 0.0%
	403,900	Manila Electric Co		2,609,640
	1,084,600	Manila Water Co Inc		540,902
	11,920,000	Megaworld Corp		1,108,421

		Total Philippines		4,258,963


		Poland — 0.3%
	339,150	Asseco Poland SA		4,648,861
	855,868	Enea SA		2,519,769
	1,346,657	Energa SA		4,074,632


		See accompanying notes to the financial statements.		65

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Poland — continued
	340,577	KGHM Polska Miedz SA		10,335,644
	1,206,353	PGE Polska Grupa Energetyczna SA ^*		3,561,768
	18,203	Polski Koncern Naftowy ORLEN SA		508,951
	123,750	Polskie Gornictwo Naftowe i Gazownictwo SA		218,056
	90,532	Powszechny Zaklad Ubezpieczen SA		1,123,214
	7,597,542	Tauron Polska Energia SA ^*		5,627,635

		Total Poland		32,618,530


		Portugal — 0.0%
	117,909	CTT – Correios de Portugal SA		488,129
	46,874	Navigator Co SA (The)		254,026
	196,302	Sonae SGPS SA		287,171

		Total Portugal		1,029,326


		Qatar — 0.1%
	284,285	Barwa Real Estate Co		2,625,686
	98,356	Doha Bank QPSC		879,420
	14,502	Industries Qatar QSC		408,959
	120,887	Masraf Al Rayan QSC		1,249,732
	19,929	Ooredoo QPSC		474,596
	14,270	Qatar Electricity & Water Co QSC		672,314
	21,589	Qatar Insurance Co SAQ		229,765
	33,033	Qatar Islamic Bank SAQ		872,073
	105,468	Qatar National Bank QPSC		3,456,883
	25,487	Qatar Navigation QSC		435,635

		Total Qatar		11,305,063


		Russia — 2.3%
	1,826,800	Aeroflot PJSC		4,574,548
	5,533,700	Alrosa PJSC		8,422,936
	1,885,860	Gazprom PJSC		4,739,258
	5,546,301	Gazprom PJSC Sponsored ADR		27,395,471
	245,684	Globaltrans Investment Plc Sponsored GDR (Registered)		2,702,037
	9,916,000	Inter RAO UES PJSC		649,405
	354,157	LUKOIL PJSC Sponsored ADR		23,467,574
	196,420	M.Video PJSC ^*		1,436,601
	152,168	Magnit PJSC Sponsored GDR (Registered)		3,136,305
	942,100	Magnitogorsk Iron & Steel OJSC		793,266
	16,193	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		174,804
	39,000	MegaFon PJSC		389,635
	1,028,810	MegaFon PJSC GDR (Registered)		10,909,664
	1,218,688	MMC Norilsk Nickel PJSC ADR		24,188,892
	3,286,000	Mobile TeleSystems PJSC Sponsored ADR		39,300,560


Shares		Description	Value ($)
		Russia — continued
	4,253,900	Moscow Exchange MICEX-RTS PJSC		8,383,587
	94,574	Novatek PJSC Sponsered GDR (Registered)		12,840,622
	590,750	Novolipetsk Steel PJSC		1,521,595
	201,189	Novolipetsk Steel PJSC GDR		5,229,989
	58,818	PhosAgro PJSC GDR (Registered)		893,565
	12,682	Polyus PJSC		1,040,688
	60,270	Polyus PJSC GDR (Registered)		2,409,603
	179,127	QIWI Plc Sponsored ADR		3,012,916
	7,939	Rostelecom PJSC ADR		56,496
	3,165,815	Rostelecom PJSC		3,804,287
	845,180	Sberbank of Russia PJSC		4,046,094
	1,974,049	Sberbank of Russia Sponsored ADR		39,974,650
	189,378	Severstal PJSC GDR (Registered)		3,067,745
	250,551	Sistema PJSC Sponsered GDR (Registered)		1,074,443
	1,966,434	Surgutneftegas OJSC Sponsored ADR		9,718,540
	112,510	Tatneft PJSC Sponsored ADR		7,039,719
	295,800	Yandex NV – Class A ^*		12,154,422

		Total Russia		268,549,917


		Singapore — 0.1%
	605,200	Sino Grandness Food Industry Group Ltd ^*		89,209
	246,600	Venture Corp Ltd		5,084,455
	3,761,200	Yangzijiang Shipbuilding Holdings Ltd		4,244,468
	530,200	Yanlord Land Group Ltd		659,820

		Total Singapore		10,077,952


		South Africa — 2.0%
	139,365	AECI Ltd		1,340,551
	1,613,256	African Phoenix Investments Ltd ^*		87,739
	71,740	African Rainbow Minerals Ltd		731,427
	68,183	Aspen Pharmacare Holdings Ltd		1,551,927
	115,721	Astral Foods Ltd		2,783,020
	267,639	AVI Ltd		2,749,087
	2,196,854	Barclays Africa Group Ltd		36,548,703
	1,136,579	Barloworld Ltd		16,992,069
	296,910	Bidvest Group Ltd (The)		5,622,492
	1,829,303	Blue Label Telecoms Ltd		2,024,826
	211,266	Brait SE ^*		803,298
	183,481	DataTec Ltd		387,329
	1,955	Distell Group Ltd		23,176
	1,134,942	Emira Property Fund Ltd (REIT)		1,516,573
	1,459,378	FirstRand Ltd		9,059,729
	188,949	Hyprop Investments Ltd (REIT)		1,727,797
	455,037	Imperial Holdings Ltd		9,535,202
	8,285	JSE Ltd		142,970


66		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		South Africa — continued
	615,068	Kumba Iron Ore Ltd		18,084,642
	645,600	Lewis Group Ltd		2,205,457
	688,556	Liberty Holdings Ltd		7,835,637
	1,463,257	MMI Holdings Ltd		2,680,065
	363,208	Mondi Ltd		9,457,672
	244,402	Mr Price Group Ltd		5,826,246
	1,603,801	Murray & Roberts Holdings Ltd		1,529,229
	1,184,708	Nedbank Group Ltd		28,744,605
	71,709	Omnia Holdings Ltd		929,522
	381,909	Reunert Ltd		2,434,448
	332,681	RMB Holdings Ltd		2,441,381
	2,665,658	SA Corporate Real Estate Ltd (REIT)		1,048,884
	129,752	Sanlam Ltd		989,473
	42,279	Santam Ltd		1,098,108
	2,268,787	Standard Bank Group Ltd		41,605,896
	294,646	Truworths International Ltd		2,507,610
	682,649	Tsogo Sun Holdings Ltd		1,475,499
	111,978	Vodacom Group Ltd		1,537,737
	16,716	Vukile Property Fund Ltd (REIT)		29,794
	248,387	Wilson Bayly Holmes-Ovcon Ltd		3,618,889
	188,946	Woolworths Holdings Ltd		1,041,323

		Total South Africa		230,750,032


		South Korea — 3.6%
	30,602	Able C&C Co Ltd ^*		548,557
	66,640	Aekyung Petrochemical Co Ltd		1,111,547
	3,286	Amorepacific Group		381,262
	1,084,366	BNK Financial Group Inc		11,181,001
	73,237	Cheil Worldwide Inc		1,259,461
	7,057	CJ O Shopping Co Ltd		1,372,131
	17,356	Com2uSCorp		2,601,851
	4,164	Coway Co Ltd		331,428
	2,881	Crown Confectionery Co Ltd		36,956
	2,237	Crown Haitai Holdings Co Ltd		30,147
	2,441	Cuckoo Electronics Co Ltd		220,147
	376	Dae Han Flour Mills Co Ltd		59,427
	55,697	Daeduck Electronics Co		460,201
	4,487	Daihan Pharmaceutical Co Ltd		176,826
	72,104	Daishin Securities Co Ltd		972,536
	153,839	Daou Data Corp		1,865,073
	228,814	Daou Technology Inc		4,901,135
	180,110	DB Insurance Co Ltd		11,511,517
	14,252	DGB Financial Group Inc		162,679
	3,011	DongKook Pharmaceutical Co Ltd		187,184
	33,956	Dongsuh Cos Inc		872,509
	18,472	Dongwha Pharm Co Ltd		194,195
	463,180	Dongwon Development Co Ltd		2,003,378
	31,913	E-MART Inc		8,971,270
	17,097	F&F Co Ltd		652,873
	2,517	GOLFZON Co Ltd		107,728


Shares		Description	Value ($)
		South Korea — continued
	437,311	Grand Korea Leisure Co Ltd		9,356,063
	17,512	Green Cross Holdings Corp		665,466
	30,205	GS Home Shopping Inc		5,620,351
	27,363	GS Retail Co Ltd		909,932
	159,738	Hana Financial Group Inc		7,237,098
	215,787	Hankook Tire Co Ltd		11,784,893
	166,816	Hankook Tire WorldwideCo Ltd		3,062,997
	101,958	Hanon Systems		1,177,820
	6,393	Hansol Paper Co Ltd		98,008
	53,578	Hanwha Corp		2,187,715
	469,343	Hanwha Life Insurance Co Ltd		2,901,873
	35,303	Harim Holdings Co Ltd		124,990
	15,635	Hyundai Corp		271,804
	105,232	Hyundai Engineering & Construction Co Ltd		3,742,649
	3,609	Hyundai Glovis Co Ltd		476,054
	49,036	Hyundai Greenfood Co Ltd		666,126
	51,474	Hyundai Home Shopping Network Corp		5,243,521
	197,617	Hyundai Hy Communications & Network Co Ltd		830,253
	233,018	Hyundai Marine & Fire Insurance Co Ltd		8,872,334
	60,281	Hyundai Mobis Co Ltd		12,685,271
	94,755	Hyundai Motor Co		14,105,392
	709,362	Industrial Bank of Korea		11,222,623
	28,052	Innocean Worldwide Inc		1,678,679
	516,274	JB Financial Group Co Ltd		3,014,371
	2,176	Kangnam Jevisco Co Ltd		69,442
	264,133	Kangwon Land Inc		7,042,981
	283,708	KB Financial Group Inc		16,740,576
	23,283	KEPCO Plant Service & Engineering Co Ltd		868,859
	911,103	Kia Motors Corp		28,928,278
	173,333	Korea Asset In Trust Co Ltd		1,088,613
	12,352	Korea Zinc Co Ltd		5,829,108
	116,009	Korean Reinsurance Co		1,272,722
	72,725	KT Hitel Co Ltd ^*		411,025
	68,705	KT Skylife Co Ltd		825,283
	202,116	KT&G Corp		18,638,920
	113	Kukdo Chemical Co Ltd		6,415
	69,767	Kwang Dong Pharmaceutical Co Ltd		651,584
	82,575	Kyobo Securities Co Ltd		794,815
	18,818	Kyungdong Pharm Co Ltd		405,675
	134,417	LF Corp		3,616,739
	57,839	LG Corp		4,609,705
	197,450	LG Electronics Inc		18,158,182
	131,620	LOTTE Himart Co Ltd		8,512,989
	10,369	LS Industrial Systems Co Ltd		535,460
	42,410	Maeil Holdings Co Ltd		584,892
	26,729	Meritz Financial Group Inc		387,059


		See accompanying notes to the financial statements.		67

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		South Korea — continued
	97,431	Meritz Fire & Marine Insurance Co Ltd		2,052,228
	328,232	Meritz Securities Co Ltd		1,474,336
	36,209	NHN Entertainment Corp ^*		2,623,905
	33,422	NHN KCP Corp ^*		567,610
	1,774	Ottogi Corp		1,161,054
	31,145	Poongsan Corp		1,233,439
	20,403	S&T Motiv Co Ltd		835,628
	24,451	Samjin Pharmaceutical Co Ltd		933,025
	86,669	Samsung Card Co Ltd		2,910,417
	13,978	Samsung Electronics Co Ltd		30,375,159
	8	Samsung Electronics Co Ltd GDR		8,590
	20,262	Samsung Fire & Marine Insurance Co Ltd		5,409,501
	10,555	Samsung SDS Co Ltd		2,307,158
	28,380	Samsung Securities Co Ltd		1,033,236
	23,455	SeAH Steel Corp		1,881,188
	80,641	Seohan Co Ltd		188,568
	122,640	Shinhan Financial Group Co Ltd		5,330,129
	18,938	Sindoh Co Ltd		1,163,341
	20,471	SK Holdings Co Ltd		5,373,945
	338,424	SK Hynix Inc		23,866,804
	12,802	SK Innovation Co Ltd		2,410,048
	46,931	SK Telecom Co Ltd		10,358,756
	309,000	SK Telecom Co Ltd Sponsored ADR		7,524,150
	86,355	SL Corp		1,914,751
	20,732	Spigen Korea Co Ltd		940,245
	195	Taekwang Industrial Co Ltd		239,013
	19,149	Tongyang Life Insurance Co Ltd		127,110
	2,642	Unid Co Ltd		112,493
	963,421	Woori Bank		14,703,412

		Total South Korea		409,147,863


		Spain — 0.6%
	971,337	Abertis Infraestructuras SA		23,179,184
	1,221,384	Atlantica Yield Plc		23,975,768
	6,097	Ebro Foods SA		153,193
	38,860	Ence Energia y Celulosa SA		253,646
	1,486,245	Repsol SA		26,406,780

		Total Spain		73,968,571


		Sweden — 0.5%
	25,581	Alfa Laval AB		614,488
	14,861	Bufab AB		203,066
	5,321	Fastighets AB Balder – B Shares ^*		131,517
	103	JM AB		2,244
	25,704	Mr. Green & Co AB ^*		158,683
	3,807	NCC AB – B Shares		72,596
	6,265	Nolato AB – B Shares		443,124
	13,680	Nordea Bank AB		155,237


Shares		Description	Value ($)
		Sweden — continued
	991,572	Sandvik AB		18,356,460
	191,169	SAS AB ^*		488,823
	180,031	Svenska Cellulosa AB SCA – Class B		1,784,108
	45,227	Volvo AB – A Shares		851,832
	1,789,932	Volvo AB – B Shares		33,654,155

		Total Sweden		56,916,333


		Switzerland — 1.0%
	12,612	ALSO Holding AG (Registered) ^*		1,778,078
	6,514	Ascom Holding AG (Registered)		164,340
	189	Barry Callebaut AG (Registered)		372,963
	13,995	BKW AG		800,970
	9,609	Bobst Group SA (Registered)		1,195,175
	1,705	Bossard Holding AG (Registered) – A Shares		413,298
	2,349	Bucher Industries AG (Registered)		986,438
	51	Comet Holding AG (Registered) ^*		7,510
	638	EMS-Chemie Holding AG (Registered)		406,689
	19,588	GAM Holding AG ^*		351,942
	5,789	Georg Fischer AG (Registered)		8,474,217
	390	Gurit Holding AG ^*		390,568
	1,106	Inficon Holding AG (Registered) ^*		653,272
	9,168	Kardex AG (Registered) ^*		1,184,762
	146	Komax Holding AG (Registered)		46,599
	63,394	Logitech International SA (Registered)		2,488,086
	7,583	Lonza Group AG (Registered)		1,921,224
	38,300	Luxoft Holding Inc ^*		1,652,645
	207,836	Nestle SA (Registered)		16,512,780
	117,006	Novartis AG (Registered)		9,760,847
	6,613	Orior AG		529,801
	82,952	Roche Holding AG		19,160,251
	10,171	Roche Holding AG		2,396,840
	2,447	Sika AG		20,066,246
	1,678	Straumann Holding AG (Registered)		1,130,359
	8,724	Swiss Life Holding AG (Registered) ^*		3,150,437
	134,001	Swiss Re AG		13,633,872
	9,109	UBS Group AG (Registered) ^*		172,614

		Total Switzerland		109,802,823


		Taiwan — 5.9%
	327,000	Ability Enterprise Co Ltd		227,041
	983,000	AcBel Polytech Inc		716,846
	157,000	Actron Technology Corp		569,610
	454,000	Advantech Co Ltd		3,338,518
	2,029,000	Alpha Networks Inc		1,706,515
	1,516,000	AmTRAN Technology Co Ltd		876,543
	442,000	Arcadyan Technology Corp		773,112


68		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Taiwan — continued
	1,242,000	Asia Vital Components Co Ltd		1,239,832
	4,270,000	Asustek Computer Inc		40,336,317
	61,753	Casetek Holdings Ltd		200,599
	1,677,000	Catcher Technology Co Ltd		19,897,908
	4,240,000	Cathay Financial Holding Co Ltd		7,759,992
	3,510,000	Chailease Holding Co Ltd		11,617,279
	256,000	Chaun-Choung Technology Corp		810,541
	3,205,000	Cheng Shin Rubber Industry Co Ltd		5,492,965
	102,000	Cheng Uei Precision Industry Co Ltd		144,164
	351,000	Chicony Electronics Co Ltd		857,736
	484,000	Chicony Power Technology Co Ltd		980,627
	326,410	China Life Insurance Co Ltd		324,675
	612,000	China Motor Corp		560,456
	912,000	China Synthetic Rubber Corp		1,531,358
	1,081,000	Chin-Poon Industrial Co Ltd		2,012,064
	350,000	Chipbond Technology Corp		803,667
	181,000	Chlitina Holding Ltd		905,614
	263,000	Chong Hong Construction Co Ltd		743,578
	4,941,470	Chunghwa Telecom Co Ltd		18,499,193
	52,100	Chunghwa Telecom Co Ltd Sponsored ADR		1,928,221
	87,000	Cleanaway Co Ltd		524,820
	13,527,000	Compal Electronics Inc		9,184,889
	1,329,000	Coretronic Corp		2,029,295
	17,157,000	CTBC Financial Holding Co Ltd		12,401,144
	763,000	CTCI Corp		1,170,729
	55,000	Cyberlink Corp		120,080
	313,000	Darfon Electronics Corp		312,818
	112,000	Delta Electronics Inc		522,854
	66,000	Depo Auto Parts Ind Co Ltd		197,673
	111,000	Dynapack International Technology Corp		159,485
	41,000	E Ink Holdings Inc		64,862
	22,000	Eclat Textile Co Ltd		230,680
	2,335,000	Elan Microelectronics Corp		3,571,419
	85,000	Elite Advanced Laser Corp		349,975
	693,000	Elitegroup Computer Systems Co Ltd ^*		433,052
	655,000	Everlight Electronics Co Ltd		1,025,823
	3,504,000	Far EasTone Telecommunications Co Ltd		8,872,354
	843,000	Faraday Technology Corp		1,907,076
	461,000	Farglory Land Development Co Ltd		509,945
	199,000	Feng TAY Enterprise Co Ltd		938,016
	335,000	Formosa Chemicals & Fibre Corp		1,227,414
	39,000	Formosa Petrochemical Corp		153,723
	915,000	Formosa Plastics Corp		3,204,834
	7,023,000	Foxconn Technology Co Ltd		18,747,207
	9,747,000	Fubon Financial Holding Co Ltd		17,154,923
	1,132,000	Gemtek Technology Corp		1,064,894
	5,364,000	Gigabyte Technology Co Ltd		12,531,882


Shares		Description	Value ($)
		Taiwan — continued
	4,638,000	Grand Pacific Petrochemical		4,567,743
	22,000	Grape King Bio Ltd		161,201
	2,795,000	Great Wall Enterprise Co Ltd		3,228,326
	432,000	Greatek Electronics Inc		828,733
	690,000	Green Seal Holding Ltd		1,370,972
	235,000	Hannstar Board Corp		149,413
	3,489,000	Highwealth Construction Corp		5,225,451
	160,000	Hiroca Holdings Ltd		591,190
	1,194,000	Holtek Semiconductor Inc		3,249,883
	21,445,663	Hon Hai Precision Industry Co Ltd		63,192,105
	587,000	Huaku Development Co Ltd		1,439,207
	617,000	IEI Integration Corp		856,875
	7,763,000	Inventec Corp		6,113,941
	107,000	Iron Force Industrial Co Ltd		364,511
	1,031,000	ITEQ Corp		2,647,160
	54,000	King Slide Works Co Ltd		783,821
	450,000	Kinik Co		1,223,846
	119,000	Kung Long Batteries Industrial Co Ltd		578,933
	81,000	Lion Travel Service Co Ltd		352,246
	2,690,000	Lite-On Semiconductor Corp		3,605,957
	13,257,000	Lite-On Technology Corp		18,734,658
	561,000	Lotes Co Ltd		3,773,775
	370,000	Makalot Industrial Co Ltd		1,717,222
	346,000	MediaTek Inc		3,475,142
	3,514,994	Mercuries Life Insurance Co Ltd		1,898,866
	180,000	Merida Industry Co Ltd		783,111
	2,659,000	Mitac Holdings Corp		2,930,178
	778,000	Nan Ya Plastics Corp		2,123,446
	23,000	Nien Made Enterprise Co Ltd		224,095
	2,677,000	Novatek Microelectronics Corp		11,527,777
	995,000	Nuvoton Technology Corp		2,430,921
	175,000	On-Bright Electronics, Inc.		1,570,062
	2,916,445	OptoTech Corp		2,288,012
	15,123,000	Pegatron Corp		38,021,430
	1,031,000	Phison Electronics Corp		9,961,695
	11,670,000	Pou Chen Corp		14,542,355
	1,798,808	Powertech Technology Inc		5,533,680
	21,000	President Chain Store Corp		209,499
	273,000	Primax Electronics Ltd		689,647
	6,030,000	Quanta Computer Inc		12,222,343
	656,000	Quanta Storage Inc		632,717
	9,155,020	Radiant Opto-Electronics Corp		25,405,815
	2,568,000	Realtek Semiconductor Corp		9,989,755
	615,000	Rechi Precision Co Ltd		627,836
	998,400	Ruentex Development Co Ltd ^*		1,084,224
	4,374,000	Ruentex Industries Ltd ^*		7,618,386
	425,000	Sercomm Corp		1,221,461
	726,000	Sheng Yu Steel Co Ltd		699,461
	299,000	Shin Zu Shing Co Ltd		917,210
	441,000	ShunSin Technology Holding Ltd		1,991,315


		See accompanying notes to the financial statements.		69

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Taiwan — continued
	910,000	Sigurd Microelectronics Corp		1,127,194
	924,400	Simplo Technology Co Ltd		5,795,550
	392,000	Sinbon Electronics Co Ltd		1,067,869
	557,000	Sitronix Technology Corp		1,587,344
	434,000	Soft-World International Corp		968,312
	153,000	Standard Chemical & Pharmaceutical Co Ltd		170,736
	1,192,000	Sunonwealth Electric Machine Industry Co Ltd		2,033,714
	3,314,000	Sunplus Technology Co Ltd		1,802,225
	765,000	Syncmold Enterprise Corp		1,666,972
	149,000	Taiflex Scientific Co Ltd		244,641
	275,575	Taishin Financial Holding Co Ltd		132,567
	582,412	Taiwan Business Bank		171,734
	223,000	Taiwan Cement Corp		280,414
	217,360	Taiwan Cooperative Financial Holding Co Ltd		125,596
	415,000	Taiwan Fertilizer Co Ltd		549,296
	182,000	Taiwan Mobile Co Ltd		666,735
	2,451,000	Taiwan Semiconductor Co Ltd		5,880,814
	4,394,000	Taiwan Semiconductor Manufacturing Co Ltd		36,485,993
	1,445,373	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		62,656,920
	560,000	Taiwan Surface Mounting Technology Corp		559,954
	874,000	Teco Electric and Machinery Co Ltd		784,113
	359,000	Tong Hsing Electronic Industries Ltd		1,376,834
	111,000	TOPBI International Holdings Ltd		394,551
	1,293,188	Topco Scientific Co Ltd		3,626,540
	533,000	Transcend Information Inc		1,534,888
	2,220,000	Tripod Technology Corp		7,267,225
	652,000	TXC Corp		875,158
	2,952,000	Uni-President Enterprises Corp		6,911,508
	1,861,000	United Integrated Services Co Ltd		3,664,568
	13,678,000	United Microelectronics Corp		6,558,065
	222,000	Visual Photonics Epitaxy Co Ltd		840,502
	191,000	Wah Lee Industrial Corp		367,268
	9,394,860	Winbond Electronics Corp		6,271,227
	2,425,908	Wistron Corp		1,997,460
	394,763	Wistron NeWeb Corp		1,092,428
	613,000	WPG Holdings Ltd		780,681
	499,000	Youngtek Electronics Corp		948,375
	1,156,000	Yuanta Financial Holding Co Ltd		512,797
	481,000	Yulon Motor Co Ltd		382,802

		Total Taiwan		679,006,015


		Thailand — 2.4%
	3,633,300	Advanced Info Service Pcl (Foreign Registered)		22,861,458
	49,900	Advanced Info Service Pcl NVDR		313,981


Shares		Description	Value ($)
		Thailand — continued
	2,339,300	Amata Corp Pcl (Foreign Registered)		1,872,819
	2,557,000	Amata Corp Pcl NVDR		2,047,106
	3,281,100	AP Thailand Pcl (Foreign Registered)		874,883
	3,826,000	AP Thailand Pcl NVDR		1,020,176
	364,100	Bangchak Petroleum Pcl NVDR		467,835
	244,900	Bangkok Bank Pcl (Foreign Registered) ^(b)		1,786,489
	516,200	Bangkok Bank Pcl NVDR		3,454,608
	333,100	Banpu Pcl NVDR		248,023
	2,307,400	Central Pattana Pcl (Foreign Registered)		6,183,084
	765,900	Central Pattana Pcl NVDR		2,052,362
	616,000	Delta Electronics Thailand Pcl (Foreign Registered) ^*		1,331,428
	103,800	Delta Electronics Thailand Pcl NVDR ^*		224,339
	759,800	Glow Energy Pcl (Foreign Registered)		2,044,477
	566,000	Glow Energy Pcl NVDR		1,522,998
	1,322,600	Hana Microelectronics Pcl (Foreign Registered)		1,732,654
	155,100	Hana Microelectronics Pcl NVDR		203,186
	4,729,500	Indorama Ventures Pcl NVDR		8,098,684
	4,170,000	Intouch Holdings Pcl NVDR		7,549,940
	2,154,300	Jasmine International Pcl (Foreign Registered)		472,062
	1,227,400	Kasikornbank Pcl NVDR		9,020,731
	128,000	KCE Electronics Pcl (Foreign Registered)		284,778
	1,005,600	Kiatnakin Bank Pcl (Foreign Registered)		2,489,603
	843,200	Kiatnakin Bank Pcl NVDR		2,087,543
	2,402,100	Krung Thai Bank Pcl (Foreign Registered)		1,546,640
	6,192,100	Krung Thai Bank Pcl NVDR		3,986,905
	10,271,000	Land & Houses Pcl NVDR		3,600,811
	5,220,500	LPN Development Pcl (Foreign Registered)		1,711,464
	1,162,500	LPN Development Pcl NVDR		381,108
	464,800	MC Group Pcl (Foreign Registered)		190,276
	1,079,600	MC Group Pcl NVDR		441,959
	432,400	Mega Lifesciences Pcl (Foreign Registered)		611,297
	583,500	Mega Lifesciences Pcl NVDR		824,911
	418,800	Pruksa Holding Pcl (Foreign Registered)		314,045
	1,663,800	Pruksa Holding Pcl NVDR		1,247,632
	1,176,700	PTT Exploration & Production Pcl (Foreign Registered)		4,285,989
	5,106,200	PTT Exploration & Production Pcl NVDR		18,598,713
	3,365,300	PTT Global Chemical Pcl (Foreign Registered)		10,577,936


70		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		Thailand — continued
	1,852,300	PTT Global Chemical Pcl NVDR		5,822,218
	1,433,000	PTT Pcl (Foreign Registered)		25,706,628
	1,216,500	PTT Pcl NVDR		21,822,828
	8,215,100	Quality Houses Pcl (Foreign Registered)		778,932
	14,716,500	Quality Houses Pcl NVDR		1,395,375
	804,400	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		1,362,863
	739,700	Ratchaburi Electricity Generating Holding Pcl NVDR		1,253,245
	33,841,100	Sansiri Pcl (Foreign Registered)		2,079,400
	18,475,700	Sansiri Pcl NVDR		1,135,257
	5,650,400	SC Asset Corp Pcl (Foreign Registered)		676,859
	381,900	SC Asset Corp Pcl NVDR		45,748
	1,197,700	Siam Cement Pcl (The) (Foreign Registered)		18,653,217
	474,000	Siam Cement Pcl (The) NVDR		7,382,168
	527,200	Siam Commercial Bank Pcl (The) (Foreign Registered)		2,488,878
	1,429,100	Siam Commercial Bank Pcl (The) NVDR		6,746,690
	638,600	Siamgas & Petrochemicals Pcl NVDR		626,949
	4,734,300	Star Petroleum Refining Pcl		2,657,321
	2,530,300	Star Petroleum Refining Pcl (Foreign Registered)		1,420,236
	1,266,100	STP & I Pcl (Foreign Registered)		202,958
	1,016,600	STP & I Pcl NVDR		162,962
	1,326,900	Supalai Pcl (Foreign Registered)		972,736
	2,257,000	Supalai Pcl NVDR		1,654,580
	31,935,300	Thai Beverage Pcl		20,106,884
	286,700	Thai Oil Pcl (Foreign Registered)		937,345
	746,000	Thai Oil Pcl NVDR		2,438,991
	532,100	Thai Vegetable Oil Pcl (Foreign Registered)		532,658
	478,300	Thai Vegetable Oil Pcl NVDR		478,801
	4,515,500	Thanachart Capital Pcl (Foreign Registered)		7,993,190
	574,500	Thanachart Capital Pcl NVDR		1,016,961
	1,118,100	Tipco Asphalt Pcl NVDR		706,790
	667,300	Total Access Communication Pcl (Foreign Registered)		966,342
	1,638,600	TTW Pcl (Foreign Registered)		694,008
	2,286,600	TTW Pcl NVDR		968,459
	8,671,500	WHA Corp Pcl NVDR		1,134,875

		Total Thailand		271,588,285


		Turkey — 1.3%
	1,014,619	Adana Cimento Sanayii TAS – Class C		276,914
	700,749	Akbank Turk AS		1,946,567
	40,889	Aksa Akrilik Kimya Sanayii AS		164,957
	116,288	BIM Birlesik Magazalar AS		2,290,417


Shares		Description	Value ($)
		Turkey — continued
	376,309	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		411,908
	30,570,615	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT) ^*		21,140,278
	197,698	Enka Insaat ve Sanayi AS		285,365
	4,851,087	Eregli Demir ve Celik Fabrikalari TAS		14,428,804
	47,866	Ford Otomotiv Sanayi AS		786,843
	1,411,366	Haci Omer Sabanci Holding AS		3,971,179
	1,044,639	Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim AS ^*		1,370,390
	2,594,415	KOC Holding AS		12,265,910
	34,773	Koza Altin Isletmeleri AS ^*		298,389
	4,714,590	Soda Sanayii AS		6,267,036
	48,462	TAV Havalimanlari Holding AS		294,498
	52,639	Tupras Turkiye Petrol Rafineriler AS		1,615,551
	5,199,416	Turkiye Garanti Bankasi AS		15,975,354
	3,272,314	Turkiye Halk Bankasi AS		8,258,523
	17,211,072	Turkiye Is Bankasi – Class C		34,155,863
	4,588,779	Turkiye Sinai Kalkinma Bankasi AS		2,038,618
	1,528,298	Turkiye Sise ve Cam Fabrikalari AS		1,911,610
	8,221,143	Turkiye Vakiflar Bankasi TAO – Class D		15,811,601
	927,037	Yapi ve Kredi Bankasi AS ^*		1,155,123

		Total Turkey		147,121,698


		United Arab Emirates — 0.0%
	1,430,912	Aldar Properties PJSC		839,153
	1,822,269	DAMAC Properties Dubai Co PJSC		1,485,561
	192,376	Emirates Telecommunications Group Co PJSC		899,759

		Total United Arab Emirates		3,224,473


		United Kingdom — 2.2%
	720,962	3i Group Plc		9,273,745
	45,345	888 Holdings Plc		177,977
	620,983	AstraZeneca Plc		40,644,719
	24,193	Bellway Plc		1,031,273
	267,478	Berkeley Group Holdings Plc (The)		14,155,430
	756,962	British American Tobacco Plc		44,677,760
	61,720	Carillion Plc ^(c)		—
	83,699	Cobham Plc ^*		129,935
	327,961	Coca-Cola HBC AG ^*		10,721,736
	33,717	Computacenter Plc		510,004
	8,662	Crest Nicholson Holdings Plc		56,652
	249,740	Debenhams Plc		98,087
	20,800	Diageo Plc Sponsored ADR		2,821,312
	89,362	EI Group Plc ^*		153,503
	394,276	Electrocomponents Plc		3,402,508
	38,966	Fenner Plc		254,355
	1,031,672	Ferrexpo Plc		4,409,409


		See accompanying notes to the financial statements.		71

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		United Kingdom — continued
	41,063	Galliford Try Plc		515,956
	8,328	Games Workshop Group Plc		273,056
	6,619	GlaxoSmithKline Plc		118,703
	501,500	GlaxoSmithKline Plc Sponsored ADR		18,209,465
	420,017	Inchcape Plc		3,912,699
	256,494	Indivior Plc ^*		1,331,930
	5,430	Intermediate Capital Group Plc		78,550
	140,585	Jupiter Fund Management Plc		984,423
	520	Land Securities Group Plc (REIT)		6,608
	138,383	McBride Plc ^*		298,541
	39,226	Mondi Plc		1,020,401
	43,294	Morgan Sindall Group Plc		737,649
	61,230	N Brown Group Plc		160,828
	96,900	Nomad Foods Ltd ^*		1,588,191
	784,232	Persimmon Plc		28,035,124
	45,433	Plus500 Ltd		742,216
	92,011	QinetiQ Group Plc		258,728
	322,695	Reckitt Benckiser Group Plc		25,614,359
	71,503	RPS Group Plc		223,201
	274,917	Sage Group Plc (The)		2,606,782
	69,307	Spectris Plc		2,590,020
	168,180	Stock Spirits Group Plc		634,965
	483,078	Unilever Plc		24,838,972
	4,804	Vedanta Resources Plc		48,264
	136,895	Vesuvius Plc		1,106,468

		Total United Kingdom		248,454,504


		United States — 11.2%
	15,740	3M Co.		3,706,927
	279,257	Abbott Laboratories		16,847,575
	228,455	Accenture Plc – Class A		36,783,540
	253,075	Aetna, Inc.		44,809,459
	66,657	Alphabet, Inc. – Class C ^*		73,637,988
	274,232	American Express Co.		26,740,362
	75,877	Amphenol Corp. – Class A		6,934,399
	53,930	Analog Devices, Inc.		4,861,790
	94,166	Anthem, Inc.		22,164,793
	373,043	Apple, Inc.		66,446,419
	27,388	Automatic Data Processing, Inc. ^(a)		3,158,384
	51,681	Becton Dickinson and Co.		11,474,216
	100,000	Bunge Ltd. ^(a)		7,543,000
	274,100	Cars.com, Inc. ^*		7,507,599
	289,939	Cavium, Inc. ^*		25,816,169
	173	CenturyLink, Inc.		3,057
	615,771	Cisco Systems, Inc.		27,574,225
	360,754	Coca-Cola Co. (The)		15,591,788
	377,131	Cognizant Technology Solutions Corp. – Class A		30,932,285
	57,428	Colgate-Palmolive Co. ^(a)		3,960,809
	133,222	Costco Wholesale Corp.		25,432,080


Shares		Description	Value ($)
		United States — continued
	107,652	CVS Health Corp. ^(a)		7,291,270
	175,000	Dell Technologies, Inc. – Class V ^* (a)		13,000,750
	303,300	Dr Pepper Snapple Group, Inc.		35,258,625
	74,236	Eli Lilly & Co.		5,717,657
	148,599	Emerson Electric Co.		10,559,445
	74,698	Honeywell International, Inc.		11,287,615
	1,721,190	HRG Group, Inc. ^*		27,177,590
	18,360	Humana, Inc.		4,990,615
	412,835	Johnson & Johnson		53,619,010
	2	Lennar Corp. – Class A		113
	83,200	Macquarie Infrastructure Corp.		3,369,600
	38,524	Mastercard, Inc. – Class A		6,770,978
	403,073	Medtronic Plc		32,201,502
	768,108	Microsoft Corp.		72,025,487
	50,816	Mondelez International, Inc. – Class A ^(a)		2,230,822
	550,071	Monsanto Co.		67,862,259
	66,840	Net 1 UEPS Technologies, Inc. ^*		685,110
	681,128	NxStage Medical, Inc. ^*		15,856,660
	1,296,561	Oracle Corp.		65,696,746
	42,910	PepsiCo, Inc.		4,708,514
	270,944	Pfizer, Inc.		9,837,977
	134,089	Philip Morris International, Inc.		13,884,916
	75,431	Pinnacle Entertainment, Inc. ^*		2,275,753
	76,605	Pinnacle Foods, Inc. ^(a)		4,133,606
	450,129	QUALCOMM, Inc. ^(a)		29,258,385
	423,997	Rockwell Collins, Inc.		58,392,867
	159,207	Schlumberger Ltd.		10,450,347
	27,722	Spectrum Brands Holdings, Inc.		2,736,439
	69,823	Stryker Corp.		11,322,498
	146,261	Tenet Healthcare Corp. ^*		3,012,977
	151,742	Teradata Corp. ^*		5,587,140
	174,872	Texas Instruments, Inc.		18,947,381
	362,005	TJX Cos., Inc. (The)		29,930,573
	45,917	T-Mobile US, Inc. ^{* (a)}		2,783,029
	434,611	Tribune Media Co. – Class A		18,110,240
	275,000	Twenty-First Century Fox, Inc. – Class A ^(a)		10,125,500
	24,886	Twitter, Inc. ^* (a)		792,868
	157,627	United Technologies Corp. ^(a)		21,238,662
	235,449	UnitedHealth Group, Inc.		53,249,146
	488,291	US Bancorp		26,543,499
	99,802	VF Corp.		7,442,235
	200,000	Viacom, Inc. – Class B ^(a)		6,668,000
	37,500	VMware, Inc. – Class A ^{(a) *}		4,940,625
	34,634	Walt Disney Co. (The) ^(a)		3,572,843
	457,916	Wells Fargo & Co.		26,746,874
	153,008	Williams Cos , Inc. (The) ^(a)		4,247,502
	20	Worldpay, Inc. ^*		1,600

		Total United States		1,288,470,714


		TOTAL COMMON STOCKS (COST $5,861,666,017)		6,582,119,654


72		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		PREFERRED STOCKS ^(d) — 1.5%

		Brazil — 0.6%
	518,122	Banco Bradesco SA		6,186,698
	305,900	Banco do Estado do Rio Grande do Sul SA – Class B		1,709,965
	264,850	Bradespar SA		2,787,251
	978,600	Braskem SA – Class A		13,996,792
	1,308,475	Centrais Eletricas Brasileiras SA – Class B		11,243,479
	5,439	Companhia Energetica de Minas Gerais Sponsored ADR		13,597
	770,560	Itau Unibanco Holding SA		11,956,270
	5,212,676	Itausa – Investimentos Itau SA		21,063,263

		Total Brazil		68,957,315


		Colombia — 0.0%
	74,600	Bancolombia SA Sponsored ADR		3,146,628


		Germany — 0.0%
	34,296	Bayerische Motoren Werke AG		3,096,968
	3,025	Draegerwerk AG & Co KGaA		309,440
	913	Henkel AG & Co KGaA		121,124
	18,472	Porsche Automobil Holding SE		1,538,710
	21,599	RWE AG		382,880

		Total Germany		5,449,122


		Russia — 0.1%
	39,581	Bashneft PJSC		1,130,976
	1,161,600	Sberbank of Russia PJSC		4,634,252
	676	Transneft PJSC		2,209,274

		Total Russia		7,974,502


		South Korea — 0.8%
	31,125	Hyundai Motor Co		2,571,170
	48,099	Hyundai Motor Co 2nd Preference		4,316,422
	60,533	LG Electronics Inc		2,299,383
	40,104	Samsung Electronics Co Ltd		73,670,716
	6,084	Samsung Electronics Co Ltd GDR		5,519,714

		Total South Korea		88,377,405


		Taiwan — 0.0%
	220,277	CTBC Financial Holding Co Ltd ^*		458,730


		TOTAL PREFERRED STOCKS (COST $127,886,279)		174,363,702


		RIGHTS/WARRANTS — 0.0%

		Brazil — 0.0%
	122,505	Itausa – Investimentos Itau SA Rights, Expires 4/05/18 ^{* (e)}		203,741


		Canada — 0.0%
	449,600	Alignvest Acquisition II Corp ^{* (e)}		217,232


Shares / Par Value†		Description	Value ($)
		Chile — 0.0%
	2,209,151	Enel Chile SA ^*		37


		Thailand — 0.0%
	174,750	Supalai Pcl ^*		106,956
	753,450	Supalai Public Co Rights ^*		463,255

		Total Thailand		570,211


		United States — 0.0%
	2,616,810	Media General, Inc. CVR ^{* (e)}		26,168
	2,279,800	Safeway PDC, LLC CVR ^{* (e)}		22,798

		Total United States		48,966


		TOTAL RIGHTS/WARRANTS (COST $627,774)		1,040,187


		INVESTMENT FUNDS — 0.1%

		United States — 0.1%
	126,246	iShares MSCI Emerging Markets ETF		6,062,333


		TOTAL INVESTMENT FUNDS (COST $6,184,912)		6,062,333


		DEBT OBLIGATIONS — 33.8%

		Australia — 0.0%
		Corporate Debt — 0.0%
	1,791,000	Crest Nicholsotd / BlueScope Steel Finance USA LLC, 144A, 6.50%, due 05/15/21		1,858,162
	750,000	Virgin Australia Holdings Ltd, 144A, 8.50%, due 11/15/19		779,610

		Total Australia		2,637,772


		Bermuda — 0.0%
		Corporate Debt — 0.0%
	750,000	Teekay Corp, 8.50%, due 01/15/20		781,875


		Brazil — 0.3%
		Corporate Debt — 0.3%
	7,544,000	Oi Brasil Holdings Cooperatief UA, Reg. S, 5.75%, due 02/10/22 ^(e) (f)		3,394,800
EUR	20,750,000	Portugal Telecom International Finance BV, Reg. S, 5.88%, due 04/17/18 ^(e) (f)		11,391,752
EUR	3,032,000	Portugal Telecom International Finance BV, Reg. S, 4.63%, due 05/08/20 ^(e) (f)		1,664,568
EUR	3,714,000	Portugal Telecom International Finance BV, Reg. S, 4.50%, due 06/16/25 ^(e) (f)		2,038,986


		See accompanying notes to the financial statements.		73

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		Brazil — continued
		Corporate Debt — continued
	26,156,000	Telemar Norte Leste SA, Reg. S, 5.50%, due 10/23/20 ^(e) (f)		11,770,200

		Total Brazil		30,260,306


		Canada — 0.0%
		Corporate Debt — 0.0%
	500,000	Bellatrix Exploration Ltd, 144A, 8.50%, due 05/15/20		409,375
	500,000	Canbriam Energy Inc, 144A, 9.75%, due 11/15/19		510,000
	750,000	Eldorado Gold Corp, 144A, 6.13%, due 12/15/20		729,375
	1,400,000	Teck Resources Ltd, 6.13%, due 10/01/35		1,522,500

		Total Canada		3,171,250


		France — 0.0%
		Corporate Debt — 0.0%
	1,250,000	Credit Agricole SA, 144A, Variable Rate, 3 mo. LIBOR + 6.98%, 8.38%		1,345,313


		Germany — 0.0%
		Corporate Debt — 0.0%
	1,708,000	Deutsche Bank AG, 4.50%, due 04/01/25		1,673,277


		Hong Kong — 0.0%
		Corporate Debt — 0.0%
	750,000	Studio City Co Ltd, 144A, 5.88%, due 11/30/19		768,750


		Ireland — 0.0%
		Corporate Debt — 0.0%
	1,130,000	Park Aerospace Holdings Ltd, 144A, 5.50%, due 02/15/24		1,135,650


		Italy — 0.0%
		Corporate Debt — 0.0%
	1,100,000	Intesa Sanpaolo SPA, 144A, 5.02%, due 06/26/24		1,097,797


		Japan — 4.3%
		Corporate Debt — 0.0%
	1,700,000	SoftBank Group Corp, 144A, 4.50%, due 04/15/20		1,714,875


		Foreign Government Obligations — 4.3%
JPY	11,100,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/05/18		104,045,269
JPY	4,437,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/23/18		41,593,480


Par Value†		Description	Value ($)
		Japan — continued
		Foreign Government Obligations — continued
JPY	10,350,000,000	Japan Treasury Discount Bill, Zero Coupon, due 05/14/18		97,035,361
JPY	2,040,000,000	Japan Treasury Discount Bill, Zero Coupon, due 05/21/18		19,126,709
JPY	6,775,000,000	Japan Treasury Discount Bill, Zero Coupon, due 03/19/18		63,501,743
JPY	13,140,000,000	Japan Treasury Discount Bill, Zero Coupon, due 03/26/18		123,162,915
JPY	3,937,000,000	Japan Treasury Discount Bill, Zero Coupon, due 04/09/18		36,903,891

		Total Foreign Government Obligations		485,369,368

		Total Japan		487,084,243


		Luxembourg — 0.0%
		Corporate Debt — 0.0%
	750,000	Coveris Holdings SA, 144A, 7.88%, due 11/01/19		744,075
	500,000	Intelsat Jackson Holdings SA, 7.25%, due 10/15/20		465,625

		Total Luxembourg		1,209,700


		Norway — 0.0%
		Corporate Debt — 0.0%
	750,000	Petroleum Geo-Services ASA, 144A, 7.38%, due 12/15/20		738,750


		Puerto Rico — 0.1%
		Municipal Obligations — 0.1%
	1,000,000	Commonwealth of Puerto Rico, 5.25%, due 07/01/16 ^(f)		310,000
	1,000,000	Commonwealth of Puerto Rico, 8.00%, due 07/01/35 ^(f)		307,500
	1,000,000	Puerto Rico Public Buildings Authority, 5.00%, due 07/01/32 ^(f)		312,500
	1,500,000	Puerto Rico Public Buildings Authority, 5.25%, due 07/01/33 ^(f)		468,750
	3,197,940	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/44		2,350,486
	12,056,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/47		8,635,110

		Total Puerto Rico		12,384,346


		South Africa — 0.0%
		Corporate Debt — 0.0%
EUR	2,400,000	Steinhoff Finance Holding GmbH, Reg. S, 144A, 1.25%, due 08/11/22		2,203,320


74		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		Spain — 0.1%
		Bank Loans — 0.1%
	4,541,570	Abengoa S.A., NM Term Loan A, 7.00%, due 03/31/21 ^(e)		4,791,357
	729,660	Abengoa S.A., Term Loan Escrow, 7.00%, due 03/31/21 ^(e)		762,494
	867,948	ABG Orphan Holdco S.a r.l., USD Facility 1A Escrow Tranche, 14.00%, due 03/31/21 ^(e)		907,006

				6,460,857


		Corporate Debt — 0.0%
	1,955,984	ABG Orphan Holdco S.a r.l., 144A, 14.00%, due 02/28/21 ^(e)		2,073,343
	674,719	ABG Orphan Holdco S.a r.l., 144A, 14.00%, due 02/28/21 ^(e)		715,202

				2,788,545

		Total Spain		9,249,402


		United Kingdom — 0.0%
		Corporate Debt — 0.0%
	1,000,000	Avon Products, Inc., 7.00%, due 03/15/23		917,500
	1,130,000	Royal Bank of Scotland Group Plc, 5.13%, due 05/28/24		1,157,743
	1,510,000	Virgin Media Secured Finance Plc, 144A, 5.25%, due 01/15/26		1,479,800

		Total United Kingdom		3,555,043


		United States — 29.0%
		Asset-Backed Securities — 3.7%
	1,473,215	AccessLex Institute, Series 05-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.18%, 2.08%, due 11/22/24		1,473,238
	6,099,006	Acis CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.87%, 2.60%, due 04/18/24		6,102,171
	1,131,640	AMMC CLO 21 Ltd., Series 17-21A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 2.63%, due 11/02/30		1,133,399
	3,448,524	AMMC CLO XII Ltd., Series 13-12A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.46%, due 11/10/30		3,448,524
	1,422,516	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.69%, due 07/24/29		1,427,111
	2,648,752	AMMC CLO XIV Ltd., Series 14-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.70%, due 07/25/29		2,655,480


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	609,746	Anchorage Capital CLO 6 Ltd., Series 15-6A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.62%, due 07/15/30		610,802
	714,720	Anchorage Capital CLO Ltd., Series 14-5RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.32%, due 01/15/30		714,714
	1,589,507	Anchorage Capital CLO Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.37%, due 10/13/30		1,589,493
	1,322,709	Apidos CLO X, Series 12-10A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.42%, 3.19%, due 10/30/22		1,323,607
	2,620,640	Apidos CLO XII, Series 13-12A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.64%, due 04/15/31		2,626,903
	16,764,401	Apidos CLO XV, Series 13-15A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.84%, due 10/20/25		16,788,140
	2,019,734	Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.02%, due 11/17/27		2,019,728
	849,300	Atlas Senior Loan Fund X Ltd., Series 18-10A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.36%, due 01/15/31		849,297
	14,121,449	Atrium X, Series ATRM-10A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + .95%, 2.67%, due 07/16/25		14,133,693
	1,075,058	Avery Point III CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.85%, due 01/18/25		1,078,167
	1,132,400	Babson CLO Ltd., Series 15-IA, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.28%, due 01/20/31		1,132,398
	1,414,550	Bain Capital Credit CLO, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.54%, due 07/20/30		1,414,536
	3,226,872	Ballyrock CLO LLC, Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.18%, 3.06%, due 05/20/25		3,233,822
	1,103,349	Benefit Street Partners CLO III Ltd., Series 13-IIIA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 2.59%, due 07/20/29		1,104,606


		See accompanying notes to the financial statements.		75

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	638,571	Black Diamond CLO Ltd., Series 17-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.36%, due 04/24/29		640,046
	3,973,793	BlueMountain CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.89%, 2.65%, due 10/29/25		3,977,537
	1,186,040	BlueMountain CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.26%, 3.03%, due 04/30/26		1,187,799
	2,593,342	BlueMountain CLO Ltd., Series 13-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.39%, due 10/22/30		2,593,318
	1,250,840	Brookside Mill CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.30%, due 01/17/28		1,250,830
	4,529,600	Carlyle Global Market Strategies CLO Ltd., Series 13-2A, Class YR, 144A, Variable Rate, 3 mo. LIBOR + 0.50%, 2.23%, due 01/18/29		4,529,582
	1,213,286	Carlyle US CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .80%, 2.54%, due 07/20/31		1,214,203
	494,495	Catamaran CLO Ltd., Series 12-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.19%, 2.82%, due 12/20/23		495,853
	1,131,640	Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 1.96%, due 04/22/30		1,131,630
	3,677,830	CBAM Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 2.07%, due 10/17/29		3,677,734
	2,829,100	CBAM Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.54%, due 07/20/30		2,830,186
	5,658,200	CBAM Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.19%, due 01/15/31		5,657,940
	490,007	Cent CLO, Series 12-16A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 3.02%, due 08/01/24		490,947
	1,787,314	Cent CLO, Series 13-17A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.30%, 3.07%, due 01/30/25		1,788,953
	2,970,555	CIFC Funding II Ltd., Series 13-2A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.38%, due 10/18/30		2,970,528


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,430,400	CIFC Funding III Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.54%, due 07/20/30		1,431,481
	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		3,816,405
	1,489,000	CIFC Funding Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.39%, due 01/18/31		1,488,987
	560,803	Citigroup Global Markets Mortgage Securities VII, Inc., Series 01-MMA, Class F4, 144A, Variable Rate, 6.50%, due 02/18/34		563,445
	2,011,500	Crown Point CLO Ltd., Series 18-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.88%, due 04/20/31		2,011,500
	952,960	CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.87%, due 01/16/26		953,333
	2,762,095	Dryden 30 Senior Loan Fund, Series 13-30A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.44%, due 11/15/28		2,762,081
	2,425,720	Dryden 31 Senior Loan Fund, Series 14-31A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.08%, 2.81%, due 04/18/26		2,428,121
	9,145,428	Dryden XXVI Senior Loan Fund, Series 13-26A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.82%, due 07/15/25		9,151,674
	848,730	Dryden XXVIII Senior Loan Fund, Series 13-28A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.59%, due 08/15/30		848,921
	1,697,460	Elevation CLO Ltd., Series 14-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.00%, due 10/15/29		1,697,445
	1,138,713	Galaxy XV CLO Ltd., Series 13-15A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.37%, due 10/15/30		1,143,268
	3,206,480	Galaxy XX CLO Ltd., Series 15-20A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.34%, due 04/20/31		3,206,480
	17,561,692	GCO Education Loan Funding Master Trust-II, Series 07-1A, Class A6L, 144A, Variable Rate, 3 mo. LIBOR + .11%, 2.05%, due 11/25/26		17,442,721


76		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	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		2,888,608
	317,593	GoldenTree Loan Opportunities VII Ltd., Series 13-7A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.90%, due 04/25/25		317,658
	2,084,600	Goldentree Loan Opportunities XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.33%, due 01/18/31		2,084,581
	1,980,370	Greywolf CLO V Ltd., Series 15-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.40%, due 01/27/31		1,980,352
	1,341,763	Halcyon Loan Advisors Funding Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.87%, due 04/15/25		1,342,460
	2,038,320	Highbridge Loan Management Ltd., Series 6A-2015, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.49%, due 02/05/31		2,038,320
	848,730	Highbridge Loan Management Ltd., Series 3A-2014, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.53%, due 07/18/29		849,364
	990,185	Highbridge Loan Management Ltd., Series 13-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.39%, due 10/20/29		990,177
	9,373,896	Higher Education Funding I, Series 05-1, Class A5, Variable Rate, 3 mo. LIBOR + .16%, 2.10%, due 02/25/32		9,347,983
	2,360,160	ICG US CLO Ltd., Series 14-2A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + .55%, 2.77%, due 01/15/31		2,360,160
	1,980,370	Jamestown CLO X Ltd., Series 17-10A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.37%, due 07/17/29		1,984,055
	970,768	KeyCorp Student Loan Trust, Series 00-A, Class A2, Variable Rate, 3 mo. LIBOR + 0.32%, 2.26%, due 05/25/29		965,613
	1,470,737	KeyCorp Student Loan Trust, Series 06-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.31%, 1.98%, due 09/27/35		1,469,334
	4,308,814	KeyCorp Student Loan Trust, Series 99-B, Class CTFS, Variable Rate, 3 mo. LIBOR + 0.90%, 2.84%, due 11/25/36		4,312,476


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,603,663	KeyCorp Student Loan Trust, Series 05-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.34%, 2.01%, due 06/27/38		1,603,326
	1,856,678	KeyCorp Student Loan Trust, Series 04-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.53%, 2.29%, due 01/27/42		1,856,864
	1,698,600	Kingsland VIII Ltd., Series 18-8A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 2.53%, due 04/20/31		1,698,600
	1,340,100	KKR CLO Ltd., Series 9, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.67%, due 07/15/30		1,342,597
	6,970	LB-UBS Commercial Mortgage Trust, Series 06-C1, Class AJ, Variable Rate, 5.28%, due 02/15/41		6,971
	1,447,308	LCM XXV Ltd., Series 25A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 2.69%, due 07/20/30		1,451,609
	16,133,613	Montana Higher Education Student Assistance Corp., Series 05-1, Class B, Variable Rate, 3 mo. LIBOR + 0.12%, 1.75%, due 06/20/30		16,082,147
	1,697,460	Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.52%, due 01/16/31		1,697,655
	2,085,196	Mountain View CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.46%, due 10/12/30		2,085,175
	893,400	MP CLO III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.39%, due 10/20/30		893,393
	4,014,262	National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.25%, 1.87%, due 03/27/28		3,989,433
	380,754	National Collegiate Student Loan Trust, Series 07-2, Class A2, Variable Rate, 1 mo. LIBOR + 0.13%, 1.75%, due 06/26/28		380,378
	17,880,000	National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 1.85%, due 03/26/29		17,458,565
	4,640,608	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 1.86%, due 07/25/30		4,527,747


		See accompanying notes to the financial statements.		77

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	990,185	Neuberger Berman CLO XV, Series 13-15A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.37%, due 10/15/29		990,176
	1,520,917	Neuberger Berman CLO XVII Ltd., Series 14-17A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.74%, due 04/22/29		1,524,408
	1,751,568	Newcastle CDO V Ltd., Series 04-5A, Class 3, 144A, Variable Rate, 3 mo. LIBOR + .90%, 2.20%, due 12/24/39		1,748,516
	11,996,085	NewMark Capital Funding CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.94%, 2.43%, due 06/02/25		11,998,484
	3,622,515	NewMark Capital Funding CLO Ltd., Series 13-1A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.61%, due 06/02/25		3,624,699
	223,500	Oaktree CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .90%, 2.72%, due 05/13/29		223,591
	6,292,993	Ocean Trails CLO IV, Series 13-4A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.72%, due 08/13/25		6,294,069
	1,132,400	Octagon Investment Partners XII Ltd., Series 12-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .88%, 2.60%, due 07/15/19		1,133,667
	944,026	Octagon Investment Partners XV Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.54%, due 07/19/30		944,938
	2,086,000	Octagon Investment Partners XVII Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.58%, due 01/25/31		2,086,000
	2,835,089	OFSI Fund V Ltd., Series 13-5A, Class A1LA, 144A, Variable Rate, 3 mo. LIBOR + 0.93%, 2.66%, due 04/17/25		2,835,951
	848,730	OFSI Fund V Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 2.57%, due 08/16/29		849,833
	8,940,000	OFSI Fund VI Ltd., Series 14-6A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.38%, due 03/20/25		8,940,000
	8,685,981	OFSI Fund VI Ltd., Series 14-6A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.03%, 2.75%, due 03/20/25		8,699,870


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	3,143,430	OHA Credit Partners Ltd., Series 13-8A, Class A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.86%, due 04/20/25		3,149,126
	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		1,042,281
	2,178,407	OZLM Funding Ltd., Series 13-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.39%, due 10/22/30		2,178,387
	1,081,014	OZLM XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.52%, due 10/30/30		1,081,431
	9,649,240	Palmer Square Loan Funding Ltd., Series 18-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.82%, due 04/15/26		9,649,240
	2,795,240	Seneca Park CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.85%, due 07/17/26		2,798,633
	1,414,550	Shackleton CLO Ltd., Series 13-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.32%, due 07/15/30		1,414,515
	15,863,678	SLC Student Loan Trust, Series 08-2, Class A3, Variable Rate, 3 mo. LIBOR + .65%, 2.24%, due 09/15/18		15,863,706
	13,152,939	SLM Private Credit Student Loan Trust, Series 07-A, Class A3, Variable Rate, 3 mo. LIBOR + .17%, 1.76%, due 12/15/26		13,141,473
	3,151,395	SLM Private Education Loan Trust, Series 14-A, Class A2B, 144A, Variable Rate, 1 mo. LIBOR + 1.15%, 2.74%, due 01/15/26		3,170,513
	1,552,087	SLM Private Education Loan Trust, Series 11-A, Class A2, 144A, 4.37%, due 04/17/28		1,569,579
	6,081,076	SLM Private Education Loan Trust, Series 11-A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.50%, 4.09%, due 01/15/43		6,282,077
	8,269,397	SLM Private Education Loan Trust, Series 10-A, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + 3.25%, 4.84%, due 05/16/44		8,496,119
	2,840,174	SLM Private Education Loan Trust, Series 11-C, Class A2B, 144A, 4.54%, due 10/17/44		2,895,637
	1,374,645	SLM Private Education Loan Trust, Series 12-C, Class A2, 144A, 3.31%, due 10/15/46		1,375,577


78		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	13,299,456	SLM Student Loan Trust, Series 07-6, Class A4, Variable Rate, 3 mo. LIBOR + .38%, 2.13%, due 10/25/24		13,309,775
	4,862,866	SMB Private Education Loan Trust, Series 17-A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.45%, 2.04%, due 06/17/24		4,868,630
	342,578	South Carolina Student Loan Corp., Series 08-1, Class A3, Variable Rate, 3 mo. LIBOR + 0.75%, 2.23%, due 03/02/20		342,835
	3,843,958	South Carolina Student Loan Corp., Series 2005, Class A3, Variable Rate, 3 mo. LIBOR + .14%, 1.62%, due 12/01/23		3,830,812
	3,933,374	Symphony CLO V Ltd., Series 07-5A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.47%, due 01/15/24		3,934,743
	172,015	Symphony CLO VIII LP, Series 12-8A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 2.80%, due 01/09/23		172,186
	1,407,105	TCI-Symphony CLO Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.52%, due 07/15/30		1,408,318
	848,730	Telos CLO, Series 13-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 2.73%, due 07/17/26		850,017
	2,376,444	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 2.48%, due 01/17/30		2,376,420
	495,425	THL Credit Wind River CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .90%, 2.64%, due 07/20/30		496,300
	2,036,952	THL Credit Wind River CLO Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .60%, 2.48%, due 11/20/30		2,036,944
	2,150,399	Tryon Park CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 2.84%, due 07/15/25		2,154,700
	1,936,072	Velocity Commercial Capital Loan Trust, Series 15-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 2.43%, 4.05%, due 06/25/45		1,958,650
	6,298,470	Voya CLO Ltd., Series 13-3A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 2.78%, due 01/18/26		6,300,360


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,485,277	Voya CLO Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 2.54%, due 07/20/30		1,485,277
	3,394,920	Voya CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.32%, due 10/15/30		3,394,889
	905,312	Voya CLO Ltd., Series 16-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.32%, due 01/20/31		905,307
	427,592	WhiteHorse VI Ltd., Series 12-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 2.98%, due 02/03/25		428,259
	14,085,940	WhiteHorse VIII Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.28%, due 05/01/26		14,099,744
	619,281	Ziggurat CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.63%, due 04/17/29		620,057

				427,225,097


		Bank Loans — 0.2%
	14,600,000	21st Century Oncology Holdings, Inc., Exit Term Loan, 3 mo. LIBOR + 6.13%, 7.86%, due 01/16/23 ^(e)		14,125,500
	10,435,389	Sears Roebuck Acceptance Corp., Extended ABL TL, 3 mo. LIBOR + 3.75%, 6.05%, due 01/20/19 ^(e)		10,409,300

				24,534,800


		Corporate Debt — 0.8%
	750,000	ADT Corp. (The), 144A, 4.88%, due 07/15/32		682,500
	900,000	Allegheny Technologies, Inc., 5.95%, due 01/15/21		916,875
	500,000	Ally Financial, Inc., 8.00%, due 11/01/31		617,500
	642,000	APX Group, Inc., 6.38%, due 12/01/19		651,630
	150,000	Arconic, Inc., 6.15%, due 08/15/20		158,787
	750,000	Arconic, Inc., 6.75%, due 01/15/28		855,000
	251,000	Boxer Parent Co., Inc., 144A, 9.00%, due 10/15/19		251,314
	500,000	Cablevision Systems Corp., 8.00%, due 04/15/20		531,350
	510,000	Calpine Corp., 144A, 6.00%, due 01/15/22		524,663
	2,270,000	CCO Holdings LLC / CCO Holdings Capital Corp., 5.25%, due 09/30/22		2,311,144


		See accompanying notes to the financial statements.		79

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	900,000	CenturyLink, Inc., 5.80%, due 03/15/22		887,625
	750,000	CF Industries, Inc., 4.95%, due 06/01/43		682,500
	1,890,000	Cheniere Corpus Christi Holdings LLC, 5.13%, due 06/30/27		1,911,262
	1,000,000	CHS/Community Health Systems, Inc., 8.00%, due 11/15/19		935,000
	380,000	Clean Harbors, Inc., 5.13%, due 06/01/21		382,375
	1,500,000	CNO Financial Group, Inc., 4.50%, due 05/30/20		1,515,000
	1,130,000	CommScope Technologies LLC, 144A, 5.00%, due 03/15/27		1,101,750
	1,000,000	Comstock Resources, Inc., 10.00%, due 03/15/20		1,035,000
	375,000	Continental Resources, Inc., 5.00%, due 09/15/22		380,625
	900,000	DCP Midstream Operating LP, 144A, 6.75%, due 09/15/37		1,003,500
	750,000	Dynegy, Inc., 6.75%, due 11/01/19		766,125
	1,000,000	Embarq Corp., 8.00%, due 06/01/36		946,250
	2,750,000	EMC Corp., 3.38%, due 06/01/23		2,532,939
	1,500,000	Energy Transfer Equity LP, 5.50%, due 06/01/27		1,552,500
	1,250,000	Ensco Plc, 5.75%, due 10/01/44		864,062
	250,000	Equinix, Inc., REIT, 5.38%, due 01/01/22		259,063
	880,000	Equinix, Inc., REIT, 5.75%, due 01/01/25		919,600
	750,000	Freeport-McMoRan, Inc., 3.88%, due 03/15/23		727,500
	6,540,000	Frontier Communications Corp., 8.50%, due 04/15/20		6,417,375
	4,243,000	Frontier Communications Corp., 6.88%, due 01/15/25		2,588,230
	3,348,000	Frontier Communications Corp., 11.00%, due 09/15/25		2,623,995
	2,658,000	GenOn Energy, Inc., 9.50%, due 10/15/18 ^(f)		2,212,785
	1,899,000	GenOn Energy, Inc., 9.88%, due 10/15/20 ^(f)		1,580,917
	5,697,000	GenOn Energy, Inc., 7.88%, due 06/15/17 ^(f)		4,885,177
	750,000	Genworth Holdings, Inc., 7.70%, due 06/15/20		748,125
	3,419,000	Gibson Brands, Inc., 144A, 8.88%, due 08/01/18		2,683,915
	1,130,000	HCA, Inc., 4.50%, due 02/15/27		1,103,162
	500,000	Hexion, Inc., 6.63%, due 04/15/20		465,000
	4,802,588	iHeartCommunications, Inc., 14.00%, due 02/01/21 ^(f)		600,324


Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	2,686,800	iHeartCommunications, Inc., 9.00%, due 09/15/22 ^(f)		2,122,572
	250,000	Kindred Healthcare, Inc., 8.00%, due 01/15/20		267,188
	1,130,000	Level 3 Financing, Inc., 5.63%, due 02/01/23		1,141,300
	1,510,000	Levi Strauss & Co., 5.00%, due 05/01/25		1,544,005
	500,000	Lexmark International, Inc., 7.13%, due 03/15/20		508,125
	1,510,000	LifePoint Health, Inc., 5.88%, due 12/01/23		1,513,775
	500,000	Mallinckrodt International Finance SA / Mallinckrodt CB LLC, 144A, 4.88%, due 04/15/20		483,750
	450,000	McClatchy Co. (The), 6.88%, due 03/15/29		474,750
	1,899,000	Momentive Performance Materials, Inc., 4.69%, due 04/24/22		1,989,202
	600,000	Murphy Oil Corp., 4.45%, due 12/01/22		592,500
	5,773,000	Murray Energy Corp., 144A, 11.25%, due 04/15/21		2,540,120
	750,000	Navient Corp., 5.50%, due 01/25/23		742,500
	1,140,000	Nuance Communications, Inc., 144A, 5.38%, due 08/15/20		1,149,975
	250,000	NuStar Logistics LP, 5.63%, due 04/28/27		247,500
	750,000	Shearer’s Foods LLC / Chip Finance Corp., 144A, 9.00%, due 11/01/19		762,188
	380,000	Spectrum Brands, Inc., 5.75%, due 07/15/25		391,400
	1,000,000	Springleaf Finance Corp., 5.25%, due 12/15/19		1,021,250
	750,000	Sprint Capital Corp., 6.90%, due 05/01/19		776,505
	1,125,000	Sprint Capital Corp., 8.75%, due 03/15/32		1,220,625
	500,000	Sprint Communications, Inc., 144A, 7.00%, due 03/01/20		528,185
	1,510,000	Standard Industries, Inc., 144A, 5.38%, due 11/15/24		1,543,975
	760,000	Steel Dynamics, Inc., 5.25%, due 04/15/23		776,150
	900,000	Talen Energy Supply LLC, 4.60%, due 12/15/21		821,250
	4,861,000	Tapstone Energy LLC / Tapstone Energy Finance Corp., 144A, 9.75%, due 06/01/22		4,058,935
	380,000	Targa Resources Partners LP / Targa Resources Partners Finance Corp., 6.75%, due 03/15/24		403,275
	500,000	Tenet Healthcare Corp., 5.50%, due 03/01/19		506,956
	750,000	Transocean, Inc., 6.80%, due 03/15/38		603,750


80		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	1,209,000	TRU Taj LLC / TRU Taj Finance, Inc., 144A, 11.00%, due 01/22/19 ^(e)		1,269,450
	9,084,000	TRU Taj LLC / TRU Taj Finance, Inc., 144A, 12.00%, due 08/15/21		8,130,180
	760,000	Ultra Resources, Inc., 144A, 6.88%, due 04/15/22		684,000
	500,000	Universal Hospital Services, Inc., 7.63%, due 08/15/20		505,000
	380,000	USG Corp., 144A, 4.88%, due 06/01/27		374,300
	750,000	William Lyon Homes, Inc., 5.75%, due 04/15/19		751,875
	1,100,000	Williams Cos., Inc. (The), 8.75%, due 03/15/32		1,446,500
	900,000	Yum! Brands, Inc., 5.35%, due 11/01/43		819,000
	750,000	Zachry Holdings, Inc., 144A, 7.50%, due 02/01/20		757,500

				95,281,955


		Mortgage Backed Securities — 0.1%
	3,461,036	JP Morgan Chase Commercial Mortgage Securities Trust, Series 14-CBM, Class A, 144A, Variable Rate, 1 mo. LIBOR + .90%, 2.49%, due 10/15/29		3,461,033
	1,792,470	JP Morgan Chase Commercial Mortgage Securities Trust, Series 14-FL6, Class A, 144A, Variable Rate, 1 mo. LIBOR + 1.40%, 2.99%, due 11/15/31		1,793,408
	1,077,427	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 1.87%, due 02/25/30		1,054,106
	401,323	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 1.87%, due 09/25/30		400,466
	381,170	Nationslink Funding Corp. Commercial Loan Pass Through Certificate, Series 99-LTL1, Class D, 144A, 6.45%, due 01/22/26		389,821

				7,098,834


		U.S. Government — 22.2%
	31,298,635	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25 ^(g)		30,720,877
	259,924,091	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 ^(g)		258,422,785
	275,942,212	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/26 ^(g)		263,447,544
	405,262,224	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 ^(g)		392,405,057
	104,753,787	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 ^(g)		101,512,844


Par Value†		Description	Value ($)
		United States — continued
		U.S. Government — continued
	259,434,245	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 ^(g)		283,885,852
	134,297,023	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 ^(g)		158,469,569
	127,950,000	U.S. Treasury Note, 0.75%, due 10/31/18 ^(h)		126,915,404
	45,650,000	U.S. Treasury Note, 1.38%, due 11/30/18 ^(h)		45,434,232
	137,216,200	U.S. Treasury Note, 1.38%, due 09/30/19^(h)		135,420,597
	169,441,000	U.S. Treasury Note, 1.50%, due 10/31/19		167,442,125
	43,050,000	U.S. Treasury Note, USBM + 0.05%, 1.70%, due 10/31/19		43,076,987
	112,500,000	U.S. Treasury Note, 1.75%, due 11/30/19 ^(h)		111,559,570
	115,800,000	U.S. Treasury Note, 1.88%, due 12/31/19 ^(h)		115,031,016
	170,367,500	U.S. Treasury Note, 2.00%, due 01/31/20		169,575,557
	147,750,000	U.S. Treasury Note, 2.25%, due 02/29/20		147,721,143

				2,551,041,159


		U.S. Government Agency — 2.0%
	1,400,000	Federal Home Loan Bank Discount Notes, due 05/02/18		1,395,974
	9,200,000	Federal Home Loan Bank Discount Notes, due 08/03/18		9,126,326
	28,000,000	Federal Home Loan Bank Discount Notes, Variable Rate, 3 mo. LIBOR – .22%, 1.58%, due 11/09/18		27,998,745
	64,000,000	Federal Home Loan Bank Discount Notes, Variable Rate, 3 mo. LIBOR – .22%, 1.55%, due 02/01/19		63,987,724
	3,300,000	Federal Home Loan Banks, Variable Rate, 1 mo. LIBOR + 0.11%, 1.54%, due 05/28/19		3,298,348
	62,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR + 0.14%, 1.54%, due 12/26/19		62,002,388
	17,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR + 0.28%, 1.54%, due 12/26/19		17,008,280
	28,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR + 0.16%, 1.63%, due 02/07/20		27,987,390
	498,670	Government National Mortgage Association, Series 12-H15, Class FA, Variable Rate, 1 mo. LIBOR + 0.45%, 2.01%, due 05/20/62		499,325
	8,029,467	Government National Mortgage Association, Series 17-12H, Class FE, Variable Rate, 1 mo. LIBOR + .20%, 1.76%, due 06/20/66		8,025,904


		See accompanying notes to the financial statements.		81

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares / Par Value†		Description	Value ($)
		United States — continued
		U.S. Government Agency — continued
	3,158,067	Government National Mortgage Association, Series 17-H05, Class FJ, Variable Rate, 1 mo. LIBOR + 0.27%, 1.83%, due 01/20/67		3,158,526
	3,937,336	Government National Mortgage Association, Series 17-H13, Class FJ, Variable Rate, 1 mo. LIBOR + 0.20%, 1.76%, due 05/20/67		3,938,397

				228,427,327

		Total United States		3,333,609,172


		TOTAL DEBT OBLIGATIONS (COST $3,900,632,823)		3,892,905,966


		MUTUAL FUNDS — 0.7%

		United States — 0.7%
	1,066,783	Altaba, Inc. ^*		79,848,708


		TOTAL MUTUAL FUNDS (COST $60,794,682)		79,848,708


		SHORT-TERM INVESTMENTS — 7.2%

		Money Market Funds — 0.2%
	17,960,855	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33% ⁽ⁱ⁾ (k)		17,960,855


Par Value†		Description	Value ($)
		Repurchase Agreements — 5.7%
	380,342,411	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 2/28/18, maturing on 3/01/18 with a maturity value of $380,357,201 and an effective yield of 1.40%, collateralized by a U.S. Treasury Note with maturity date 02/15/20 and a market value of $388,216,181.		380,342,411
	269,999,219	Nomura Securities International Inc. Repurchase Agreement, dated 2/28/18, maturing on 3/01/18 with a maturity value of $270,009,419 and an effective yield of 1.36%, collateralized by a U.S. Treasury Note with maturity date 05/15/25 and a market value of $276,008,612.		269,999,219

				650,341,630

		U.S. Government — 1.2%
	49,900,000	U.S. Treasury Bill, 1.53%, due 05/03/18 ^(j) (k)		49,766,610
	8,000,000	U.S. Treasury Bill, 0.00%, due 06/21/18 ^(j)		7,959,058
	80,750,000	U.S. Treasury Bill, 0.00%, due 08/23/18 ^(j)		80,047,363

				137,773,031


		U.S. Government Agency — 0.1%
	12,500,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 07/02/18		12,423,125


		TOTAL SHORT-TERM INVESTMENTS (COST $818,527,461)		818,498,641

PURCHASED OPTIONS — 0.0%


Description	Exercise Price	Expiration Date		Number of Contracts		Notional Amount			Value ($)

Equity Options — Puts — 0.0%
Mondelez International, Inc. ^(a)	42.00 4,727,250		06/15/18		1,700		USD	7,463,000		188,700
Pinnacle Foods, Inc. ^(a)	52.50		06/15/18		2,000		USD	10,792,000		600,000
QUALCOMM, Inc. ^(a)	65.00		06/15/18		500		USD	3,250,000		204,000
Twitter, Inc. ^(a)	23.00		06/15/18		2,800		USD	8,920,800		114,800
United Technologies Corp. ^(a)	105.00		06/15/18		710		USD	9,566,540		50,410
PepsiCo, Inc.	115.00		07/20/18		200		USD	2,194,600		161,000
Walt Disney Co. (The) ^(a)	105.00		07/20/18		700		USD	7,221,200		441,000
Automatic Data Processing, Inc. ^(a)	115.00		08/17/18		600		USD	6,919,200		378,000
Coca-Cola Co. (The)	45.00		08/17/18		600		USD	2,593,200		186,000
Colgate-Palmolive Co. ^(a)	75.00		08/17/18		800		USD	5,517,600		568,000
CVS Health Corp. ^(a)	67.50		08/17/18		1,046		USD	7,084,558		481,160
T-Mobile US, Inc. ^(a)	60.00		08/17/18		1,100		USD	6,667,100		451,000
Unilever NV ^(a)	55.00		08/17/18		1,100		USD	5,753,000		473,000
Williams Cos , Inc. (The) ^(a)	31.00		08/17/18		2,000		USD	5,552,000		820,000

Total Equity Options — Puts

5,117,070

TOTAL PURCHASED OPTIONS (COST $4,224,922)

5,117,070

TOTAL INVESTMENTS — 100.5%
(Cost $10,780,544,870)

11,559,956,261


82		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2018


Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (1.6)%

			Common Stocks — (1.6)%
			China — (0.6)%
	(344,151	)	Alibaba Group Holding Ltd Sponsored ADR ^*		(64,060,267	)


			France — (0.1)%
	(67,371	)	Unibail-Rodamco SE		(15,675,457	)


			Germany — 0.0%
	(26,228	)	HOCHTIEF AG		(4,405,630	)


			Japan — (0.1)%
	(1,885,615	)	Yahoo Japan Corp		(8,702,589	)


			United States — (0.8)%
	(107,388	)	CVS Health Corp.		(7,273,388	)
	(30	)	Lennar Corp. B Shares		(1,361	)
	(630,777	)	Marvell Technology Group Ltd.		(14,816,952	)
	(31,634	)	Penn National Gaming, Inc.^*		(841,781	)
	(209,368	)	Praxair, Inc.		(31,352,858	)
	(100,075	)	Sinclair Broadcast Group, Inc. – Class A		(3,382,535	)
	(200,014	)	Spectrum Brands Holdings, Inc.		(19,743,382	)


Shares			Description	Value ($)
			United States — continued
	(126,018	)	United Technologies Corp.		(16,979,665	)
	(15,168	)	WGL Holdings, Inc.		(1,262,888	)

			Total United States		(95,654,810	)


			TOTAL COMMON STOCKS (PROCEEDS $179,581,421)		(188,498,753	)


			EXCHANGE-TRADED FUNDS — 0.0%

			Mutual Fund — 0.0%
			United States — 0.0%
	(52,464	)	Consumer Staples Select Sector SPDR Fund		(2,802,102	)


			TOTAL EXCHANGE-TRADED FUNDS (PROCEEDS $2,851,903)		(2,802,102	)


			TOTAL SECURITIES SOLD SHORT (PROCEEDS $182,433,324)		(191,300,855	)

			Other Assets and Liabilities (net) — 1.1%		137,043,946


			TOTAL NET ASSETS — 100.0%		$11,505,699,352

A summary of outstanding financial instruments at February 28, 2018 is as follows:

Forward Currency Contracts


Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
05/03/2018	JPM		AUD	106,700,000		USD	85,196,615		2,311,772
03/02/2018	BCLY		BRL	210,209,040		USD	65,480,937		739,479
04/03/2018	BCLY		BRL	97,969,452		USD	30,138,419		64,238
03/08/2018	SSB		CAD	8,992,000		USD	7,025,544		17,462
03/12/2018	JPM		CHF	110,761,228		USD	112,969,787		(4,407,232	)
03/20/2018	GS		EUR	21,540,000		USD	26,865,494		551,417
03/20/2018	JPM		EUR	46,272,755		USD	57,861,489		1,332,946
03/14/2018	BOA		GBP	24,690,000		USD	33,092,007		(914,887	)
03/14/2018	GS		GBP	3,450,000		USD	4,672,865		(79,010	)
03/07/2018	GS		JPY	2,193,402,255		USD	20,410,000		(153,027	)
03/19/2018	MSCI		JPY	6,775,000,000		USD	60,033,849		(3,539,046	)
03/26/2018	CITI		JPY	1,540,000,000		USD	13,807,834		(650,816	)
03/26/2018	DB		JPY	11,600,000,000		USD	103,481,806		(5,427,504	)
04/05/2018	DB		JPY	11,100,000,000		USD	98,627,654		(5,666,351	)
04/09/2018	GS		JPY	3,337,000,000		USD	29,601,073		(1,761,074	)
04/09/2018	JPM		JPY	600,000,000		USD	5,362,563		(276,421	)
04/23/2018	MSCI		JPY	4,437,000,000		USD	40,105,310		(1,633,059	)
05/14/2018	MSCI		JPY	10,350,000,000		USD	94,917,555		(2,576,247	)
05/21/2018	MSCI		JPY	2,040,000,000		USD	19,108,923		(115,915	)
05/03/2018	JPM		NZD	5,650,000		USD	4,120,697		47,684
05/03/2018	BCLY		SEK	33,564,114		USD	4,260,000		190,591


Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
03/02/2018	BCLY		USD	64,816,166		BRL	210,209,040		(74,708	)
03/05/2018	BCLY		USD	61,608,476		NOK	473,405,692		(1,658,175	)
03/07/2018	GS		USD	40,073,734		JPY	4,491,556,324		2,034,362
03/12/2018	JPM		USD	13,870,000		CHF	13,381,875		311,178
03/20/2018	GS		USD	5,907,710		EUR	4,832,897		(3,661	)
03/20/2018	MSCI		USD	1,334,777		EUR	1,078,648		(17,060	)
03/20/2018	SSB		USD	5,481,697		EUR	4,432,936		(66,255	)
05/02/2018	BOA		USD	5,500,000		CAD	6,739,645		(241,553	)
05/02/2018	GS		USD	38,690,684		CAD	47,549,303		(1,591,474	)
05/03/2018	BCLY		USD	13,910,000		SEK	111,685,680		(368,908	)
05/03/2018	JPM		USD	8,129,802		NZD	11,070,000		(149,580	)
05/03/2018	JPM		USD	19,368,309		SEK	151,671,017		(979,280	)

								$	(24,750,114	)


		See accompanying notes to the financial statements.		83

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2018

Reverse Repurchase Agreements


Average balance outstanding	$	(40,354,777	)
Average interest rate		(0.64	)%
Maximum balance outstanding	$	(350,686,829	)

Futures Contracts


Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
1,900	Mini MSCI Emerging Markets	March 2018		112,385,000		6,365,255
99	U.S. Treasury Note 10 Yr. (CBT)	June 2018		11,884,641		19,185
100	U.S. Treasury Note 2 Yr. (CBT)	June 2018		21,246,875		(11,406	)
415	U.S. Treasury Note 5 Yr. (CBT)	June 2018		47,280,820		(19,194	)

			$	192,797,336	$	6,353,840


Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
7,088	S&P 500 E-Mini	March 2018		961,983,360		14,390,024
45	U.S. Long Bond (CBT)	June 2018		6,454,687		(58,781	)

			$	968,438,047	$	14,331,243

+	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
Viacom, Inc. ^(a)		35.00		06/15/18		(4,000)		USD	13,336,000		(480,000	)
Dell Technologies Ltd., Inc. ^(a)		75.00		07/20/18		(3,500)		USD	26,001,500		(2,800,000	)
Twenty-First Century Fox, Inc. ^(a)		38.00		07/20/18		(5,500)		USD	20,251,000		(1,155,000	)
VMware, Inc. ^(a)		135.00		07/20/18		(750)		USD	9,881,250		(825,000	)
Bunge Ltd. ^(a)		80.00		07/20/18		(2,000)		USD	15,086,000		(800,000	)

				TOTAL WRITTEN EQUITY OPTIONS – CALLS							(6,060,000	)


Equity Options — Puts
Viacom, Inc. ^(a)		30.00		06/15/18		(4,000)		USD	13,336,000		(840,000	)
Bunge Ltd. ^(a)		75.00		07/20/18		(2,000)		USD	15,086,000		(1,000,000	)
Dell Technologies Ltd., Inc. ^(a)		65.00		07/20/18		(3,500)		USD	26,001,500		(1,176,000	)
NXP Semiconductors NV ^(a)		115.00		07/20/18		(4,500)		USD	56,097,000		(1,395,000	)
Twenty-First Century Fox, Inc. ^(a)		36.00		07/20/18		(5,500)		USD	20,251,000		(1,155,000	)
VMware, Inc. ^(a)		120.00		07/20/18		(750)		USD	9,881,250		(525,000	)

				TOTAL WRITTEN EQUITY OPTIONS – PUTS							(6,091,000	)

				TOTAL WRITTEN EQUITY OPTIONS (Premiums $12,838,496)						$	(12,151,000	)


84		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2018

Written Options — continued

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.HYS29.V1-5Y

BOA

106.00%

04/18/18

USD

50,000,000

Pay

(370,938)

TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS — PUTS
(Premiums $385,000)

$(370,938)

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	25,005,000		5.00%		3.34%		N/A		12/20/2022		Quarterly		(1,667,920	)		(1,692,264	)		(24,344	)

Sell Protection^:
CDX.NA.HYS.29.V1-5Y	USD	81,470,000		5.00%		3.34%		81,470,000		12/20/2022		Quarterly		6,111,738			5,513,646			(598,092	)

													$	4,443,818		$	3,821,382		$	(622,436	)

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.	GS	USD	7,948,000		5.00%		39.55%		N/A		12/20/2018		Quarterly		2,028,948		1,747,713			(281,235	)
Sears Roebuck Acceptance Corp.	GS	USD	2,730,000		0.00%		39.08%		N/A		12/20/2018		At Maturity		—		(62,117	)		(62,117	)
Sears Roebuck Acceptance Corp.	MSCI	USD	1,370,000		0.00%		41.13%		N/A		06/20/2021		At Maturity		—		(64,935	)		(64,935	)
Sears Roebuck Acceptance Corp.	MSCI	USD	1,370,000		0.00%		40.42%		N/A		12/20/2021		At Maturity		—		(66,415	)		(66,415	)
Sears Roebuck Acceptance Corp.	GS	USD	360,000		5.00%		40.95%		N/A		06/20/2022		Quarterly		183,600		176,033			(7,567	)

														$	2,212,548	$	1,730,279		$	(482,269	)

⁽¹⁾

⁽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.


		See accompanying notes to the financial statements.		85

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2018

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	328,158,000		03/21/2023	Semi-Annual		—			(172,744	)		(172,744	)
3 Month NZD Bank Bill Rate		2.70%	NZD	151,864,000		03/21/2023	Semi-Annual		—			(196,084	)		(196,084	)
1.71%		6 Month GBP LIBOR	GBP	67,238,000		12/15/2027	Semi-Annual		—			504,553			504,553
2.53%		3 Month CAD LIBOR	CAD	30,839,000		03/15/2028	Semi-Annual		—			161,381			161,381
3 Month CAD LIBOR		2.74%	CAD	29,224,000		03/15/2028	Semi-Annual		—			267,480			267,480
2.66%		3 Month CAD LIBOR	CAD	17,367,000		03/15/2028	Semi-Annual		—			(63,144	)		(63,144	)
2.69%		3 Month CAD LIBOR	CAD	28,076,000		03/15/2028	Semi-Annual		—			(162,861	)		(162,861	)
6 Month EURIBOR		1.17%	EUR	95,321,000		03/15/2028	Annual		(28,797	)		749,121			777,918
1.69%		6 Month GBP LIBOR	GBP	273,811,000		03/15/2028	Semi-Annual		88,266			(3,065,057	)		(3,153,323	)
3 Month SEK STIBOR		1.41%	SEK	1,001,048,000		03/15/2028	Annual		(13,363	)		960,774			974,137
3 Month SEK STIBOR		1.17%	SEK	318,964,000		03/15/2028	Annual		—			(568,208	)		(568,208	)
1.50%		3 Month SEK STIBOR	SEK	174,966,000		03/15/2028	Annual		—			(348,913	)		(348,913	)
3 Month USD LIBOR		2.90%	USD	11,280,000		03/15/2028	Semi-Annual		—			9,017			9,017
3 Month USD LIBOR		2.71%	USD	18,068,000		03/15/2028	Semi-Annual		—			(291,081	)		(291,081	)
3 Month USD LIBOR		2.88%	USD	11,280,000		03/15/2028	Semi-Annual		—			(5,885	)		(5,885	)
3 Month USD LIBOR		2.88%	USD	22,560,000		03/15/2028	Semi-Annual		—			(12,764	)		(12,764	)
2.89%		3 Month USD LIBOR	USD	13,988,000		03/15/2028	Semi-Annual		—			(1,326	)		(1,326	)
3.08%		6 Month AUD BBSW	AUD	287,407,000		03/21/2028	Semi-Annual		(307,625	)		(2,281,953	)		(1,974,328	)
3 Month NZD Bank Bill Rate		3.31%	NZD	99,308,000		06/20/2028	Semi-Annual		—			72,581			72,581
6 Month CHF LIBOR		0.55%	CHF	21,594,000		06/21/2028	Annual		—			6,368			6,368

								$	(261,519	)	$	(4,438,745	)	$	(4,177,226	)

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 1.80%)	Appreciation of Total Return on High Yield Growth ETF	CITI		USD	3,785,392	03/01/2018		At Maturity		—		(6,794	)		(6,794	)
Depreciation of Total Return on High Yield Growth ETF + (1 month USD LIBOR rate minus 1.25%)	Appreciation of Total Return on High Yield Growth ETF	GS		USD	3,522,880	03/01/2018		At Maturity		—		(30,414	)		(30,414	)
Depreciation of Total Return on High Yield Growth ETF + (1 month USD LIBOR rate minus 2.00%)	Appreciation of Total Return on High Yield Growth ETF	GS		USD	493,113	03/08/2018		At Maturity		—		5,279			5,279
Depreciation of Total Return on High Yield Growth ETF + (1 month USD LIBOR rate minus 2.00%)	Appreciation of Total Return on High Yield Growth ETF	CITI		USD	3,047,124	03/08/2018		At Maturity		—		(1,958	)		(1,958	)
Depreciation of Total Return on High Yield Growth ETF + (1 month USD LIBOR rate minus 2.50%)	Appreciation of Total Return on High Yield Growth ETF	GS		USD	36,893,402	03/08/2018		At Maturity		—		(49,170	)		(49,170	)
Depreciation of Total Return on High Yield Growth ETF + (1 month USD LIBOR rate minus 2.50%)	Appreciation of Total Return on High Yield Growth ETF	BOA		USD	3,279,593	03/15/2018		At Maturity		—		35,807			35,807
Depreciation of Total Return on High Yield Growth ETF + (1 month USD LIBOR rate minus 2.25%)	Appreciation of Total Return on High Yield Growth ETF	GS		USD	397,479	03/15/2018		At Maturity		—		7,446			7,446

									$	—	$	(39,804	)	$	(39,804	)


86		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2018

Notes to Schedule of Investments:

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

*	Non-income producing security.

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

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

(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 (Note 2).

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

(e)	Investment valued using significant unobservable inputs (Note 2).

(f)	Security is in default.

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

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

(i)	The rate disclosed is the 7 day net yield as of February 28, 2018.

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

(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.


		See accompanying notes to the financial statements.		87

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

GMO International Developed Equity Allocation Fund returned +21.41% (net) for the fiscal year ended February 28, 2018, as compared with +20.13% for the Fund’s benchmark, the MSCI EAFE Index.

The Fund’s exposure to emerging markets was the largest positive contributor to performance relative to the benchmark. Stock selection within countries was also helpful to performance with positive results in Europe, particularly Germany, more than offsetting negative relative results in the U.K., Japan, and emerging markets (which endured a particularly difficult year for valuation-driven investing). The Fund’s modest cash holdings were a drag on relative performance given the strong returns generated by equities.

Allocation between sectors added value, helped by underweight positions in Healthcare and Consumer Staples and overweight positions in Information Technology and Materials. Stock selection within sectors also proved beneficial with strong results in Industrials, Real Estate, Energy, Consumer Discretionary, and Financials more than compensating for lesser results in Information Technology, Telecommunication Services, and Healthcare.

Top stock detractors included overweight positions in GlaxoSmithKline, WPP, and Sumitomo Mitsui Financial Group. Top stock contributors included overweight positions in Deutsche Lufthansa, Fiat Chrysler, and Christian Dior.

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO International Developed Equity Allocation Fund Class III Shares and the MSCI EAFE Index

As of February 28, 2018

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .08% on the purchase and .08% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		96.9	%
Short-Term Investments		1.4
Preferred Stocks		0.9
Investment Funds		0.2
Futures Contracts		0.0	^
Rights/Warrants		0.0	^
Swap Contracts		(0.0	)^
Other		0.6

		100.0	%


Country/Region Summary¤	% of Investments
Japan		24.6	%
United Kingdom		12.4
Germany		11.3
France		11.2
Italy		4.6
Switzerland		4.5
Hong Kong		4.4
Other Emerging		3.6	†
Australia		3.5
Sweden		3.1
Norway		3.0
Netherlands		2.9
Taiwan		2.4
China		2.1
South Korea		1.4
Austria		1.3
Russia		1.3
Spain		1.3
Other Developed		1.1	‡

		100.0	%

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

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

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

^	Rounds to 0.0%.

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%

		Affiliated Issuers — 100.0%
	1,863,350	GMO Emerging Markets Fund, Class VI		67,378,736
	25,017,694	GMO International Equity Fund, Class IV		597,172,345


		TOTAL MUTUAL FUNDS (COST $630,296,579)		664,551,081


		SHORT-TERM INVESTMENTS — 0.0%

		Money Market Funds — 0.0%
	262,880	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33%^(a)		262,880


		TOTAL SHORT-TERM INVESTMENTS (COST $262,880)		262,880


		TOTAL INVESTMENTS — 100.0% (Cost $630,559,459)		664,813,961
		Other Assets and Liabilities (net) — 0.00%		52,956


		TOTAL NET ASSETS — 100.0%		$664,866,917

Notes to Schedule of Investments:

(a)	The rate disclosed is the 7 day net yield as of February 28, 2018.


		See accompanying notes to the financial statements.		91

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

GMO International Equity Allocation Fund returned +22.38% (net) for the fiscal year ended February 28, 2018, as compared with +21.63% for the MSCI ACWI (All Country World Index) ex USA.

The Fund’s exposure to emerging markets was the largest positive contributor to performance relative to the benchmark, while the underweight position in Canada also proved to be a significant relative benefit. Stock selection within countries was detrimental to performance, with positive security selection results in Europe, particularly Germany, not able to compensate for negative relative security selection results in the U.K., Japan, and emerging markets (which endured a particularly difficult year for valuation-driven investing).

Allocation between sectors added value, helped by underweight positions in Healthcare and Consumer Staples and overweight positions in Information Technology and Materials. Stock selection within sectors also proved beneficial with strong results in Financials, Energy, and Industrials more than compensating for lesser results in Information Technology, Telecommunication Services, and Healthcare.

Top stock detractors included overweight positions in GlaxoSmithKline and WPP, as well as an underweight position in Tencent Holdings. Top stock contributors included overweight positions in Deutsche Lufthansa, Fiat Chrysler, and Christian Dior.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO International Equity Allocation Fund Class III Shares and the MSCI ACWI ex USA

As of February 28, 2018

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .25% on the purchase and .25% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		95.6	%
Preferred Stocks		1.6
Short-Term Investments		1.6
Investment Funds		0.6
Futures Contracts		0.1
Rights/Warrants		0.0	^
Swap Contracts		0.0	^
Other		0.5

		100.0	%


Country/Region Summary¤	% of Investments
Japan		17.6	%
United Kingdom		8.8
Taiwan		8.2
Germany		8.1
France		8.0
China		7.3
South Korea		4.6
Russia		4.5
Other Emerging		4.3	†
Italy		3.3
Switzerland		3.3
Hong Kong		3.1
Thailand		3.1
Other Developed		2.7	‡
Australia		2.5
Sweden		2.2
Norway		2.1
Netherlands		2.1
India		1.5
Turkey		1.5
Brazil		1.2

		100.0	%

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

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

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

^	Rounds to 0.0%.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%

		Affiliated Issuers — 100.0%
	11,118,682	GMO Emerging Markets Fund, Class VI		402,051,540
	31,375,359	GMO International Equity Fund, Class IV		748,929,812


		TOTAL MUTUAL FUNDS (COST $1,067,098,190)		1,150,981,352


		SHORT-TERM INVESTMENTS — 0.0%

		Money Market Funds — 0.0%
	410,902	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33%^(a)		410,902


		TOTAL SHORT-TERM INVESTMENTS (COST $410,902)		410,902


		TOTAL INVESTMENTS — 100.0% (Cost $1,067,509,092)		1,151,392,254
		Other Assets and Liabilities (net) — (0.0%)		(64,769	)


		TOTAL NET ASSETS — 100.0%		$1,151,327,485

Notes to Schedule of Investments:

(a)	The rate disclosed is the 7 day net yield as of February 28, 2018.


		See accompanying notes to the financial statements.		95

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Systematic Global Macro team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any index or benchmark, a discussion of the Fund’s performance relative to the Citigroup 3-Month Treasury Bill Index is included for comparative purposes.

Class III shares of GMO SGM Major Markets Fund returned +1.44% (net) for the fiscal year ended February 28, 2018, as compared with +0.98% for the Citigroup 3-Month Treasury Bill Index.

The Fund added value from equity and commodity market positions. The Fund’s long equity markets positions added the most value over the year, particularly from emerging markets. A net short bond position also contributed positive returns as 10-year bond yields moved higher. Our commodity positions had a positive impact on performance, mostly from a long position in oil and short positions among grains. Currency positions lost value as short positions in the British pound and Australian dollar appreciated against the Japanese yen, held long.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO SGM Major Markets Fund Class III Shares, the Citigroup 3-Month Treasury Bill +++ Index,

Citigroup 3-Month Treasury Bill Index and S&P 500 Index

As of February 28, 2018

LOGO

The Citigroup 3-Month Treasury Bill +++ Index is a composite benchmark computed by GMO and comprised of 50% Bloomberg Commodity Total Return Index (formerly the Dow Jones-UBS Commodity Index) and 50% J.P. Morgan U.S. 3 Month Cash Index through October 3, 2011 and the Citigroup 3-Month Treasury Bill Index thereafter.

For S&P disclaimers please visit http://www.gmo.com/America/_Disclaimers/_BenchmarkDisclaimers.htm.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Short-Term Investments		81.3	%
Debt Obligations		18.7
Forward Currency Contracts		0.6
Futures Contracts		(1.5	)#
Other		0.9

		100.0	%

(a)	GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO SGM Major Markets Fund. As such, the holdings of GMO Alternative Asset SPC Ltd. have been included with GMO SGM Major Markets Fund.

The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. The exposure the Fund has to futures contracts based on notional amounts is (3.4)% of net assets.

#	Some or all is comprised of commodity exposure. See Consolidated Schedule of Investments.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 18.7%

		U.S. Government — 10.1%
	33,750,000	U.S. Treasury Note, 0.75%, due 08/31/18		33,554,882
	67,600,000	U.S. Treasury Note, 1.38%, due 09/30/18^(a)		67,372,906
	33,100,000	U.S. Treasury Note, 1.25%, due 01/31/19		32,851,750
	55,850,000	U.S. Treasury Note, USBM + 0.07%, 1.72%, due 04/30/19^(a)		55,912,942

		Total U.S. Government		189,692,480


		U.S. Government Agency — 8.6%
	29,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR + 0.25%, 1.49%, due 10/18/18		28,994,921
	9,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR + 0.23%, 1.59%, due 02/13/19		8,997,176
	19,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR – 0.19%, 1.63%, due 05/10/19		19,499,321
	15,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. US LIBOR – 0.16%, 1.39%, due 06/12/19		14,995,376
	75,000,000	Federal Home Loan Banks, Variable Rate, 1 mo. LIBOR – 0.09%, 1.49%, due 07/12/19		74,966,416
	15,500,000	Federal Home Loan Banks, Variable Rate, 1 mo. LIBOR – 0.07%, 1.54%, due 01/23/20		15,495,749

		Total U.S. Government Agency		162,948,959


		TOTAL DEBT OBLIGATIONS (COST $353,026,656)		352,641,439


		MUTUAL FUNDS — 57.0%

		Affiliated Issuers — 57.0%
	42,939,732	GMO U.S. Treasury Fund		1,072,205,111


		TOTAL MUTUAL FUNDS (COST $1,073,411,341)		1,072,205,111


		SHORT-TERM INVESTMENTS — 23.8%

		Money Market Funds — 1.9%
	6,463,887	SSgA USD Liquidity Fund – Class S2 Shares^(b)		6,463,887
	28,297,965	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.32%^(c)		28,297,965

		Total Money Market Funds		34,761,852


		U.S. Government — 21.9%
	4,700,000	U.S. Treasury Bill, 1.50%, due 04/12/18^{(b) (d)}		4,691,734
	10,000,000	U.S. Treasury Bill, 1.53%, due 04/19/18^{(b) (d)}		9,979,141
	57,000,000	U.S. Treasury Bill, 1.53%, due 04/26/18^(b) (d)		56,864,562
	67,500,000	U.S. Treasury Bill, 1.56%, due 05/10/18^(b) (d)		67,295,250
	57,475,000	U.S. Treasury Bill, 1.68%, due 06/28/18^(b) (d)		57,159,622
	74,400,000	U.S. Treasury Bill, 1.72%, due 07/05/18^{(b) (d)}		73,956,669
	11,000,000	U.S. Treasury Bill, 1.78%, due 07/26/18^{(b) (d)}		10,921,284


Par Value† / Shares		Description	Value ($)
		U.S. Government — continued
	23,300,000	U.S. Treasury Note, 0.75%, due 03/31/18		23,287,064
	41,000,000	U.S. Treasury Note, 1.00%, due 09/15/18^(a) (b)		40,798,203
	68,100,000	U.S. Treasury Note, 0.75%, due 10/31/18^(a)		67,549,347

		Total U.S. Government		412,502,876


		TOTAL SHORT-TERM INVESTMENTS (COST $447,750,851)		447,264,728


		TOTAL INVESTMENTS — 99.5% (Cost $1,874,188,848)		1,872,111,278
		Other Assets and Liabilities (net) — 0.5%		10,170,373


		TOTAL NET ASSETS — 100.0%		$1,882,281,651

A summary of outstanding financial instruments at February 28, 2018 is as follows:

Forward Currency Contracts



Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
03/16/2018	DB		AUD	4,872,107		USD	3,828,755	$	44,547
03/16/2018	MSCI		AUD	184,502,774		USD	145,188,725		1,883,828
03/08/2018	MSCI		CAD	2,750,000		USD	2,178,054		34,791
03/23/2018	MSCI		CHF	61,500,000		USD	64,666,050		(576,719	)
04/23/2018	MSCI		CHF	67,627,215		USD	71,283,105		(654,750	)
05/23/2018	MSCI		CHF	1,123,415		USD	1,203,561		5,580
05/23/2018	MSCI		CHF	61,341,126		USD	65,876,032		463,448
03/23/2018	JPM		EUR	2,937,768		USD	3,651,653		61,876
03/26/2018	MSCI		GBP	18,224,889		USD	25,326,936		208,788
03/16/2018	DB		NZD	3,727,549		USD	2,735,738		47,826
03/16/2018	JPM		NZD	3,607,196		USD	2,651,823		50,698
03/16/2018	MSCI		NZD	8,901,791		USD	6,467,080		48,056
03/16/2018	SSB		NZD	24,564,595		USD	17,788,329		74,958
03/08/2018	JPM		USD	3,995,632		CAD	4,922,639		(159,082	)
03/08/2018	MSCI		USD	6,159,683		CAD	7,733,609		(132,351	)
03/12/2018	JPM		USD	27,109,893		JPY	3,036,134,388		1,363,518
03/12/2018	MSCI		USD	104,540,432		JPY	11,743,737,581		5,594,438
03/16/2018	DB		USD	509,293		NZD	700,000		(4,528	)
03/23/2018	MSCI		USD	3,615,805		EUR	2,937,768		(26,028	)
03/30/2018	JPM		USD	41,617,621		JPY	4,511,579,015		754,018
04/05/2018	DB		USD	5,304,014		JPY	577,591,770		122,955
04/05/2018	SSB		USD	6,088,015		JPY	664,826,907		158,603
04/16/2018	MSCI		USD	127,899,805		JPY	13,843,290,179		2,263,056

								$	11,627,526


		See accompanying notes to the financial statements.		99

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments (continued)

February 28, 2018

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
Buys
3,269	Australian Government Bond 10 Yr.	March 2018	$	325,535,217	$	(4,255,601	)
1,354	Crude Oil (b)	March 2018		83,460,560		838,553
7,348	Euro STOXX 50	March 2018		308,113,129		(13,141,130	)
3,609	FTSE 100 Index	March 2018		359,324,459		(10,969,847	)
128	Gold 100 OZ (b)	April 2018		16,869,120		(266,613	)
146	Hang Seng	March 2018		28,669,003		(369,407	)
4,337	Mini MSCI Emerging Markets	March 2018		256,533,550		11,843,928
367	MSCI Singapore	March 2018		11,115,285		(6,804	)
823	MSCI Taiwan	March 2018		32,763,630		21,132
364	SPI 200	March 2018		42,554,141		(167,768	)
23	TOPIX	March 2018		3,810,867		(187,798	)

			$	1,468,748,961	$	(16,661,355	)



Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
Sales
4,305	Corn (b)	May 2018	$	82,225,500	$	(1,954,227	)
909	FTSE/JSE TOP 40	March 2018		39,518,908		679,413
268	Japanese Government Bond 10 Yr. (OSE)	March 2018		379,074,098		(399,495	)
3,017	S&P 500 E-Mini	March 2018		409,467,240		(8,560,092	)
3,736	UK Gilt Long Bond	June 2018		623,277,171		(1,549,807	)

			$	1,533,562,917	$	(11,784,208	)

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Notes to Schedule of Investments:

The rates shown on variable rate notes are the current interest rates at February 28, 2018, 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 (Note 4).

(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 February 28, 2018.

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

For a listing of definitions of acronyms, counterparty

abbreviations and currency abbreviations used throughout the

Schedule of Investments as well as the derivative tables, if any,

please refer to page 112.


100		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Special Opportunities Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class VI shares of GMO Special Opportunities Fund returned +32.60% (net) for the fiscal period ended February 28, 2018, as compared with +2.11% for the CPI.

The Fund’s exposure to individually selected equities (predominantly, but not exclusively, in the U.S.) was the key driver of performance.

102

GMO Special Opportunities Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $300,000,000 Investment in

GMO Special Opportunities Fund Class VI Shares, the Consumer Price Index and Bloomberg Barclays U.S. Treasury Inflation Notes: 1-10 Year Index

As of February 28, 2018

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .50% on the purchase and .50% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

103

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		76.6	%
Short-Term Investments		22.7
Forward Currency Contracts		0.0	^
Futures Contracts		(0.1	)+
Other		0.8

		100.0	%


Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		1.4	%

		1.4	%


Country/Region Summary¤	Equity Investments % of Total Net Assets
United States		59.3	%
United Kingdom		8.1
Germany		3.6
Netherlands		3.5
Romania		2.1
Other Developed		0.0	‡

		76.6	%


Industry Group Summary	% of Equity Investments^#
Diversified Financials		25.2	%
Retailing		15.8
Commercial & Professional Services		11.5
Banks		10.6
Automobiles & Components		9.1
Software & Services		9.0
Media		5.9
Capital Goods		4.8
Consumer Services		4.4
Utilities		2.7
Food, Beverage & Tobacco		1.0
Energy		0.0	^

		100.0	%

(a)	GMO Special Opportunities SPC Ltd. is a 100% owned subsidiary of GMO Special Opportunities Fund. As such, the holdings of GMO Special Opportunities SPC Ltd. have been included with GMO Special Opportunities Fund.

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

+	Some or all is comprised of commodity exposure. See Consolidated Schedule of Investments.

The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

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

^	Rounds to 0.0%.

104

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares / Par Value†		Description	Value ($)
		COMMON STOCKS — 76.6%

		Canada — 0.0%
	6,000,000	Jagercor Energy Corp ^* ^(a) (b)		70,137


		Germany — 3.6%
	605,000	Brenntag AG		37,713,971


		Netherlands — 3.5%
	650,000	InterXion Holding NV ^*		36,595,000


		Romania — 2.1%
	7,200,000	Societatea Energetica Electrica SA		21,647,127


		United Kingdom — 8.1%
	1,550,000	Metro Bank Plc ^*		83,960,123


		United States — 59.3%
	1,520,000	Ally Financial, Inc.		42,408,000
	240,000	Berkshire Hathaway, Inc. – Class B ^*		49,728,000
	560,000	Cimpress NV ^*		91,140,000
	530,000	CommerceHub, Inc. – Series A ^*		10,504,600
	1,270,000	CommerceHub, Inc. – Series C ^*		24,193,500
	93,000	Credit Acceptance Corp. ^*		29,266,170
	1,840,000	General Motors Co.		72,404,000
	1,137,544	Interactive Brokers Group, Inc. – Class A		78,945,554
	750,000	Liberty Latin America Ltd. – Class A ^*		15,525,000
	1,550,000	Liberty Latin America Ltd. – Class C ^*		31,697,500
	80,000	National Beverage Corp.		7,835,200
	900,000	Shake Shack, Inc. – Class A ^*		35,091,000
	1,620,000	Wayfair, Inc. – Class A ^*		125,420,400

		Total United States		614,158,924


		TOTAL COMMON STOCKS (COST $551,440,212)		794,145,282


		SHORT-TERM INVESTMENTS — 22.7%

		Money Market Funds — 1.0%
	9,905,159	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33% ^(c) (d)		9,905,159


		U.S. Government — 21.7%
	5,000,000	U.S. Treasury Bill, 1.45%, due 04/05/18 ^(e)		4,992,878
	20,000,000	U.S. Treasury Bill, 1.53%, due 04/19/18 ^(e)		19,958,282
	27,000,000	U.S. Treasury Bill, 1.53%, due 05/03/18 ^(e) (f)		26,927,826
	23,000,000	U.S. Treasury Bill, 1.50%, due 05/10/18 ^(e)		22,930,233
	9,000,000	U.S. Treasury Bill, 1.64%, due 05/31/18 ^{(d) (e) (f)}		8,962,974
	2,500,000	U.S. Treasury Bill, 1.66%, due 06/21/18 ^(d) (e)		2,487,206
	41,000,000	U.S. Treasury Bill, 1.68%, due 06/28/18 ^(e)		40,775,024
	35,000,000	U.S. Treasury Bill, 1.72%, due 07/05/18 ^(e)		34,791,444
	10,000,000	U.S. Treasury Bill, 1.74%, due 07/12/18 ^(e)		9,936,640


Par Value†		Description	Value ($)
		U.S. Government — continued
	26,000,000	U.S. Treasury Bill, 1.78%, due 07/26/18 ^(e)		25,813,943
	28,000,000	U.S. Treasury Bill, 1.80%, due 08/09/18 ^(e)		27,778,357

		Total U.S. Government		225,354,807


		TOTAL SHORT-TERM INVESTMENTS (COST $235,348,520)		235,259,966


		TOTAL INVESTMENTS — 99.3% (Cost $786,788,732)		1,029,405,248
		Other Assets and Liabilities (net) — 0.7%		6,839,474


		TOTAL NET ASSETS — 100.0%		$1,036,244,722

A summary of outstanding financial instruments at February 28, 2018 is as follows:

Forward Currency Contracts

Settlement
Date

Counter
party

Currency
Sold

Currency
Purchased

Net
Unrealized
Appreciation
(Depreciation)

04/26/2018

BOA

RON

88,600,000

USD

23,241,173

4,181

Futures Contracts ^(d)



Number of Contracts +	Type	Expiration Date	Notional Amount		Value/Net Unrealized Appreciation (Depreciation)
Buys
25	Natural Gas	December 2019	$	187,812	$	(73,125	)
25	Natural Gas	January 2020		186,437		(74,500	)
25	Natural Gas	February 2020		180,875		(80,062	)
25	Natural Gas	March 2020		164,000		(96,938	)
25	Natural Gas	April 2020		162,875		(98,063	)
25	Natural Gas	May 2020		164,500		(96,438	)
25	Natural Gas	June 2020		166,250		(94,687	)
25	Natural Gas	July 2020		166,375		(94,562	)
25	Natural Gas	August 2020		165,938		(95,000	)
25	Natural Gas	September 2020		167,688		(93,250	)
25	Natural Gas	October 2020		171,063		(89,875	)
25	Natural Gas	November 2020		180,437		(80,500	)

			$	2,064,250	$	(1,067,000	)

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.


		See accompanying notes to the financial statements.		105

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments (continued)

February 28, 2018

Notes to Schedule of Investments:

*	Non-income producing security.

(a)	Affiliated Company (Note 10).

(b)	Investment valued using significant unobservable inputs (Note 2).

(c)	The rate disclosed is the 7 day net yield as of February 28, 2018.

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

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

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

For a listing of definitions of acronyms, counterparty

abbreviations and currency abbreviations used throughout the

Schedule of Investments as well as the derivative tables, if any,

please refer to page 112.


106		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

GMO Strategic Opportunities Allocation Fund returned +15.10% (net) for the fiscal year ended February 28, 2018, as compared with +12.98% for the GMO Strategic Opportunities Allocation Index (75% MSCI World Index (MSCI Standard Index Series) and 25% Bloomberg Barclays U.S. Aggregate Index).

The Fund’s underweight in equities, compared to the benchmark, detracted from relative performance. Within equities, the overweighting to emerging markets and the underweighting to the U.S. helped relative performance. Stock selection within equities was additive for developed ex-U.S. markets and was also positive in the U.S. thanks to our allocation to Quality. Stock selection in emerging markets was challenging as it was a particularly difficult year for valuation-driven investing. The underweighting to fixed income was beneficial to performance as the asset class did relatively poorly, and the Fund also enjoyed decent outperformance within fixed income, driven primarily by emerging market debt and asset backed securities. Our exposure to cash/cash plus detracted from relative performance.

108

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Strategic Opportunities Allocation Fund Class III Shares, the

GMO Strategic Opportunities Allocation Index, MSCI World Index and

Bloomberg Barclays U.S. Aggregate Index

As of February 28, 2018

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .20% on the purchase and .20% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

The GMO Strategic Opportunities Allocation Index is a composite benchmark computed by GMO and comprised of 75% MSCI World Index and 25% Bloomberg Barclays U.S. Aggregate Index.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

109

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		67.5	%
Debt Obligations		14.1
Short-Term Investments		9.3
Mutual Funds		7.6
Preferred Stocks		0.9
Investment Funds		0.4
Futures Contracts		0.1
Swap Contracts		0.1
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Forward Currency Contracts		0.0	^
Purchased Options		0.0	^
Loan Assignments		0.0	^
Written Options/Credit Linked Options		(0.0	)^
Securities Sold Short		(0.2	)^
Other		0.2	^

		100.0	%


Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		14.3	%
Other Emerging		2.8	†
Euro Region		0.0	^#
Other Developed		(0.1	)‡

		17.0	%


Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		18.9	%
Japan		7.3
Taiwan		5.4
China		4.4
United Kingdom		4.2
Other Emerging		3.9	†
Other Developed		3.9	‡
Germany		3.4
France		3.4
Russia		3.0
South Korea		2.9
Thailand		2.0
Switzerland		1.6
Italy		1.4
Hong Kong		1.3
Australia		1.0
Turkey		1.0
Euro Region		0.0	^#

		69.0	%

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

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

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

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

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

^	Rounds to 0.0%.

110

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2018


Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 91.8%

		Affiliated Issuers — 91.8%
	4,725,211	GMO Core Plus Bond Fund, Class IV		99,134,920
	1,399,812	GMO Emerging Country Debt Fund, Class IV		39,992,630
	8,437,074	GMO Emerging Markets Fund, Class VI		305,084,580
	14,655,147	GMO International Equity Fund, Class IV		349,818,348
	1,741,201	GMO Opportunistic Income Fund, Class VI		45,985,113
	5,233,937	GMO Quality Fund, Class VI		131,528,842
	8,496,583	GMO U.S. Equity Allocation Fund, Class VI		130,082,686
	3,760,585	GMO U.S. Treasury Fund		93,901,813


		TOTAL MUTUAL FUNDS (COST $1,080,388,201)		1,195,528,932


		DEBT OBLIGATIONS — 8.2%

		U.S. Government — 8.2%
	2,874,439	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25 ^(a)		2,821,378
	2,710,028	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 ^(a)		2,694,375
	3,099,839	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/26 ^(a)		2,959,478
	28,477,985	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 ^(a)		27,574,506
	12,537,156	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 ^(a)		12,149,273
	24,372,083	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 ^(a)		26,669,146
	26,909,239	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 ^(a)		31,752,718


		TOTAL DEBT OBLIGATIONS (COST $107,638,506)		106,620,874


		SHORT-TERM INVESTMENTS — 0.0%

		Money Market Funds — 0.0%
	212,984	State Street Institutional Treasury Money Market Fund-Premier Class, 1.33% ^(b)		212,984


		TOTAL SHORT-TERM INVESTMENTS (COST $212,984)		212,984


		TOTAL INVESTMENTS — 100.0% (Cost $1,188,239,691)		1,302,362,790
		Other Assets and Liabilities (net) — 0.00%		78,167


		TOTAL NET ASSETS — 100.0%		$1,302,440,957

Notes to Schedule of Investments:

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

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

(b)	The rate disclosed is the 7 day net yield as of February 28, 2018.


		See accompanying notes to the financial statements.		111

GMO Trust Funds

Schedule of Investments — (Continued)

February 28, 2018 (Unaudited)

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act

of 1933. These securities may be resold in transactions exempt from registration,

normally to qualified institutional investors.

ADR - American Depositary Receipt

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.

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

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

GDR - Global 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

QPSC - Qatar Private 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.

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

The rates shown on variable rate notes are the current interest rates at February 28, 2018, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

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

RON - Romanian Leu

SEK - Swedish Krona

USD - United States Dollar


112		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2018


	Alpha Only Fund		Benchmark-Free Allocation Fund		Benchmark-Free Fund		Global Asset Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	13,848,473	$	13,538,778,994	$	1,428,515,002	$	2,475,224,883
Investments in unaffiliated issuers, at value (Note 2)^(b)		212,009,734		6,838,048		3,094,941,236		419,479
Foreign currency, at value (Note 2)^(c)		15,969		—		229,593		—
Cash		—		—		43,479		5
Receivable for investments sold		80,587		—		36,025,443		—
Receivable for Fund shares sold		1,499,875		18,584,664		2,400,000		35,600,000
Dividend withholding tax receivable		180,144		—		677,558		—
Dividends and interest receivable		541,614		3,674		6,592,538		200,266
Unrealized appreciation on open forward currency contracts (Note 4)		239,326		—		—		—
Receivable for variation margin on open futures contracts (Note 4)		2,487,465		—		3,029,385		—
Due from broker (Note 2)		—		—		36		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		29,508		1,629,022		89,549		4,546
Miscellaneous receivable		—		23,375		—		—

Total assets		230,932,695		13,565,857,777		4,572,543,819		2,511,449,179

Liabilities:
Payable for investments purchased		185,153		10,517,522		54,996,086		24,244,720
Payable for Fund shares repurchased		—		6,920,885		26,950,386		11,489,012
Accrued foreign capital gains tax payable (Note 2)		2,118		—		—		—
Payable to affiliate for (Note 5):
Management fee		88,152		6,775,326		—		—
Supplemental support fee – Class MF		—		433,819		—		—
Shareholder service fee		17,931		794,882		—		—
Unrealized depreciation on open forward currency contracts (Note 4)		101,522		—		3,286,509		—
Payable to agents unaffiliated with GMO		47		2,205		719		392
Payable to Trustees and related expenses		518		30,053		10,368		5,662
Accrued expenses		205,857		203,133		810,816		104,836

Total liabilities		601,298		25,677,825		86,054,884		35,844,622

Net assets	$	230,331,397	$	13,540,179,952	$	4,486,488,935	$	2,475,604,557

^(a) Cost of investments – affiliated issuers:	$	13,849,266	$	12,615,693,767	$	1,214,411,315	$	2,388,255,464
^(b) Cost of investments – unaffiliated issuers:	$	176,222,202	$	6,838,048	$	2,825,034,948	$	411,583
^(c) Cost of foreign currency:	$	16,038	$	—	$	231,237	$	—


		See accompanying notes to the financial statements.		113

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2018 — (Continued)


	Alpha Only Fund			Benchmark-Free Allocation Fund			Benchmark-Free Fund			Global Asset Allocation Fund
Net assets consist of:
Paid-in capital	$	592,637,211		$	13,020,773,777		$	4,439,378,500		$	2,642,088,298
Accumulated undistributed (distributions in excess of) net investment income		(1,289,057	)		(3,577,793	)		4,316,315			1,933,430
Accumulated net realized gain (loss)		(391,611,190	)		(400,101,259	)		(441,273,444	)		(255,394,486	)
Net unrealized appreciation (depreciation)		30,594,433			923,085,227			484,067,564			86,977,315

	$	230,331,397		$	13,540,179,952		$	4,486,488,935		$	2,475,604,557

Net assets attributable to:
Class III	$	7,828,686		$	5,162,083,940		$	4,486,488,935		$	2,475,604,557

Class IV	$	222,502,711		$	2,756,005,352		$	—		$	—

Class MF	$	—		$	5,622,090,660		$	—		$	—

Shares outstanding:
Class III		359,097			185,983,633			214,557,862			74,309,207

Class IV		10,201,650			99,304,755			—			—

Class MF		—			202,424,394			—			—

Net asset value per share:
Class III	$	21.80		$	27.76		$	20.91		$	33.31

Class IV	$	21.81		$	27.75		$	—		$	—

Class MF	$	—		$	27.77		$	—		$	—


114		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2018 — (Continued)


	Global Developed Equity Allocation Fund		Global Equity Allocation Fund		Consolidated Implementation Fund		International Developed Equity Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	469,142,130	$	2,328,205,864	$	—	$	664,551,081
Investments in unaffiliated issuers, at value (Note 2)^(b)		201,846		807,905		11,559,956,261		262,880
Foreign currency, at value (Note 2)^(c)		—		—		1,639,685		—
Cash		—		—		6,405,694		—
Receivable for investments sold		—		—		220,104,546		—
Receivable for Fund shares sold		—		—		—		126,778
Receivable for closed swap contracts (Note 4)		—		—		515,502		—
Dividend withholding tax receivable		—		—		2,462,757		—
Dividends and interest receivable		227		757		23,393,601		236
Unrealized appreciation on open forward currency contracts (Note 4)		—		—		7,601,129		—
Receivable for variation margin on open futures contracts (Note 4)		—		—		10,272,921		—
Receivable for variation margin on open cleared swap contracts (Note 4)		—		—		20,470		—
Due from broker (Note 2)		—		—		214,328,577		—
Receivable for open OTC swap contracts (Note 4)		—		—		1,972,278		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		6,639		6,308		315,815		5,426
Miscellaneous receivable		—		—		5,121		89

Total assets		469,350,842		2,329,020,834		12,048,994,357		664,946,490

Liabilities:
Investments sold short, at value (Note 2)^(d)		—		—		191,300,855		—
Payable for investments purchased		—		—		302,917,707		—
Payable for Fund shares repurchased		—		—		—		15,557
Accrued foreign capital gains tax payable (Note 2)		—		—		646,673		—
Payable for variation margin on open cleared swap contracts (Note 4)		—		—		1,026,106		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		—		32,351,243		—
Interest payable for open OTC swap contracts		—		—		81,926		—
Interest and dividend payable for short sales		—		—		151,933		—
Payable for open OTC swap contracts (Note 4)		—		—		281,803		—
Written options outstanding, at value (Note 4)^(e)		—		—		12,521,938		—
Payable to agents unaffiliated with GMO		84		363		1,878		141
Payable to Trustees and related expenses		967		5,894		26,167		1,563
Accrued expenses		66,969		93,947		1,986,776		62,312

Total liabilities		68,020		100,204		543,295,005		79,573

Net assets	$	469,282,822	$	2,328,920,630	$	11,505,699,352	$	664,866,917

^(a) Cost of investments – affiliated issuers:	$	412,488,926	$	2,148,942,887	$	—	$	630,296,579
^(b) Cost of investments – unaffiliated issuers:	$	201,846	$	807,905	$	10,780,544,870	$	262,880
^(c) Cost of foreign currency:	$	—	$	—	$	1,643,135	$	—
^(d) Proceeds from securities sold short:	$	—	$	—	$	182,433,324	$	—
^(e)Premiums on written options:	$	—	$	—	$	13,223,496	$	—


		See accompanying notes to the financial statements.		115

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2018 — (Continued)


	Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund			International Developed Equity Allocation Fund
Net assets consist of:
Paid-in capital	$	510,650,822		$	2,419,828,840		$	11,489,631,649		$	786,018,917
Accumulated undistributed (distributions in excess of) net investment income		1,393,219			1,319,053			4,569,723			101,971
Accumulated net realized gain (loss)		(99,414,423	)		(271,490,240	)		(749,921,242	)		(155,508,473	)
Net unrealized appreciation (depreciation)		56,653,204			179,262,977			761,419,222			34,254,502

	$	469,282,822		$	2,328,920,630		$	11,505,699,352		$	664,866,917

Net assets attributable to:
Core Class	$	—		$	—		$	11,505,699,352		$	—

Class III	$	469,282,822		$	2,328,920,630		$	—		$	664,866,917

Shares outstanding:
Core Class		—			—			816,620,653			—

Class III		20,512,002			86,689,776			—			38,387,203

Net asset value per share:
Core Class	$	—		$	—		$	14.09		$	—

Class III	$	22.88		$	26.86		$	—		$	17.32


116		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2018 — (Continued)


	International Equity Allocation Fund		Consolidated SGM Major Markets Fund		Consolidated Special Opportunities Fund		Strategic Opportunities Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	1,150,981,352	$	1,072,205,111	$	70,137	$	1,195,528,932
Investments in unaffiliated issuers, at value (Note 2)^(b)		410,902		799,906,167		1,029,335,111		106,833,858
Foreign currency, at value (Note 2)^(c)		—		173,909		—		—
Cash		—		8,500,185		614,930		—
Receivable for investments sold		—		—		—		6,804,614
Receivable for Fund shares sold		—		2,741,012		7,258,951		—
Dividend withholding tax receivable		—		—		92,529		—
Dividends and interest receivable		387		2,452,187		119,578		272,364
Unrealized appreciation on open forward currency contracts (Note 4)		—		13,180,984		4,181		—
Receivable for variation margin on open futures contracts (Note 4)		—		1,610,275		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		5,629		29,226		—		5,164
Miscellaneous receivable		—		—		36,477		—

Total assets		1,151,398,270		1,900,799,056		1,037,531,894		1,309,444,932

Liabilities:
Payable for investments purchased		—		1,287,114		—		112,527
Payable for Fund shares repurchased		—		127,134		—		6,804,266
Payable to affiliate for (Note 5):
Management fee		—		1,226,429		888,924		—
Shareholder service fee		—		81,691		44,446		—
Payable for variation margin on open futures contracts (Note 4)		—		14,000,721		15,063		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		1,553,458		—		—
Payable to agents unaffiliated with GMO		187		262		197		156
Payable to Trustees and related expenses		2,422		3,420		2,341		2,368
Accrued expenses		68,176		237,176		336,201		84,658

Total liabilities		70,785		18,517,405		1,287,172		7,003,975

Net assets	$	1,151,327,485	$	1,882,281,651	$	1,036,244,722	$	1,302,440,957

^(a) Cost of investments – affiliated issuers:	$	1,067,098,190	$	1,073,411,341	$	317,181	$	1,080,388,201
^(b) Cost of investments – unaffiliated issuers:	$	410,902	$	800,777,507	$	786,471,551	$	107,851,490
^(c) Cost of foreign currency:	$	—	$	40	$	—	$	—


		See accompanying notes to the financial statements.		117

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2018 — (Continued)


	International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Consolidated Special Opportunities Fund			Strategic Opportunities Allocation Fund
Net assets consist of:
Paid-in capital	$	1,173,340,375		$	1,919,833,908		$	762,067,635		$	1,161,779,359
Accumulated undistributed (distributions in excess of) net investment income		1,641,877			(2,314,280	)		(1,795,158	)		322,995
Accumulated net realized gain (loss)		(107,537,929	)		(16,516,239	)		34,410,842			26,215,504
Net unrealized appreciation (depreciation)		83,883,162			(18,721,738	)		241,561,403			114,123,099

	$	1,151,327,485		$	1,882,281,651		$	1,036,244,722		$	1,302,440,957

Net assets attributable to:
Class III	$	1,151,327,485		$	26,629,956		$	—		$	1,302,440,957

Class IV	$	—		$	11,903,494		$	—		$	—

Class VI	$	—		$	1,843,748,201		$	1,036,244,722		$	—

Shares outstanding:
Class III		35,299,757			835,673			—			58,984,716

Class IV		—			374,821			—			—

Class VI		—			58,009,413			41,009,040			—

Net asset value per share:
Class III	$	32.62		$	31.87		$	—		$	22.08

Class IV	$	—		$	31.76		$	—		$	—

Class VI	$	—		$	31.78		$	25.27		$	—


118		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2018


	Alpha Only Fund			Benchmark-Free Allocation Fund			Benchmark-Free Fund			Global Asset Allocation Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	148,213		$	360,573,321		$	30,899,770		$	54,635,579
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)^(a)		5,381,217			53,520			44,908,596			3,088
Interest		112,873			3,017			23,797,653			8,757

Total investment income		5,642,303			360,629,858			99,606,019			54,647,424

Expenses:
Management fee (Note 5)		1,161,316			88,822,886			—			—
Shareholder service fee – Class III (Note 5)		13,338			7,497,455			—			—
Shareholder service fee – Class IV (Note 5)		223,371			2,976,880			—			—
Supplemental support fee – Class MF (Note 5)		—			5,689,876			—			—
Audit and tax fees		129,060			29,040			116,369			42,181
Custodian, fund accounting agent and transfer agent fees		371,755			105,634			1,618,773			62,307
Legal fees		6,405			105,869			68,091			18,815
Registration fees		5,157			1,400			—			4,174
Trustees’ fees and related expenses (Note 5)		4,840			318,187			101,093			56,646
Interest expense (Note 2)		—			—			30,730			—
Miscellaneous		71,589			43,349			90,744			13,510

Total expenses		1,986,831			105,590,576			2,025,800			197,633
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(536,151	)		(251,779	)		(1,193,078	)		(134,557	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			(19,880,639	)		—			—
Indirectly incurred shareholder service fee waived or borne by GMO (Note 5)		—			(1,658,359	)		—			—

Net expenses		1,450,680			83,799,799			832,722			63,076

Net investment income (loss)		4,191,623			276,830,059			98,773,297			54,584,348

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(b)		28,143,991			—			134,133,286			(37,729	)
Investments in affiliated issuers		(14,336	)		165,718,784			14,468,070			(5,348,621	)
Realized gain distributions from affiliated issuers (Note 10)		—			83,992,891			27,153,748			41,278,276
Futures contracts		(31,036,798	)		—			313,291			—
Swap contracts		—			—			2,357			—
Forward currency contracts		(727,582	)		—			(3,511,900	)		—
Foreign currency and foreign currency related transactions		(2,510,985	)		—			(341,353	)		—

Net realized gain (loss)		(6,145,710	)		249,711,675			172,217,499			35,891,926

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(c)		10,641,165			—			126,713,497			58,956
Investments in affiliated issuers		(793	)		808,309,413			152,107,006			184,290,109
Futures contracts		3,065,307			—			3,300,316			—
Forward currency contracts		137,804			—			(3,286,509	)		—
Foreign currency and foreign currency related transactions		50,165			—			(63,762	)		—

Net change in unrealized appreciation (depreciation)		13,893,648			808,309,413			278,770,548			184,349,065

Net realized and unrealized gain (loss)		7,747,938			1,058,021,088			450,988,047			220,240,991

Net increase (decrease) in net assets resulting from operations	$	11,939,561		$	1,334,851,147		$	549,761,344		$	274,825,339

^(a) Withholding tax:	$	393,660		$	—		$	4,792,141		$	—
^(b) Foreign capital gains tax on net realized gain (loss):	$	3,986		$	—		$	317,287		$	—
^(c)Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	(2,832	)	$	—		$	(551,073	)	$	—


		See accompanying notes to the financial statements.		119

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2018 — (Continued)


	Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund			International Developed Equity Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)^(a)	$	394		$	1,360		$	185,362,269		$	428
Interest		495			666			99,572,989			299
Dividends from affiliated issuers (Note 10)		13,492,766			63,053,905			—			20,870,835

Total investment income		13,493,655			63,055,931			284,935,258			20,871,562

Expenses:
Audit and tax fees		23,451			23,506			306,993			23,470
Custodian, fund accounting agent and transfer agent fees		54,271			55,318			4,530,376			55,293
Dividend expense on short sales		—			—			3,969,253			—
Legal fees		10,304			31,000			125,767			8,992
Registration fees		3,197			3,194			—			1,115
Trustees’ fees and related expenses (Note 5)		15,829			55,309			268,040			15,151
Interest expense (Note 2)		—			—			256,949			—
Miscellaneous		6,699			20,704			268,818			8,217	*

Total expenses		113,751			189,031			9,726,196			112,238
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(96,375	)		(129,131	)		(4,868,134	)		(95,745	)

Net expenses		17,376			59,900			4,858,062			16,493

Net investment income (loss)		13,476,279			62,996,031			280,077,196			20,855,069

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(b)		—			—			693,761,737			—
Investments in affiliated issuers		(31,735,375	)		(3,589,780	)		—			(4,311,611	)
Realized gain distributions from affiliated issuers (Note 10)		19,105,946			65,078,205			—			—
Investments in securities sold short		—			—			(91,051,717	)		—
Futures contracts		—			—			3,966,597			—
Written options		—			—			826,088			—
Swap contracts		—			—			12,713,355			—
Forward currency contracts		—			—			(17,712,549	)		—
Foreign currency and foreign currency related transactions		—			—			(1,689,761	)		—

Net realized gain (loss)		(12,629,429	)		61,488,425			600,813,750			(4,311,611	)

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(c)		—			—			311,706,489			—
Investments in affiliated issuers		128,701,084			331,592,435			—			108,212,184
Investments in securities sold short		—			—			6,830,978			—
Futures contracts		—			—			20,628,148			—
Written options		—			—			2,318,545			—
Swap contracts		—			—			10,972,364			—
Forwards currency contracts		—			—			(23,886,314	)		—
Foreign currency and foreign currency related transactions		—			—			755,587			—

Net change in unrealized appreciation (depreciation)		128,701,084			331,592,435			329,325,797			108,212,184

Net realized and unrealized gain (loss)		116,071,655			393,080,860			930,139,547			103,900,573

Net increase (decrease) in net assets resulting from operations	$	129,547,934		$	456,076,891		$	1,210,216,743		$	124,755,642

^(a)Withholding tax:	$	—		$	—		$	19,919,675		$	—
^(b) Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	515,501		$	—
^(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	—		$	(694,688	)	$	—
* Includes $6,583 of printing expenses.


120		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2018 — (Continued)


	International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Consolidated Special Opportunities Fund			Strategic Opportunities Allocation Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	32,728,305		$	9,061,525		$	—		$	47,680,237
Interest		365			7,275,856			4,619,439			3,404,566
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)^(a)		653			248,966			6,432,406			2,969

Total investment income		32,729,323			16,586,347			11,051,845			51,087,772

Expenses:
Management fee (Note 5)		—			13,184,838			11,161,308			—
Shareholder service fee – Class III (Note 5)		—			13,365			—			—
Shareholder service fee – Class IV (Note 5)		—			33,103			—			—
Shareholder service fee – Class VI (Note 5)		—			830,030			558,065			—
Audit and tax fees		23,454			88,269			113,357			37,018
Custodian, fund accounting agent and transfer agent fees		53,537			257,944			163,116			53,141
Legal fees		14,862			40,425			246,616			22,337
Registration fees		5,454			31,003			1,735			3,436
Trustees’ fees and related expenses (Note 5)		25,129			35,226			23,560			43,353
Miscellaneous		9,834	*		39,116			26,744			13,222

Total expenses		132,270			14,553,319			12,294,501			172,507
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(104,932	)		(429,934	)		—			(125,382	)

Net expenses		27,338			14,123,385			12,294,501			47,125

Net investment income (loss)		32,701,985			2,462,962			(1,242,656	)		51,040,647

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(b)		—			(242,459	)		95,586,680			386,684
Investments in affiliated issuers		(2,354,468	)		(131,885	)		—			35,937,588
Realized gain distributions from affiliated issuers (Note 10)		—			—			—			30,514,278
Futures contracts		—			98,004,625			(2,213,953	)		—
Written options		—			—			3,321,520			—
Forward currency contracts		—			(31,687,655	)		(2,402,408	)		—
Foreign currency and foreign currency related transactions		—			(5,872,023	)		5,552			—

Net realized gain (loss)		(2,354,468	)		60,070,603			94,297,391			66,838,550

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)		—			(791,161	)		191,583,089			(3,517,964	)
Investments in affiliated issuers		185,788,303			(941,321	)		(20,211	)		157,115,588
Futures contracts		—			(53,851,162	)		1,962,447			—
Written options		—			—			(1,213,466	)		—
Forwards currency contracts		—			8,639,854			13,424			—
Foreign currency and foreign currency related transactions		—			174,615			9,384			—

Net change in unrealized appreciation (depreciation)		185,788,303			(46,769,175	)		192,334,667			153,597,624

Net realized and unrealized gain (loss)		183,433,835			13,301,428			286,632,058			220,436,174

Net increase (decrease) in net assets resulting from operations	$	216,135,820		$	15,764,390		$	285,389,402		$	271,476,821

^(a) Withholding tax:	$	—		$	—		$	177,593		$	—
^(b) Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	(801,696	)	$	—
* Includes $7,007 of printing expenses.


		See accompanying notes to the financial statements.		121

GMO Trust Funds

Statements of Changes in Net Assets


	Alpha Only Fund						Benchmark-Free Allocation Fund
	Year Ended February 28,						Year Ended February 28,
	2018			2017			2018			2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	4,191,623		$	4,532,594		$	276,830,059		$	220,401,847
Net realized gain (loss)		(6,145,710	)		(39,021,157	)		249,711,675			153,420,465
Change in net unrealized appreciation (depreciation)		13,893,648			29,019,238			808,309,413			1,325,782,244


Net increase (decrease) in net assets from operations		11,939,561			(5,469,325	)		1,334,851,147			1,699,604,556

Distributions to shareholders from:
Net investment income
Class III		(104,020	)		(226,478	)		(113,187,765	)		(80,269,673	)
Class IV		(2,679,412	)		(7,404,091	)		(73,419,032	)		(42,073,207	)
Class MF		—			—			(136,226,196	)		(99,711,857	)

Total distributions from net investment income		(2,783,432	)		(7,630,569	)		(322,832,993	)		(222,054,737	)

Net share transactions (Note 9):
Class III		(387,767	)		517,480			(463,077,586	)		(1,155,147,216	)
Class IV		(12,270,377	)		(47,601,802	)		(125,243,907	)		(94,499,738	)
Class MF		—			—			(658,879,382	)		(2,872,966,238	)

Increase (decrease) in net assets resulting from net share transactions		(12,658,144	)		(47,084,322	)		(1,247,200,875	)		(4,122,613,192	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			1,805,688			3,463,441
Class IV		—			—			1,055,758			1,691,330
Class MF		—			—			2,043,593			4,522,945

Increase in net assets resulting from purchase premiums and redemption fees		—			—			4,905,039			9,677,716

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(12,658,144	)		(47,084,322	)		(1,242,295,836	)		(4,112,935,476	)

Total increase (decrease) in net assets		(3,502,015	)		(60,184,216	)		(230,277,682	)		(2,635,385,657	)

Net assets:
Beginning of period		233,833,412			294,017,628			13,770,457,634			16,405,843,291

End of period	$	230,331,397		$	233,833,412		$	13,540,179,952		$	13,770,457,634

Accumulated undistributed (distributions in excess of) net investment income	$	(1,289,057	)	$	67,491		$	(3,577,793	)	$	4,355,144


122		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Benchmark-Free Fund						Global Asset Allocation Fund
	Year Ended February 28,						Year Ended February 28,
	2018			2017			2018			2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	98,773,297		$	105,049,984		$	54,584,348		$	58,281,786
Net realized gain (loss)		172,217,499			45,167,642			35,891,926			(163,024,800	)
Change in net unrealized appreciation (depreciation)		278,770,548			451,920,797			184,349,065			468,278,212


Net increase (decrease) in net assets from operations		549,761,344			602,138,423			274,825,339			363,535,198

Distributions to shareholders from:
Net investment income
Class III		(126,068,577	)		(116,700,824	)		(61,208,240	)		(62,220,291	)

Total distributions from net investment income		(126,068,577	)		(116,700,824	)		(61,208,240	)		(62,220,291	)

Net share transactions (Note 9):
Class III		(332,857,369	)		(397,485,238	)		(162,848,213	)		(1,197,015,061	)

Increase (decrease) in net assets resulting from net share transactions		(332,857,369	)		(397,485,238	)		(162,848,213	)		(1,197,015,061	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		1,394,003			1,188,794			890,639			1,853,433

Increase in net assets resulting from purchase premiums and redemption fees		1,394,003			1,188,794			890,639			1,853,433

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(331,463,366	)		(396,296,444	)		(161,957,574	)		(1,195,161,628	)

Total increase (decrease) in net assets		92,229,401			89,141,155			51,659,525			(893,846,721	)

Net assets:
Beginning of period		4,394,259,534			4,305,118,379			2,423,945,032			3,317,791,753

End of period	$	4,486,488,935		$	4,394,259,534		$	2,475,604,557		$	2,423,945,032

Accumulated undistributed (distributions in excess of) net investment income	$	4,316,315		$	12,141,708		$	1,933,430		$	1,907,347


		See accompanying notes to the financial statements.		123

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Global Developed Equity Allocation Fund						Global Equity Allocation Fund
	Year Ended February 28,						Year Ended February 28,
	2018			2017			2018			2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	13,476,279		$	33,369,552		$	62,996,031		$	69,282,296
Net realized gain (loss)		(12,629,429	)		(57,989,311	)		61,488,425			(274,880,007	)
Change in net unrealized appreciation (depreciation)		128,701,084			255,753,023			331,592,435			729,023,158


Net increase (decrease) in net assets from operations		129,547,934			231,133,264			456,076,891			523,425,447

Distributions to shareholders from:
Net investment income
Class III		(18,007,301	)		(30,222,114	)		(70,822,350	)		(68,744,144	)

Total distributions from net investment income		(18,007,301	)		(30,222,114	)		(70,822,350	)		(68,744,144	)

Net realized gains
Class III		—			(39,709,256	)		—			(55,809,080	)

Total distributions from net realized gains		—			(39,709,256	)		—			(55,809,080	)

Net share transactions (Note 9):
Class III		(635,039,526	)		(602,267,298	)		(264,039,968	)		(1,073,431,102	)

Increase (decrease) in net assets resulting from net share transactions		(635,039,526	)		(602,267,298	)		(264,039,968	)		(1,073,431,102	)

Redemption fees (Notes 2 and 9):
Class III		522,102			549,011			887,839			2,209,585

Increase in net assets resulting from redemption fees		522,102			549,011			887,839			2,209,585

Total increase (decrease) in net assets resulting from net share transactions and redemption fees		(634,517,424	)		(601,718,287	)		(263,152,129	)		(1,071,221,517	)

Total increase (decrease) in net assets		(522,976,791	)		(440,516,393	)		122,102,412			(672,349,294	)

Net assets:
Beginning of period		992,259,613			1,432,776,006			2,206,818,218			2,879,167,512

End of period	$	469,282,822		$	992,259,613		$	2,328,920,630		$	2,206,818,218

Accumulated undistributed (distributions in excess of) net investment income	$	1,393,219		$	4,106,980		$	1,319,053		$	3,028,905


124		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Consolidated Implementation Fund						International Developed Equity Allocation Fund
	Year Ended February 28,						Year Ended February 28,
	2018			2017			2018			2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	280,077,196		$	264,569,572		$	20,855,069		$	27,679,519
Net realized gain (loss)		600,813,750			(42,789,124	)		(4,311,611	)		(23,893,115	)
Change in net unrealized appreciation (depreciation)		329,325,797			1,314,797,007			108,212,184			142,706,231


Net increase (decrease) in net assets from operations		1,210,216,743			1,536,577,455			124,755,642			146,492,635

Distributions to shareholders from:
Net investment income
Core Class		(335,144,868	)		(218,046,347	)		—			—
Class III		—			—			(20,807,945	)		(27,805,230	)

Total distributions from net investment income		(335,144,868	)		(218,046,347	)		(20,807,945	)		(27,805,230	)

Net share transactions (Note 9):
Core Class		(600,296,581	)		(3,756,011,512	)		—			—
Class III		—			—			(40,941,783	)		(460,198,898	)

Increase (decrease) in net assets resulting from net share transactions		(600,296,581	)		(3,756,011,512	)		(40,941,783	)		(460,198,898	)

Purchase premiums and redemption fees (Notes 2 and 9):
Core Class		4,240,205			8,960,910			—			—
Class III		—			—			68,771			480,788

Increase in net assets resulting from purchase premiums and redemption fees		4,240,205			8,960,910			68,771			480,788

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(596,056,376	)		(3,747,050,602	)		(40,873,012	)		(459,718,110	)

Total increase (decrease) in net assets		279,015,499			(2,428,519,494	)		63,074,685			(341,030,705	)

Net assets:
Beginning of period		11,226,683,853			13,655,203,347			601,792,232			942,822,937

End of period	$	11,505,699,352		$	11,226,683,853		$	664,866,917		$	601,792,232

Accumulated undistributed (distributions in excess of) net investment income	$	4,569,723		$	13,863,806		$	101,971		$	54,847


		See accompanying notes to the financial statements.		125

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	International Equity Allocation Fund						Consolidated SGM Major Markets Fund
	Year Ended February 28,						Year Ended February 28,
	2018			2017			2018			2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	32,701,985		$	36,335,910		$	2,462,962		$	(6,611,180	)
Net realized gain (loss)		(2,354,468	)		(37,280,749	)		60,070,603			48,794,708
Change in net unrealized appreciation (depreciation)		185,788,303			226,072,718			(46,769,175	)		13,986,113


Net increase (decrease) in net assets from operations		216,135,820			225,127,879			15,764,390			56,169,641

Distributions to shareholders from:
Net investment income
Class III		(33,024,114	)		(35,103,258	)		—			(338,003	)
Class IV		—			—			—			(1,340,200	)
Class VI		—			—			—			(47,180,108	)

Total distributions from net investment income		(33,024,114	)		(35,103,258	)		—			(48,858,311	)

Net realized gains
Class III		—			—			(180,594	)		(214,673	)
Class IV		—			—			(953,492	)		(1,979,745	)
Class VI		—			—			(56,853,796	)		(52,825,200	)

Total distributions from net realized gains		—			—			(57,987,882	)		(55,019,618	)

Net share transactions (Note 9):
Class III		(118,301,310	)		(239,862,091	)		20,704,296			(18,796,751	)
Class IV		—			—			(42,897,635	)		58,957,014
Class VI		—			—			439,311,501			193,889,925

Increase (decrease) in net assets resulting from net share transactions		(118,301,310	)		(239,862,091	)		417,118,162			234,050,188

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		713,905			841,053			—			—

Increase in net assets resulting from purchase premiums and redemption fees		713,905			841,053			—			—

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(117,587,405	)		(239,021,038	)		417,118,162			234,050,188

Total increase (decrease) in net assets		65,524,301			(48,996,417	)		374,894,670			186,341,900

Net assets:
Beginning of period		1,085,803,184			1,134,799,601			1,507,386,981			1,321,045,081

End of period	$	1,151,327,485		$	1,085,803,184		$	1,882,281,651		$	1,507,386,981

Accumulated undistributed (distributions in excess of) net investment income	$	1,641,877		$	1,964,006		$	(2,314,280	)	$	(30,076,100	)


126		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Consolidated Special Opportunities Fund						Strategic Opportunities Allocation Fund
	Year Ended February 28,						Year Ended February 28,
	2018			2017			2018			2017
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	(1,242,656	)	$	11,252,050		$	51,040,647		$	54,982,571
Net realized gain (loss)		94,297,391			15,757,081			66,838,550			(21,722,828	)
Change in net unrealized appreciation (depreciation)		192,334,667			110,243,332			153,597,624			277,374,456


Net increase (decrease) in net assets from operations		285,389,402			137,252,463			271,476,821			310,634,199

Distributions to shareholders from:
Net investment income
Class III		—			—			(55,183,123	)		(54,767,504	)
Class VI		(680,089	)		(16,240,542	)		—			—

Total distributions from net investment income		(680,089	)		(16,240,542	)		(55,183,123	)		(54,767,504	)

Net realized gains
Class III		—			—			(1,947,705	)		(1,162,716	)
Class VI		(67,496,961	)		(20,678,991	)		—			—

Total distributions from net realized gains		(67,496,961	)		(20,678,991	)		(1,947,705	)		(1,162,716	)

Net share transactions (Note 9):
Class III		—			—			(930,852,849	)		(206,111,527	)
Class VI		(175,366,785	)		(247,683,492	)		—			—

Increase (decrease) in net assets resulting from net share transactions		(175,366,785	)		(247,683,492	)		(930,852,849	)		(206,111,527	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			1,948,317			491,456
Class VI		1,580,217			1,434,047			—			—

Increase in net assets resulting from purchase premiums and redemption fees		1,580,217			1,434,047			1,948,317			491,456

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(173,786,568	)		(246,249,445	)		(928,904,532	)		(205,620,071	)

Total increase (decrease) in net assets		43,425,784			(145,916,515	)		(714,558,539	)		49,083,908

Net assets:
Beginning of period		992,818,938			1,138,735,453			2,016,999,496			1,967,915,588

End of period	$	1,036,244,722		$	992,818,938		$	1,302,440,957		$	2,016,999,496

Accumulated undistributed (distributions in excess of) net investment income	$	(1,795,158	)	$	(1,169,260	)	$	322,995		$	1,595,492


		See accompanying notes to the financial statements.		127

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

ALPHA ONLY FUND


	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2018				2017				2016				2015				2014				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	20.96			$	22.04			$	22.93			$	23.98			$	24.22			$	20.97			$	22.05			$	22.95			$	23.99			$	24.24

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.41				0.35				0.37				0.34				0.53				0.39				0.37				0.39				0.35				0.58
Net realized and unrealized gain (loss)			0.68				(0.80	)			(0.40	)			(0.96	)			(0.76	)			0.71				(0.81	)			(0.41	)			(0.95	)			(0.80	)

Total from investment operations			1.09				(0.45	)			(0.03	)			(0.62	)			(0.23	)			1.10				(0.44	)			(0.02	)			(0.60	)			(0.22	)

Less distributions to shareholders:
From net investment income			(0.25	)			(0.63	)			(0.86	)			(0.43	)			(0.01	)			(0.26	)			(0.64	)			(0.88	)			(0.44	)			(0.03	)

Total distributions			(0.25	)			(0.63	)			(0.86	)			(0.43	)			(0.01	)			(0.26	)			(0.64	)			(0.88	)			(0.44	)			(0.03	)

Net asset value, end of period		$	21.80			$	20.96			$	22.04			$	22.93			$	23.98			$	21.81			$	20.97			$	22.05			$	22.95			$	23.99

Total Return^(b)			5.22	%			(2.02	)%			(0.06	)%			(2.60	)%			(0.94	)%			5.27	%			(1.98	)%			(0.03	)%			(2.51	)%			(0.93	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	7,829			$	7,852			$	7,712			$	26,695			$	35,392			$	222,503			$	225,982			$	286,305			$	3,333,388			$	3,523,518
Net expenses to average daily net assets			0.67	%^(c)			0.68	%^(c)			0.66	%^(c)			0.65	%			0.30	%^(c)(d)			0.62	%^(c)			0.62	%^(c)			0.60	%^(c)			0.60	%			0.26	%^(c)(d)
Net investment income (loss) to average daily net assets^(a)			1.91	%			1.62	%			1.66	%			1.44	%			2.19	%			1.80	%			1.69	%			1.76	%			1.46	%			2.42	%
Portfolio turnover rate			67	%^(e)			22	%^(e)			85	%			123	%			66	%			67	%^(e)			22	%^(e)			85	%			123	%			66	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.22	%			0.20	%			0.06	%			0.04	%			0.37	%^(f)			0.23	%			0.20	%			0.05	%			0.04	%			0.36	%^(f)

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

^(b)

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

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

^(e)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 135% and 80%, respectively, of the average value of its portfolio.

^(f)	Ratios include indirect fees waived or borne by the Fund.

†	Calculated using average shares outstanding throughout the period.


128		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND


	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2018				2017				2016^(a)				2015^(b)				2014^(b)				2018				2017				2016^(a)				2015^(b)				2014^(b)
Net asset value, beginning of period		$	25.78			$	23.46			$	27.04			$	27.07			$	25.77			$	25.78			$	23.46			$	27.03			$	27.06			$	25.75

Income (loss) from investment operations:
Net investment income (loss)^(c)†			0.52				0.37				0.19				0.38				0.48				0.58				0.40				0.20				0.36				0.46
Net realized and unrealized gain (loss)			2.12				2.35				(3.26	)			0.86				1.57				2.06				2.33				(3.26	)			0.89				1.61

Total from investment operations			2.64				2.72				(3.07	)			1.24				2.05				2.64				2.73				(3.06	)			1.25				2.07

Less distributions to shareholders:
From net investment income			(0.66	)			(0.40	)			(0.34	)			(0.52	)			(0.39	)			(0.67	)			(0.41	)			(0.34	)			(0.53	)			(0.40	)
From net realized gains			—				—				(0.17	)			(0.75	)			(0.36	)			—				—				(0.17	)			(0.75	)			(0.36	)

Total distributions			(0.66	)			(0.40	)			(0.51	)			(1.27	)			(0.75	)			(0.67	)			(0.41	)			(0.51	)			(1.28	)			(0.76	)

Net asset value, end of period		$	27.76			$	25.78			$	23.46			$	27.04			$	27.07			$	27.75			$	25.78			$	23.46			$	27.03			$	27.06

Total Return^(d)			10.28	%			11.66	%			(11.51	)%			4.71	%			8.03	%			10.30	%			11.71	%			(11.46	)%			4.75	%			8.12	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	5,162,084			$	5,248,863			$	5,872,663			$	6,040,891			$	3,109,509			$	2,756,005			$	2,663,418			$	2,508,115			$	3,363,711			$	2,511,906
Net operating expenses to average daily net assets^(e)			0.65	%			0.65	%			0.66	%			0.64	%			0.59	%^(f)			0.60	%			0.60	%			0.61	%			0.59	%			0.54	%^(f)
Interest and/or dividend expenses to average daily net assets^(g)			—				—				0.02	%			0.05	%			—				—				—				0.02	%			0.05	%			—
Total net expenses to average daily net assets^(e)			0.65	%			0.65	%			0.68	%			0.69	%			0.59	%			0.60	%			0.60	%			0.63	%			0.64	%			0.54	%
Net investment income (loss) to average daily net assets^(c)			1.93	%			1.46	%			0.73	%			1.41	%			1.79	%			2.13	%			1.61	%			0.80	%			1.32	%			1.73	%
Portfolio turnover rate			9	%			7	%			53	%^(h)			84	%			52	%			9	%			7	%			53	%^(h)			84	%			52	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:⁽ⁱ⁾			0.16	%			0.15	%			0.16	%			0.20	%			0.27	%			0.16	%			0.15	%			0.16	%			0.20	%			0.27	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.02			$	0.01			$	0.01			$	0.03			$	0.01			$	0.02			$	0.01			$	0.01			$	0.03

^(a)	The amounts shown, where applicable, are consolidated through the period ended July 31, 2015 (Note 2 — Basis of presentation and principles of consolidation).

^(b)	Consolidated financial highlights (Note 2 — Basis of presentation and principles of consolidation).

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

^(d)

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

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

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

^(h)	Had the Fund not been consolidated for the year ended February 29, 2016, the portfolio turnover would have been 23%.

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

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		129

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)


	Class MF Shares
	Year Ended February 28/29,
	2018				2017				2016^(a)				2015^(b)				2014^(b)
Net asset value, beginning of period		$	25.80			$	23.47			$	27.04			$	27.07			$	25.76

Income (loss) from investment operations:
Net investment income (loss)^(c)†			0.56				0.35				0.19				0.37				0.49
Net realized and unrealized gain (loss)			2.08				2.39				(3.24	)			0.88				1.58

Total from investment operations			2.64				2.74				(3.05	)			1.25				2.07

Less distributions to shareholders:
From net investment income			(0.67	)			(0.41	)			(0.35	)			(0.53	)			(0.40	)
From net realized gains			—				—				(0.17	)			(0.75	)			(0.36	)

Total distributions			(0.67	)			(0.41	)			(0.52	)			(1.28	)			(0.76	)

Net asset value, end of period		$	27.77			$	25.80			$	23.47			$	27.04			$	27.07

Total Return^(d)			10.29	%			11.76	%			(11.45	)%			4.78	%			8.11	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	5,622,091			$	5,858,177			$	8,025,066			$	12,255,179			$	9,103,523
Net operating expenses to average daily net assets^(e)			0.60	%			0.60	%^(f)			0.58	%^(f)			0.55	%^(f)			0.53	%^(g)
Interest and/or dividend expenses to average daily net assets^(h)			—				—				0.02	%			0.05	%			—
Total net expenses to average daily net assets^(e)			0.60	%			0.60	%^(f)			0.60	%^(f)			0.60	%^(f)			0.53	%
Net investment income (loss) to average daily net assets^(c)			2.06	%			1.38	%			0.77	%			1.37	%			1.83	%
Portfolio turnover rate			9	%			7	%			53	%⁽ⁱ⁾			84	%			52	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:^(j)			0.16	%			0.16	%			0.19	%			0.23	%			0.27	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.02			$	0.01			$	0.01			$	0.03

^(a)	The amounts shown, where applicable, are consolidated through the period ended July 31, 2015 (Note 2 — Basis of presentation and principles of consolidation).

^(b)	Consolidated financial highlights (Note 2 — Basis of presentation and principles of consolidation).

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

^(d)

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

^(f)	Class MF net expenses include a supplemental support fee reduction (Note 5).

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

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

⁽ⁱ⁾	Had the Fund not been consolidated for the year ended February 29, 2016, the portfolio turnover would have been 23%.

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

†	Calculated using average shares outstanding throughout the period.


130		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

BENCHMARK-FREE FUND


	Class III Shares
	Year Ended February 28/29,
	2018				2017				2016				2015				2014
Net asset value, beginning of period		$	18.95			$	17.00			$	20.30			$	22.09			$	21.33

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.46				0.43				0.58				0.61				0.59
Net realized and unrealized gain (loss)			2.10				2.01				(2.70	)			0.61				1.45

Total from investment operations			2.56				2.44				(2.12	)			1.22				2.04

Less distributions to shareholders:
From net investment income			(0.60	)			(0.49	)			(0.60	)			(0.79	)			(0.74	)
From net realized gains			—				—				(0.58	)			(2.22	)			(0.54	)

Total distributions			(0.60	)			(0.49	)			(1.18	)			(3.01	)			(1.28	)

Net asset value, end of period		$	20.91			$	18.95			$	17.00			$	20.30			$	22.09

Total Return^(b)			13.59	%			14.52	%			(10.82	)%			5.76	%			9.66	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	4,486,489			$	4,394,260			$	4,305,118			$	5,052,362			$	4,367,658
Net expenses to average daily net assets^(c)			0.02	%			0.01	%			0.00	%^(d)			0.00	%^(d)			0.00	%^(d)^(e)
Interest and/or dividend expenses to average daily net assets^(f)			0.00	%^(g)			0.00	%^(g)			—				—				—
Total net expenses to average daily net assets^(c)			0.02	%			0.01	%			0.00	%^(d)			0.00	%^(d)			0.00	%^(d)
Net investment income (loss) to average daily net assets^(a)			2.29	%			2.37	%			3.09	%			2.90	%			2.67	%
Portfolio turnover rate			78	%^(h)			83	%^(h)			101	%			60	%			51	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%			0.04	%			0.01	%			0.00	%⁽ⁱ⁾			0.00	%⁽ⁱ⁾
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.00	^(j)		$	0.00	^(j)		$	0.00	^(j)		$	0.00	^(j)

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

^(b)

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

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

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

^(f)

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

^(g)	Ratio is less than 0.01%.

^(h)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 81% and 86%, respectively, of the average value of its portfolio.

⁽ⁱ⁾	Fees and expenses reimbursed by GMO were less than 0.01%.

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

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		131

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND


	Class III Shares
	Year Ended February 28/29,
	2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)
Net asset value, beginning of period		$	30.48			$	27.60			$	33.81			$	35.40			$	32.70

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.73				0.61				1.02				0.96				0.81
Net realized and unrealized gain (loss)			2.93				3.00				(4.53	)			0.60				2.73

Total from investment operations			3.66				3.61				(3.51	)			1.56				3.54

Less distributions to shareholders:
From net investment income			(0.83	)			(0.73	)			(1.14	)			(1.29	)			(0.84	)
From net realized gains			—				—				(1.56	)			(1.86	)			—

Total distributions			(0.83	)			(0.73	)			(2.70	)			(3.15	)			(0.84	)

Net asset value, end of period		$	33.31			$	30.48			$	27.60			$	33.81			$	35.40

Total Return^(c)			12.04	%			13.21	%			(10.98	)%			4.55	%			10.88	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,475,605			$	2,423,945			$	3,317,792			$	4,868,922			$	5,362,913
Net expenses to average daily net assets^(d)(e)			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%^(f)
Net investment income (loss) to average daily net assets^(b)			2.24	%			2.06	%			3.33	%			2.75	%			2.33	%
Portfolio turnover rate			20	%^(g)			19	%^(g)			20	%			38	%			46	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.02			$	0.01			$	0.01			$	0.01

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

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

^(c)

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

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

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

^(g)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 22% and 18%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.


132		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL DEVELOPED EQUITY ALLOCATION FUND


	Class III Shares
	Year Ended February 28/29,
	2018				2017				2016				2015				2014
Net asset value, beginning of period		$	19.60			$	17.40			$	22.84			$	25.00			$	21.13

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.42				0.52				0.51				0.80				0.61
Net realized and unrealized gain (loss)			3.55				2.87				(3.64	)			0.02	^(b)			3.96

Total from investment operations			3.97				3.39				(3.13	)			0.82				4.57

Less distributions to shareholders:
From net investment income			(0.69	)			(0.55	)			(0.52	)			(0.82	)			(0.70	)
From net realized gains			—				(0.64	)			(1.79	)			(2.16	)			—

Total distributions			(0.69	)			(1.19	)			(2.31	)			(2.98	)			(0.70	)

Net asset value, end of period		$	22.88			$	19.60			$	17.40			$	22.84			$	25.00

Total Return^(c)			20.39	%			20.03	%			(14.81	)%			3.32	%			21.68	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	469,283			$	992,260			$	1,432,776			$	1,770,455			$	1,591,060
Net expenses to average daily net assets^(d)(e)			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%^(f)
Net investment income (loss) to average daily net assets^(a)			1.99	%			2.78	%			2.49	%			3.34	%			2.62	%
Portfolio turnover rate			5	%			29	%			14	%			16	%			36	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02			$	0.01			$	0.00	^(g)		$	0.00	^(g)			—

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

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

^(c)

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

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

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

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

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		133

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND


	Class III Shares
	Year Ended February 28/29,
	2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)
Net asset value, beginning of period		$	22.84			$	19.71			$	26.22			$	28.29			$	25.80

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.68				0.57				0.60				0.96				0.84
Net realized and unrealized gain (loss)			4.11				3.67				(4.47	)			(0.03	)^(c)			3.63

Total from investment operations			4.79				4.24				(3.87	)			0.93				4.47

Less distributions to shareholders:
From net investment income			(0.77	)			(0.70	)			(0.60	)			(0.90	)			(0.87	)
From net realized gains			—				(0.41	)			(2.04	)			(2.10	)			(1.11	)

Total distributions			(0.77	)			(1.11	)			(2.64	)			(3.00	)			(1.98	)

Net asset value, end of period		$	26.86			$	22.84			$	19.71			$	26.22			$	28.29

Total Return^(d)			21.06	%			21.93	%			(15.96	)%			3.37	%			17.60	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,328,921			$	2,206,818			$	2,879,168			$	3,800,256			$	2,948,319
Net expenses to average daily net assets^(f)(g)			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%^(e)
Net investment income (loss) to average daily net assets^(b)			2.67	%			2.63	%			2.58	%			3.54	%			3.02	%
Portfolio turnover rate			14	%			27	%			15	%			21	%			51	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.02			$	0.01			$	0.01			$	0.01

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

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

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

^(d)

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

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

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

†	Calculated using average shares outstanding throughout the period.


134		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED IMPLEMENTATION FUND


	Core Shares
	Year Ended February 28/29,
	2018				2017				2016				2015				2014
Net asset value, beginning of period		$	13.06			$	11.80			$	13.59			$	12.71			$	11.30

Income (loss) from investment operations:
Net investment income (loss)†			0.33				0.27				0.21				0.25				0.32
Net realized and unrealized gain (loss)			1.11				1.24				(2.00	)			0.63				1.09

Total from investment operations			1.44				1.51				(1.79	)			0.88				1.41

Less distributions to shareholders:
From net investment income			(0.41	)			(0.25	)			—				—				—

Total distributions			(0.41	)			(0.25	)			—				—				—

Net asset value, end of period		$	14.09			$	13.06			$	11.80			$	13.59			$	12.71

Total Return^(a)			11.12	%			12.88	%			(13.17	)%			6.92	%			12.48	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	11,505,699			$	11,226,684			$	13,655,203			$	15,915,866			$	10,160,905
Net operating expenses to average daily net assets			0.00	%^(b)			0.00	%^(b)			0.00	%^(b)			0.00	%^(b)			0.00	%^(b)(c)
Interest and/or dividend expenses to average daily net assets^(d)			0.04	%			0.05	%			0.07	%			0.07	%			—
Total net expenses to average daily net assets			0.04	%			0.05	%			0.07	%			0.07	%			0.00	%
Net investment income (loss) to average daily net assets			2.44	%			2.11	%			1.62	%			1.89	%			2.61	%
Portfolio turnover rate			146	%			142	%			127	%			115	%			65	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%			0.05	%			0.05	%			0.04	%			0.08	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.01			$	0.01				—				—

^(a)

^(b)	Ratio is less than 0.01%.

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

^(d)

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

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		135

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND


	Class III Shares
	Year Ended February 28/29,
	2018				2017				2016				2015				2014
Net asset value, beginning of period		$	14.72			$	13.05			$	16.88			$	17.99			$	14.86

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.53				0.45				0.48				0.74				0.54
Net realized and unrealized gain (loss)			2.61				1.79				(3.83	)			(1.11	)			3.16

Total from investment operations			3.14				2.24				(3.35	)			(0.37	)			3.70

Less distributions to shareholders:
From net investment income			(0.54	)			(0.57	)			(0.48	)			(0.74	)			(0.57	)

Total distributions			(0.54	)			(0.57	)			(0.48	)			(0.74	)			(0.57	)

Net asset value, end of period		$	17.32			$	14.72			$	13.05			$	16.88			$	17.99

Total Return^(b)			21.41	%			17.37	%			(20.09	)%			(1.86	)%			25.02	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	664,867			$	601,792			$	942,823			$	1,180,493			$	1,150,492
Net expenses to average daily net assets^(c)(d)			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%^(e)
Net investment income (loss) to average daily net assets^(a)			3.20	%			3.14	%			3.07	%			4.24	%			3.28	%
Portfolio turnover rate			5	%			10	%			14	%			7	%			52	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	^(f)		$	0.01			$	0.00	^(f)		$	0.00	^(f)			—

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

^(b)

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

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

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

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

†	Calculated using average shares outstanding throughout the period.


136		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY ALLOCATION FUND


	Class III Shares
	Year Ended February 28/29,
	2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)
Net asset value, beginning of period		$	27.49			$	23.40			$	31.71			$	34.11			$	31.29

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.93				0.84				0.84				1.32				1.05
Net realized and unrealized gain (loss)			5.19				4.15				(7.11	)			(1.83	)			3.96

Total from investment operations			6.12				4.99				(6.27	)			(0.51	)			5.01

Less distributions to shareholders:
From net investment income			(0.99	)			(0.90	)			(0.87	)			(1.35	)			(1.02	)
From net realized gains			—				—				(1.17	)			(0.54	)			(1.17	)

Total distributions			(0.99	)			(0.90	)			(2.04	)			(1.89	)			(2.19	)

Net asset value, end of period		$	32.62			$	27.49			$	23.40			$	31.71			$	34.11

Total Return^(c)			22.38	%			21.57	%			(20.70	)%			(1.30	)%			16.22	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,151,327			$	1,085,803			$	1,134,800			$	1,595,039			$	1,790,318
Net expenses to average daily net assets^(d)(e)			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%^(f)
Net investment income (loss) to average daily net assets^(b)			3.00	%			3.20	%			2.92	%			3.94	%			3.15	%
Portfolio turnover rate			12	%			7	%			14	%			18	%			40	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02			$	0.02			$	0.01			$	0.01			$	0.02

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

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

^(c)

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

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

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

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		137

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND


	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28, 2018				Period from October 26, 2016 (commencement of operations) through February 28, 2017
	2018				2017				2016				2015				2014				Year Ended February 28, 2018
Net asset value, beginning of period		$	32.68			$	33.25			$	33.80			$	32.18			$	30.47			$	32.56			$	35.27

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.24				(0.21	)			(0.26	)			(0.25	)			(0.22	)			(0.09	)			(0.05	)
Net realized and unrealized gain (loss)			0.23				1.87				(0.29	)			1.87	^(b)			1.93				0.57				(0.62	)

Total from investment operations			0.47				1.66				(0.55	)			1.62				1.71				0.48				(0.67	)

Less distributions to shareholders:
From net investment income			—				(1.01	)			—				—				—				—				(0.82	)
From net realized gains			(1.28	)			(1.22	)			—				—				—				(1.28	)			(1.22	)

Total distributions			(1.28	)			(2.23	)			—				—				—				(1.28	)			(2.04	)

Net asset value, end of period		$	31.87			$	32.68			$	33.25			$	33.80			$	32.18			$	31.76			$	32.56

Total Return^(c)			1.44	%			5.12	%			(1.63	)%			5.03	%			5.61	%			1.47	%			(1.79	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	26,630			$	6,117			$	24,020			$	1,499,443			$	1,662,189			$	11,903			$	54,825
Net expenses to average daily net assets^(d)			1.00	%			1.00	%			0.85	%			0.80	%			0.75	%			0.95	%			0.95	%*
Net investment income (loss) to average daily net assets^(a)			0.75	%			(0.61	)%			(0.79	)%			(0.76	)%			(0.70	)%			(0.27	)%			(0.41	)%*
Portfolio turnover rate			106	%^(e)			15	%^(e)			29	%			45	%			97	%			106	%^(e)			15	%**^(e)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%			0.04	%			0.03	%			0.08	%			0.13	%			0.03	%			0.05	%*

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

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

^(c)

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

^(e)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the year ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 51% and 47%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


138		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND (continued)


	Class VI Shares
	Year Ended February 28,								Period from December 1, 2015 (commencement of operations) through February 28, 2016
	2018				2017
Net asset value, beginning of period		$	32.57			$	33.26			$	33.07

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.05				(0.16	)			(0.05	)
Net realized and unrealized gain (loss)			0.44				1.85				0.24

Total from investment operations			0.49				1.69				0.19

Less distributions to shareholders:
From net investment income			—				(1.16	)			—
From net realized gains			(1.28	)			(1.22	)			—

Total distributions			(1.28	)			(2.38	)			—

Net asset value, end of period		$	31.78			$	32.57			$	33.26

Total Return^(b)			1.50	%			5.22	%			0.57	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,843,748			$	1,446,445			$	1,297,025
Net expenses to average daily net assets^(c)			0.91	%			0.91	%			0.91	%*
Net investment income (loss) to average daily net assets^(a)			0.16	%			(0.47	)%			(0.59	)%*
Portfolio turnover rate			106	%^(d)			15	%^(d)			29	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%			0.04	%			0.13	%

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

^(b)

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

^(d)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the year ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 51% and 47%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		139

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SPECIAL OPPORTUNITIES FUND


	Class VI Shares
	Year Ended February 28/29,												Period from July 28, 2014 (commencement of operations) through February 28, 2015
	2018				2017				2016
Net asset value, beginning of period		$	20.39			$	18.65			$	19.81			$	20.00

Income (loss) from investment operations:
Net investment income (loss)†			(0.03	)			0.21				0.16				(0.03	)
Net realized and unrealized gain (loss)			6.57				2.23				(0.85	)			(0.15	)^(a)

Total from investment operations			6.54				2.44				(0.69	)			(0.18	)

Less distributions to shareholders:
From net investment income			(0.02	)			(0.32	)			(0.21	)			(0.01	)
From net realized gains			(1.64	)			(0.38	)			(0.26	)			—

Total distributions			(1.66	)			(0.70	)			(0.47	)			(0.01	)

Net asset value, end of period		$	25.27			$	20.39			$	18.65			$	19.81

Total Return^(b)			32.60	%			13.21	%			(3.64	)%			(0.89	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,036,245			$	992,819			$	1,138,735			$	843,864
Net expenses to average daily net assets			1.21	%			1.23	%			1.29	%			1.36	%*
Net investment income (loss) to average daily net assets			(0.12	)%			1.05	%			0.80	%			(0.25	)%*
Portfolio turnover rate			10	%			87	%			69	%			64	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			—				—				—				0.02	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.04			$	0.03			$	0.07			$	0.13

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

^(b)

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


140		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

STRATEGIC OPPORTUNITIES ALLOCATION FUND


	Class III Shares
	Year Ended February 28/29,
	2018				2017				2016				2015				2014
Net asset value, beginning of period		$	19.76			$	17.43			$	21.89			$	23.43			$	21.47

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.58				0.51				0.75				0.76				0.68
Net realized and unrealized gain (loss)			2.39				2.36				(3.47	)			0.44				2.96

Total from investment operations			2.97				2.87				(2.72	)			1.20				3.64

Less distributions to shareholders:
From net investment income			(0.63	)			(0.53	)			(0.80	)			(0.87	)			(0.78	)
From net realized gains			(0.02	)			(0.01	)			(0.94	)			(1.87	)			(0.90	)

Total distributions			(0.65	)			(0.54	)			(1.74	)			(2.74	)			(1.68	)

Net asset value, end of period		$	22.08			$	19.76			$	17.43			$	21.89			$	23.43

Total Return^(b)			15.10	%			16.60	%			(13.00	)%			5.36	%			17.24	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,302,441			$	2,016,999			$	1,967,916			$	2,449,194			$	2,455,863
Net expenses to average daily net assets^(c)(d)			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%^(e)
Net investment income (loss) to average daily net assets^(a)			2.73	%			2.69	%			3.80	%			3.31	%			2.99	%
Portfolio turnover rate			20	%^(f)			28	%^(f)			65	%			30	%			53	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Redemption fees consisted of the following per share amounts:†		$	0.02			$	0.00	^(g)		$	0.00	^(g)		$	0.00	^(g)		$	0.00	^(g)

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

^(b)

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

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

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

^(f)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the year ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 25% and 39%, respectively, of the average value of its portfolio.

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

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		141

GMO Trust Funds

Notes to Financial Statements

February 28, 2018

1.	Organization

Each of Alpha Only Fund, Benchmark-Free Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, Global Equity Allocation Fund, Implementation Fund, International Developed Equity Allocation Fund, International Equity Allocation Fund, SGM Major Markets Fund, Special Opportunities Fund and Strategic Opportunities Allocation Fund, (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

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

Many of the Funds may invest primarily in other GMO Funds and Implementation Fund, Special Opportunities Fund, and SGM Major Markets Fund may also invest in their wholly-owned subsidiaries, GMO Implementation SPC Ltd., GMO Special Opportunities SPC Ltd. and GMO Alternative Asset SPC Ltd., respectively. These GMO Funds and wholly-owned subsidiaries are referenced herein as “underlying funds.” As a result, the Funds are exposed to all of the risks of the underlying funds in which they invest. Several of the underlying funds themselves invest a substantial portion of their assets in other GMO Funds. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.

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



Fund Name	Benchmark	Investment Objective
Alpha Only Fund	Citigroup 3-Month Treasury Bill Index	Total return greater than benchmark
Benchmark-Free Allocation Fund	Not Applicable	Positive total return, not “relative” return
Benchmark-Free Fund	Not Applicable	Positive total return
Global Asset Allocation Fund	GMO Global Asset Allocation Index (65% MSCI ACWI, 35% Bloomberg Barclays U.S. Aggregate Index)	Total return greater than benchmark
Global Developed Equity Allocation Fund	MSCI World Index	Total return greater than benchmark
Global Equity Allocation Fund	MSCI ACWI	Total return greater than benchmark
Implementation Fund	Not Applicable	Positive total return, not “relative” return
International Developed Equity Allocation Fund	MSCI EAFE Index	Total return greater than benchmark
International Equity Allocation Fund	MSCI ACWI ex USA	Total return greater than benchmark
SGM Major Markets Fund	Citigroup 3-Month Treasury Bill Index	Long-term total return
Special Opportunities Fund	Not Applicable	Positive total return
Strategic Opportunities Allocation Fund	GMO Strategic Opportunities Allocation Index (75% MSCI World Index (MSCI Standard Index Series), 25% Bloomberg Barclays U.S. Aggregate Index)	Total return greater than benchmark

Alpha Only Fund, Benchmark-Free Fund, Implementation Fund, Special Opportunities Fund and Strategic Opportunities Allocation Fund currently limit subscriptions.

Global Developed Equity Allocation Fund is currently distributed in Switzerland. The distribution of shares in Switzerland will be exclusively made to, and directed at, qualified investors as defined in the Swiss Collective Investment Schemes Act of 23 June 2006, as amended, and its implementing ordinance.

142

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

2.	Significant accounting policies

Basis of presentation and principles of consolidation: Benchmark-Free Allocation Fund, Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund

Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund include the accounts of their wholly-owned subsidiaries Implementation SPC Ltd., Special Opportunities SPC Ltd. and Alternative Asset SPC Ltd. (each a “wholly-owned subsidiary”), respectively, and the accompanying financial statements have been consolidated for those accounts. The consolidated financial statements include all of the assets and liabilities of each wholly-owned subsidiary. Prior to August 1, 2015, Benchmark-Free Allocation Fund (“BFAF”) included the accounts of its wholly-owned subsidiary, Implementation Fund. Effective August 1, 2015, BFAF was no longer the sole shareholder of Implementation Fund, thus consolidation was no longer required. The accompanying Financial Highlights for BFAF include the accounts of Implementation Fund through July 31, 2015. All interfund accounts and transactions have been eliminated in consolidation.

Portfolio valuation

Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. Direct investments held by the Funds and underlying funds are valued as follows: Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the year ended February 28, 2018, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

143

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February 28, 2018

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 February 28, 2018 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		—			39%		—
Benchmark-Free Allocation Fund		< 1%			35%		2%
Benchmark-Free Fund		< 1%			42%		2%
Global Asset Allocation Fund		< 1%			38%		< 1%
Global Developed Equity Allocation Fund		< 1%			55%		—
Global Equity Allocation Fund		< 1%			61%		—
Consolidated Implementation Fund		0%	§		43%		2%
International Developed Equity Allocation Fund		< 1%			93%		—
International Equity Allocation Fund		< 1%			91%		—
Consolidated SGM Major Markets Fund		—			(1)%		—
Consolidated Special Opportunities Fund		—			14%		—
Strategic Opportunities Allocation Fund		< 1%			47%		< 1%

144

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Notes to Financial Statements — (Continued)

February 28, 2018

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 February 28, 2018.

The three levels are defined as follows:

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

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

The types of assets and liabilities categorized in Level 2 generally include 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; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; 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 February 28, 2018:



Description	Level 1		Level 2		Level 3		Total
Alpha Only Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	657,780	$	—	$	657,780
Austria		—		337,931		—		337,931
Belgium		—		43,469		—		43,469
Brazil		—		2,311,893		—		2,311,893
Chile		—		94,802		—		94,802
China		52,915		20,967,748		—		21,020,663
Colombia		116,362		—		—		116,362
Czech Republic		—		128,588		—		128,588
Denmark		—		24,125		—		24,125

145

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Notes to Financial Statements — (Continued)

February 28, 2018



Description	Level 1		Level 2		Level 3			Total
Alpha Only Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Egypt	$	—	$	8,795	$	—		$	8,795
Finland		—		64,114		—			64,114
France		—		3,046,571		—			3,046,571
Germany		—		3,200,969		—			3,200,969
Greece		—		34,664		—			34,664
Hong Kong		—		542,384		—			542,384
Hungary		—		95,678		—			95,678
India		—		6,824,192		—			6,824,192
Indonesia		—		282,999		—			282,999
Ireland		—		7,661		—			7,661
Israel		7,488		57,467		—			64,955
Italy		—		944,542		—			944,542
Japan		—		5,202,062		—			5,202,062
Malaysia		—		675,567		0	§		675,567
Mexico		2,205,471		—		—			2,205,471
Netherlands		14,883		625,052		—			639,935
New Zealand		—		34,436		—			34,436
Norway		—		440,809		—			440,809
Peru		344,890		—		—			344,890
Philippines		—		176,611		—			176,611
Poland		—		1,057,760		—			1,057,760
Qatar		—		64,144		—			64,144
Russia		—		164,517		—			164,517
Singapore		—		98,598		—			98,598
South Africa		—		5,825,821		—			5,825,821
South Korea		148,535		6,736,391		—			6,884,926
Spain		—		368,696		—			368,696
Sweden		—		832,496		—			832,496
Switzerland		—		3,632,107		—			3,632,107
Taiwan		2,485,299		9,313,608		—			11,798,907
Thailand		—		1,376,438		—			1,376,438
Turkey		—		2,740,180		—			2,740,180
United Arab Emirates		—		105,143		—			105,143
United Kingdom		132,163		8,216,887		—			8,349,050
United States		103,183,278		—		—			103,183,278

TOTAL COMMON STOCKS		108,691,284		87,363,695		0	§		196,054,979

Preferred Stocks
Brazil		409,491		1,893,066		—			2,302,557
Colombia		38,202		—		—			38,202
Germany		—		233,935		—			233,935
Russia		—		14,318		—			14,318
South Korea		—		889,759		—			889,759

TOTAL PREFERRED STOCKS		447,693		3,031,078		—			3,478,771

Rights/Warrants
Brazil		—		—		5,671			5,671

TOTAL RIGHTS/WARRANTS		—		—		5,671			5,671

Mutual Funds
United States		13,848,473		—		—			13,848,473

TOTAL MUTUAL FUNDS		13,848,473		—		—			13,848,473

Short-Term Investments		12,470,313		—		—			12,470,313

Total Investments		135,457,763		90,394,773		5,671			225,858,207

146

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Notes to Financial Statements — (Continued)

February 28, 2018



Description	Level 1			Level 2			Level 3		Total
Alpha Only Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	239,326		$	—	$	239,326

Total	$	135,457,763		$	90,634,099		$	5,671	$	226,097,533


Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(101,522	)	$	—	$	(101,522	)
Futures Contracts
Equity Risk		(5,317,837	)		—			—		(5,317,837	)

Total	$	(5,317,837	)	$	(101,522	)	$	—	$	(5,419,359	)


Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	13,538,778,994		$	—		$	—	$	13,538,778,994
Short-Term Investments		6,838,048			—			—		6,838,048

Total Investments		13,545,617,042			—			—		13,545,617,042

Total	$	13,545,617,042		$	—		$	—	$	13,545,617,042


Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	20,783,538		$	—	$	20,783,538
Austria		—			8,400,625			—		8,400,625
Belgium		—			698,508			—		698,508
Brazil		338,352			31,519,037			—		31,857,389
Canada		35,836,952			—			—		35,836,952
Chile		—			136,924			—		136,924
China		12,672,057			217,493,495			—		230,165,552
Colombia		5,031,747			—			—		5,031,747
Cyprus		—			52,414			—		52,414
Czech Republic		—			1,200,024			—		1,200,024
Denmark		1,904,760			543,613			—		2,448,373
Egypt		—			22,090			—		22,090
Finland		—			3,795,799			—		3,795,799
France		6,543,600			64,980,566			—		71,524,166
Germany		—			82,956,973			—		82,956,973
Greece		—			1,940,617			—		1,940,617
Hong Kong		—			35,191,289			—		35,191,289
Hungary		—			3,402,680			—		3,402,680
India		42,427			76,816,222			—		76,858,649
Indonesia		95,799			3,974,715			—		4,070,514
Ireland		577,881			—			—		577,881
Israel		153,748			442,427			—		596,175
Italy		14,091,350			16,163,438			—		30,254,788
Japan		—			166,300,541			—		166,300,541
Malaysia		—			1,164,604			—		1,164,604
Mexico		25,237,168			—			—		25,237,168
Netherlands		353,624			24,637,279			—		24,990,903
New Zealand		—			1,654,182			—		1,654,182

147

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Notes to Financial Statements — (Continued)

February 28, 2018



Description	Level 1		Level 2		Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Norway	$	—	$	14,366,424	$	—	$	14,366,424
Pakistan		—		30,420		—		30,420
Peru		692,640		—		—		692,640
Philippines		—		311,497		—		311,497
Poland		—		6,742,487		—		6,742,487
Portugal		—		263,839		—		263,839
Qatar		—		643,762		—		643,762
Russia		3,807,425		16,226,877		—		20,034,302
Singapore		—		6,861,447		—		6,861,447
South Africa		—		75,814,515		—		75,814,515
South Korea		2,308,155		78,227,736		—		80,535,891
Spain		—		13,200,397		—		13,200,397
Sweden		—		26,144,526		—		26,144,526
Switzerland		129,450		38,411,453		—		38,540,903
Taiwan		8,676,156		108,742,947		—		117,419,103
Thailand		—		43,264,315		—		43,264,315
Turkey		—		32,328,624		—		32,328,624
United Arab Emirates		—		431,328		—		431,328
United Kingdom		6,355,495		88,745,080		—		95,100,575
United States		243,378,499		—		—		243,378,499

TOTAL COMMON STOCKS		368,227,285		1,315,029,274		—		1,683,256,559

Debt Obligations
United States		344,201,772		749,176,025		—		1,093,377,797

TOTAL DEBT OBLIGATIONS		344,201,772		749,176,025		—		1,093,377,797

Preferred Stocks
Brazil		4,121,379		27,388,567		—		31,509,946
Colombia		217,125		—		—		217,125
Germany		—		2,974,455		—		2,974,455
Russia		—		1,763,184		—		1,763,184
South Korea		—		20,629,827		—		20,629,827
Taiwan		—		30,119		—		30,119

TOTAL PREFERRED STOCKS		4,338,504		52,786,152		—		57,124,656

Rights/Warrants
Brazil		—		—		113,625		113,625
Chile		1		—		—		1
Thailand		75,520		—		—		75,520

TOTAL RIGHTS/WARRANTS		75,521		—		113,625		189,146

Investment Funds
United States		648,462		—		—		648,462

TOTAL INVESTMENT FUNDS		648,462		—		—		648,462

Mutual Funds
United States		1,428,515,002		—		—		1,428,515,002

TOTAL MUTUAL FUNDS		1,428,515,002		—		—		1,428,515,002

Short-Term Investments		56,144,729		204,199,887		—		260,344,616

Total Investments		2,202,151,275		2,321,191,338		113,625		4,523,456,238

Derivatives^
Futures Contracts
Equity Risk		3,300,316		—		—		3,300,316

Total	$	2,205,451,591	$	2,321,191,338	$	113,625	$	4,526,756,554

148

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Notes to Financial Statements — (Continued)

February 28, 2018



Description	Level 1		Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(3,286,509	)	$	—	$	(3,286,509	)


Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,475,224,883	$	—		$	—	$	2,475,224,883
Debt Obligations
Asset-Backed Securities		—		65,979			—		65,979

TOTAL DEBT OBLIGATIONS		—		65,979			—		65,979

Short-Term Investments		353,500		—			—		353,500

Total Investments		2,475,578,383		65,979			—		2,475,644,362

Total	$	2,475,578,383	$	65,979		$	—	$	2,475,644,362


Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	469,142,130	$	—		$	—	$	469,142,130
Short-Term Investments		201,846		—			—		201,846

Total Investments		469,343,976		—			—		469,343,976

Total	$	469,343,976	$	—		$	—	$	469,343,976


Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,328,205,864	$	—		$	—	$	2,328,205,864
Short-Term Investments		807,905		—			—		807,905

Total Investments		2,329,013,769		—			—		2,329,013,769

Total	$	2,329,013,769	$	—		$	—	$	2,329,013,769


Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	75,454,332		$	—	$	75,454,332
Austria		—		25,516,448			—		25,516,448
Belgium		—		2,589,575			—		2,589,575
Brazil		—		95,849,829			—		95,849,829
Canada		95,002,586		—			—		95,002,586
Chile		—		2,502,650			—		2,502,650
China		35,204,690		807,222,241			—		842,426,931
Colombia		15,456,419		—			—		15,456,419
Cyprus		—		854,063			—		854,063
Czech Republic		—		13,689,504			—		13,689,504
Denmark		4,643,496		284,184			—		4,927,680
Egypt		—		343,841			—		343,841
Finland		—		7,713,002			—		7,713,002
France		15,362,640		177,708,575			—		193,071,215
Germany		—		237,783,645			—		237,783,645
Greece		—		20,226,976			—		20,226,976
Hong Kong		—		86,400,403			—		86,400,403

149

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Notes to Financial Statements — (Continued)

February 28, 2018



Description	Level 1		Level 2		Level 3			Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Hungary	$	—	$	7,879,071	$	—		$	7,879,071
India		12,161,489		212,212,429		—			224,373,918
Indonesia		1,994,361		36,683,586		—			38,677,947
Ireland		1,676,988		64,507		—			1,741,495
Israel		820,192		1,842,523		—			2,662,715
Italy		34,114,290		48,130,787		—			82,245,077
Japan		—		404,928,907		—			404,928,907
Malaysia		—		2,888,521		—			2,888,521
Mexico		67,936,113		—		—			67,936,113
Netherlands		56,686,691		81,201,304		—			137,887,995
New Zealand		—		2,622,321		—			2,622,321
Norway		—		31,417,848		—			31,417,848
Peru		10,757,565		—		—			10,757,565
Philippines		—		4,258,963		—			4,258,963
Poland		—		32,618,530		—			32,618,530
Portugal		—		1,029,326		—			1,029,326
Qatar		—		11,305,063		—			11,305,063
Russia		54,467,898		214,082,019		—			268,549,917
Singapore		—		10,077,952		—			10,077,952
South Africa		—		230,750,032		—			230,750,032
South Korea		7,524,150		401,623,713		—			409,147,863
Spain		23,975,768		49,992,803		—			73,968,571
Sweden		—		56,916,333		—			56,916,333
Switzerland		1,652,645		108,150,178		—			109,802,823
Taiwan		64,585,141		614,420,874		—			679,006,015
Thailand		—		271,588,285		—			271,588,285
Turkey		—		147,121,698		—			147,121,698
United Arab Emirates		—		3,224,473		—			3,224,473
United Kingdom		22,618,968		225,835,536		0	§		248,454,504
United States		1,288,469,114		1,600		—			1,288,470,714

TOTAL COMMON STOCKS		1,815,111,204		4,767,008,450		0	§		6,582,119,654

Preferred Stocks
Brazil		13,597		68,943,718		—			68,957,315
Colombia		3,146,628		—		—			3,146,628
Germany		—		5,449,122		—			5,449,122
Russia		—		7,974,502		—			7,974,502
South Korea		—		88,377,405		—			88,377,405
Taiwan		—		458,730		—			458,730

TOTAL PREFERRED STOCKS		3,160,225		171,203,477		—			174,363,702

Rights/Warrants
Brazil		—		—		203,741			203,741
Canada		—		—		217,232			217,232
Chile		37		—		—			37
Thailand		570,211		—		—			570,211
United States		—		—		48,966			48,966

TOTAL RIGHTS/WARRANTS		570,248		—		469,939			1,040,187

Investment Funds
United States		6,062,333		—		—			6,062,333

TOTAL INVESTMENT FUNDS		6,062,333		—		—			6,062,333

150

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Notes to Financial Statements — (Continued)

February 28, 2018



Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations
Australia	$	—		$	2,637,772		$	—	$	2,637,772
Bermuda		—			781,875			—		781,875
Brazil		—			—			30,260,306		30,260,306
Canada		—			3,171,250			—		3,171,250
France		—			1,345,313			—		1,345,313
Germany		—			1,673,277			—		1,673,277
Hong Kong		—			768,750			—		768,750
Ireland		—			1,135,650			—		1,135,650
Italy		—			1,097,797			—		1,097,797
Japan		—			487,084,243			—		487,084,243
Luxembourg		—			1,209,700			—		1,209,700
Norway		—			738,750			—		738,750
Puerto Rico		781,250			11,603,096			—		12,384,346
South Africa		—			2,203,320			—		2,203,320
Spain		—			—			9,249,402		9,249,402
United Kingdom		—			3,555,043			—		3,555,043
United States		1,274,981,806			2,032,823,116			25,804,250		3,333,609,172

TOTAL DEBT OBLIGATIONS		1,275,673,056			2,551,828,952			65,313,958		3,892,905,966

Mutual Funds
United States		79,848,708			—			—		79,848,708

TOTAL MUTUAL FUNDS		79,848,708			—			—		79,848,708

Short-Term Investments		168,157,011			650,341,630			—		818,498,641
Purchased Options		5,117,070			—			—		5,117,070

Total Investments		3,353,789,855			8,140,382,509			65,783,897		11,559,956,261

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			7,601,129			—		7,601,129
Futures Contracts
Equity Risk		20,755,279			—			—		20,755,279
Interest Rate Risk		19,185			—			—		19,185
Swap Contracts
Credit Risk		—			7,437,392			—		7,437,392
Equity Risk		—			48,532			—		48,532
Interest Rate Risk		—			2,731,275			—		2,731,275

Total	$	3,374,564,319		$	8,158,200,837		$	65,783,897	$	11,598,549,053


Liability Valuation Inputs
Common Stocks
China	$	(64,060,267	)	$	—		$	—	$	(64,060,267	)
France		—			(15,675,457	)		—		(15,675,457	)
Germany		—			(4,405,630	)		—		(4,405,630	)
Japan		—			(8,702,589	)		—		(8,702,589	)
United States		(95,654,810	)		—			—		(95,654,810	)

Total Common Stocks		(159,715,077	)		(28,783,676	)		—		(188,498,753	)

Exchange-Traded Funds
United States		(2,802,102	)		—			—		(2,802,102	)

151

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February 28, 2018



Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Liability Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(32,351,243	)	$	—	$	(32,351,243	)
Futures Contracts
Interest Rate Risk		(89,381	)		—			—		(89,381	)
Written Options
Credit Risk		—			(370,938	)		—		(370,938	)
Equity Risk		(12,151,000	)		—			—		(12,151,000	)
Swap Contracts
Credit Risk		—			(1,885,731	)		—		(1,885,731	)
Equity Risk		—			(88,336	)		—		(88,336	)
Interest Rate Risk		—			(7,170,020	)		—		(7,170,020	)

Total	$	(174,757,560	)	$	(70,649,944	)	$	—	$	(245,407,504	)


International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	664,551,081		$	—		$	—	$	664,551,081
Short-Term Investments		262,880			—			—		262,880

Total Investments		664,813,961			—			—		664,813,961

Total	$	664,813,961		$	—		$	—	$	664,813,961


International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,150,981,352		$	—		$	—	$	1,150,981,352
Short-Term Investments		410,902			—			—		410,902

Total Investments		1,151,392,254			—			—		1,151,392,254

Total	$	1,151,392,254		$	—		$	—	$	1,151,392,254


Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	189,692,480		$	—		$	—	$	189,692,480
U.S. Government Agency		162,948,959			—			—		162,948,959

TOTAL DEBT OBLIGATIONS		352,641,439			—			—		352,641,439

Mutual Funds		1,072,205,111			—			—		1,072,205,111
Short-Term Investments		447,264,728			—			—		447,264,728

Total Investments		1,872,111,278			—			—		1,872,111,278

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			13,180,984			—		13,180,984
Futures Contracts
Equity Risk		11,843,928			700,545			—		12,544,473
Physical Commodity Contract Risk		838,553			—			—		838,553

Total	$	1,884,793,759		$	13,881,529		$	—	$	1,898,675,288

152

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Notes to Financial Statements — (Continued)

February 28, 2018



Description	Level 1			Level 2			Level 3		Total
Consolidated SGM Major Markets Fund (continued)
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(1,553,458	)	$	—	$	(1,553,458	)
Futures Contracts
Equity Risk		(8,560,092	)		(24,842,754	)		—		(33,402,846	)
Interest Rate Risk		(6,204,903	)		—			—		(6,204,903	)
Physical Commodity Contract Risk		(2,220,840	)		—			—		(2,220,840	)

Total	$	(16,985,835	)	$	(26,396,212	)	$	—	$	(43,382,047	)


Consolidated Special Opportunities Fund
Asset Valuation Inputs
Common Stocks
Canada	$	—		$	—		$	70,137	$	70,137
Germany		—			37,713,971			—		37,713,971
Netherlands		36,595,000			—			—		36,595,000
Romania		—			21,647,127			—		21,647,127
United Kingdom		—			83,960,123			—		83,960,123
United States		614,158,924			—			—		614,158,924

TOTAL COMMON STOCKS		650,753,924			143,321,221			70,137		794,145,282

Short-Term Investments		235,259,966			—			—		235,259,966

Total Investments		886,013,890			143,321,221			70,137		1,029,405,248

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			4,181			—		4,181

Total	$	886,013,890		$	143,325,402		$	70,137	$	1,029,409,429


Liability Valuation Inputs
Derivatives^
Futures Contracts
Physical Commodity Contract Risk	$	(1,067,000	)	$	—		$	—	$	(1,067,000	)


Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,195,528,932		$	—		$	—	$	1,195,528,932
Debt Obligations
U.S. Government		—			106,620,874			—		106,620,874

TOTAL DEBT OBLIGATIONS		—			106,620,874			—		106,620,874

Short-Term Investments		212,984			—			—		212,984

Total Investments		1,195,741,916			106,620,874			—		1,302,362,790

Total	$	1,195,741,916		$	106,620,874		$	—	$	1,302,362,790

Represents the interest in securities that were determined to have a value of zero at February 28, 2018.

153

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

For all Funds for the year ended February 28, 2018, 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 February 28, 2018		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 28, 2018
Alpha Only Fund
Rights/Warrants
Brazil	$	1,259	$	—	$	—		$	—		$	—		$	4,412		$	—		$	—		$	5,671	$	5,671
Malaysia		1,065		—		0			—			—			(1,065	)		—			—			—		—

Total	$	2,324	$	—	$	—		$	—		$	—		$	3,347		$	—		$	—		$	5,671	$	5,671


Benchmark-Free Fund
Rights/Warrants
Brazil	$	86,276	$	—	$	—		$	—		$	—		$	27,349		$	—		$	—		$	113,625	$	27,349
India		41,572		—		(27,638	)		—			27,638			(41,572	)		—			—			—		—

Total	$	127,848	$	—	$	(27,638	)	$	—		$	27,638		$	(14,223	)	$	—		$	—		$	113,625	$	27,349


Consolidated Implementation Fund
Common Stocks
South Korea	$	165,612	$	—	$	(205,990	)	$	—		$	(9,797	)	$	80,322		$	—		$	(30,147	)‡	$	—	$	—
Sweden		15,364,011		—		(16,185,724	)		—			80,550			741,163			—			—			—		—
Rights/Warrants
Brazil		302,934		—		—			—			—			(99,193	)		—			—			203,741		203,741
Canada		—		66,093		—			—			—			151,139			—			—			217,232		151,139
India		232,428		—		(154,523	)		—			154,523			(232,428	)		—			—			—		—
Singapore		2,520,800		—		(3,160,784	)		—			690,400			(50,416	)		—			—			—		—
United States		4,609,155		—		(2,129,333	)		—			(184,436	)		(2,246,420	)		—			—			48,966		(3,921,845	)
Debt Obligations
Bank Loans
Denmark		28,915,608		—		(27,288,547	)		—			(1,919,138	)		292,077			—			—			—		—
Spain		—		16,691,903		(10,537,259	)		(69,734	)		206,741			169,206			—			—			6,460,857		169,206
United States		54,888,786		36,662,681		(67,523,353	)		113,087			(33,252	)		426,851			—			—			24,534,800		83,112
Corporate Debt
Brazil		—		25,078,820		—			14,039,033			—			(8,857,547	)		—			—			30,260,306		(8,857,547	)
Spain		—		2,692,527		—			(12,136	)		—			108,154			—			—			2,788,545		108,154
United States		—		2,370,620		(1,244,788	)		6,484			58,732			78,402			—			—			1,269,450		78,402

Total Investments	$	106,999,334	$	83,562,644	$	(128,430,301	)	$	14,076,734		$	(955,677	)	$	(9,438,690	)	$	—		$	(30,147	)	$	65,783,897	$	(11,985,638	)


Consolidated Special Opportunities Fund
Common Stock
Canada	$	—	$	—	$	—		$	—		$	—		$	—		$	70,137	‡	$	—		$	70,137	$	—

Total	$	—	$	—	$	—		$	—		$	—		$	—		$	70,137		$	—		$	70,137	$	—

†

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

‡

Financial assets transferred between levels were due to a change in observable and/or unobservable inputs.

154

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Notes to Financial Statements — (Continued)

February 28, 2018



Fund Name	Level 3 securities and derivatives
Alpha Only Fund		< 1%
Benchmark-Free Allocation Fund		1%
Benchmark-Free Fund		< 1%
Global Asset Allocation Fund		< 1%
Global Developed Equity Allocation Fund		< 1%
Global Equity Allocation Fund		< 1%
Consolidated Implementation Fund		1%
International Developed Equity Allocation Fund		< 1%
International Equity Allocation Fund		< 1%
Consolidated SGM Major Markets Fund		—
Consolidated Special Opportunities Fund		< 1%
Strategic Opportunities Allocation Fund		< 1%

Cash

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

Due to/from broker

Foreign currency translation

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 year, if any, are listed in each applicable Fund’s Schedule of Investments.

155

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

Repurchase agreements



Fund Name	Counterparty		Gross Value		Weighted Average Maturity (days)
Benchmark-Free Fund		Daiwa Capital Markets America Inc.		$119,737,426		1.0
Consolidated Implementation Fund		Daiwa Capital Markets America Inc.		$380,342,411		0.6
		Nomura Securities International Inc.		$269,999,219		0.4

Reverse repurchase agreements

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.

Short sales

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

156

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

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 year, 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 year, if any, are listed in each applicable Fund’s Schedule of Investments.

Taxes and distributions

Alternative Asset SPC Ltd., Implementation SPC Ltd. and Special Opportunities SPC Ltd. are wholly-owned subsidiaries of SGM Major Markets Fund, Implementation Fund and Special Opportunities Fund, respectively, and each has elected to be treated as a (non-U.S.) corporation for U.S. federal income tax purposes.

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

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders and/or if certain investments are made by a Fund’s wholly-owned subsidiary. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the year ended February 28, 2018, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations.

157

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

U.S. GAAP and tax accounting differences for each Fund primarily relate to reasons described in the following table:

Differences related to:

Alpha Only Fund

Benchmark-Free Allocation Fund

Benchmark-Free Fund

Global Asset Allocation Fund

Global Developed Equity Allocation Fund

Global Equity Allocation Fund

Consolidated Implementation Fund

International Developed Equity Allocation Fund

International Equity Allocation Fund

Consolidated SGM Major Markets Fund

Consolidated Special Opportunities Fund

Strategic Opportunities Allocation Fund

Accretion and amortization

Capital loss carry forwards

Controlled foreign corporation transactions

Derivative contract transactions

Dividend income and withholding tax reclaim reserves

Dividends received from underlying investments

Foreign capital gains taxes

Foreign currency transactions

Gain/losses on underlying fund shares

Late year ordinary losses

Losses on wash sale transactions

Mutual fund distributions received

Passive foreign investment company transactions

Post-October capital losses

Net operating losses

158

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

The tax character of distributions declared by each Fund to shareholders is as follows:



	Tax year ended February 28, 2018						Tax year ended February 28, 2017

Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)
Alpha Only Fund		2,783,432		—		2,783,432		7,630,569		—		7,630,569
Benchmark-Free Allocation Fund		322,832,993		—		322,832,993		222,054,737		—		222,054,737
Benchmark-Free Fund		126,068,577		—		126,068,577		116,700,824		—		116,700,824
Global Asset Allocation Fund		61,208,240		—		61,208,240		62,220,291		—		62,220,291
Global Developed Equity Allocation Fund		18,007,301		—		18,007,301		30,222,611		39,708,759		69,931,370
Global Equity Allocation Fund		70,822,350		—		70,822,350		68,753,269		55,799,955		124,553,224
Consolidated Implementation Fund		335,144,868		—		335,144,868		218,046,347		—		218,046,347
International Developed Equity Allocation Fund		20,807,945		—		20,807,945		27,805,230		—		27,805,230
International Equity Allocation Fund		33,024,114		—		33,024,114		35,103,258		—		35,103,258
Consolidated SGM Major Markets Fund		848,834		57,139,048		57,987,882		68,935,774		34,942,155		103,877,929
Consolidated Special Opportunities Fund		56,976,778		11,200,272		68,177,050		30,825,271		6,094,262		36,919,533
Strategic Opportunities Allocation Fund		57,130,828		—		57,130,828		54,767,596		1,162,624		55,930,220

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

As of February 28, 2018, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:



Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Undistributed Net Long-Term Capital Gain ($)		Late-Year Ordinary Loss Deferral ($)		Capital Loss Carryforwards ($)		Post-October Capital Losses ($)
Alpha Only Fund		—		—		(498,528)		(394,515,774)		(432,765)
Benchmark-Free Allocation Fund		10,521,679		—		(14,099,472)		(239,513,225)		—
Benchmark-Free Fund		9,941,088		—		—		(415,885,235)		—
Global Asset Allocation Fund		1,961,986		—		—		(189,439,171)		—
Global Developed Equity Allocation Fund		1,394,483		—		(1,264)		(79,826,540)		—
Global Equity Allocation Fund		1,331,391		—		(12,338)		(191,565,767)		—
Consolidated Implementation Fund		32,213,269		—		—		(704,778,936)		—
International Developed Equity Allocation Fund		105,027		—		(3,056)		(88,870,697)		—
International Equity Allocation Fund		1,646,969		—		(5,092)		(54,500,044)		—
Consolidated SGM Major Markets Fund		—		—		(2,314,280)		—		(21,486,920)
Consolidated Special Opportunities Fund		175,988		41,557,607		(1,795,158)		—		(4,297)
Strategic Opportunities Allocation Fund		1,007,455		45,844,121		—		—		—

159

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018



	Short-Term ($)						Long-Term ($)

Fund Name	Expiration Date 2/28/2019		No Expiration Date		Total Short-Term ($)		No Expiration Date
Alpha Only Fund		—		(222,208,680)		(222,208,680)		(172,307,094)
Benchmark-Free Allocation Fund		(10,499,416)		(20,273,725)		(30,773,141)		(208,740,084)
Benchmark-Free Fund		—		(27,643,271)		(27,643,271)		(388,241,964)
Global Asset Allocation Fund		—		—		—		(189,439,171)
Global Developed Equity Allocation Fund		—		—		—		(79,826,540)
Global Equity Allocation Fund		—		—		—		(191,565,767)
Consolidated Implementation Fund		—		(704,778,936)		(704,778,936)		—
International Developed Equity Allocation Fund		(22,515,333)		—		(22,515,333)		(66,355,364)
International Equity Allocation Fund		—		—		—		(54,500,044)
Consolidated SGM Major Markets Fund		—		—		—		—
Consolidated Special Opportunities Fund		—		—		—		—
Strategic Opportunities Allocation Fund		—		—		—		—



	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		192,138,911		36,360,297		(2,641,001)		33,719,296		—
Benchmark-Free Allocation Fund		12,747,408,353		869,464,451		(71,255,762)		798,208,689		—
Benchmark-Free Fund		4,066,812,371		497,784,357		(41,140,490)		456,643,867		(3,223,454)
Global Asset Allocation Fund		2,454,568,518		80,195,839		(59,119,995)		21,075,844		—
Global Developed Equity Allocation Fund		432,278,653		37,065,323		—		37,065,323		—
Global Equity Allocation Fund		2,229,675,265		104,583,590		(5,245,086)		99,338,504		—
Consolidated Implementation Fund		10,647,429,190		909,718,931		(188,492,715)		721,226,216		(26,266,608)
International Developed Equity Allocation Fund		697,197,236		—		(32,383,275)		(32,383,275)		—
International Equity Allocation Fund		1,120,546,975		30,845,279		—		30,845,279		—
Consolidated SGM Major Markets Fund		1,879,965,169		55,654,493		(63,508,384)		(7,853,891)		(4,688,748)
Consolidated Special Opportunities Fund		794,107,188		271,617,918		(36,319,858)		235,298,060		4,181
Strategic Opportunities Allocation Fund		1,208,552,768		97,481,826		(3,671,804)		93,810,022		—

160

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February 28, 2018

Security transactions and related investment income

Expenses and class allocations

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

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Prior to November 3, 2017, Brown Brothers Harriman (“BBH”) served as Alpha Only Fund’s custodian and fund accounting agent. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations. Any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

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

Each of the Funds may charge purchase premiums and redemption fees. Purchase premiums and redemption fees for the Funds are typically reassessed periodically by GMO.

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February 28, 2018

GMO may consider known cash flows out of or into underlying funds when placing orders for the cash purchases or redemptions of underlying fund shares by accounts over which it has investment discretion, including the Funds and other pooled investment vehicles. Consequently, participants in those vehicles will tend to benefit more than other Fund shareholders from the waivers of purchase premiums and redemption fees that may occur when purchases and redemptions occur on the same day.

As of February 28, 2018, the premium on cash purchases and the fee on cash redemptions were as follows:



	Alpha Only Fund	Benchmark-Free Allocation Fund^(a)	Benchmark-Free Fund^(b)	Global Asset Allocation Fund^(c)	Global Developed Equity Allocation Fund^(d)	Global Equity Allocation Fund^(e)	Implementation Fund^(f)	International Developed Equity Allocation Fund^(g)	International Equity Allocation Fund^(h)	SGM Major Markets Fund	Special Opportunities Fund	Strategic Opportunities Allocation Fund⁽ⁱ⁾
Purchase Premium	—	0.20%	0.25%	0.15%	0.08%	0.18%	0.20%	0.08%	0.25%	—	0.50%	0.20%
Redemption Fee	—	0.20%	0.25%	0.15%	0.08%	0.18%	0.20%	0.08%	0.25%	—	0.50%	0.20%

^(a)

For the periods from June 30, 2015 to June 30, 2016, June 30, 2014 to June 30, 2015 and June 30, 2013 to June 30, 2014, the premium on cash purchases and the fee on cash redemptions were each 0.18%, 0.13% and 0.11%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.12% of the amount invested or redeemed.

^(b)

For the periods from June 30, 2015 to June 30, 2016, June 30, 2014 to June 30, 2015 and June 30, 2013 to June 30, 2014, the premium on cash purchases and the fee on cash redemptions were each 0.18%, 0.13% and 0.14%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.13% of the amount invested or redeemed.

^(c)

For the period from June 30, 2015 to June 30, 2016 and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.14% and 0.11%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.10% of the amount invested or redeemed.

^(d)

Prior to March 10, 2014, there was no premium on cash purchases or fee on cash redemptions.

^(e)

For the period from June 30, 2015 to June 30, 2016, and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.19% and 0.11%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.12% of the amount invested or redeemed.

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February 28, 2018

^(f)

Prior to June 30, 2015, there was no premium on cash purchases or fee on cash redemptions.

^(g)

Prior to March 10, 2014, there was no premium on cash purchases or fees on cash redemptions.

^(h)

For the period from June 30, 2015 to June 30, 2016 and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.27% and 0.20%, respectively, of the amount invested or redeemed. Prior to June 20, 2013, the same fees were each 0.21% of the amount invested or redeemed.

⁽ⁱ⁾

For the period from June 30, 2015 to June 30, 2016 and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.14% and 0.06% of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.07% of the amount invested or redeemed.

3.	Investment and other risks

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

Alpha Only Fund

Benchmark-Free Allocation Fund

Benchmark-Free Fund

Global Asset Allocation Fund

Global Developed Equity Allocation Fund

Global Equity Allocation Fund

Implementation Fund

International Developed Equity Allocation Fund

International Equity Allocation Fund

SGM Major Markets Fund

Special Opportunities Fund

Strategic Opportunities Allocation Fund

Commodities Risk

Counterparty Risk

Credit Risk

Currency Risk

Derivatives and Short Sales Risk

Focused Investment Risk

Fund of Funds Risk

Futures Contracts Risk

Illiquidity Risk

Large Shareholder Risk

Leveraging Risk

Management and Operational Risk

Market Disruption and Geopolitical Risk

Market Risk – Asset-Backed Securities

Market Risk – Equities

Market Risk – Fixed Income

Merger Arbitrage Risk

Non-Diversified Funds

Non-U.S. Investment Risk

Small Company Risk

163

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February 28, 2018

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.

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February 28, 2018

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”).

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February 28, 2018

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.

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February 28, 2018

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.

Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk.

167

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February 28, 2018

clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

168

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February 28, 2018

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.

169

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February 28, 2018

• 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.”

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.

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February 28, 2018

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.

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February 28, 2018

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.

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.

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February 28, 2018

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.

173

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February 28, 2018

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.

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.

174

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February 28, 2018

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.

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February 28, 2018

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.

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

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.

176

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February 28, 2018

177

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February 28, 2018

Benchmark-Free Allocation Fund, Benchmark-Free Fund and Implementation Fund may take temporary defensive positions if deemed prudent by GMO.

4.	Derivative financial instruments

At February 28, 2018, 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 respective wholly-owned subsidiary, if any).

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 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

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February 28, 2018

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 Funds 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.

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February 28, 2018

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.

* * *

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February 28, 2018

For Funds that held derivatives during the year ended February 28, 2018, 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

Adjust exposure to foreign currencies

Manage against anticipated currency exchange rate changes

Futures contracts

Adjust exposure to certain securities markets

Substitute for direct investment

Adjust interest rate exposure

Maintain the diversity and liquidity of the portfolio

Hedge some or all of the broad market exposure of the underlying funds and/or assets in which the Fund invests

Options (Purchased)

Substitute for direct equity investment

Adjust currency exchange rate risk

Adjust exposure to foreign currencies

Options (Written)

Substitute for direct equity investment

Adjust currency exchange rate risk

Adjust exposure to foreign currencies

Adjust interest rate exposure

Swap contracts

Adjust interest rate exposure

Substitute for direct investment in securities

Achieve exposure to a reference entity’s credit

Rights and/or warrants

Received as a result of corporate actions

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

Forward currency contracts

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February 28, 2018

Futures contracts

Options

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February 28, 2018

Swap contracts

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

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February 28, 2018

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.

Rights and warrants

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

184

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February 28, 2018

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2018 and the Statements of Operations for the year ended February 28, 2018^:



	Credit Contracts		Commodity Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Alpha Only Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	—	$	5,671		$	—		$	—	$	—	$	5,671
Unrealized Appreciation on Forward Currency Contracts		—		—		—			239,326			—		—		239,326

Total	$	—	$	—	$	5,671		$	239,326		$	—	$	—	$	244,997

Derivatives not subject to Master Agreements	$	—	$	—	$	5,671		$	—		$	—	$	—	$	5,671

Total subject to Master Agreements	$	—	$	—	$	—		$	239,326		$	—	$	—	$	239,326

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—		$	(101,522	)	$	—	$	—	$	(101,522	)
Unrealized Depreciation on Futures Contracts¤		—		—		(5,317,837	)		—			—		—		(5,317,837	)

Total	$	—	$	—	$	(5,317,837	)	$	(101,522	)	$	—	$	—	$	(5,419,359	)

Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—	$	—	$	—

Total subject to Master Agreements	$	—	$	—	$	(5,317,837	)	$	(101,522	)	$	—	$	—	$	(5,419,359	)

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	—	$	21,063		$	—		$	—	$	—	$	21,063
Forward Currency Contracts		—		—		—			(727,582	)		—		—		(727,582	)
Futures Contracts		—		—		(31,036,798	)		—			—		—		(31,036,798	)

Total	$	—	$	—	$	(31,015,735	)	$	(727,582	)	$	—	$	—	$	(31,743,317	)

Change in Net Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	—	$	2,497		$	—		$	—	$	—	$	2,497
Forward Currency Contracts		—		—		—			137,804			—		—		137,804
Futures Contracts		—		—		3,065,307			—			—		—		3,065,307

Total	$	—	$	—	$	3,067,804		$	137,804		$	—	$	—	$	3,205,608


Benchmark-Free Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	—	$	189,146		$	—		$	—	$	—	$	189,146
Unrealized Appreciation on Futures Contracts¤		—		—		3,300,316			—			—		—		3,300,316

Total	$	—	$	—	$	3,489,462		$	—		$	—	$	—	$	3,489,462

Derivatives not subject to Master Agreements	$	—	$	—	$	189,146		$	—		$	—	$	—	$	189,146

Total subject to Master Agreements	$	—	$	—	$	3,300,316		$	—		$	—	$	—	$	3,300,316

185

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Notes to Financial Statements — (Continued)

February 28, 2018



	Credit Contracts			Commodity Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Benchmark-Free Fund (continued)
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	—		$	(3,286,509	)	$	—		$	—	$	(3,286,509	)

Total	$	—		$	—	$	—		$	(3,286,509	)	$	—		$	—	$	(3,286,509	)

Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—		$	—	$	—

Total subject to Master Agreements	$	—		$	—	$	—		$	(3,286,509	)	$	—		$	—	$	(3,286,509	)

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—		$	—	$	29,957		$	—		$	—		$	—	$	29,957
Forward Currency Contracts		—			—		—			(3,511,900	)		—			—		(3,511,900	)
Futures Contracts		—			—		313,291			—			—			—		313,291
Swap Contracts		—			—		2,357			—			—			—		2,357

Total	$	—		$	—	$	345,605		$	(3,511,900	)	$	—		$	—	$	(3,166,295	)

Change in Net Appreciation (Depreciation) on
Investments (Rights and/or warrants)	$	—		$	—	$	1,098		$	—		$	—		$	—	$	1,098
Forward Currency Contracts		—			—		—			(3,286,509	)		—			—		(3,286,509	)
Futures Contracts		—			—		3,300,316			—			—			—		3,300,316

Total	$	—		$	—	$	3,301,414		$	(3,286,509	)	$	—		$	—	$	14,905


Consolidated Implementation Fund
Asset Derivatives
Investments, at value (purchased options)	$	—		$	—	$	5,117,070		$	—		$	—		$	—	$	5,117,070
Investments, at value (rights and/or warrants)		—			—		1,040,187			—			—			—		1,040,187
Unrealized Appreciation on Forward Currency Contracts		—			—		—			7,601,129			—			—		7,601,129
Unrealized Appreciation on Futures Contracts¤		—			—		20,755,279			—			19,185			—		20,774,464
Swap Contracts, at value¤		7,437,392			—		48,532			—			2,731,275			—		10,217,199

Total	$	7,437,392		$		$	26,961,068		$	7,601,129		$	2,750,460		$		$	44,750,049

Derivatives not subject to Master Agreements	$	—		$	—	$	1,040,187		$	—		$	—		$	—	$	1,040,187

Total subject to Master Agreements	$	7,437,392		$	—	$	25,920,881		$	7,601,129		$	2,750,460		$	—	$	43,709,862

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	—		$	(32,351,243	)	$	—		$	—	$	(32,351,243	)
Unrealized Depreciation on Futures Contracts¤		—			—		—			—			(89,381	)		—		(89,381	)
Written Options, at value		(370,938	)		—		(12,151,000	)		—			—			—		(12,521,938	)
Swap Contracts, at value¤		(1,885,731	)		—		(88,336	)		—			(7,170,020	)		—		(9,144,087	)

Total	$	(2,256,669	)	$	—	$	(12,239,336	)	$	(32,351,243	)	$	(7,259,401	)	$	—	$	(54,106,649	)

Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—		$	—	$	—

Total subject to Master Agreements	$	(2,256,669	)	$	—	$	(12,239,336	)	$	(32,351,243	)	$	(7,259,401	)	$	—	$	(54,106,649	)

186

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Notes to Financial Statements — (Continued)

February 28, 2018



	Credit Contracts			Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Consolidated Implementation Fund (continued)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—		$	(8,745,696	)	$	(2,157,147	)	$	—		$	—	$	(10,902,843	)
Investments (rights and/or warrants)		—			—			143,792			—			—			—		143,792
Futures Contracts		—			—			4,956,051			—			(989,454	)		—		3,966,597
Swap Contracts		(4,557,122	)		—			2,260,325			—			15,010,152			—		12,713,355
Written Options		—			—			230,463			—			595,625			—		826,088
Forward Currency Contracts		—			—			—			(17,712,549	)		—			—		(17,712,549	)

Total	$	(4,557,122	)	$	—		$	(1,155,065	)	$	(19,869,696	)	$	14,616,323		$	—	$	(10,965,560	)

Change in Net Unrealized Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—		$	835,942		$	1,604,082		$	—		$	—	$	2,440,024
Investments (rights and/or warrants)		—			—			(2,357,497	)		—			—			—		(2,357,497	)
Forward Currency Contracts		—			—			—			(23,886,314	)		—			—		(23,886,314	)
Futures Contracts		—			—			—			—			20,628,148			—		20,628,148
Written Options		14,062			—			2,304,483			—			—			—		2,318,545
Swap Contracts		685,330			—			(612,870	)		—			10,899,904			—		10,972,364

Total	$	699,392		$	—		$	170,058		$	(22,282,232	)	$	31,528,052		$	—	$	10,115,270


Consolidated SGM Major Markets Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	13,180,984		$	—		$	—	$	13,180,984
Unrealized Appreciation on Futures Contracts¤		—			838,553			12,544,473			—			—			—		13,383,026

Total	$	—		$	838,553		$	12,544,473		$	13,180,984		$	—		$	—	$	26,564,010

Derivatives not subject to Master Agreements	$	—		$	—		$	—		$	—		$	—		$	—	$	—

Total subject to Master Agreements	$	—		$	838,553		$	12,544,473		$	13,180,984		$	—		$	—	$	26,564,010

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(1,553,458	)	$	—		$	—	$	(1,553,458	)
Unrealized Depreciation on Futures Contracts¤		—			(2,220,840	)		(33,402,846	)		—			(6,204,903	)		—		(41,828,589	)

Total	$	—		$	(2,220,840	)	$	(33,402,846	)	$	(1,553,458	)	$	(6,204,903	)	$	—	$	(43,382,047	)

Derivatives not subject to Master Agreements	$	—		$	—		$	—		$	—		$	—		$	—	$	—

Total subject to Master Agreements	$	—		$	(2,220,840	)	$	(33,402,846	)	$	(1,553,458	)	$	(6,204,903	)	$	—	$	(43,382,047	)

Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—		$	—		$	(31,687,655	)	$	—		$	—	$	(31,687,655	)
Futures Contracts		—			(776,571	)		87,605,669			—			11,175,527			—		98,004,625

Total	$	—		$	(776,571	)	$	87,605,669		$	(31,687,655	)	$	11,175,527		$	—	$	66,316,970

Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	—		$	—		$	8,639,854		$	—		$	—	$	8,639,854
Futures Contracts		—			2,065,469			(55,238,077	)		—			(678,554	)		—		(53,851,162	)

Total	$	—		$	2,065,469		$	(55,238,077	)	$	8,639,854		$	(678,554	)	$	—	$	(45,211,308	)

187

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Notes to Financial Statements — (Continued)

February 28, 2018



	Credit Contracts		Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Consolidated Special Opportunities Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	—		$	4,181		$	—	$	—	$	4,181

Total	$	—	$	—		$	—		$	4,181		$	—	$	—	$	4,181

Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—		$	—	$	—	$	—

Total subject to Master Agreements	$	—	$	—		$	—		$	4,181		$	—	$	—	$	4,181

Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—	$	(1,067,000	)	$	—		$	—		$	—	$	—	$	(1,067,000	)

Total	$	—	$	(1,067,000	)	$	—		$	—		$	—	$	—	$	(1,067,000	)

Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—		$	—	$	—	$	—

Total subject to Master Agreements	$	—	$	(1,067,000	)	$	—		$	—		$	—	$	—	$	(1,067,000	)

Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—		$	—		$	(2,402,408	)	$	—	$	—	$	(2,402,408	)
Futures Contracts		—		(2,213,953	)		—			—			—		—		(2,213,953	)
Written Options		—		—			3,321,520			—			—		—		3,321,520

Total	$	—	$	(2,213,953	)	$	3,321,520		$	(2,402,408	)	$	—	$	—	$	(1,294,841	)

Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—	$	—		$	—		$	13,424		$	—	$	—	$	13,424
Futures Contracts		—		1,962,447			—			—			—		—		1,962,447
Written Options		—		—			(1,213,466	)		—			—		—		(1,213,466	)

Total	$	—	$	1,962,447		$	(1,213,466	)	$	13,424		$	—	$	—	$	762,405

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

188

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Notes to Financial Statements — (Continued)

February 28, 2018

Alpha Only Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
JPMorgan Chase Bank, N.A.	$	172,338	$	—	$	(29,019	)	$	143,319
Morgan Stanley & Co. International PLC		66,988		—		—			66,988

Total	$	239,326	$	—	$	(29,019	)	$	210,307



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	15,875	$	—	$	—		$	15,875
Deutsche Bank AG		11,693		—		—			11,693
Goldman Sachs International		44,935		—		—			44,935
JPMorgan Chase Bank, N.A.		29,019		—		29,019			—

Total	$	101,522	$	—	$	29,019		$	72,503

Benchmark-Free Fund



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Citibank N.A.	$	236,660	$	(236,660	)	$	—	$	—	*
Goldman Sachs International		773,141		(673,497	)		—		99,644
Morgan Stanley & Co. International PLC		2,276,708		(1,778,113	)		—		498,595

Total	$	3,286,509	$	(2,688,270	)	$	—	$	598,239

189

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Notes to Financial Statements — (Continued)

February 28, 2018

Consolidated Implementation Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	35,807	$	—		$	35,807		$	—
Barclays Bank PLC		994,308		—			994,308			—
Goldman Sachs International		4,522,250		(792,303	)		(3,729,947	)		—	*
JPMorgan Chase Bank, N.A.		4,003,580		—			4,003,580			—
Morgan Stanley Capital Services LLC		5,117,070		—			5,117,070			—
State Street Bank and Trust Company		17,462		—			17,462			—

Total	$	14,690,477	$	(792,303	)	$	6,438,280		$	—



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	1,527,378	$	(1,491,571	)	$	(35,807	)	$	—	*
Barclays Bank PLC		2,101,791		(545,403	)		(994,308	)		562,080
Citibank N.A.		659,568		(614,817	)		—			44,751
Deutsche Bank AG		11,093,855		(9,672,959	)		—			1,420,896
Goldman Sachs International		3,729,947		—			3,729,947			—
JPMorgan Chase Bank, N.A.		5,812,513		(1,808,933	)		(4,003,580	)		—	*
Morgan Stanley & Co. International PLC		8,012,677		(6,306,837	)		—			1,705,840
Morgan Stanley Capital Services LLC		12,151,000		(7,033,930	)		(5,117,070	)		—	*
State Street Bank and Trust Company		66,255		—			(17,462	)		48,793

Total	$	45,154,984	$	(27,474,450	)	$	(6,438,280	)	$	3,782,360

Consolidated SGM Major Markets Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Deutsche Bank AG	$	215,328	$	(70,000	)	$	(4,528	)	$	140,800
JPMorgan Chase Bank, N.A.		2,230,110		(1,631,525	)		(159,082	)		439,503
Morgan Stanley & Co. International PLC		10,501,985		(5,030,000	)		(1,389,848	)		4,082,137
State Street Bank and Trust Company		233,561		—			—			233,561

Total	$	13,180,984	$	(6,731,525	)	$	(1,553,458	)	$	4,896,001



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Deutsche Bank AG	$	4,528	$	—		$	4,528		$	—
JPMorgan Chase Bank, N.A.		159,082		—			159,082			—
Morgan Stanley & Co. International PLC		1,389,848		—			1,389,848			—

Total	$	1,553,458	$	—		$	1,553,458		$	—

190

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Notes to Financial Statements — (Continued)

February 28, 2018

Consolidated Special Opportunities Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Assets
Bank of America, N.A.	$	4,181	$	—	$	—	$	4,181

Total	$	4,181	$	—	$	—	$	4,181

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



Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)		Options (Principal)		Options (Contracts)		Rights and/ or Warrants ($)
Alpha Only Fund		45,019,996		195,583,415		—		—		—		8,033
Benchmark-Free Fund		171,826,627		25,531,487		904,167		—		—		145,502
Consolidated Implementation Fund		1,345,128,118		222,614,337		1,767,382,101		54,344,167		61,725		4,918,272
Consolidated SGM Major Markets Fund		824,013,949		2,458,847,758		—		—		—		—
Consolidated Special Opportunities Fund		22,471,691		2,730,447		—		—		1,520		—

5.	Fees and other transactions with affiliates

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



	Alpha Only Fund		Benchmark- Free Allocation Fund		Benchmark- Free Fund		Global Asset Allocation Fund		Global Developed Equity Allocation Fund		Global Equity Allocation Fund		Implementation Fund		International Developed Equity Allocation Fund		International Equity Allocation Fund		SGM Major Markets Fund		Special Opportunities Fund		Strategic Opportunities Allocation Fund
Management Fee		0.50%		0.65%		—		—		—		—		—		—		—		0.85%		1.10%		—

For certain Funds above, GMO does not charge the Fund a management fee or shareholder service fee, but it receives management and/or shareholder service fees from the underlying funds in which the Fund invests. Because those fees vary from fund to fund, the levels of indirect net expenses set forth below are affected by GMO’s asset allocation decisions.

191

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Notes to Financial Statements — (Continued)

February 28, 2018

In addition, each class of shares of certain Funds pays GMO directly or indirectly a shareholder service or supplemental support fee. Shareholder service fees are paid to GMO for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Class MF shares of Benchmark-Free Allocation Fund are subject to a supplemental support fee payable to GMO for providing supplemental support services to Class MF shareholders and their investment advisers. Those supplemental support services include without limitation, (1) provision and presentation of educational and explanatory information about the Fund and its asset allocation strategy as requested or directed by an investor or its investment adviser, (2) provision and presentation of similar educational and explanatory information about the strategies of the GMO Funds in which the Fund invests, (3) provision and presentation of information for inclusion in the quarterly or other periodic reports of the investor, (4) provision of responses to information requests relating to oversight functions of the investor’s board of directors in areas including pricing, compliance, and taxation, (5) access to and meetings with GMO’s Chief Investment Strategist and Heads of GMO’s Asset Allocation Team and other investment professionals of GMO, (6) assistance with services provided by an investor’s investment adviser, and (7) such other assistance as may be requested from time to time by an investor or its agent, provided that such assistance is not primarily intended to result in the sale of Fund shares.

Shareholder service and/or supplemental support fees are paid monthly at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below



Fund Name	Class III		Class IV		Class V		Class VI		Class MF
Alpha Only Fund		0.15%		0.10%
Benchmark-Free Allocation Fund		0.15%		0.10%						0.10%
SGM Major Markets Fund		0.15%		0.10%				0.055%
Special Opportunities Fund		0.15%*		0.10%*		0.085%*		0.055%

Class is offered but has no shareholders as of February 28, 2018.

For each Fund, other than Special Opportunities Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). For Special Opportunities Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.10% of the Fund’s average daily net assets (“Expense Threshold Amount”). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO.

For Special Opportunities Fund, GMO is permitted to recover from the Fund, on a class-by-class basis, as applicable, the “Specified Operating Expenses” GMO has borne or reimbursed (whether through reduction of its fees or otherwise) to the extent that the Fund’s “Specified Operating Expenses” later fall below the Expense Threshold Amount or the lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. The amount GMO is entitled to recover may not cause a Fund to exceed the Expense Threshold Amount or the lower expense limit in effect when GMO seeks recovery.

For the year ended February 28, 2018, GMO did not recoup any previously recorded waivers and/or reimbursements.

On February 28, 2018, the reimbursements and/or waivers subject to possible future recoupment are as follows:

Expiring during
year ending
February 28, 2019

Expiring during
year ending
February 29, 2020

Expiring during
year ending
February 28, 2021

Consolidated Special Opportunities Fund, Class VI

$—

192

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

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

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

For Benchmark-Free Allocation Fund only, the fees payable to GMO under its management contract and servicing and supplemental support agreement are reduced by amounts equal to the management fees and shareholder service fees, respectively, that GMO receives as a result of the Fund’s investment in underlying GMO Funds. In addition, effective March 1, 2014, GMO has contractually agreed to reduce the rate of the supplemental support fees charged to the Fund’s Class MF shares to a rate to be charged in any month (starting on the first business day of the month) based on the net assets attributable to Class MF shares as of the last business day of the preceding month based on the following schedule: 0.10% on the first $6 billion of net assets, 0.05% on the next $2 billion, 0.03% on the next $2 billion, and 0.01% thereafter; provided, however, that the effective rate charged at any time will not be reduced to less than 0.06% of Class MF’s average daily net assets. The rate will be calculated before giving effect to any reduction or waiver described above, and any applicable reduction or waiver will serve to further reduce the supplemental support fee paid to GMO. This reduction will continue through at least June 30, 2018, and may not be terminated prior to this date without the action or consent of the Fund’s Board of Trustees.



Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Alpha Only Fund		4,840		384
Benchmark-Free Allocation Fund		318,187		27,150
Benchmark-Free Fund		101,093		8,594
Global Asset Allocation Fund		56,646		4,835
Global Developed Equity Allocation Fund		15,829		1,547
Global Equity Allocation Fund		55,309		4,593
Consolidated Implementation Fund		268,040		22,732
International Developed Equity Allocation Fund		15,151		1,343
International Equity Allocation Fund		25,129		2,209
Consolidated SGM Major Markets Fund		35,226		2,958
Consolidated Special Opportunities Fund		23,560		1,973
Strategic Opportunities Allocation Fund		43,353		3,772

193

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018



Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Indirect Interest Expense			Total Indirect Expenses
Alpha Only Fund		< 0.001%		0.000%		0.000%			< 0.001%
Benchmark-Free Allocation Fund		0.154%		0.012%		0.030%	*		0.196%
Benchmark-Free Fund		0.241%		0.020%		< 0.001%			0.261%
Global Asset Allocation Fund		0.421%		0.064%		0.001%			0.486%
Global Developed Equity Allocation Fund		0.448%		0.071%		0.000%			0.519%
Global Equity Allocation Fund		0.496%		0.069%		0.000%			0.565%
Consolidated Implementation Fund		0.000%		0.000%		0.000%			0.000%
International Developed Equity Allocation Fund		0.527%		0.086%		0.000%			0.613%
International Equity Allocation Fund		0.581%		0.078%		0.000%			0.659%
Consolidated SGM Major Markets Fund		0.001%		0.000%		0.000%			0.001%
Consolidated Special Opportunities Fund		0.000%		0.000%		0.000%			0.000%
Strategic Opportunities Allocation Fund		0.409%		0.060%		< 0.001%			0.469%

Includes indirect dividend expenses.

6.	Purchases and sales of securities



	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)

Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Alpha Only Fund		—		296,458,470		—		340,711,421
Benchmark-Free Allocation Fund		—		1,257,059,088		—		2,462,291,232
Benchmark-Free Fund		1,695,520,751		1,628,815,880		1,761,348,933		1,756,872,537
Global Asset Allocation Fund		—		540,196,849		—		667,742,819
Global Developed Equity Allocation Fund		—		35,551,570		—		655,341,447
Global Equity Allocation Fund		—		318,951,096		—		524,904,458
Consolidated Implementation Fund		5,896,435,883		8,615,233,330		6,645,863,277		8,293,521,560
International Developed Equity Allocation Fund		—		32,430,394		—		73,424,474
International Equity Allocation Fund		—		133,697,739		—		251,707,524
Consolidated SGM Major Markets Fund		454,585,306		481,561,957		364,585,209		243,000,000
Consolidated Special Opportunities Fund		—		79,737,369		—		317,027,064
Strategic Opportunities Allocation Fund		96,412,294		359,768,549		100,285,863		1,262,029,761

194

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

7.	Guarantees

8.	Principal shareholders and related parties as of February 28, 2018



Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund			Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund		Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers		Percentage of the Fund’s shares held by accounts for which GMO has investment discretion
Alpha Only Fund		3	‡		88.58%		0.03%		99.43%
Benchmark-Free Allocation Fund		1			41.50%		0.89%		2.51%
Benchmark-Free Fund		—			—		—		100.00%
Global Asset Allocation Fund		—			—		0.19%		7.20%
Global Developed Equity Allocation Fund		2			62.81%		< 0.01%		—
Global Equity Allocation Fund		1			18.05%		0.01%		0.26%
Implementation Fund		1	‡		95.37%		—		100.00%
International Developed Equity Allocation Fund		6			87.73%		< 0.01%		1.91%
International Equity Allocation Fund		4	†		69.87%		0.01%		27.51%
SGM Major Markets Fund		2	‡		69.47%		0.09%		76.95%
Special Opportunities Fund		2	#		95.80%		0.09%		99.48%
Strategic Opportunities Allocation Fund		1			10.48%		< 0.01%		99.93%

†

One of the shareholders is another fund managed by GMO.

‡

One of the shareholders is another fund of the Trust.

Two of the shareholders are other funds of the Trust.

195

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

9.	Share transactions

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



	Year Ended February 28, 2018						Year Ended February 28, 2017

	Shares			Amount			Shares			Amount
Alpha Only Fund
Class III:
Shares sold		207,676		$	4,479,301			23,049		$	485,000
Shares issued to shareholders in reinvestment of distributions		4,822			104,020			10,799			226,478
Shares repurchased		(228,094	)		(4,971,088	)		(9,062	)		(193,998	)

Net increase (decrease)		(15,596	)	$	(387,767	)		24,786		$	517,480

Class IV:
Shares sold		693,110		$	15,100,002			290,332		$	6,216,866
Shares issued to shareholders in reinvestment of distributions		114,030			2,454,724			323,934			6,805,653
Shares repurchased		(1,383,604	)		(29,825,103	)		(2,820,045	)		(60,624,321	)

Net increase (decrease)		(576,464	)	$	(12,270,377	)		(2,205,779	)	$	(47,601,802	)


Benchmark-Free Allocation Fund
Class III:
Shares sold		28,656,547		$	784,060,061			11,196,580		$	282,349,518
Shares issued to shareholders in reinvestment of distributions		3,792,767			103,472,036			2,999,733			74,370,066
Shares repurchased		(50,073,202	)		(1,350,609,683	)		(60,921,352	)		(1,511,866,800	)
Purchase premiums		—			325,703			—			239,291
Redemption fees		—			1,479,985			—			3,224,150

Net increase (decrease)		(17,623,888	)	$	(461,271,898	)		(46,725,039	)	$	(1,151,683,775	)

Class IV:
Shares sold		33,152,599		$	884,564,391			10,289,818		$	256,114,599
Shares issued to shareholders in reinvestment of distributions		2,584,989			70,493,151			1,600,299			39,678,337
Shares repurchased		(39,749,823	)		(1,080,301,449	)		(15,488,463	)		(390,292,674	)
Purchase premiums		—			191,609			—			112,306
Redemption fees		—			864,149			—			1,579,024

Net increase (decrease)		(4,012,235	)	$	(124,188,149	)		(3,598,346	)	$	(92,808,408	)

Class MF:
Shares sold		3,559,155		$	97,318,372			9,091,977		$	219,971,887
Shares issued to shareholders in reinvestment of distributions		4,991,594			136,226,196			4,019,603			99,711,857
Shares repurchased		(33,216,277	)		(892,423,950	)		(127,883,060	)		(3,192,649,982	)
Purchase premiums		—			368,062			—			309,201
Redemption fees		—			1,675,531			—			4,213,744

Net increase (decrease)		(24,665,528	)	$	(656,835,789	)		(114,771,480	)	$	(2,868,443,293	)


Benchmark-Free Fund
Class III:
Shares sold		8,166,414		$	167,857,391			2,964,651		$	53,692,431
Shares issued to shareholders in reinvestment of distributions		6,085,559			124,326,073			6,315,267			114,708,600
Shares repurchased		(31,557,062	)		(625,040,833	)		(30,712,702	)		(565,886,269	)
Purchase premiums		—			125,696			—			2,491
Redemption fees		—			1,268,307			—			1,186,303

Net increase (decrease)		(17,305,089	)	$	(331,463,366	)		(21,432,784	)	$	(396,296,444	)

196

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018



	Year Ended February 28, 2018						Year Ended February 28, 2017

	Shares			Amount			Shares			Amount
Global Asset Allocation Fund
Class III:#
Shares sold		7,497,173		$	245,763,796			617,412		$	18,044,077
Shares issued to shareholders in reinvestment of distributions		1,625,800			53,486,252			1,753,044			51,432,938
Shares repurchased		(14,335,654	)		(462,098,261	)		(43,110,243	)		(1,266,492,076	)
Purchase premiums		—			283,262			—			19,792
Redemption fees		—			607,377			—			1,833,641

Net increase (decrease)		(5,212,681	)	$	(161,957,574	)		(40,739,787	)	$	(1,195,161,628	)


Global Developed Equity Allocation Fund
Class III:
Shares sold		—		$	—			378,886		$	7,197,962
Shares issued to shareholders in reinvestment of distributions		803,500			17,587,926			3,760,099			69,595,229
Shares repurchased		(30,910,313	)		(652,627,452	)		(35,852,275	)		(679,060,489	)
Purchase premiums		—			—			—			5,763
Redemption fees		—			522,102			—			543,248

Net increase (decrease)		(30,106,813	)	$	(634,517,424	)		(31,713,290	)	$	(601,718,287	)


Global Equity Allocation Fund
Class III:#
Shares sold		5,343,410		$	133,870,494			896,100		$	19,538,574
Shares issued to shareholders in reinvestment of distributions		2,660,619			69,685,837			5,519,865			118,776,536
Shares repurchased		(17,925,341	)		(467,596,299	)		(55,808,897	)		(1,211,746,212	)
Purchase premiums		—			47,316			—			22,447
Redemption fees		—			840,523			—			2,187,138

Net increase (decrease)		(9,921,312	)	$	(263,152,129	)		(49,392,932	)	$	(1,071,221,517	)


Consolidated Implementation Fund
Core Class:
Shares sold		50,778,902		$	682,972,263			20,213,611		$	252,945,091
Shares issued to shareholders in reinvestment of distributions		24,407,827			335,144,868			17,429,764			218,046,347
Shares repurchased		(118,308,728	)		(1,618,413,712	)		(335,030,566	)		(4,227,002,950	)
Purchase premiums		—			1,185,847			—			506,904
Redemption fees		—			3,054,358			—			8,454,006

Net increase (decrease)		(43,121,999	)	$	(596,056,376	)		(297,387,191	)	$	(3,747,050,602	)


International Developed Equity Allocation Fund
Class III:
Shares sold		953,876		$	16,192,699			4,384,487		$	61,744,274
Shares issued to shareholders in reinvestment of distributions		1,042,628			17,857,292			1,722,551			24,243,085
Shares repurchased		(4,482,823	)		(74,991,774	)		(37,498,662	)		(546,186,257	)
Purchase premiums		—			10,870			—			46,639
Redemption fees		—			57,901			—			434,149

Net increase (decrease)		(2,486,319	)	$	(40,873,012	)		(31,391,624	)	$	(459,718,110	)

197

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018



	Year Ended February 28, 2018						Year Ended February 28, 2017

	Shares			Amount			Shares			Amount
International Equity Allocation Fund
Class III:#
Shares sold		2,158,679		$	70,077,115			1,015,102		$	25,738,591
Shares issued to shareholders in reinvestment of distributions		1,031,273			32,737,392			1,345,263			34,818,517
Shares repurchased		(7,389,534	)		(221,115,817	)		(11,358,185	)		(300,419,199	)
Purchase premiums		—			175,411			—			68,619
Redemption fees		—			538,494			—			772,434

Net increase (decrease)		(4,199,582	)	$	(117,587,405	)		(8,997,820	)	$	(239,021,038	)


Consolidated SGM Major Markets Fund
Class III:
Shares sold		706,650		$	22,622,929			920,661		$	32,602,984
Shares issued to shareholders in reinvestment of distributions		5,601			180,593			16,710			552,675
Shares repurchased		(63,722	)		(2,099,226	)		(1,472,573	)		(51,952,410	)

Net increase (decrease)		648,529		$	20,704,296			(535,202	)	$	(18,796,751	)

Class IV:
Shares sold		486,556		$	16,036,518			1,633,992		$	57,413,784
Shares issued to shareholders in reinvestment of distributions		18,456			591,952			104,598			3,319,945
Shares repurchased		(1,814,180	)		(59,526,105	)		(54,601	)		(1,776,715	)

Net increase (decrease)		(1,309,168	)	$	(42,897,635	)		1,683,989		$	58,957,014

Class VI:
Shares sold		15,616,936		$	506,604,097			11,918,840		$	421,919,797
Shares issued to shareholders in reinvestment of distributions		1,716,945			55,073,241			3,113,453			99,975,150
Shares repurchased		(3,731,302	)		(122,365,837	)		(9,620,986	)		(328,005,022	)

Net increase (decrease)		13,602,579		$	439,311,501			5,411,307		$	193,889,925


Consolidated Special Opportunities Fund
Class VI:
Shares sold		2,130,296		$	47,393,583			157,444		$	3,101,282
Shares issued to shareholders in reinvestment of distributions		2,841,238			68,177,050			1,855,789			36,919,533
Shares repurchased		(12,646,455	)		(290,937,418	)		(14,372,910	)		(287,704,307	)
Purchase premiums		—			181,760			—			5,534
Redemption fees		—			1,398,457			—			1,428,513

Net increase (decrease)		(7,674,921	)	$	(173,786,568	)		(12,359,677	)	$	(246,249,445	)


Strategic Opportunities Allocation Fund
Class III:
Shares sold		831,215		$	17,129,720			893,443		$	16,967,331
Shares issued to shareholders in reinvestment of distributions		2,497,054			54,242,468			2,841,743			53,702,273
Shares repurchased		(46,410,191	)		(1,002,225,037	)		(14,553,101	)		(276,781,131	)
Purchase premiums		—			—			—			7,878
Redemption fees		—			1,948,317			—			483,578

Net increase (decrease)		(43,081,922	)	$	(928,904,532	)		(10,817,915	)	$	(205,620,071	)

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

198

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018

10.

Investments in affiliated companies and other Funds of the Trust



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	$	158,008,229	$	154,740,000	$	148,213	$	—	$	(14,336	)	$	(793	)	$	13,848,473


Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	621,136,921	$	35,984,589	$	319,163,194	$	25,999,668	$	—	$	2,608,864		$	(2,224,166	)	$	338,343,014
GMO Implementation Fund		10,761,426,169		990,862,318		1,615,359,354		320,024,676		—		107,743,835			728,343,002			10,973,015,970
GMO Opportunistic Income Fund, Class VI		682,798,759		51,687,845		205,382,110		14,081,312		—		11,351,455			1,886,120			542,342,069
GMO SGM Major Markets Fund, Class VI		1,030,173,520		91,654,435		81,810,085		—		39,190,997		4,873,432			(28,912,791	)		1,015,978,511
GMO Special Opportunities Fund, Class VI		674,447,572		86,869,901		240,576,489		467,665		44,801,894		39,141,198			109,217,248			669,099,430

Totals	$	13,769,982,941	$	1,257,059,088	$	2,462,291,232	$	360,573,321	$	83,992,891	$	165,718,784		$	808,309,413		$	13,538,778,994


Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class IV	$	254,330,557	$	10,229,627	$	131,486,483	$	10,229,626	$	—	$	(1,580,502	)	$	1,692,261		$	133,185,460
GMO Emerging Markets Fund, Class VI		544,118,916		14,728,345		94,097,000		14,728,344		—		6,309,834			98,620,852			569,680,947
GMO Opportunistic Income Fund, Class VI		265,783,934		5,622,498		58,981,954		5,622,499		—		7,165,883			(1,985,778	)		217,604,583
GMO SGM Major Markets Fund, Class VI		190,362,136		7,206,787		8,750,000		—		7,206,788		716,773			(5,086,580	)		184,449,116
GMO Special Opportunities Fund, Class VI		284,598,267		20,133,663		41,845,000		186,703		19,946,960		1,852,272			58,855,694			323,594,896
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	$	205,041,332	$	518,798,096	$	30,899,770	$	27,153,748	$	14,468,070		$	152,107,006		$	1,428,515,002


Global Asset Allocation Fund
GMO Alpha Only Fund, Class IV	$	73,411,864	$	8,858,883	$	10,134,952	$	884,513	$	—	$	(1,116,479	)	$	3,927,601		$	74,946,917
GMO Asset Allocation Bond Fund, Class VI		436,734,200		48,674,994		82,595,097		4,234,966		—		(11,743,608	)		8,106,830			399,177,319
GMO Core Plus Bond Fund, Class IV		122,418,980		152,895,475		21,163,508		5,809,808		—		417,554			(4,953,889	)		249,614,612
GMO Emerging Country Debt Fund, Class IV		98,805,388		6,697,293		50,132,324		4,326,217		—		1,446,408			(1,286,094	)		55,530,671
GMO Emerging Markets Fund, Class VI		363,494,869		118,284,156		94,821,379		12,610,203		—		7,535,965			73,224,347			467,717,958
GMO International Equity Fund, Class IV		507,593,996		45,894,009		115,807,707		16,727,657		—		(13,091,801	)		94,595,417			519,183,914
GMO Opportunistic Income Fund, Class VI		97,727,559		2,429,580		52,918,535		1,400,611		—		2,641,006			(1,066,428	)		48,813,182
GMO Quality Fund, Class VI		202,013,212		21,321,485		70,261,106		3,099,000		11,322,400		9,178,807			16,115,082			178,367,480
GMO Risk Premium Fund, Class VI		64,139,050		13,095,999		8,466,424		196,176		9,834,122		689,565			(7,107,850	)		62,350,340

199

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018



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
Global Asset Allocation Fund (continued)
GMO SGM Major Markets Fund, Class VI	$	73,002,358	$	8,444,019	$	6,114,116	$	—	$	2,849,634	$	489,132		$	(2,254,302	)	$	73,567,091
GMO U.S. Equity Allocation Fund, Class VI		201,264,975		30,549,958		56,302,636		3,434,210		17,272,120		(1,713,679	)		5,110,156			178,908,774
GMO U.S. Treasury Fund		183,086,818		83,050,998		98,888,939		1,912,218		—		(81,491	)		(120,761	)		167,046,625

Totals	$	2,423,693,269	$	540,196,849	$	667,606,723	$	54,635,579	$	41,278,276	$	(5,348,621	)	$	184,290,109		$	2,475,224,883


Global Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	98,541,837	$	1,461,040	$	66,869,280	$	1,461,040	$	—	$	3,487,231		$	10,370,194		$	46,991,022
GMO International Equity Fund, Class IV		456,476,089		10,545,755		309,624,931		7,901,531		—		(47,844,286	)		107,827,156			217,379,783
GMO Quality Fund, Class VI		219,104,022		9,411,053		147,883,553		1,978,402		7,124,017		18,081,637			4,073,465			102,786,624
GMO U.S. Equity Allocation Fund, Class VI		217,844,350		14,133,722		130,963,683		2,151,793		11,981,929		(5,459,957	)		6,430,269			101,984,701

Totals	$	991,966,298	$	35,551,570	$	655,341,447	$	13,492,766	$	19,105,946	$	(31,735,375	)	$	128,701,084		$	469,142,130


Global Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	504,513,964	$	110,336,081	$	118,524,207	$	17,316,148	$	—	$	14,544,479		$	97,703,453		$	608,573,770
GMO International Equity Fund, Class IV		885,286,898		66,641,898		204,929,282		30,646,818		—		(33,212,531	)		183,044,389			896,831,372
GMO Quality Fund, Class VI		399,709,400		58,200,467		101,081,976		7,123,604		26,154,593		15,887,452			40,091,811			412,807,154
GMO U.S. Equity Allocation Fund, Class VI		416,646,309		83,772,650		100,368,993		7,967,335		38,923,612		(809,180	)		10,752,782			409,993,568

Totals	$	2,206,156,571	$	318,951,096	$	524,904,458	$	63,053,905	$	65,078,205	$	(3,589,780	)	$	331,592,435		$	2,328,205,864


International Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	59,768,161	$	6,532,908	$	11,553,377	$	1,831,582	$	—	$	935,242		$	11,695,802		$	67,378,736
GMO International Equity Fund, Class IV		541,876,427		25,897,486		61,871,097		19,039,253		—		(5,246,853	)		96,516,382			597,172,345

Totals	$	601,644,588	$	32,430,394	$	73,424,474	$	20,870,835	$	—	$	(4,311,611	)	$	108,212,184		$	664,551,081


International Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	356,432,437	$	63,038,562	$	89,101,168	$	10,230,275	$	—	$	1,680,443		$	70,001,266		$	402,051,540
GMO International Equity Fund, Class IV		729,124,865		70,659,177		162,606,356		22,498,030		—		(4,034,911	)		115,787,037			748,929,812

Totals	$	1,085,557,302	$	133,697,739	$	251,707,524	$	32,728,305	$	—	$	(2,354,468	)	$	185,788,303		$	1,150,981,352


Consolidated SGM Major Markets Fund
GMO U.S. Treasury Fund	$	834,716,360	$	481,561,957	$	243,000,000	$	9,061,525	$	—	$	(131,885	)	$	(941,321	)	$	1,072,205,111


Consolidated Special Opportunities Fund
Jagercor Energy Corp	$	90,348	$	—	$	—	$	—	$	—	$	—		$	(20,211	)	$	70,137

200

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2018



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
Strategic Opportunities Allocation Fund
GMO Core Plus Bond Fund, Class IV	$	56,400,656	$	104,180,385	$	59,697,124	$	3,423,335	$	—	$	996,652		$	(2,745,649	)	$	99,134,920
GMO Emerging Country Debt Fund, Class IV		84,932,626		4,284,447		49,168,796		4,284,447		—		(633,051	)		577,404			39,992,630
GMO Emerging Markets Fund, Class VI		390,569,250		67,791,379		229,053,196		12,117,487		—		25,822,374			49,954,773			305,084,580
GMO International Equity Fund, Class IV		573,398,898		17,118,746		330,125,130		17,118,746		—		(8,521,807	)		97,947,641			349,818,348
GMO Opportunistic Income Fund, Class VI		83,844,202		1,852,646		41,422,951		1,852,646		—		4,170,206			(2,458,990	)		45,985,113
GMO Quality Fund, Class VI		207,645,291		15,542,474		116,470,690		3,337,036		12,205,439		16,637,155			8,174,612			131,528,842
GMO U.S. Equity Allocation Fund, Class VI		204,598,363		21,994,714		99,868,845		3,685,875		18,308,839		(2,245,044	)		5,603,498			130,082,686
GMO U.S. Treasury Fund		303,051,065		127,003,758		335,926,412		1,860,665		—		(288,897	)		62,299			93,901,813

Totals	$	1,904,440,351	$	359,768,549	$	1,261,733,144	$	47,680,237	$	30,514,278	$	35,937,588		$	157,115,588		$	1,195,528,932

201

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of GMO Trust and Shareholders of

GMO Alpha Only Fund, GMO Benchmark-Free Allocation Fund, GMO Benchmark-Free Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Implementation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund, GMO SGM Major Markets Fund, GMO Special Opportunities Fund, and GMO Strategic Opportunities Allocation Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of GMO Alpha Only Fund, GMO Benchmark-Free Allocation Fund, GMO Benchmark-Free Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Implementation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund, GMO SGM Major Markets Fund, GMO Special Opportunities Fund, and GMO Strategic Opportunities Allocation Fund (twelve of the funds constituting GMO Trust, hereafter collectively referred to as the “Funds”) as of February 28, 2018, the related statements of operations for the year ended February 28, 2018, the statements of changes in net assets for each of the two years in the period ended February 28, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2018, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended February 28, 2018 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

/s/PricewaterhouseCoopers LLP

Boston, Massachusetts

April 25, 2018

We have served as the auditor of one or more investment companies in the GMO mutual funds complex since 1985.

202

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

February 28, 2018 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2018.

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and /or indirect management fees, direct and/or indirect shareholder services fees, and distribution (12b-1) and/or administration fees for Funds with Class M shares, if applicable, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2017 through February 28, 2018.

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual						Hypothetical
	Beginning Account Value September 1, 2017		Ending Account Value February 28, 2018		Expenses Paid During the Period*		Beginning Account Value September 1, 2017		Ending Account Value February 28, 2018		Expenses Paid During the Period*		Annualized Expense Ratio
Alpha Only Fund
Class III		$1,000.00		$1,000.50		$3.32		$1,000.00		$1,021.47		$3.36		0.67%
Class IV		$1,000.00		$1,000.50		$3.08		$1,000.00		$1,021.72		$3.11		0.62%
Benchmark-Free Allocation Fund
Class III		$1,000.00		$1,038.60		$4.25		$1,000.00		$1,020.63		$4.21		0.84%
Class IV		$1,000.00		$1,038.60		$3.99		$1,000.00		$1,020.88		$3.96		0.79%
Class MF		$1,000.00		$1,038.60		$3.99		$1,000.00		$1,020.88		$3.96		0.79%
Benchmark-Free Fund
Class III		$1,000.00		$1,047.90		$1.42		$1,000.00		$1,023.41		$1.40		0.28%
Global Asset Allocation Fund
Class III		$1,000.00		$1,044.90		$2.48		$1,000.00		$1,022.36		$2.46		0.49%
Global Developed Equity Allocation Fund
Class III		$1,000.00		$1,090.10		$2.69		$1,000.00		$1,022.22		$2.61		0.52%
Global Equity Allocation Fund
Class III		$1,000.00		$1,089.60		$2.95		$1,000.00		$1,021.97		$2.86		0.57%
Implementation Fund
Core Class		$1,000.00		$1,042.40		$0.15		$1,000.00		$1,024.65		$0.15		0.03%
International Developed Equity Allocation Fund
Class III		$1,000.00		$1,072.60		$3.19		$1,000.00		$1,021.72		$3.11		0.62%

203

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses — (Continued)

February 28, 2018 (Unaudited)


	Actual						Hypothetical
	Beginning Account Value September 1, 2017		Ending Account Value February 28, 2018		Expenses Paid During the Period*		Beginning Account Value September 1, 2017		Ending Account Value February 28, 2018		Expenses Paid During the Period*		Annualized Expense Ratio
International Equity Allocation Fund
Class III		$1,000.00		$1,077.60		$3.40		$1,000.00		$1,021.52		$3.31		0.66%
SGM Major Markets Fund
Class III		$1,000.00		$997.70		$5.00		$1,000.00		$1,019.79		$5.06		1.01%
Class IV		$1,000.00		$998.00		$4.76		$1,000.00		$1,020.03		$4.81		0.96%
Class VI		$1,000.00		$998.00		$4.51		$1,000.00		$1,020.28		$4.56		0.91%
Special Opportunities Fund
Class VI		$1,000.00		$1,144.80		$6.33		$1,000.00		$1,018.89		$5.96		1.19%
Strategic Opportunities Allocation Fund
Class III		$1,000.00		$1,059.40		$2.40		$1,000.00		$1,022.46		$2.36		0.47%

204

GMO Trust Funds

Tax Information for the Tax Year Ended February 28, 2018 (Unaudited)

The following information is being provided in order to meet reporting requirements set forth by the Code and/or to meet state-specific requirements. Shareholders should consult their tax advisors.



Fund Name	Dividend Received Deduction (corporate shareholders)⁽¹⁾		Qualified Dividend Income (non-corporate shareholders)⁽¹⁾		U.S. Government Obligation Income^(1,2)		Interest- Related Dividend Income ($)⁽³⁾		Short- Term Capital Gain Dividends ($)⁽³⁾		Long-Term Capital Gain Distributions ($)		Foreign Taxes Paid ($)⁽⁴⁾		Foreign Source Income ($)⁽⁴⁾
Alpha Only Fund		65.98%		100.00%		7.76%		—		—		—		—		—
Benchmark-Free Allocation Fund		5.87%		45.24%		17.43%		59,727,283		—		—		—		—
Benchmark-Free Fund		4.04%		40.02%		15.16%		23,482,769		—		—		—		—
Global Asset Allocation Fund		12.33%		56.95%		12.10%		9,381,252		—		—		4,153,107		33,488,455
Global Developed Equity Allocation Fund		25.01%		87.14%		—		—		—		—		1,051,893		10,415,955
Global Equity Allocation Fund		22.58%		87.51%		—		—		—		—		6,442,571		54,399,461
Consolidated Implementation Fund		4.95%		44.24%		17.12%		69,024,075		—		—		—		—
International Developed Equity Allocation Fund		—		100.00%		—		—		—		—		2,195,136		23,003,081
International Equity Allocation Fund		—		91.04%		—		—		—		—		4,222,005		37,246,118
Consolidated SGM Major Markets Fund		—		—		—		—		848,834		57,139,048		—		—
Consolidated Special Opportunities Fund		8.12%		11.74%		1.19%		453,393		56,296,689		11,200,272		—		—
Strategic Opportunities Allocation Fund		13.06%		60.58%		10.16%		8,964,659		1,947,705		—		4,092,641		33,324,941

⁽¹⁾

Presented as a percentage of net investment income and short-term capital gain distributions paid, if any.

⁽²⁾

All or a portion of these amounts may be exempt from taxation at the state level.

⁽³⁾

⁽⁴⁾

The Funds expect to elect to treat foreign taxes attributed to foreign source income from certain of its investments, as if incurred directly by the Funds’ shareholders.

In early 2019, the Funds will notify applicable shareholders of amounts for use in preparing 2018 U.S. federal income tax forms.

205

Trustees and Officers (Unaudited)

Independent Trustees

Name and

Year of Birth

Position(s)
Held with the Trust

Length of
Time Served

Principal Occupation(s)
During Past

5 Years

Number of
Portfolios in
Fund Complex¹
Overseen

Other
Directorships
Held in the
Past Five
Years

Donald W. Glazer

YOB: 1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Law and Business; Author of Legal Treatises.

Director, BeiGene Ltd. (biotech research).

Peter Tufano

YOB: 1957

Trustee

Since December 2008.

Peter Moores Dean and Professor of Finance, University of Oxford Saïd Business School (as of July 1, 2011).

Trustee of State Street Navigator Securities Lending Trust

(5 Portfolios).

Paul Braverman

YOB: 1949

Trustee

Since March 2010.

Director of Claren Road Asset Management, LLC (hedge fund); Trustee of HIMCO Variable Insurance Trust (27 Portfolios).

Interested Trustee and Officer

Jason B. Harrison.²

YOB: 1977

Trustee; President of the Trust

Trustee and President since March 2018.

Product Development, Grantham, Mayo, Van Otterloo & Co. LLC (October 2015 – present); Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2006 – 2015)

None.

¹	The Fund Complex includes series of each of GMO Trust and GMO Series Trust. Mr. Harrison also serves as a Trustee of GMO Series Trust.

²	Mr. Harrison is an “interested person” of the Trust, as such term is used in the 1940 Act (an “Interested Trustee”), by virtue of his positions with the Trust and GMO indicated in the table above and his interest as a member of GMO.

206


Officers

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Jason B. Harrison YOB: 1977	Trustee; President of the Trust	Trustee and President since March 2018.	Product Development, Grantham, Mayo, Van Otterloo & Co. LLC (October 2015 – present); Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2006 – 2015)

Sheppard N. Burnett YOB: 1968	Chief Executive Officer	Chief Executive Officer since June 2015; Chief Financial Officer, March 2007 – June 2015; Treasurer, November 2006 – June 2015; Assistant Treasurer, September 2004 – November 2006.	Head of Fund Treasury and Tax, Grantham, Mayo, Van Otterloo & Co. LLC (December 2006 – present).

Carly Cushman YOB: 1984	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer and Chief Financial Officer since June 2015; Chief Accounting Officer since May 2014; Assistant Treasurer, September 2013 – June 2015.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (December 2009 – present); Senior Accountant, Renaissance HealthCare (February 2009 – December 2009); Auditor/Senior Auditor, Deloitte & Touche (September 2006 – February 2009).

John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present).

Betty Maganzini YOB: 1972	Assistant Treasurer	Since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present); Assistant Treasurer (June 2009 – July 2010), Manager, Fund Administration and Regulatory Affairs (2006 – 2009), Hambrecht & Quist Capital Management LLC.

Mahmoodur Rahman YOB: 1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2007 – present).

Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present)

Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – present).

Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present); Associate, K&L Gates LLP (September 2007 – July 2015).

Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).

Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present); Associate, Dechert LLP (October 2010 – February 2015).
Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present); Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (March 2000 – May 2015).

Claire Wilkinson YOB: 1965	Anti-Money Laundering Officer	Since February 2016.	Compliance Associate, GMO UK Limited (April 2013 – present); General Counsel, MVision Private Equity Advisers Limited (November 2009 – January 2013).

*	Each officer of the Trust may also serve as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

207

Item 2.

Code of Ethics.

As of February 28, 2018, the registrant has adopted a Code of Ethics that applies to the Principal Executive Officer and Principal Financial Officer pursuant to the Sarbanes-Oxley Act of 2002 (the “Code of Ethics”). During the year ended February 28, 2018 there were no substantive amendments to a provision of the Code of Ethics nor were there any waivers granted from a provision of the Code of Ethics. A copy of the Code of Ethics is filed with this Form N-CSR under item 12 (a).

Item 3.

Audit Committee Financial Expert.

The registrant’s Board of Trustees has determined that the registrant does not have an “audit committee financial expert” (as such term has been defined in Form N-CSR) serving on its audit committee. The registrant’s Board believes that, although none of its members individually meets all required elements of the definition of an “audit committee financial expert”, the members of the registrant’s audit committee collectively possess the knowledge and experience necessary to execute all of the audit committee’s functions, duties and powers.

Item 4.

Principal Accountant Fees and Services. *

(a)

AUDIT FEES: The aggregate fees billed to the registrant for professional services rendered by its independent auditors, PricewaterhouseCoopers LLP for the audit of the registrant’s annual financial statements for 2018 and 2017 were $1,531,972 and $2,021,951, respectively.

(b)

AUDIT-RELATED FEES: The aggregate fees billed to the registrant in 2018 and 2017 for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $66,635 and $122,935, respectively. The aggregate fees billed in 2018 and 2017 to the registrant’s Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provides ongoing services to the Funds (each, a “Service Affiliate”) for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $443,735 and $514,334, respectively.

(c)

TAX FEES: The aggregate fees billed to the registrant in 2018 and 2017 for professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice, and tax planning, including the preparation of Form 1120 RIC, Form 8613 and review of excise tax distribution calculations, were $610,435 and $902,160, respectively. The aggregate fees billed in 2018 and 2017 to the registrant’s Service Affiliates for engagements for tax services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $0 and $0, respectively.

(d)

ALL OTHER FEES: No such fees were billed by PricewaterhouseCoopers LLP to the registrant or to the registrant’s Service Affiliates that related directly to the operations and financial reporting of the Funds in 2018 or 2017.

(e)

(1) The Audit Committee has adopted an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services to be performed by the independent auditor are to be preapproved. Under the Policy, the Audit Committee pre-approves, on an annual basis, the following services: (1) the engagement, scope and terms of the annual audit; (2) certain audit-related services; (3) certain tax services that the Committee believes would not impair, and are consistent with the SEC’s rules on auditor independence; and (4) certain permissible non-audit services that the Committee believes are routine and recurring services and that would not impair, and are consistent with the SEC’s rules on auditor independence, subject to certain limitations on the projected fees associated with each service. All other types of services not included on the schedule to the policy, or for which the projected fees exceed those provided in the schedule, require the specific pre-approval by the Audit Committee or the Chairperson of the Committee (if timing necessitates that preapproval is required before the Committee’s next regularly scheduled meeting) if they are to be provided by the independent auditor.

(e)

(2) None.

(f)

Not applicable.

(g)

NON-AUDIT FEES: The aggregate fees billed by PricewaterhouseCoopers LLP in 2018 and 2017 for non-audit services rendered to the registrant and the registrant’s Service Affiliates were $1,155,805 and $1,574,429, respectively. For the fiscal year ended February 28, 2018, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $35,000 in fees billed to the Funds’ Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds. For the fiscal year ended February 28, 2017, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $35,000 in fees billed to the Funds’ Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds.

(h)

The registrant’s Audit Committee has considered whether the provision of non-audit services by the registrant’s independent registered public accounting firm to the registrant’s Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provided ongoing services to the registrant that were not pre-approved by the Committee (because such services did not relate directly to the operations and financial reporting of the registrant) was compatible with maintaining the independence of the independent registered public accounting firm.

*	Includes information regarding all series of GMO Trust.

Item 5.

Audit Committee of Listed Registrants.

Not applicable to this registrant.

Item 6.

Schedule of Investments.

The complete schedule of investments for each series of the registrant is included as part of the annual reports to shareholders filed under Item 1 of this Form N-CSR.

Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 8.

Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 9.

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this registrant.

Item 10.

Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

Item 11.

Controls and Procedures.

(a)

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

(b)

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

Item 12.

Exhibits.

(a)(1) Code of Ethics described in Item 2 is attached hereto as EX-99.CODEETH.

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

(a)(3) Not applicable to this registrant.

(b)

Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.

SIGNATURES

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


(Registrant)		GMO Trust

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

		Date: May 1, 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: May 1, 2018

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

		Date: May 1, 2018