UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-04347

GMO Trust

(Exact name of registrant as specified in charter)

40 Rowes Wharf, Boston, MA 02110

(Address of principal executive offices) (Zip code)

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

(Name and address of agent for service)

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

Date of fiscal year end: 02/28/19

Date of reporting period: 05/31/18

Item 1. Schedule of Investments.

The Schedules of Investments for each series of the registrant for the period ended May 31, 2018 are filed herewith.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 86.2%
		U.S. Government — 84.5%
	69,981,931	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (a)		69,475,799
	130,588,190	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (a)		126,490,623
	30,938,613	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 (a)		29,992,825
	59,949,786	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (a)		58,438,946
	154,825,351	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)		168,789,978
	199,598,397	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a)		234,055,407
	12,598,736	U.S. Treasury Inflation Indexed Bond, 3.88%, due 04/15/29 (a)		16,587,214
	17,500,000	U.S. Treasury Note USBM + 0.07%, 1.97%, due 04/30/19		17,518,182
	17,500,000	U.S. Treasury Note USBM + 0.05%, 1.95%, due 10/31/19		17,511,561
		Total U.S. Government		738,860,535
		U.S. Government Agency — 1.7%
	15,000,000	Federal Home Loan Banks, Variable Rate 3 mo. LIBOR — 0.24%, 1.79%, due 03/06/19		15,008,796
		TOTAL DEBT OBLIGATIONS (COST $761,141,244)		753,869,331

Shares		Description	Value ($)
		MUTUAL FUNDS — 13.1%
		United States — 13.1%
		Affiliated Issuers — 13.1%
	4,604,148	GMO U.S. Treasury Fund		115,011,626
		TOTAL MUTUAL FUNDS (COST $115,011,626)		115,011,626
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	181,581	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.67% (b)		181,581
		TOTAL SHORT-TERM INVESTMENTS (COST $181,581)		181,581
		TOTAL INVESTMENTS — 99.3% (Cost $876,334,451)		869,062,538
		Other Assets and Liabilities (net) — 0.7%		5,742,505
		TOTAL NET ASSETS — 100.0%		$874,805,043

A summary of outstanding financial instruments at May 31, 2018 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/04/2018	MSCI		AUD	34,550,000		USD	25,948,432		(180,006	)
07/05/2018	MSCI		AUD	34,550,000		USD	26,176,566		43,290
06/04/2018	MSCI		CAD	4,715,895		USD	3,670,000		32,684
07/12/2018	JPM		CHF	32,494,380		USD	34,321,520		1,239,995
06/20/2018	GS		EUR	9,930,000		USD	12,301,825		679,224
06/14/2018	BCLY		GBP	1,090,000		USD	1,520,988		71,352
06/14/2018	BOA		GBP	9,040,000		USD	12,611,071		588,399
06/14/2018	GS		GBP	1,320,000		USD	1,881,893		126,370
06/07/2018	BCLY		JPY	277,895,303		USD	2,550,000		(4,965	)
06/07/2018	GS		JPY	158,199,420		USD	1,480,000		25,517
07/05/2018	JPM		NOK	12,531,024		USD	1,620,000		86,694
06/05/2018	BCLY		NZD	6,790,000		USD	4,745,591		(6,050	)
09/05/2018	BCLY		NZD	4,660,000		USD	3,268,780		7,433
08/03/2018	BCLY		SEK	13,980,344		USD	1,640,000		47,317
08/03/2018	JPM		SEK	17,995,454		USD	2,090,000		39,904
06/04/2018	BOA		USD	1,430,000		CAD	1,825,203		(22,241	)
06/04/2018	GS		USD	1,200,000		CAD	1,531,770		(18,563	)
06/04/2018	MSCI		USD	26,171,625		AUD	34,550,000		(43,186	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/04/2018	MSCI		USD	9,337,865		CAD	12,041,177		(50,642	)
06/05/2018	BCLY		USD	4,762,762		NZD	6,790,000		(11,121	)
06/07/2018	GS		USD	7,028,736		JPY	739,333,789		(231,314	)
06/14/2018	GS		USD	1,452,548		GBP	1,080,000		(16,211	)
06/20/2018	GS		USD	5,365,728		EUR	4,500,000		(98,689	)
07/05/2018	JPM		USD	21,289,332		NOK	166,048,273		(971,527	)
07/12/2018	JPM		USD	3,080,000		CHF	2,931,177		(95,860	)
08/03/2018	BCLY		USD	9,620,000		SEK	84,576,796		15,241
08/03/2018	JPM		USD	13,051,330		SEK	113,194,182		(155,910	)
								$	1,097,135

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

Reverse Repurchase Agreements

Average balance outstanding	$	(41,051,668	)
Average interest rate		0.47	%
Maximum balance outstanding	$	(41,051,668	)

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

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month NZD Bank Bill Rate	2.81%	NZD	108,005,000		06/20/2023	Quarterly		—			631,528			631,528
3 Month NZD Bank Bill Rate	2.85%	NZD	46,975,000		06/20/2023	Quarterly		—			329,268			329,268
6 Month AUD BBSW	2.93%	AUD	9,895,000		06/20/2028	Semi-Annually		—			28,999			28,999
6 Month AUD BBSW	3.04%	AUD	7,765,000		06/20/2028	Semi-Annually		—			81,938			81,938
2.97%	6 Month AUD BBSW	AUD	6,296,000		06/20/2028	Semi-Annually		—			(36,579	)		(36,579	)
3.01%	6 Month AUD BBSW	AUD	80,562,000		06/20/2028	Semi-Annually		—			(697,289	)		(697,289	)
6 Month AUD BBSW	2.87%	AUD	5,689,000		06/20/2028	Semi-Annually		—			(6,645	)		(6,645	)
6 Month AUD BBSW	3.05%	AUD	7,765,000		06/20/2028	Semi-Annually		—			87,725			87,725
6 Month AUD BBSW	3.04%	AUD	7,540,000		06/20/2028	Semi-Annually		—			81,607			81,607
3.24%	3 Month NZD Bank Bill Rate	NZD	4,117,000		06/20/2028	Quarterly		—			(35,223	)		(35,223	)
3.28%	3 Month NZD Bank Bill Rate	NZD	11,606,000		06/20/2028	Quarterly		—			(125,671	)		(125,671	)
3 Month NZD Bank Bill Rate	3.31%	NZD	22,711,000		06/20/2028	Quarterly		—			287,205			287,205
3.29%	3 Month NZD Bank Bill Rate	NZD	4,311,000		06/20/2028	Quarterly		—			(49,292	)		(49,292	)
3.29%	3 Month NZD Bank Bill Rate	NZD	4,311,000		06/20/2028	Quarterly		—			(49,945	)		(49,945	)
3 Month NZD Bank Bill Rate	3.11%	NZD	8,606,000		06/20/2028	Quarterly		—			4,528			4,528
2.76%	3 Month CAD LIBOR	CAD	6,915,000		06/21/2028	Semi-Annually		—			(78,100	)		(78,100	)
2.60%	3 Month CAD LIBOR	CAD	5,199,000		06/21/2028	Semi-Annually		—			(798	)		(798	)
2.61%	3 Month CAD LIBOR	CAD	16,532,000		06/21/2028	Semi-Annually		—			(12,581	)		(12,581	)
3 Month CAD LIBOR	2.63%	CAD	3,126,000		06/21/2028	Semi-Annually		—			5,455			5,455
3 Month CAD LIBOR	2.67%	CAD	7,735,000		06/21/2028	Semi-Annually		—			39,190			39,190
3 Month CAD LIBOR	2.67%	CAD	13,679,000		06/21/2028	Semi-Annually		—			67,412			67,412
3 Month CAD LIBOR	2.75%	CAD	5,842,000		06/21/2028	Semi-Annually		—			60,322			60,322
3 Month CAD LIBOR	2.86%	CAD	8,190,000		06/21/2028	Semi-Annually		—			146,907			146,907
6 Month CHF LIBOR	0.55%	CHF	6,942,000		06/21/2028	Semi-Annually		—			109,492			109,492
0.51%	6 Month CHF LIBOR	CHF	8,004,000		06/21/2028	Semi-Annually		—			(93,170	)		(93,170	)
0.53%	6 Month CHF LIBOR	CHF	4,706,000		06/21/2028	Semi-Annually		—			(64,383	)		(64,383	)
0.54%	6 Month CHF LIBOR	CHF	3,628,000		06/21/2028	Semi-Annually		—			(51,485	)		(51,485	)
6 Month CHF LIBOR	0.38%	CHF	4,242,000		06/21/2028	Semi-Annually		—			(9,049	)		(9,049	)
6 Month CHF LIBOR	0.52%	CHF	1,214,000		06/21/2028	Semi-Annually		—			15,184			15,184
6 Month CHF LIBOR	0.57%	CHF	6,991,000		06/21/2028	Semi-Annually		—			125,244			125,244
1.03%	6 Month EURIBOR	EUR	9,028,000		06/21/2028	Semi-Annually		—			(107,576	)		(107,576	)
1.04%	6 Month EURIBOR	EUR	5,163,000		06/21/2028	Semi-Annually		—			(69,504	)		(69,504	)
6 Month EURIBOR	1.15%	EUR	22,178,000		06/21/2028	Semi-Annually		64,578			571,623			507,045
1.65%	6 Month GBP LIBOR	GBP	25,132,000		06/21/2028	Semi-Annually		—			(574,829	)		(574,829	)
1.64%	6 Month GBP LIBOR	GBP	48,085,000		06/21/2028	Semi-Annually		(52,400	)		(1,039,111	)		(986,711	)
1.72%	6 Month GBP LIBOR	GBP	16,041,000		06/21/2028	Semi-Annually		1,475			(2,893	)		(4,368	)
1.66%	6 Month GBP LIBOR	GBP	3,621,000		06/21/2028	Semi-Annually		—			(88,307	)		(88,307	)
6 Month GBP LIBOR	1.58%	GBP	3,313,000		06/21/2028	Semi-Annually		—			45,661			45,661
6 Month GBP LIBOR	1.57%	GBP	4,838,000		06/21/2028	Semi-Annually		—			60,570			60,570
6 Month GBP LIBOR	1.60%	GBP	1,922,000		06/21/2028	Semi-Annually		—			31,707			31,707
6 Month GBP LIBOR	1.61%	GBP	3,231,000		06/21/2028	Semi-Annually		—			57,584			57,584

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

Centrally Cleared Interest Rate Swaps — (continued)

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
6 Month GBP LIBOR		1.70%	GBP	1,927,000		06/21/2028	Semi-Annually		—		55,753			55,753
6 Month GBP LIBOR		1.70%	GBP	1,927,000		06/21/2028	Semi-Annually		—		56,969			56,969
6 Month GBP LIBOR		1.47%	GBP	5,863,000		06/21/2028	Semi-Annually		—		1,602			1,602
3 Month SEK STIBOR		1.4%	SEK	78,922,000		06/21/2028	Quarterly		—		195,535			195,535
3 Month SEK STIBOR		1.18%	SEK	74,744,000		06/21/2028	Quarterly		—		2,795			2,795
1.29%		3 Month SEK STIBOR	SEK	61,678,000		06/21/2028	Quarterly		—		(75,543	)		(75,543	)
1.31%		3 Month SEK STIBOR	SEK	93,939,000		06/21/2028	Quarterly		—		(136,035	)		(136,035	)
1.30%		3 Month SEK STIBOR	SEK	56,596,000		06/21/2028	Quarterly		—		(77,642	)		(77,642	)
3 Month SEK STIBOR		1.17%	SEK	43,772,000		06/21/2028	Quarterly		—		(3,608	)		(3,608	)
3 Month USD LIBOR		2.94%	USD	8,060,000		06/21/2028	Quarterly		3,144		44,360			41,216
3 Month USD LIBOR		2.95%	USD	7,019,000		06/21/2028	Quarterly		—		44,204			44,204
3 Month USD LIBOR		3.02%	USD	7,839,000		06/21/2028	Quarterly		—		95,694			95,694
3 Month USD LIBOR		3.05%	USD	2,518,000		06/21/2028	Quarterly		—		37,956			37,956
3 Month USD LIBOR		3.12%	USD	3,478,000		06/21/2028	Quarterly		—		72,981			72,981
3 Month USD LIBOR		3.11%	USD	4,525,000		06/21/2028	Quarterly		—		93,555			93,555
2.89%		3 Month USD LIBOR	USD	3,407,000		06/21/2028	Quarterly		—		(2,224	)		(2,224	)
3 Month NZD Bank Bill Rate		3.15%	NZD	9,311,500		09/19/2028	Quarterly		—		431			431
3 Month NZD Bank Bill Rate		3.14%	NZD	5,251,000		09/19/2028	Quarterly		—		(2,125	)		(2,125	)
3 Month NZD Bank Bill Rate		3.14%	NZD	4,060,500		09/19/2028	Quarterly		—		(2,253	)		(2,253	)
3 Month NZD Bank Bill Rate		3.15%	NZD	4,135,000		09/19/2028	Quarterly		—		(430	)		(430	)
6 Month CHF LIBOR		0.45%	CHF	5,519,000		09/20/2028	Semi-Annually		—		2,648			2,648
6 Month EURIBOR		0.98%	EUR	6,934,000		09/20/2028	Semi-Annually		—		(549	)		(549	)
								$	16,797	$	80,793		$	63,996

As of May 31, 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:

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

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

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

EURIBOR - Euro Interbank Offered Rate

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

LIBOR - London Interbank Offered Rate

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

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

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

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

The rates shown on variable rate notes are the current interest rates at May 31, 2018, which are subject to change based on the terms of the security.

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

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

(b) The rate disclosed is the 7 day net yield as of May 31, 2018.

Counterparty Abbreviations:

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 52.2%
		United States — 52.2%
		Asset-Backed Securities — 2.4%
	327,636	Bear Stearns Commercial Mortgage Securities Trust, Series 05-PW10, Class AJ, Variable Rate, 5.78%, due 12/11/40		347,296
	16,740,000	Commercial Mortgage Trust, Series 13-WWP, Class A2, 144A, 3.42%, due 03/10/31		16,941,576
	5,000,000	Commercial Mortgage Trust, Series 13-WWP, Class D, 144A, 3.90%, due 03/10/31		5,160,031
		Total Asset-Backed Securities		22,448,903
		U.S. Government — 35.3%
	5,291,000	U.S. Treasury Bond, 6.25%, due 05/15/30		7,090,147
	11,634,000	U.S. Treasury Bond, 3.75%, due 11/15/43		13,155,509
	50,849,000	U.S. Treasury Bond, 3.38%, due 05/15/44 (a)		54,170,075
	31,941,000	U.S. Treasury Note, 1.50%, due 02/28/19		31,768,818
	98,515,000	U.S. Treasury Note, 2.00%, due 02/28/21		97,129,633
	51,233,000	U.S. Treasury Note, 1.75%, due 11/30/21		49,762,052
	4,745,000	U.S. Treasury Note, 2.00%, due 02/15/23		4,603,577
	36,868,000	U.S. Treasury Note, 2.50%, due 05/15/24		36,350,984
	27,877,000	U.S. Treasury Note, 2.00%, due 08/15/25		26,414,546
	16,615,000	U.S. Treasury Note, 2.25%, due 02/15/27		15,838,119
		Total U.S. Government		336,283,460
		U.S. Government Agency — 14.5%
	16,851,000	Federal Home Loan Mortgage Corp., TBA, 3.50%, due 06/13/48		16,791,759
	43,364,000	Federal National Mortgage Association, TBA, 2.50%, due 06/19/33		42,240,942
	12,015,000	Federal National Mortgage Association, TBA, 3.00%, due 06/13/48		11,645,632
	31,786,000	Federal National Mortgage Association, TBA, 4.00%, due 06/13/48		32,468,903
	35,131,000	Government National Mortgage Association, TBA, 3.50%, due 06/21/48		35,298,420
		Total U.S. Government Agency		138,445,656
		TOTAL DEBT OBLIGATIONS (COST $504,281,694)		497,178,019
		MUTUAL FUNDS — 45.1%
		United States — 45.1%
		Affiliated Issuers — 30.6%
	1,776,046	GMO Emerging Country Debt Fund, Class IV		49,409,591
	7,337,588	GMO Opportunistic Income Fund, Class VI		195,620,089
	1,864,911	GMO U.S. Treasury Fund		46,585,487
		Total Affiliated Issuers		291,615,167
		Exchange-Traded Funds — 14.5%
	1,196,900	iShares iBoxx $ Investment Grade Corporate Bond ETF		138,229,981
		TOTAL MUTUAL FUNDS (COST $431,236,839)		429,845,148

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 16.3%
		Foreign Government Obligations — 16.1%
JPY	3,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 06/18/18		30,336,308
JPY	5,600,000,000	Japan Treasury Discount Bill, Zero Coupon, due 06/25/18		51,480,980
JPY	1,611,500,000	Japan Treasury Discount Bill, Zero Coupon, due 07/23/18		14,816,008
JPY	2,850,000,000	Japan Treasury Discount Bill, Zero Coupon, due 08/06/18		26,204,072
JPY	3,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 08/20/18		30,343,255
		Total Foreign Government Obligations		153,180,623
		Money Market Funds — 0.2%
	1,828,680	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.67% (b)		1,828,680
		TOTAL SHORT-TERM INVESTMENTS (COST $156,787,576)		155,009,303
		TOTAL INVESTMENTS — 113.6% (Cost $1,092,306,109)		1,082,032,470
		Other Assets and Liabilities (net) — (13.6%)		(129,654,796	)
		TOTAL NET ASSETS — 100.0%		$952,377,674

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

A summary of outstanding financial instruments at May 31, 2018 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Apprecia- tion (Deprecia- tion) ($)
06/04/2018	MSCI	AUD	55,170,000	USD	41,446,263		(276,051	)
07/05/2018	MSCI	AUD	55,170,000	USD	41,799,164		69,126
06/04/2018	MSCI	CAD	4,767,294	USD	3,710,000		33,040
07/12/2018	JPM	CHF	48,017,787	USD	50,634,913		1,749,486
06/20/2018	GS	EUR	13,590,000	USD	16,834,123		927,664
06/14/2018	BCLY	GBP	1,300,000	USD	1,814,022		85,098
06/14/2018	BOA	GBP	13,150,000	USD	18,344,645		855,913
06/14/2018	GS	GBP	1,040,000	USD	1,482,703		99,564
06/14/2018	JPM	GBP	1,510,000	USD	2,054,497		46,286
06/07/2018	BCLY	JPY	321,486,723	USD	2,950,000		(5,744	)
06/07/2018	GS	JPY	250,126,110	USD	2,340,000		40,345
06/18/2018	BCLY	JPY	3,300,000,000	USD	31,337,543		974,767
06/25/2018	MSCI	JPY	5,600,000,000	USD	53,465,980		1,914,333
07/23/2018	JPM	JPY	1,611,500,000	USD	15,101,359		237,580
08/06/2018	MSCI	JPY	2,850,000,000	USD	26,123,539		(188,145	)
08/20/2018	CITI	JPY	3,300,000,000	USD	29,926,083		(568,626	)
07/05/2018	JPM	NOK	25,990,272	USD	3,360,000		179,809
06/05/2018	BCLY	NZD	10,380,000	USD	7,248,419		(15,503	)
09/05/2018	BCLY	NZD	7,630,000	USD	5,352,102		12,171
08/03/2018	BCLY	SEK	24,806,586	USD	2,910,000		83,960
08/03/2018	JPM	SEK	27,897,259	USD	3,240,000		61,861
06/04/2018	BOA	USD	2,040,000	CAD	2,603,787		(31,729	)
06/04/2018	GS	USD	1,730,000	CAD	2,208,301		(26,762	)
06/04/2018	MSCI	USD	41,791,275	AUD	55,170,000		(68,961	)
06/04/2018	MSCI	USD	12,643,978	CAD	16,304,409		(68,572	)
06/05/2018	BCLY	USD	7,280,862	NZD	10,380,000		(16,939	)
06/07/2018	GS	USD	9,936,369	JPY	1,045,179,789		(327,003	)
06/14/2018	GS	USD	1,533,245	GBP	1,140,000		(17,112	)
06/20/2018	GS	USD	6,299,057	EUR	5,290,000		(107,360	)
07/05/2018	JPM	USD	30,357,198	NOK	236,774,005		(1,385,335	)
07/12/2018	JPM	USD	6,050,000	CHF	5,757,668		(188,296	)
08/03/2018	BCLY	USD	19,090,000	SEK	167,913,889		39,252
08/03/2018	JPM	USD	18,007,859	SEK	156,182,161		(215,121	)
						$	3,902,996

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
126	U.S. Long Bond (CBT)	September 2018		18,285,750		593,380
196	U.S. Treasury Note 2 Yr. (CBT)	September 2018		41,597,938		165,151
343	U.S. Treasury Note 5 Yr. (CBT)	September 2018		39,064,484		385,835
127	U.S. Treasury Note 10 Yr. (CBT)	September 2018		15,295,563		239,933
223	U.S. Treasury Ultra 10 Yr. (CBT)	September 2018		28,620,656		515,105
81	U.S. Ultra Bond (CBT)	September 2018		12,919,500		489,017
			$	155,783,891	$	2,388,421

+ 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) ($)
2.97%	6 Month AUD BBSW	AUD	9,851,000		06/20/2028	Semi-Annually		—		(57,234	)		(57,234	)
3.01%	6 Month AUD BBSW	AUD	132,368,000		06/20/2028	Semi-Annually		—		(1,145,685	)		(1,145,685	)
6 Month AUD BBSW	2.87%	AUD	3,123,000		06/20/2028	Semi-Annually		—		(3,648	)		(3,648	)
6 Month AUD BBSW	2.93%	AUD	18,201,000		06/20/2028	Semi-Annually		—		53,341			53,341
6 Month AUD BBSW	3.04%	AUD	14,507,000		06/20/2028	Semi-Annually		—		153,081			153,081
6 Month AUD BBSW	3.05%	AUD	14,507,000		06/20/2028	Semi-Annually		—		163,892			163,892
6 Month AUD BBSW	3.04%	AUD	12,557,000		06/20/2028	Semi-Annually		—		135,907			135,907
2.76%	3 Month CAD LIBOR	CAD	9,858,000		06/21/2028	Semi-Annually		—		(111,339	)		(111,339	)
2.60%	3 Month CAD LIBOR	CAD	4,892,000		06/21/2028	Semi-Annually		—		(751	)		(751	)
2.61%	3 Month CAD LIBOR	CAD	27,340,000		06/21/2028	Semi-Annually		—		(20,807	)		(20,807	)
3 Month CAD LIBOR	2.63%	CAD	4,308,000		06/21/2028	Semi-Annually		—		7,518			7,518
3 Month CAD LIBOR	2.67%	CAD	10,593,000		06/21/2028	Semi-Annually		—		53,670			53,670
3 Month CAD LIBOR	2.67%	CAD	18,789,000		06/21/2028	Semi-Annually		—		92,595			92,595
3 Month CAD LIBOR	2.75%	CAD	12,592,000		06/21/2028	Semi-Annually		—		130,019			130,019

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month CAD LIBOR	2.86%	CAD	12,014,000		06/21/2028	Semi-Annually		—			215,499			215,499
0.51%	6 Month CHF LIBOR	CHF	9,485,000		06/21/2028	Semi-Annually		—			(110,409	)		(110,409	)
0.53%	6 Month CHF LIBOR	CHF	7,258,000		06/21/2028	Semi-Annually		—			(99,296	)		(99,296	)
0.54%	6 Month CHF LIBOR	CHF	5,597,000		06/21/2028	Semi-Annually		—			(79,427	)		(79,427	)
6 Month CHF LIBOR	0.38%	CHF	6,706,000		06/21/2028	Semi-Annually		—			(14,304	)		(14,304	)
6 Month CHF LIBOR	0.55%	CHF	9,839,000		06/21/2028	Semi-Annually		—			155,185			155,185
6 Month CHF LIBOR	0.52%	CHF	1,351,000		06/21/2028	Semi-Annually		—			16,898			16,898
6 Month CHF LIBOR	0.57%	CHF	9,358,000		06/21/2028	Semi-Annually		—			167,649			167,649
6 Month CHF LIBOR	0.45%	CHF	9,107,000		09/20/2028	Semi-Annually		—			4,369			4,369
1.03%	6 Month EURIBOR	EUR	9,438,000		06/21/2028	Semi-Annually		—			(112,461	)		(112,461	)
1.04%	6 Month EURIBOR	EUR	8,344,000		06/21/2028	Semi-Annually		—			(112,327	)		(112,327	)
6 Month EURIBOR	1.15%	EUR	29,995,000		06/21/2028	Semi-Annually		87,339			773,100			685,761
6 Month EURIBOR	0.98%	EUR	12,182,000		09/20/2028	Semi-Annually		—			(964	)		(964	)
1.65%	6 Month GBP LIBOR	GBP	41,342,000		06/21/2028	Semi-Annually		—			(945,590	)		(945,590	)
1.64%	6 Month GBP LIBOR	GBP	98,839,000		06/21/2028	Semi-Annually		(107,708	)		(2,135,898	)		(2,028,190	)
1.72%	6 Month GBP LIBOR	GBP	22,061,000		06/21/2028	Semi-Annually		2,028			(3,979	)		(6,007	)
1.66%	6 Month GBP LIBOR	GBP	3,658,000		06/21/2028	Semi-Annually		—			(89,209	)		(89,209	)
6 Month GBP LIBOR	1.58%	GBP	17,571,000		06/21/2028	Semi-Annually		—			242,168			242,168
6 Month GBP LIBOR	1.57%	GBP	16,696,000		06/21/2028	Semi-Annually		776			209,030			208,254
6 Month GBP LIBOR	1.60%	GBP	2,760,000		06/21/2028	Semi-Annually		—			45,531			45,531
6 Month GBP LIBOR	1.61%	GBP	4,537,000		06/21/2028	Semi-Annually		—			80,860			80,860
6 Month GBP LIBOR	1.70%	GBP	4,874,000		06/21/2028	Semi-Annually		—			141,017			141,017
6 Month GBP LIBOR	1.70%	GBP	4,874,000		06/21/2028	Semi-Annually		—			144,094			144,094
6 Month GBP LIBOR	1.47%	GBP	2,052,000		06/21/2028	Semi-Annually		—			561			561
3 Month NZD Bank Bill Rate	2.81%	NZD	153,820,000		06/20/2023	Quarterly		—			899,418			899,418
3 Month NZD Bank Bill Rate	2.85%	NZD	66,902,000		06/20/2023	Quarterly		—			468,945			468,945
3.24%	3 Month NZD Bank Bill Rate	NZD	7,546,000		06/20/2028	Quarterly		—			(64,560	)		(64,560	)
3.28%	3 Month NZD Bank Bill Rate	NZD	21,274,000		06/20/2028	Quarterly		—			(230,356	)		(230,356	)
3.29%	3 Month NZD Bank Bill Rate	NZD	6,151,000		06/20/2028	Quarterly		—			(70,331	)		(70,331	)
3.29%	3 Month NZD Bank Bill Rate	NZD	6,151,000		06/20/2028	Quarterly		—			(71,263	)		(71,263	)
3 Month NZD Bank Bill Rate	3.31%	NZD	43,987,000		06/20/2028	Quarterly		—			556,262			556,262
3 Month NZD Bank Bill Rate	3.11%	NZD	9,669,000		06/20/2028	Quarterly		—			5,087			5,087
3 Month NZD Bank Bill Rate	3.22%	NZD	5,414,000		06/20/2028	Quarterly		—			37,297			37,297
3 Month NZD Bank Bill Rate	3.15%	NZD	19,318,000		09/19/2028	Quarterly		—			895			895
3 Month NZD Bank Bill Rate	3.14%	NZD	12,272,500		09/19/2028	Quarterly		—			(4,966	)		(4,966	)
3 Month NZD Bank Bill Rate	3.14%	NZD	7,045,500		09/19/2028	Quarterly		—			(3,910	)		(3,910	)
3 Month NZD Bank Bill Rate	3.15%	NZD	6,511,000		09/19/2028	Quarterly		—			(677	)		(677	)
1.29%	3 Month SEK STIBOR	SEK	83,449,000		06/21/2028	Quarterly		—			(102,209	)		(102,209	)
1.31%	3 Month SEK STIBOR	SEK	141,799,000		06/21/2028	Quarterly		—			(205,342	)		(205,342	)
1.30%	3 Month SEK STIBOR	SEK	85,378,000		06/21/2028	Quarterly		—			(117,127	)		(117,127	)
3 Month SEK STIBOR	1.17%	SEK	56,540,000		06/21/2028	Quarterly		—			(4,661	)		(4,661	)
3 Month SEK STIBOR	1.4%	SEK	106,850,000		06/21/2028	Quarterly		—			264,728			264,728
3 Month SEK STIBOR	1.18%	SEK	123,181,000		06/21/2028	Quarterly		—			4,607			4,607
3 Month USD LIBOR	3.02%	USD	10,290,000		06/21/2028	Quarterly		—			125,614			125,614

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month USD LIBOR	3.05%	USD	8,550,000		06/21/2028	Quarterly		—			128,883			128,883
3 Month USD LIBOR	3.12%	USD	5,105,000		06/21/2028	Quarterly		—			107,122			107,122
3 Month USD LIBOR	3.11%	USD	6,640,000		06/21/2028	Quarterly		—			137,282			137,282
2.89%	3 Month USD LIBOR	USD	3,821,000		06/21/2028	Quarterly		—			(2,494	)		(2,494	)
3 Month USD LIBOR	2.94%	USD	10,825,000		06/21/2028	Quarterly		4,224			59,578			55,354
3 Month USD LIBOR	2.95%	USD	9,831,000		06/21/2028	Quarterly		—			61,913			61,913
							$	(13,341	)	$	(77,609	)	$	(64,268	)

As of May 31, 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:

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.

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

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

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

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

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

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

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

TBA - To Be Announced - Delayed Delivery Security

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

The rates shown on variable rate notes are the current interest rates at May 31, 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.

(b) The rate disclosed is the 7 day net yield as of May 31, 2018.

Counterparty Abbreviations:

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CITI - Citibank N.A.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 85.1%
		Albania — 0.9%
		Foreign Government Obligations
	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		36,827,549
		Angola — 0.4%
		Foreign Government Obligations
	14,500,000	Angolan Government International Bond, 144A, 9.38%, due 05/08/48		15,370,000
		Argentina — 4.7%
		Foreign Government Obligations
JPY	407,485,276	Republic of Argentina, 4.33%, due 12/31/33 (c)		2,846,797
EUR	8,008,646	Republic of Argentina Discount Bond, 7.82%, due 12/31/33		9,704,243
	40,308,593	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		39,300,878
	10,786,557	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		10,975,322
EUR	112,130,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38		82,583,952
EUR	57,150,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38		42,191,298
		Total Argentina		187,602,490
		Armenia — 0.2%
		Foreign Government Obligations
	8,195,000	Republic of Armenia, Reg S, 7.15%, due 03/26/25		8,727,675
		Azerbaijan — 0.7%
		Foreign Government Agency — 0.5%
	12,650,000	Southern Gas Corridor CJSC, 144A, 6.88%, due 03/24/26		13,709,438
	7,987,000	State Oil Company of the Azerbaijan Republic, Reg S, 6.95%, due 03/18/30		8,492,577
				22,202,015
		Foreign Government Obligations — 0.2%
	7,100,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		6,851,500
		Total Azerbaijan		29,053,515
		Bahrain — 0.7%
		Foreign Government Obligations
	35,150,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		29,789,625
		Belarus — 0.1%
		Foreign Government Obligations
	3,700,000	Republic of Belarus International Bond, 144A, 6.20%, due 02/28/30		3,589,000

Par Value†		Description	Value ($)
		Belize — 0.5%
		Foreign Government Obligations
	33,578,000	Republic of Belize, Reg S, Step Up, 4.94%, due 02/20/34		19,828,984
		Brazil — 2.5%
		Foreign Government Agency — 1.8%
GBP	12,895,000	Petrobras Global Finance BV, 6.63%, due 01/16/34		17,656,235
	65,739,000	Petrobras Global Finance BV, 6.85%, due 06/05/2115		56,864,235
				74,520,470
		Foreign Government Obligations — 0.7%
	16,897,000	Republic of Brazil, 7.13%, due 01/20/37		18,333,245
	5,000,000	Republic of Brazil, 5.00%, due 01/27/45		4,068,750
	6,340,000	Republic of Brazil, 5.63%, due 02/21/47		5,591,880
				27,993,875
		Total Brazil		102,514,345
		Cameroon — 0.1%
		Foreign Government Obligations
	4,500,000	Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25		4,995,000
		Chile — 1.4%
		Foreign Government Agency — 0.6%
	17,718,000	Corp Nacional del Cobre de Chile, Reg S, 4.50%, due 09/16/25		18,149,610
	7,300,000	Corp Nacional del Cobre de Chile, Reg S, 4.50%, due 08/01/47		7,061,801
				25,211,411
		Corporate Debt — 0.8%
	3,600,000	Empresa Nacional del Petroleo, Reg. S, 4.50%, due 09/14/47		3,181,500
	20,411,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97 (c)		26,381,218
				29,562,718
		Total Chile		54,774,129
		Colombia — 1.8%
		Foreign Government Agency — 1.2%
	43,011,000	Ecopetrol SA, 7.38%, due 09/18/43		48,333,611
		Foreign Government Obligations — 0.6%
	647,000	Colombia Government International Bond, 8.38%, due 02/15/27		732,809
	15,200,000	Colombia Government International Bond, 5.63%, due 02/26/44		16,013,200
	3,800,000	Republic of Colombia, 11.85%, due 03/09/28 (b)		5,323,351
				22,069,360
		Total Colombia		70,402,971

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Congo Republic (Brazzaville) — 1.7%
		Foreign Government Obligations
	82,295,945	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c)		68,305,634
		Costa Rica — 1.2%
		Foreign Government Agency — 0.1%
	5,500,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		4,482,500
		Foreign Government Obligations — 1.1%
	44,931,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		43,470,742
		Total Costa Rica		47,953,242
		Dominican Republic — 1.8%
		Asset-Backed Securities — 0.5%
	21,402,597	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24		22,847,063
		Foreign Government Agency — 0.1%
	3,116,000	Banco de Reservas de la Republica Dominicana, Reg S, 7.00%, due 02/01/23		3,182,760
		Foreign Government Obligations — 1.2%
	15,687,000	Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27		17,734,546
	29,811,000	Dominican Republic International Bond, Reg S, 6.85%, due 01/27/45		29,665,373
				47,399,919
		Total Dominican Republic		73,429,742
		Ecuador — 1.6%
		Foreign Government Obligations
	16,700,000	Ecuador Government International Bond, Reg S, 9.63%, due 06/02/27		16,400,152
	31,400,000	Ecuador Government International Bond, 144A, 8.88%, due 10/23/27		29,513,645
	20,100,000	Ecuador Government International Bond, 144A, 7.88%, due 01/23/28		17,697,145
		Total Ecuador		63,610,942
		Egypt — 1.0%
		Foreign Government Obligations
	1,400,000	Egypt Government International Bond, Reg S, 8.50%, due 01/31/47		1,484,000
	39,000,000	Egypt Government International Bond, 144A, 7.90%, due 02/21/48		39,195,000
		Total Egypt		40,679,000
		El Salvador — 0.6%
		Foreign Government Obligations
	24,275,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		24,092,937

Par Value†		Description	Value ($)
		Ethiopia — 0.1%
		Foreign Government Obligations
	4,190,000	Federal Democratic Republic of Ethiopia, Reg S, 6.63%, due 12/11/24		4,121,912
		Gabon — 0.4%
		Foreign Government Obligations
	15,300,000	Gabonese Republic, Reg S, 6.38%, due 12/12/24		14,649,750
		Ghana — 1.0%
		Foreign Government Agency — 0.4%
	14,700,626	Saderea, Ltd., Reg S, 12.50%, due 11/30/26		16,464,702
		Foreign Government Obligations — 0.6%
	17,482,000	Republic of Ghana, Reg S, 10.75%, due 10/14/30 (d)		21,939,910
		Total Ghana		38,404,612
		Greece — 0.1%
		Foreign Government Obligations
EUR	5,800,000	Hellenic Republic Government Bond, Reg S, Step Up, 3.00%, due 02/24/36		5,746,495
		Grenada — 0.2%
		Foreign Government Obligations
	7,628,288	Grenada Government International Bond, Reg S, Step Up, 7.00%, due 05/12/30		7,094,308
		Guatemala — 0.5%
		Foreign Government Obligations
	16,195,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		21,385,497
		Honduras — 0.3%
		Foreign Government Obligations
	5,516,000	Honduras Government International Bond, Reg S, 7.50%, due 03/15/24		5,888,330
	6,646,000	Honduras Government International Bond, Reg S, 6.25%, due 01/19/27		6,692,090
		Total Honduras		12,580,420
		Hungary — 0.4%
		Foreign Government Obligations
	12,084,000	Hungary Government International Bond, 7.63%, due 03/29/41		16,766,550
		Indonesia — 3.4%
		Foreign Government Agency — 0.5%
	14,400,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		15,534,000
	6,100,000	Perusahaan Listrik Negara PT, 144A, 6.15%, due 05/21/48		6,305,875
				21,839,875

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Indonesia — continued
		Foreign Government Obligations — 2.9%
	30,000,000	Indonesia Government International Bond, 4.35%, due 01/11/48		27,562,500
	43,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		50,685,789
	35,780,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/17/42		36,540,325
				114,788,614
		Total Indonesia		136,628,489
		Iraq — 0.4%
		Foreign Government Obligations
	15,000,000	Republic of Iraq, Reg S, 5.80%, due 01/15/28		14,137,500
		Israel — 1.3%
		Foreign Government Agency
JPY	2,500,000,000	Israel Electric Corp., Ltd., 4.10%, due 01/14/32 (c)		25,796,295
	7,243,000	Israel Electric Corp., Ltd., Reg S, 7.88%, due 12/15/26		8,818,353
	12,798,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		16,635,787
		Total Israel		51,250,435
		Ivory Coast — 0.9%
		Foreign Government Obligations
EUR	19,500,000	Ivory Coast Government International Bond, 144A, 6.63%, due 03/22/48		22,454,539
	15,401,610	Ivory Coast Government International Bond, Reg S, Step Up, 5.75%, due 12/31/32		14,439,009
		Total Ivory Coast		36,893,548
		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)		4,818,800
		Foreign Government Obligations — 0.5%
	16,875,000	Jamaica Government International Bond, 7.88%, due 07/28/45		19,005,469
		Total Jamaica		23,824,269
		Jordan — 0.5%
		Foreign Government Obligations
	8,500,000	Jordan Government International Bond, 144A, 7.38%, due 10/10/47		8,117,500
	6,500,000	Jordan Government International Bond, Reg. S, 7.38%, due 10/10/47		6,207,500
	6,887,000	Jordan Government International Bond, Reg S, 5.75%, due 01/31/27		6,508,215
		Total Jordan		20,833,215

Par Value†		Description	Value ($)
		Kazakhstan — 1.2%
		Foreign Government Agency — 0.4%
	14,700,000	KazMunayGas National Co JSC, 144A, 6.38%, due 10/24/48		14,994,000
		Foreign Government Obligations — 0.8%
	28,499,000	Kazakhstan Government International Bond, Reg S, 6.50%, due 07/21/45		33,985,057
		Total Kazakhstan		48,979,057
		Kenya — 0.3%
		Foreign Government Obligations
	7,300,000	Kenya Government International Bond, 144A, 8.25%, due 02/28/48		7,245,250
	4,300,000	Kenya Government International Bond, Reg. S, 8.25%, due 02/28/48		4,267,750
		Total Kenya		11,513,000
		Macedonia — 0.5%
		Foreign Government Obligations
EUR	7,300,000	Macedonia Government International Bond, 144A, 2.75%, due 01/18/25		8,342,052
EUR	9,039,000	Macedonia Government International Bond, Reg S, 5.63%, due 07/26/23		12,018,274
		Total Macedonia		20,360,326
		Mexico — 8.5%
		Foreign Government Agency — 3.3%
	4,000,000	Petroleos Mexicanos, 6.38%, due 01/23/45		3,644,000
	76,087,000	Petroleos Mexicanos, 6.75%, due 09/21/47		71,708,193
	51,451,000	Petroleos Mexicanos, 144A, 6.35%, due 02/12/48		46,557,496
	13,800,000	Petroleos Mexicanos, Reg. S, 6.35%, due 02/12/48		12,487,482
				134,397,171
		Foreign Government Obligations — 5.2%
GBP	49,396,000	United Mexican States, 5.63%, due 03/19/14		67,746,170
	144,478,000	United Mexican States, 5.75%, due 10/12/2110		139,060,075
				206,806,245
		Total Mexico		341,203,416
		Morocco — 0.6%
		Foreign Government Agency
	20,800,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		22,386,000
		Mozambique — 0.1%
		Foreign Government Obligations
	4,744,000	Mozambique International Bond, Reg S, 10.50%, due 01/18/23 (d) (e)		3,896,010

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Nigeria — 0.4%
		Foreign Government Obligations
	7,200,000	Nigeria Government International Bond, 144A, 7.70%, due 02/23/38		7,200,000
	10,750,000	Nigeria Government International Bond, 144A, 7.63%, due 11/28/47		10,561,875
		Total Nigeria		17,761,875
		Oman — 0.5%
		Foreign Government Obligations
	21,700,000	Oman Government International Bond, 144A, 6.75%, due 01/17/48		20,642,125
		Pakistan — 1.3%
		Foreign Government Obligations
	14,100,000	Islamic Republic of Pakistan, 144A, 6.88%, due 12/05/27		13,007,250
	41,062,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		37,777,040
		Total Pakistan		50,784,290
		Panama — 0.6%
		Foreign Government Agency — 0.2%
	7,300,000	Aeropuerto Internacional de Tocumen SA, 144A, 6.00%, due 11/18/48		7,313,979
		Foreign Government Obligations — 0.4%
	7,851,000	Panama Government International Bond, 8.13%, due 04/28/34		10,687,174
	6,252,000	Panama Government International Bond, 4.30%, due 04/29/53		5,869,065
				16,556,239
		Total Panama		23,870,218
		Paraguay — 0.2%
		Foreign Government Obligations
	8,000,000	Republic of Paraguay, Reg S, 6.10%, due 08/11/44		8,250,000
		Peru — 1.5%
		Foreign Government Agency — 0.9%
	14,304,000	Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25 (c)		12,112,913
	25,895,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		25,182,888
				37,295,801
		Foreign Government Obligations — 0.6%
	5,000,000	Peru Par Bond, Series 30 Yr., Step Up, 4.00%, due 03/07/27 (b)		4,950,000
	14,295,000	Republic of Peru, 5.63%, due 11/18/50		16,564,331
				21,514,331
		Total Peru		58,810,132

Par Value†		Description	Value ($)
		Philippines — 2.7%
		Foreign Government Agency
	9,000,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c)		16,546,322
	23,300,000	Central Bank of Philippines, Series A, 8.60%, due 06/15/27		30,006,672
	42,012,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		60,953,531
		Total Philippines		107,506,525
		Qatar — 0.3%
		Foreign Government Obligations
	11,000,000	Qatar Government International Bond, 144A, 5.10%, due 04/23/48 (d)		10,945,000
		Romania — 0.2%
		Foreign Government Obligations
EUR	5,180,000	Romanian Government International Bond, Reg S, 3.88%, due 10/29/35		6,252,492
		Russia — 4.4%
		Foreign Government Agency — 2.0%
	13,575,000	Gazprom Neft OAO Via GPN Capital SA, Reg S, 4.38%, due 09/19/22		13,252,594
	41,067,000	Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34 (d)		51,333,750
	15,700,000	Sberbank of Russia Via SB Capital SA, Reg S, 5.13%, due 10/29/22		15,503,750
				80,090,094
		Foreign Government Obligations — 2.4%
	31,000,000	Russian Foreign Bond, 144A, 5.25%, due 06/23/47		29,450,000
	69,400,000	Russian Foreign Bond, Reg S, 5.25%, due 06/23/47		65,930,000
				95,380,000
		Total Russia		175,470,094
		Rwanda — 0.1%
		Foreign Government Obligations
	5,487,000	Rwanda International Government Bond, Reg S, 6.63%, due 05/02/23		5,528,152
		Saudi Arabia — 0.6%
		Foreign Government Obligations
	26,000,000	Saudi Government International Bond, 144A, 5.00%, due 04/17/49		25,122,500
		Senegal — 0.2%
		Foreign Government Obligations
	7,300,000	Senegal Government International Bond, 144A, 6.75%, due 03/13/48		6,570,000

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		South Africa — 1.7%
		Foreign Government Agency — 0.6%
ZAR	163,000,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		1,903,630
	21,975,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		22,057,406
ZAR	27,300,000	Transnet, Ltd., 13.50%, due 04/18/28		2,477,931
				26,438,967
		Foreign Government Obligations — 1.1%
	24,700,000	Republic of South Africa Government International Bond, 5.65%, due 09/27/47		23,465,000
	19,900,000	Republic of South Africa Government International Bond, 6.30%, due 06/22/48		20,248,250
				43,713,250
		Total South Africa		70,152,217
		Sri Lanka — 1.4%
		Foreign Government Obligations
	11,000,000	Sri Lanka Government International Bond, 144A, 6.75%, due 04/18/28		10,862,500
	5,700,000	Sri Lanka Government International Bond, Reg S, 6.13%, due 06/03/25		5,514,750
	17,000,000	Sri Lanka Government International Bond, Reg S, 6.85%, due 11/03/25		17,042,500
	14,280,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26		14,226,450
	7,144,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27		6,831,450
		Total Sri Lanka		54,477,650
		Suriname — 0.4%
		Foreign Government Obligations
	16,178,000	Republic of Suriname, Reg S, 9.25%, due 10/26/26		15,688,535
		Trinidad And Tobago — 0.3%
		Foreign Government Agency
	6,736,000	Petroleum Company of Trinidad and Tobago Ltd., Reg S, 9.75%, due 08/14/19		6,921,240
	7,292,000	Trinidad Generation UnLtd, Reg S, 5.25%, due 11/04/27		7,200,850
		Total Trinidad And Tobago		14,122,090
		Tunisia — 1.8%
		Foreign Government Agency
JPY	7,340,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 (c)		54,652,755
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 (c)		18,155,077
		Total Tunisia		72,807,832

Par Value†		Description	Value ($)
		Turkey — 4.6%
		Foreign Government Agency — 0.3%
	3,600,000	Export Credit Bank of Turkey, 144A, 6.13%, due 05/03/24		3,420,000
	12,200,000	Turkiye Vakiflar Bankasi TAO, 144A, 5.75%, due 01/30/23		11,163,000
				14,583,000
		Foreign Government Obligations — 4.3%
	30,744,000	Republic of Turkey, 6.75%, due 05/30/40		28,899,360
	83,302,000	Republic of Turkey, 6.00%, due 01/14/41		72,472,740
	84,513,000	Republic of Turkey, 5.75%, due 05/11/47		69,934,507
				171,306,607
		Total Turkey		185,889,607
		Ukraine — 2.2%
		Foreign Government Agency — 0.3%
	8,189,000	Oschadbank Via SSB #1 Plc, Reg S, Step Up, 9.63%, due 03/20/25		8,434,670
	3,700,000	Ukreximbank Via Biz Finance Plc, Reg S, 9.75%, due 01/22/25		3,824,875
				12,259,545
		Foreign Government Obligations — 1.9%
	33,100,000	Ukraine Government International Bond, 144A, 7.38%, due 09/25/32		30,534,750
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/21		6,199,570
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/22		6,131,856
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/23		6,642,619
	8,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24		8,585,000
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25		6,502,688
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26		5,906,144
	6,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27		6,714,447
				77,217,074
		Total Ukraine		89,476,619
		United States — 10.0%
		Asset-Backed Securities — 0.5%
	4,208,005	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + .24%, 2.16%, due 12/15/35 ◆		3,667,249
	2,251,044	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + .24%, 2.16%, due 12/15/35 ◆		2,187,101

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	2,874,637	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + .20%, 2.12%, due 05/15/36 ◆		2,700,287
	10,347,231	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 2.11%, due 11/25/36 ◆		5,199,690
	10,485,194	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + .22%, 2.18%, due 11/25/36 ◆		5,305,099
	5,680,526	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + .36%, 2.32%, due 04/25/37 ◆		3,128,420
				22,187,846
		Corporate Debt — 0.1%
	385,402	AMBAC Assurance Corp., 144A, 5.10%, due 06/07/20		518,365
	1,852,790	AMBAC LSNI LLC, 144A, Variable Rate, 3 mo. LIBOR + 5.00%, 6.81%, due 02/12/23		1,880,582
				2,398,947
		U.S. Government — 9.4%
	77,175,700	U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22 (f)		75,936,911
	47,000,000	U.S. Treasury Note, 1.38%, due 09/30/18		46,899,025
	45,000,000	U.S. Treasury Note, 3 mo. USD LIBOR + 0.05%, 1.25%, due 11/30/18 (g)		44,810,156
	60,000,000	U.S. Treasury Note, 1.25%, due 01/31/19		59,629,687
	100,000,000	U.S. Treasury Note, USBM + 0.00%, 1.90%, due 01/31/20		99,970,442
	51,500,000	U.S. Treasury Note, USBM + 0.03%, 1.94%, due 04/30/20		51,501,404
				378,747,625
		Total United States		403,334,418
		Uruguay — 1.5%
		Foreign Government Obligations
	52,218,000	Uruguay Government International Bond, 5.10%, due 06/18/50		51,761,092
	9,500,000	Uruguay Government International Bond, 4.98%, due 04/20/55		9,155,625
		Total Uruguay		60,916,717
		Venezuela — 4.2%
		Foreign Government Agency — 2.0%
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 (e)		28,980,900
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (e)		39,828,800
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (e)		13,893,001
				82,702,701

Par Value†		Description	Value ($)
		Venezuela — continued
		Foreign Government Obligations — 2.2%
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34 (e)		2,135,000
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (d) (e)		5,422,980
	55,350,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (e)		14,944,500
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (e)		49,375,600
	51,500,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (e)		15,359,875
				87,237,955
		Total Venezuela		169,940,656
		Vietnam — 0.6%
		Foreign Government Agency — 0.4%
	25,105,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		17,200,314
		Foreign Government Obligations — 0.2%
	6,428,000	Socialist Republic of Vietnam, Series 30 Yr., 6 Mo. LIBOR + .81%, 3.13%, due 03/13/28 (c)		5,528,080
		Total Vietnam		22,728,394
		Zambia — 0.2%
		Foreign Government Obligations
	7,700,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27 (d)		7,084,000
		TOTAL DEBT OBLIGATIONS (COST $3,529,570,647)		3,418,333,727
		LOAN ASSIGNMENTS — 0.0%
		Indonesia — 0.0%
	544,093	Republic of Indonesia Loan Agreement, dated September 14, 1994, 6 mo. LIBOR + 0.75%, 1.25%, due 12/16/19 (c)		504,048
EUR	616,709	Republic of Indonesia, Indonesia Paris Club Debt, 4.00%, due 06/01/21 (c)		580,376
		TOTAL LOAN ASSIGNMENTS (COST $1,260,488)		1,084,424
		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%, 6.60%, due 12/13/23 (c)		19,244,550
	14,961,750	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.60%, due 12/20/23 (c)		13,809,695
		Total Angola		33,054,245

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Egypt — 0.0%
CHF	77,747	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (b)		71,684
		Indonesia — 0.1%
	2,346,716	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR + 0.88%, 3.33%, due 09/29/19 (c)		2,173,998
	299,626	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR + 0.88%, 2.41%, due 10/14/19 (c)		277,574
		Total Indonesia		2,451,572
		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)		961,190
JPY	2,898,045,722	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		17,531,155
JPY	378,662,743	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		2,291,183
JPY	160,949,144	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		973,874
		Total Iraq		21,757,402
		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.) (c) (e)		3
		TOTAL LOAN PARTICIPATIONS (COST $77,043,005)		57,334,906
		MUTUAL FUNDS — 2.4%
		United States — 2.4%
		Affiliated Issuers
	568,012	GMO Opportunistic Income Fund, Class VI		15,143,192
	3,251,005	GMO U.S. Treasury Fund		81,210,113
		TOTAL MUTUAL FUNDS (COST $93,156,925)		96,353,305
		RIGHTS/WARRANTS — 1.0%
		Argentina — 0.7%
EUR	335,089,675	Republic of Argentina GDP Linked, Expires 12/15/35 (f)		26,050,495
JPY	740,189,000	Republic of Argentina GDP Linked, Expires 12/15/35 (c) (f)		510,311
		Total Argentina		26,560,806

Shares / Par Value†		Description	Value ($)
		Nigeria — 0.0%
	28,000	Central Bank of Nigeria Oil Warrants, Expires 11/15/20 (c)		1,726,667
		Ukraine — 0.2%
	14,446,000	Government of Ukraine GDP Linked, Expires 05/31/40 (f)		10,039,970
		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)		2,788,720
		TOTAL RIGHTS/WARRANTS (COST $55,515,265)		41,116,163
		SHORT-TERM INVESTMENTS — 9.4%
		Money Market Funds — 0.3%
	10,899,039	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.67% (h)		10,899,039
		U.S. Government — 9.1%
	63,500,000	U.S. Treasury Bill, 1.89%, due 08/30/18 (i)		63,201,550
	26,500,000	U.S. Treasury Bill, 1.91%, due 09/27/18 (i)		26,335,616
	9,000,000	U.S. Treasury Bill, 1.99%, due 10/25/18 (i)		8,928,369
	18,000,000	U.S. Treasury Bill, 2.02%, due 11/08/18 (i)		17,841,000
	27,000,000	U.S. Treasury Note, 1.38%, due 07/31/18		26,980,220
	22,000,000	U.S. Treasury Note, 1.50%, due 08/31/18		21,975,140
	200,000,000	U.S. Treasury Note, 1.50%, due 12/31/18		199,257,812
		Total U.S. Government		364,519,707
		TOTAL SHORT-TERM INVESTMENTS (COST $375,612,942)		375,418,746
		TOTAL INVESTMENTS — 99.3% (Cost $4,132,159,272)		3,989,641,271
		Other Assets and Liabilities (net) — 0.7%		28,285,381
		TOTAL NET ASSETS — 100.0%		$4,017,926,652

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

A summary of outstanding financial instruments at May 31, 2018 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/20/2018	JPM		EUR	80,027,600		USD	98,999,743		5,331,181
06/20/2018	MSCI		GBP	12,000,000		USD	16,829,520		864,915
06/18/2018	BCLY		USD	14,170,906		JPY	1,500,000,000		(369,644	)
								$	5,826,452

Reverse Repurchase Agreements^(j)

Face Value		Description	Value ($)
USD	2,539,345	JP Morgan Securities, Inc., 1.00%, dated 05/15/18, (collateral: Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34), to be repurchased on demand at face value plus accrued interest.		(2,539,345	)
USD	3,692,821	JP Morgan Securities, Inc., 1.40%, dated 05/09/18, (collateral: Zambia Government International Bond, Reg S, 8.97%, due 07/30/27), to be repurchased on demand at face value plus accrued interest.		(3,692,821	)
USD	3,992,446	JP Morgan Securities, Inc., 1.40%, dated 05/14/18, (collateral: Zambia Government International Bond, Reg S, 8.97%, due 07/30/27), to be repurchased on demand at face plus accrued interest.		(3,992,446	)
USD	6,238,718	JP Morgan Securities, Inc., 1.40%, dated 05/15/18, (collateral: Qatar Government International Bond, 144A, 5.10%, due 04/23/48), to be repurchased on demand at face value plus accrued interest.		(6,238,718	)
USD	3,270,739	JP Morgan Securities, Inc., 0.75%, dated 04/10/18, (collateral: Mozambique International Bond, Reg S, 10.50%, due 01/18/23), to be repurchased on demand at face value plus accrued interest.		(3,270,739	)
USD	9,042,856	JP Morgan Securities, Inc., 1.40%, dated 05/30/18, (collateral: Republic of Ghana, Reg S, 10.75%, due 10/14/30), to be repurchased on demand at face value plus accrued interest.		(9,042,856	)
USD	2,046,441	JP Morgan Securities, Inc., 0.25%, dated 05/08/18, (collateral: Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19), to be repurchased on demand at face value plus accrued interest.		(2,046,441	)
USD	280,021	JP Morgan Securities, Inc., 0.25%, dated 05/21/18, (collateral: Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19), to be repurchased on demand at face value plus accrued interest.		(280,021	)
			$	(31,103,387	)
		Average balance outstanding	$	(9,214,204	)
		Average interest rate		(1.72	)%
		Maximum balance outstanding	$	(31,103,387	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into reverse repurchase agreements.

Credit Linked Options

Principal / Notional Amount			Expiration Date	Description	Premiums ($)			Value ($)
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	)		(282,105	)
Put Sold	USD	9,746,000	01/20/2021	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (b)		(7,689	)		22,552
Put Sold	USD	45,000,000	01/20/2021	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (b)		(444,375	)		104,129
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	)		(957,190	)
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)		(669,268	)		57,436
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)		(2,487,222	)		(909,189	)
					$	(4,917,359	)	$	(1,964,367	)

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

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-EMS29V1-5Y

USD

282,000,000

1.00%

0.10%

N/A

06/20/2023

Quarterly

7,670,400

9,161,052

1,490,652

OTC Credit Default Swaps

Reference Entity	Counter- party	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX-2I65BZCG5	BCLY	USD	20,222,950		5.00%		1.22%		N/A		06/20/2019		Quarterly		(504,450	)		(920,144	)		(415,694	)
Republic of Brazil	JPM	USD	50,000,000		1.00%		1.00%		N/A		06/20/2019		Quarterly		1,008,872			(77	)		(1,008,949	)
Republic of Croatia	JPM	USD	44,000,000		1.00%		0.17%		N/A		06/20/2019		Quarterly		3,659,820			(382,345	)		(4,042,165	)
Commonwealth of Bahamas	DB	EUR	51,746,000		1.00%		1.63%		N/A		12/20/2020		Quarterly		7,730,397			969,482			(6,760,915	)
Commonwealth of Bahamas	DB	EUR	66,982,145		1.00%		3.99%		N/A		06/20/2025		Quarterly		9,635,537			3,099,600			(6,535,937	)
United States of Mexico	GS	USD	20,000,000		1.00%		2.20%		N/A		09/20/2031		Quarterly		2,640,655			2,300,750			(339,905	)
Sell Protection^:
Commonwealth of Bahamas	DB	USD	61,270,000		1.00%		1.83%		61,270,000 USD		12/20/2020		Quarterly		(7,515,364	)		(1,236,924	)		6,278,440
Republic of Malaysia	JPM	USD	10,000,000		1.00%		0.80%		10,000,000 USD		12/20/2022		Quarterly		(826,278	)		84,832			911,110
Commonwealth of Bahamas	DB	USD	3,487,000		1.00%		2.00%		3,487,000 USD		06/20/2023		Quarterly		(641,463	)		(155,817	)		485,646
Commonwealth of Bahamas	DB	USD	6,975,000		1.00%		2.00%		6,975,000 USD		06/20/2023		Quarterly		(1,263,915	)		(311,678	)		952,237
Republic of Croatia	JPM	USD	40,000,000		1.00%		1.00%		40,000,000 USD		06/20/2023		Quarterly		(6,395,816	)		(116	)		6,395,700
Republic of Malaysia	JPM	USD	20,000,000		1.00%		0.99%		20,000,000 USD		03/20/2024		Quarterly		(932,016	)		11,429			943,445
Peoples Republic of China	JPM	USD	4,873,000		1.00%		0.70%		4,873,000 USD		06/20/2024		Quarterly		3,073			80,257			77,184
Peoples Republic of China	JPM	USD	60,000,000		1.00%		0.70%		60,000,000 USD		06/20/2024		Quarterly		(2,413,417	)		988,180			3,401,597
Republic of Brazil	JPM	USD	27,250,000		1.00%		2.56%		27,250,000 USD		06/20/2024		Quarterly		(2,095,396	)		(2,216,030	)		(120,634	)
Peoples Republic of China	GS	USD	25,000,000		1.00%		0.78%		25,000,000 USD		03/20/2025		Quarterly		(744,727	)		335,232			1,079,959
Commonwealth of Bahamas	DB	USD	89,694,857		1.00%		4.26%		89,694,857 USD		06/20/2025		Quarterly		(10,800,222	)		(3,880,043	)		6,920,179
Indonesia	GS	USD	36,208,000		1.00%		1.60%		36,208,000 USD		06/20/2025		Quarterly		(3,153,880	)		(1,321,631	)		1,832,249
Indonesia	GS	USD	10,000,000		1.00%		1.60%		10,000,000 USD		06/20/2025		Quarterly		(961,768	)		(365,011	)		596,757
Peoples Republic of China	GS	USD	22,436,000		1.00%		0.80%		22,436,000 USD		06/20/2025		Quarterly		(590,310	)		277,487			867,797
Republic of Brazil	BOA	USD	4,873,000		1.00%		2.85%		4,873,000 USD		12/20/2025		Quarterly		(726,704	)		(559,029	)		167,675
Russia	GS	USD	2,436,000		1.00%		1.76%		2,436,000 USD		12/20/2025		Quarterly		(238,041	)		(120,208	)		117,833
Russia	GS	USD	8,487,000		1.00%		1.86%		8,487,000 USD		12/20/2026		Quarterly		(1,059,663	)		(520,312	)		539,351
Republic of Brazil	JPM	USD	40,000,000		1.00%		3.19%		40,000,000 USD		03/20/2030		Quarterly		(5,674,358	)		(7,279,962	)		(1,605,604	)
														$	(21,859,434	)	$	(11,122,078	)	$	10,737,356

^ 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.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

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 May 31, 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.

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		—		8,779,533		8,779,533
										$	—	$	8,779,533	$	8,779,533

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		—		(2,600,666	)		(2,600,666	)
1.17%		3 Month USD LIBOR	JPM		GBP	53,411,000		03/10/2026		Quarterly		—		3,973,008			3,973,008
1.26%		3 Month USD LIBOR	JPM		EUR	1,462,000		09/04/2035		Annual		—		40,260			40,260
											$	—	$	1,412,602		$	1,412,602

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
(1.53)%		EUR EURIBOR	EUR	18,000,000		03/20/2048	Annual		—		(275,399	)		(275,399	)
								$	—	$	(275,399	)	$	(275,399	)

As of May 31, 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:

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

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

CJSC - Closed Joint-Stock Company

CP - Counterparty

EURIBOR - Euro Interbank Offered Rate

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

GDP - Gross Domestic Product

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

OTC - Over-the-Counter

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

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

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

VRRB - Variable Rate Reduction Bond

The rates shown on variable rate notes are the current interest rates at May 31, 2018, which are subject to change based on the terms of the security.

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

* Non-income producing security.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

◆ These securities are primarily backed by subprime mortgages.

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

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

(c) Investment valued using significant unobservable inputs.

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

(e) Security is in default.

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

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

(h) The rate disclosed is the 7 day net yield as of May 31, 2018.

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

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

Counterparty Abbreviations:

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

USD - United States Dollar

ZAR - South African Rand

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 94.3%
		Asset-Backed Securities — 92.1%
		Auto Retail Subprime — 4.1%
	13,720,000	AmeriCredit Automobile Receivables Trust, Series 14-2, Class E, 144A, 3.37%, due 11/08/21		13,762,717
	1,524,850	CarFinance Capital Auto Trust, Series 14-1A, Class D, 144A, 4.90%, due 04/15/20		1,530,417
	1,073,840	CarFinance Capital Auto Trust, Series 13-2A, Class E, 144A, 7.86%, due 10/15/20		1,073,885
	4,130,000	CFC LLC, Series 14-2A, Class E, 144A, 5.36%, due 11/15/21		4,115,862
	2,224,071	CPS Auto Receivables Trust, Series 14-A, Class C, 144A, 3.29%, due 02/18/20		2,225,543
	3,879,430	CPS Auto Receivables Trust, Series 14-A, Class D, 144A, 5.11%, due 02/18/20		3,910,718
	6,265,989	CPS Auto Receivables Trust, Series 14-B, Class D, 144A, 4.62%, due 05/15/20		6,316,272
	1,049,647	CPS Auto Receivables Trust, Series 15-C, Class D, 144A, 4.63%, due 08/16/21		1,066,543
	2,250,000	Exeter Automobile Receivables Trust, Series 14-2A, Class D, 144A, 4.93%, due 12/15/20		2,276,166
	2,601,053	Exeter Automobile Receivables Trust, Series 14-1A, Class D, 144A, 5.53%, due 02/16/21		2,622,701
	5,377,425	Flagship Credit Auto Trust, Series 14-1, Class D, 144A, 4.83%, due 06/15/20		5,418,052
	1,400,000	Flagship Credit Auto Trust, Series 14-1, Class E, 144A, 5.71%, due 08/16/21		1,412,672
		Total Auto Retail Subprime		45,731,548
		CMBS Collateralized Debt Obligations — 1.8%
	8,586,000	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		3,647,382
	5,359,220	Capitalsource Real Estate Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + .39%, 2.73%, due 01/20/37 (a)		5,292,229
	11,003,593	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.65%, due 03/21/46		9,733,792
	1,472,695	Sorin Real Estate CDO IV Ltd., Series 06-4A, Class C, 144A, Variable Rate, 3 mo. LIBOR + .53%, 1.70%, due 10/28/46		1,467,295
		Total CMBS Collateralized Debt Obligations		20,140,698
		Collateralized Loan Obligations — 15.1%
	2,349,875	ACIS CLO Ltd., Series 13-1A, Class A2B, 144A, Variable Rate, 3 mo. LIBOR + 1.65%, 4.01%, due 04/18/24		2,352,410
	18,135,165	ACIS CLO Ltd., Series 15-6A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.59%, 3.95%, due 05/01/27		18,151,577
	37,489,650	Arrowpoint CLO Ltd., Series 15-4A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.55%, 3.91%, due 04/18/27		37,702,816

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	1,705,200	Atrium VIII, Series 8A, Class CR, 144A, Variable Rate, 3 mo. LIBOR+ 2.50%, 4.86%, due 10/23/24		1,710,641
	4,261,000	Battalion CLO VI Ltd., Series 14-6A, Class BR, 144A, Variable Rate, 3 mo. LIBOR+ 2.50%, 4.85%, due 10/17/26		4,269,288
	1,714,600	BFNS LLC, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.98 %, due 01/25/29		1,714,600
	6,006,000	BlueMountain CLO Ltd., Series 14-3A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 2.10%, 4.45%, due 10/15/26		6,011,183
	4,504,500	Carlyle Global Market Strategies CLO Ltd., Series 14-5A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 2.05%, 4.40%, due 10/16/25		4,506,950
	2,985,150	Cent CLO, Series 12-16A, Class A2R, 144A, Variable Rate, 3 mo. LIBOR+ 2.25%, 4.61%, due 08/01/24		2,987,929
	1,701,800	Cent CLO 18 Ltd., Series 13-18A, Class B1, 144A, Variable Rate, 3 mo. LIBOR + 1.55%, 3.91%, due 07/23/25		1,702,134
	8,573,000	CIFC Funding Ltd., Series 15-2A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.78%, 3.13%, due 04/15/27		8,560,466
	3,001,600	CIFC Funding Ltd., Series 12-2RA, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.16%, due 01/20/28		2,995,627
	9,875,050	Crown Point CLO II Ltd., Series 13-2A, Class A3LR, 144A, Variable Rate, 3 mo. LIBOR + 1.75%, 4.10%, due 12/31/23		9,874,783
	4,888,750	Dorchester Park CLO Ltd., Series 15-1A, Class E, 144A, Variable Rate, 3 mo. LIBOR + 5.25%, 7.61%, due 01/20/27		4,896,792
	2,581,500	GoldenTree Loan Opportunities VII Ltd., Series 13-7A, Class E, 144A, Variable Rate, 3 mo. LIBOR + 4.70%, 7.06%, due 04/25/25		2,580,519
	5,166,000	GoldenTree Loan Opportunities VII Ltd., Series 13-7A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.75%, 4.11%, due 04/25/25		5,172,411
	4,263,000	Halcyon Loan Advisors Funding Ltd., Series 12-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 5.34%, due 08/15/23		4,270,482
	1,465,400	Madison Park Funding XII Ltd, Series 14-12A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 4.71%, due 07/20/26		1,466,467
	2,000,000	Madison Park Funding XX Ltd., Series 16-20A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 3.3%, 5.67%, due 04/27/27		2,004,648
	1,292,250	Magnetite XVII Ltd., Series 16-17X, Class E, Reg. S, Variable Rate, 3 mo. LIBOR + 8.15%, 10.51%, due 04/20/28		1,299,951
	4,307,500	Marathon CLO VIII Ltd., Series 15-8A, Class A1B, 144A, Variable Rate, 3 mo. LIBOR + 1.49%, 3.85%, due 07/18/27		4,312,376

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	13,689,000	Saratoga Investment CLO Ltd., Series 13-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 3.36%, 5.72%, due 10/20/25		13,767,370
	1,309,093	Stratford CLO Ltd., Series 07-1A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 2.00%, 4.36%, due 11/01/21		1,309,524
	6,388,000	Symphony CLO II Ltd., Series 06-2A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 3.82%, due 10/25/20		6,391,890
	2,156,750	Symphony CLO VIII LP, Series 12-8A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 3.05%, 5.38%, due 01/09/23		2,160,874
	1,568,784	Voya CLO Ltd., Series 14-3A, Class A2A, 144A, Variable Rate, 3 mo. LIBOR +1.90%, 4.26%, due 07/25/26		1,569,578
	13,519,825	Zais CLO 1 Ltd., Series 14-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.4%, 3.75%, due 04/15/26		13,524,178
		Total Collateralized Loan Obligations		167,267,464
		Commercial Mortgage-Backed Securities — 12.8%
	5,454,080	Core Industrial Trust, Series 15-TEXW, Class C, 144A, 3.73%, due 02/10/34		5,471,967
	2,994,100	Core Industrial Trust, Series 15-TEXW, Class D, 144A, Variable Rate, 3.98%, due 02/10/34		3,001,738
	5,151,600	Core Industrial Trust, Series 15-WEST, Class C, 144A, 3.49%, due 02/10/37		5,031,886
	23,260,500	Core Industrial Trust, Series 15-WEST, Class E, 144A, Variable Rate, 4.37%, due 02/10/37		22,795,083
	2,769,853	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + .25%, 2.19%, due 04/15/37		2,645,656
	1,271,701	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		1,253,548
	11,025,000	GS Mortgage Securities Corp., Series 16-RENT, Class E, 144A, Variable Rate, 4.20%, due 02/10/29		10,870,556
	10,459,601	GS Mortgage Securities Corp., Series 16-GS2, Class D, 144A, 2.75%, due 05/10/49		8,368,136
	4,264,000	GS Mortgage Securities Trust, Series 11-GC3, Class F, 144A, Variable Rate, 5.00%, due 03/10/44		3,655,220
	16,659,820	GS Mortgage Securities Trust, Series 11-GC3, Class D, 144A, Variable Rate, 5.83%, due 03/10/44		17,014,158
	15,187,775	Hyatt Hotel Portfolio Trust, Series 17-HYT2, Class G, 144A, Variable Rate, 1 mo. LIBOR + 4.15%, 6.07%, due 08/09/32		15,327,364
	11,043,734	JP Morgan Chase Commercial Mortgage Securities Corp., Series 05-CB13, Class AJ, Variable Rate, 5.77%, due 01/12/43		11,192,060

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	2,432,859	JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-CB9, Class F, 144A, Variable Rate, 5.47%, due 06/12/41		2,278,372
	2,691,863	JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-C3, Class H, 144A, Variable Rate, 6.01%, due 01/15/42		2,666,179
	1,585,785	Morgan Stanley Dean Witter Capital I Trust, Series 01-TOP3, Class E, 144A, Variable Rate, 7.85%, due 07/15/33		1,686,427
	8,543,000	Union Station District of Columbia, Series 2018-USDC, Class E, 144A, 4.49%, due 08/10/50		8,317,132
	8,270,894	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 3.52%, due 03/23/45		8,238,618
	3,434,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.67%, due 04/16/35		3,323,677
	8,563,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.67%, due 04/16/35		7,957,822
		Total Commercial Mortgage-Backed Securities		141,095,599
		Residential Mortgage-Backed Securities — Other — 10.0%
	1,396,751	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + .28%, 2.24%, due 02/25/36		765,106
	21,040,961	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + .36%, 2.32%, due 02/25/36		3,984,079
	5,979,014	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		5,522,366
	8,846,123	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		3,461,256
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		1,234,445
	804,492	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + .32%, 2.28%, due 02/25/37		754,027
	5,608,590	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,307,204
	8,028,108	Conseco Financial Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		8,025,506
	3,107,924	Conseco Financial Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,875,205
	2,468,569	Countrywide Home Equity Loan Trust, Series 07-E, Class A, FSA, Variable Rate, 1 mo. LIBOR + .15%, 2.07%, due 06/15/37		2,254,626
	753,644	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .50%, 2.46%, due 10/25/34		704,506

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities— Other — continued
	2,114,330	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 6.80%, due 09/25/37		2,147,492
	7,606,533	Home Equity Loan Trust, Series 05-HS1, Class AI4, STEP, 5.61%, due 09/25/35		4,472,574
	31,759,289	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + .26%, 2.22%, due 06/25/36		4,291,070
	16,739,855	Home Loan Trust, Series 07-HI1, Class A4, STEP, 5.93%, due 03/25/37		10,375,523
	4,387,587	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + .32%, 2.28%, due 03/25/36		945,551
	788,150	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.21%, due 02/26/34		743,565
	14,449,459	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + .20%, 2.16%, due 03/25/36		1,256,388
	8,242,267	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + .34%, 2.30%, due 03/25/36		716,476
	21,974,792	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + .40%, 2.36%, due 03/25/36		1,909,985
	2,105,441	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + .90%, 2.86%, due 08/25/35		2,327,635
	8,962,136	Oakwood Mortgage Investors, Inc., Series 99-C, Class A2, 7.48%, due 08/15/27		8,806,846
	1,582,662	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,582,953
	2,836,264	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		2,877,514
	6,132,279	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		5,685,175
	11,136,570	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		6,088,694
	1,472,125	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		1,292,179
	2,666,288	PHH Mortgage Trust, Series 07-1SL, Class M2, 144A, STEP, 7.00%, due 12/25/27		2,930,923
	19,899,169	Residential Funding Mortgage Securities II, Series 06-HI4, Class A4, STEP, 5.72%, due 09/25/36		15,836,901
	1,687,978	SACO I Trust, Series 05-10, Class 2A1, Variable Rate, 1 mo. LIBOR + .52%, 2.48%, due 01/25/36		1,687,435
		Total Residential Mortgage-Backed Securities — Other		110,863,205

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Prime — 2.7%
	2,330,003	Bear Stearns ARM Trust, Series 05-6, Class 3A1, Variable Rate, 4.15%, due 08/25/35		2,275,592
	1,943,436	Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 3.52%, due 10/25/35		1,986,389
	3,728,617	Chase Mortgage Finance Trust, Series 05-A1, Class 3A1, Variable Rate, 3.37%, due 12/25/35		3,572,323
	3,680,042	Chase Mortgage Finance Trust, Series 07-A1, Class 11M1, Variable Rate, 3.73%, due 03/25/37		3,485,565
	1,437,708	Citigroup Mortgage Loan Trust, Series 05-3, Class 2A2, Variable Rate, 3.61%, due 08/25/35		1,442,942
	3,255,136	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.74%, due 12/25/36		3,106,325
	2,474,556	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.69%, due 03/25/37		2,397,316
	3,881,553	RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 3.85%, due 09/25/35		3,868,101
	2,592,590	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 3.34%, due 09/25/35		2,636,860
	2,036,615	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COFI + 1.25%, 2.07%, due 01/25/47		1,969,081
	3,331,448	Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 07-5, Class A6, 6.00%, due 06/25/37		3,318,156
		Total Residential Mortgage-Backed Securities — Prime		30,058,650
		Residential Mortgage-Backed Securities — Subprime — 1.0%
	2,578,393	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 2.18%, due 05/26/37		2,490,894
	5,258,560	Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + .11%, 2.07%, due 04/25/31		6,755,818
	1,844,004	Meritage Mortgage Loan Trust, Series 05-2, Class M2, Variable Rate, 1 mo. LIBOR + .75%, 2.71%, due 11/25/35		1,866,896
		Total Residential Mortgage-Backed Securities — Subprime		11,113,608
		Residential Mortgage-Backed Securities — Alt-A — 1.4%
	2,374,978	Adjustable Rate Mortgage Trust, Series 05-1, Class 5M1, Variable Rate, 1 mo. LIBOR + 1.05%, 3.01%, due 05/25/35		2,378,606
	2,617,755	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + .70%, 2.66%, due 05/25/36		1,516,187

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Alt-A — continued
	2,597,575	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + .70%, 2.66%, due 10/25/36		1,579,470
	2,602,049	Bear Stearns ARM Trust, Series 07-1, Class 2A1, Variable Rate, 3.85%, due 02/25/47		2,578,281
	7,638,789	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.50%, due 07/25/36		5,772,061
	1,927,631	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		1,997,605
		Total Residential Mortgage-Backed Securities — Alt-A		15,822,210
		Small Balance Commercial Mortgages — 15.0%
	687,447	Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .84%, 2.80%, due 04/25/34		671,779
	382,303	Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 3.76%, due 04/25/34		380,211
	666,191	Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 2.85%, 4.81%, due 04/25/34		669,116
	6,486,780	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .31%, 2.27%, due 08/25/35		6,160,104
	3,431,675	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .39%, 2.35%, due 01/25/36		3,219,237
	2,008,253	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .38%, 2.34%, due 04/25/36		1,890,900
	2,652,798	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .23%, 2.19%, due 07/25/36		2,562,011
	5,426,332	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .28%, 2.24%, due 07/25/36		5,256,671
	7,813,591	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.21%, due 10/25/36		7,439,370
	934,081	Bayview Commercial Asset Trust, Series 06-3A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .30%, 2.26%, due 10/25/36		891,428
	2,852,721	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .24%, 2.20%, due 07/25/37		2,716,970
	11,905,897	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .27%, 2.23%, due 07/25/37		11,710,008
	6,339,161	Bayview Commercial Asset Trust, Series 07-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .32%, 2.28%, due 07/25/37		6,043,492

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	2,732,785	Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, Variable Rate, 1 mo. LIBOR + .85%, 2.81%, due 12/25/37		2,702,805
	23,387,430	Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 3.21%, due 12/25/37		23,366,992
	21,947,599	GE Business Loan Trust, Series 06-1X, Class A, Variable Rate, 1 mo. LIBOR + .20%, 2.11%, due 05/15/34		21,154,573
	2,514,171	GE Business Loan Trust, Series 06-2A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 1.41%, 2.10%, due 11/15/34		2,467,659
	5,447,415	GE Business Loan Trust, Series 07-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .17%, 2.09%, due 04/16/35		5,324,364
	4,415,541	GE Business Loan Trust, Series 07-1A, Class D, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 2.92%, due 04/16/35		3,998,675
	3,229,861	Lehman Brothers Small Balance Commercial, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .31%, 2.27%, due 04/25/31		3,225,550
	7,540,867	Lehman Brothers Small Balance Commercial, Series 06-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .29%, 2.25%, due 09/25/36		7,464,278
	2,976,215	Lehman Brothers Small Balance Commercial, Series 06-3A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + .20%, 2.16%, due 12/25/36		2,955,878
	4,300,000	Lehman Brothers Small Balance Commercial, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .40%, 2.30%, due 06/25/37		4,060,145
	5,206,300	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.21%, due 02/25/30		5,104,189
	1,744,539	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .40%, 2.36%, due 09/25/30		1,732,239
	2,002,843	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + .52%, 2.48%, due 09/25/30		1,971,169
	5,445,606	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 144A, Variable Rate, 1 mo. LIBOR + .53%, 2.49%, due 04/25/31		5,231,464
	2,022,599	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 2.96%, due 04/25/31		1,921,690
	2,554,500	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + .39%, 2.35%, due 09/25/36		2,447,991

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	2,563,200	Morgan Stanley Capital I Trust, Series 12-STAR, Class C, 144A, 3.85%, due 08/05/34		2,568,151
	854,400	Morgan Stanley Capital I Trust, Series 12-STAR, Class D, 144A, 4.06%, due 08/05/34		856,483
	2,055,303	Velocity Commercial Capital Loan Trust, Series 16-2, Class AFL, Variable Rate, 1 mo. LIBOR + 1.80%, 3.76%, due 10/25/46		2,073,302
	9,503,550	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class C, 144A, Variable Rate, 2.87%, due 12/27/49		9,519,539
	3,430,400	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 3.24%, due 12/27/49		3,441,293
	2,585,664	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 3.40%, due 12/27/49		2,579,845
		Total Small Balance Commercial Mortgages		165,779,571
		Student Loans — Federal Family Education Loan Program — 3.7%
	10,231,368	AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 3.12%, due 01/25/23		10,020,091
	8,684,397	AccessLex Institute, Series 04-2, Class A3, Variable Rate, 3 mo. LIBOR + .19%, 2.55%, due 10/25/24		8,576,878
	10,826,967	AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + .70%, 3.06%, due 01/25/43		9,459,607
	5,551,608	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + .32%, 2.62%, due 03/28/35 (a)		5,218,511
	6,861,564	KeyCorp Student Loan Trust, Series 04-A, Class 1A2, Variable Rate, 3 mo. LIBOR + 0.24%, 2.61%, due 10/27/42		6,724,149
	1,255,232	South Carolina Student Loan Corp., Series 14-1, Class A1, Variable Rate, 1 mo. LIBOR + .75%, 2.66%, due 05/01/30		1,260,931
		Total Student Loans — Federal Family Education Loan Program		41,260,167
		Student Loans — Private — 23.8%
	6,874,448	Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .80%, 3.16%, due 07/25/34		6,526,817
	2,469,250	Access Group, Inc., Series 03-A, Class A2, Variable Rate, 3 mo. USBM +1.20%, 3.12%, due 07/01/38		2,483,241
	3,968,110	KeyCorp Student Loan Trust, Series 00-B, Class A2, Variable Rate, 3 mo. LIBOR + 0.31%, 2.06%, due 07/25/29		3,910,081
	2,070,658	KeyCorp Student Loan Trust, Series 99-B, Class CTFS, Variable Rate, 3 mo. LIBOR + 0.90%, 3.23%, due 11/25/36		2,072,315
	6,063,317	KeyCorp Student Loan Trust, Series 05-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.73%, 3.02%, due 09/27/38		6,020,895

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Private — continued
	31,059,920	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + .48%, 2.77%, due 12/27/41		30,474,192
	3,123,725	KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 3.17%, due 04/28/42		3,026,133
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 3.62%, due 07/28/42		4,096,885
	2,558,433	L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 0.50%, 2.42%, due 10/15/28		2,466,504
	7,306,685	National Collegiate Commutation Trust, Series 07-3, Class A3L, 144A, Variable Rate, 1 mo. LIBOR + .84%, 2,94%, due 03/31/38		2,901,632
	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
	1,499,540	National Collegiate Student Loan Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .21%, 2.17%, due 11/25/27		1,493,406
	2,025,199	National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.25%, 2.21%, due 03/27/28		2,019,633
	1,664,571	National Collegiate Student Loan Trust, Series 06-3, Class A4, Variable Rate, 1 mo. LIBOR + .27%, 2.23%, due 03/26/29		1,639,639
	3,990,693	National Collegiate Student Loan Trust, Series 05-2, Class A4, Variable Rate, 1 mo. LIBOR + .27%, 2.23%, due 09/25/29		3,936,904
	19,266,375	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 2.20%, due 07/25/30		18,927,514
	8,685,000	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + .31%, 2.27%, due 05/25/32		7,876,638
	12,960,000	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + .35%, 2.31%, due 03/25/33		12,020,421
	12,763,500	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 2.33%, due 06/25/33		11,624,640
	8,514,000	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 2.26%, due 10/25/33		7,428,453
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 5.50%, due 03/25/38 (a)		70,500
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 5.16%, due 03/25/38 (a)		23,000
	32,566,305	SLC Private Student Loan Trust, Series 06-A, Class C, Variable Rate, 3 mo. LIBOR + .45%, 2.80%, due 07/15/36		31,285,573
	11,471,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 4.28%, due 06/15/32 (a)		11,468,706

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Private — continued
	3,509,557	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 3.72%, due 09/15/32		1,193,848
	5,800,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 4.34%, due 09/15/32 (a)		5,800,000
	9,000,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + .43%, 2.55%, due 09/15/33		8,654,969
	5,127,839	SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .28%, 2.40%, due 12/15/38		4,967,716
	34,680,944	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + .29%, 2.41%, due 06/15/39		34,047,542
	11,931,000	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + .33%, 2.45%, due 06/15/39		11,678,880
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + .39%, 2.51%, due 12/15/39		2,087,021
	11,813,262	South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. LIBOR + 1.50%, 3.46%, due 01/25/36		11,953,766
		Total Student Loans — Private		263,028,714
		Time Share — 0.7%
	589,062	BXG Receivables Note Trust, Series 12-A, Class B, 144A, 3.99%, due 12/02/27		584,920
	2,090,820	BXG Receivables Note Trust, Series 13-A, Class B, 144A, 4.00%, due 12/04/28		2,087,365
	935,758	Diamond Resorts Owner Trust, Series 13-2, Class A, 144A, 2.27%, due 05/20/26		935,376
	608,706	Diamond Resorts Owner Trust, Series 13-2, Class B, 144A, 2.62%, due 05/20/26		608,232
	1,269,176	Marriott Vacation Club Owner Trust, Series 12-1A, Class B, 144A, Variable Rate, 3.50%, due 05/20/30		1,263,904
	220,248	Orange Lake Timeshare Trust, Series 12-AA, Class B, 144A, 4.87%, due 03/10/27		220,343
	1,908,913	Westgate Resorts LLC, Series 17-1A, Class A, 144A, 3.05%, due 12/20/30		1,893,167
		Total Time Share		7,593,307
		Total Asset-Backed Securities		1,019,754,741
		U.S. Government — 0.5%
	5,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.94%, due 04/30/20		5,000,136
		U.S. Government Agency — 1.7%
	95,586	Agency for International Development Floater (Support of Jamaica), Variable Rate, 3 mo. LIBOR + .30%, 2.62%, due 10/01/18 (b)		95,255

Par Value†		Description	Value ($)
		U.S. Government Agency — continued
	6,912,500	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR - .02%, 2.47%, due 02/01/25 (b)		6,664,181
	6,375,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + .15%, 2.63%, due 10/29/26 (b)		6,128,350
	3,877,500	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR, 2.47%, due 07/01/23 (b)		3,772,249
	2,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR - .31%, 2.03%, due 08/15/18		2,500,497
		Total U.S. Government Agency		19,160,532
		TOTAL DEBT OBLIGATIONS (COST $1,022,181,154)		1,043,915,409
		MUTUAL FUNDS — 2.6%
		United States — 2.6%
		Affiliated Issuers — 2.6%
	1,139,751	GMO U.S. Treasury Fund		28,470,992
		TOTAL MUTUAL FUNDS (COST $28,468,589)		28,470,992
		SHORT-TERM INVESTMENTS — 1.2%
		Money Market Funds — 0.3%
	3,153,771	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.67% (c)		3,153,771
		U.S. Government — 0.9%
	3,000,000	U.S. Treasury Bill, 1.72%, due 07/05/18 (d) (e)		2,995,070
	7,000,000	U.S. Treasury Bill, 2.02%, due 11/08/18 (d) (e)		6,938,167
		Total U.S. Government		9,933,237
		TOTAL SHORT-TERM INVESTMENTS (COST $13,086,895)		13,087,008

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

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.30.V1-5Y	BOA		105.00%	06/20/18		USD 21,285,000		Fixed Spread	Pay		45,569
CDX.NA.IGS.30.V1-5Y	MSCS		65.00%	06/20/18		USD 127,710,000		Fixed Spread	Pay		246,232
	Total Options on Credit Default Swaps — Puts										291,801
	TOTAL PURCHASED OPTIONS (COST $195,396)										291,801
	TOTAL INVESTMENTS — 98.1% (Cost $1,063,932,034)										1,085,765,210
	Other Assets and Liabilities (net) — 1.9%										21,124,673
	TOTAL NET ASSETS — 100.0%										$1,106,889,883

A summary of outstanding financial instruments at May 31, 2018 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/20/2018	BOA		EUR	722,305		USD	898,110		52,686
06/20/2018	MSCI		EUR	100,125		USD	118,500		1,308
06/20/2018	GS		USD	1,008,841		EUR	822,430		(46,226	)
								$	7,768

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
532	U.S. Treasury Note 2 Yr. (CBT)	September 2018		112,908,688		278,626
1,179	U.S. Treasury Note 5 Yr. (CBT)	September 2018		134,277,047		1,315,489
181	U.S. Treasury Ultra 10 Yr. (CBT)	September 2018		23,230,219		368,782
			$	270,415,954	$	1,962,897

+ 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.30.V1-5Y

CITI

102.00%

06/20/18

USD

(53,212,500)

Fixed Spread

Pay

(30,623

)

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

JPM

100.00%

06/20/18

USD

(128,010,000)

Fixed Spread

Pay

(6,307

)

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

CSI

90.00%

06/20/18

USD

(85,390,000)

Fixed Spread

Pay

(9,045

)

TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS — PUTS (Premiums $529,443)

$

(45,975

)

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount	Annual Premium	Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date	Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HYS.27.V1-5Y	USD 24,693,500	5.00%	0.50%	N/A	12/20/2021	Quarterly		(1,825,591	)		(1,771,487	)		54,104
Sell Protection^:
CDX.NA.IGS.28.V1-5Y	USD 17,200,000	1.00%	0.10%	17,200,000 USD	06/20/2022	Quarterly		300,982			293,140			(7,842	)
							$	(1,524,609	)	$	(1,478,347	)	$	46,262

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%	0.02%	N/A	12/20/2020	Quarterly		369,771			(428,654	)		(798,425	)
CDX.NA.HYS.25.V1-5Y	JPM		USD	4,343,000	5.00%	0.87%	N/A	12/20/2020	Quarterly		(26,058	)		(423,101	)		(397,043	)
CDX.NA.IGS.25.V1-5Y	BOA		USD	4,400,000	1.00%	0.003%	N/A	12/20/2020	Quarterly		710,844			(19,098	)		(729,942	)
CDX.NA.IGS.25.V1-5Y	CITI		USD	4,300,000	1.00%	0.003%	N/A	12/20/2020	Quarterly		548,249			(18,664	)		(566,913	)
CDX.NA.HYS.27.V2-5Y	GS		USD	8,580,000	5.00%	2.01%	N/A	12/20/2021	Quarterly		21,450			(775,333	)		(796,783	)
CDX.NA.HYS.27.V2-5Y	JPM		USD	4,300,000	5.00%	2.01%	N/A	12/20/2021	Quarterly		(11,825	)		(388,570	)		(376,745	)
D.R. HORTON INC	BCLY		USD	17,200,000	1.00%	0.01%	N/A	06/20/2022	Quarterly		(165,250	)		(260,397	)		(95,147	)
CDX.NA.HYS.29.V1-5Y	MSCS		USD	3,450,800	5.00%	0.04%	N/A	12/20/2022	Quarterly		(188,414	)		(135,357	)		53,057
CDX.NA.HYS.29.V1-5Y	JPM		USD	6,425,250	5.00%	0.04%	N/A	12/20/2022	Quarterly		(282,711	)		(252,028	)		30,683
Navient Corp.	BCLY		USD	2,576,400	5.00%	0.02%	N/A	12/20/2022	Quarterly		(208,665	)		(263,795	)		(55,130	)
Navient Corp.	BCLY		USD	2,576,400	5.00%	0.02%	N/A	12/20/2022	Quarterly		(198,694	)		(263,795	)		(65,101	)
Navient Corp.	BCLY		USD	3,435,200	5.00%	0.02%	N/A	12/20/2022	Quarterly		(264,646	)		(351,727	)		(87,081	)
CMBX.NA.AS.7	BOA		USD	4,505,000	1.00%	0.01%	N/A	01/17/2047	Monthly		47,352			(97,829	)		(145,181	)
CMBX.NA.AS.7	DB		USD	16,677,794	1.00%	0.01%	N/A	01/17/2047	Monthly		197,705			(362,171	)		(559,876	)
CMBX.NA.AS.7	GS		USD	4,400,000	1.00%	0.01%	N/A	01/17/2047	Monthly		112,812			(95,550	)		(208,362	)
CMBX.NA.AS.7	MSCS		USD	13,270,000	1.00%	0.01%	N/A	01/17/2047	Monthly		205,782			(288,169	)		(493,951	)
CMBX.NA.AA.8	CSI		USD	8,892,000	1.50%	0.02%	N/A	10/17/2057	Monthly		247,717			(4,899	)		(252,616	)
CMBX.NA.AS.8	CITI		USD	8,892,000	1.00%	0.01%	N/A	10/17/2057	Monthly		73,095			(160,288	)		(233,383	)
CMBX.NA.AS.8	MSCS		USD	3,384,000	1.00%	0.01%	N/A	10/17/2057	Monthly		140,432			(61,000	)		(201,432	)
CMBX.NA.BBB-8	GS		USD	8,650,000	3.00%	0.03%	N/A	10/17/2057	Monthly		1,299,082			1,081,133			(217,949	)
CMBX.NA.AAA.9	GS		USD	874,200	0.50%	0.01%	N/A	09/17/2058	Monthly		48,015			(4,156	)		(52,171	)
CMBX.NA.AAA.9	DB		USD	4,292,500	0.50%	0.01%	N/A	09/17/2058	Monthly		(5,380	)		(20,407	)		(15,027	)
CMBX.NA.AAA.9	DB		USD	21,462,500	0.50%	0.01%	N/A	09/17/2058	Monthly		(23,012	)		(102,034	)		(79,022	)
CMBX.NA.BBB-.9	DB		USD	4,400,000	3.00%	0.03%	N/A	09/17/2058	Monthly		950,085			442,325			(507,760	)
CMBX.NA.BBB-.9	GS		USD	1,760,000	3.00%	0.03%	N/A	09/17/2058	Monthly		346,611			176,930			(169,681	)
CMBX.NA.BBB-.9	MSCS		USD	8,528,000	3.00%	0.03%	N/A	09/17/2058	Monthly		974,545			857,308			(117,237	)
CMBX.NA.BBB-.9	DB		USD	4,263,000	3.00%	0.03%	N/A	09/17/2058	Monthly		517,160			428,553			(88,607	)
CMBX.NA.BBB-.10	GS		USD	2,551,200	3.00%	0.03%	N/A	11/17/2059	Monthly		236,632			228,162			(8,470	)

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

OTC Credit Default Swaps — continued

Reference Entity	Counterparty		Notional Amount			Annual Premium	Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date	Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
Sell Protection^:
CDX.NA.HYS. 27.V2-5Y		GS		USD	12,870,000	5.00%	0.74%	12,870,000 USD	12/20/2021	Quarterly		1,657,013		1,826,064		169,051
CDX.NA.HYS. 27.V2-5Y		JPM		USD	8,600,000	5.00%	0.74%	8,600,000 USD	12/20/2021	Quarterly		1,143,800		1,220,213		76,413
CDX.NA.HYS. 27.V3-5Y		BOA		USD	8,545,000	5.00%	0.01%	8,545,000 USD	12/20/2021	Quarterly		1,369,764		1,212,410		(157,354	)
CDX.NA.HYS. 29.V1-5Y		BOA		USD	5,115,600	5.00%	0.01%	5,115,600 USD	12/20/2022	Quarterly		742,274		730,432		(11,842	)
CDX.NA.HYS. 29.V1-5Y		MSCS		USD	21,567,500	5.00%	0.01%	21,567,500 USD	12/20/2022	Quarterly		4,121,549		4,039,349		(82,200	)
CDX.NA.HYS. 29.V1-5Y		BOA		USD	25,885,000	5.00%	0.01%	25,885,000 USD	12/20/2022	Quarterly		4,283,968		3,695,993		(587,975	)
CDX.NA.HYS.29.V1-5Y		MSCS		USD	10,233,600	5.00%	0.01%	10,233,600 USD	12/20/2022	Quarterly		1,547,320		1,461,205		(86,115	)
CDX.NA.HYS.29.V1-5Y		JPM		USD	42,835,000	5.00%	0.01%	42,835,000 USD	12/20/2022	Quarterly		9,136,706		8,022,512		(1,114,194	)
											$	29,675,078	$	20,645,567	$	(9,029,511	)

^ 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 May 31, 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.

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	Semi-Annual		—			412,539			412,539
1.75%	3 Month USD LIBOR	USD	20,948,000		03/16/2021	Semi-Annual		6,500			558,063			551,563
2.10%	3 Month USD LIBOR	USD	8,447,000		11/24/2021	Semi-Annual		149,033			188,872			39,839
2.59%	3 Month USD LIBOR	USD	3,584,000		02/09/2022	Semi-Annual		462			23,808			23,346
2.06%	3 Month USD LIBOR	USD	11,981,000		11/10/2022	Semi-Annual		163,222			365,237			202,015
2.15%	3 Month USD LIBOR	USD	5,100,000		10/13/2024	Semi-Annual		—			199,526			199,526
2.00%	3 Month USD LIBOR	USD	19,668,000		04/16/2025	Semi-Annual		(91,173	)		1,046,406			1,137,579
1.65%	3 Month USD LIBOR	USD	9,022,000		05/19/2026	Semi-Annual		252,588			789,126			536,538
2.88%	3 Month USD LIBOR	USD	7,356,000		06/04/2028	Semi-Annual		—			(3,930	)		(3,930	)
							$	480,632		$	3,579,647		$	3,099,015

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

OTC Total Return Swaps

Fund Pays	Fund Receives	Counter- party	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		At Maturity		—		(5,200	)		(5,200	)
Total Return on iBoxx USD Liquid Leveraged Loans Index	3 Month USD LIBOR	MSCS	USD	10,000,000		06/20/2018		At Maturity		—		(9,526	)		(9,526	)
Total Return on iBoxx USD Liquid Leveraged Loans Index	3 Month USD LIBOR	JPM	USD	40,000,000		06/20/2018		At Maturity		—		(467,039	)		(467,039	)
									$	—	$	(481,765	)	$	(481,765	)

As of May 31, 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:

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

CDO - Collateralized Debt Obligation

CLO - Collateralized Loan Obligation

CMBS - Commercial Mortgage Backed Security

COFI - Cost of Funds Index

CMT - Constant Maturity Treasury

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

LIBOR - London Interbank Offered Rate

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.

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

The rates shown on variable rate notes are the current interest rates at May 31, 2018, which are subject to change based on the terms of the security.

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

(a) Investment valued using significant unobservable inputs.

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

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

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:

EUR - Euro

USD - United States Dollar

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 102.0%
		U.S. Government — 74.5%
	81,400,000	U.S. Treasury Bill, 1.72%, due 07/05/18 (a)		81,266,233
	50,000,000	U.S. Treasury Bill, 1.85%, due 08/09/18 (a)		49,822,828
	100,000,000	U.S. Treasury Bill, 1.86%, due 08/16/18 (a)		99,608,917
	272,000,000	U.S. Treasury Bill, 1.87%, due 08/23/18 (a)		270,834,358
	85,000,000	U.S. Treasury Bill, 1.89%, due 08/30/18 (a)		84,600,500
	101,000,000	U.S. Treasury Bill, 1.91%, due 09/06/18 (a)		100,483,685
	13,473,000	U.S. Treasury Bill, 1.92%, due 09/13/18 (a)		13,398,951
	100,000,000	U.S. Treasury Bill, 1.91%, due 09/27/18 (a)		99,379,681
	90,000,000	U.S. Treasury Bill, 1.95%, due 10/04/18 (a)		89,398,828
	10,000,000	U.S. Treasury Bill, 1.96%, due 10/11/18 (a)		9,929,142
	45,000,000	U.S. Treasury Note, 1.50%, due 08/31/18		44,949,150
	75,000,000	U.S. Treasury Note, 0.75%, due 09/30/18		74,686,522
	50,000,000	U.S. Treasury Note, 0.75%, due 10/31/18		49,732,422
	100,000,000	U.S. Treasury Note, 1.00%, due 11/30/18		99,457,031
	70,000,000	U.S. Treasury Note, 1.25%, due 11/30/18		69,704,687
	50,000,000	U.S. Treasury Note, 1.38%, due 11/30/18		49,818,359
	17,000,000	U.S. Treasury Note, 1.13%, due 01/31/19		16,879,805
	50,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 1.95%, due 10/31/19		50,033,030
	227,300,000	U.S. Treasury Note, Variable Rate, 1.90%, due 01/31/20		227,232,815
	268,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.94%, due 04/30/20		268,007,306
		TOTAL U.S. GOVERNMENT (COST $1,849,786,648)		1,849,224,250
		U.S. Government Agency — 13.5%
	50,000,000	Federal Home Loan Banks, 0.88%, due 10/01/18		49,813,150
	25,000,000	Federal Home Loan Banks, Variable Rate, 1 mo. LIBOR - .09%, 1.83%, due 01/14/19		25,001,009
	100,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR - .16%, 2.20%, due 01/28/19		100,155,196
	25,000,000	Federal Home Loan Banks, Variable Rate, 1 mo. LIBOR - .08%, 1.89%, due 04/26/19		25,002,193
	55,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR - .16%, 2.20%, due 02/07/20		55,033,985
	80,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR - .23%, 2.13%, due 05/04/20		79,928,933
		TOTAL U.S. GOVERNMENT AGENCY (COST $334,919,339)		334,934,466
		Repurchase Agreements — 14.0%
	146,870,150	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 5/31/18, maturing on 6/1/18 with a maturity value of $146,880,860 and an effective yield of 2.625%, collateralized by a U.S. Treasury Note with maturity date 3/31/25 and a market value of $150,008,096.		146,870,150

Par Value† / Shares		Description	Value ($)
		Repurchase Agreements — continued
	199,797,127	Mizuho Securities USA Inc. Repurchase Agreement, dated 5/31/18, maturing on 6/1/18 with a maturity value of $199,808,227 and an effective yield of 2.00%, collateralized by a U.S. Treasury Note with maturity date 11/15/21 and a market value of $203,999,674.		199,797,127
		TOTAL REPURCHASE AGREEMENTS (COST $346,667,277)		346,667,277
		TOTAL SHORT-TERM INVESTMENTS (COST $2,531,373,264)		2,530,825,993
		TOTAL INVESTMENTS — 102.0% (Cost $2,531,373,264)		2,530,825,993
		Other Assets and Liabilities (net) — (2.0%)		(48,967,877	)
		TOTAL NET ASSETS — 100.0%		$2,481,858,116

Notes to Schedule of Investments:

LIBOR - London Interbank Offered Rate

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

The rates shown on variable rate notes are the current interest rates at May 31, 2018, which are subject to change based on the terms of the security.

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

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

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes. As of May 31, 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		876,597,600		39,470		(7,574,532)		(7,535,062)		1,161,131
Core Plus Bond Fund		1,092,336,358		6,441,038		(16,744,926)		(10,303,888)		6,227,149
Emerging Country Debt Fund		4,204,514,021		237,058,629		(451,931,379)		(214,872,750)		27,512,456
Opportunistic Income Fund		1,068,570,421		32,748,783		(15,553,994)		17,194,789		(3,911,866)
U.S. Treasury Fund		2,531,373,264		228,304		(775,575)		(547,271)		—

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 (“underlying funds”). A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 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
Asset Allocation Bond Fund
GMO U.S. Treasury Fund	$	—	$	115,011,626	$	—	$	—	$	—		$	—		$	115,011,626
Core Plus Bond Fund
GMO Emerging Country Debt Fund, Class IV	$	50,741,626	$	—	$	—	$	—	$	—		$	(1,332,035	)	$	49,409,591
GMO Opportunistic Income Fund, Class VI		193,785,692		—		—		—		—			1,834,397			195,620,089
GMO U.S. Treasury Fund		18,513,042		107,550,000		79,490,000		81,854		(13,619	)		26,064			46,585,487
Totals	$	263,040,360	$	107,550,000	$	79,490,000	$	81,854	$	(13,619	)	$	528,426		$	291,615,167
Emerging Country Debt Fund
GMO Opportunistic Income Fund, Class VI	$	15,001,189	$	—	$	—	$	—	$	—		$	142,003		$	15,143,192
GMO U.S. Treasury Fund		81,177,603		—		—		360,215		—			32,510			81,210,113
Totals	$	96,178,792	$	—	$	—	$	360,215	$	—		$	174,513		$	96,353,305
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	58,387,949	$	26,870,000	$	56,790,000	$	217,815	$	(22,743	)	$	25,786		$	28,470,992

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2018 through May 31, 2018. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2019.

Basis of presentation

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

Portfolio valuation

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a specific relevant pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds. See the table below for information about securities for which no alternative pricing source was available.

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that 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 when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees of GMO Trust (“Trustees”) or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 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 “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before 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 May 31, 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 when that a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

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

As discussed above, certain of the Funds and underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or valued using prices for which no alternative pricing source was available. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized

appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of May 31, 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%			2%
Emerging Country Debt Fund		1%	†		3%
Opportunistic Income Fund		2%	‡		10%
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 May 31, 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.

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 May 31, 2018:

Description	Level 1		Level 2			Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	35,029,743	$	703,830,792		$	—	$	738,860,535
U.S. Government Agency		15,008,796		—			—		15,008,796
TOTAL DEBT OBLIGATIONS		50,038,539		703,830,792			—		753,869,331
Mutual Funds		115,011,626		—			—		115,011,626
Short-Term Investments		181,581		—			—		181,581
Total Investments		165,231,746		703,830,792			—		869,062,538
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		3,003,420			—		3,003,420
Swap Contracts
Interest Rate Risk		—		3,573,632			—		3,573,632
Total	$	165,231,746	$	710,407,844		$	—	$	875,639,590
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(1,906,285	)	$	—	$	(1,906,285	)
Swap Contracts
Interest Rate Risk		—		(3,492,839	)		—		(3,492,839	)
Total	$	—	$	(5,399,124	)	$	—	$	(5,399,124	)
Core Plus Bond Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	22,448,903		$	—	$	22,448,903
U.S. Government		336,283,460		—			—		336,283,460
U.S. Government Agency		—		138,445,656			—		138,445,656
TOTAL DEBT OBLIGATIONS		336,283,460		160,894,559			—		497,178,019
Mutual Funds		429,845,148		—			—		429,845,148
Short-Term Investments		1,828,680		153,180,623			—		155,009,303
Total Investments		767,957,288		314,075,182			—		1,082,032,470
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		7,410,255			—		7,410,255
Futures Contracts
Interest Rate Risk		2,388,421		—			—		2,388,421
Swap Contracts
Interest Rate Risk		—		5,843,615			—		5,843,615
Total	$	770,345,709	$	327,329,052		$	—	$	1,097,674,761
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(3,507,259	)	$	—	$	(3,507,259	)
Swap Contracts
Interest Rate Risk		—		(5,921,224	)		—		(5,921,224	)
Total	$	—	$	(9,428,483	)	$	—	$	(9,428,483	)

Description	Level 1		Level 2			Level 3			Total
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	45,034,909		$	—		$	45,034,909
Corporate Debt		—		5,580,447			26,381,218			31,961,665
Foreign Government Agency		—		784,322,436			132,082,162			916,404,598
Foreign Government Obligations		—		1,922,403,519			123,781,411			2,046,184,930
U.S. Government		302,810,714		75,936,911			—			378,747,625
TOTAL DEBT OBLIGATIONS		302,810,714		2,833,278,222			282,244,791			3,418,333,727
Loan Assignments		—		—			1,084,424			1,084,424
Loan Participations		—		—			57,334,906			57,334,906
Mutual Funds		96,353,305		—			—			96,353,305
Rights/Warrants		—		36,090,465			5,025,698			41,116,163
Short-Term Investments		375,418,746		—			—			375,418,746
Total Investments		774,582,765		2,869,368,687			345,689,819			3,989,641,271
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		6,196,096			—			6,196,096
Options
Credit Risk		—		—			184,117			184,117
Swap Contracts
Credit Risk		—		17,308,301			—			17,308,301
Interest Rate Risk		—		12,792,801			—			12,792,801
Total	$	774,582,765	$	2,905,665,885		$	345,873,936		$	4,026,122,586
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(369,644	)	$	—		$	(369,644	)
Options
Credit Risk		—		—			(2,148,484	)		(2,148,484	)
Swap Contracts
Credit Risk		—		(19,269,327	)		—			(19,269,327	)
Interest Rate Risk		—		(2,876,065	)		—			(2,876,065	)
Total	$	—	$	(22,515,036	)	$	(2,148,484	)	$	(24,663,520	)
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	983,030,545		$	36,724,196		$	1,019,754,741
U.S. Government		5,000,136		—			—			5,000,136
U.S. Government Agency		2,500,497		—			16,660,035			19,160,532
TOTAL DEBT OBLIGATIONS		7,500,633		983,030,545			53,384,231			1,043,915,409
Mutual Funds		28,470,992		—			—			28,470,992
Short-Term Investments		13,087,008		—			—			13,087,008
Purchased Options		—		291,801			—			291,801
Total Investments		49,058,633		983,322,346			53,384,231			1,085,765,210
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		53,994			—			53,994
Futures Contracts
Interest Rate Risk		1,962,897		—			—			1,962,897
Swap Contracts
Credit Risk		—		25,715,729			—			25,715,729
Interest Rate Risk		—		3,583,577			—			3,583,577
Total	$	51,021,530	$	1,012,675,646		$	53,384,231		$	1,117,081,407

Description	Level 1		Level 2			Level 3		Total
Opportunistic Income Fund (continued)
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(46,226	)	$	—	$	(46,226	)
Written Options
Credit Risk		—		(45,975	)		—		(45,975	)
Swap Contracts
Credit Risk		—		(6,548,509	)		—		(6,548,509	)
Interest Rate Risk		—		(485,695	)		—		(485,695	)
Total	$	—	$	(7,126,405	)	$	—	$	(7,126,405	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments		2,184,158,716		346,667,277			—		2,530,825,993
Total Investments		2,184,158,716		346,667,277			—		2,530,825,993
Total	$	2,184,158,716	$	346,667,277		$	—	$	2,530,825,993

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

For all Funds for the period ended May 31, 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, 2018			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 May 31, 2018			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2018
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	26,126,080		$	—	$	—		$	(354	)	$	—	$	255,492		$	—	$	—	$	26,381,218		$	255,492
Foreign Government Agency		134,381,263			—		—			395,864			—		(2,694,965	)		—		—		132,082,162			(2,694,965	)
Foreign Government Obligations		123,199,974			—		—			713,287			—		(131,850	)		—		—		123,781,411			(131,850	)
Total Debt Obligations		283,707,317			—		—			1,108,797			—		(2,571,323	)		—		—		282,244,791			(2,571,323	)
Loan Assignments		1,110,398			—		—			3,505			—		(29,479	)		—		—		1,084,424			(29,479	)
Loan Participations		59,670,207			—		(882,114	)		282,207			—		(1,735,394	)		—		—		57,334,906			(1,735,394	)
Rights/Warrants		6,474,227			—		—			—			—		(1,448,529	)		—		—		5,025,698			(1,448,529	)
Total Investments		350,962,149			—		(882,114	)		1,394,509			—		(5,784,725	)		—		—		345,689,819			(5,784,725	)
Derivatives
Options		(912,233	)		—		(70,000	)		—			1,308,532		(2,290,666	)		—		—		(1,964,367	)		(831,593	)
Total	$	350,049,916		$	—	$	(952,114	)#	$	1,394,509		$	1,308,532	$	(8,075,391	)	$	—	$	—	$	343,725,452		$	(6,616,318	)
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	37,555,550		$	—	$	(857,900	)	$	46,414		$	—	$	(19,868	)	$	—	$	—	$	36,724,196		$	(19,868	)
U.S. Government Agency		17,123,540			—		(472,389	)		1,335			—		7,549			—		—		16,660,035			7,549
Total	$	54,679,090		$	—	$	(1,330,289	)##	$	47,749		$	—	$	(12,319	)	$	—	$	—	$	53,384,231		$	(12,319	)

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

# Includes $882,114 of proceeds received from principal paydowns.

## Includes $1,330,289 of proceeds received from principal paydowns.

The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Funds’ exposure, (based on each Fund’s net assets) as of May 31, 2018 were as follows:

Fund Name	Level 3 securities and derivatives
Asset Allocation Bond Fund		—
Core Plus Bond Fund		1%
Emerging Country Debt Fund		9%
Opportunistic Income Fund		5%
U.S. Treasury Fund		—

Foreign currency translation

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

Indexed investments

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

Loan assignments and participations

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

Repurchase agreements

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

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. As of May 31, 2018, the Funds listed below had entered into reverse repurchase agreements.

Fund Name	Received from reverse repurchase agreements ($)	Market value of securities plus accrued interest ($)
Emerging Country Debt Fund	$31,103,387	$31,042,208

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

Inflation-indexed bonds

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

The market price of inflation-indexed bonds normally changes when real interest rates change. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. Coupon payments received by a Fund from inflation-indexed bonds are generally included in the Fund’s gross income for the period in which they accrue. In addition, any increase/decrease in the principal amount of an inflation-indexed bond is generally included in the Fund’s gross income even though principal

is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Delayed delivery commitments and when-issued securities

The Funds (except U.S. Treasury Fund) may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The purchase of when-issued or delayed delivery securities can cause a Fund’s portfolio to be leveraged. Investments in when-issued securities also present the risk that the security will not be issued or delivered. Delayed delivery commitments outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Short sales

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

Investment and other risks

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

	Asset Allocation Bond Fund	Core Plus Bond Fund	Emerging Country Debt Fund	Opportunistic Income Fund	U.S. Treasury Fund
Commodities Risk	X
Counterparty Risk	X	X	X	X	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
Market Risk – Fixed Income	X	X	X	X	X
Non-Diversified Funds	X	X	X	X
Non-U.S. Investment Risk	X	X	X	X
Small Company Risk	X	X		X

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.

Each Fund that invests in other GMO Funds or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.

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

• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the 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, regulations or other requirements. The Funds are not subject to any limit 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 posted promptly 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 (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 the 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 broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result (and/or in anticipation) of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations, 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 also are 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 several major rating agencies to downgrade the long-term credit rating of U.S. bonds and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.

As described under “Market Risk — Asset-Backed Securities,” asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk — Asset-Backed Securities.” The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.

A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.

The extent to which the market price of a fixed income investment changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.

Credit risk is particularly pronounced for below investment grade investments (commonly referred to as “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade investments have speculative characteristics, often are less liquid than higher quality investments, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality investments, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer does not make any interest or other payments and a Fund incurs additional expenses in seeking recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, a Fund may lose a substantial portion or all of

its investment or may be required to accept cash or instruments worth less than its original investment. In the event of a 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 or may only be able to do so at an unfavorable exchange rate. Exchange rates for many 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, 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, but are not limited to, 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. 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 the Fund under an OTC derivatives contract, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s fundamental fair (or intrinsic) value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of not being able to recover what it is owed if the counterparty defaults.

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, inaccurate 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 also are 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. The Securities and Exchange Commission has proposed a rule under the Investment Company Act of 1940, as amended (the “1940 Act”), regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.

Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) have adopted similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these U.S. and European Union requirements are new and evolving (and some of the rules are not yet final), their impact on the Funds remains unclear.

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

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

Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may be required to indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility.

If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other

components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.

The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. New variation margin requirements became effective in March 2017 and new initial margin requirements will become effective in 2020. Such requirements could increase the amount of margin a Fund needs to provide in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.

These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the cost of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they historically posted for bilateral derivatives. The cost of derivatives transactions is expected to increase further as clearing members raise their fees to cover the cost of additional capital requirements and other regulatory changes applicable to the clearing members. These rules and regulations are new and evolving, and, therefore, their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Options. Some Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.

National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, GMO, and other funds advised by GMO likely constitute such a group. When applicable, these limits restrict a Fund’s ability to purchase or write options on a particular security.

Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.

Special tax rules apply to a Fund’s transactions in options, which could increase the taxes payable by shareholders subject to U.S. income taxation. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to be taxable at ordinary income tax rates. See the Funds’ Prospectus and Statement of Additional Information for more information.

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

A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index.

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 a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or in sectors within a country or region) 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, 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.

Because 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, 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 when an underlying GMO Fund has 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 exchange-traded funds (“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.” ETFs are investment companies that typically hold a portfolio of securities designed to track the price, performance, and dividend yield of a particular securities market index (or sector of an index). As investment companies, ETFs incur their own management and other fees and expenses, such as trustee fees, operating expenses, registration fees, and marketing expenses, and a Fund that invests in ETFs will bear a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could lead to higher operating expenses and poorer performance than if the Fund were to invest directly in the securities underlying the ETF.

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 unable to reenter or may be delayed in 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 deposited 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 of its affiliated entities may hold or control in a particular futures contract. In addition, an exchange may impose trading limits on the number of contracts a 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, and those limits may adversely affect the market liquidity of those futures and derivatives. 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 a foreign exchange or the laws of the country where the exchange is located. Margin and other payments made by a Fund in foreign countries may not have the same protections as payments in the United States. In addition, foreign futures contracts may be less liquid and more volatile than U.S. contracts.

• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt or equity 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 or other investments that are less liquid than those in its benchmark. The more illiquid investments a Fund has, the greater the likelihood of its paying redemption proceeds in-kind.

Historically, 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 have otherwise done 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 ultimately is not received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. In addition, redemptions and purchases of shares by a large shareholder or group of shareholders could limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.

To the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.

• LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests), reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse

changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives, similar to short sales, have the potential for unlimited loss, regardless of the size of the initial investment. Similarly, a Fund’s portfolio will be leveraged and can incur losses if the value of the Fund’s assets declines 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 decline 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 to avoid having the pledged securities liquidated to compensate for the decline.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and may cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

For many Funds, GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market movements, or characteristics. In addition, they are based on 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 security’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 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 disrupting operations. 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, and additional compliance costs. The Funds’ service providers regularly experience cyber-attacks and expect they will continue to do so. While GMO has established business continuity plans and systems designed to prevent, detect and respond to cyber-attacks, those plans and systems have inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could have material adverse consequences for those issuers and result in a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or suspend trading in specific securities or the entire market, which could prevent the Funds from among other things, buying or selling securities or accurately pricing their investments. The Funds cannot directly control cyber security plans and systems of 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 reducing 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. 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 an issuer of securities 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 have resulted, and may in the future result, in a shutdown of government services, which could adversely affect the U.S. economy, reduce the value of many Fund investments, and impair the operation of the U.S. or other securities markets. Uncertainty over the sovereign debt of several European Union countries, as well as uncertainty over 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”) and in March 2017, the United Kingdom commenced the formal process of withdrawing from the European Union. Brexit has resulted in volatility in European and global markets and could have negative long-term impacts on financial markets in the United Kingdom and throughout Europe. There is considerable uncertainty about the potential consequences and precise timeframe for Brexit, how it will be conducted, how negotiations of trade agreements will proceed, and how the financial markets will react, and as this process unfolds markets may be further disrupted. The consequences of the United Kingdom’s or another country’s exit from the European Union and/or Eurozone also could threaten the stability of the euro for remaining countries and could negatively affect the financial markets of other countries in the European region and beyond.

War, terrorism, economic uncertainty, and related geopolitical events, such as sanctions, tariffs, the imposition of exchange controls or other cross-border trade barriers, 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 market price 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 become particularly acute during periods of adverse market conditions, such as those that occurred in 2008.

As described under “Market Risk — Fixed Income” the market price of asset-backed securities, like that of other fixed income investments with complex structures, can decline for a variety of reasons, 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 performance of other service providers with access to the payment stream. A problem in any of these factors can lead to a reduction in the performance of payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security. Principal repayments of asset-backed securities are at

risk 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 issuance 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.

When worldwide economic and liquidity conditions deteriorated 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 asset-backed (as well as others) 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 can 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 2008 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 the many asset-backed securities it services. 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. The market prices of equities are volatile and can decline in a rapid or unpredictable manner. If a Fund purchases an equity for what GMO believes is less than its fundamental fair (or intrinsic) value, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment. 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 due to market 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, fixed income investments also may be repaid more slowly than anticipated, causing a decrease in their market price. 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 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 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. However, continued economic recovery, the U.S. Federal Reserve’s conclusion of its quantitative easing program, and recent increases in interest rates increase the likelihood that interest rates will continue to rise in the near future. To the extent the U.S. Federal Reserve continues to raise interest rates, there is a risk that rates across the financial system may rise, which could have an adverse effect on prices for fixed income investments and on the performance of the Funds. Other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) also could have a material adverse effect on the Funds.

• NON-DIVERSIFIED FUNDS. All of the Funds (except U.S. Treasury Fund) are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers. As a result, they may be subject to greater credit, market and other risks than if their investments were more diversified, and poor performance by a single investment may have a greater impact on their performance.

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 often are not as rigorous as 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. In addition, a Fund’s pursuit of a tax refund may subject it to administrative and judicial proceedings in the country where it is seeking the refund. 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 it will be received. In some cases, the amount of a refund could be material to a Fund’s net asset value. Generally, 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 every country, including the U.S., 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 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 securities traded 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 a Fund from obtaining a similar license. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license.

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 issuer assets; 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; less rigorous 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 and often are more volatile than the economies of developed countries.

• 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 less experience managers and depend on fewer 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 the securities of these companies.

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

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

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

Derivative financial instruments

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

The Funds may use derivatives to gain long investment exposure to securities or other assets. In particular, the Funds may use swaps, options, or other derivatives on an index, an ETF, 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, ETFs, and currencies without actually having to sell existing investments or make new direct investments. For instance, GMO may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, the Funds will typically have (or may have, in the case of Opportunistic Income Fund and U.S. Treasury Fund) gross investment exposures in excess of their net assets (i.e., the Funds will be (or may be, in the case of U.S. Treasury Fund) leveraged) and therefore are subject to heightened risk of loss. Each Fund’s (other than U.S. Treasury Fund) performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

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

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

For Funds that held derivatives during the period ended May 31, 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		X		X		X		X
Adjust exposure to foreign currencies		X		X		X
Futures contracts
Adjust interest rate exposure				X				X
Maintain the diversity and liquidity of the portfolio				X				X

Type of Derivative and Objective for Use	Asset Allocation Bond Fund		Core Plus Bond Fund		Emerging Country Debt Fund		Opportunistic Income Fund
Options (Purchased)
Adjust interest rate exposure								X
Achieve exposure to a reference entity’s credit								X
Provide a measure of protection against default loss								X
Options (Written)
Achieve exposure to a reference entity’s credit								X
Adjust interest rate exposure								X
Provide a measure of protection against default loss								X
Options (Credit linked)
Achieve exposure to a reference entity’s credit						X
Swap contracts
Achieve exposure to a reference entity’s credit						X		X
Adjust interest rate exposure		X		X		X		X
Provide a measure of protection against default loss						X		X
Provide exposure to the Fund’s benchmark				X
Adjust exposure to foreign currencies						X
Rights and/or warrants
Achieve exposure to a reference commodity/economic statistic						X

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

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

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. By purchasing options a Fund alters its exposure to the underlying

asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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

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

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

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

Swap contracts

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

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

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

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

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

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

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

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

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

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

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

Rights and warrants

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

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

The following is a summary of the valuations of derivative instruments categorized by risk exposure as of May 31, 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	$	—		$	—	$	3,003,420		$	—		$	—	$	3,003,420
Swap Contracts, at value		—			—		—			3,573,632			—		3,573,632
Total	$	—		$	—	$	3,003,420		$	3,573,632		$	—	$	6,577,052
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(1,906,285	)	$	—		$	—	$	(1,906,285	)
Swap Contracts, at value		—			—		—			(3,492,839	)		—		(3,492,839	)
Total	$	—		$	—	$	(1,906,285	)	$	(3,492,839	)	$	—	$	(5,399,124	)
Core Plus Bond Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—	$	7,410,255		$	—		$	—	$	7,410,255
Unrealized Appreciation on Futures Contracts		—			—		—			2,388,421			—		2,388,421
Swap Contracts, at value		—			—		—			5,843,615			—		5,843,615
Total	$	—		$	—	$	7,410,255		$	8,232,036		$	—	$	15,642,291
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(3,507,259	)	$	—		$	—	$	(3,507,259	)
Swap Contracts, at value		—			—		—			(5,921,224	)		—		(5,921,224	)
Total	$	—		$	—	$	(3,507,259	)	$	(5,921,224	)	$	—	$	(9,428,483	)
Emerging Country Debt Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—		$	—	$	—		$	—		$	41,116,163	$	41,116,163
Unrealized Appreciation on Forward Currency Contracts		—			—		6,196,096			—			—		6,196,096
Options, at value		184,117			—		—			—			—		184,117
Swap Contracts, at value		17,308,301			—		—			12,792,801			—		30,101,102
Total	$	17,492,418		$	—	$	6,196,096		$	12,792,801		$	41,116,163	$	77,597,478
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(369,644	)	$	—		$	—	$	(369,644	)
Options, at value		(2,148,484	)		—		—			—			—		(2,148,484	)
Swap Contracts, at value		(19,269,327	)		—		—			(2,876,065	)		—		(22,145,392	)
Total	$	(21,417,811	)	$	—	$	(369,644	)	$	(2,876,065	)	$	—	$	(24,663,520	)
Opportunistic Income Fund
Asset Derivatives
Investments, at value (purchased options)	$	291,801		$	—	$	—		$	—		$	—	$	291,801
Unrealized Appreciation on Forward Currency Contracts		—			—		53,994			—			—		53,994
Unrealized Appreciation on Futures Contracts		—			—		—			1,962,897			—		1,962,897
Swap Contracts, at value		25,715,729			—		—			3,583,577			—		29,299,306
Total	$	26,007,530		$	—	$	53,994		$	5,546,474		$	—	$	31,607,998
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(46,226	)	$	—		$	—	$	(46,226	)
Written Options, at value		(45,975	)		—		—			—			—		(45,975	)
Swap Contracts, at value		(6,548,509	)		—		—			(485,695	)		—		(7,034,204	)
Total	$	(6,594,484	)	$	—	$	(46,226	)	$	(485,695	)	$	—	$	(7,126,405	)

Subsequent Events

Subsequent to May 31, 2018, GMO Asset Allocation Bond Fund received redemption requests in the amount of $347,486,026.

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

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 89.2%
		Argentina — 1.0%
	84,153	Adecoagro SA *		684,164
		Australia — 1.8%
	466,755	Neometals Ltd		116,131
	79,111	OZ Minerals Ltd		586,695
	53,371	Quintis Ltd * (a)		—
	51,220	Sandfire Resources NL		335,315
	40,918	Tassal Group Ltd		126,958
		Total Australia		1,165,099
		Austria — 0.2%
	16,269	Zumtobel Group AG		134,584
		Canada — 2.3%
	40,663	Canadian Solar Inc *		675,413
	216,271	Capstone Mining Corp *		180,142
	13,462	Nutrien Ltd		681,198
		Total Canada		1,536,753
		China — 5.5%
	2,890,000	Century Sunshine Group Holdings Ltd *		95,516
	380,000	Chaowei Power Holdings Ltd		220,035
	347,000	China High Speed Transmission Equipment Group Co Ltd		506,446
	1,845,000	China Singyes Solar Technologies Holdings Ltd *		684,124
	2,068,500	Guodian Technology & Environment Group Corp Ltd – Class H *		119,703
	51,100	Sino Agro Food, Inc. *		19,980
	290,000	Tianneng Power International Ltd		447,576
	280,000	Wasion Group Holdings Ltd		163,533
	556,000	Xinjiang Goldwind Science & Technology Co Ltd – Class H		886,116
	140,914	Zhengzhou Yutong Bus Co Ltd – Class A		483,208
		Total China		3,626,237
		Denmark — 3.7%
	37,492	Vestas Wind Systems A/S		2,456,548
		France — 8.2%
	6,360	Albioma SA		148,372
	48,507	Electricite de France SA		643,780
	5,392	Nexans SA		241,030
	10,984	Schneider Electric SE		949,511
	39,203	STMicroelectronics NV		934,751
	56,986	Suez		782,055
	8,106	Valeo SA *		514,993
	38,441	Veolia Environnement SA		872,106
	4,537	Vilmorin & Cie SA		305,000
		Total France		5,391,598
		Germany — 4.7%
	8,451	CENTROTEC Sustainable AG		139,703
	21,782	CropEnergies AG		151,177
	11,656	Energiekontor AG		203,862
	9,982	K+S AG (Registered)		266,807

Shares		Description	Value ($)
		Germany — continued
	12,878	Nordex SE *		156,805
	1,541	OSRAM Licht AG		90,900
	74,952	PNE Wind AG (Registered)		217,382
	29,049	Senvion SA *		359,947
	11,720	Siemens AG (Registered)		1,527,460
		Total Germany		3,114,043
		Israel — 1.2%
	176,124	Israel Chemicals Ltd		815,370
		Italy — 2.3%
	13,737	CNH Industrial NV		160,550
	101,605	Enel SPA		558,403
	18,362	Prysmian SPA		513,795
	58,139	Terna Rete Elettrica Nazionale SPA		307,818
		Total Italy		1,540,566
		Japan — 9.6%
	39,300	ADEKA Corp		705,949
	3,100	Central Japan Railway Co		639,471
	4,500	East Japan Railway Co		444,173
	11,700	Ebara Corp		400,642
	70,000	GS Yuasa Corp		330,418
	65,400	Hitachi Zosen Corp		334,321
	17,200	Kubota Corp		288,781
	3,300	Kurita Water Industries Ltd		94,436
	3,500	Odelic Co Ltd		151,246
	4,700	Organo Corp		132,794
	29,400	Osaki Electric Co Ltd		224,941
	62,600	Panasonic Corp		848,824
	31,400	Renesas Electronics Corp *		310,567
	28,700	Sumitomo Forestry Co Ltd		437,046
	27,900	Takuma Co Ltd		321,042
	6,200	West Japan Railway Co		444,720
	12,000	Yokogawa Electric Corp		218,151
		Total Japan		6,327,522
		Netherlands — 2.0%
	19,359	Arcadis NV		392,034
	17,563	SIF Holding NV		373,797
	18,016	Signify NV		513,462
		Total Netherlands		1,279,293
		Norway — 6.9%
	132,266	Austevoll Seafood ASA		1,584,695
	8,339	Bakkafrost P/F		437,206
	18,892	Grieg Seafood ASA		211,980
	20,900	Marine Harvest ASA		418,144
	24,735	Salmar ASA		1,078,439
	19,573	Yara International ASA		807,950
		Total Norway		4,538,414
		Pakistan — 0.4%
	373,000	Engro Fertilizers Ltd		240,106

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Philippines — 0.3%
	1,671,600	Energy Development Corp *		168,040
		Poland — 1.7%
	49,005	KGHM Polska Miedz SA		1,127,440
		Portugal — 1.2%
	200,337	EDP – Energias de Portugal SA		783,547
		Russia — 5.5%
	91,419	MMC Norilsk Nickel PJSC ADR		1,620,141
	46,873	PhosAgro PJSC GDR (Registered)		622,310
	124,517	Ros Agro Plc GDR (Registered)		1,388,594
		Total Russia		3,631,045
		South Korea — 1.0%
	2,023	LG Chem Ltd		633,845
		Spain — 2.8%
	1,723	Acciona SA		130,504
	1,786	Construcciones y Auxiliar de Ferrocarriles SA		83,883
	25,374	Endesa SA		559,823
	109,907	Iberdrola SA		780,490
	14,467	Red Electrica Corp SA		282,459
		Total Spain		1,837,159
		Switzerland — 0.5%
	352	Gurit Holding AG		297,000
		Ukraine — 0.7%
	32,403	Kernel Holding SA		458,370
		United Kingdom — 3.1%
	36,491	Antofagasta Plc		510,965
	15,891	Go-Ahead Group Plc		354,788
	52,032	National Grid Plc		574,276
	55,294	Polypipe Group Plc		283,305
	142,445	Stagecoach Group Plc		283,283
		Total United Kingdom		2,006,617
		United States — 22.6%
	3,300	AGCO Corp.		209,880
	13,700	Albemarle Corp.		1,280,539
	11,000	BorgWarner, Inc.		536,580
	17,500	Darling Ingredients, Inc. *		328,825
	2,700	Deere & Co.		403,677
	7,800	Delphi Technologies Plc		390,780

Shares		Description	Value ($)
		United States — continued
	11,500	Eaton Corp Plc		880,670
	3,300	EnerSys		263,703
	18,700	Exelon Corp.		773,993
	24,500	First Solar, Inc. *		1,656,445
	166,751	Freeport-McMoRan, Inc.		2,818,092
	3,700	Mosaic Co. (The)		101,713
	2,300	Owens Corning		145,406
	28,300	PG&E Corp.		1,226,239
	19,500	Renewable Energy Group, Inc. *		348,075
	16,600	Shiloh Industries, Inc. *		172,308
	60,200	SolarEdge Technologies, Inc. *		3,362,170
		Total United States		14,899,095
		TOTAL COMMON STOCKS (COST $58,233,962)		58,692,455
		PREFERRED STOCKS (b) — 5.2%
		Chile — 5.2%
	65,500	Sociedad Quimica y Minera de Chile SA Sponsored ADR		3,414,515
		TOTAL PREFERRED STOCKS (COST $3,201,119)		3,414,515
		MUTUAL FUNDS — 5.1%
		United States — 5.1%
		Affiliated Issuers — 5.1%
	136,285	GMO U.S. Treasury Fund		3,404,394
		TOTAL MUTUAL FUNDS (COST $3,403,527)		3,404,394
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Fund — 0.3%
	189,157	State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (c)		189,157
		TOTAL SHORT-TERM INVESTMENTS (COST $189,157)		189,157
		TOTAL INVESTMENTS — 99.8% (Cost $65,027,765)		65,700,521
		Other Assets and Liabilities (net) — 0.2%		111,731
		TOTAL NET ASSETS — 100.0%		$65,812,252

Notes to Schedule of Investments:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

* Non-income producing security.

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

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

(c) The rate disclosed is the 7 day net yield as of May 31, 2018.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 70.4%
		Brazil — 2.5%
	3,208,139	Banco BTG Pactual SA		16,756,987
	2,835,457	JHSF Participacoes SA *		891,127
	3,671,747	LPS Brasil Consultoria de Imoveis SA *		3,242,650
	1,183,787	M Dias Branco SA		13,343,699
	5,019,300	Rumo SA *		18,598,024
		Total Brazil		52,832,487
		China — 26.7%
	31,542,300	Agricultural Bank of China Ltd – Class H		16,192,104
	365,207	Alibaba Group Holding Ltd Sponsored ADR *		72,314,638
	1,278,000	Anhui Conch Cement Co Ltd – Class H		7,803,655
	25,400	Baidu Inc Sponsored ADR *		6,161,024
	27,024,550	China Construction Bank Corp – Class H		27,200,755
	8,030,700	China International Capital Corp Ltd – Class H		16,855,555
	412,016	China Lodging Group Ltd Sponsored ADR		18,132,824
	8,131,021	China Merchants Bank Co Ltd – Class H		33,226,534
	3,549,616	Gree Electric Appliances Inc of Zhuhai – Class A		26,252,239
	10,708,000	Greentown Service Group Co Ltd		11,002,232
	4,254,700	Haitian International Holdings Ltd		12,074,759
	1,764,343	Hangzhou Robam Appliances Co Ltd – Class A		9,763,338
	1,740,245	Huayu Automotive Systems Co Ltd – Class A		6,932,186
	33,446,000	Industrial & Commercial Bank of China Ltd – Class H		27,625,653
	947,600	Inner Mongolia Yili Industrial Group Co Ltd – Class A *		4,578,466
	535,338	Jiangsu Yanghe Brewery Joint-Stock Co Ltd – Class A		11,984,328
	9,722,000	Kingdee International Software Group Co Ltd		10,599,654
	104,794	Kweichow Moutai Co Ltd – Class A		12,251,832
	2,691,138	Midea Group Co Ltd – Class A		22,207,718
	1,608,761	Minth Group Ltd		7,361,926
	161,600	New Oriental Education & Technology Group Inc Sponsored ADR		16,074,352
	3,607,000	Ping An Insurance Group Co of China Ltd – Class H		35,138,652
	168,400	TAL Education Group ADR *		7,150,264
	2,408,200	Tencent Holdings Ltd		122,943,710
	218,600	Weibo Corp Sponsored ADR *		22,277,526
		Total China		564,105,924
		Hong Kong — 4.0%
	6,370,896	AIA Group Ltd		58,150,353
	24,668,000	WH Group Ltd		25,272,944
		Total Hong Kong		83,423,297
		Hungary — 0.5%
	319,808	OTP Bank Plc		11,460,577
		India — 16.7%
	1,550,416	Action Construction Equipment Ltd		3,726,237
	499,595	Amber Enterprises India Ltd * (a) (b)		7,969,631
	555,538	Asian Granito India Ltd		3,493,596

Shares		Description	Value ($)
		India — continued
	1,599,830	Axis Bank Ltd		12,872,780
	588,896	Bombay Burmah Trading Co		14,078,391
	997,041	CCL Products India Ltd		4,350,405
	1,206,095	CMI Ltd (c)		4,648,736
	339,751	Dixon Technologies India Ltd * (a) (b)		16,429,859
	437,096	Dollar Industries Ltd		2,415,058
	4,320,308	Edelweiss Financial Services Ltd		20,765,889
	10,683,040	Gayatri Highways Ltd * (a) (c)		1,108,158
	11,808,095	Gayatri Projects Ltd * (c)		32,514,448
	2,670,410	HDFC Bank Ltd (d)		87,110,897
	71,900	HDFC Bank Ltd ADR		7,651,598
	20,814,127	Himachal Futuristic Communications Ltd *		7,908,482
	2,935,828	ICICI Bank Ltd		12,467,146
	300,397	IndusInd Bank Ltd		8,727,572
	1,283,184	Kotak Mahindra Bank Ltd		25,038,046
	1,915,280	Mahindra & Mahindra Financial Services Ltd		13,830,536
	4,401,708	MEP Infrastructure Developers Ltd		5,183,323
	1,850,095	Muthoot Finance Ltd		10,593,665
	644,404	Navin Fluorine International Ltd		6,551,582
	1,508,942	Sangam India Ltd		2,481,637
	275,355	Shriram Transport Finance Co Ltd		5,923,983
	1,139,949	Srikalahasthi Pipes Ltd		5,334,638
	850,015	Sun TV Network Ltd		11,542,821
	871,125	Titan Co Ltd		11,711,758
	207,102	V-Mart Retail Ltd		7,300,281
		Total India		353,731,153
		Indonesia — 1.1%
	7,714,262	Bank Central Asia Tbk PT		12,562,933
	30,359,200	Bank Tabungan Negara Persero Tbk PT		6,648,448
	56,164,500	Malindo Feedmill Tbk PT		2,885,395
		Total Indonesia		22,096,776
		Mexico — 0.4%
	1,761,800	Grupo Financiero Banorte SAB de CV – Class O		9,333,420
		Peru — 1.0%
	98,700	Credicorp Ltd		21,854,154
		Philippines — 4.3%
	6,388,062	Bank of the Philippine Islands		11,553,364
	8,180,602	BDO Unibank Inc		20,330,856
	5,499,000	Century Pacific Food Inc		1,764,325
	13,449,276	Concepcion Industrial Corp		14,023,214
	5,124,042	Philippine Seven Corp		12,473,100
	22,084,490	Puregold Price Club Inc		19,561,262
	22,097,468	Semirara Mining & Power Corp		12,017,369
		Total Philippines		91,723,490
		Russia — 2.1%
	2,330,867	Sberbank of Russia Sponsored ADR		33,424,554
	328,400	Yandex NV – Class A *		11,007,968
		Total Russia		44,432,522

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		South Africa — 0.8%
	382,281	Nedbank Group Ltd		8,203,215
	511,135	Standard Bank Group Ltd		8,315,642
		Total South Africa		16,518,857
		Taiwan — 4.9%
	7,377,000	Cathay Financial Holding Co Ltd		13,150,168
	28,305,000	CTBC Financial Holding Co Ltd		20,311,247
	41,144,000	E.Sun Financial Holding Co Ltd		28,645,237
	3,816,000	Fubon Financial Holding Co Ltd		6,613,871
	14,228,366	Uni-President Enterprises Corp		34,673,198
		Total Taiwan		103,393,721
		Thailand — 2.6%
	10,370,200	CP ALL Pcl (Foreign Registered)		26,136,954
	133,796,983	Quality Houses Pcl (Foreign Registered)		13,602,205
	5,980,900	Tisco Financial Group Pcl (Foreign Registered)		15,481,691
		Total Thailand		55,220,850
		United Kingdom — 1.8%
	698,921	Unilever Plc		38,534,296
		United States — 1.0%
	332,300	Colgate-Palmolive Co.		20,964,807
		TOTAL COMMON STOCKS (COST $1,418,562,424)		1,489,626,331
		PREFERRED STOCKS (e) — 2.0%
		Brazil — 2.0%
	3,523,900	Itau Unibanco Holding SA		40,603,167
		TOTAL PREFERRED STOCKS (COST $54,272,849)		40,603,167
		INVESTMENT FUNDS — 19.8%
		Brazil — 0.9%
	507,300	iShares MSCI Brazil Capped ETF		18,070,026
		South Korea — 4.3%
	1,261,600	iShares MSCI South Korea Capped ETF		91,011,824

Shares / Par Value†		Description	Value ($)
		Taiwan — 4.6%
	2,674,223	iShares MSCI Taiwan Capped ETF		97,956,788
		Thailand — 1.3%
	60,887,092	Digital Telecommunication Infrastructure Fund		27,620,374
		United States — 8.7%
	4,042,220	iShares MSCI Emerging Markets ETF		184,689,032
		TOTAL INVESTMENT FUNDS (COST $432,956,306)		419,348,044
		MUTUAL FUNDS — 5.9%
		United States — 5.9%
		Affiliated Issuers — 5.9%
	5,004,657	GMO U.S. Treasury Fund		125,016,332
		TOTAL MUTUAL FUNDS (COST $124,999,912)		125,016,332
		SHORT-TERM INVESTMENTS — 1.4%
		Money Market Fund — 0.8%
	18,027,961	State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (f)		18,027,961
		U.S. Government — 0.6%
	2,000,000	U.S. Treasury Bill, 1.72%, due 07/05/18 (g) (h)		1,996,713
	7,000,000	U.S. Treasury Bill, 1.87%, due 08/23/18 (g) (h)		6,970,002
	3,000,000	U.S. Treasury Bill, 2.08%, due 01/03/19 (g) (h)		2,963,280
		Total U.S. Government		11,929,995
		TOTAL SHORT-TERM INVESTMENTS (COST $29,963,772)		29,957,956
		TOTAL INVESTMENTS — 99.5% (Cost $2,060,755,263)		2,104,551,830
		Other Assets and Liabilities (net) — 0.5%		11,599,022
		TOTAL NET ASSETS — 100.0%		$2,116,150,852

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 May 31, 2018
Amber Enterprises India Ltd	12/11/2017	$	6,214,810	0.38%	$	7,969,631
Dixon Technologies India Ltd	8/04/2017		9,417,811	0.78%		16,429,859
					$	24,399,490

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

A summary of outstanding financial instruments at May 31, 2018 is as follows:

Forward Currency Contracts

Settlement Date	Counterparty	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/24/2019	MSCI		PHP	1,999,356,086		USD	38,279,841		980,277
02/20/2019	MSCI		PHP	1,020,320,426		USD	19,069,628		70,898
06/08/2018	MSCI		PHP	1,979,635,372		USD	39,251,222		1,597,826
06/08/2018	MSCI		USD	37,785,996		PHP	1,979,635,372		(132,600	)
01/24/2019	MSCI		USD	23,036,289		PHP	1,222,215,700		(234,892	)
								$	2,281,509

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
1,801	Mini MSCI Emerging Markets	June 2018	$	101,009,085	$	(2,392,331	)
Sales
2,556	SGX CNX Nifty Index 50	June 2018	$	54,707,247	$	(126,569	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
Total return on MSCI Daily TR Gross Emerging Markets Philippines USD	1 Month LIBOR plus 0.50%	GS	USD	12,812,860		03/20/2019		Monthly		—		285,156		285,156
Total return on MSCI Daily TR Gross Emerging Markets Philippines USD	1 Month LIBOR plus 0.50%	GS	USD	17,621,212		04/08/2019		Monthly		—		363,155		363,155
Total return on MSCI Daily TR Gross Emerging Markets Philippines USD	1 Month LIBOR plus 0.50%	GS	USD	8,588,002		04/10/2019		Monthly		—		182,398		182,398
Total return on MSCI Daily TR Gross Emerging Markets Philippines USD	1 Month LIBOR plus 0.50%	GS	USD	11,280,138		04/12/2019		Monthly		—		436,270		436,270
									$	—	$	1,266,979	$	1,266,979

As of May 31, 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.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

Notes to Schedule of Investments:

ADR - American Depositary Receipt

ETF - Exchange-Traded Fund

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

LIBOR - London Interbank Offered Rate

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

* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

(b) The security is restricted as to resale.

(c) Affiliated company.

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

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

(f) The rate disclosed is the 7 day net yield as of May 31, 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.

Counterparty Abbreviations:

GS - Goldman Sachs International

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

PHP - Philippine Peso

USD - United States Dollar

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 91.9%
		Brazil — 0.4%
	806,446	Banco BTG Pactual SA		4,212,288
	645,704	JHSF Participacoes SA *		202,932
	1,649,905	LPS Brasil Consultoria de Imoveis SA *		1,457,090
	301,750	M Dias Branco SA		3,401,339
	66,700	Qualicorp SA		340,747
	1,271,835	Rumo SA *		4,712,533
	737,551	Transmissora Alianca de Energia Eletrica SA		3,804,960
		Total Brazil		18,131,889
		Chile — 0.1%
	1,769,109	AES Gener SA		462,670
	172,396	Inversiones La Construccion SA		2,981,220
		Total Chile		3,443,890
		China — 19.2%
	4,467,000	361 Degrees International Ltd		1,403,151
	156,000	Agile Group Holdings Ltd		294,707
	96,451,990	Agricultural Bank of China Ltd – Class H		49,513,214
	5,163,946	Aier Eye Hospital Group Co Ltd – Class A		26,563,282
	249,322	Alibaba Group Holding Ltd Sponsored ADR *		49,368,249
	1,046,900	Anhui Conch Cement Co Ltd – Class H		6,392,525
	1,230,000	Anhui Expressway Co Ltd – Class H		857,003
	283,000	ANTA Sports Products Ltd		1,633,331
	5,300	Baidu Inc Sponsored ADR *		1,285,568
	104,349,682	Bank of China Ltd – Class H		54,490,592
	1,914,000	Baoye Group Co Ltd – Class H *		1,401,264
	510,700	Changyou.com Ltd ADR		9,565,411
	7,040,560	China Communications Services Corp Ltd – Class H		4,520,198
	121,287,606	China Construction Bank Corp – Class H		122,078,422
	1,665,700	China International Capital Corp Ltd – Class H		3,496,121
	2,127,368	China International Travel Service Corp Ltd – Class A		22,462,658
	89,600	China Lodging Group Ltd Sponsored ADR		3,943,296
	23,466,000	China Machinery Engineering Corp – Class H		12,947,229
	1,779,308	China Merchants Bank Co Ltd – Class H		7,270,949
	3,064,837	China Mobile Ltd		27,437,618
	148,200	China Mobile Ltd Sponsored ADR		6,657,144
	4,942,000	China Overseas Land & Investment Ltd		16,421,167
	29,000	China Petroleum & Chemical Corp ADR		2,826,050
	24,350,000	China Petroleum & Chemical Corp – Class H		23,687,171
	4,140,000	China Reinsurance Group Corp – Class H		926,852
	4,158,000	China Resources Land Ltd		15,198,309
	6,680,000	China Shenhua Energy Co Ltd – Class H		17,376,933
	885,100	China Vanke Co Ltd – Class H		3,146,008
	1,476,000	CIFI Holdings Group Co Ltd		1,136,383
	3,742,000	Country Garden Holdings Co Ltd		7,271,724
	3,400	GDS Holdings Ltd ADR *		128,554
	127,000	Geely Automobile Holdings Ltd		356,634
	872,500	Great Wall Motor Co Ltd – Class H		850,831
	725,600	Gree Electric Appliances Inc of Zhuhai – Class A		5,366,390

Shares		Description	Value ($)
		China — continued
	2,558,000	Greentown Service Group Co Ltd		2,628,288
	9,374,000	Guangdong Investment Ltd		15,735,027
	1,131,500	Haitian International Holdings Ltd		3,211,176
	918,637	Hangzhou Robam Appliances Co Ltd – Class A		5,083,458
	183,500	Hengan International Group Co Ltd		1,743,804
	26,700	Hollysys Automation Technologies Ltd		637,329
	10,248,000	Hua Han Health Industry Holdings Ltd * (a)		679,437
	10,213,000	Huabao International Holdings Ltd		6,721,250
	442,612	Huayu Automotive Systems Co Ltd – Class A		1,763,125
	101,081,947	Industrial & Commercial Bank of China Ltd – Class H		83,491,443
	193,486	Inner Mongolia Yili Industrial Group Co Ltd – Class A *		934,856
	111,500	Jiangsu Yanghe Brewery JSC Ltd – Class A		2,496,092
	658,005	Jumei International Holding Ltd ADR *		1,710,813
	56,000	Kingboard Laminates Holdings Ltd		73,668
	2,086,000	Kingdee International Software Group Co Ltd		2,274,314
	23,531	Kweichow Moutai Co Ltd – Class A		2,751,091
	137,228	Kweichow Moutai Co Ltd – Class A		16,043,804
	1,802,000	Logan Property Holdings Co Ltd		2,693,555
	773,500	Longfor Properties Co Ltd		2,303,325
	1,168,555	Midea Group Co Ltd – Class A		9,643,110
	602,957	Midea Group Co Ltd – Class A		4,975,701
	334,090	Minth Group Ltd		1,528,845
	35,100	New Oriental Education & Technology Group Inc Sponsored ADR		3,491,397
	4,375,000	People’s Insurance Co Group of China Ltd (The) – Class H		2,059,853
	9,090,000	PICC Property & Casualty Co Ltd – Class H		15,946,576
	1,692,000	Ping An Insurance Group Co of China Ltd – Class H		16,483,116
	5,152,400	Qingling Motors Co Ltd – Class H		1,717,193
	2,227,600	SAIC Motor Corp Ltd – Class A		12,595,908
	4,458,000	Shenzhen Investment Ltd		1,884,571
	871,500	Shimao Property Holdings Ltd		2,555,946
	35,300	TAL Education Group ADR *		1,498,838
	1,882,865	Tencent Holdings Ltd		96,124,246
	300,800	Tencent Holdings Ltd ADR		15,361,104
	45,700	Weibo Corp Sponsored ADR *		4,657,287
	2,000	Wisdom Education International Holdings Co Ltd		1,742
	22,000	Xiabuxiabu Catering Management China Holdings Co Ltd		46,441
	6,108,700	Yangzijiang Shipbuilding Holdings Ltd		4,372,558
	10,482,000	Zhejiang Expressway Co Ltd – Class H		10,452,544
	500,573	Zhejiang Supor Cookware Co Ltd – Class A		4,042,963
		Total China		870,690,732
		Czech Republic — 0.3%
	1,515	CEZ AS		37,881
	2,197,267	Moneta Money Bank AS		7,680,687
	6,261	Philip Morris CR AS		4,130,386
		Total Czech Republic		11,848,954

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Egypt — 0.0%
	2,603,038	Alexandria Mineral Oils Co		1,815,266
	1,581,356	Global Telecom Holding SAE *		430,355
		Total Egypt		2,245,621
		Hungary — 0.1%
	67,443	OTP Bank Plc		2,416,874
		India — 3.3%
	23,510	ACC Ltd		473,109
	317,300	Action Construction Equipment Ltd		762,592
	125,042	Asian Granito India Ltd		786,348
	1,070,235	Aurobindo Pharma Ltd		8,800,980
	344,855	Axis Bank Ltd		2,774,822
	122,465	Bombay Burmah Trading Co		2,927,699
	202,610	CCL Products India Ltd		884,052
	293,346	CMI Ltd		1,130,664
	574,247	Divi’s Laboratories Ltd		8,924,674
	38,430	Dixon Technologies India Ltd *		1,858,418
	903,652	Edelweiss Financial Services Ltd		4,343,472
	16,772,852	Gayatri Highways Ltd * (a) (b)		1,739,858
	16,772,852	Gayatri Projects Ltd * (b)		46,185,267
	580,723	HDFC Bank Ltd (c)		18,943,646
	13,500	HDFC Bank Ltd ADR		1,436,670
	6,258,236	Himachal Futuristic Communications Ltd *		2,377,863
	608,152	ICICI Bank Ltd		2,582,549
	753,918	IDFC Bank Ltd		453,957
	65,326	IndusInd Bank Ltd		1,897,946
	3,013,682	Jai Balaji Industries Ltd *		436,189
	1,322,083	Kiri Industries Ltd *		10,516,358
	276,114	Kotak Mahindra Bank Ltd		5,387,657
	432,592	Mahindra & Mahindra Financial Services Ltd		3,123,814
	917,800	MEP Infrastructure Developers Ltd		1,080,774
	252,274	Mphasis Ltd		4,100,273
	383,478	Muthoot Finance Ltd		2,195,799
	151,676	Navin Fluorine International Ltd		1,542,073
	765,633	Power Finance Corp Ltd		920,700
	528,333	Sangam India Ltd		868,908
	57,748	Shriram Transport Finance Co Ltd		1,242,390
	253,494	Srikalahasthi Pipes Ltd		1,186,280
	176,187	Sun TV Network Ltd		2,392,540
	180,790	Tata Motors Ltd – Class A *		454,637
	195,000	Titan Co Ltd		2,621,659
	44,728	V-Mart Retail Ltd		1,576,648
	1,706,236	Vakrangee Ltd		824,263
		Total India		149,755,548
		Indonesia — 2.0%
	36,453,900	Adaro Energy Tbk PT		4,937,049
	8,877,300	Astra International Tbk PT		4,391,481
	5,454,800	Bank Central Asia Tbk PT		8,883,324
	14,263,500	Bank Mandiri Persero Tbk PT		7,201,174
	6,599,600	Bank Negara Indonesia Persero Tbk PT		4,013,080
	93,012,600	Bank Pembangunan Daerah Jawa Timur Tbk PT		4,606,626
	105,176,200	Bank Rakyat Indonesia Persero Tbk PT		23,232,368

Shares		Description	Value ($)
		Indonesia — continued
	6,366,400	Bank Tabungan Negara Persero Tbk PT		1,394,196
	10,491,100	Bukit Asam Tbk PT		2,856,737
	7,420,091	Indo Tambangraya Megah Tbk PT		13,769,832
	8,949,300	Malindo Feedmill Tbk PT		459,762
	171,996,500	Panin Financial Tbk PT *		2,745,526
	27,311,100	Telekomunikasi Indonesia Persero Tbk PT		6,853,715
	40,972	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		1,012,418
	1,200,200	United Tractors Tbk PT		3,024,414
	2,807,800	XL Axiata Tbk PT *		422,664
		Total Indonesia		89,804,366
		Malaysia — 0.1%
	75,200	Fraser & Neave Holdings Berhad		714,885
	5,772,388	KSL Holdings Berhad *		1,270,015
	2,890,200	Sapura Energy Berhad *		399,400
	3,245,567	UOA Development Berhad		2,106,769
	2,230,100	YTL Power International Berhad		459,258
		Total Malaysia		4,950,327
		Mexico — 0.6%
	731,930	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand – Class B		957,085
	2,479,900	Corp Inmobiliaria Vesta SAB de CV		3,114,695
	562,000	Credito Real SAB de CV SOFOM ER		682,189
	3,114,000	Gentera SAB de CV		2,399,750
	222,100	Grupo Aeroportuario del Centro Norte SAB de CV		1,056,900
	11,300	Grupo Aeroportuario del Centro Norte SAB de CV ADR		430,304
	368,300	Grupo Financiero Banorte SAB de CV – Class O		1,951,129
	730,500	Grupo Financiero Inbursa SAB de CV – Class O		1,032,131
	779,000	Grupo Lala SAB de CV		848,732
	518,100	Kimberly-Clark de Mexico SAB de CV – Class A		866,849
	140,660	Promotora y Operadora de Infraestructura SAB de CV *		1,262,824
	224,600	Unifin Financiera SAB de CV SOFOM ENR		638,959
	5,546,600	Wal-Mart de Mexico SAB de CV		13,968,945
		Total Mexico		29,210,492
		Pakistan — 0.1%
	504,200	Engro Corp Ltd		1,332,058
	1,725,000	Engro Fertilizers Ltd		1,110,410
	1,174,100	Oil & Gas Development Co Ltd		1,653,838
	285,250	Pakistan Oilfields Ltd		1,664,125
		Total Pakistan		5,760,431
		Peru — 0.3%
	57,900	Credicorp Ltd		12,820,218
		Philippines — 0.7%
	1,303,633	Bank of the Philippine Islands		2,357,733
	1,701,224	BDO Unibank Inc		4,227,970
	3,020,358	Concepcion Industrial Corp		3,149,250

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Philippines — continued
	2,748,677	First Gen Corp		784,750
	1,046,870	Manila Electric Co		6,424,230
	7,115,000	Manila Water Co Inc		3,839,945
	20,677,000	Megaworld Corp		1,911,631
	1,226,643	Philippine Seven Corp		2,985,932
	4,592,648	Puregold Price Club Inc		4,067,922
	4,399,280	Semirara Mining & Power Corp		2,392,481
		Total Philippines		32,141,844
		Poland — 0.3%
	16,344	Bank Zachodni WBK SA		1,530,308
	23,552	KRUK SA		1,481,968
	213,645	Polski Koncern Naftowy ORLEN SA		4,711,482
	2,064,448	Polskie Gornictwo Naftowe i Gazownictwo SA		3,199,937
	486,706	Powszechny Zaklad Ubezpieczen SA		4,772,330
		Total Poland		15,696,025
		Qatar — 0.9%
	854,615	Barwa Real Estate Co		8,041,364
	291,099	Doha Bank QPSC		2,080,820
	370,139	Masraf Al Rayan QSC		3,398,070
	36,401	Ooredoo QPSC		669,933
	35,383	Qatar Electricity & Water Co QSC		1,846,668
	220,052	Qatar Gas Transport Co Ltd		888,427
	247,642	Qatar Insurance Co SAQ		2,237,025
	73,506	Qatar International Islamic Bank QSC		1,043,989
	89,534	Qatar Islamic Bank SAQ		2,822,052
	387,567	Qatar National Bank QPSC		16,848,747
	237,288	United Development Co QSC		944,238
		Total Qatar		40,821,333
		Russia — 15.0%
	6,619,400	Aeroflot PJSC		14,936,368
	18,909,200	Alrosa PJSC		26,764,072
	542,113	Evraz Plc		3,671,422
	462,700	Gazprom Neft PJSC		2,385,865
	4,516	Gazprom Neft PJSC Sponsored ADR		114,870
	18,219,515	Gazprom PJSC Sponsored ADR		82,530,431
	769,379	Globaltrans Investment Plc Sponsored GDR (Registered)		7,657,929
	113,064,000	Inter RAO UES PJSC		7,412,426
	1,037,919	LUKOIL PJSC Sponsored ADR		69,135,497
	711,757	M.Video PJSC *		4,650,543
	91,434	Magnit PJSC Sponsored GDR (Registered)		1,836,614
	6,306,200	Magnitogorsk Iron & Steel OJSC		4,960,445
	5,587	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		57,047
	53,530	MegaFon PJSC *		405,628
	2,686,807	MegaFon PJSC GDR (Registered)		23,708,562
	3,346,196	MMC Norilsk Nickel PJSC ADR		59,301,771
	8,198,515	Mobile TeleSystems PJSC Sponsored ADR		78,541,774
	13,262,707	Moscow Exchange MICEX-RTS PJSC		23,931,195
	433,270	Novatek PJSC		5,826,713
	334,258	Novatek PJSC Sponsered GDR (Registered)		48,087,873

Shares		Description	Value ($)
		Russia — continued
	2,837,880	Novolipetsk Steel PJSC		7,408,966
	908,781	Novolipetsk Steel PJSC GDR		23,816,139
	52,959	Polyus PJSC		3,182,995
	176,056	Polyus PJSC GDR (Registered)		5,369,005
	572,015	QIWI Plc Sponsored ADR		9,312,404
	33,228	Rostelecom PJSC Sponsored ADR		214,559
	8,186,145	Rostelecom PJSC		8,655,996
	4,000,000	Sberbank of Russia PJSC		14,159,966
	4,769,696	Sberbank of Russia Sponsored ADR		68,397,278
	303,020	Severstal PJSC		4,868,768
	788,544	Severstal PJSC GDR (Registered)		12,522,679
	2,878,707	Surgutneftegas OJSC Sponsored ADR		12,781,177
	827,420	Tatneft PJSC		8,848,260
	370,307	Tatneft PJSC Sponsored ADR		23,632,460
	252,860	TCS Group Holding Plc GDR (Registered)		5,152,278
	13,621,000	Unipro PJSC		620,548
	68,500	Yandex NV – Class A *		2,296,120
		Total Russia		677,156,643
		South Africa — 0.6%
	285,827	Brait SE *		819,760
	63,541	Distell Group Ltd		641,707
	261,559	Kumba Iron Ore Ltd		5,942,803
	1,004,773	Lewis Group Ltd		2,637,424
	506,039	Mr Price Group Ltd		10,000,802
	83,428	Nedbank Group Ltd		1,790,248
	742,409	Sibanye Gold Ltd *		460,142
	8,794,688	Steinhoff International Holdings NV *		773,767
	111,420	Standard Bank Group Ltd		1,812,689
	273,985	Truworths International Ltd		1,815,904
	198,654	Wilson Bayly Holmes-Ovcon Ltd		2,428,527
		Total South Africa		29,123,773
		South Korea — 8.5%
	2,675,271	BNK Financial Group Inc		23,587,091
	8,626	Celltrion Pharm Inc *		739,784
	40,832	Com2uSCorp		7,245,118
	7,393	Cuckoo Holdings Co Ltd		1,123,075
	173,158	Daou Data Corp		1,963,854
	444,400	Daou Technology Inc		10,667,023
	452,156	DB Insurance Co Ltd		24,526,116
	13,542	Dong Ah Tire & Rubber Co Ltd		416,993
	1,626,839	Dongwon Development Co Ltd		6,792,671
	1,114,845	Grand Korea Leisure Co Ltd		28,275,703
	14,401	GS Home Shopping Inc		2,260,764
	2,765	Hankook Shell Oil Co Ltd		855,436
	155,086	Hankook Tire Co Ltd		6,155,795
	799,163	Hankook Tire Worldwide Co Ltd		13,283,079
	14,845	Hanwha Aerospace Co Ltd *		456,526
	5,862	HLB Inc *		747,325
	46,413	Hyundai Home Shopping Network Corp		4,580,653
	486,003	Hyundai Hy Communications & Network Co Ltd		1,961,737
	518,713	Hyundai Marine & Fire Insurance Co Ltd		16,385,084

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	93,724	Hyundai Mobis Co Ltd		18,904,548
	9,577	Hyundai Wia Corp		447,837
	69,817	iMarketKorea Inc		506,884
	84,133	Innocean Worldwide Inc		5,120,373
	648,701	Kangwon Land Inc		16,148,549
	222,143	Kia Motors Corp		6,408,773
	232,395	KISCO Corp		1,839,393
	707,382	Korea Asset In Trust Co Ltd		3,478,081
	34,484	Korea Zinc Co Ltd		12,964,292
	277,763	KT Skylife Co Ltd		3,305,743
	435,998	KT&G Corp		38,823,101
	249,804	Kyobo Securities Co Ltd		2,321,843
	139,298	LF Corp		3,719,613
	53,831	Maeil Holdings Co Ltd		774,624
	173,294	Meritz Financial Group Inc		2,286,500
	161,891	Meritz Fire & Marine Insurance Co Ltd		3,073,858
	1,163,364	Meritz Securities Co Ltd		4,387,960
	4,039	Pearl Abyss Corp *		836,315
	157,929	Samsung Card Co Ltd		5,433,933
	968,231	Samsung Electronics Co Ltd		45,465,779
	14,427	Samsung Electronics Co Ltd GDR		17,069,733
	42,753	Samsung Engineering Co Ltd *		728,719
	46,616	Samsung Fire & Marine Insurance Co Ltd		10,825,172
	338,127	Seoyon E-Hwa Co Ltd		2,382,853
	45,363	Sindoh Co Ltd		2,254,591
	20,005	SK Hynix Inc		1,729,806
	57,940	SK Innovation Co Ltd		11,039,241
	98,870	SK Networks Co Ltd		454,880
	19,010	SK Telecom Co Ltd		3,909,882
	138,700	SK Telecom Co Ltd Sponsored ADR		3,165,134
	11,918	SKCKOLONPI Inc		489,319
	3,551	ViroMed Co Ltd *		867,208
		Total South Korea		383,188,364
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd * (b)		786,289
		Taiwan — 25.1%
	12,009,000	AcBel Polytech Inc		7,800,655
	1,378,000	Actron Technology Corp		5,094,701
	362,000	Advanced Wireless Semiconductor Co		792,593
	1,505,532	Advantech Co Ltd		10,163,271
	906,000	Alpha Networks Inc		646,107
	13,348,940	AmTRAN Technology Co Ltd		5,716,257
	1,760,000	ASE Industrial Holding Co Ltd		4,464,396
	1,605,000	Asia Pacific Telecom Co Ltd *		430,018
	3,277,620	Asustek Computer Inc		29,623,593
	286,200	Aurora Corp		860,496
	4,327,000	Catcher Technology Co Ltd		50,160,194
	17,078,000	Cathay Financial Holding Co Ltd		30,443,075
	10,058,000	Chailease Holding Co Ltd		35,710,722
	286,000	Chaun-Choung Technology Corp		763,253
	6,957,200	Cheng Shin Rubber Industry Co Ltd		10,560,568

Shares		Description	Value ($)
		Taiwan — continued
	812,855	Chicony Electronics Co Ltd		1,915,330
	488,800	Chicony Power Technology Co Ltd		833,335
	4,917,100	Chin-Poon Industrial Co Ltd		6,498,931
	4,117,190	China Life Insurance Co Ltd		4,314,642
	1,265,000	China Motor Corp		1,226,805
	1,566,000	China Steel Corp		1,230,455
	2,700,000	Chipbond Technology Corp		5,662,792
	249,000	Chlitina Holding Ltd		2,252,022
	13,528,259	Chunghwa Telecom Co Ltd		49,166,323
	168,521	Chunghwa Telecom Co Ltd Sponsored ADR		6,105,516
	428,000	Cleanaway Co Ltd		2,744,723
	26,756,611	Compal Electronics Inc		17,534,466
	5,373,400	Coretronic Corp		7,393,064
	63,582,720	CTBC Financial Holding Co Ltd		45,626,015
	3,135,000	CTCI Corp		5,137,370
	258,000	Delta Electronics Inc		954,572
	2,016,000	Dynapack International Technology Corp		2,698,898
	14,220,800	E.Sun Financial Holding Co Ltd		9,900,792
	143,000	Eclat Textile Co Ltd		1,742,242
	556,000	Elite Advanced Laser Corp		1,977,224
	195,000	Elite Material Co Ltd		520,891
	955,000	Everlight Electronics Co Ltd		1,284,231
	9,677,084	Far EasTone Telecommunications Co Ltd		24,642,761
	3,822,000	Farglory Land Development Co Ltd		4,274,990
	749,000	FLEXium Interconnect Inc		2,164,096
	505,000	Formosa Advanced Technologies Co Ltd		660,411
	3,151,000	Formosa Chemicals & Fibre Corp		12,062,220
	2,381,000	Formosa Petrochemical Corp		9,619,938
	4,741,000	Formosa Plastics Corp		16,964,706
	3,271,303	Formosan Rubber Group Inc		1,631,269
	11,551,075	Foxconn Technology Co Ltd		28,377,642
	23,625,200	Fubon Financial Holding Co Ltd		40,947,071
	6,878,200	Gigabyte Technology Co Ltd		18,095,050
	36,000	Global Unichip Corp		304,911
	595,000	Greatek Electronics Inc		1,074,961
	1,946,700	Green Seal Holding Ltd		2,185,195
	10,202,754	Highwealth Construction Corp		15,419,472
	2,198,000	Holtek Semiconductor Inc		5,407,517
	19,618,250	Hon Hai Precision Industry Co Ltd		55,971,778
	2,658,000	Huaku Development Co Ltd		6,278,005
	3,407,900	IEI Integration Corp		3,870,601
	6,473,000	Innolux Corp		2,498,283
	5,058,700	Inventec Corp		4,077,915
	797,000	ITEQ Corp		1,695,527
	565,000	Kenda Rubber Industrial Co Ltd		635,229
	1,121,000	King’s Town Bank Co Ltd		1,305,774
	249,000	Kung Long Batteries Industrial Co Ltd		1,223,498
	37,000	Largan Precision Co Ltd		5,071,554
	19,620,141	Lite-On Technology Corp		25,581,065
	362,000	Lotes Co Ltd		2,287,702
	865,785	Makalot Industrial Co Ltd		3,918,612
	66,000	MediaTek Inc		682,470

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	327,000	Merida Industry Co Ltd		1,394,762
	914,000	Micro-Star International Co Ltd		3,778,630
	1,293,600	MIN AIK Technology Co Ltd		921,488
	4,661,000	Nan Ya Plastics Corp		12,981,082
	537,000	Nanya Technology Corp		1,774,079
	147,000	Nien Made Enterprise Co Ltd		1,159,764
	4,938,810	Novatek Microelectronics Corp		22,243,868
	1,958,853	OptoTech Corp		1,662,025
	7,113,470	Pegatron Corp		14,974,635
	188,000	Phison Electronics Corp		1,720,206
	7,513,000	Pou Chen Corp		9,193,437
	99,000	President Chain Store Corp		1,012,838
	9,726,850	Quanta Computer Inc		17,166,402
	1,535,000	Quanta Storage Inc		1,434,391
	12,677,870	Radiant Opto-Electronics Corp		26,455,816
	5,909,720	Realtek Semiconductor Corp		22,498,616
	1,293,000	Rechi Precision Co Ltd		1,336,851
	3,417,151	Ruentex Development Co Ltd *		4,109,373
	8,158,000	Ruentex Industries Ltd *		16,647,821
	1,800,000	Sercomm Corp		4,140,926
	198,000	Shin Zu Shing Co Ltd		577,645
	762,000	ShunSin Technology Holding Ltd		4,023,215
	13,000	Silicon Motion Technology Corp Sponsored ADR		632,190
	2,527,068	Simplo Technology Co Ltd		15,757,839
	633,000	Sinbon Electronics Co Ltd		1,703,290
	2,539,200	Sitronix Technology Corp		7,710,553
	313,000	Soft-World International Corp		903,102
	66,000	St Shine Optical Co Ltd		1,752,765
	3,118,000	Syncmold Enterprise Corp		6,667,992
	1,202,000	Taiwan Cement Corp		1,743,629
	2,259,000	Taiwan Mobile Co Ltd		8,292,615
	822,000	Taiwan PCB Techvest Co Ltd		766,010
	8,575,000	Taiwan Semiconductor Manufacturing Co Ltd		64,025,213
	2,760,920	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		106,847,604
	3,783,269	Taiwan Surface Mounting Technology Corp		3,197,963
	1,370,000	Test Research Inc		2,934,833
	659,000	Tong Hsing Electronic Industries Ltd		2,567,888
	635,981	Topco Scientific Co Ltd		1,730,714
	1,337,000	Transcend Information Inc		3,830,033
	2,872,160	Tripod Technology Corp		8,123,795
	61,000	Tung Thih Electronic Co Ltd		206,206
	2,089,000	TXC Corp		2,606,931
	10,411,812	Uni-President Enterprises Corp		25,372,613
	5,434,000	United Integrated Services Co Ltd		11,616,061
	1,058,641	Wistron NeWeb Corp		2,522,647
	599,000	Xxentria Technology Materials Corp		1,610,582
	13,074,000	Yuanta Financial Holding Co Ltd		6,139,392
	3,986,670	Yungtay Engineering Co Ltd		6,633,674
	294,000	Zeng Hsing Industrial Co Ltd		1,273,544
		Total Taiwan		1,137,258,309

Shares		Description	Value ($)
		Thailand — 8.2%
	7,312,500	Advanced Info Service Pcl (Foreign Registered)		43,482,058
	291,700	Airports of Thailand Pcl (Foreign Registered)		624,947
	8,539,400	Amata Corp Pcl (Foreign Registered)		6,119,000
	9,728,000	AP Thailand Pcl (Foreign Registered)		2,791,068
	590,700	Bangkok Bank Pcl (Foreign Registered) (c)		3,558,889
	757,800	Bangkok Bank Pcl NVDR		4,471,125
	460,400	BCPG Pcl (Foreign Registered)		281,489
	8,796,600	Central Pattana Pcl (Foreign Registered)		20,968,213
	2,154,500	CP ALL Pcl (Foreign Registered)		5,430,181
	2,223,200	Delta Electronics Thailand Pcl (Foreign Registered)		4,469,445
	4,833,401	Glow Energy Pcl (Foreign Registered)		12,846,716
	4,540,200	Hana Microelectronics Pcl (Foreign Registered)		4,836,478
	5,672,900	Intouch Holdings Pcl (Foreign Registered) (c)		9,826,453
	6,452,800	Intouch Holdings Pcl NVDR		11,127,025
	6,065,300	IRPC Pcl (Foreign Registered)		1,247,694
	5,923,500	Jasmine International Pcl (Foreign Registered)		1,071,657
	1,956,700	Kasikornbank Pcl NVDR		11,693,550
	840,900	KCE Electronics pcl		854,306
	13,002,100	Krung Thai Bank Pcl (Foreign Registered)		7,103,998
	41,404,300	Land & Houses PCL (Foreign Registered)		14,330,543
	18,678,450	LPN Development Pcl (Foreign Registered)		5,652,491
	3,953,300	MC Group Pcl (Foreign Registered)		1,643,883
	3,109,000	Platinum Group PCL (The)		786,125
	5,589,600	Pruksa Holding Pcl (Foreign Registered)		3,899,670
	3,704,200	PTT Exploration & Production Pcl (Foreign Registered)		15,500,565
	8,360,300	PTT Global Chemical Pcl (Foreign Registered)		23,275,597
	24,681,800	PTT Pcl (Foreign Registered)		40,109,509
	88,180,792	Quality Houses Pcl (Foreign Registered)		8,964,726
	5,843,302	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		9,465,986
	75,602,123	Sansiri Pcl (Foreign Registered)		4,101,246
	2,104,300	Siam Cement Pcl (The) (Foreign Registered)		29,313,839
	2,434,500	Siam Commercial Bank Pcl (The) (Foreign Registered)		10,095,625
	7,204,200	Siamgas & Petrochemicals Pcl NVDR		2,232,483
	23,481,000	Star Petroleum Refining Pcl (Foreign Registered)		11,348,860
	3,671,600	STP & I Pcl (Foreign Registered) *		564,799
	9,239,775	Supalai Pcl (Foreign Registered) *		7,286,349
	3,476,800	Thai Oil Pcl (Foreign Registered)		9,992,613
	1,456,000	Thai Vegetable Oil Pcl (Foreign Registered)		1,409,789
	1,726,900	Thanachart Capital Pcl (Foreign Registered)		2,776,825
	1,284,100	Tisco Financial Group Pcl (Foreign Registered)		3,323,921
	29,748,650	TTW Pcl (Foreign Registered)		11,500,345
	6,636,600	WHA Corp Pcl (Foreign Registered)		909,373
		Total Thailand		371,289,454
		Turkey — 5.4%
	3,041,306	Adana Cimento Sanayii TAS – Class C		691,770
	1,800,756	Akbank Turk AS		3,193,160
	308,164	Aksa Akrilik Kimya Sanayii AS		785,136
	595,034	Alarko Holding AS *		626,286

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Turkey — continued
	4,065,576	Albaraka Turk Katilim Bankas AS		1,221,728
	73,248	Arcelik AS		268,946
	634,355	Aselsan Elektronik Sanayi Ve Ticaret AS		3,307,079
	317,604	Aygaz AS		849,407
	1,040,285	BIM Birlesik Magazalar AS		15,912,055
	3,376,009	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		2,557,846
	63,672,567	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		29,113,135
	89,670	Enerjisa Enerji AS		130,522
	4,674,649	Enka Insaat ve Sanayi AS		4,606,396
	13,286,737	Eregli Demir ve Celik Fabrikalari TAS		32,968,320
	206,288	Ford Otomotiv Sanayi AS		2,920,078
	4,965,665	Haci Omer Sabanci Holding AS		10,235,666
	8,213,630	Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim AS *		12,156,495
	3,402,129	Is Gayrimenkul Yatirim Ortakligi AS (REIT)		751,595
	107,373	KOC Holding AS		331,215
	61,077	Mavi Giyim Sanayi Ve Ticaret AS		657,494
	169,282	Otokar Otomotiv Ve Savunma Sanayi AS		2,890,275
	2,477,518	Petkim Petrokimya Holding AS		2,577,181
	14,324,370	Soda Sanayii AS		16,789,369
	684,568	TAV Havalimanlari Holding AS		3,321,945
	1,525,546	Tekfen Holding AS		5,102,858
	291,536	Tofas Turk Otomobil Fabrikasi AS		1,609,628
	1,222,917	Trakya Cam Sanayii AS		1,081,366
	886,626	Tupras Turkiye Petrol Rafineriler AS		20,790,454
	365,157	Turk Hava Yollari AO *		1,343,500
	644,466	Turk Telekomunikasyon AS *		844,114
	71,252	Turk Traktor ve Ziraat Makineleri AS		922,097
	1,796,402	Turkcell Iletisim Hizmetleri AS		4,756,090
	13,998,272	Turkiye Garanti Bankasi AS		27,553,792
	8,472,174	Turkiye Halk Bankasi AS		14,375,160
	3,194,137	Turkiye Is Bankasi – Class C		4,204,887
	20,618,067	Turkiye Sinai Kalkinma Bankasi AS		5,558,565
	918,946	Turkiye Sise ve Cam Fabrikalari AS		808,117
	2,053,137	Turkiye Vakiflar Bankasi TAO – Class D		2,481,253
	810,955	Vestel Elektronik Sanayi ve Ticaret AS *		1,587,558
	1,454,861	Yapi ve Kredi Bankasi AS *		1,291,914
		Total Turkey		243,174,452
		United Arab Emirates — 0.4%
	3,500,178	Aldar Properties PJSC		1,951,775
	12,820,287	DAMAC Properties Dubai Co PJSC		8,311,032
	1,068,249	Dubai Islamic Bank PJSC		1,473,829
	4,024,325	DXB Entertainments PJSC *		459,059
	700,860	Emaar Properties PJSC		991,338
	538,550	Emirates Telecommunications Group Co PJSC		2,373,077
	11,132,265	RAK Properties PJSC		1,966,784
		Total United Arab Emirates		17,526,894
		United Kingdom — 0.2%
	145,570	Unilever Plc		8,025,854

Shares		Description	Value ($)
		United States — 0.1%
	73,500	Colgate-Palmolive Co.		4,637,115
		TOTAL COMMON STOCKS (COST $3,925,583,382)		4,161,905,691
		PREFERRED STOCKS (d) — 2.9%
		Brazil — 0.2%
	861,040	Itau Unibanco Holding SA		9,921,096
		Colombia — 0.0%
	2,434,836	Grupo Aval Acciones y Valores SA		1,048,790
		Russia — 0.4%
	182,583	Bashneft PJSC		5,088,286
	3,744	Transneft PJSC		10,227,418
		Total Russia		15,315,704
		South Korea — 2.3%
	2,721,950	Samsung Electronics Co Ltd		101,807,654
		Taiwan — 0.0%
	605,412	CTBC Financial Holding Co Ltd*		1,242,711
		TOTAL PREFERRED STOCKS (COST $94,071,453)		129,335,955
		INVESTMENT FUNDS — 2.5%
		Russia — 0.1%
	5,076,202	NCH Eagle Fund LP * (e) (f)		1,974,500
		Thailand — 0.1%
	12,602,900	Digital Telecommunication Infrastructure Fund		5,717,087
		United States — 2.3%
	2,273,394	iShares MSCI Emerging Markets ETF		103,871,372
		TOTAL INVESTMENT FUNDS (COST $117,032,029)		111,562,959
		RIGHTS/WARRANTS — 0.0%
		United Arab Emirates — 0.0%
	356,083	Dubai Islamic Bank PJSC *		163,832
		TOTAL RIGHTS/WARRANTS (COST $0)		163,832
		MUTUAL FUNDS — 1.2%
		United States — 1.2%
		Affiliated Issuers — 1.2%
	2,197,104	GMO U.S. Treasury Fund		54,883,647
		TOTAL MUTUAL FUNDS (COST $54,867,763)		54,883,647

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Fund — 0.2%
	8,210,651	State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (g)		8,210,651
		TOTAL SHORT-TERM INVESTMENTS (COST $8,210,651)		8,210,651
		TOTAL INVESTMENTS — 98.7% (Cost $4,199,765,278)		4,466,062,735
		Other Assets and Liabilities (net) — 1.3%		60,852,575
		TOTAL NET ASSETS — 100.0%		$4,526,915,310

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 May 31, 2018
NCH Eagle Fund LP	4/6/09	$	5,452,004	0.04%	$	1,974,500

A summary of outstanding financial instruments at May 31, 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	June 2018	$	298,372,200	$	(23,793,254	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Depreciation of Total Return on Asustek Computer Inc + (Daily Fed Funds Rate minus 0.25%)	Appreciation of Total Return on Asustek Computer Inc	MSCI		USD	24,542,745	06/25/2018		At Maturity		—		(543,908	)		(543,908	)
									$	—	$	(543,908	)	$	(543,908	)

As of May 31, 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.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

Notes to Schedule of Investments:

ADR - American Depositary Receipt

ETF - Exchange-Traded Fund

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

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

QPSC - Qatari Public Shareholding Company

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

(b) Affiliated company.

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

(d) 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.

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

(g) The rate disclosed is the 7 day net yield as of May 31, 2018.

Counterparty Abbreviations:

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

USD - United States Dollar

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.9%
		Australia — 3.5%
	1,608	Brickworks Ltd		18,889
	35,442	Codan Ltd		78,709
	5,383	Costa Group Holdings Ltd		31,234
	1,722	Elders Ltd		11,485
	164,024	GDI Property Group (REIT)		162,939
	30,703	Mineral Resources Ltd		426,410
	2,499	Sandfire Resources NL		16,360
		Total Australia		746,026
		Austria — 1.2%
	330	AT&S Austria Technologie & Systemtechnik AG		6,825
	10,937	FACC AG *		211,819
	1,047	POLYTEC Holding AG		15,923
	1,476	S IMMO AG		29,161
		Total Austria		263,728
		Belgium — 0.9%
	55,925	AGFA-Gevaert NV *		200,087
		Brazil — 0.5%
	7,200	Estacio Participacoes SA		48,525
	1,800	Mahle-Metal Leve SA		13,069
	7,900	Via Varejo SA		49,479
		Total Brazil		111,073
		Canada — 4.7%
	100	Altus Group Ltd		2,256
	10,890	BRP Inc Sub Voting		507,293
	13,000	Canfor Corp *		325,552
	2,900	Cogeco Inc		145,939
	2,400	Martinrea International Inc		28,783
		Total Canada		1,009,823
		China — 2.5%
	44,000	Central China Real Estate Ltd		23,703
	628,000	Powerlong Real Estate Holdings Ltd		375,593
	77,000	Road King Infrastructure Ltd		147,942
		Total China		547,238
		Finland — 1.7%
	29,234	Finnair Oyj		363,647
		France — 4.8%
	289	Alten SA		29,168
	183	Bonduelle SCA		6,992
	4,619	Coface SA *		49,089
	274	Faurecia SA		23,245
	6,812	Gaztransport Et Technigaz SA		405,339
	246	Kaufman & Broad SA		11,566
	13,335	Metropole Television SA		281,864
	163	Trigano SA		32,414
	3,517	Worldline SA *		203,171
		Total France		1,042,848

Shares		Description	Value ($)
		Germany — 6.4%
	5,001	Bauer AG		134,340
	14,200	Deutsche Lufthansa AG (Registered)		385,372
	5,335	Elmos Semiconductor AG		164,524
	13,607	Wacker Neuson SE		413,154
	12,440	Wuestenrot & Wuerttembergische AG		275,560
		Total Germany		1,372,950
		Hong Kong — 1.9%
	116,000	Johnson Electric Holdings Ltd		353,926
	250,000	Singamas Container Holdings Ltd		47,603
		Total Hong Kong		401,529
		India — 2.0%
	6,260	Larsen & Toubro Infotech Ltd		162,591
	1,682	Mindtree Ltd		25,110
	2,998	Mphasis Ltd		48,727
	4,641	NIIT Technologies Ltd		77,157
	94,373	PTC India Ltd		118,642
		Total India		432,227
		Indonesia — 0.1%
	10,300	Indo Tambangraya Megah Tbk PT		19,114
		Italy — 3.1%
	14,541	ASTM SPA		336,090
	5,759	La Doria SPA		78,323
	400	Massimo Zanetti Beverage Group SPA		3,242
	242	SAES Getters SPA		5,516
	20,257	Societa Cattolica di Assicurazioni SC		174,262
	4,693	Societa Iniziative Autostradali e Servizi SPA		76,029
		Total Italy		673,462
		Japan — 25.6%
	8,200	Arakawa Chemical Industries Ltd		137,335
	1,000	Arisawa Manufacturing Co Ltd		10,746
	2,000	Asahi Diamond Industrial Co Ltd		15,878
	400	Azbil Corp		19,527
	400	Bank of the Ryukyus Ltd		6,055
	500	Canon Marketing Japan Inc		10,697
	4,000	Dai-ichi Seiko Co Ltd		73,509
	200	Daito Pharmaceutical Co Ltd		6,620
	200	Daitron Co Ltd		4,597
	400	Daiwabo Holdings Co Ltd		22,318
	11,200	Denka Co Ltd		408,873
	600	Dexerials Corp		5,968
	2,000	DKS Co Ltd		13,280
	300	DTS Corp		11,938
	900	ESPEC Corp		19,678
	10,300	Fancl Corp		473,933
	600	FCC Co Ltd		16,486
	1,600	Foster Electric Co Ltd		24,442
	200	Fujibo Holdings Inc		7,290
	5,700	Fujitsu Frontech Ltd		80,632
	5,800	Fuyo General Lease Co Ltd		417,091
	200	Hagiwara Electric Holdings Co Ltd		5,599

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	300	Hakuto Co Ltd		4,693
	2,000	Haseko Corp		30,279
	100	Horiba Ltd		8,287
	11,700	House Foods Group Inc		427,719
	17,000	Ishihara Sangyo Kaisha Ltd *		186,636
	1,200	Juki Corp		13,240
	200	Kaga Electronics Co Ltd		5,100
	200	Kato Sangyo Co Ltd		6,950
	2,800	Keihin Corp		54,332
	20,000	Kyosan Electric Manufacturing Co Ltd		141,194
	5,500	Leopalace21 Corp		37,794
	400	Mandom Corp		13,009
	600	Marubun Corp		4,820
	200	Maruwa Co Ltd		15,888
	200	Miroku Jyoho Service Co Ltd		5,618
	200	Mitsui Sugar Co Ltd		6,700
	3,000	Nippon Soda Co Ltd		16,553
	1,600	Nippon Systemware Co Ltd		36,157
	600	Nissei Plastic Industrial Co Ltd		7,356
	300	Nisshin Oillio Group Ltd (The)		8,552
	6,500	Nisshinbo Holdings Inc		78,482
	500	PAL GROUP Holdings Co Ltd		12,775
	69,000	Prima Meat Packers Ltd		412,282
	4,200	Rion Co Ltd		90,210
	14,000	Rohto Pharmaceutical Co Ltd		449,998
	200	Sanyo Denki Co Ltd		16,608
	700	Seiko Holdings Corp		16,632
	300	Shindengen Electric Manufacturing Co Ltd		16,879
	24,000	Showa Corp		429,727
	7,400	Sojitz Corp		26,266
	800	T-Gaia Corp		22,418
	500	Takasago Thermal Engineering Co Ltd		8,998
	600	Tamron Co Ltd		11,614
	2,500	Tamura Corp		18,182
	20,500	Tatsuta Electric Wire and Cable Co Ltd		113,852
	200	Tayca Corp		4,674
	500	Teikoku Electric Manufacturing Co Ltd		6,284
	800	Tokyo Seimitsu Co Ltd		30,453
	3,100	Tokyu Construction Co Ltd		31,272
	2,000	Toshiba Machine Co Ltd		11,121
	9,500	TS Tech Co Ltd		416,191
	13,800	Ube Industries Ltd		391,041
	700	Ulvac Inc		30,881
	800	Wacoal Holdings Corp		23,765
	300	Yokowo Co Ltd		5,632
	1,500	Zeon Corp		18,925
		Total Japan		5,518,531
		Malaysia — 1.4%
	192,100	Padini Holdings Berhad		277,258
	24,900	Supermax Corp Berhad		19,182
		Total Malaysia		296,440

Shares		Description	Value ($)
		Norway — 0.7%
	934	Austevoll Seafood ASA		11,190
	187	Entra ASA		2,653
	3,813	Kongsberg Automotive ASA *		4,942
	64,252	Kvaerner ASA *		141,082
		Total Norway		159,867
		Poland — 0.1%
	1,671	Asseco Poland SA		20,708
		Portugal — 0.9%
	15,733	Navigator Co SA (The)		98,125
	2,246	Semapa-Sociedade de Investimento e Gestao		56,534
	27,318	Sonae SGPS SA		33,726
		Total Portugal		188,385
		Singapore — 2.3%
	102,800	UMS Holdings Ltd		69,901
	336,600	Yanlord Land Group Ltd		423,599
		Total Singapore		493,500
		South Africa — 0.4%
	1,627	Astral Foods Ltd		34,381
	3,022	Reunert Ltd		18,758
	3,235	Wilson Bayly Holmes-Ovcon Ltd		39,548
		Total South Africa		92,687
		South Korea — 6.7%
	389	Chong Kun Dang Pharmaceutical Corp		37,776
	83	Cuckoo Holdings Co Ltd		12,609
	1,725	Daihan Pharmaceutical Co Ltd		72,030
	2,360	DongKook Pharmaceutical Co Ltd		138,884
	1,418	Dongwha Pharm Co Ltd		15,014
	12,914	Dongwon Development Co Ltd		53,921
	580	Green Cross Holdings Corp		20,398
	133	GS Home Shopping Inc		20,879
	343	HwaSung Industrial Co Ltd		5,454
	4,213	Hyundai Corp		156,309
	319	KC Co Ltd		6,528
	756	Korea United Pharm Inc		17,973
	1,310	Korean Reinsurance Co		15,419
	16,695	Kwang Dong Pharmaceutical Co Ltd		124,432
	528	Kwangju Bank Co Ltd		5,354
	10,190	Kyungdong Pharm Co Ltd		114,611
	7,498	LF Corp		200,216
	4,386	LOTTE Himart Co Ltd		319,793
	529	Samjin Pharmaceutical Co Ltd		23,413
	19,728	Seohan Co Ltd		45,668
	1,796	Seoyon E-Hwa Co Ltd		12,657
	436	Silicon Works Co Ltd		15,704
	391	SL Corp		6,739
	194	Spigen Korea Co Ltd		8,521
		Total South Korea		1,450,302
		Spain — 1.9%
	50,634	Ence Energia y Celulosa SA		398,698
	652	Papeles y Cartones de Europa SA		11,362
		Total Spain		410,060

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Sweden — 1.5%
	1,725	Granges AB		22,259
	3,459	Kindred Group Plc SDR		43,782
	879	KNOW IT AB		18,378
	6,572	Mr. Green & Co AB *		35,428
	6,572	Mr. Green & Co AB (Redemption Shares) *		963
	1,674	Nobina AB		11,238
	1,483	Nolato AB – B Shares		128,788
	850	Oriflame Holding AG		28,669
	4,850	Resurs Holding AB		30,987
		Total Sweden		320,492
		Switzerland — 5.7%
	2,728	ALSO Holding AG (Registered) *		339,913
	231	BKW AG		14,590
	3,754	Bobst Group SA (Registered)		407,824
	343	Georg Fischer AG (Registered)		443,421
	6	LEM Holding SA		10,059
		Total Switzerland		1,215,807
		Taiwan — 2.1%
	219,000	Coretronic Corp		301,314
	5,000	Gigabyte Technology Co Ltd		13,154
	76,000	Wah Lee Industrial Corp		143,167
		Total Taiwan		457,635
		United Kingdom — 13.3%
	5,413	Central Asia Metals Plc		20,523
	23,791	Computacenter Plc		416,296
	12,761	Games Workshop Group Plc		490,906
	7,915	IG Group Holdings Plc		90,892
	20,392	Morgan Sindall Group Plc		396,416
	19,241	Plus500 Ltd		416,991
	2,289	Safestore Holdings Plc (REIT)		17,053
	1,726	Softcat Plc		17,535
	61,203	SThree Plc		261,245
	78,268	Stock Spirits Group Plc		251,045
	50,436	Vesuvius Plc		420,218
	14,364	William Hill Plc		61,060
		Total United Kingdom		2,860,180
		TOTAL COMMON STOCKS (COST $20,199,737)		20,668,346

Shares		Description	Value ($)
		MUTUAL FUNDS — 2.2%
		United States — 2.2%
		Affiliated Issuers — 2.2%
	18,483	GMO U.S. Treasury Fund		461,694
		TOTAL MUTUAL FUNDS (COST $461,694)		461,694
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Fund — 0.2%
	51,792	State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (a)		51,792
		TOTAL SHORT-TERM INVESTMENTS (COST $51,792)		51,792
		TOTAL INVESTMENTS — 98.3% (Cost $20,713,223)		21,181,832
		Other Assets and Liabilities (net) — 1.7%		365,337
		TOTAL NET ASSETS — 100.0%		$21,547,169

A summary of outstanding financial instruments at May 31, 2018 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
2	Mini MSCI EAFE	June 2018	$	198,700	$	(1,733	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 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:

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of May 31, 2018.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.2%
		Australia — 3.6%
	318,581	Abacus Property Group (REIT)		923,733
	38,451	Adelaide Brighton Ltd		190,016
	1,364,765	Caltex Australia Ltd		30,267,047
	2,195,879	Costa Group Holdings Ltd		12,741,334
	127,589	Credit Corp Group Ltd		1,822,791
	2,824,843	CSR Ltd		10,687,635
	5,422,140	Downer EDI Ltd		28,721,989
	124,924	Elders Ltd		833,237
	65,522	Investa Office Fund (REIT)		249,667
	353,116	Macquarie Group Ltd		30,426,111
	1,474,229	Metcash Ltd		3,220,941
	1,804,951	Mineral Resources Ltd		25,067,536
	86,711	Monadelphous Group Ltd		948,821
	2,064,892	Nine Entertainment Co Holdings Ltd		3,752,589
	1,940,748	OZ Minerals Ltd		14,392,771
	576,723	Pact Group Holdings Ltd		2,464,298
	100	Rio Tinto Ltd		6,243
	158,492	Sandfire Resources NL		1,037,579
	1,167,071	Shopping Centres Australasia Property Group (REIT)		2,168,809
	391,187	Sigma Healthcare Ltd		231,768
	17,883	Sonic Healthcare Ltd		317,762
	286,281	Southern Cross Media Group Ltd		279,733
	74,535	Tabcorp Holdings Ltd		245,675
	361,880	Tassal Group Ltd		1,122,819
	69,394	Vicinity Centres (REIT)		139,938
	19,638	Virtus Health Ltd		81,899
	30,082	Woodside Petroleum Ltd		735,069
		Total Australia		173,077,810
		Austria — 1.4%
	78,493	Oesterreichische Post AG		3,635,858
	704,456	OMV AG		40,365,400
	402,823	voestalpine AG		21,510,071
		Total Austria		65,511,329
		Belgium — 0.3%
	610,391	AGFA-Gevaert NV *		2,183,843
	1,134	Barco NV		140,347
	14,250	bpost SA		252,146
	46,144	D’ieteren SA/NV		1,997,605
	7,450	Elia System Operator SA/NV		471,465
	89,974	Orange Belgium SA		1,772,123
	89,505	UCB SA		7,035,764
		Total Belgium		13,853,293
		Denmark — 1.2%
	346	AP Moeller – Maersk A/S – Class B		515,891
	2,643	Dfds A/S		157,100
	281,800	Novo Nordisk A/S Sponsored ADR		13,396,772
	853,336	Novo Nordisk A/S – Class B		40,557,735
	12,564	Per Aarsleff Holding A/S		445,755
	14,975	Royal Unibrew A/S		1,074,317

Shares		Description	Value ($)
		Denmark — continued
	8,571	Schouw & Co AB		771,181
		Total Denmark		56,918,751
		Finland — 0.1%
	26,195	Metso Oyj		906,563
	27,113	Tieto Oyj		947,230
	71,647	UPM-Kymmene Oyj		2,629,935
		Total Finland		4,483,728
		France — 9.8%
	1,278,337	Air France-KLM *		10,132,557
	55,026	Amundi SA		4,022,191
	2,290,430	AXA SA		57,387,870
	931,911	BNP Paribas SA		57,905,122
	1,788	Casino Guichard Perrachon SA		77,385
	131,571	Christian Dior SE		56,028,385
	700,907	CNP Assurances		16,413,439
	1,245,639	Credit Agricole SA		17,129,164
	17,155	IPSOS		585,846
	100,181	L’Oreal SA		24,127,487
	4,612	Legrand SA		347,791
	236,572	Metropole Television SA		5,000,456
	159,340	Sanofi		12,214,031
	264,900	Sanofi ADR		10,137,723
	249,361	SCOR SE		9,186,841
	7,768	Societe BIC SA		754,961
	1,432,603	Societe Generale SA		61,834,761
	2,028,800	STMicroelectronics NV – NY Shares		48,427,456
	2,371,631	STMicroelectronics NV		56,548,828
	295,620	TOTAL SA		17,971,890
		Total France		466,234,184
		Germany — 11.1%
	130,069	ADVA Optical Networking SE *		933,378
	559,672	Allianz SE (Registered)		115,310,442
	139,452	BASF SE		13,768,807
	126,109	Bayer AG (Registered)		15,051,579
	1,049,478	Bayerische Motoren Werke AG		104,868,176
	91,348	Bechtle AG		8,026,945
	5,852	Cewe Stiftung & Co KGAA		579,258
	255,871	Covestro AG		23,310,533
	1,527,399	Daimler AG (Registered Shares)		110,339,638
	2,860,010	Deutsche Lufthansa AG (Registered)		77,617,427
	205,036	Deutsche Pfandbriefbank AG *		3,123,228
	9,759	Diebold Nixdorf AG		674,879
	5,773	Duerr AG		579,575
	20,295	Evonik Industries AG		711,988
	7,958	Fraport AG Frankfurt Airport Services Worldwide		744,572
	15,778	Henkel AG & Co KGaA		1,779,051
	6,881	Indus Holding AG		450,972
	57,296	Jenoptik AG		2,367,687
	2,151	Koenig & Bauer AG		164,868
	74,961	Leoni AG		4,498,551

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	214,062	RHOEN-KLINIKUM AG		6,600,131
	1,293	RTL Group SA		97,483
	6,606	Salzgitter AG		338,072
	575	Siltronic AG		96,921
	119,186	Software AG		5,687,044
	1,784	STADA Arzneimittel AG		169,103
	51,763	Talanx AG		1,993,676
	160,062	Volkswagen AG		29,643,582
		Total Germany		529,527,566
		Hong Kong — 4.6%
	8,769,200	BOC Hong Kong Holdings Ltd		43,895,645
	2,859,000	Champion (REIT)		1,994,449
	245,100	CK Asset Holdings Ltd		2,037,326
	2,342,600	Dah Sing Banking Group Ltd		5,365,993
	466,200	Dah Sing Financial Holdings Ltd		3,071,123
	5,214,790	Esprit Holdings Ltd *		1,677,703
	330,400	Fortune Real Estate Investment Trust		399,232
	4,315,900	Global Brands Group Holding Ltd *		178,444
	2,459,500	Hysan Development Co Ltd		14,189,168
	5,651,375	I-CABLE Communications Ltd *		120,884
	2,714,300	Kerry Properties Ltd		14,475,439
	910,000	Luk Fook Holdings International Ltd		4,141,332
	925,500	Man Wah Holdings Ltd		813,981
	1,608,300	Pacific Textiles Holdings Ltd		1,390,455
	1,067,300	PCCW Ltd		627,427
	11,364,700	SJM Holdings Ltd		16,232,244
	1,514,300	SmarTone Telecommunications Holdings Ltd		1,694,185
	161,200	Swire Properties Ltd		631,206
	38,700	Swire Pacific Ltd – Class A		397,859
	134,500	Techtronic Industries Co Ltd		800,127
	432,400	Television Broadcasts Ltd		1,469,004
	54,343,400	WH Group Ltd		55,676,085
	3,406,000	Wharf Holdings Ltd (The)		10,956,877
	2,130,300	Wharf Real Estate Investment Co Ltd		16,380,283
	1,569,100	Wheelock & Co Ltd		11,784,614
	838,475	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		234,060
	3,357,300	Yue Yuen Industrial Holdings Ltd		10,354,889
		Total Hong Kong		220,990,034
		Ireland — 0.1%
	48,500	ICON Plc *		6,255,530
		Israel — 0.2%
	70,821	Bank Hapoalim BM		488,672
	272,526	El Al Israel Airlines *		67,641
	2,617,684	Israel Discount Bank Ltd – Class A		7,891,772
	36,540	Mizrahi Tefahot Bank Ltd		697,825
	10,496	Teva Pharmaceutical Industries Ltd *		226,282
		Total Israel		9,372,192
		Italy — 5.4%
	471,140	A2A SPA		801,185
	78,036	De’ Longhi SPA		2,213,182

Shares		Description	Value ($)
		Italy — continued
	6,734,184	Enel SPA		37,009,919
	3,284	Eni SPA		59,595
	726,783	EXOR NV		52,785,941
	18,365	Fiat Chrysler Automobiles NV *		416,241
	4,947,800	Fiat Chrysler Automobiles NV		114,937,394
	623,285	Hera SPA		1,920,305
	1,878,394	Iren SPA		4,672,151
	51,126	La Doria SPA		695,322
	647,872	Recordati SPA		23,971,634
	9,720	Reply SPA		584,233
	354,859	Saras SPA		797,112
	1,651,422	Societa Cattolica di Assicurazioni SC		14,206,459
	590,547	Telecom Italia SPA *		475,229
		Total Italy		255,545,902
		Japan — 27.4%
	19,500	ADEKA Corp		350,280
	7,000	Aichi Corp		46,115
	1,200	Ain Holdings Inc		84,786
	139,700	Alpine Electronics Inc		2,656,959
	83,100	AOKI Holdings Inc		1,327,524
	3,341,400	Asahi Kasei Corp		45,683,181
	478,900	Astellas Pharma Inc		7,416,103
	126,800	Autobacs Seven Co Ltd		2,304,950
	1,973,400	Brother Industries Ltd		41,111,425
	902,000	Canon Inc		30,757,713
	51,700	Cawachi Ltd		1,154,895
	213,500	CKD Corp		4,397,591
	6,200	Computer Engineering & Consulting Ltd		209,575
	312,600	Cosmo Energy Holdings Co Ltd		10,571,006
	21,100	Credit Saison Co Ltd		348,616
	29,380	Daikyo Inc		696,457
	70,600	Daiwabo Holdings Co Ltd		3,939,131
	803,400	DCM Holdings Co Ltd		8,051,046
	311,440	Denka Co Ltd		11,369,579
	64,800	Denso Corp		3,141,533
	92,200	Dexerials Corp		917,112
	70,100	Doutor Nichires Holdings Co Ltd		1,427,858
	17,200	DTS Corp		684,446
	7,500	Ehime Bank Ltd (The)		84,910
	239,800	Fancl Corp		11,033,895
	771,000	Fuji Electric Co Ltd		5,465,070
	10,362,600	Fujitsu Ltd		63,186,521
	15,200	Fuji Oil Holdings Inc		549,306
	34,200	Fuyo General Lease Co Ltd		2,459,401
	168,700	Geo Holdings Corp		2,394,684
	23,150	Gunze Ltd		1,482,305
	276,840	Hanwa Co Ltd		11,636,633
	106,000	Hiroshima Bank Ltd (The)		750,512
	13,500	Hitachi Capital Corp		348,661
	29,300	Hitachi Chemical Co Ltd		628,431
	13,123,700	Hitachi Ltd		95,550,558
	7,200	Hitachi Transport System Ltd		193,357

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	2,300	Hokuetsu Bank Ltd (The)		47,479
	259,600	House Foods Group Inc		9,490,235
	26,500	Isuzu Motors Ltd		353,727
	6,567,200	ITOCHU Corp		122,883,897
	162,400	Itochu Techno-Solutions Corp		2,933,961
	183,200	Kanematsu Corp		2,825,425
	149,900	Keihin Corp		2,908,677
	4,800	Keyence Corp		2,931,863
	60,800	Kohnan Shoji Co Ltd		1,470,207
	9,900	Koito Manufacturing Co Ltd		725,189
	67,600	Kokuyo Co Ltd		1,263,139
	17,100	Kose Corp		3,701,779
	48,600	Kuraray Co Ltd		741,827
	8,200	Kyowa Exeo Corp		214,116
	57,400	Mandom Corp		1,866,847
	6,540,400	Marubeni Corp		50,736,517
	2,400	Maruwa Co Ltd		190,652
	135,200	MINEBEA MITSUMI Inc		2,551,438
	10,703,700	Mitsubishi Chemical Holdings Corp		98,573,323
	825,100	Mitsubishi Corp		22,868,879
	2,810,000	Mitsubishi Electric Corp		39,822,652
	812,100	Mitsubishi Gas Chemical Co Inc		20,625,877
	517,500	Mitsubishi Tanabe Pharma Corp		9,242,253
	1,691,100	Mitsui & Co Ltd		29,676,510
	523,200	Mitsui Chemicals Inc		15,072,452
	3,600	Mitsui Sugar Co Ltd		120,592
	90,800	Modec Inc		2,457,945
	16,970	Nachi-Fujikoshi Corp		808,428
	86,400	Namura Shipbuilding Co Ltd		412,061
	426,500	NET One Systems Co Ltd		6,925,357
	344,300	Nichias Corp		4,314,951
	5,400	Nichiha Corp		214,739
	19,700	Nifco Inc		677,688
	126,100	Nippo Corp		2,432,756
	20,400	Nippon Chemi-Con Corp *		765,566
	334,600	Nippon Light Metal Holdings Co Ltd		775,886
	21,700	Nippon Paper Industries Co Ltd		364,683
	2,312,500	Nippon Telegraph & Telephone Corp		108,032,741
	9,160	Nippon Television Holdings Inc		153,953
	77,300	Nippon Signal Co Ltd		712,227
	118,400	Nishi-Nippon Financial Holdings Inc		1,372,255
	17,300	Nisshinbo Holdings Inc		208,883
	39,900	Nissin Electric Co Ltd		374,138
	87,900	Nomura Holdings Inc		453,084
	800	NuFlare Technology Inc		59,933
	10,500	Okamura Corp		157,568
	152,250	Okinawa Electric Power Co (The)		3,464,684
	94,400	Onward Holdings Co Ltd		771,593
	448,700	Orient Corp		621,513
	12,000	Osaki Electric Co Ltd		91,813
	245,900	Pola Orbis Holdings Inc		12,124,656
	107,400	Press Kogyo Co Ltd		588,788

Shares		Description	Value ($)
		Japan — continued
	1,382,100	Prima Meat Packers Ltd		8,258,188
	31,800	Relo Group Inc		819,235
	105,400	Rengo Co Ltd		933,364
	196,200	Rohto Pharmaceutical Co Ltd		6,306,400
	43,000	San-A Co Ltd		2,182,256
	6,800	Sankyu Inc		373,389
	113,500	Seiko Holdings Corp		2,696,792
	1,709,700	Sekisui Chemical Co Ltd		28,004,144
	37,900	Softbank Technology Corp		576,766
	13,282,300	Sojitz Corp		47,144,980
	10,094,100	Sumitomo Chemical Co Ltd		60,762,889
	264,100	Sumitomo Forestry Co Ltd		4,021,740
	352,560	Sumitomo Heavy Industries Ltd		12,398,087
	15,100	Suzuken Co Ltd		674,894
	161,100	T-Gaia Corp		4,514,476
	5,200	Token Corp		493,810
	9,330	Tokyo Electric Power Co Holdings Inc *		44,208
	160,700	Tokyo Electron Ltd		29,988,374
	91,700	Tokyu Construction Co Ltd		925,032
	55,600	Toppan Printing Co Ltd		452,064
	8,800	Toshiba Plant Systems & Services Corp		195,908
	2,122,900	Tosoh Corp		37,041,309
	55,100	Towa Pharmaceutical Co Ltd		3,445,204
	23,000	Toyoda Gosei Co Ltd		603,274
	1,154,700	Toyota Tsusho Corp		39,674,625
	31,700	TPR Co Ltd		815,475
	258,600	TS Tech Co Ltd		11,329,168
	86,800	TSI Holdings Co Ltd		606,187
	87,400	Tsubakimoto Chain Co		679,141
	16,900	Tsumura & Co		613,603
	478,210	Ube Industries Ltd		13,550,688
	6,800	UKC Holdings Corp		138,107
	224,100	Valor Holdings Co Ltd		5,402,760
	26,400	Warabeya Nichiyo Holdings Co Ltd		665,102
	30,300	Yahagi Construction Co Ltd		245,894
	46,300	Yamaguchi Financial Group Inc		557,072
	620,100	Zeon Corp		7,823,470
		Total Japan		1,302,547,602
		Malta — 0.0%
	15,858,986	BGP Holdings Plc * (a)		—
		Netherlands — 2.6%
	21,986	ASR Nederland NV		929,632
	103,879	BinckBank NV		539,970
	40,400	Constellium NV – Class A *		490,860
	19,087	Corbion NV		599,102
	181,486	Heineken Holding NV		17,679,869
	7,012,524	ING Groep NV		102,135,418
	83,516	Signify NV		2,380,236
		Total Netherlands		124,755,087

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		New Zealand — 0.0%
	546,014	Air New Zealand Ltd		1,194,460
	235,699	Chorus Ltd		679,031
	43,383	Fletcher Building Ltd *		200,827
		Total New Zealand		2,074,318
		Norway — 3.5%
	11,876	Austevoll Seafood ASA		142,288
	144,375	Bakkafrost P/F		7,569,441
	495,924	BW LPG Ltd 144A *		2,068,924
	2,554,118	DNB ASA		45,777,634
	2,911,201	Equinor ASA		76,528,677
	32,112	Salmar ASA		1,400,074
	12,295	SpareBank 1 Nord Norge		84,695
	1,490,499	Storebrand ASA		12,192,763
	979,844	Subsea 7 SA		14,935,624
	312,763	Telenor ASA		6,442,571
	16,008	Yara International ASA		660,791
		Total Norway		167,803,482
		Portugal — 0.1%
	147,734	Altri SGPS SA		1,360,833
	330,009	CTT-Correios de Portugal SA		1,094,312
	177,554	Navigator Co SA (The)		1,107,382
	724,439	REN-Redes Energeticas Nacionais SGPS SA		2,013,330
		Total Portugal		5,575,857
		Singapore — 0.5%
	532,900	CapitaLand Commercial Trust (REIT)		679,325
	9,300	CapitaLand Mall Trust (REIT)		14,374
	269,100	DBS Group Holdings Ltd		5,661,982
	17,800	Mapletree Industrial Trust (REIT)		26,122
	1,369,600	Mapletree North Asia Commercial Trust (REIT)		1,185,891
	772,500	Venture Corp Ltd		12,076,936
	2,477,400	Yangzijiang Shipbuilding Holdings Ltd		1,773,303
	92,300	Yanlord Land Group Ltd		116,156
		Total Singapore		21,534,089
		Spain — 0.6%
	540,206	Ebro Foods SA		13,133,939
	272,930	Ence Energia y Celulosa SA		2,149,084
	1,119,421	International Consolidated Airlines Group SA		10,173,251
	37,455	Mapfre SA		113,606
	11,674	Viscofan SA		777,286
		Total Spain		26,347,166
		Sweden — 4.8%
	183,390	Atlas Copco AB – A Redemption *		166,336
	329,598	Atlas Copco AB – A Shares		13,074,486
	29,945	Atlas Copco AB – B Redemption *		27,137
	71,018	Atlas Copco AB – B Shares		2,567,702
	36,380	Bilia AB – A Shares		290,212
	72,188	Electrolux AB – Series B		1,781,918
	6,511	Granges AB		84,016
	31,983	Industrivarden AB – C Shares		671,908
	261,898	Kindred Group Plc SDR		3,314,956

Shares		Description	Value ($)
		Sweden — continued
	60,008	Klovern AB – B Shares		75,704
	17,335	NCC AB – B Shares		319,151
	59,156	Oriflame Holding AG		1,995,193
	3,080,604	Sandvik AB		53,429,805
	424,545	SAS AB *		907,205
	35,235	Securitas AB – B Shares		567,667
	13,161	Skanska AB – B Shares		242,402
	2,798,709	Svenska Cellulosa AB SCA – Class B		31,023,591
	257,420	Swedish Match AB		12,209,350
	5,973,176	Volvo AB – B Shares		102,732,989
	106,922	Wihlborgs Fastigheter AB		1,161,371
		Total Sweden		226,643,099
		Switzerland — 4.6%
	58,279	Ascom Holding AG (Registered)		1,181,503
	9,668	Autoneum Holding AG		2,372,659
	1,774	Banque Cantonale Vaudoise (Registered)		1,382,788
	2,228	Barry Callebaut AG (Registered)		3,902,550
	5,696	BKW AG		359,750
	343	Bobst Group SA (Registered)		37,263
	15,808	Bucher Industries AG (Registered)		5,703,659
	2,018	Cembra Money Bank AG		162,654
	372	dormakaba Holding AG *		290,899
	3,408	Emmi AG (Registered)		2,942,705
	210	Forbo Holdings AG (Registered)		278,634
	283,783	GAM Holding AG *		4,243,584
	21,785	Georg Fischer AG (Registered)		28,163,063
	42	Gurit Holding AG		35,437
	12,324	Implenia AG (Registered)		957,332
	9,576	Kardex AG (Registered) *		1,466,802
	5,439	Komax Holding AG (Registered)		1,537,568
	646,990	Logitech International SA (Registered)		26,425,072
	10,546	Mobilezone Holding AG (Registered)		113,793
	128,064	Nestle SA (Registered)		9,679,386
	306,323	Novartis AG (Registered)		22,772,888
	46,900	Roche Holding AG		10,234,523
	7,111	Sika AG		56,870,253
	1,316	Swatch Group AG (The) (Registered)		116,975
	386,010	Swiss Re AG		33,193,289
	1,640	Valora Holding AG (Registered) *		512,761
	61,057	Vontobel Holding AG (Registered)		4,098,846
	5,161	Zehnder Group AG – Class RG		223,122
		Total Switzerland		219,259,758
		United Kingdom — 15.3%
	2,868,439	3i Group Plc		36,288,947
	68,158	Ashtead Group Plc		2,106,551
	1,879,558	AstraZeneca Plc		137,124,906
	200,134	Bellway Plc		8,728,564
	753,806	Berkeley Group Holdings Plc (The)		42,514,341
	1,489,339	British American Tobacco Plc		76,448,639
	770,078	Cairn Energy Plc *		2,354,565
	1,579,090	Carillion Plc * (a)		—

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	1,024,312	Coca-Cola HBC AG *		34,963,311
	4,282,908	Debenhams Plc		1,223,297
	64,800	Diageo Plc Sponsored ADR		9,494,496
	1,167,931	Electrocomponents Plc		10,915,018
	28,420	Fenner Plc		229,935
	3,471,532	Ferrexpo Plc		10,100,202
	7,436,947	Firstgroup Plc *		8,864,491
	411,634	Galliford Try Plc		5,264,718
	6,902,218	GlaxoSmithKline Plc		139,837,898
	92,500	GlaxoSmithKline Plc Sponsored ADR		3,748,100
	132,675	Halfords Group Plc		594,959
	333,290	Hunting Plc *		3,735,477
	660,901	IG Group Holdings Plc		7,589,427
	1,032,943	Inchcape Plc		10,039,270
	2,573,338	Indivior Plc *		16,408,626
	36,735	Intermediate Capital Group Plc		558,930
	1,851	Jupiter Fund Management Plc		11,152
	152,794	Mitie Group Plc		363,045
	403,679	National Express Group Plc		2,151,770
	19,853	Next Plc		1,529,176
	475,300	Nomad Foods Ltd *		8,270,220
	29,853	Pearson Plc		357,837
	2,298,758	Persimmon Plc		86,494,051
	56,803	Playtech Plc		590,084
	434,799	Plus500 Ltd		9,422,959
	247,559	QinetiQ Group Plc		868,524
	395,932	Reckitt Benckiser Group Plc		30,305,911
	626,890	Royal Mail Plc		4,218,259
	70,092	Savills Plc		897,539
	130,601	Spectris Plc		4,834,354
	354,885	Vesuvius Plc		2,956,800
	129	Victrex Plc		4,837
	10,643	WH Smith Plc		274,012
	695,634	William Hill Plc		2,957,095
		Total United Kingdom		725,642,293
		TOTAL COMMON STOCKS (COST $4,170,015,556)		4,623,953,070

Shares		Description	Value ($)
		PREFERRED STOCKS (b) — 0.7%
		Germany — 0.7%
	162,843	Jungheinrich AG		6,350,814
	5,379	Porsche Automobil Holding SE		396,253
	130,642	Volkswagen AG		24,537,082
		Total Germany		31,284,149
		TOTAL PREFERRED STOCKS (COST $24,828,301)		31,284,149
		MUTUAL FUNDS — 1.0%
		United States — 1.0%
		Affiliated Issuers — 1.0%
	1,894,901	GMO U.S. Treasury Fund		47,334,638
		TOTAL MUTUAL FUNDS (COST $47,329,300)		47,334,638
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Fund — 0.2%
	11,349,686	State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (c)		11,349,686
		TOTAL SHORT-TERM INVESTMENTS (COST $11,349,686)		11,349,686
		TOTAL INVESTMENTS — 99.1% (Cost $4,253,522,843)		4,713,921,543
		Other Assets and Liabilities (net) — 0.9%		42,081,034
		TOTAL NET ASSETS — 100.0%		$4,756,002,577

A summary of outstanding financial instruments at May 31, 2018 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
339	Mini MSCI EAFE	June 2018	$	33,679,650	$	150,687

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 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.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

Notes to Schedule of Investments:

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

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

* Non-income producing security.

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

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

(c) The rate disclosed is the 7 day net yield as of May 31, 2018.

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 94.8%
		Australia — 3.1%
	20,125	Caltex Australia Ltd		446,322
	4,701	Charter Hall Group (REIT)		22,587
	332	CIMIC Group Ltd		10,325
	4,181	Costa Group Holdings Ltd		24,260
	36,378	Downer EDI Ltd		192,700
	5,949	Fairfax Media Ltd		3,185
	2,248	IOOF Holdings Ltd		14,832
	5,108	Macquarie Group Ltd		440,129
	17,250	Mineral Resources Ltd		239,572
	1,299	Shopping Centres Australasia Property Group (REIT)		2,414
	293	Sonic Healthcare Ltd		5,206
	1,834	Suncorp Group Ltd		18,575
	13,580	Westpac Banking Corp		287,029
		Total Australia		1,707,136
		Austria — 2.6%
	17,733	OMV AG		1,016,103
	7,930	voestalpine AG		423,448
		Total Austria		1,439,551
		Belgium — 0.1%
	84	Ageas		4,250
	361	bpost SA		6,388
	259	UCB SA		20,359
		Total Belgium		30,997
		Denmark — 1.0%
	10	AP Moeller – Maersk A/S – Class B		14,910
	4,000	Novo Nordisk A/S Sponsored ADR		190,160
	7,525	Novo Nordisk A/S – Class B		357,652
		Total Denmark		562,722
		Finland — 1.7%
	275	Neste Oyj		22,473
	24,760	UPM – Kymmene Oyj		908,861
		Total Finland		931,334
		France — 10.3%
	22,622	Air France-KLM *		179,310
	106	Atos SE		14,390
	36,772	AXA SA		921,341
	18,636	BNP Paribas SA		1,157,965
	1,545	Christian Dior SE		657,925
	379	Compagnie de Saint-Gobain		18,979
	147	Dassault Systemes SE		20,636
	1,104	L’Oreal SA		265,886
	1,089	Sanofi		83,476
	3,800	Sanofi ADR		145,426
	7,979	SCOR SE		293,959
	18,095	Societe Generale SA		781,026
	26,600	STMicroelectronics NV – NY Shares		634,942
	17,757	STMicroelectronics NV		423,395
		Total France		5,598,656

Shares		Description	Value ($)
		Germany — 9.3%
	6,397	Allianz SE (Registered)		1,317,988
	75	Aurubis AG		6,101
	25	BASF SE		2,468
	12,282	Bayerische Motoren Werke AG		1,227,268
	168	Bechtle AG		14,763
	2,740	Covestro AG		249,621
	15,819	Daimler AG (Registered Shares)		1,142,768
	33,162	Deutsche Lufthansa AG (Registered)		899,979
	63	Henkel AG & Co KGaA		7,104
	715	METRO AG		9,615
	157	Siemens AG (Registered)		20,462
	333	Uniper SE		10,541
	763	Volkswagen AG		141,308
		Total Germany		5,049,986
		Hong Kong — 6.0%
	70,000	BOC Hong Kong Holdings Ltd		350,396
	197,233	I-CABLE Communications Ltd *		4,219
	48,000	Link (REIT)		422,912
	168,000	SJM Holdings Ltd		239,955
	2,500	Techtronic Industries Co Ltd		14,872
	391,000	WH Group Ltd		400,589
	131,000	Wharf Holdings Ltd (The)		421,418
	109,000	Wharf Real Estate Investment Co Ltd		838,122
	71,000	Wheelock & Co Ltd		533,241
	12,000	Xinyi Glass Holdings Ltd		16,436
		Total Hong Kong		3,242,160
		Ireland — 0.4%
	1,700	ICON Plc *		219,266
		Israel — 0.1%
	4,772	Bank Leumi Le-Israel BM		29,743
	100	Check Point Software Technologies Ltd *		9,736
	400	Teva Pharmaceutical Industries Ltd Sponsored ADR *		8,600
		Total Israel		48,079
		Italy — 3.9%
	795	ASTM SPA		18,375
	477	De’ Longhi SPA		13,528
	19,380	Enel SPA		106,509
	9,845	EXOR NV		715,038
	5,385	Fiat Chrysler Automobiles NV *		122,051
	44,500	Fiat Chrysler Automobiles NV		1,033,735
	1,762	FinecoBank Banca Fineco SPA		17,573
	2,208	Mediobanca Banca di Credito Finanziario SpA		20,832
	6,359	Societa Cattolica di Assicurazioni SC		54,704
	2,141	Unipol Gruppo SPA		9,101
		Total Italy		2,111,446
		Japan — 27.2%
	100	Aoyama Trading Co Ltd		3,542
	53,500	Asahi Kasei Corp		731,445
	5,200	Astellas Pharma Inc		80,526
	21,900	Brother Industries Ltd		456,238

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	21,200	Canon Inc		722,909
	100	Central Japan Railway Co		20,628
	1,100	Daicel Corp		12,396
	1,000	DCM Holdings Co Ltd		10,021
	400	Denka Co Ltd		14,603
	300	Denso Corp		14,544
	500	Fancl Corp		23,006
	3,000	Fuji Electric Co Ltd		21,265
	100	Fuji Oil Holdings Inc		3,614
	600	Fujikura Ltd		4,066
	101,000	Fujitsu Ltd		615,853
	200	Furukawa Electric Co Ltd		7,686
	1,100	Gree Inc		6,250
	6,274	Haseko Corp		94,986
	200	Hitachi Chemical Co Ltd		4,290
	166,000	Hitachi Ltd		1,208,607
	2,500	House Foods Group Inc		91,393
	200	Ibiden Co Ltd		3,100
	73,700	ITOCHU Corp		1,379,057
	200	Itochu Techno-Solutions Corp		3,613
	8,480	K’s Holdings Corp		102,555
	100	Kagome Co Ltd		3,462
	2,000	Kajima Corp		16,273
	100	Keyence Corp		61,081
	100	Kobayashi Pharmaceutical Co Ltd		8,806
	100	Kose Corp		21,648
	200	Lion Corp		3,645
	154,600	Marubeni Corp		1,199,294
	116,200	Mitsubishi Chemical Holdings Corp		1,070,118
	800	Mitsubishi Corp		22,173
	31,200	Mitsubishi Electric Corp		442,159
	10,800	Mitsubishi Gas Chemical Co Inc		274,301
	9,300	Mitsubishi Tanabe Pharma Corp		166,093
	21,900	Mitsui & Co Ltd		384,315
	6,000	Mitsui Chemicals Inc		172,849
	100	Mitsui Mining & Smelting Co Ltd		4,352
	26,800	Nippon Telegraph & Telephone Corp		1,252,012
	3,600	Nisshinbo Holdings Inc		43,467
	11,300	Otsuka Holdings Co Ltd		560,817
	1,000	Pola Orbis Holdings Inc		49,307
	1,200	Resona Holdings Inc		6,667
	2,500	Rohto Pharmaceutical Co Ltd		80,357
	36,300	Sekisui Chemical Co Ltd		594,578
	300	Shiseido Co Ltd		23,698
	2,800	Showa Denko KK		120,259
	173,100	Sojitz Corp		614,411
	500	Sony Corp		23,589
	91,000	Sumitomo Chemical Co Ltd		547,788
	900	Sumitomo Corp		15,043
	1,100	Sumitomo Dainippon Pharma Co Ltd		22,775
	400	Suntory Beverage & Food Ltd		17,727
	1,400	Tokyo Electron Ltd		261,255

Shares		Description	Value ($)
		Japan — continued
	1,000	Tosoh Corp		17,448
	29,900	Toyota Tsusho Corp		1,027,342
	200	TS Tech Co Ltd		8,762
	500	Tsumura & Co		18,154
	200	Yokohama Rubber Co Ltd (The)		4,335
		Total Japan		14,796,553
		Malta — 0.0%
	15,998,662	BGP Holdings Plc * (a)		—
		Netherlands — 3.3%
	2,002	ASR Nederland NV		84,650
	4,649	Heineken Holding NV		452,893
	75,769	ING Groep NV		1,103,554
	1,971	Signify NV		56,174
	200	Unilever NV – NY Shares		11,154
	1,025	Wolters Kluwer NV		57,581
		Total Netherlands		1,766,006
		New Zealand — 0.1%
	10,085	Fletcher Building Ltd		46,491
	2,722	Spark New Zealand Ltd		6,958
		Total New Zealand		53,449
		Norway — 0.3%
	118	Bakkafrost P/F		6,187
	8,933	DNB ASA		160,107
	1,291	Norsk Hydro ASA		8,124
		Total Norway		174,418
		Portugal — 0.0%
	1,179	CTT-Correios de Portugal SA		3,909
		Singapore — 0.6%
	800	DBS Group Holdings Ltd		16,833
	2,000	Oversea-Chinese Banking Corp Ltd		18,647
	17,700	Venture Corp Ltd		276,714
		Total Singapore		312,194
		Spain — 0.2%
	229	Aena SME SA		44,097
	8,667	International Consolidated Airlines Group SA		78,765
		Total Spain		122,862
		Sweden — 3.8%
	979	Atlas Copco AB – A Redemption *		888
	1,972	Atlas Copco AB – A Shares		78,225
	542	Atlas Copco AB – B Redemption *		491
	542	Atlas Copco AB – B Shares		19,596
	1,296	Electrolux AB – Series B		31,991
	3,012	Kindred Group Plc SDR		38,124
	13,361	Sandvik AB		231,733
	40,066	Svenska Cellulosa AB SCA – Class B		444,130
	1,801	Swedish Match AB		85,421
	67,441	Volvo AB – B Shares		1,159,922
		Total Sweden		2,090,521

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Switzerland — 4.5%
	152	ALSO Holding AG (Registered) *		18,939
	127	Baloise Holding AG (Registered)		18,657
	14	Barry Callebaut AG (Registered)		24,522
	147	Bucher Industries AG (Registered)		53,039
	1,097	GAM Holding AG *		16,404
	236	Georg Fischer AG (Registered)		305,094
	174	LafargeHolcim Ltd (Registered) *		8,938
	3,014	Logitech International SA (Registered)		123,101
	824	Nestle SA (Registered)		62,280
	2,704	Novartis AG (Registered)		201,023
	2,695	Roche Holding AG		577,840
	334	Roche Holding AG		72,886
	93	Sika AG		743,768
	89	Swatch Group AG (The) (Registered)		7,911
	2,556	Swiss Re AG		219,792
		Total Switzerland		2,454,194
		United Kingdom — 16.3%
	33,769	3i Group Plc		427,215
	2,151	Ashtead Group Plc		66,481
	21,987	AstraZeneca Plc		1,604,082
	482	Bellway Plc		21,022
	16,817	Berkeley Group Holdings Plc (The)		948,472
	26,931	British American Tobacco Plc		1,382,384
	8,807	Coca-Cola HBC AG *		300,613
	1,200	Diageo Plc Sponsored ADR		175,824
	20,965	Electrocomponents Plc		195,931
	16,647	Ferrexpo Plc		48,433
	953	Galliford Try Plc		12,189
	71,675	GlaxoSmithKline Plc		1,452,125
	500	GlaxoSmithKline Plc Sponsored ADR		20,260
	2,198	Hammerson Plc (REIT)		15,966
	400	HSBC Holdings Plc Sponsored ADR		19,352
	8,252	IG Group Holdings Plc		94,761
	14,018	Indivior Plc *		89,384
	734	Intermediate Capital Group Plc		11,168
	1,244	J Sainsbury Plc		5,261
	337	Johnson Matthey Plc		15,714
	3,060	Jupiter Fund Management Plc		18,436
	6,956	Man Group Plc		16,769
	89	Mondi Plc		2,468
	8,900	Nomad Foods Ltd *		154,860
	31,435	Persimmon Plc		1,182,787
	1,092	Plus500 Ltd		23,666
	1,789	Reckitt Benckiser Group Plc		136,936
	34,159	Royal Mail Plc		229,851
	4,482	Sage Group Plc (The)		39,400
	103	Spectris Plc		3,813

Shares		Description	Value ($)
		United Kingdom — continued
	1,015	TUI AG		23,549
	3,067	WH Smith Plc		78,962
	11,646	William Hill Plc		49,506
		Total United Kingdom		8,867,640
		TOTAL COMMON STOCKS (COST $46,224,354)		51,583,079
		PREFERRED STOCKS (b) — 1.6%
		Germany — 1.6%
	11,918	Porsche Automobil Holding SE		877,960
		TOTAL PREFERRED STOCKS (COST $803,320)		877,960
		MUTUAL FUNDS — 2.3%
		United States — 2.3%
		Affiliated Issuers — 2.3%
	50,112	GMO U.S. Treasury Fund		1,251,798
		TOTAL MUTUAL FUNDS (COST $1,251,601)		1,251,798
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Fund — 0.3%
	141,707	State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (c)		141,707
		TOTAL SHORT-TERM INVESTMENTS (COST $141,707)		141,707
		TOTAL INVESTMENTS — 99.0% (Cost $48,420,982)		53,854,544
		Other Assets and Liabilities (net) — 1.0%		538,618
		TOTAL NET ASSETS — 100.0%		$54,393,162

A summary of outstanding financial instruments at May 31, 2018 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
10	Mini MSCI EAFE	June 2018	$	993,500	$	(18,446	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 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.

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

Notes to Schedule of Investments:

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

* Non-income producing security.

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

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

(c) The rate disclosed is the 7 day net yield as of May 31, 2018.

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.4%
		Banks — 5.1%
	3,795,862	US Bancorp		189,755,141
	3,845,959	Wells Fargo & Co.		207,643,327
		Total Banks		397,398,468
		Capital Goods — 4.4%
	578,325	3M Co.		114,063,040
	528,619	Honeywell International, Inc.		78,188,036
	1,189,111	United Technologies Corp.		148,424,835
		Total Capital Goods		340,675,911
		Consumer Durables & Apparel — 1.8%
	231,625	LVMH Moet Hennessy Louis Vuitton SE		80,651,484
	745,955	VF Corp.		60,541,708
		Total Consumer Durables & Apparel		141,193,192
		Consumer Services — 0.4%
	1,486,871	Compass Group Plc		31,951,243
		Diversified Financials — 2.5%
	1,946,260	American Express Co.		191,317,358
		Energy — 1.0%
	1,123,622	Schlumberger Ltd.		77,159,123
		Food & Staples Retailing — 2.5%
	978,490	Costco Wholesale Corp.		193,975,858
		Food, Beverage & Tobacco — 6.0%
	2,636,014	British American Tobacco Plc		135,308,135
	2,507,302	Coca-Cola Co. (The)		107,813,986
	1,433,702	Nestle SA (Registered)		108,362,653
	286,326	PepsiCo, Inc.		28,704,182
	1,002,165	Philip Morris International, Inc.		79,712,204
		Total Food, Beverage & Tobacco		459,901,160
		Health Care Equipment & Services — 13.7%
	2,049,266	Abbott Laboratories		126,091,337
	718,454	Anthem, Inc.		159,080,085
	371,672	Becton Dickinson and Co.		82,358,798
	2,531,085	Medtronic Plc		218,483,257
	466,185	Stryker Corp.		81,125,514
	1,603,944	UnitedHealth Group, Inc.		387,368,515
		Total Health Care Equipment & Services		1,054,507,506
		Household & Personal Products — 4.1%
	1,777,510	Reckitt Benckiser Group Plc		136,056,342
	3,321,333	Unilever Plc		183,118,307
		Total Household & Personal Products		319,174,649
		Pharmaceuticals, Biotechnology & Life Sciences — 10.8%
	3,114,185	Johnson & Johnson		372,518,810
	2,209,107	Merck & Co., Inc.		131,508,140
	1,534,727	Novartis AG (Registered)		114,095,795
	1,929,243	Pfizer, Inc.		69,317,701
	683,050	Roche Holding AG		146,453,899
		Total Pharmaceuticals, Biotechnology & Life Sciences		833,894,345

Shares / Par Value†		Description	Value ($)
		Retailing — 2.6%
	2,199,460	TJX Cos, Inc. (The)		198,655,227
		Semiconductors & Semiconductor Equipment — 6.4%
	3,586,382	QUALCOMM, Inc.		208,440,522
	18,881,790	Taiwan Semiconductor Manufacturing Co Ltd		140,980,832
	1,284,701	Texas Instruments, Inc.		143,770,889
		Total Semiconductors & Semiconductor Equipment		493,192,243
		Software & Services — 28.1%
	1,534,322	Accenture Plc – Class A		238,955,308
	242,392	Alphabet, Inc. – Class A *		266,631,200
	222,947	Alphabet, Inc. – Class C *		241,895,265
	2,462,071	Cognizant Technology Solutions Corp. – Class A		185,517,050
	487,256	Facebook, Inc. – Class A *		93,445,956
	453,797	Mastercard, Inc. – Class A		86,275,886
	4,033,639	Microsoft Corp.		398,684,879
	9,447,273	Oracle Corp.		441,376,595
	900,942	SAP SE		101,488,562
	897,460	Teradata Corp. *		35,781,730
	643,239	Visa, Inc. – Class A		84,084,202
		Total Software & Services		2,174,136,633
		Technology Hardware & Equipment — 9.0%
	542,979	Amphenol Corp. – Class A		47,201,165
	2,507,978	Apple, Inc.		468,665,849
	4,269,071	Cisco Systems, Inc.		182,332,022
		Total Technology Hardware & Equipment		698,199,036
		TOTAL COMMON STOCKS (COST $5,386,034,375)		7,605,331,952
		MUTUAL FUNDS — 0.8%
		Affiliated Issuers — 0.8%
	2,646,857	GMO U.S. Treasury Fund		66,118,509
		TOTAL MUTUAL FUNDS (COST $66,112,501)		66,118,509
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.1%
	4,980,090	State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (a)		4,980,090
		U.S. Government — 0.5%
	36,500,000	U.S. Treasury Bill, 2.02%, due 11/08/18 (b)		36,177,583
		TOTAL SHORT-TERM INVESTMENTS (COST $41,154,637)		41,157,673
		TOTAL INVESTMENTS — 99.8% (Cost $5,493,301,513)		7,712,608,134
		Other Assets and Liabilities (net) — 0.2%		14,069,856
		TOTAL NET ASSETS — 100.0%		$7,726,677,990

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of May 31, 2018.

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

Country Summary¤	% of Investments
United States		84.7	%
United Kingdom		6.3
Switzerland		4.8
Taiwan		1.8
Germany		1.3
France		1.1
		100.0	%

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

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 89.5%
		Argentina — 1.1%
	468,500	Adecoagro SA *		3,808,905
		Australia — 3.9%
	191,901	Beach Energy Ltd		236,627
	314,919	Mineral Resources Ltd		4,373,661
	126,040	Nufarm Ltd		901,615
	141,654	OZ Minerals Ltd		1,050,520
	246,902	Sandfire Resources NL		1,616,361
	1,258,923	South32 Ltd		3,529,673
	213,663	Tassal Group Ltd		662,940
	77,531	Woodside Petroleum Ltd		1,894,509
		Total Australia		14,265,906
		Austria — 0.7%
	46,252	OMV AG		2,650,244
		Brazil — 0.7%
	191,900	Cosan SA Industria e Comercio		1,996,214
	91,757	Sao Martinho SA		431,620
		Total Brazil		2,427,834
		Canada — 0.9%
	71,800	Canadian Solar Inc *		1,192,598
	17,631	Nutrien Ltd		893,010
	24,640	Nutrien Ltd		1,246,823
		Total Canada		3,332,431
		China — 2.9%
	1,815,000	China High Speed Transmission Equipment Group Co Ltd		2,648,991
	1,851,000	China Singyes Solar Technologies Holdings Ltd *		686,348
	879,600	Inner Mongolia Eerduosi Resourses Co Ltd – Class A		1,392,342
	2,632,400	Xinjiang Goldwind Science & Technology Co Ltd – Class H		4,195,346
	4,172,000	Xinyi Solar Holdings Ltd		1,718,061
		Total China		10,641,088
		Colombia — 0.8%
	2,574,227	Ecopetrol SA		2,752,041
		Denmark — 1.9%
	107,214	Vestas Wind Systems A/S		7,024,867
		Finland — 0.1%
	40,529	Kemira Oyj		528,145
		France — 5.0%
	224,283	Suez		3,077,977
	161,848	TOTAL SA		9,839,370
	144,882	Veolia Environnement SA		3,286,918
	26,706	Vilmorin & Cie SA		1,795,314
		Total France		17,999,579
		Germany — 0.8%
	45,684	CropEnergies AG		317,068
	27,799	K+S AG (Registered)		743,035

Shares		Description	Value ($)
		Germany — continued
	54,975	Nordex SE *		669,387
	303,954	PNE Wind AG (Registered)		881,553
	27,027	Senvion SA *		334,892
		Total Germany		2,945,935
		Hungary — 0.5%
	198,810	MOL Hungarian Oil & Gas Plc		1,876,351
		India — 0.5%
	618,247	Oil & Natural Gas Corp Ltd		1,627,511
		Israel — 1.8%
	928,054	Israel Chemicals Ltd		4,296,447
	8,050	Israel Corp Ltd (The)		1,651,821
	10,565	Jerusalem Oil Exploration *		557,922
		Total Israel		6,506,190
		Italy — 0.3%
	264,495	Saipem SPA *		1,121,798
		Japan — 5.8%
	65,100	ADEKA Corp		1,169,396
	56,100	Ebara Corp		1,921,029
	241,900	Hitachi Zosen Corp		1,236,580
	172,200	Kubota Corp		2,891,163
	85,600	Kumiai Chemical Industry Co Ltd		534,666
	47,700	Kurita Water Industries Ltd		1,365,030
	159,700	Mitsubishi Materials Corp		4,418,916
	24,800	Modec Inc		671,333
	22,400	Nittetsu Mining Co Ltd		1,104,176
	11,800	Organo Corp		333,398
	61,500	Shinko Plantech Co Ltd		545,290
	191,600	Sumitomo Forestry Co Ltd		2,917,703
	108,200	Takuma Co Ltd		1,245,045
	18,300	Toyo Kanetsu KK		635,201
		Total Japan		20,988,926
		Netherlands — 0.1%
	16,083	SIF Holding NV		342,298
		Norway — 8.3%
	498,153	Austevoll Seafood ASA		5,968,432
	43,633	Bakkafrost P/F		2,287,636
	202,426	Equinor ASA		5,321,307
	226,037	Grieg Seafood ASA		2,536,278
	75,769	Marine Harvest ASA		1,515,903
	108,001	Ocean Yield ASA		927,959
	186,888	Petroleum Geo-Services ASA *		898,901
	82,994	Salmar ASA		3,618,514
	161,746	Subsea 7 SA		2,465,471
	114,488	Yara International ASA		4,725,930
		Total Norway		30,266,331
		Pakistan — 0.6%
	2,084,000	Engro Fertilizers Ltd		1,341,504
	655,100	Oil & Gas Development Co Ltd		922,774
		Total Pakistan		2,264,278

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Poland — 1.6%
	191,332	KGHM Polska Miedz SA		4,401,903
	998,757	Polskie Gornictwo Naftowe i Gazownictwo SA		1,548,094
		Total Poland		5,949,997
		Qatar — 0.1%
	76,406	Gulf International Services QSC *		353,419
		Russia — 12.2%
	1,320,340	Gazprom Neft PJSC		6,808,196
	128,944	LUKOIL PJSC Sponsored ADR		8,588,924
	469,477	MMC Norilsk Nickel PJSC ADR		8,320,140
	25,205	Novatek PJSC Sponsered GDR (Registered)		3,626,106
	256,359	PhosAgro PJSC GDR (Registered)		3,403,557
	519,568	Ros Agro Plc GDR (Registered)		5,794,140
	489,923	Rosneft PJSC GDR (Registered)		2,976,465
	66,035	Tatneft PJSC Sponsored ADR		4,214,259
	79,948	TMK PJSC GDR (Registered)		432,808
		Total Russia		44,164,595
		Singapore — 0.1%
	3,529,686	Ezion Holdings Ltd *		288,222
	2,725,600	Ezra Holdings Ltd * (a)		—
		Total Singapore		288,222
		South Africa — 1.3%
	83,779	African Rainbow Minerals Ltd		720,606
	108,937	Sasol Ltd		3,929,758
		Total South Africa		4,650,364
		South Korea — 0.9%
	8,688	Korea Zinc Co Ltd		3,266,262
		Spain — 1.6%
	52,462	Fomento de Construcciones y Contratas SA *		653,034
	238,607	Repsol SA		4,547,358
	14,593	Tecnicas Reunidas SA		432,219
		Total Spain		5,632,611
		Sweden — 1.4%
	100,274	Boliden AB *		65,162
	142,691	Boliden AB		5,031,860
		Total Sweden		5,097,022
		Switzerland — 0.1%
	352	Gurit Holding AG		297,000
		Thailand — 2.2%
	1,710,800	Esso Thailand Pcl		785,747
	572,864	PTT Exploration & Production Pcl (Foreign Registered)		2,397,202
	2,951,210	PTT Pcl (Foreign Registered)		4,795,906
		Total Thailand		7,978,855
		Turkey — 0.1%
	24,697	Turk Traktor ve Ziraat Makineleri AS		319,613
		Ukraine — 0.7%
	189,835	Kernel Holding SA		2,685,388

Shares		Description	Value ($)
		United Kingdom — 16.3%
	695,529	Anglo American Plc		16,609,168
	508,516	BHP Billiton Plc		11,692,226
	282,871	BP Plc		2,163,456
	1,259,238	EnQuest Plc *		585,005
	744,069	Glencore Plc *		3,674,661
	238,859	Petrofac Ltd		1,846,316
	157,830	Polypipe Group Plc		808,660
	420,640	Premier Oil Plc *		666,855
	344,924	Rio Tinto Plc		19,454,152
	48,738	Royal Dutch Shell Plc A Shares (London)		1,689,849
		Total United Kingdom		59,190,348
		United States — 14.2%
	10,700	AGCO Corp.		680,520
	64,800	Albemarle Corp.		6,056,856
	26,600	American Vanguard Corp.		573,230
	219,402	Chesapeake Energy Corp. *		980,727
	13,600	Deere & Co.		2,033,336
	340,608	Denbury Resources, Inc. *		1,447,584
	54,500	Diamond Offshore Drilling, Inc. *		989,720
	324,384	Ensco Plc – Class A		2,108,496
	77,100	First Solar, Inc. *		5,212,731
	1,012,354	Freeport-McMoRan, Inc.		17,108,782
	241,300	Noble Corp Plc *		1,341,628
	80,400	Renewable Energy Group, Inc. *		1,435,140
	22,500	Rexnord Corp. *		656,550
	79,900	Rowan Cos Plc – Class A *		1,246,440
	171,355	SolarEdge Technologies, Inc. *		9,570,177
		Total United States		51,441,917
		TOTAL COMMON STOCKS (COST $258,804,670)		324,686,271
		PREFERRED STOCKS (b) — 9.1%
		Brazil — 2.8%
	1,234,799	Bradespar SA		10,312,807
		Chile — 4.4%
	305,512	Sociedad Quimica y Minera de Chile SA Sponsored ADR		15,926,340
		Russia — 1.9%
	46,950	Bashneft PJSC		1,308,419
	7,048,984	Surgutneftegas OJSC		3,454,404
	285,451	Tatneft PJSC		2,090,608
		Total Russia		6,853,431
		TOTAL PREFERRED STOCKS (COST $20,510,775)		33,092,578
		RIGHTS/WARRANTS — 0.0%
		Singapore — 0.0%
	2,117,812	Ezion Holdings Ltd, Expires 04/03/19 * (c)		—
		TOTAL RIGHTS/WARRANTS (COST $0)		—

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 0.4%
		United States — 0.4%
		Affiliated Issuers — 0.4%
	51,391	GMO U.S. Treasury Fund		1,283,746
		TOTAL MUTUAL FUNDS (COST $1,283,733)		1,283,746
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Fund — 0.4%
	1,491,190	State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (d)		1,491,190
		TOTAL SHORT-TERM INVESTMENTS (COST $1,491,190)		1,491,190
		TOTAL INVESTMENTS — 99.4% (Cost $282,090,368)		360,553,785
		Other Assets and Liabilities (net) — 0.6%		2,118,436
		TOTAL NET ASSETS — 100.0%		$362,672,221

Notes to Schedule of Investments:

ADR - American Depositary Receipt

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

GDR - Global Depositary Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

* Non-income producing security.

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

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

(c) Investment valued using significant unobservable inputs.

(d) The rate disclosed is the 7 day net yield as of May 31, 2018.

GMO Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 55.9%
		U.S. Government — 41.0%
	30,000,000	U.S. Treasury Note, 1.00%, due 11/30/18 (a)		29,837,109
	25,000,000	U.S. Treasury Note, USBM + 0.05%, 1.95%, due 10/31/19		25,016,515
		Total U.S. Government		54,853,624
		U.S. Government Agency — 14.9%
	10,000,000	Federal Home Loan Banks, Variable Rate, 1 mo. U.S. LIBOR – 0.11%, 1.84%, due 04/22/19		9,998,257
	10,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. U.S. LIBOR – 0.16%, 1.91%, due 06/12/19		10,012,315
		Total U.S. Government Agency		20,010,572
		TOTAL DEBT OBLIGATIONS (COST $74,936,109)		74,864,196
		SHORT-TERM INVESTMENTS — 44.1%
		Money Market Funds — 0.4%
	581,134	State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (b)		581,134
		TOTAL MONEY MARKET FUNDS (COST $581,134)		581,134

Par Value† / Shares		Description	Value ($)
		U.S. Government — 41.5%
	20,850,000	U.S. Treasury Bill, 1.74%, due 07/12/18 (a) (c)		20,808,385
	1,700,000	U.S. Treasury Bill, 1.87%, due 08/23/18 (c)		1,692,715
	15,500,000	U.S. Treasury Bill, 1.99%, due 10/25/18 (c)		15,376,635
	17,700,000	U.S. Treasury Note, 1.50%, due 08/31/18 (a)		17,679,999
		TOTAL U.S. GOVERNMENT (COST $55,583,400)		55,557,734
		U.S. Government Agency — 2.2%
	3,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR – 0.25%, 2.11%, due 10/18/18		3,002,402
		TOTAL U.S. GOVERNMENT AGENCY (COST $2,999,407)		3,002,402
		TOTAL SHORT-TERM INVESTMENTS (COST $59,163,941)		59,141,270
		TOTAL INVESTMENTS — 100.0% (Cost $134,100,050)		134,005,466
		Other Assets and Liabilities (net) — 0.0%		4,382
		TOTAL NET ASSETS — 100.0%		$134,009,848

A summary of outstanding financial instruments at May 31, 2018 is as follows:

Written Options – Puts

Index Options

Description	Counterparty	Exercise Price		Expiration Date		Number of Contracts		Notional Amount			Value ($)
FTSE 100 Index	MSLC		7,775.00		06/15/18		258		GBP	19,809,756		(455,805	)
S&P 500 Index	MSLC		2,720.00		06/01/18		315		USD	85,216,005		(519,750	)
S&P ASX 200 Index	MSLC		6,100.00		06/21/18		439		AUD	26,392,241		(362,060	)
			TOTAL INDEX OPTIONS – PUTS (Premiums $957,326)									(1,337,615	)

As of May 31, 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:

The rates shown on variable rate notes are the current interest rates at May 31, 2018, which are subject to change based on the terms of the security.

LIBOR - London Interbank Offered Rate

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

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

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

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

(b) The rate disclosed is the 7 day net yield as of May 31, 2018.

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

Counterparty Abbreviations:

MSLC - Morgan Stanley & Co. LLC

Currency Abbreviations:

AUD - Australian Dollar

GBP - British Pound

USD - United States Dollar

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.4%
		Australia — 3.3%
	25,843	BlueScope Steel Ltd		336,748
	15,966	Caltex Australia Ltd		354,086
	1,735	CIMIC Group Ltd		53,959
	21,619	Costa Group Holdings Ltd		125,442
	1,963	CSL Ltd		275,545
	22,500	CSR Ltd		85,127
	6,153	Genworth Mortgage Insurance Australia Ltd		11,380
	353	LendLease Group		4,996
	910	Macquarie Group Ltd		78,410
	9,892	Mineral Resources Ltd		137,382
	19,984	OZ Minerals Ltd		148,203
	1,760	Primary Health Care Ltd		4,975
	47,548	South32 Ltd		133,311
	228	Wesfarmers Ltd		7,845
	6,716	WorleyParsons Ltd		84,002
		Total Australia		1,841,411
		Austria — 2.0%
	8,473	OMV AG		485,504
	6,409	Raiffeisen Bank International AG *		201,686
	7,528	voestalpine AG		401,983
		Total Austria		1,089,173
		Belgium — 0.3%
	2,430	Ageas		122,935
	4,294	AGFA-Gevaert NV *		15,363
	161	UCB SA		12,656
		Total Belgium		150,954
		Brazil — 0.5%
	1,600	Banco do Brasil SA		13,026
	900	Banco Santander Brasil SA		8,151
	3,200	Centrais Eletricas Brasileiras SA *		12,550
	3,300	Cia de Saneamento Basico do Estado de Sao Paulo		23,118
	600	Cia de Saneamento Basico do Estado de Sao Paulo ADR		4,122
	20,400	JBS SA		48,902
	5,000	Kroton Educacional SA		14,488
	10,182	Vale SA		138,138
	400	Via Varejo SA		2,505
		Total Brazil		265,000
		Canada — 0.3%
	600	BRP Inc Sub Voting		27,950
	200	Magna International Inc		12,824
	400	Magna International Inc		25,628
	400	Power Corp of Canada		9,320
	1,000	Royal Bank of Canada		75,582
	600	Sun Life Financial Inc		24,798
		Total Canada		176,102
		China — 3.3%
	8,000	Agile Group Holdings Ltd		15,113
	260,000	Agricultural Bank of China Ltd – Class H		133,470

Shares		Description	Value ($)
		China — continued
	2,000	Anhui Conch Cement Co Ltd – Class H		12,212
	10,000	ANTA Sports Products Ltd		57,715
	41,000	Bank of China Ltd – Class H		21,410
	16,000	Bank of Communications Co Ltd – Class H		12,619
	32,000	Beijing Capital International Airport Co Ltd – Class H		47,105
	33,000	China CITIC Bank Corp Ltd – Class H		22,304
	88,000	China Communications Services Corp Ltd – Class H		56,498
	22,000	China Evergrande Group *		63,866
	78,200	China National Building Material Co Ltd – Class H *		88,886
	102,000	China Petroleum & Chemical Corp – Class H		99,223
	21,000	China Railway Construction Corp Ltd – Class H		23,723
	44,000	China Resources Cement Holdings Ltd		51,512
	5,000	China Resources Pharmaceutical Group Ltd		7,664
	31,000	China Shenhua Energy Co Ltd – Class H		80,641
	234,000	China Telecom Corp Ltd – Class H		108,791
	300	China Yuchai International Ltd		6,915
	18,000	Chongqing Rural Commercial Bank Co Ltd – Class H		11,974
	11,000	Country Garden Holdings Co Ltd		21,376
	70,000	Dongfeng Motor Group Co Ltd – Class H		79,737
	34,000	Geely Automobile Holdings Ltd		95,477
	2,000	Guangdong Investment Ltd		3,357
	24,000	Guangzhou R&F Properties Co Ltd – Class H		55,873
	7,000	Haier Electronics Group Co Ltd *		25,095
	20,000	Harbin Electric Co Ltd – Class H		6,952
	39,000	Huabao International Holdings Ltd		25,666
	19,500	Kingboard Chemical Holdings Ltd		77,145
	23,000	Kingboard Laminates Holdings Ltd		30,256
	18,000	Lee & Man Paper Manufacturing Ltd		20,985
	6,000	Lonking Holdings Ltd		3,001
	13,000	People’s Insurance Co Group of China Ltd (The) – Class H		6,121
	37,000	Postal Savings Bank of China Co Ltd – Class H		24,644
	14,100	Shanghai Pharmaceuticals Holding Co Ltd – Class H		43,387
	16,000	Shenzhen Expressway Co Ltd – Class H		16,734
	29,000	Shimao Property Holdings Ltd		85,052
	19,000	Sino Biopharmaceutical Ltd		47,862
	23,000	Sinopec Engineering Group Co Ltd – Class H		24,611
	5,500	Sinotruk Hong Kong Ltd		7,755
	1,000	Tencent Holdings Ltd		51,052
	34,000	TravelSky Technology Ltd – Class H		98,786
	31,000	Weichai Power Co Ltd – Class H		41,306
		Total China		1,813,871
		Colombia — 0.1%
	2,700	Ecopetrol SA Sponsored ADR		58,023
		Denmark — 0.3%
	3,210	Novo Nordisk A/S – Class B		152,566
		Finland — 0.8%
	12,720	UPM-Kymmene Oyj		466,911

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		France — 9.0%
	24,864	Air France-KLM *		197,081
	81	Amundi SA		5,921
	396	Atos SE		53,760
	7,177	AXA SA		179,823
	11,740	BNP Paribas SA		729,475
	338	Bouygues SA		15,608
	1,428	Christian Dior SE		608,101
	890	Cie Generale des Etablissements Michelin		115,062
	113	Cie Plastic Omnium SA		5,223
	1,101	CNP Assurances		25,783
	2,933	Derichebourg SA		17,836
	665	Jacquet Metal Service		21,088
	1,266	L’Oreal SA		304,902
	19	LVMH Moet Hennessy Louis Vuitton SE		6,616
	8,643	Peugeot SA		202,120
	4,401	Renault SA		426,764
	4,442	Sanofi		340,497
	1,000	Sanofi ADR		38,270
	11,695	Societe Generale SA		504,786
	9,700	STMicroelectronics NV – NY Shares		231,539
	39,035	STMicroelectronics NV		930,745
	195	TOTAL SA		11,855
		Total France		4,972,855
		Germany — 9.2%
	5,768	Allianz SE (Registered)		1,188,394
	540	BASF SE		53,317
	6,407	Bayer AG (Registered)		764,699
	5,630	Bayerische Motoren Werke AG		562,573
	221	Covestro AG		20,134
	7,749	Daimler AG (Registered Shares)		559,789
	31,245	Deutsche Lufthansa AG (Registered)		847,954
	3,199	Duerr AG		321,160
	806	Elmos Semiconductor AG		24,856
	3,652	Freenet AG		104,837
	174	Hannover Rueck SE		21,957
	131	Henkel AG & Co KGaA		14,771
	160	Isra Vision AG		8,127
	4,148	Leoni AG		248,929
	543	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		111,619
	494	Siltronic AG		83,267
	1,036	Uniper SE		32,794
	318	Volkswagen AG		58,894
	1,594	Wacker Neuson SE		48,399
		Total Germany		5,076,470
		Greece — 0.0%
	559	Mytilineos Holdings SA *		5,938
		Hong Kong — 4.1%
	84,000	BOC Hong Kong Holdings Ltd		420,476
	11,200	Dah Sing Banking Group Ltd		25,655
	8,000	Kerry Properties Ltd		42,664

Shares		Description	Value ($)
		Hong Kong — continued
	50,000	Link (REIT)		440,533
	4,000	Minth Group Ltd		18,305
	677,000	WH Group Ltd		693,602
	46,000	Wharf Holdings Ltd (The)		147,979
	43,000	Wharf Real Estate Investment Co Ltd		330,635
	22,000	Wheelock & Co Ltd		165,229
		Total Hong Kong		2,285,078
		Hungary — 0.2%
	2,708	MOL Hungarian Oil & Gas Plc		25,558
	900	OTP Bank Plc		32,252
	1,681	Richter Gedeon Nyrt		32,929
		Total Hungary		90,739
		India — 0.9%
	589	Cadila Healthcare Ltd *		3,151
	5,291	Firstsource Solutions Ltd *		5,679
	7,227	HCL Technologies Ltd		97,095
	335	Hero MotoCorp Ltd		17,610
	11,445	Hindalco Industries Ltd		39,750
	6,576	Hindustan Petroleum Corp Ltd		30,446
	2,126	Indiabulls Housing Finance Ltd		39,564
	1,056	Indian Oil Corp Ltd		2,730
	2,300	Infosys Ltd Sponsored ADR		41,837
	2,139	Karnataka Bank Ltd (The)		3,798
	537	Maruti Suzuki India Ltd		67,944
	139	Merck Ltd		4,811
	517	NIIT Technologies Ltd		8,595
	3,486	NMDC Ltd		6,042
	2,833	PTC India Ltd		3,561
	1,398	Reliance Industries Ltd		19,047
	3,365	Rural Electrification Corp Ltd		5,883
	4,026	Syndicate Bank *		2,943
	1,453	Tech Mahindra Ltd		15,259
	469	UPL Ltd		4,916
	9,740	Vedanta Ltd		35,989
	4,331	Wipro Ltd		16,911
	700	Yes Bank Ltd *		3,589
		Total India		477,150
		Ireland — 0.5%
	6,190	Smurfit Kappa Group Plc		255,413
		Italy — 5.2%
	11,005	Arnoldo Mondadori Editore SPA *		15,758
	429	Datalogic SPA		14,848
	139	El.En. SPA		4,846
	130,904	Enel SPA		719,426
	9,589	EXOR NV		696,445
	13,208	Fiat Chrysler Automobiles NV *		299,358
	43,100	Fiat Chrysler Automobiles NV		1,001,213
	8,081	Fincantieri SPA		12,837
	391	Prima Industrie SPA		16,438
	12,969	Societa Cattolica di Assicurazioni SC		111,567

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	1,211	Vittoria Assicurazioni SPA		19,721
		Total Italy		2,912,457
		Japan — 24.4%
	600	Acom Co Ltd		2,510
	900	Arakawa Chemical Industries Ltd		15,073
	5,900	Asahi Group Holdings Ltd		307,666
	37,400	Asahi Kasei Corp		511,328
	3,600	Astellas Pharma Inc		55,749
	22,200	Brother Industries Ltd		462,488
	5,000	Canon Inc		170,497
	2,500	CKD Corp		51,494
	200	Dai-ichi Seiko Co Ltd		3,675
	2,300	Daito Trust Construction Co Ltd		374,877
	3,500	Daiwa House Industry Co Ltd		126,424
	200	DIC Corp		6,508
	700	Fancl Corp		32,209
	500	Foster Electric Co Ltd		7,638
	24,000	Fujitsu Ltd		146,341
	2,600	Hanwa Co Ltd		109,288
	29,800	Haseko Corp		451,163
	151,000	Hitachi Ltd		1,099,395
	100	House Foods Group Inc		3,656
	2,500	Idemitsu Kosan Co Ltd		83,444
	60,200	ITOCHU Corp		1,126,448
	1,400	Juki Corp		15,446
	11,640	K’s Holdings Corp		140,771
	1,000	Kajima Corp		8,137
	1,400	Kamei Corp		20,410
	22,200	KDDI Corp		598,811
	100	Keyence Corp		61,080
	1,100	Kitz Corp		9,811
	100	Kose Corp		21,648
	1,100	Leopalace21 Corp		7,559
	400	Lion Corp		7,290
	500	Mandom Corp		16,262
	65,600	Marubeni Corp		508,886
	5,300	Medipal Holdings Corp		121,820
	108,800	Mitsubishi Chemical Holdings Corp		1,001,969
	11,600	Mitsubishi Corp		321,511
	28,800	Mitsubishi Electric Corp		408,147
	3,500	Mitsubishi Gas Chemical Co Inc		88,894
	300	Modec Inc		8,121
	400	Nachi-Fujikoshi Corp		19,055
	300	Nagase & Co Ltd		4,986
	6,600	NET One Systems Co Ltd		107,168
	3,400	Nexon Co Ltd *		56,092
	2,000	Nichias Corp		25,065
	300	Nippon Chemi-Con Corp *		11,258
	22,200	Nippon Telegraph & Telephone Corp		1,037,114
	400	Nisshin Oillio Group Ltd (The)		11,403
	500	Omron Corp		26,133
	400	Pola Orbis Holdings Inc		19,723

Shares		Description	Value ($)
		Japan — continued
	9,000	Prima Meat Packers Ltd		53,776
	1,400	Rohm Co Ltd		128,917
	1,300	Rohto Pharmaceutical Co Ltd		41,785
	3,300	Sekisui Chemical Co Ltd		54,053
	3,800	Showa Denko KK		163,209
	127,500	Sojitz Corp		452,556
	100	ST Corp		2,451
	102,000	Sumitomo Chemical Co Ltd		614,004
	14,000	Sumitomo Corp		234,009
	220	Suzuken Co Ltd		9,833
	500	T-Gaia Corp		14,011
	100	TDK Corp		8,936
	3,500	Tokyo Electron Ltd		653,138
	35,700	Tosoh Corp		622,910
	14,900	Toyota Tsusho Corp		511,953
	8,260	USS Co Ltd		155,793
		Total Japan		13,553,775
		Malaysia — 0.0%
	2,400	Top Glove Corp Berhad		6,170
		Malta — 0.0%
	1,718,063	BGP Holdings Plc * (a)		—
		Mexico — 0.3%
	7,000	America Movil SAB de CV – Class L		5,429
	6,400	Arca Continental SAB de CV		38,506
	330	Gruma SAB de CV – Class B		3,472
	300	Grupo Aeroportuario del Pacifico SAB de CV – Class B		2,559
	6,300	OHL Mexico SAB de CV		8,497
	48,500	Wal-Mart de Mexico SAB de CV		122,146
		Total Mexico		180,609
		Netherlands — 1.5%
	179	Heineken Holding NV		17,438
	54,184	ING Groep NV		789,175
	479	Unilever NV CVA		26,713
		Total Netherlands		833,326
		New Zealand — 0.1%
	1,750	Fletcher Building Ltd		8,067
	12,946	Spark New Zealand Ltd		33,095
		Total New Zealand		41,162
		Norway — 1.4%
	12,050	DNB ASA		215,973
	14,481	Equinor ASA		380,672
	458	Norsk Hydro ASA		2,882
	2,652	SpareBank 1 SR Bank ASA		25,428
	706	Storebrand ASA		5,775
	10,918	Subsea 7 SA		166,422
		Total Norway		797,152
		Poland — 0.0%
	100	KGHM Polska Miedz SA		2,301

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Portugal — 0.0%
	19,283	Sonae SGPS SA		23,806
		Russia — 0.1%
	72,000	Inter RAO UES PJSC		4,720
	341,000	RusHydro PJSC		3,958
	2,219	Sberbank of Russia Sponsored ADR		31,820
	134	Tatneft PJSC Sponsored ADR		8,552
		Total Russia		49,050
		Singapore — 1.0%
	19,400	DBS Group Holdings Ltd		408,184
	1,100	Singapore Exchange Ltd		5,937
	7,200	Venture Corp Ltd		112,562
	37,400	Yanlord Land Group Ltd		47,067
		Total Singapore		573,750
		South Africa — 0.9%
	366	Astral Foods Ltd		7,734
	6,614	Barclays Africa Group Ltd		84,091
	4,867	Barloworld Ltd		50,625
	3,080	Bidvest Group Ltd (The)		48,819
	2,157	Blue Label Telecoms Ltd		1,992
	2,367	Clicks Group Ltd		37,600
	1,413	Imperial Holdings Ltd		22,680
	125	Kumba Iron Ore Ltd		2,840
	1,232	Liberty Holdings Ltd		11,722
	2,156	Mondi Ltd		59,283
	2,079	Nedbank Group Ltd		44,612
	748	Rand Merchant Investment Holdings Ltd		2,259
	2,621	Raubex Group Ltd		4,683
	619	RMB Holdings Ltd		3,533
	6,809	Standard Bank Group Ltd		110,775
		Total South Africa		493,248
		South Korea — 1.4%
	47	Chong Kun Dang Pharmaceutical Corp		4,564
	41	Coway Co Ltd		3,319
	52	DB Insurance Co Ltd		2,821
	153	E-MART Inc		35,405
	1,864	Hana Financial Group Inc		71,840
	26	Hanssem Co Ltd		2,723
	648	Hanwha Life Insurance Co Ltd		3,347
	625	Hyundai Marine & Fire Insurance Co Ltd		19,742
	4,502	Industrial Bank of Korea		65,000
	1,518	KB Financial Group Inc		73,014
	114	Kia Motors Corp		3,289
	47	Korea Investment Holdings Co Ltd		4,075
	39	KT&G Corp		3,473
	57	LG Corp		3,875
	831	LG Electronics Inc		71,237
	80	LOTTE Himart Co Ltd		5,833
	14	Lotte Shopping Co Ltd		2,901
	783	Meritz Fire & Marine Insurance Co Ltd		14,867
	75	NHN Entertainment Corp *		4,596

Shares		Description	Value ($)
		South Korea — continued
	32	Samsung SDS Co Ltd		6,231
	1,221	Shinhan Financial Group Co Ltd		49,838
	119	Shinsegae Inc		48,242
	2,143	SK Hynix Inc		185,302
	1,400	SK Telecom Co Ltd Sponsored ADR		31,948
	3,340	Woori Bank		47,309
		Total South Korea		764,791
		Spain — 0.5%
	1,514	Amadeus IT Group SA		120,219
	120	Ferrovial SA		2,453
	2,769	Grifols SA		81,629
	5,669	International Consolidated Airlines Group SA		51,519
		Total Spain		255,820
		Sweden — 4.2%
	10,456	Atlas Copco AB – A Redemption *		9,484
	10,456	Atlas Copco AB – A Shares		414,768
	1,915	Atlas Copco AB – B Redemption *		1,735
	1,915	Atlas Copco AB – B Shares		69,238
	1,647	Bufab AB		22,106
	699	Electrolux AB – Series B		17,254
	1,492	Kindred Group Plc SDR		18,885
	249	Oriflame Holding AG		8,398
	28,034	Sandvik AB		486,220
	14,930	Svenska Cellulosa AB SCA – Class B		165,499
	1,624	Swedish Match AB		77,026
	2,991	Volvo AB – A Shares		51,343
	58,205	Volvo AB – B Shares		1,001,071
		Total Sweden		2,343,027
		Switzerland — 4.1%
	698	ALSO Holding AG (Registered) *		86,972
	656	Baloise Holding AG (Registered)		96,372
	5	Barry Callebaut AG (Registered)		8,758
	44	Bell Food Group AG (Registered)		14,760
	327	BKW AG		20,653
	690	Bobst Group SA (Registered)		74,960
	32	Comet Holding AG (Registered) *		4,216
	216	Georg Fischer AG (Registered)		279,239
	137	Idorsia Ltd *		3,318
	2,750	Logitech International SA (Registered)		112,319
	7,752	Nestle SA (Registered)		585,915
	2,112	Novartis AG (Registered)		157,012
	255	Orior AG		22,775
	224	Roche Holding AG		48,028
	105	Roche Holding AG		22,913
	45	Sika AG		359,888
	199	Swatch Group AG (The) (Registered)		17,688
	1,031	Swiss Life Holding AG (Registered) *		351,665
		Total Switzerland		2,267,451
		Taiwan — 1.0%
	13,093	ASE Industrial Holding Co Ltd		33,211
	4,000	Asustek Computer Inc		36,153

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	22,428	Chang Hwa Commercial Bank Ltd		13,111
	2,010	Chicony Power Technology Co Ltd		3,427
	1,000	Formosa Chemicals & Fibre Corp		3,828
	2,000	Fubon Financial Holding Co Ltd		3,466
	5,000	Gigabyte Technology Co Ltd		13,154
	53,200	Hon Hai Precision Industry Co Ltd		151,782
	62,000	Inventec Corp		49,979
	2,000	Micro-Star International Co Ltd		8,268
	4,000	Mitac Holdings Corp		4,381
	1,000	Nan Ya Plastics Corp		2,785
	9,000	Novatek Microelectronics Corp		40,535
	2,000	Phison Electronics Corp		18,300
	9,000	Pou Chen Corp		11,013
	10,000	Radiant Opto-Electronics Corp		20,868
	11,000	Sunplus Technology Co Ltd		5,671
	900	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		34,830
	2,304	Topco Scientific Co Ltd		6,270
	2,000	Uni-President Enterprises Corp		4,874
	138,000	United Microelectronics Corp		76,589
	7,000	Yuanta Financial Holding Co Ltd		3,287
		Total Taiwan		545,782
		Thailand — 0.2%
	10,000	Amata Corp Pcl NVDR		7,166
	17,900	GFPT Pcl NVDR		6,710
	15,400	Indorama Ventures Pcl NVDR		27,993
	500	Kasikornbank Pcl (Foreign Registered) (b)		3,042
	6,200	PTT Exploration & Production Pcl NVDR		25,944
	24,000	PTT Pcl NVDR		39,002
	6,600	Supalai Pcl NVDR *		5,205
	9,200	Thai Airways International Pcl NVDR *		4,516
		Total Thailand		119,578
		Turkey — 0.2%
	19,508	KOC Holding AS		60,177
	24,480	Turkiye Is Bankasi – Class C		32,226
	22,954	Turkiye Sise ve Cam Fabrikalari AS		20,186
		Total Turkey		112,589
		United Kingdom — 14.1%
	48,521	3i Group Plc		613,845
	872	Ashtead Group Plc		26,951
	11,366	AstraZeneca Plc		829,217
	370	Bellway Plc		16,137
	5,923	Berkeley Group Holdings Plc (The)		334,055
	16,525	British American Tobacco Plc		848,238
	9,658	Coca-Cola HBC AG *		329,661
	13,484	Diageo Plc		495,446
	10,536	Electrocomponents Plc		98,465
	1,262	Fenner Plc		10,210
	38,474	Ferrexpo Plc		111,938
	50,198	GlaxoSmithKline Plc		1,017,004
	100,290	HSBC Holdings Plc		959,992

Shares		Description	Value ($)
		United Kingdom — continued
	3,581	IG Group Holdings Plc		41,122
	19,452	Inchcape Plc		189,056
	2,013	Man Group Plc		4,853
	1,218	Morgan Sindall Group Plc		23,678
	874	Next Plc		67,320
	2,800	Nomad Foods Ltd *		48,720
	22,669	Persimmon Plc		852,954
	5,243	Plus500 Ltd		113,626
	834	QinetiQ Group Plc		2,926
	7,672	Royal Dutch Shell Plc A Shares (London)		266,005
	3,096	Royal Mail Plc		20,833
	7,290	RPS Group Plc		25,530
	10,383	Spirent Communications Plc		15,963
	100,605	Thomas Cook Group Plc		150,569
	12,630	TUI AG		293,034
	1,528	William Hill Plc		6,495
		Total United Kingdom		7,813,843
		TOTAL COMMON STOCKS (COST $35,278,315)		52,867,341
		PREFERRED STOCKS (c) — 2.2%
		Brazil — 0.5%
	15,133	Banco Bradesco SA		118,323
	7,900	Bradespar SA		65,979
	500	Braskem SA – Class A		6,089
	7,600	Centrais Eletricas Brasileiras SA – Class B *		34,125
	2,700	Cia Energetica de Sao Paulo – Class B		11,981
	14,745	Itausa – Investimentos Itau SA		44,424
		Total Brazil		280,921
		Germany — 1.4%
	1,142	Bayerische Motoren Werke AG		100,049
	133	Henkel AG & Co KGaA		16,419
	3,226	Porsche Automobil Holding SE		237,649
	2,144	Volkswagen AG		402,684
		Total Germany		756,801
		South Korea — 0.3%
	97	Hyundai Motor Co		8,035
	263	Hyundai Motor Co 2nd Preference		23,031
	142	LG Electronics Inc		4,955
	3,850	Samsung Electronics Co Ltd		143,999
		Total South Korea		180,020
		TOTAL PREFERRED STOCKS (COST $775,717)		1,217,742
		RIGHTS/WARRANTS — 0.0%
		Spain — 0.0%
	120	Ferrovial SA, Expires 6/12/18 *		44
		Switzerland — 0.0%
	44	Bell Food Group AG, Expires 06/06/18 *		1,385

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Thailand — 0.0%
	1,650	Supalai Pcl, Expires 10/19/18 *		1,066
		TOTAL RIGHTS/WARRANTS (COST $43)		2,495
		MUTUAL FUNDS — 1.5%
		United States — 1.5%
		Affiliated Issuers — 1.5%
	33,306	GMO U.S. Treasury Fund		831,983
		TOTAL MUTUAL FUNDS (COST $831,906)		831,983
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Fund — 0.2%
	129,065	State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (d)		129,065
		TOTAL SHORT-TERM INVESTMENTS (COST $129,065)		129,065
		TOTAL INVESTMENTS — 99.3% (Cost $37,015,046)		55,048,626
		Other Assets and Liabilities (net) — 0.7%		393,208
		TOTAL NET ASSETS — 100.0%		$55,441,834

A summary of outstanding financial instruments at May 31, 2018 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
7	Mini MSCI EAFE	June 2018		695,450		(17,996	)
1	Mini MSCI Emerging Markets	June 2018		56,085		(872	)
			$	751,535	$	(18,868	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 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:

ADR - American Depositary Receipt

CVA - Certificaaten van aandelen (Share Certificates)

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

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

* Non-income producing security.

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

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

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

(d) The rate disclosed is the 7 day net yield as of May 31, 2018.

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

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.5%
		Automobiles & Components — 4.7%
	84,000	American Axle & Manufacturing Holdings, Inc. *		1,328,880
	94,200	Aptiv Plc		9,184,500
	135,000	BorgWarner, Inc.		6,585,300
	21,700	Cooper-Standard Holding, Inc. *		2,695,140
	209,100	Dana, Inc.		4,662,930
	453,700	General Motors Co.		19,372,990
	40,880	Lear Corp.		8,094,240
	72,200	Modine Manufacturing Co. *		1,299,600
	42,000	Stoneridge, Inc. *		1,324,260
	57,700	Tenneco, Inc.		2,549,186
	31,365	Tower International, Inc.		922,131
	12,600	Visteon Corp. *		1,574,496
		Total Automobiles & Components		59,593,653
		Banks — 3.1%
	4,136	American National Bankshares, Inc.		164,199
	191,200	Citizens Financial Group, Inc.		7,810,520
	4,400	CNB Financial Corp.		133,716
	8,300	Federal Agricultural Mortgage Corp. – Class C		776,133
	117,400	Fifth Third Bancorp		3,590,092
	3,200	First Bancorp, Inc.		92,736
	5,450	German American Bancorp, Inc.		196,581
	138,463	JPMorgan Chase & Co.		14,816,926
	65,300	Popular Inc		2,954,172
	373,300	Regions Financial Corp.		6,808,992
	108,400	TCF Financial Corp.		2,852,004
	4,800	Territorial Bancorp, Inc.		146,784
		Total Banks		40,342,855
		Capital Goods — 10.8%
	6,100	Alamo Group, Inc.		562,481
	28,000	Applied Industrial Technologies, Inc.		1,953,000
	44,400	Caterpillar, Inc.		6,744,804
	71,500	Cummins, Inc.		10,180,885
	53,800	Deere & Co.		8,043,638
	61,400	Dover Corp.		4,740,694
	162,371	Emerson Electric Co.		11,502,362
	34,200	Federal Signal Corp.		817,038
	89,700	Fortive Corp.		6,520,293
	208,000	Honeywell International, Inc.		30,765,280
	77,500	Illinois Tool Works, Inc.		11,136,750
	41,100	Ingersoll-Rand Plc		3,597,894
	62,800	ITT, Inc.		3,241,736
	84,800	Meritor, Inc. *		1,759,600
	42,900	Moog, Inc. – Class A		3,497,637
	50,700	Oshkosh Corp.		3,688,425
	40,400	Owens Corning		2,554,088
	40,200	Parker-Hannifin Corp.		6,870,180
	38,056	SPX Corp. *		1,303,798
	40,200	Stanley Black & Decker, Inc.		5,597,448
	22,200	Teledyne Technologies, Inc. *		4,472,412
	72,400	Textron, Inc.		4,820,392

Shares		Description	Value ($)
		Capital Goods — continued
	47,700	Timken Co. (The)		2,256,210
	36,200	Universal Forest Products, Inc.		1,331,436
	16,500	Vectrus, Inc. *		529,155
		Total Capital Goods		138,487,636
		Commercial & Professional Services — 1.5%
	183,729	ACCO Brands Corp.		2,370,104
	47,500	Brady Corp. – Class A		1,852,500
	35,742	Deluxe Corp.		2,378,273
	14,700	Heidrick & Struggles International, Inc.		555,660
	69,400	Herman Miller, Inc.		2,272,850
	16,700	ICF International, Inc.		1,179,855
	27,600	Insperity, Inc.		2,539,200
	17,000	Kforce, Inc.		572,050
	34,000	Knoll, Inc.		686,800
	49,300	ManpowerGroup, Inc.		4,437,000
		Total Commercial & Professional Services		18,844,292
		Consumer Durables & Apparel — 5.0%
	35,200	Acushnet Holdings Corp.		841,632
	6,300	Bassett Furniture Industries, Inc.		174,195
	59,900	Brunswick Corp.		3,809,640
	91,100	Callaway Golf Co.		1,725,434
	20,000	Carter’s, Inc.		2,180,200
	16,700	Columbia Sportswear Co.		1,454,737
	4,000	CSS Industries, Inc.		64,600
	6,500	Culp, Inc.		201,825
	114,300	DR Horton, Inc.		4,824,603
	4,195	Flexsteel Industries, Inc.		156,348
	88,500	Garmin Ltd.		5,317,965
	9,600	Johnson Outdoors, Inc. – Class A		728,448
	62,200	KB Home		1,638,348
	27,200	La-Z-Boy, Inc.		848,640
	30,000	MDC Holdings, Inc.		947,400
	22,300	Movado Group, Inc.		1,094,930
	1,040	NVR, Inc. *		3,110,161
	120,400	PulteGroup, Inc.		3,642,100
	89,200	PVH Corp.		14,272,000
	60,900	Skechers U.S.A. Inc-Class A *		1,769,754
	148,200	VF Corp.		12,027,912
	88,900	Wolverine World Wide, Inc.		2,980,817
		Total Consumer Durables & Apparel		63,811,689
		Consumer Services — 1.9%
	51,400	Adtalem Global Education, Inc. *		2,454,350
	10,300	American Public Education, Inc. *		438,780
	12,000	Bridgepoint Education, Inc. *		82,680
	17,980	Drive Shack, Inc. *		117,409
	3,700	Graham Holdings Co. – Class B		2,149,145
	24,100	Grand Canyon Education, Inc. *		2,677,510
	59,200	International Game Technology Plc		1,488,288
	57,000	McDonald’s Corp.		9,120,570
	58,400	Penn National Gaming, Inc. *		1,990,272
	21,700	Regis Corp. *		375,193

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

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Consumer Services — continued
	99,600	Service Corp. International		3,654,324
		Total Consumer Services		24,548,521
		Diversified Financials — 4.0%
	103,200	Ameriprise Financial, Inc.		14,306,616
	5,121	Ares Commercial Real Estate Corp. (REIT)		70,772
	4,788	BlackRock Capital Investment Corp.		29,877
	79,100	E*TRADE Financial Corp. *		5,010,985
	4,004	Encore Capital Group, Inc. *		157,958
	42,000	Enova International, Inc. *		1,411,200
	75,000	Federated Investors, Inc. – Class B		1,820,250
	137,200	Invesco Ltd.		3,748,304
	55,800	Legg Mason, Inc.		2,079,666
	6,373	OneMain Holdings, Inc. *		207,314
	63,600	Raymond James Financial, Inc.		6,141,216
	10,112	Regional Management Corp. *		360,897
	44,700	SEI Investments Co.		2,850,966
	133,900	State Street Corp.		12,869,129
		Total Diversified Financials		51,065,150
		Energy — 3.7%
	37,650	Apergy Corp. *		1,626,104
	350,400	Denbury Resources, Inc. *		1,489,200
	4,552	Dorian LPG Ltd. *		36,780
	23,378	Exterran Corp. *		644,298
	146,600	Marathon Petroleum Corp.		11,585,798
	316,424	Marathon Oil Corp.		6,780,966
	160,400	Phillips 66		18,684,996
	50,986	Valero Energy Corp.		6,179,503
		Total Energy		47,027,645
		Food & Staples Retailing — 0.3%
	98,600	US Foods Holding Corp. *		3,518,048
		Food, Beverage & Tobacco — 2.1%
	216,000	PepsiCo, Inc.		21,654,000
	53,600	Tyson Foods, Inc. – Class A		3,616,392
	21,700	Universal Corp.		1,435,455
		Total Food, Beverage & Tobacco		26,705,847
		Health Care Equipment & Services — 4.6%
	29,469	Anthem, Inc.		6,525,026
	316,700	Baxter International, Inc.		22,435,028
	194,100	Danaher Corp.		19,270,248
	74,500	McKesson Corp.		10,574,530
	20,800	Triple-S Management Corp. – Class B *		762,320
		Total Health Care Equipment & Services		59,567,152
		Household & Personal Products — 3.2%
	31,200	Clorox Co. (The)		3,769,896
	180,100	Estee Lauder Cos, Inc. (The) – Class A		26,914,144
	19,000	Inter Parfums, Inc.		1,012,700
	130,500	Procter & Gamble Co. (The)		9,548,685
		Total Household & Personal Products		41,245,425
		Insurance — 4.6%
	105,898	Aflac, Inc.		4,771,764
	91,900	Allstate Corp. (The)		8,590,812

Shares		Description	Value ($)
		Insurance — continued
	6,400	American National Insurance Co.		761,600
	91,700	CNO Financial Group, Inc.		1,835,834
	56,076	First American Financial Corp.		2,920,438
	89,828	Lincoln National Corp.		5,954,698
	131,400	Old Republic International Corp.		2,756,772
	75,800	Principal Financial Group, Inc.		4,229,640
	330,600	Progressive Corp. (The)		20,526,954
	18,500	Reinsurance Group of America, Inc.		2,764,640
	86,598	Unum Group		3,360,868
	2,372	W.R. Berkley Corp.		181,387
		Total Insurance		58,655,407
		Materials — 3.6%
	76,347	Avery Dennison Corp.		8,018,725
	39,200	Boise Cascade Co.		1,869,840
	72,700	Eastman Chemical Co.		7,583,337
	248,900	Huntsman Corp.		7,957,333
	22,900	Koppers Holdings, Inc. *		922,870
	89,900	LyondellBasell Industries NV – Class A		10,079,588
	14,400	Materion Corp.		785,520
	102,100	Owens-Illinois, Inc. *		1,899,060
	36,700	Reliance Steel & Aluminum Co.		3,434,019
	50,700	Trinseo SA		3,665,610
		Total Materials		46,215,902
		Media — 2.0%
	83,000	CBS Corp. – Class B NVDR		4,180,710
	99,400	Gannett Co., Inc.		1,050,658
	19,400	John Wiley & Sons, Inc. – Class A		1,315,320
	311,216	News Corp. – Class A		4,677,576
	135,006	News Corp. – Class B		2,085,843
	48,300	Omnicom Group, Inc.		3,481,464
	22,900	Scholastic Corp.		1,030,271
	191,800	Twenty-First Century Fox, Inc. – Class A		7,393,890
		Total Media		25,215,732
		Pharmaceuticals, Biotechnology & Life Sciences — 11.2%
	253,500	AbbVie, Inc.		25,081,290
	42,200	Biogen, Inc. *		12,405,112
	73,700	Bruker Corp.		2,230,899
	59,100	Catalent, Inc. *		2,320,266
	374,000	Eli Lilly & Co.		31,804,960
	74,047	Johnson & Johnson		8,857,502
	421,300	Merck & Co., Inc.		25,079,989
	989,938	Pfizer, Inc.		35,568,473
		Total Pharmaceuticals, Biotechnology & Life Sciences		143,348,491
		Real Estate — 2.9%
	127,800	Apple Hospitality REIT, Inc.		2,432,034
	203,900	CBRE Group, Inc. – Class A *		9,418,141
	29,700	Chesapeake Lodging Trust. (REIT)		957,231
	86,300	CoreCivic, Inc. (REIT)		1,857,176
	73,200	GEO Group , Inc. (The) (REIT)		1,815,360
	329,000	Host Hotels & Resorts, Inc. (REIT)		7,116,270
	36,543	Jones Lang LaSalle, Inc.		5,984,282

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

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Real Estate — continued
	32,200	Potlatch Corp. (REIT)		1,626,100
	23,000	Ryman Hospitality Properties, Inc. (REIT)		1,929,240
	157,000	Xenia Hotels & Resorts, Inc. (REIT)		3,951,690
		Total Real Estate		37,087,524
		Retailing — 2.6%
	125,300	American Eagle Outfitters, Inc.		2,781,660
	167,300	Gap Inc. (The)		4,681,054
	19,500	Group 1 Automotive, Inc.		1,370,070
	122,700	Kohl’s Corp.		8,190,225
	101,400	LKQ Corp. *		3,221,478
	73,800	Michaels Cos , Inc. (The) *		1,354,968
	382,000	Qurate Retail, Inc. *		7,766,060
	38,400	Tailored Brands, Inc.		1,259,904
	61,000	Urban Outfitters, Inc. *		2,533,940
		Total Retailing		33,159,359
		Semiconductors & Semiconductor Equipment — 7.9%
	394,000	Applied Materials, Inc.		20,007,320
	14,400	Cabot Microelectronics Corp.		1,629,648
	73,400	KLA-Tencor Corp.		8,311,082
	62,600	Kulicke & Soffa Industries, Inc. *		1,507,408
	50,700	Lam Research Corp.		10,047,726
	555,400	Micron Technology, Inc. *		31,985,486
	164,900	ON Semiconductor Corp. *		4,143,937
	206,400	Texas Instruments, Inc.		23,098,224
		Total Semiconductors & Semiconductor Equipment		100,730,831
		Software & Services — 10.7%
	52,900	Adobe Systems, Inc. *		13,186,912
	64,155	Amdocs Ltd.		4,327,897
	59,000	Avaya Holdings Corp. *		1,302,130
	44,900	Broadridge Financial Solutions, Inc.		5,183,705
	143,980	CA, Inc.		5,145,845
	170,100	Cadence Design Systems, Inc. *		7,220,745
	40,600	Citrix Systems, Inc. *		4,288,172
	42,000	CSG Systems International, Inc.		1,737,960
	78,800	DXC Technology Co.		7,258,268
	377,400	eBay, Inc. *		14,235,528
	35,600	IAC/InterActiveCorp *		5,522,984
	56,300	Intuit, Inc.		11,350,080
	156,900	Mastercard, Inc. – Class A		29,829,828
	16,900	Microsoft Corp.		1,670,396
	272,300	Oracle Corp.		12,721,856
	39,200	Progress Software Corp.		1,484,896
	31,280	Sykes Enterprises, Inc. *		880,532
	112,800	Synopsys, Inc. *		9,934,296
		Total Software & Services		137,282,030
		Technology Hardware & Equipment — 8.7%
	71,300	Apple, Inc.		13,323,831
	68,100	Arrow Electronics, Inc. *		5,047,572
	51,400	Avnet, Inc.		1,959,368

Shares		Description	Value ($)
		Technology Hardware & Equipment — continued
	629,400	Hewlett Packard Enterprise Co.		9,592,056
	1,284,900	HP, Inc.		28,306,347
	32,702	Insight Enterprises, Inc. *		1,533,724
	33,400	Motorola Solutions, Inc.		3,585,156
	142,700	NetApp, Inc.		9,749,264
	95,900	Seagate Technology Plc		5,403,965
	196,400	TE Connectivity Ltd		18,280,912
	22,438	Tech Data Corp. *		1,947,843
	78,100	Vishay Intertechnology, Inc.		1,655,720
	104,400	Western Digital Corp.		8,718,444
	105,700	Xerox Corp.		2,872,926
		Total Technology Hardware & Equipment		111,977,128
		Telecommunication Services — 0.2%
	122,100	Telephone & Data Systems, Inc.		3,119,655
		Transportation — 0.2%
	21,000	Landstar System, Inc.		2,381,400
		TOTAL COMMON STOCKS (COST $1,148,032,257)		1,273,931,372
		MUTUAL FUNDS — 0.7%
		Affiliated Issuers — 0.7%
	346,066	GMO U.S. Treasury Fund		8,644,712
		TOTAL MUTUAL FUNDS (COST $8,641,251)		8,644,712
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	371,704	State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (a)		371,704
		TOTAL SHORT-TERM INVESTMENTS (COST $371,704)		371,704
		TOTAL INVESTMENTS — 100.2% (Cost $1,157,045,212)		1,282,947,788
		Other Assets and Liabilities (net) — (0.2%)		(3,178,868	)
		TOTAL NET ASSETS — 100.0%		$1,279,768,920

A summary of outstanding financial instruments at May 31, 2018 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
38	S&P 500 E- mini	June 2018	$	5,140,450	$	(45,469	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 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.

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

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

Notes to Schedule of Investments:

NVDR - Non-Voting Depositary Receipt

REIT - Real Estate Investment Trust

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of May 31, 2018.

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes. As of May 31, 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) ($)
Climate Change Fund		65,063,924		3,192,855		(2,556,258)		636,597		—
Emerging Domestic Opportunities Fund		2,091,200,550		118,938,157		(105,586,877)		13,351,280		1,029,588
Emerging Markets Fund		4,247,081,700		491,277,549		(272,296,514)		218,981,035		(24,337,162)
Foreign Small Companies Fund		20,908,442		1,716,343		(1,442,953)		273,390		(1,733)
International Equity Fund		4,279,500,267		623,114,943		(188,693,667)		434,421,276		150,687
International Large/Mid Cap Equity Fund		48,965,689		6,769,694		(1,880,839)		4,888,855		(18,446)
Quality Fund		5,502,962,795		2,299,078,236		(89,432,897)		2,209,645,339		—
Resources Fund		295,917,746		74,347,205		(9,711,166)		64,636,039		—
Risk Premium Fund		134,100,050		29,865		(124,449)		(94,584)		(380,289)
Tax-Managed International Equities Fund		37,536,155		17,990,099		(477,628)		17,512,471		(18,868)
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)		1,158,363,120		155,775,331		(31,190,663)		124,584,668		(45,469)

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 (“underlying funds”). A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 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
Climate Change Fund
GMO U.S. Treasury Fund	$	751,549	$	30,374,599	$	27,723,000	$	7,652	$	79		$	1,167		$	3,404,394
Emerging Domestic Opportunities Fund
CMI Ltd	$	4,657,808	$	—	$	—	$	—	$	—		$	(9,072	)	$	4,648,736
Gayatri Highways Ltd		1,147,898		—		—		—		—			(39,740	)		1,108,158
Gayatri Projects Ltd		34,529,636		3,618,675		—		—		—			(5,633,863	)		32,514,448
GMO U.S. Treasury Fund		130,824,583		257,616,243		263,500,000		616,227		13,157			62,349			125,016,332
Totals	$	171,159,925	$	261,234,918	$	263,500,000	$	616,227	$	13,157		$	(5,620,326	)	$	163,287,674
Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	788,630	$	—	$	—	$	—	$	—		$	(2,341	)	$	786,289
Gayatri Highways Ltd		1,802,252		—		—		—		—			(62,394	)		1,739,858
Gayatri Projects Ltd		54,213,078		—		—		—		—			(8,027,811	)		46,185,267
GMO U.S. Treasury Fund		97,620,412		225,459,084		268,200,000		290,048		(16,752	)		20,903			54,883,647
Totals	$	154,424,372	$	225,459,084	$	268,200,000	$	290,048	$	(16,752	)	$	(8,071,643	)	$	103,595,061

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation		Value, end of period
Foreign Small Companies Fund
GMO U.S. Treasury Fund	$	1,595,796	$	7,085,959	$	8,220,000	$	5,972	$	(61	)	$	—	$	461,694
International Equity Fund
GMO U.S. Treasury Fund	$	61,069,100	$	113,260,000	$	127,000,000	$	236,458	$	(15,446	)	$	20,984	$	47,334,638
International Large/Mid Cap Equity Fund
GMO U.S. Treasury Fund	$	1,181,128	$	17,070,000	$	17,000,000	$	5,394	$	(253	)	$	923	$	1,251,798
Quality Fund
GMO U.S. Treasury Fund	$	51,092,040	$	15,000,000	$	—	$	283,709	$	—		$	26,469	$	66,118,509
Resources Fund
GMO U.S. Treasury Fund	$	6,504,509	$	17,030,000	$	22,250,000	$	21,050	$	(2,580	)	$	1,817	$	1,283,746
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	1,066,810	$	7,630,000	$	7,865,000	$	4,324	$	(331	)	$	504	$	831,983
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
GMO U.S. Treasury Fund	$	7,460,010	$	47,040,000	$	45,860,000	$	39,506	$	(1,747	)	$	6,449	$	8,644,712

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2018 through May 31, 2018. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2019.

Basis of presentation

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

Portfolio valuation

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that 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 when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees of GMO Trust (“Trustees”) or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 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 “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before 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 May 31, 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 when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

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

As discussed above, certain of the Funds and underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or fair valued using inputs obtained from an independent pricing service. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of May 31, 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)
Climate Change Fund		0	%§		63	%
Emerging Domestic Opportunities Fund		—			62	%
Emerging Markets Fund		< 1	%		87	%
Foreign Small Companies Fund		—			91	%
International Equity Fund		0	%§		93	%
International Large/Mid Cap Equity Fund		0	%§		92	%
Quality Fund		—			15	%
Resources Fund		0	%§		77	%
Risk Premium Fund		—			(1	%)
Tax-Managed International Equities Fund		0	%§		94	%
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)		—			—

§ Represents the interest in securities that were determined to have a value of zero at May 31, 2018.

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the table below). At May 31, 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.

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).

Level 2 – Valuations determined using other significant direct or indirect observable inputs.

The types of assets and liabilities categorized in Level 2 generally include cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index and/or a security type conversion discount; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2018:

Description	Level 1		Level 2		Level 3			Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	684,164	$	—	$	—		$	684,164
Australia		—		1,165,099		0	§		1,165,099
Austria		—		134,584		—			134,584
Canada		1,536,753		—		—			1,536,753
China		19,980		3,606,257		—			3,626,237
Denmark		—		2,456,548		—			2,456,548
France		—		5,391,598		—			5,391,598
Germany		—		3,114,043		—			3,114,043
Israel		—		815,370		—			815,370
Italy		—		1,540,566		—			1,540,566
Japan		—		6,327,522		—			6,327,522
Netherlands		—		1,279,293		—			1,279,293
Norway		—		4,538,414		—			4,538,414
Pakistan		—		240,106		—			240,106
Philippines		—		168,040		—			168,040
Poland		—		1,127,440		—			1,127,440
Portugal		—		783,547		—			783,547
Russia		—		3,631,045		—			3,631,045
South Korea		—		633,845		—			633,845
Spain		—		1,837,159		—			1,837,159
Switzerland		—		297,000		—			297,000
Ukraine		—		458,370		—			458,370
United Kingdom		—		2,006,617		—			2,006,617
United States		14,899,095		—		—			14,899,095
TOTAL COMMON STOCKS		17,139,992		41,552,463		0	§		58,692,455

Description	Level 1		Level 2		Level 3			Total
Climate Change Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Chile	$	3,414,515	$	—	$	—		$	3,414,515
TOTAL PREFERRED STOCKS		3,414,515		—		—			3,414,515
Mutual Funds
United States		3,404,394		—		—			3,404,394
TOTAL MUTUAL FUNDS		3,404,394		—		—			3,404,394
Short-Term Investments		189,157		—		—			189,157
Total Investments		24,148,058		41,552,463		0	§		65,700,521
Total	$	24,148,058	$	41,552,463	$	0	§	$	65,700,521
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	52,832,487	$	—		$	52,832,487
China		142,110,628		421,995,296		—			564,105,924
Hong Kong		—		83,423,297		—			83,423,297
Hungary		—		11,460,577		—			11,460,577
India		7,651,598		320,571,907		25,507,648			353,731,153
Indonesia		—		22,096,776		—			22,096,776
Mexico		9,333,420		—		—			9,333,420
Peru		21,854,154		—		—			21,854,154
Philippines		—		91,723,490		—			91,723,490
Russia		11,007,968		33,424,554		—			44,432,522
South Africa		—		16,518,857		—			16,518,857
Taiwan		—		103,393,721		—			103,393,721
Thailand		—		55,220,850		—			55,220,850
United Kingdom		—		38,534,296		—			38,534,296
United States		20,964,807		—		—			20,964,807
TOTAL COMMON STOCKS		212,922,575		1,251,196,108		25,507,648			1,489,626,331
Preferred Stocks
Brazil		—		40,603,167		—			40,603,167
TOTAL PREFERRED STOCKS		—		40,603,167		—			40,603,167
Investment Funds
Brazil		18,070,026		—		—			18,070,026
South Korea		91,011,824		—		—			91,011,824
Taiwan		97,956,788		—		—			97,956,788
Thailand		—		27,620,374		—			27,620,374
United States		184,689,032		—		—			184,689,032
TOTAL INVESTMENT FUNDS		391,727,670		27,620,374		—			419,348,044
Mutual Funds
United States		125,016,332		—		—			125,016,332
TOTAL MUTUAL FUNDS		125,016,332		—		—			125,016,332
Short-Term Investments		29,957,956		—		—			29,957,956
Total Investments		759,624,533		1,319,419,649		25,507,648			2,104,551,830
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		2,649,001		—			2,649,001
Swap Contracts
Equity Risk		—		1,266,979		—			1,266,979
Total	$	759,624,533	$	1,323,335,629	$	25,507,648		$	2,108,467,810

Description	Level 1			Level 2			Level 3		Total
Emerging Domestic Opportunities Fund (continued)
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(367,492	)	$	—	$	(367,492	)
Futures Contracts
Equity Risk		(2,392,331	)		(126,569	)		—		(2,518,900	)
Total	$	(2,392,331	)	$	(494,061	)	$	—	$	(2,886,392	)
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—		$	18,131,889		$	—	$	18,131,889
Chile		—			3,443,890			—		3,443,890
China		101,131,040			768,880,255			679,437		870,690,732
Czech Republic		—			11,848,954			—		11,848,954
Egypt		—			2,245,621			—		2,245,621
Hungary		—			2,416,874			—		2,416,874
India		1,436,670			146,579,020			1,739,858		149,755,548
Indonesia		1,012,418			88,791,948			—		89,804,366
Malaysia		—			4,950,327			—		4,950,327
Mexico		29,210,492			—			—		29,210,492
Pakistan		—			5,760,431			—		5,760,431
Peru		12,820,218			—			—		12,820,218
Philippines		—			32,141,844			—		32,141,844
Poland		—			15,696,025			—		15,696,025
Qatar		—			40,821,333			—		40,821,333
Russia		90,150,298			587,006,345			—		677,156,643
South Africa		—			29,123,773			—		29,123,773
South Korea		3,165,134			380,023,230			—		383,188,364
Sri Lanka		—			786,289			—		786,289
Taiwan		113,585,310			1,023,672,999			—		1,137,258,309
Thailand		—			371,289,454			—		371,289,454
Turkey		—			243,174,452			—		243,174,452
United Arab Emirates		—			17,526,894			—		17,526,894
United Kingdom		—			8,025,854			—		8,025,854
United States		4,637,115			—			—		4,637,115
TOTAL COMMON STOCKS		357,148,695			3,802,337,701			2,419,295		4,161,905,691
Preferred Stocks
Brazil		—			9,921,096			—		9,921,096
Colombia		1,048,790			—			—		1,048,790
Russia		—			15,315,704			—		15,315,704
South Korea		—			101,807,654			—		101,807,654
Taiwan		—			1,242,711			—		1,242,711
TOTAL PREFERRED STOCKS		1,048,790			128,287,165			—		129,335,955
Investment Funds
Russia		—			—			1,974,500		1,974,500
Thailand		—			5,717,087			—		5,717,087
United States		103,871,372			—			—		103,871,372
TOTAL INVESTMENT FUNDS		103,871,372			5,717,087			1,974,500		111,562,959
Rights/Warrants
United Arab Emirates		—			163,832			—		163,832
TOTAL RIGHTS/WARRANTS		—			163,832			—		163,832

Description	Level 1			Level 2			Level 3		Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	54,883,647		$	—		$	—	$	54,883,647
TOTAL MUTUAL FUNDS		54,883,647			—			—		54,883,647
Short-Term Investments		8,210,651			—			—		8,210,651
Total Investments		525,163,155			3,936,505,785			4,393,795		4,466,062,735
Total	$	525,163,155		$	3,936,505,785		$	4,393,795	$	4,466,062,735
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(23,793,254	)	$	—		$	—	$	(23,793,254	)
Swap Contracts
Equity Risk		—			(543,908	)		—		(543,908	)
Total	$	(23,793,254	)	$	(543,908	)	$	—	$	(24,337,162	)
Foreign Small Companies Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	746,026		$	—	$	746,026
Austria		—			263,728			—		263,728
Belgium		—			200,087			—		200,087
Brazil		—			111,073			—		111,073
Canada		1,009,823			—			—		1,009,823
China		—			547,238			—		547,238
Finland		—			363,647			—		363,647
France		—			1,042,848			—		1,042,848
Germany		—			1,372,950			—		1,372,950
Hong Kong		—			401,529			—		401,529
India		—			432,227			—		432,227
Indonesia		—			19,114			—		19,114
Italy		—			673,462			—		673,462
Japan		—			5,518,531			—		5,518,531
Malaysia		—			296,440			—		296,440
Norway		—			159,867			—		159,867
Poland		—			20,708			—		20,708
Portugal		—			188,385			—		188,385
Singapore		—			493,500			—		493,500
South Africa		—			92,687			—		92,687
South Korea		—			1,450,302			—		1,450,302
Spain		—			410,060			—		410,060
Sweden		—			320,492			—		320,492
Switzerland		—			1,215,807			—		1,215,807
Taiwan		—			457,635			—		457,635
United Kingdom		—			2,860,180			—		2,860,180
TOTAL COMMON STOCKS		1,009,823			19,658,523			—		20,668,346
Mutual Funds
United States		461,694			—			—		461,694
TOTAL MUTUAL FUNDS		461,694			—			—		461,694
Short-Term Investments		51,792			—			—		51,792
Total Investments		1,523,309			19,658,523			—		21,181,832
Total	$	1,523,309		$	19,658,523		$	—	$	21,181,832
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(1,733	)	$	—		$	—	$	(1,733	)

Description	Level 1		Level 2		Level 3			Total
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	173,077,810	$	—		$	173,077,810
Austria		—		65,511,329		—			65,511,329
Belgium		—		13,853,293		—			13,853,293
Denmark		13,396,772		43,521,979		—			56,918,751
Finland		—		4,483,728		—			4,483,728
France		58,565,179		407,669,005		—			466,234,184
Germany		—		529,527,566		—			529,527,566
Hong Kong		—		220,990,034		—			220,990,034
Ireland		6,255,530		—		—			6,255,530
Israel		—		9,372,192		—			9,372,192
Italy		114,937,394		140,608,508		—			255,545,902
Japan		—		1,302,547,602		—			1,302,547,602
Malta		—		—		0	§		0	§
Netherlands		490,860		124,264,227		—			124,755,087
New Zealand		—		2,074,318		—			2,074,318
Norway		—		167,803,482		—			167,803,482
Portugal		—		5,575,857		—			5,575,857
Singapore		—		21,534,089		—			21,534,089
Spain		—		26,347,166		—			26,347,166
Sweden		—		226,643,099		—			226,643,099
Switzerland		—		219,259,758		—			219,259,758
United Kingdom		21,512,816		704,129,477		0	§		725,642,293
TOTAL COMMON STOCKS		215,158,551		4,408,794,519		0	§		4,623,953,070
Preferred Stocks
Germany		—		31,284,149		—			31,284,149
TOTAL PREFERRED STOCKS		—		31,284,149		—			31,284,149
Mutual Funds
United States		47,334,638		—		—			47,334,638
TOTAL MUTUAL FUNDS		47,334,638		—		—			47,334,638
Short-Term Investments		11,349,686		—		—			11,349,686
Total Investments		273,842,875		4,440,078,668		0	§		4,713,921,543
Derivatives^
Futures Contracts
Equity Risk		150,687		—		—			150,687
Total	$	273,993,562	$	4,440,078,668	$	0	§	$	4,714,072,230
International Large/Mid Cap Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,707,136	$	—		$	1,707,136
Austria		—		1,439,551		—			1,439,551
Belgium		—		30,997		—			30,997
Denmark		190,160		372,562		—			562,722
Finland		—		931,334		—			931,334
France		780,368		4,818,288		—			5,598,656
Germany		—		5,049,986		—			5,049,986
Hong Kong		—		3,242,160		—			3,242,160
Ireland		219,266		—		—			219,266
Israel		18,336		29,743		—			48,079
Italy		1,033,735		1,077,711		—			2,111,446
Japan		—		14,796,553		—			14,796,553
Malta		—		—		0	§		0	§
Netherlands		11,154		1,754,852		—			1,766,006
New Zealand		—		53,449		—			53,449
Norway		—		174,418		—			174,418
Portugal		—		3,909		—			3,909
Singapore		—		312,194		—			312,194

Description	Level 1			Level 2		Level 3			Total
International Large/Mid Cap Equity Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Spain	$	—		$	122,862	$	—		$	122,862
Sweden		—			2,090,521		—			2,090,521
Switzerland		—			2,454,194		—			2,454,194
United Kingdom		370,296			8,497,344		—			8,867,640
TOTAL COMMON STOCKS		2,623,315			48,959,764		0	§		51,583,079
Preferred Stocks
Germany		—			877,960		—			877,960
TOTAL PREFERRED STOCKS		—			877,960		—			877,960
Mutual Funds
United States		1,251,798			—		—			1,251,798
TOTAL MUTUAL FUNDS		1,251,798			—		—			1,251,798
Short-Term Investments		141,707			—		—			141,707
Total Investments		4,016,820			49,837,724		0	§		53,854,544
Total	$	4,016,820		$	49,837,724	$	0	§	$	53,854,544
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(18,446	)	$	—	$	—		$	(18,446	)
Quality Fund
Asset Valuation Inputs
Common Stocks
France	$	—		$	80,651,484	$	—		$	80,651,484
Germany		—			101,488,562		—			101,488,562
Switzerland		—			368,912,347		—			368,912,347
Taiwan		—			140,980,832		—			140,980,832
United Kingdom		—			486,434,027		—			486,434,027
United States		6,426,864,700			—		—			6,426,864,700
TOTAL COMMON STOCKS		6,426,864,700			1,178,467,252		—			7,605,331,952
Mutual Funds
United States		66,118,509			—		—			66,118,509
TOTAL MUTUAL FUNDS		66,118,509			—		—			66,118,509
Short-Term Investments		41,157,673			—		—			41,157,673
Total Investments		6,534,140,882			1,178,467,252		—			7,712,608,134
Total	$	6,534,140,882		$	1,178,467,252	$	—		$	7,712,608,134
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	3,808,905		$	—	$	—		$	3,808,905
Australia		—			14,265,906		—			14,265,906
Austria		—			2,650,244		—			2,650,244
Brazil		—			2,427,834		—			2,427,834
Canada		3,332,431			—		—			3,332,431
China		—			10,641,088		—			10,641,088
Colombia		2,752,041			—		—			2,752,041
Denmark		—			7,024,867		—			7,024,867
Finland		—			528,145		—			528,145
France		—			17,999,579		—			17,999,579
Germany		—			2,945,935		—			2,945,935
Hungary		—			1,876,351		—			1,876,351
India		—			1,627,511		—			1,627,511
Israel		—			6,506,190		—			6,506,190

Description	Level 1			Level 2			Level 3			Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Italy	$	—		$	1,121,798		$	—		$	1,121,798
Japan		—			20,988,926			—			20,988,926
Netherlands		—			342,298			—			342,298
Norway		—			30,266,331			—			30,266,331
Pakistan		—			2,264,278			—			2,264,278
Poland		—			5,949,997			—			5,949,997
Qatar		—			353,419			—			353,419
Russia		—			44,164,595			—			44,164,595
Singapore		—			288,222			0	§		288,222
South Africa		—			4,650,364			—			4,650,364
South Korea		—			3,266,262			—			3,266,262
Spain		—			5,632,611			—			5,632,611
Sweden		—			5,097,022			—			5,097,022
Switzerland		—			297,000			—			297,000
Thailand		—			7,978,855			—			7,978,855
Turkey		—			319,613			—			319,613
Ukraine		—			2,685,388			—			2,685,388
United Kingdom		—			59,190,348			—			59,190,348
United States		51,441,917			—			—			51,441,917
TOTAL COMMON STOCKS		61,335,294			263,350,977			0	§		324,686,271
Preferred Stocks
Brazil		—			10,312,807			—			10,312,807
Chile		15,926,340			—			—			15,926,340
Russia		—			6,853,431			—			6,853,431
TOTAL PREFERRED STOCKS		15,926,340			17,166,238			—			33,092,578
Rights/Warrants
Singapore		—			—			0	§		0	§
TOTAL RIGHTS/WARRANTS		—			—			0	§		0	§
Mutual Funds
United States		1,283,746			—			—			1,283,746
TOTAL MUTUAL FUNDS		1,283,746			—			—			1,283,746
Short-Term Investments		1,491,190			—			—			1,491,190
Total Investments		80,036,570			280,517,215			0	§		360,553,785
Total	$	80,036,570		$	280,517,215		$	0	§	$	360,553,785
Risk Premium Fund
Asset Valuation Inputs
Debt Obligations
United States	$	74,864,196		$	—		$	—		$	74,864,196
TOTAL DEBT OBLIGATIONS		74,864,196			—			—			74,864,196
Short-Term Investments		59,141,270			—			—			59,141,270
Total Investments		134,005,466			—			—			134,005,466
Total	$	134,005,466		$	—		$	—		$	134,005,466
Liability Valuation Inputs
Derivatives^
Written Options
Equity Risk	$	(519,750	)	$	(817,865	)	$	—		$	(1,337,615	)

Description	Level 1		Level 2		Level 3			Total
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,841,411	$	—		$	1,841,411
Austria		—		1,089,173		—			1,089,173
Belgium		—		150,954		—			150,954
Brazil		4,122		260,878		—			265,000
Canada		176,102		—		—			176,102
China		6,915		1,806,956		—			1,813,871
Colombia		58,023		—		—			58,023
Denmark		—		152,566		—			152,566
Finland		—		466,911		—			466,911
France		269,809		4,703,046		—			4,972,855
Germany		—		5,076,470		—			5,076,470
Greece		—		5,938		—			5,938
Hong Kong		—		2,285,078		—			2,285,078
Hungary		—		90,739		—			90,739
India		41,837		435,313		—			477,150
Ireland		—		255,413		—			255,413
Italy		1,001,213		1,911,244		—			2,912,457
Japan		—		13,553,775		—			13,553,775
Malaysia		—		6,170		—			6,170
Malta		—		—		0	§		0	§
Mexico		180,609		—		—			180,609
Netherlands		—		833,326		—			833,326
New Zealand		—		41,162		—			41,162
Norway		—		797,152		—			797,152
Poland		—		2,301		—			2,301
Portugal		—		23,806		—			23,806
Russia		—		49,050		—			49,050
Singapore		—		573,750		—			573,750
South Africa		—		493,248		—			493,248
South Korea		31,948		732,843		—			764,791
Spain		—		255,820		—			255,820
Sweden		—		2,343,027		—			2,343,027
Switzerland		—		2,267,451		—			2,267,451
Taiwan		34,830		510,952		—			545,782
Thailand		—		119,578		—			119,578
Turkey		—		112,589		—			112,589
United Kingdom		48,720		7,765,123		—			7,813,843
TOTAL COMMON STOCKS		1,854,128		51,013,213		0	§		52,867,341
Preferred Stocks
Brazil		—		280,921		—			280,921
Germany		—		756,801		—			756,801
South Korea		—		180,020		—			180,020
TOTAL PREFERRED STOCKS		—		1,217,742		—			1,217,742
Rights/Warrants
Spain		44		—		—			44
Switzerland		1,385		—		—			1,385
Thailand		1,066		—		—			1,066
TOTAL RIGHTS/WARRANTS		2,495		—		—			2,495
Mutual Funds
United States		831,983		—		—			831,983
TOTAL MUTUAL FUNDS		831,983		—		—			831,983
Short-Term Investments		129,065		—		—			129,065
Total Investments		2,817,671		52,230,955		0	§		55,048,626
Total	$	2,817,671	$	52,230,955	$	0	§	$	55,048,626

Description	Level 1			Level 2		Level 3		Total
Tax-Managed International Equities Fund (continued)
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(18,868	)	$	—	$	—	$	(18,868	)
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
Asset Valuation Inputs
Common Stocks	$	1,273,931,372		$	—	$	—	$	1,273,931,372
Mutual Funds		8,644,712			—		—		8,644,712
Short-Term Investments		371,704			—		—		371,704
Total Investments		1,282,947,788			—		—		1,282,947,788
Total	$	1,282,947,788		$	—	$	—	$	1,282,947,788
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(45,469	)	$	—	$	—	$	(45,469	)

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, 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 May 31, 2018.

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

For all Funds for the period ended May 31, 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, 2018		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 May 31, 2018		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2018
Climate Change Fund
Common Stocks
Australia	$	12,229	$	—	$	—	$	—	$	—	$	(12,229	)	$	—	$	—	$	0 §	$	(12,229	)
Total	$	12,229	$	—	$	—	$	—	$	—	$	(12,229	)	$	—	$	—	$	0 §	$	(12,229	)
Emerging Domestic Opportunities Fund
Common Stocks
India	$	27,450,114	$	—	$	—	$	—	$	—	$	(1,942,466	)	$	—	$	—	$	25,507,648	$	(1,942,466	)
Total	$	27,450,114	$	—	$	—	$	—	$	—	$	(1,942,466	)	$	—	$	—	$	25,507,648	$	(1,942,466	)

	Balances as of February 28, 2018		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 May 31, 2018		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2018
Emerging Markets Fund
Common Stocks
China	$	680,939	$	—	$	—		$	—	$	—	$	(1,502	)	$	—	$	—		$	679,437	$	(1,502	)
India		1,802,252		—		—			—		—		(62,394	)		—		—			1,739,858		(62,394	)
Total	$	2,483,191	$	—	$	—		$	—	$	—	$	(63,896	)	$	—	$	—		$	2,419,295	$	(63,896	)
Investment Funds
India	$	98,736	$	—	$	(289,993	)	$	—	$	289,993	$	(98,736	)	$	—	$	—		$	—	$	—
Russia		2,704,993		—		(355,653	)		—		—		(374,840	)		—		—			1,974,500		(374,840	)
Total Investment Funds	$	2,803,729	$	—	$	(645,646	)	$	—	$	289,993	$	(473,576	)	$	—	$	—		$	1,974,500	$	(374,840	)
Total	$	5,286,920	$	—	$	(645,646	)	$	—	$	289,993	$	(537,472	)	$	—	$	—		$	4,393,795	$	(438,736	)
Resources Fund
Common Stocks
Singapore	$	197,420	$	—	$	—		$	—	$	—	$	90,802		$	—	$	(288,222	)	$	0 §	$	—
Total	$	197,420	$	—	$	—		$	—	$	—	$	90,802		$	—	$	(288,222	)	$	0 §	$	—
Tax-Managed International Equities Fund
Rights/Warrants
Brazil	$	1,369	$	—	$	0 §		$	—	$	—	$	(1,369	)	$	—	$	—		$	—	$	—
Total	$	1,369	$	—	$	0 §		$	—	$	—	$	(1,369	)	$	—	$	—		$	—	$	—

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

§ Represents the interest in securities that were determined to have a value of zero at May 31, 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 May 31, 2018 were as follows:

Fund Name	Level 3 securities and derivatives
Climate Change Fund		0%	§
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		0%	§
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)		—

§ Represents the interest in securities that were determined to have a value of zero at May 31, 2018.

* Includes Dixon Technologies India Ltd, which represents 0.78% 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.

Foreign currency translation

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

Other matters

Emerging Markets Fund (“EMF”)

Indian regulators alleged in 2002 that EMF violated some conditions under which it was granted permission to operate in India and have restricted some of EMF’s locally held assets pending resolution of the dispute. Although these locally held assets remain the property of EMF, a portion of the assets are not permitted to be withdrawn from EMF’s local custodial account located in India. The amount of restricted assets is small relative to the size of EMF, representing approximately 0.09% of the Fund’s total net assets as of May 31, 2018. The effect of this claim on the value of the restricted assets, and all matters relating to EMF’s response to these allegations, are subject to the supervision and control of GMO Trust’s Board of Trustees. Any costs in respect of this matter will be borne by EMF.

Investment and other risks

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

	Climate  Change Fund	Emerging Domestic Opportunities Fund	Emerging Markets Fund	Foreign Small Companies Fund	International Equity Fund	International Large/Mid Cap Equity Fund	Quality Fund	Resources Fund	Risk Premium Fund	Tax- Managed International Equities Fund	U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
Commodities Risk	X							X
Counterparty Risk	X	X	X	X	X	X	X	X	X	X	X
Credit Risk		X							X
Currency Risk	X	X	X	X	X	X	X	X	X	X
Derivatives and Short Sales Risk	X	X	X	X	X	X	X	X	X	X	X
Focused Investment Risk	X	X	X	X	X	X	X	X	X	X	X
Fund of Funds Risk		X	X
Illiquidity Risk	X	X	X	X	X	X	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X	X	X	X		X	X
Management and Operational Risk	X	X	X	X	X	X	X	X	X	X	X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X	X	X	X	X	X
Market Risk – Equities	X	X	X	X	X	X	X	X	X	X	X
Market Risk – Fixed Income		X							X
Merger Arbitrage Risk	X							X
Non-Diversified Funds	X	X	X				X	X	X	X
Non-U.S. Investment Risk	X	X	X	X	X	X	X	X	X	X
Small Company Risk	X	X	X	X	X		X	X	X	X	X

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.

Each Fund that invests in other GMO Funds or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.

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

• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the 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, regulations or other requirements. The Funds are not subject to any limit 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 posted promptly 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 (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 the 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 broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result (and/or in anticipation) of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations, 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 also are 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 several major rating agencies to downgrade the long-term credit rating of U.S. bonds and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.

Asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.

The extent to which the market price of a fixed income investment changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.

Credit risk is particularly pronounced for below investment grade investments (commonly referred to as “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade investments have speculative characteristics, often are less liquid than higher quality investments, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality investments, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer does not make any interest or other payments and a Fund incurs additional expenses in seeking recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, a Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of a 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 or may only be able to do so at an unfavorable exchange rate. Exchange rates for many 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, 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, but are not limited to, 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. 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 the Fund under an OTC derivatives contract, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s fundamental fair (or intrinsic) value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of not being able to recover what it is owed if the counterparty defaults.

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, inaccurate 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 also are 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. The Securities and Exchange Commission has proposed a rule under the Investment Company Act of 1940, as amended (the “1940 Act”), regulating the use by registered investment

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

Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) have adopted similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these U.S. and European Union requirements are new and evolving (and some of the rules are not yet final), their impact on the Funds remains unclear.

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

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

Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may be required to indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility.

If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.

The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. New variation margin requirements became effective in March 2017 and new initial margin requirements will become effective in 2020. Such requirements could increase the amount of margin a Fund needs to provide in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.

These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the cost of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they historically posted for bilateral derivatives. The cost of derivatives transactions is expected to increase further as clearing members raise their fees to cover the cost of additional capital requirements and other regulatory changes applicable to the clearing members. These rules and regulations are new and evolving, and, therefore, their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Options. The Funds, particularly Risk Premium Fund, are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.

National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, GMO, and other funds advised by GMO likely constitute such a group. When applicable, these limits restrict a Fund’s ability to purchase or write options on a particular security.

Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.

Special tax rules apply to a Fund’s transactions in options, which could increase the taxes payable by shareholders subject to U.S. income taxation. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to be taxable at ordinary income tax rates. See the Funds’ Prospectus and Statement of Additional Information for more information.

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

A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index.

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 a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or in sectors within a country or region) 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, or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) have more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in the value of the currency of one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk.”

Because Resources Fund concentrates its investments in the natural resources sector, it is particularly exposed to adverse developments, including adverse price movements, affecting issuers in the natural resources sector and is subject to greater risks than a fund that invests in a wider range of industries. In addition, the market prices of securities of companies in the natural resources sector are often more volatile (particularly in the short term) than those of securities of companies in other industries. Some of the commodities used as raw materials or produced by these companies are subject to broad price fluctuations as a result of industry-wide supply and demand factors. Companies in the natural resources sector often have limited pricing power over the supplies they purchase and the products they sell, which can affect their profitability, and are often capital-intensive and use significant amounts of leverage. Projects in the natural resources sector may take extended periods of time to complete, and companies cannot ensure that the market will be favorable at the time the project begins production. Companies in the natural resources sector also may be subject to special risks associated with natural or man-made disasters. In addition, companies in the natural resources sector can be especially affected by political and economic developments, government regulations including changes in tax law or interpretations of law, energy conservation, and the success of exploration projects. Specifically, companies in the natural resources sector can be significantly affected by import controls, worldwide competition and cartels, and changes in consumer sentiment and spending, and can be subject to liability for, among other things, environmental damage, depletion of resources, and mandated expenditures for safety and pollution control. Resources Fund’s concentration in the securities of natural resource companies exposes it to the price movements of natural resources to a greater extent than if it were more broadly diversified. Because Resources Fund invests primarily in the natural resources sector, it runs the risk of performing poorly during an economic downturn or a decline in demand for natural resources.

Because Climate Change Fund focuses its investments in securities of companies involved in climate change-related industries, the Fund 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 developments 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, and 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 technological changes 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 may hold a limited number of options contracts relating 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.

Because, 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, 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 when an underlying GMO Fund has 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 exchange-traded funds (“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.” ETFs are investment companies that typically hold a portfolio of securities designed to track the price, performance, and dividend yield of a particular securities market index (or sector of an index). As investment companies, ETFs incur their own management and other fees and expenses, such as trustee fees, operating expenses, registration fees, and marketing expenses, and a Fund that invests in ETFs will bear a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could lead to higher operating expenses and poorer performance than if the Fund were to invest directly in the securities underlying the ETF.

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

• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt or equity 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 or other investments that are less liquid than those in its benchmark. The more illiquid investments a Fund has, the greater the likelihood of its paying redemption proceeds in-kind.

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

A Fund’s, and particularly Risk Premium Fund’s, ability to use options as part of its investment program depends on the liquidity of the options market. That market may not be liquid when a Fund seeks to close out an option position, and the hours of trading for options on an exchange may not conform to the hours during which the underlying securities are traded. To the extent that the options markets close before the markets for the underlying securities, significant price and rate movements can take place in the markets for those securities that are not immediately reflected in the options markets. If a Fund receives a redemption request and is unable to close out an option it has sold, the Fund may temporarily be leveraged in relation to its assets.

• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities, potentially at disadvantageous prices, to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the outstanding shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments when it would not have otherwise done 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 ultimately is not received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. In addition, redemptions and purchases of shares by a large shareholder or group of shareholders could limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.

To the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.

• LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests), reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives, similar to short sales, have the potential for unlimited loss, regardless of the size of the initial investment. Similarly, a Fund’s portfolio will be leveraged and can incur losses if the value of the Fund’s assets declines 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 decline 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 to avoid having the pledged securities liquidated to compensate for the decline.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and may cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times. In the case of Tax-Managed International Equities Fund, GMO’s tax-management strategies may be ineffective or limited by market conditions, the timing of cash flows into and out of the Fund, and current or future developments in tax legislation and regulation.

For many Funds, GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market movements, or characteristics. In addition, they are based on 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 security’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 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 disrupting operations. 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, and additional compliance costs. The Funds’ service providers regularly experience cyber-attacks and expect they will continue to do so. While GMO has established business continuity plans and systems designed to prevent, detect and respond to cyber-attacks, those plans and systems have inherent limitations. Similar types of

cyber security risks also are present for issuers of securities in which the Funds invest, which could have material adverse consequences for those issuers and result in a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or suspend trading in specific securities or the entire market, which could prevent the Funds from, among other things, buying or selling securities or accurately pricing their investments. The Funds cannot directly control cyber security plans and systems of 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 reducing 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. 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 an issuer of securities 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 have resulted, and may in the future result, in a shutdown of government services, which could adversely affect the U.S. economy, reduce the value of many Fund investments, and impair the operation of the U.S. or other securities markets. Uncertainty over the sovereign debt of several European Union countries, as well as uncertainty over 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”) and in March 2017, the United Kingdom commenced the formal process of withdrawing from the European Union. Brexit has resulted in volatility in European and global markets and could have negative long-term impacts on financial markets in the United Kingdom and throughout Europe. There is considerable uncertainty about the potential consequences and precise timeframe for Brexit, how it will be conducted, how negotiations of trade agreements will proceed, and how the financial markets will react, and as this process unfolds markets may be further disrupted. The consequences of the United Kingdom’s or another country’s exit from the European Union and/or Eurozone also could threaten the stability of the euro for remaining countries and could negatively affect the financial markets of other countries in the European region and beyond.

War, terrorism, economic uncertainty, and related geopolitical events, such as sanctions, tariffs, the imposition of exchange controls or other cross-border trade barriers, 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 market price of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.

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

Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, such as poor performance by the issuer’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. The market prices of equities are volatile and can decline in a rapid or unpredictable manner. If a Fund purchases an equity for what GMO believes is less than its fundamental fair (or intrinsic) value, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment. The market prices of equities trading at high

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

Because of Risk Premium Fund’s emphasis on writing put options on stock indices, GMO expects the Fund’s net asset value to decline when those indices decline in value. Also, Risk Premium Fund’s investment strategy of writing put options on stock indices can be expected to cause the Fund to underperform relative to those indices when the markets associated with those indices rise sharply because of the Fund’s lack of exposure to the upside of those markets.

Fixed Income — Funds that invest in fixed income investments (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity due to market 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, fixed income investments also may be repaid more slowly than anticipated, causing a decrease in their market price. 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 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 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. However, continued economic recovery, the U.S. Federal Reserve’s conclusion of its quantitative easing program, and recent increases in interest rates increase the likelihood that interest rates will continue to rise in the near future. To the extent the U.S. Federal Reserve continues to raise interest rates, there is a risk that rates across the financial system may rise, which could have an adverse effect on prices for fixed income investments and on the performance of the Funds. Other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) also could have a material adverse effect on the Funds.

• MERGER ARBITRAGE RISK. Some Funds engage in transactions in which the Fund purchases securities at prices below the value of the consideration GMO expects the Fund to receive upon consummation of a proposed merger, exchange offer, tender offer, or other similar transaction (“merger arbitrage transactions”). The purchase price paid by the Fund may substantially exceed the market price of the securities before the announcement of the transaction.

If a Fund engages in merger arbitrage and the merger later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund is likely to decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. A proposed merger can fail to be consummated for many reasons, including regulatory and antitrust restrictions, industry weakness, company specific events, failed financings, and general market declines.

Merger arbitrage strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust long or short investment exposure in connection with a merger arbitrage may not perform as GMO expected or may otherwise reduce the Fund’s gains or increase its losses. Also, a Fund may be unable to hedge against market fluctuations or other risks. In addition, a Fund may sell securities short when GMO expects the Fund to receive the securities upon consummation of a transaction; if the Fund does not actually receive the securities, the Fund will have an unintended “naked” short position and may be required to cover its short position at a time when the securities sold short have appreciated in value, thus resulting in a loss. A Fund’s merger arbitrage transactions could result in tax inefficiencies, including larger 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 than if their investments were more diversified, and poor performance by a single investment may have a greater impact on their performance.

The following Funds are not diversified investment companies within the meaning of the 1940 Act:

• Climate Change Fund

• Emerging Markets Fund

• Emerging Domestic Opportunities Fund

• Quality Fund

• Resources Fund

• Risk Premium Fund

• Tax-Managed International Equities Fund

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Many non-U.S. securities markets include securities of only a small number of companies in a small number of industries. As a result, the market prices of securities traded on those markets often fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as 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. In addition, a Fund’s pursuit of a tax refund may subject it to administrative and judicial proceedings in the country where it is seeking the refund. 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 it will be received. In some cases, the amount of a refund could be material to a Fund’s net asset value. Generally, absent a determination that a refund is collectible and free from significant contingencies, a refund is not reflected in a Fund’s net asset value. See “Taxes, Non-U.S. Taxes” in the GMO Trust Statement of Additional Information for additional information. For information on possible special Singapore tax consequences of an investment in the Funds, see the Funds’ Prospectus and Statement of Additional Information.

Investing in non-U.S. securities also exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, government involvement in every country, including the U.S., 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 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 securities traded 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 a Fund, from obtaining a similar license. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license.

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 issuer assets; 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; less rigorous 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 and often are more volatile than the economies of developed countries.

• 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 less experienced managers and depend on fewer 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 the securities of these companies.

Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in response to adverse market, economic, political or other conditions. The Funds normally do not take temporary defensive positions. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

Derivative financial instruments

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

The Funds may use derivatives to gain long investment exposure to securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which its equities are traded.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

The Funds may have investment exposures in excess of their net assets (i.e., they may be leveraged). While GMO expects that Risk Premium Fund’s option positions typically will be fully collateralized at the time when the Fund is selling them, from time to time the Fund may have investment exposures in excess of its net assets (i.e., it may be leveraged). For example, if Risk Premium Fund receives a redemption request and is unable to close out an option it had sold, the Fund may temporarily have gross investment

exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. Risk Premium Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

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

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

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

For Funds that held derivatives during the period ended May 31, 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 Fund (formerly U.S. Equity Allocation Fund)

Forward currency contracts

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

X

Futures contracts

Adjust exposure to certain securities markets

X

X

X

X

X

X

X

Maintain the diversity and liquidity of the portfolio

X

X

X

X

X

Options (Written)

Substitute for direct equity investment

X

Swap contracts

Substitute for direct equity investment

X

X

Achieve returns comparable to holding and lending a direct equity position

X

X

Rights and/or warrants

Received as a result of corporate actions

X

X

X

X

X

X

X

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

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

Options

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

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

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

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

positions (and if the market of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using industry models and inputs provided by primary pricing sources.

Swap contracts

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

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

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

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

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

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

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

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

The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the

value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

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

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

The following is a summary of the valuations of derivative instruments categorized by risk exposure as of May 31, 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
Emerging Domestic Opportunities Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	2,649,001		$	—	$	—	$	2,649,001
Swap Contracts, at value		—		1,266,979			—			—		—		1,266,979
Total	$	—	$	1,266,979		$	2,649,001		$	—	$	—	$	3,915,980
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(367,492	)	$	—	$	—	$	(367,492	)
Unrealized Depreciation on Futures Contracts		—		(2,518,900	)		—			—		—		(2,518,900	)
Total	$	—	$	(2,518,900	)	$	(367,492	)	$	—	$	—	$	(2,886,392	)
Emerging Markets Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	163,832		$	—		$	—	$	—	$	163,832
Total	$	—	$	163,832		$	—		$	—	$	—	$	163,832
Liability Derivatives
Unrealized Depreciation on Futures Contracts	$	—	$	(23,793,254	)	$	—		$	—	$	—	$	(23,793,254	)
Swap Contracts, at value		—		(543,908	)		—			—		—		(543,908	)
Total	$	—	$	(24,337,162	)	$	—		$	—	$	—	$	(24,337,162	)
Foreign Small Companies Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts	$	—	$	(1,733	)	$	—		$	—	$	—	$	(1,733	)
Total	$	—	$	(1,733	)	$	—		$	—	$	—	$	(1,733	)
International Equity Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts	$	—	$	150,687		$	—		$	—	$	—	$	150,687
Total	$	—	$	150,687		$	—		$	—	$	—	$	150,687

	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
International Large/Mid Cap Equity Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts	$	—	$	(18,446	)	$	—	$	—	$	—	$	(18,446	)
Total	$	—	$	(18,446	)	$	—	$	—	$	—	$	(18,446	)
Risk Premium Fund
Liability Derivatives
Written Options, at value	$	—	$	(1,337,615	)	$	—	$	—	$	—	$	(1,337,615	)
Total	$	—	$	(1,337,615	)	$	—	$	—	$	—	$	(1,337,615	)
Tax-Managed International Equities Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	2,495		$	—	$	—	$	—	$	2,495
Total	$	—	$	2,495		$	—	$	—	$	—	$	2,495
Liability Derivatives
Unrealized Depreciation on Futures Contracts	$	—	$	(18,868	)	$	—	$	—	$	—	$	(18,868	)
Total	$	—	$	(18,868	)	$	—	$	—	$	—	$	(18,868	)
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
Liability Derivatives
Unrealized Depreciation on Futures Contracts	$	—	$	(45,469	)	$	—	$	—	$	—	$	(45,469	)
Total	$	—	$	(45,469	)	$	—	$	—	$	—	$	(45,469	)

Subsequent Events

The Board of Trustees of GMO Trust has approved the liquidation of GMO International Large/Mid Cap Equity Fund. GMO anticipates the liquidation of the Fund to occur on or around October 31, 2018.

Subsequent to May 31, 2018, GMO International Large/Mid Cap Equity Fund received redemption requests in the amount of $14,050,090.

Subsequent to May 31, 2018, GMO Risk Premium Fund received redemption requests in the amount of $74,177,880.

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

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 86.4%
		Australia — 0.8%
	9,534	AusNet Services		11,681
	13,676	Australia & New Zealand Banking Group Ltd		281,065
	6,771	Caltex Australia Ltd		150,164
	340	CIMIC Group Ltd		10,574
	4,095	Commonwealth Bank of Australia		214,136
	1,954	Crown Resorts Ltd		19,604
	16,239	Fortescue Metals Group Ltd		57,245
	1,712	Incitec Pivot Ltd		4,438
	7,363	Mineral Resources Ltd		102,259
	70,730	Mirvac Group (REIT)		122,759
	107,071	Scentre Group (REIT)		338,133
	1,408	Vocus Group Ltd		2,560
	13,054	Westpac Banking Corp		275,912
		Total Australia		1,590,530
		Austria — 0.2%
	5,765	OMV AG		330,335
	2,017	voestalpine AG		107,705
	951	Zumtobel Group AG		7,867
		Total Austria		445,907
		Belgium — 0.0%
	3,708	AGFA-Gevaert NV *		13,267
	1,100	Proximus SADP		29,433
	354	Umicore SA		19,969
		Total Belgium		62,669
		Brazil — 1.7%
	3,200	AES Tiete Energia SA		8,561
	51,739	Banco Bradesco SA		361,791
	21,900	Banco do Brasil SA		178,296
	82,000	Banco Santander Brasil SA		742,682
	63,100	Centrais Eletricas Brasileiras SA *		247,464
	53,700	Cia de Saneamento Basico do Estado de Sao Paulo		376,191
	11,000	Cia de Saneamento Basico do Estado de Sao Paulo ADR		75,570
	9,900	Cia de Saneamento de Minas Gerais		114,678
	317,300	JBS SA		760,622
	6,600	Mahle-Metal Leve SA		47,918
	8,754	Sul America SA		46,031
	1,500	Suzano Papel e Celulose SA		17,326
	13,200	TIM Participacoes SA		47,451
	23,282	Vale SA		315,864
	26,300	Via Varejo SA		164,720
		Total Brazil		3,505,165
		Chile — 0.0%
	1,237	Cia Cervecerias Unidas SA		17,321

Shares		Description	Value ($)
		China — 11.7%
	544,000	Agile Group Holdings Ltd		1,027,697
	3,894,000	Agricultural Bank of China Ltd – Class H		1,998,968
	32,000	Anhui Conch Cement Co Ltd – Class H		195,397
	1,157,000	Bank of China Ltd – Class H		604,176
	596,000	Bank of Communications Co Ltd – Class H		470,064
	10,000	Beijing Capital International Airport Co Ltd – Class H		14,720
	21,000	Beijing Enterprises Holdings Ltd		115,481
	500	Changyou.com Ltd ADR		9,365
	852,000	China CITIC Bank Corp Ltd – Class H		575,859
	31,000	China Coal Energy Co Ltd – Class H		13,593
	458,000	China Communications Services Corp Ltd – Class H		294,046
	4,500	China Conch Venture Holdings Ltd		15,556
	642,000	China Construction Bank Corp – Class H		646,186
	4,000	China Everbright Ltd		8,752
	1,210,000	China Huarong Asset Management Co Ltd – Class H		405,546
	143,000	China Lesso Group Holdings Ltd		100,808
	35,000	China Lilang Ltd		52,500
	47,000	China Medical System Holdings Ltd		112,792
	2,000	China Merchants Port Holdings Co Ltd		4,540
	400	China Mobile Ltd Sponsored ADR		17,968
	291,600	China National Building Material Co Ltd – Class H *		331,446
	2,510,000	China Petroleum & Chemical Corp – Class H		2,441,675
	62,000	China Pioneer Pharma Holdings Ltd		20,544
	955,500	China Railway Construction Corp Ltd – Class H		1,079,412
	749,000	China Railway Group Ltd – Class H		602,343
	212,500	China Resources Pharmaceutical Group Ltd		325,708
	438,500	China Shenhua Energy Co Ltd – Class H		1,140,686
	39,000	China Shineway Pharmaceutical Group Ltd		84,496
	3,170,000	China Telecom Corp Ltd – Class H		1,473,797
	2,400	China Yuchai International Ltd		55,320
	477,000	Chongqing Rural Commercial Bank Co Ltd – Class H		317,307
	99,000	Dah Chong Hong Holdings Ltd		53,005
	1,032,000	Dongfeng Motor Group Co Ltd – Class H		1,175,551
	2,400	Fuyao Glass Industry Group Co Ltd – Class H		8,855
	3,000	GF Securities Co Ltd – Class H *		5,038
	6,000	Greentown China Holdings Ltd		8,945
	387,200	Guangzhou R&F Properties Co Ltd – Class H		901,411
	359,000	Haier Electronics Group Co Ltd *		1,286,999
	30,000	Haitian International Holdings Ltd		85,139
	76,000	Harbin Electric Co Ltd – Class H		26,416
	368,000	HengTen Networks Group Ltd *		14,661
	96,000	Hua Hong Semiconductor Ltd		231,323
	1,197,000	Industrial & Commercial Bank of China Ltd – Class H		988,695
	28,000	Jiangsu Expressway Co Ltd – Class H		42,069
	204,000	Jiangxi Copper Co Ltd – Class H		295,258
	134,500	Kingboard Chemical Holdings Ltd		532,105
	185,500	Kingboard Laminates Holdings Ltd		244,026

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		China — continued
	16,000	Lee & Man Paper Manufacturing Ltd		18,654
	92,000	Longfor Properties Co Ltd		273,957
	678,000	Lonking Holdings Ltd		339,121
	155,000	Nexteer Automotive Group Ltd		254,261
	231,000	People’s Insurance Co Group of China Ltd (The) – Class H		108,760
	86,000	Powerlong Real Estate Holdings Ltd		51,435
	42,000	Road King Infrastructure Ltd		80,696
	38,000	Shandong Chenming Paper Holdings Ltd – Class H		56,388
	108,000	Shandong Weigao Group Medical Polymer Co Ltd – Class H		92,697
	97,000	Shanghai Industrial Holdings Ltd		257,088
	61,200	Shanghai Pharmaceuticals Holding Co Ltd – Class H		188,317
	309,500	Shimao Property Holdings Ltd		907,706
	294,500	Sino-Ocean Group Holding Ltd		197,752
	98,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		72,156
	3,500	Sun Art Retail Group Ltd		4,108
	78,000	Tianneng Power International Ltd		120,383
	430,000	Weichai Power Co Ltd – Class H		572,950
	93,000	XTEP International Holdings Ltd		58,988
	564,000	Yuzhou Properties Co Ltd		395,076
	4,000	Zhejiang Expressway Co Ltd – Class H		3,989
	34,000	Zijin Mining Group Co Ltd – Class H		14,067
	20,600	ZTE Corp – Class H * (a)		67,238
		Total China		24,592,031
		Colombia — 0.0%
	76,893	Ecopetrol SA		82,204
		Czech Republic — 0.0%
	4,446	Moneta Money Bank AS		15,541
		Denmark — 0.0%
	94	Schouw & Co AB		8,457
	1,767	Tryg A/S		40,675
		Total Denmark		49,132
		Egypt — 0.0%
	15,874	Talaat Moustafa Group		10,791
		Finland — 0.2%
	918	Elisa Oyj		41,128
	6,610	Fortum Oyj		155,163
	711	Kesko Oyj – B Shares		41,783
	336	Metso Oyj		11,628
	518	Orion Oyj – Class B		15,322
	5,575	UPM-Kymmene Oyj		204,641
		Total Finland		469,665
		France — 2.0%
	328	Accor SA		17,958
	6,821	ArcelorMittal		220,444
	12,671	AXA SA		317,478

Shares		Description	Value ($)
		France — continued
	3,898	BNP Paribas SA		242,206
	1,245	Casino Guichard Perrachon SA		53,884
	5,816	CNP Assurances		136,196
	2,131	Coface SA		22,647
	27,765	Credit Agricole SA		381,805
	553	Eurazeo SA		43,260
	716	Fonciere Des Regions (REIT)		74,637
	427	ICADE (REIT)		39,661
	412	Imerys SA		35,118
	2,193	LVMH Moet Hennessy Louis Vuitton SE		763,599
	1,382	Metropole Television SA		29,212
	23,993	Natixis SA		173,647
	1,438	Neopost SA		39,985
	13,795	Orange SA		237,423
	2,605	Peugeot SA		60,919
	1,069	Rallye SA		14,136
	2,827	Renault SA		274,134
	2,603	Rexel SA		38,293
	8,992	Sanofi		689,272
	500	Sanofi ADR		19,135
	6,719	Societe Generale SA		290,009
	411	Suez		5,640
	205	TOTAL SA		12,463
	1,020	Unibail-Rodamco-Westfield CDI * (a)		11,348
	75	Wendel SA		9,899
		Total France		4,254,408
		Germany — 2.6%
	3,204	Allianz SE (Registered)		660,127
	231	Axel Springer SE		16,786
	7,139	BASF SE		704,870
	7,783	Bayerische Motoren Werke AG		777,709
	10,796	Daimler AG (Registered Shares)		779,905
	21,457	Deutsche Lufthansa AG (Registered)		582,319
	4,061	Deutsche Pfandbriefbank AG *		61,860
	716	Hannover Rueck SE		90,351
	998	RTL Group SA		75,242
	10,890	RWE AG		247,004
	9,767	SAP AG		1,100,225
	1,213	Software AG		57,879
	2,082	Suedzucker AG		37,301
	1,188	Volkswagen AG		220,018
		Total Germany		5,411,596
		Greece — 0.0%
	6,562	FF Group *		36,628
		Hong Kong — 0.4%
	46,500	BOC Hong Kong Holdings Ltd		232,763
	6,000	Cathay Pacific Airways Ltd		9,752
	23,000	CK Asset Holdings Ltd		191,181
	12,000	First Pacific Co Ltd		6,032

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	14,000	HK Electric Investments & HK Electric Investments Ltd – Class SS		13,560
	14,500	Kerry Properties Ltd		77,329
	96,000	Li & Fung Ltd		37,127
	8,000	MTR Corp Ltd		44,957
	8,000	NWS Holdings Ltd		14,848
	55,000	PCCW Ltd		32,333
	6,500	Power Assets Holdings Ltd		45,148
	70,000	SJM Holdings Ltd		99,981
	13,000	Wharf Real Estate Investment Co Ltd		99,960
	11,000	Yue Yuen Industrial Holdings Ltd		33,927
		Total Hong Kong		938,898
		Hungary — 0.0%
	47,419	Magyar Telekom Telecommunications Plc		72,029
	1,102	MOL Hungarian Oil & Gas Plc		10,401
		Total Hungary		82,430
		India — 3.8%
	4,296	Aditya Birla Capital Ltd *		9,317
	3,050	Ambuja Cements Ltd		9,307
	34,649	Apollo Tyres Ltd		138,221
	996	Balkrishna Industries Ltd		16,689
	637	Container Corp Of India Ltd		12,930
	11,663	Divi’s Laboratories Ltd		181,261
	359	Grasim Industries Ltd		5,569
	30,991	HCL Technologies Ltd		416,364
	7,548	Hero MotoCorp Ltd		396,775
	14,264	Hexaware Technologies Ltd		92,367
	96,322	Hindalco Industries Ltd		334,540
	50,221	Hindustan Petroleum Corp Ltd		232,519
	6,401	Idea Cellular Ltd *		5,867
	14,749	IDFC Bank Ltd		8,881
	671	Indiabulls Housing Finance Ltd		12,487
	116,144	Indian Oil Corp Ltd		300,251
	4,836	Ipca Laboratories Ltd		47,938
	47,604	Karnataka Bank Ltd (The)		84,531
	3,634	Larsen & Toubro Infotech Ltd		94,386
	18,000	Larsen & Toubro Ltd		365,208
	873	Mahindra & Mahindra Financial Services Ltd		6,304
	34,281	Mahindra & Mahindra Ltd		468,498
	8,780	Mindtree Ltd		131,075
	8,999	Mphasis Ltd		146,263
	12,919	NIIT Technologies Ltd		214,780
	212,425	Oil & Natural Gas Corp Ltd		559,201
	302,802	Power Finance Corp Ltd		363,544
	92,225	PTC India Ltd		115,941
	18,761	Rain Industries Ltd		65,243
	52,473	Reliance Capital Ltd		323,638
	2,862	Reliance Home Finance Ltd *		2,622
	49,616	Reliance Industries Ltd		675,984

Shares		Description	Value ($)
		India — continued
	358,017	Rural Electrification Corp Ltd		625,918
	418	Siemens Ltd		6,496
	3,682	State Bank of India *		14,717
	2,785	Syndicate Bank *		2,036
	70,941	Tata Global Beverages Ltd		282,436
	1,362	Tata Motors Ltd *		5,714
	126,290	Tata Steel Ltd		1,079,231
	18,066	Tech Mahindra Ltd		189,719
	49,792	Union Bank of India *		66,648
		Total India		8,111,416
		Indonesia — 0.1%
	71,200	Adaro Energy Tbk PT		9,643
	8,700	Bank Negara Indonesia Persero Tbk PT		5,290
	17,500	Gudang Garam Tbk PT		86,076
	31,800	Hanjaya Mandala Sampoerna Tbk PT		8,639
	62,700	Indo Tambangraya Megah Tbk PT		116,355
	12,400	Indofood Sukses Makmur Tbk PT		6,295
	83,600	Media Nusantara Citra Tbk PT		7,197
	59,500	Perusahaan Gas Negara Persero Tbk		8,845
	20,300	Semen Indonesia Persero Tbk PT		12,235
	62,600	XL Axiata Tbk PT *		9,423
		Total Indonesia		269,998
		Ireland — 0.0%
	820	Bank of Ireland Group Plc		6,767
		Israel — 0.2%
	80	Azrieli Group Ltd		3,895
	18,638	Bank Leumi Le-Israel BM		116,168
	10,565	Bezeq The Israeli Telecommunication Corp Ltd		12,915
	2,729	Israel Chemicals Ltd		12,634
	687	Teva Pharmaceutical Industries Ltd *		14,811
	9,600	Teva Pharmaceutical Industries Ltd Sponsored ADR *		206,400
		Total Israel		366,823
		Italy — 1.1%
	79,281	A2A SPA		134,819
	3,099	Assicurazioni Generali SPA		52,896
	10,393	Enav SPA		50,110
	53,699	Enel SPA		295,121
	5,882	EXOR NV		427,207
	18,800	Fiat Chrysler Automobiles NV		436,724
	3,251	Fiat Chrysler Automobiles NV *		73,684
	14,171	FinecoBank Banca Fineco SPA		141,332
	16,870	Intesa Sanpaolo SPA – RSP		50,845
	29,841	Iren SPA		74,224
	27,121	Poste Italiane SPA		232,283
	3,244	Saipem SPA *		13,759
	8,179	Societa Cattolica di Assicurazioni SC		70,360

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	2,705	Societa Iniziative Autostradali e Servizi SPA		43,822
	160,969	Telecom Italia SPA-RSP		112,804
		Total Italy		2,209,990
		Japan — 5.4%
	600	AEON Financial Service Co Ltd		13,954
	400	Aeon Mall Co Ltd		7,699
	5,100	Aisin Seiki Co Ltd		255,822
	1,300	Alfresa Holdings Corp		32,761
	1,700	Asahi Glass Co Ltd		69,356
	29,500	Asahi Kasei Corp		403,320
	200	Benesse Holdings Inc		7,248
	24,800	Canon Inc		845,667
	700	Central Japan Railway Co		144,397
	700	Chubu Electric Power Co Inc		10,830
	900	Chugoku Bank Ltd (The)		10,098
	1,500	Chugoku Electric Power Co Inc (The)		19,577
	100	Daiichi Sankyo Co Ltd		3,200
	500	Daiwa House Industry Co Ltd		18,061
	7	Daiwa House REIT Investment Corp		16,486
	1,400	DIC Corp		45,557
	2,800	FUJIFILM Holdings Corp		107,145
	2,300	Gree Inc		13,069
	6,100	Hachijuni Bank Ltd (The)		26,971
	400	Hakuhodo DY Holdings Inc		6,054
	105	Hirose Electric Co Ltd		13,629
	4,200	Hiroshima Bank Ltd (The)		29,737
	300	Hisamitsu Pharmaceutical Co Inc		24,857
	50,000	Hitachi Ltd		364,038
	900	Hokuriku Electric Power Co *		9,036
	11,800	Honda Motor Co Ltd		374,474
	1,200	Ibiden Co Ltd		18,601
	400	IHI Corp		14,969
	400	Iida Group Holdings Co Ltd		7,609
	36,700	ITOCHU Corp		686,722
	21,900	Japan Post Holdings Co Ltd		250,479
	4	Japan Prime Realty Investment Corp (REIT)		14,520
	5,000	JFE Holdings Inc		102,881
	100	JGC Corp		2,078
	1,400	Kamigumi Co Ltd		30,504
	3,000	Kaneka Corp		30,792
	1,000	Kansai Electric Power Co Inc (The)		14,370
	15,400	KDDI Corp		415,391
	5,900	Kirin Holdings Co Ltd		167,138
	500	Kitz Corp		4,459
	1,400	Kurita Water Industries Ltd		40,064
	500	Kyowa Hakko Kirin Co Ltd		10,189
	900	Kyushu Financial Group Inc		4,295
	600	Lawson Inc		39,030
	25,900	Marubeni Corp		200,917
	1,100	Marui Group Co Ltd		22,257

Shares		Description	Value ($)
		Japan — continued
	300	Maruichi Steel Tube Ltd		9,899
	9,980	Mebuki Financial Group Inc		36,173
	900	Medipal Holdings Corp		20,686
	52,100	Mitsubishi Chemical Holdings Corp		479,803
	12,300	Mitsubishi Corp		340,913
	23,000	Mitsubishi Electric Corp		325,951
	2,300	Mitsubishi Gas Chemical Co Inc		58,416
	9,700	Mitsubishi Tanabe Pharma Corp		173,236
	74,800	Mitsubishi UFJ Financial Group Inc		450,911
	3,800	Mitsubishi UFJ Lease & Finance Co Ltd		22,616
	13,100	Mitsui & Co Ltd		229,887
	2,400	Mitsui Mining & Smelting Co Ltd		104,440
	800	Mixi Inc		25,004
	4,300	NEC Corp		120,881
	2,100	NET One Systems Co Ltd		34,099
	1,000	Nichiha Corp		39,767
	800	Nikon Corp		12,938
	22,100	Nippon Telegraph & Telephone Corp		1,032,443
	2,300	Nisshin Seifun Group Inc		48,433
	500	NOK Corp		9,356
	2,100	Nomura Real Estate Holdings Inc		49,044
	1,140	Nomura Research Institute Ltd		57,139
	2,000	Oji Holdings Corp		13,091
	100	Rohm Co Ltd		9,208
	200	Sankyo Co Ltd		7,913
	4,200	SBI Holdings Inc		114,001
	6,900	Seiko Epson Corp		120,541
	6,600	Sekisui Chemical Co Ltd		108,105
	1,000	Shinsei Bank Ltd		15,755
	5,000	Showa Denko KK		214,748
	2,400	Showa Shell Sekiyu KK		31,802
	900	Sony Financial Holdings Inc		16,478
	45,000	Sumitomo Chemical Co Ltd		270,884
	8,300	Sumitomo Corp		138,734
	2,700	Sumitomo Electric Industries Ltd		40,610
	1,100	Sumitomo Heavy Industries Ltd		38,682
	11,300	Sumitomo Mitsui Financial Group Inc		465,868
	750	Suzuken Co Ltd		33,521
	2,900	T&D Holdings Inc		45,576
	300	Taisho Pharmaceutical Holdings Co Ltd		31,785
	6,600	Takeda Pharmaceutical Co Ltd		268,303
	800	Tocalo Co Ltd		9,673
	1,200	Tohoku Electric Power Co Inc		15,298
	1,100	Tokyo Electron Ltd		205,272
	4,000	Toppan Printing Co Ltd		32,523
	100	Toyoda Gosei Co Ltd		2,623
	5,200	Toyota Motor Corp		329,821
	4,600	Toyota Tsusho Corp		158,053
	200	Trend Micro Inc		11,307
	600	USS Co Ltd		11,317
	3,100	Yamada Denki Co Ltd		16,014

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	3,000	Yamaguchi Financial Group Inc		36,095
	1,000	Yokohama Rubber Co Ltd (The)		21,676
		Total Japan		11,467,620
		Malaysia — 0.3%
	60,400	AirAsia Berhad		46,584
	16,800	Alliance Financial Group Berhad		17,858
	3,300	AMMB Holdings Berhad		2,942
	4,000	Berjaya Sports Toto Berhad		2,488
	8,744	CIMB Group Holdings Berhad		12,953
	4,000	Gamuda Berhad		3,362
	3,800	Hong Leong Financial Group Berhad		18,079
	20,000	IJM Corp Berhad		8,510
	32,375	IOI Properties Group Berhad		12,824
	239,900	Petronas Chemicals Group Berhad		485,183
	1,200	Petronas Dagangan Berhad		7,543
	13,341	RHB Bank Berhad		17,896
	12,300	RHB Capital Berhad * (a)		—
	71,900	Supermax Corp Berhad		55,389
	7,800	UMW Holdings Berhad *		12,491
	8,600	Westports Holdings Berhad		7,477
	34,476	YTL Power International Berhad		7,100
		Total Malaysia		718,679
		Mexico — 1.0%
	241	Arca Continental SAB de CV		1,450
	2,900	Coca-Cola Femsa SAB de CV – Series L		16,952
	15,392	Genomma Lab Internacional SAB de CV – Class B *		13,027
	9,500	Kimberly-Clark de Mexico SAB de CV – Class A		15,895
	1,900	OHL Mexico SAB de CV		2,563
	778,900	Wal-Mart de Mexico SAB de CV		1,961,636
		Total Mexico		2,011,523
		Netherlands — 0.8%
	8,204	Aegon NV		50,993
	1,500	AerCap Holdings NV *		82,965
	502	Boskalis Westminster		13,828
	63,822	ING Groep NV		929,549
	18,253	Koninklijke Ahold Delhaize NV		419,324
	2,783	Signify NV		79,316
		Total Netherlands		1,575,975
		New Zealand — 0.0%
	3,835	Contact Energy Ltd		15,430
	1,280	Fletcher Building Ltd		5,901
	6,852	Meridian Energy Ltd		14,299
		Total New Zealand		35,630
		Norway — 0.5%
	889	Aker ASA – A Shares		63,291
	20,485	DNB ASA		367,154

Shares		Description	Value ($)
		Norway — continued
	14,399	Equinor ASA		378,516
	1,069	Gjensidige Forsikring ASA		16,494
	2,174	Norsk Hydro ASA		13,681
	6,069	Storebrand ASA		49,646
	7,349	Subsea 7 SA		112,020
	1,000	Telenor ASA		20,599
		Total Norway		1,021,401
		Philippines — 0.0%
	2,280	Bank of the Philippine Islands		4,124
	23,513	Energy Development Corp *		2,364
	555	Globe Telecom Inc		17,113
	8,480	International Container Terminal Services Inc		13,628
	188,000	Megaworld Corp		17,381
	59,800	Metro Pacific Investments Corp		5,300
	27,300	Robinsons Land Corp		11,459
	1,840	Security Bank Corp		6,825
	710	SM Investments Corp		11,720
		Total Philippines		89,914
		Poland — 0.3%
	5,820	Asseco Poland SA		72,127
	510	Bank Handlowy w Warszawie SA		11,015
	14,992	Cyfrowy Polsat SA		100,765
	74,341	Energa SA		189,657
	747	Grupa Azoty SA		8,580
	45,852	PGE Polska Grupa Energetyczna SA *		121,785
	187,582	Tauron Polska Energia SA *		113,482
		Total Poland		617,411
		Portugal — 0.0%
	41,678	Sonae SGPS SA		51,454
		Qatar — 0.0%
	1,134	Barwa Real Estate Co		10,670
	954	Masraf Al Rayan QSC		8,758
	299	Qatar Electricity & Water Co QSC		15,605
		Total Qatar		35,033
		Russia — 0.2%
	67,341	Gazprom PJSC Sponsored ADR		305,040
	2,826	Sistema PJSC Sponsered GDR (Registered)		9,531
		Total Russia		314,571
		Singapore — 0.1%
	11,100	CapitaLand Commercial Trust (REIT)		14,150
	800	City Developments Ltd		6,678
	18,700	Golden Agri-Resources Ltd		4,394
	27,900	Hutchison Port Holdings Trust – Class U		7,648
	5,600	Singapore Press Holdings Ltd		10,990
	12,900	Suntec Real Estate Investment Trust		17,290

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Singapore — continued
	2,600	UOL Group Ltd		15,723
	38,400	Yangzijiang Shipbuilding Holdings Ltd		27,486
		Total Singapore		104,359
		South Africa — 2.9%
	587	Anglo American Platinum Ltd		15,477
	1,224	AngloGold Ashanti Ltd		10,360
	105,147	Barclays Africa Group Ltd		1,336,849
	4,270	Barloworld Ltd		44,415
	13,162	Bidvest Group Ltd (The)		208,621
	1,169	Exxaro Resources Ltd		11,521
	6,581	Foschini Group Ltd (The)		94,944
	1,575	Hyprop Investments Ltd (REIT)		12,820
	13,196	Imperial Holdings Ltd		211,813
	34,552	Liberty Holdings Ltd		328,743
	21,583	Metair Investments Ltd		33,882
	172,452	MMI Holdings Ltd		253,076
	2,906	Mondi Ltd		79,905
	43,725	Nedbank Group Ltd		938,277
	6,286	Omnia Holdings Ltd		66,457
	745	Pioneer Foods Group Ltd		6,270
	28,799	Reunert Ltd		178,759
	117,524	Standard Bank Group Ltd		1,911,995
	25,757	Telkom SA SOC Ltd		104,473
	38,553	Tsogo Sun Holdings Ltd		69,592
	7,412	Wilson Bayly Holmes-Ovcon Ltd		90,611
		Total South Africa		6,008,860
		South Korea — 3.6%
	1,933	BNK Financial Group Inc		17,043
	844	CJ O Shopping Co Ltd		174,194
	185	Daelim Industrial Co Ltd		14,403
	922	DB Insurance Co Ltd		50,012
	6,983	DGB Financial Group Inc		66,888
	203	Dongsuh Cos Inc		4,880
	798	Doosan Heavy Industries & Construction Co Ltd *		14,105
	1,419	E-MART Inc		328,359
	88	GS Holdings Corp		4,750
	456	GS Home Shopping Inc		71,586
	10,774	Hana Financial Group Inc		415,240
	5,377	Hankook Tire Co Ltd		213,428
	312	Hanwha Aerospace Co Ltd *		9,560
	5,157	Hanwha Corp		171,776
	51,814	Hanwha Life Insurance Co Ltd		267,627
	38	Hyundai Construction Equipment Co Ltd *		5,879
	40	Hyundai Electric & Energy System Co Ltd *		3,399
	6,635	Hyundai Marine & Fire Insurance Co Ltd		209,586
	273	Hyundai Wia Corp		12,766
	64,180	Industrial Bank of Korea		926,633
	4,678	KB Financial Group Inc		225,006
	31	KCC Corp		9,905

Shares		Description	Value ($)
		South Korea — continued
	14,575	Kia Motors Corp		420,485
	173	Korea Investment Holdings Co Ltd		15,001
	2,511	Korea United Pharm Inc		59,696
	7,105	Korean Reinsurance Co		83,629
	87	KT Corp		2,178
	656	KT&G Corp		58,413
	142	Kumho Petrochemical Co Ltd		13,784
	8,726	Kwang Dong Pharmaceutical Co Ltd		65,037
	1,828	LF Corp		48,812
	10,158	LG Corp		690,494
	3	Lotte Chilsung Beverage Co Ltd		4,403
	4,073	LOTTE Himart Co Ltd		296,971
	474	NH Investment & Securities Co Ltd		6,930
	458	Posco Daewoo Corp		9,711
	1,163	Samjin Pharmaceutical Co Ltd		51,473
	1,121	Samsung Card Co Ltd		38,571
	17,657	Samsung Electronics Co Ltd		829,130
	1,424	Samsung Heavy Industries Co Ltd *		9,849
	20,241	Shinhan Financial Group Co Ltd		826,183
	629	SK Holdings Co Ltd		161,121
	1,433	SK Networks Co Ltd		6,593
	314	SK Telecom Co Ltd		64,582
	27,300	SK Telecom Co Ltd Sponsored ADR		622,986
	6,220	Woori Bank		88,103
		Total South Korea		7,691,160
		Spain — 0.6%
	60,919	Banco Santander SA		331,302
	3,554	CaixaBank SA		15,293
	14,472	Endesa SA		319,294
	29,101	International Consolidated Airlines Group SA		264,469
	19,089	Repsol SA		363,797
	2,506	Zardoya Otis SA		23,998
		Total Spain		1,318,153
		Sweden — 0.7%
	9,562	Alfa Laval AB		238,738
	1,695	Electrolux AB – Series B		41,840
	1,696	ICA Gruppen AB		52,343
	16,800	Nordea Bank AB		161,568
	6,684	Resurs Holding AB		42,704
	12,366	Sandvik AB		214,475
	5,702	SKF AB – B Shares		110,865
	14,093	Svenska Cellulosa AB SCA – Class B		156,220
	7,443	Swedbank AB – A Shares		154,731
	16,473	Volvo AB – B Shares		283,320
		Total Sweden		1,456,804
		Switzerland — 2.3%
	472	Aryzta AG *		7,053
	456	BKW AG		28,800

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	139	Bucher Industries AG (Registered)		50,152
	14,415	Nestle SA (Registered)		1,089,520
	24,881	Novartis AG (Registered)		1,849,722
	92	Pargesa Holding SA		8,065
	6,231	Roche Holding AG		1,335,999
	150	Swatch Group AG (The)		72,977
	475	Swiss Life Holding AG (Registered) *		162,019
	2,391	Swiss Re AG		205,604
		Total Switzerland		4,809,911
		Taiwan — 5.8%
	38,000	Asia Pacific Telecom Co Ltd *		10,181
	101,000	Asia Vital Components Co Ltd		96,921
	83,000	Asustek Computer Inc		750,166
	2,000	Casetek Holdings Ltd		5,002
	1,000	Catcher Technology Co Ltd		11,592
	86,000	Cathay Financial Holding Co Ltd		153,303
	8,520	Chang Hwa Commercial Bank Ltd		4,981
	44,000	China Airlines Ltd *		14,871
	15,826	China Life Insurance Co Ltd		16,585
	43,000	Coretronic Corp		59,162
	192,000	CTBC Financial Holding Co Ltd		137,776
	54,000	Elan Microelectronics Corp		86,995
	35,277	Eva Airways Corp		17,790
	15,000	Evergreen Marine Corp Taiwan Ltd *		7,390
	4,000	Far Eastern New Century Corp		3,801
	23,190	First Financial Holding Co Ltd		15,726
	121,000	Formosa Chemicals & Fibre Corp		463,195
	4,000	Formosa Petrochemical Corp		16,161
	149,000	Formosa Plastics Corp		533,166
	40,000	Formosa Taffeta Co Ltd		44,416
	185,000	Fubon Financial Holding Co Ltd		320,641
	137,000	Gigabyte Technology Co Ltd		360,417
	423,000	Grand Pacific Petrochemical		451,263
	66,000	Holtek Semiconductor Inc		162,373
	798,525	Hon Hai Precision Industry Co Ltd		2,278,229
	6,000	HTC Corp *		11,719
	6,432	Hua Nan Financial Holdings Co Ltd – Class C		3,837
	230,000	Inventec Corp		185,407
	74,000	Lite-On Semiconductor Corp		106,084
	4,000	Long Chen Paper Co Ltd		4,437
	22,000	Lotes Co Ltd		139,032
	15,000	Mega Financial Holding Co Ltd		13,106
	2,000	Merida Industry Co Ltd		8,531
	38,000	Micro-Star International Co Ltd		157,098
	155,000	Mitac Holdings Corp		169,759
	365,000	Nan Ya Plastics Corp		1,016,540
	88,000	Novatek Microelectronics Corp		396,342
	1,000	OBI Pharma Inc *		5,390
	173,000	Pegatron Corp		364,184
	45,000	Phison Electronics Corp		411,751

Shares		Description	Value ($)
		Taiwan — continued
	376,000	Pou Chen Corp		460,100
	24,000	Primax Electronics Ltd		46,604
	229,000	Radiant Opto-Electronics Corp		477,871
	16,800	Ruentex Development Co Ltd *		20,203
	10,000	Ruentex Industries Ltd *		20,407
	24,000	Shin Kong Financial Holding Co Ltd		9,561
	20,000	Simplo Technology Co Ltd		124,712
	12,989	SinoPac Financial Holdings Co Ltd		4,800
	141,350	Synnex Technology International Corp		225,936
	33,063	Taiwan Business Bank		10,083
	12,000	Taiwan Fertilizer Co Ltd		17,278
	8,000	Taiwan Semiconductor Co Ltd		22,725
	34,531	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		1,336,350
	3,000	Transcend Information Inc		8,594
	119,000	Uni-President Enterprises Corp		289,992
	21,000	United Integrated Services Co Ltd		44,891
	104,000	Walsin Lihwa Corp		86,855
	7,000	WPG Holdings Ltd		10,137
	2,000	Zhen Ding Technology Holding Ltd		4,508
		Total Taiwan		12,236,927
		Thailand — 1.4%
	55,800	Bangchak Corp PCL		63,187
	9,200	Banpu Pcl (Foreign Registered)		6,023
	6,900	BEC World Pcl (Foreign Registered)		2,035
	32,700	BTS Group Holdings PCL		9,915
	80,100	Com7 PCL (Foreign Registered)		45,616
	2,800	Glow Energy Pcl (Foreign Registered)		7,442
	344,700	Indorama Ventures Pcl (Foreign Registered)		626,562
	53,900	IRPC Pcl (Foreign Registered)		11,088
	21,000	Krung Thai Bank Pcl (Foreign Registered)		11,474
	401,300	PTT Global Chemical Pcl (Foreign Registered)		1,117,244
	509,200	PTT Pcl (Foreign Registered)		827,482
	614,400	Quality Houses Pcl (Foreign Registered)		62,462
	4,600	Thai Oil Pcl (Foreign Registered)		13,221
	72,500	Thanachart Capital Pcl (Foreign Registered)		116,579
	50,300	TMB Bank Pcl (Foreign Registered)		3,899
		Total Thailand		2,924,229
		Turkey — 1.2%
	93,000	Eregli Demir ve Celik Fabrikalari TAS		230,761
	220,127	KOC Holding AS		679,028
	1,778	TAV Havalimanlari Holding AS		8,628
	9,008	Turk Telekomunikasyon AS *		11,802
	292,205	Turkiye Garanti Bankasi AS		575,168
	554,139	Turkiye Is Bankasi – Class C		729,490
	54,836	Turkiye Sise ve Cam Fabrikalari AS		48,223
	260,437	Turkiye Vakiflar Bankasi TAO – Class D		314,743
	902	Ulker Biskuvi Sanayi AS		3,487
	14,969	Yapi ve Kredi Bankasi AS *		13,292
		Total Turkey		2,614,622

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		United Arab Emirates — 0.0%
	7,875	Abu Dhabi Commercial Bank PJSC		15,059
	4,957	Emaar Malls PJSC		2,767
		Total United Arab Emirates		17,826
		United Kingdom — 5.2%
	25,968	3i Group Plc		328,524
	5,386	888 Holdings Plc		21,478
	734	Antofagasta Plc		10,278
	3,236	AstraZeneca Plc		236,086
	14,200	AstraZeneca Plc Sponsored ADR		525,826
	1,356	Babcock International Group Plc		15,002
	12,899	Barratt Developments Plc		93,475
	2,114	Bellway Plc		92,199
	1,850	Berkeley Group Holdings Plc (The)		104,339
	152	BHP Billiton Plc		3,495
	20,261	British American Tobacco Plc		1,040,009
	9,151	Cobham Plc *		15,116
	3,080	Direct Line Insurance Group Plc		14,620
	4,324	easyJet Plc		98,082
	4,185	Electrocomponents Plc		39,111
	4,938	Fenner Plc		39,952
	12,309	Ferrexpo Plc		35,812
	654	Galliford Try Plc		8,365
	18,400	GlaxoSmithKline Plc Sponsored ADR		745,568
	5,001	Hammerson Plc (REIT)		36,327
	57,761	HSBC Holdings Plc		552,898
	8,754	IG Group Holdings Plc		100,526
	494	Inmarsat Plc		2,456
	12,553	Intu Properties Plc (REIT)		33,216
	1,662	Investec Plc		12,232
	5,193	Investec Plc		38,290
	145,121	Legal & General Group Plc		519,789
	741,808	Lloyds Banking Group Plc		622,207
	8,805	Meggitt Plc		57,475
	3,558	Mondi Plc		98,666
	2,990	Northgate Plc		16,561
	12,220	Persimmon Plc		459,795
	2,304	Plus500 Ltd		49,932
	15,832	QinetiQ Group Plc		55,544
	16,200	Reckitt Benckiser Group Plc		1,240,000
	21,013	Royal Dutch Shell Plc – Class A		730,785
	6,672	Royal Dutch Shell Plc A Shares (London)		231,332
	3,765	Royal Dutch Shell Plc B Shares (London)		134,472
	16,972	Royal Mail Plc		114,202
	439	Severn Trent Plc		11,588
	1,448	Spectris Plc		53,600
	292	Travis Perkins Plc		5,217
	5,081	TUI AG		117,887
	33,505	Unilever Plc		1,847,264
	1,767	Vedanta Resources Plc		16,620
	5,170	Vesuvius Plc		43,075

Shares		Description	Value ($)
		United Kingdom — continued
	9,000	Vodafone Group Plc Sponsored ADR		233,370
	25,834	William Hill Plc		109,819
	7,914	Wm Morrison Supermarkets Plc		25,826
		Total United Kingdom		11,038,308
		United States — 29.3%
	5,011	3M Co.		988,319
	19,371	Abbott Laboratories		1,191,898
	14,800	Accenture Plc – Class A		2,304,952
	4,300	Alphabet, Inc. – Class C *		4,665,457
	18,029	American Express Co.		1,772,251
	5,300	Amphenol Corp. – Class A		460,729
	8,069	Anthem, Inc.		1,786,638
	23,600	Apple, Inc.		4,410,132
	3,579	Becton Dickinson and Co.		793,071
	39,451	Cisco Systems, Inc.		1,684,952
	25,067	Coca-Cola Co. (The)		1,077,881
	24,366	Cognizant Technology Solutions Corp. – Class A		1,835,978
	9,214	Costco Wholesale Corp.		1,826,583
	4,300	Facebook, Inc. – Class A *		824,654
	5,200	Honeywell International, Inc.		769,132
	28,600	Johnson & Johnson		3,421,132
	2,663	Mastercard, Inc. – Class A		506,290
	23,467	Medtronic Plc		2,025,671
	21,911	Merck & Co., Inc.		1,304,362
	42,651	Microsoft Corp.		4,215,625
	5,621	Monsanto Co.		716,453
	138	OneMarket Ltd * (a)		160
	85,182	Oracle Corp.		3,979,703
	2,966	PepsiCo, Inc.		297,341
	18,800	Pfizer, Inc.		675,484
	12,584	Philip Morris International, Inc.		1,000,931
	33,209	QUALCOMM, Inc.		1,930,107
	10,994	Schlumberger Ltd.		754,958
	4,326	Stryker Corp.		752,810
	8,300	Teradata Corp. *		330,921
	12,081	Texas Instruments, Inc.		1,351,985
	25,116	TJX Cos., Inc. (The)		2,268,477
	10,889	United Technologies Corp.		1,359,165
	14,892	UnitedHealth Group, Inc.		3,596,567
	33,853	US Bancorp		1,692,311
	6,912	VF Corp.		560,978
	6,000	Visa, Inc. – Class A		784,320
	35,223	Wells Fargo & Co.		1,901,690
		Total United States		61,820,068
		TOTAL COMMON STOCKS (COST $171,018,353)		182,510,348

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares / Par Value†		Description	Value ($)
		PREFERRED STOCKS (b) — 1.1%
		Brazil — 0.4%
	52,368	Banco Bradesco SA		409,460
	19,160	Banco Bradesco SA ADR		150,406
	24,400	Banco do Estado do Rio Grande do Sul SA – Class B		107,468
	12,100	Braskem SA – Class A		147,358
	8,300	Centrais Eletricas Brasileiras SA – Class B *		37,268
	1,140	Itau Unibanco Holding SA		13,135
		Total Brazil		865,095
		Colombia — 0.0%
	37,891	Grupo Aval Acciones y Valores SA		16,321
		Germany — 0.2%
	136	Draegerwerk AG & Co KGaA		9,468
	2,233	Volkswagen AG		419,400
		Total Germany		428,868
		Russia — 0.0%
	27,445	Surgutneftegas OJSC *		13,450
		South Korea — 0.5%
	1,338	Hyundai Motor Co		110,828
	1,708	Hyundai Motor Co 2nd Preference		149,573
	12,700	Samsung Electronics Co Ltd		475,011
	148	Samsung Electronics Co Ltd GDR		138,705
		Total South Korea		874,117
		TOTAL PREFERRED STOCKS (COST $1,886,936)		2,197,851
		MUTUAL FUNDS — 6.5%
		United States — 6.5%
		Affiliated Issuers — 6.5%
	545,839	GMO U.S. Treasury Fund		13,635,063
		TOTAL MUTUAL FUNDS (COST $13,631,136)		13,635,063
		SHORT-TERM INVESTMENTS — 4.6%
		Money Market Fund — 0.2%
	427,307	State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (c)		427,307
		U.S. Government — 4.4%
	900,000	U.S. Treasury Bill, 1.77%, due 07/19/18 (d) (e)		897,867
	3,500,000	U.S. Treasury Bill, 1.79%, due 07/26/18 (d) (e)		3,490,428
	2,500,000	U.S. Treasury Bill, 2.02%, due 11/08/18 (d) (e)		2,477,917

Par Value†		Description	Value ($)
		U.S. Government — continued
	2,500,000	U.S. Treasury Bill, 2.03%, due 11/15/18 (d) (e)		2,476,850
		Total U.S. Government		9,343,062
		TOTAL SHORT-TERM INVESTMENTS (COST $9,770,899)		9,770,369
		TOTAL INVESTMENTS — 98.6% (Cost $196,307,324)		208,113,631
		Other Assets and Liabilities (net) — 1.4%		3,043,835
		TOTAL NET ASSETS — 100.0%		$211,157,466

A summary of outstanding financial instruments at May 31, 2018 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/13/2018	BCLY		AUD	1,123,200		USD	845,814		(3,818	)
07/13/2018	GS		AUD	959,581		USD	742,192		16,328
07/13/2018	JPM		AUD	51,700		USD	39,077		(31	)
07/12/2018	GS		CHF	352,222		USD	353,985		(4,602	)
07/12/2018	JPM		CHF	660,889		USD	698,050		25,220
06/20/2018	BOA		EUR	346,226		USD	424,496		19,255
06/20/2018	GS		EUR	5,780,542		USD	7,157,531		391,677
06/20/2018	MSCI		EUR	7,233,600		USD	8,641,172		174,582
06/20/2018	BCLY		GBP	1,291,987		USD	1,747,654		28,815
06/20/2018	GS		GBP	1,120,856		USD	1,514,857		23,689
06/20/2018	JPM		GBP	150,500		USD	210,377		10,154
06/20/2018	MSCI		GBP	2,153,184		USD	3,019,754		155,193
06/18/2018	GS		JPY	1,220,878,977		USD	11,340,200		107,087
06/18/2018	MSCI		JPY	89,573,148		USD	826,751		2,602
07/12/2018	BOA		NOK	2,917,200		USD	374,923		17,874
07/12/2018	GS		NOK	4,283,140		USD	536,633		12,402
07/12/2018	GS		SEK	8,160,000		USD	985,159		57,098
07/12/2018	MSCI		SEK	5,355,200		USD	625,502		16,439
06/20/2018	BCLY		USD	202,681		EUR	162,300		(12,716	)
06/18/2018	GS		USD	266,322		JPY	27,845,000		(10,125	)
06/20/2018	MSCI		USD	430,186		EUR	371,300		4,403
								$	1,031,526

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
1,372	S&P 500 E-Mini	June 2018	$	185,597,300	$	4,309,790

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

As of May 31, 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:

ADR - American Depositary Receipt

CDI - Certificado de Deposito Interbancario

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

GDR - Global Depositary Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

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

* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

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

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

Counterparty Abbreviations:

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

AUD - Australian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

SEK - Swedish Krona

USD - United States Dollar

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	11,816,225	GMO Emerging Country Debt Fund, Class IV		328,727,380
	771,878,049	GMO Implementation Fund		10,675,073,419
	19,848,213	GMO Opportunistic Income Fund, Class VI		529,153,349
	30,421,617	GMO SGM Major Markets Fund, Class VI		982,314,028
	25,418,252	GMO Special Opportunities Fund, Class VI		662,653,839
		TOTAL MUTUAL FUNDS (COST $12,443,633,758)		13,177,922,015
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	7,152,245	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.67% (a)		7,152,245
		TOTAL SHORT-TERM INVESTMENTS (COST $7,152,245)		7,152,245
		TOTAL INVESTMENTS — 100.0% (Cost $12,450,786,003)		13,185,074,260
		Other Assets and Liabilities (net) — (0.0%)		(6,274,654	)
		TOTAL NET ASSETS — 100.0%		$13,178,799,606

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2018.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 40.9%
		Australia — 0.6%
	4,093	Adelaide Brighton Ltd		20,227
	387	ASX Ltd		17,679
	50,823	Australia & New Zealand Banking Group Ltd		1,044,499
	3,487	Brickworks Ltd		40,961
	223,091	Caltex Australia Ltd		4,947,596
	23,174	Charter Hall Group (REIT)		111,347
	2,435	CIMIC Group Ltd		75,730
	40,010	Codan Ltd		88,853
	211,539	Costa Group Holdings Ltd		1,227,430
	28,995	Credit Corp Group Ltd		414,235
	214,839	CSR Ltd		812,831
	653,658	Downer EDI Ltd		3,462,536
	7,585	Elders Ltd		50,591
	230,008	Genworth Mortgage Insurance Australia Ltd		425,395
	6,162	Investa Office Fund (REIT)		23,480
	5,324	Lovisa Holdings Ltd		46,550
	68,843	Macquarie Group Ltd		5,931,832
	3,238	McMillan Shakespeare Ltd		41,354
	393,018	Metcash Ltd		858,678
	210,712	Mineral Resources Ltd		2,926,412
	33,169	Mirvac Group (REIT)		57,568
	50,306	Myer Holdings Ltd		16,321
	597	National Australia Bank Ltd		12,034
	3,444	Navitas Ltd		11,445
	181,633	OZ Minerals Ltd		1,347,007
	61,586	Pact Group Holdings Ltd		263,153
	27,413	Resolute Mining Ltd		25,682
	3,388	Sandfire Resources NL		22,180
	108,187	Scentre Group (REIT)		341,658
	15,786	Shopping Centres Australasia Property Group (REIT)		29,336
	75,159	Sigma Healthcare Ltd		44,530
	5,731	St Barbara Ltd		20,687
	19,633	Stockland (REIT)		61,573
	3,762	Virtus Health Ltd		15,689
	3,876	WorleyParsons Ltd		48,480
	34,707	WPP AUNZ Ltd		26,315
		Total Australia		24,911,874
		Austria — 0.2%
	1,657	FACC AG *		32,091
	2,064	Oesterreichische Post AG		95,606
	114,970	OMV AG		6,587,793
	4,441	POLYTEC Holding AG		67,539
	3,647	S IMMO AG		72,052
	48,193	voestalpine AG		2,573,425
		Total Austria		9,428,506

Shares		Description	Value ($)
		Belgium — 0.0%
	22,610	AGFA-Gevaert NV *		80,894
	2,368	Barco NV		293,071
	1,729	D’ieteren SA		74,850
	420	Orange Belgium SA		8,272
	11,423	UCB SA		897,933
		Total Belgium		1,355,020
		Brazil — 0.7%
	197,000	Banco BTG Pactual SA		1,028,985
	351,700	Banco do Brasil SA		2,863,316
	644,700	Banco Santander Brasil SA		5,839,112
	196,900	Centrais Eletricas Brasileiras SA *		772,199
	662,700	Cia de Saneamento Basico do Estado de Sao Paulo		4,642,494
	116,900	Cia de Saneamento Basico do Estado de Sao Paulo ADR		803,103
	11,500	EcoRodovias Infraestrutura e Logistica SA		24,361
	6,150	EDP – Energias do Brasil SA		21,840
	1,800	Eletropaulo Metropolitana Eletricidade de Sao Paulo SA *		16,915
	235,200	Estacio Participacoes SA		1,585,167
	70,200	Grendene SA		439,054
	3,659,200	JBS SA		8,771,722
	7,300	Multiplus SA		50,927
	1,850	Qualicorp SA		9,451
	900	Tim Participacoes SA ADR		16,110
	20,400	Transmissora Alianca de Energia Eletrica SA		105,242
	25,800	Vale SA		350,026
	138,600	Via Varejo SA		868,068
		Total Brazil		28,208,092
		Canada — 1.1%
	28,600	AGF Management Ltd – Class B		149,551
	53,200	Air Canada *		942,468
	17,200	Bank of Montreal		1,332,383
	24,800	Bank of Nova Scotia (The)		1,496,492
	11,600	Baytex Energy Corp *		48,488
	38,037	BRP Inc Sub Voting		1,771,892
	9,000	Canaccord Genuity Group Inc		44,563
	7,900	Canadian Imperial Bank of Commerce		689,712
	8,100	Canfor Corp *		202,844
	12,000	Cascades Inc		115,595
	2,000	Celestica Inc *		24,020
	2,600	Celestica Inc *		31,302
	30,300	CI Financial Corp		587,492
	3,800	Cogeco Inc		191,231
	500	Cominar Real Estate Investment Trust		4,685
	2,700	Corus Entertainment Inc – B Shares		12,973
	8,100	Dollarama Inc		934,880

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	5,040	Dream Industrial Real Estate Investment Trust		42,291
	22,300	Empire Co Ltd – A Shares		429,283
	2,800	IAMGOLD Corp *		17,492
	1,800	IGM Financial Inc		53,198
	16,100	Industrial Alliance Insurance & Financial Services Inc		658,106
	33,100	Just Energy Group Inc		122,791
	17,300	Labrador Iron Ore Royalty Corp		319,955
	900	Laurentian Bank of Canada		31,374
	50,500	Magna International Inc		3,238,138
	4,500	Martinrea International Inc		53,968
	14,100	Medical Facilities Corp		153,984
	87,400	Metro Inc		2,883,674
	4,600	North West Co Inc (The)		99,550
	9,200	Power Corp of Canada		214,354
	37,800	Rogers Sugar Inc		157,719
	206,600	Royal Bank of Canada		15,615,302
	50,700	Russel Metals Inc		1,146,087
	27,300	Sun Life Financial Inc		1,128,341
	88,600	Sun Life Financial Inc		3,661,838
	3,000	Toromont Industries Ltd		134,683
	8,300	Toronto-Dominion Bank (The)		484,583
	71,400	Transcontinental Inc – Class A		1,609,061
	3,900	Valener Inc		61,571
	11,200	Wajax Corp		216,468
	47,200	West Fraser Timber Co Ltd		3,430,245
	1,800	WestJet Airlines Ltd		27,779
	2,900	Westshore Terminals Investment Corp		51,442
	9,400	ZCL Composites Inc		66,697
		Total Canada		44,690,545
		Chile — 0.0%
	42,485	AES Gener SA		11,111
	3,516	Inversiones La Construccion SA		60,802
		Total Chile		71,913
		China — 5.5%
	88,000	361 Degrees International Ltd		27,642
	6,000	AAC Technologies Holdings Inc		89,062
	1,728,000	Agile Group Holdings Ltd		3,264,448
	34,342,000	Agricultural Bank of China Ltd – Class H		17,629,318
	5,300	Alibaba Group Holding Ltd Sponsored ADR *		1,049,453
	607,500	Anhui Conch Cement Co Ltd – Class H		3,709,484
	36,000	Anhui Expressway Co Ltd – Class H		25,083
	17,000	ANTA Sports Products Ltd		98,115
	1,452,500	BAIC Motor Corp Ltd – Class H		1,396,894
	8,668,000	Bank of China Ltd – Class H		4,526,362
	5,497,000	Bank of Communications Co Ltd – Class H		4,335,473
	44,000	Baoye Group Co Ltd – Class H *		32,213

Shares		Description	Value ($)
		China — continued
	8,000	Beijing Capital International Airport Co Ltd – Class H		11,776
	175,000	Cabbeen Fashion Ltd		68,057
	15,975	Changyou.com Ltd ADR		299,212
	60,000	Chaowei Power Holdings Ltd		34,742
	3,776,000	China CITIC Bank Corp Ltd – Class H		2,552,162
	6,486,000	China Communications Services Corp Ltd – Class H		4,164,158
	3,115,000	China Construction Bank Corp – Class H		3,135,310
	3,482,000	China Everbright Bank Co Ltd – Class H		1,727,792
	2,154,000	China Greenfresh Group Co Ltd		343,238
	4,040,000	China Huarong Asset Management Co Ltd – Class H		1,354,053
	60,000	China Jinmao Holdings Group Ltd		33,897
	2,915,000	China Lesso Group Holdings Ltd		2,054,936
	2,850,000	China Machinery Engineering Corp – Class H		1,572,471
	94,000	China Medical System Holdings Ltd		225,584
	107,500	China Mobile Ltd		962,382
	5,194,900	China National Building Material Co Ltd – Class H *		5,904,766
	162,000	China Overseas Land & Investment Ltd		538,290
	18,760,000	China Petroleum & Chemical Corp – Class H		18,249,336
	13,900	China Petroleum & Chemical Corp ADR		1,354,555
	162,000	China Pioneer Pharma Holdings Ltd		53,679
	9,381,500	China Railway Construction Corp Ltd – Class H		10,598,115
	3,319,000	China Railway Group Ltd – Class H		2,669,129
	422,000	China Resources Cement Holdings Ltd		494,048
	106,000	China Resources Land Ltd		387,451
	360,500	China Resources Pharmaceutical Group Ltd		552,554
	1,730,500	China Shenhua Energy Co Ltd – Class H		4,501,614
	86,000	China Shineway Pharmaceutical Group Ltd		186,324
	28,076,000	China Telecom Corp Ltd – Class H		13,053,096
	70,000	China Vanke Co Ltd – Class H		248,809
	18,300	China Yuchai International Ltd		421,815
	2,876,000	Chongqing Rural Commercial Bank Co Ltd – Class H		1,913,153
	82,000	CIFI Holdings Group Co Ltd		63,132
	222,000	Country Garden Holdings Co Ltd		431,406
	100,000	Dah Chong Hong Holdings Ltd		53,540
	8,556,000	Dongfeng Motor Group Co Ltd – Class H		9,746,135
	9,000	ENN Energy Holdings Ltd		92,254
	139,000	Geely Automobile Holdings Ltd		390,332
	210,000	Guangdong Investment Ltd		352,502
	520,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		2,709,028
	4,107,600	Guangzhou R&F Properties Co Ltd – Class H		9,562,596
	2,133,000	Haier Electronics Group Co Ltd *		7,646,708
	21,000	Haitian International Holdings Ltd		59,598
	1,544,000	Harbin Electric Co Ltd – Class H		536,663

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		China — continued
	8,000	Hengan International Group Co Ltd		76,024
	165,000	Hi Sun Technology China Ltd		30,389
	360,000	Hisense Kelon Electrical Holdings Co Ltd – Class H		421,491
	800	Hollysys Automation Technologies Ltd		19,096
	900,000	Hua Hong Semiconductor Ltd		2,168,656
	3,295,000	Huabao International Holdings Ltd		2,168,463
	5,000	IGG Inc		7,807
	2,276,000	Industrial and Commercial Bank of China Ltd – Class H		1,879,925
	494,000	Jiangsu Expressway Co Ltd – Class H		742,214
	12,893	Jumei International Holding Ltd ADR *		33,522
	1,303,000	Kingboard Chemical Holdings Ltd		5,154,888
	1,575,500	Kingboard Laminates Holdings Ltd		2,072,574
	86,700	Legend Holdings Corp – Class H		275,297
	348,600	Livzon Pharmaceutical Group Inc – Class H (a)		2,500,296
	46,400	Logan Property Holdings Co Ltd		69,357
	78,500	Longfor Properties Co Ltd		233,757
	7,303,000	Lonking Holdings Ltd		3,652,804
	2,100	NetEase Inc ADR		479,472
	800	New Oriental Education & Technology Group Inc Sponsored ADR		79,576
	49,000	Nexteer Automotive Group Ltd		80,379
	19,000	Nine Dragons Paper Holdings Ltd		30,013
	136,000	People’s Insurance Co Group of China Ltd (The) – Class H		64,032
	144,000	PetroChina Co Ltd – Class H		118,715
	240,000	PICC Property & Casualty Co Ltd – Class H		421,032
	32,000	Ping An Insurance Group Co of China Ltd – Class H		311,737
	5,487,000	Postal Savings Bank of China Co Ltd – Class H		3,654,599
	1,235,000	Powerlong Real Estate Holdings Ltd		738,625
	102,000	Qingling Motors Co Ltd – Class H		33,995
	15,600	Red Star Macalline Group Corp Ltd – Class H		21,078
	278,000	Road King Infrastructure Ltd		534,129
	164,000	Shandong Weigao Group Medical Polymer Co Ltd – Class H		140,763
	711,000	Shanghai Industrial Holdings Ltd		1,884,431
	1,457,100	Shanghai Pharmaceuticals Holding Co Ltd – Class H		4,483,609
	88,000	Shenzhen Expressway Co Ltd – Class H		92,038
	2,787,000	Shimao Property Holdings Ltd		8,173,749
	17,100	SINA Corp *		1,553,022
	690,000	Sino Biopharmaceutical Ltd		1,738,140
	122,500	Sino-Ocean Group Holding Ltd		82,257
	1,693,000	Sinotruk Hong Kong Ltd		2,386,990
	127,000	Spring Real Estate Investment Trust		56,670
	1,632,000	SSY Group Ltd.		1,738,929
	40,400	Tencent Holdings Ltd		2,062,506

Shares		Description	Value ($)
		China — continued
	3,800	Tencent Holdings Ltd ADR		194,057
	267,500	Texhong Textile Group Ltd		462,998
	706,000	Tianjin Port Development Holdings Ltd		100,547
	398,000	Tianneng Power International Ltd		614,260
	2,074,000	TravelSky Technology Ltd – Class H		6,025,956
	3,325,000	Weichai Power Co Ltd – Class H		4,430,370
	523,000	Xinhua Winshare Publishing and Media Co Ltd – Class H *		405,770
	1,564,000	Xtep International Holdings Ltd		992,008
	192,000	Yuexiu Transport Infrastructure Ltd		150,954
	5,945,000	Yuzhou Properties Co Ltd		4,164,409
	370,000	Zhejiang Expressway Co Ltd – Class H		368,960
	100,000	Shenzhen Investment Ltd		42,274
		Total China		217,913,554
		Colombia — 0.1%
	144,314	Almacenes Exito SA		823,838
	176,500	Ecopetrol SA Sponsored ADR		3,792,985
		Total Colombia		4,616,823
		Czech Republic — 0.0%
	664	CEZ AS		16,603
	42,490	Moneta Money Bank AS		148,526
	252	Philip Morris CR AS		166,245
		Total Czech Republic		331,374
		Denmark — 0.2%
	8	AP Moeller – Maersk A/S – Class B		11,928
	273	Dfds A/S		16,227
	37,000	Novo Nordisk A/S Sponsored ADR		1,758,980
	109,852	Novo Nordisk A/S – Class B		5,221,095
	878	Royal Unibrew A/S		62,988
	2,528	Scandinavian Tobacco Group A/S		37,388
	3,687	Schouw & Co AB		331,740
		Total Denmark		7,440,346
		Egypt — 0.0%
	43,450	Alexandria Mineral Oils Co		30,300
	37,976	Global Telecom Holding SAE *		10,335
		Total Egypt		40,635
		Finland — 0.1%
	4,709	Cramo Oyj		105,745
	1,832	Finnair Oyj		22,789
	359	Kesko Oyj – B Shares		21,097
	12,344	Neste Oyj		1,008,753
	2,202	Stora Enso Oyj – R Shares		45,170
	117,940	UPM-Kymmene Oyj		4,329,205
		Total Finland		5,532,759

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		France — 1.6%
	159,233	Air France-KLM *		1,262,138
	6,556	Alten SA		661,694
	12,321	Amundi SA		900,618
	294,995	AXA SA		7,391,247
	125,112	BNP Paribas SA		7,773,946
	1,005	Bonduelle SCA		38,397
	176	Capgemini SE *		23,211
	18,443	Christian Dior SE		7,853,794
	99,123	CNP Assurances		2,321,206
	19,090	Coface SA		202,880
	128,494	Credit Agricole SA		1,766,960
	11,982	Derichebourg SA		72,864
	2,576	Gaztransport Et Technigaz SA		153,282
	5,918	IPSOS		202,101
	2,872	Jacquet Metal Service		91,077
	800	Kaufman & Broad SA		37,614
	18,051	L’Oreal SA		4,347,384
	1,047	Mersen SA		44,622
	2,937	Metropole Television SA		62,080
	3,147	MGI Coutier		101,765
	77,431	Natixis SA		560,399
	679	Neopost SA		18,880
	7,417	Rallye SA		98,079
	23,169	Sanofi		1,775,994
	36,800	Sanofi ADR		1,408,336
	59,244	SCOR SE		2,182,639
	170,074	Societe Generale SA		7,340,823
	372,800	STMicroelectronics NV – NY Shares		8,898,736
	174,745	STMicroelectronics NV		4,166,595
	614	Vilmorin & Cie SA		41,276
		Total France		61,800,637
		Germany — 2.1%
	72,694	Allianz SE (Registered)		14,977,303
	447	Amadeus Fire AG		49,694
	53,662	BASF SE		5,298,323
	9,627	Bayer AG (Registered)		1,149,018
	147,593	Bayerische Motoren Werke AG		14,748,102
	4,253	Cewe Stiftung & Co KGAA		420,982
	55,064	Covestro AG		5,016,478
	229,047	Daimler AG (Registered Shares)		16,546,405
	474,729	Deutsche Lufthansa AG (Registered)		12,883,607
	12,460	Deutsche Pfandbriefbank AG *		189,798
	161	Duerr AG		16,164
	1,256	Elmos Semiconductor AG		38,733
	5,751	Henkel AG & Co KGaA		648,455
	4,030	Isra Vision AG		204,689
	1,441	Koenig & Bauer AG		110,448
	3,913	Leoni AG		234,827
	498	ProSiebenSat.1 Media SE		14,642
	154	Rheinmetall AG		19,611

Shares		Description	Value ($)
		Germany — continued
	74,708	RWE AG		1,694,507
	33,875	SAP AG		3,815,923
	8,128	Software AG		387,833
	1,582	STADA Arzneimittel AG		149,955
	23,340	Talanx AG		898,951
	13,558	Volkswagen AG		2,510,950
	3,256	Wacker Neuson SE		98,863
	654	Washtec AG		59,862
	2,753	Wuestenrot & Wuerttembergische AG		60,982
		Total Germany		82,245,105
		Greece — 0.0%
	12,055	FF Group *		67,288
	27,935	Mytilineos Holdings SA *		296,755
		Total Greece		364,043
		Hong Kong — 0.9%
	1,319,400	BOC Hong Kong Holdings Ltd		6,604,470
	833,400	Champion (REIT)		581,383
	65,500	CK Asset Holdings Ltd		544,451
	41,700	Dah Sing Banking Group Ltd		95,519
	4,000	Dah Sing Financial Holdings Ltd		26,350
	163,000	Fortune Real Estate Investment Trust		196,958
	4,000	Henderson Land Development Co Ltd		26,219
	40,000	HKT Trust & HKT Ltd – Class SS		50,421
	122,100	Hysan Development Co Ltd		704,410
	1,071,638	I-CABLE Communications Ltd *		22,923
	20,000	Johnson Electric Holdings Ltd		61,022
	174,300	Kerry Properties Ltd		929,547
	165,400	Link (REIT)		1,457,284
	71,800	Luk Fook Holdings International Ltd		326,756
	10,000	Minth Group Ltd		45,761
	29,700	New World Development Co Ltd		45,355
	2,046,900	SJM Holdings Ltd		2,923,595
	14,300	SmarTone Telecommunications Holdings Ltd		15,999
	2,000	Swire Pacific Ltd – Class A		20,561
	1,000	Television Broadcasts Ltd		3,397
	7,669,500	WH Group Ltd		7,857,582
	768,100	Wharf Holdings Ltd (The)		2,470,927
	644,100	Wharf Real Estate Investment Co Ltd		4,952,608
	422,500	Wheelock & Co Ltd		3,173,156
	55,425	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		15,472
	18,000	Xinyi Glass Holdings Ltd		24,655
	164,900	Yue Yuen Industrial Holdings Ltd		508,599
		Total Hong Kong		33,685,380
		Hungary — 0.1%
	733,294	Magyar Telekom Telecommunications Plc		1,113,873
	88,290	Richter Gedeon Nyrt		1,729,476
		Total Hungary		2,843,349

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		India — 1.5%
	565	ACC Ltd		11,370
	110,959	Andhra Bank *		59,336
	31,638	Aurobindo Pharma Ltd		260,172
	14,333	Balmer Lawrie & Co Ltd		48,582
	41,577	Bharat Electronics Ltd		70,141
	11,377	Castrol India Ltd		29,126
	44,513	Chambal Fertilizers and Chemicals Ltd		111,606
	1,679	Cholamandalam Investment and Finance Co Ltd		38,273
	9,421	City Union Bank Ltd		27,372
	12,475	Divi’s Laboratories Ltd		193,881
	354,031	Firstsource Solutions Ltd *		380,002
	4,864	Gujarat Industries Power Co Ltd		6,939
	6,240	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		44,044
	7,479	Gujarat State Petronet Ltd		19,827
	887,717	HCL Technologies Ltd		11,926,462
	21,449	Hero MotoCorp Ltd		1,127,508
	426,566	Hexaware Technologies Ltd		2,762,229
	21,257	Hindustan Petroleum Corp Ltd		98,418
	54,456	Hindustan Unilever Ltd		1,297,130
	108,196	HT Media Ltd		129,016
	18,105	IDFC Bank Ltd		10,902
	1,937	Indian Bank		9,673
	806,464	Indian Oil Corp Ltd		2,084,842
	16,634	Infosys Ltd		303,105
	5,000	Infosys Ltd Sponsored ADR		90,950
	118,151	Jaypee Infratech Ltd *		9,499
	23,749	Karnataka Bank Ltd (The)		42,171
	12,597	KPIT Technologies Ltd		51,430
	36,596	Larsen & Toubro Infotech Ltd		950,506
	2,258	Mahanagar Gas Ltd		27,425
	77,266	Maruti Suzuki India Ltd		9,776,098
	14,201	Mastek Ltd		110,859
	3,290	Merck Ltd		113,885
	11,485	Mindtree Ltd		171,457
	6,303	MOIL Ltd		17,396
	79,623	Mphasis Ltd		1,294,133
	77,100	NHPC Ltd		30,385
	143,239	NIIT Technologies Ltd		2,381,371
	18,962	NMDC Ltd		32,865
	891,640	Oil & Natural Gas Corp Ltd		2,347,208
	10,626	Oil India Ltd		34,074
	1,069	Oracle Financial Services Software Ltd *		60,586
	2,838	Pidilite Industries Ltd		48,357
	1,301	Piramal Enterprises Ltd		45,961
	2,195,467	Power Finance Corp Ltd		2,635,876
	812,444	PTC India Ltd		1,021,368
	444,813	Reliance Capital Ltd		2,743,475
	3,690	Repco Home Finance Ltd		32,084
	3,291,487	Rural Electrification Corp Ltd		5,754,475
	155,794	Sonata Software Ltd		868,776

Shares		Description	Value ($)
		India — continued
	20,600	Srei Infrastructure Finance Ltd		23,509
	5,370	Tata Chemicals Ltd		58,964
	4,342	Tata Motors Ltd – Class A *		10,919
	230,382	Tata Steel Ltd		1,968,765
	96,946	Tech Mahindra Ltd		1,018,075
	14,718	Uflex Ltd		66,713
	40,975	Vakrangee Ltd		19,795
	55,146	VIP Industries Ltd		344,430
	738,031	Wipro Ltd		2,881,778
		Total India		58,135,574
		Indonesia — 0.1%
	982,400	Adaro Energy Tbk PT		133,049
	78,500	Bank Central Asia Tbk PT		127,840
	301,600	Bank Mandiri Persero Tbk PT		152,268
	118,600	Bank Negara Indonesia Persero Tbk PT		72,118
	1,202,700	Bank Pembangunan Daerah Jawa Timur Tbk PT		59,566
	2,782,400	Bank Rakyat Indonesia Persero Tbk PT		614,604
	328,400	Bukit Asam Tbk PT		89,424
	743,300	Erajaya Swasembada Tbk PT		137,371
	38,100	Gudang Garam Tbk PT		187,399
	342,600	Harum Energy Tbk PT *		79,296
	1,079,300	Indo Tambangraya Megah Tbk PT		2,002,911
	29,100	Matahari Department Store Tbk PT		19,086
	1,112,400	Mitra Pinasthika Mustika Tbk PT		83,645
	6,154,600	Panin Financial Tbk PT *		98,244
	866,600	Ramayana Lestari Sentosa Tbk PT *		85,052
	1,029,400	Telekomunikasi Indonesia Persero Tbk PT		258,328
	2,200	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		54,362
	41,800	United Tractors Tbk PT		105,333
	67,400	XL Axiata Tbk PT *		10,146
		Total Indonesia		4,370,042
		Ireland — 0.0%
	12,200	ICON Plc *		1,573,556
		Israel — 0.0%
	8,692	Discount Investment Corp Ltd (Registered)		25,541
	566	Mizrahi Tefahot Bank Ltd		10,809
	7,636	Nova Measuring Instruments Ltd *		228,969
		Total Israel		265,319
		Italy — 1.0%
	9,186	A2A SPA		15,621
	38,149	ACEA SPA		596,066
	5,671	ASTM SPA		131,075
	127,818	Cofide SPA		72,753
	6,272	El.En. SPA		218,662

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	7,769	Enav SPA		37,458
	487,312	Enel SPA		2,678,183
	2,610	ERG SPA		54,330
	143,655	EXOR NV		10,433,602
	16,566	Falck Renewables SPA		37,935
	671,300	Fiat Chrysler Automobiles NV		15,594,299
	31,164	Fiat Chrysler Automobiles NV *		706,328
	37,665	Fincantieri SPA		59,834
	5,940	FinecoBank Banca Fineco SPA		59,242
	410,414	Iren SPA		1,020,828
	8,260	La Doria SPA		112,337
	11,925	MARR SPA		318,968
	2,326	Prima Industrie SPA		97,789
	84,516	Recordati SPA		3,127,140
	56,749	Saras SPA		127,474
	242,617	Societa Cattolica di Assicurazioni SC		2,087,128
	7,485	Societa Iniziative Autostradali e Servizi SPA		121,261
	700,494	Telecom Italia SPA-RSP		490,892
	11,076	Vittoria Assicurazioni SPA		180,373
		Total Italy		38,379,578
		Japan — 4.6%
	27,900	Aisin Seiki Co Ltd		1,399,498
	20,200	AOKI Holdings Inc		322,695
	3,200	Asahi Glass Co Ltd		130,552
	710,900	Asahi Kasei Corp		9,719,331
	335,400	Astellas Pharma Inc		5,193,905
	2,000	Autobacs Seven Co Ltd		36,356
	209,700	Brother Industries Ltd		4,368,636
	265,200	Canon Inc		9,043,177
	10,400	Cawachi Ltd		232,319
	200	Central Japan Railway Co		41,256
	30,000	CKD Corp		617,928
	15,900	Cosmo Energy Holdings Co Ltd		537,681
	1,000	Daihen Corp		7,063
	400	Daiichi Sankyo Co Ltd		12,801
	5,100	Daiwabo Holdings Co Ltd		284,555
	69,000	DCM Holdings Co Ltd		691,464
	21,060	Denka Co Ltd		768,826
	6,900	Denso Corp		334,515
	5,100	DIC Corp		165,957
	2,600	Doutor Nichires Holdings Co Ltd		52,959
	11,500	DTS Corp		457,624
	1,100	Duskin Co Ltd		26,592
	8,200	Ehime Bank Ltd (The)		92,835
	9,500	Elecom Co Ltd		244,669
	5,900	Exedy Corp		185,134
	23,700	Fancl Corp		1,090,506
	16,000	Fuji Electric Co Ltd		113,413
	3,800	Fujicco Co Ltd		92,912
	1,100	FUJIFILM Holdings Corp		42,093

Shares		Description	Value ($)
		Japan — continued
	1,400	Fujitsu General Ltd		21,712
	933,000	Fujitsu Ltd		5,689,019
	1,400	Fuyo General Lease Co Ltd		100,677
	900	Gree Inc		5,114
	900	Hamakyorex Co Ltd		30,251
	34,960	Hanwa Co Ltd		1,469,501
	2,500	Heiwado Co Ltd		60,368
	1,755,000	Hitachi Ltd		12,777,740
	1,500	Hitachi Transport System Ltd		40,283
	5,300	Honda Motor Co Ltd		168,196
	1,700	Hosokawa Micron Corp		105,737
	32,700	House Foods Group Inc		1,195,419
	947,600	ITOCHU Corp		17,731,268
	26,800	Itochu Techno-Solutions Corp		484,176
	1,000	Japan Aviation Electronics Industry Ltd		16,562
	3,100	JFE Holdings Inc		63,786
	4,100	JSR Corp		79,664
	1,500	JTEKT Corp		21,743
	6,000	Kajima Corp		48,820
	300	Kaken Pharmaceutical Co Ltd		16,567
	2,000	Kaneka Corp		20,528
	90,600	Kanematsu Corp		1,397,290
	1,400	Kasai Kogyo Co Ltd		18,614
	1,110	Kawasaki Kisen Kaisha Ltd *		22,777
	3,100	Keihin Corp		60,153
	4,100	Kirin Holdings Co Ltd		116,147
	26,800	Kitz Corp		239,023
	1,400	Kokuyo Co Ltd		26,160
	16,500	Kyowa Exeo Corp(a)		430,843
	800	Kyudenko Corp		38,430
	4,300	Leopalace21 Corp		29,548
	366,500	Marubeni Corp		2,843,088
	33,000	MCJ Co Ltd		535,074
	1,586,500	Mitsubishi Chemical Holdings Corp		14,610,516
	54,500	Mitsubishi Corp		1,510,549
	629,900	Mitsubishi Electric Corp		8,926,793
	106,600	Mitsubishi Gas Chemical Co Inc		2,707,448
	197,600	Mitsubishi Tanabe Pharma Corp		3,529,023
	27,100	Mitsui & Co Ltd		475,568
	59,800	Mitsui Chemicals Inc		1,722,731
	3,100	Mitsui Engineering & Shipbuilding Co Ltd *		41,240
	6,000	Mitsui Sugar Co Ltd		200,987
	9,000	Mitsui Mining & Smelting Co Ltd		391,650
	300	Modec Inc		8,121
	1,100	Nachi-Fujikoshi Corp		52,403
	8,300	NET One Systems Co Ltd		134,772
	1,200	NHK Spring Co Ltd		11,797
	59,000	Nichias Corp		739,419
	23,800	Nichiha Corp		946,444
	37,800	Nippo Corp		729,248

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	357,500	Nippon Telegraph & Telephone Corp		16,701,278
	2,500	Nippon Signal Co Ltd		23,034
	4,700	Nishi-Nippon Financial Holdings Inc		54,473
	3,000	Nisshin Oillio Group Ltd (The)		85,520
	1,600	Nisshin Seifun Group Inc		33,692
	17,200	Nisshinbo Holdings Inc		207,676
	3,900	Nissin Electric Co Ltd		36,570
	1,500	Nomura Real Estate Holdings Inc		35,032
	14,200	Noritsu Koki Co Ltd		250,759
	3,400	NSK Ltd		38,469
	15,800	NTT DOCOMO Inc		407,512
	2,600	Okamura Corp		39,017
	17,000	Open House Co Ltd		1,067,021
	1,600	Osaka Gas Co Ltd		34,837
	17,900	Osaki Electric Co Ltd		136,954
	83,100	Pola Orbis Holdings Inc		4,097,434
	2,200	Press Kogyo Co Ltd		12,061
	203,000	Prima Meat Packers Ltd		1,212,946
	1,900	Rion Co Ltd		40,809
	900	Rock Field Co Ltd		16,071
	28,400	Rohto Pharmaceutical Co Ltd		912,853
	6,600	Roland DG Corp		145,395
	1,400	Sakata INX Corp		19,657
	10,000	Seiko Holdings Corp		237,603
	1,600	Seiren Co Ltd		29,300
	234,200	Sekisui Chemical Co Ltd		3,836,094
	1,100	Showa Corp		19,696
	24,100	Showa Denko KK (a)		1,035,087
	1,378,400	Sojitz Corp		4,892,574
	1,238,000	Sumitomo Chemical Co Ltd		7,452,319
	2,100	Sumitomo Dainippon Pharma Co Ltd		43,480
	1,100	Sumitomo Electric Industries Ltd		16,545
	32,300	Sumitomo Forestry Co Ltd		491,867
	28,840	Sumitomo Heavy Industries Ltd		1,014,184
	1,900	T RAD Co Ltd		62,514
	800	T&D Holdings Inc		12,573
	25,200	T-Gaia Corp		706,175
	1,600	Takasago International Corp		50,631
	57,200	Takeda Pharmaceutical Co., Ltd		2,325,294
	6,200	Tatsuta Electric Wire and Cable Co Ltd		34,433
	18,600	Tocalo Co Ltd		224,903
	600	Token Corp		56,978
	33,900	Tokyo Electron Ltd		6,326,110
	6,100	Tokyu Construction Co Ltd		61,534
	3,000	Toshiba Machine Co Ltd		16,682
	231,900	Tosoh Corp		4,046,295
	1,400	Toyo Suisan Kaisha Ltd		49,811
	1,900	Toyoda Gosei Co Ltd		49,836
	109,200	Toyota Tsusho Corp		3,752,030
	11,700	TPR Co Ltd		300,980
	27,900	TS Tech Co Ltd		1,222,288
	7,200	TSI Holdings Co Ltd		50,283

Shares		Description	Value ($)
		Japan — continued
	400	Tsumura & Co		14,523
	900	TV Asahi Holdings Corp		19,236
	1,100	Ube Industries Ltd		31,170
	9,800	UKC Holdings Corp		199,037
	1,300	Unipres Corp		27,495
	12,500	Wacoal Holdings Corp		371,330
	1,800	Yamaha Motor Co Ltd		51,890
	700	Yellow Hat Ltd		20,634
	12,300	Yuasa Trading Co Ltd		413,958
		Total Japan		184,126,681
		Malaysia — 0.1%
	232,700	DRB-Hicom Berhad		101,901
	2,000	Fraser & Neave Holdings Berhad		19,013
	156,500	KSL Holdings Berhad *		34,432
	132,600	Malayan Flour Mills Berhad		46,712
	32,900	Malaysian Pacific Industries Berhad		82,407
	193,600	Padini Holdings Berhad		279,423
	69,400	Sapura Energy Berhad *		9,590
	586,900	Supermax Corp Berhad		452,123
	914,300	Top Glove Corp Berhad		2,350,636
	77,600	UOA Development Berhad		50,372
	53,600	YTL Power International Berhad		11,038
		Total Malaysia		3,437,647
		Mexico — 0.5%
	460,700	Arca Continental SAB de CV		2,771,871
	16,000	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand – Class B		20,922
	200,229	Bolsa Mexicana de Valores SAB de CV		325,271
	200	Coca-Cola Femsa SAB de CV Sponsored ADR		11,692
	48,100	Corp Inmobiliaria Vesta SAB de CV		60,412
	63,400	Genomma Lab Internacional SAB de CV – Class B *		53,658
	75,900	Gentera SAB de CV		58,491
	9,350	Grupo Aeroportuario del Centro Norte SAB de CV		44,494
	200	Grupo Aeroportuario del Centro Norte SAB de CV ADR		7,616
	4,300	Grupo Aeroportuario del Pacifico SAB de CV – Class B		36,673
	25,800	Grupo Financiero Inbursa SAB de CV – Class O		36,453
	2,300	Grupo Financiero Interacciones SA de CV – Class O *		10,402
	171,042	Grupo Herdez SAB de CV		337,888
	18,700	Grupo Lala SAB de CV		20,374
	76,100	Megacable Holdings SAB de CV CPO		325,276
	5,330	Promotora y Operadora de Infraestructura SAB de CV *		47,852

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Mexico — continued
	6,256,438	Wal-Mart de Mexico SAB de CV		15,756,651
		Total Mexico		19,925,996
		Netherlands — 0.5%
	52	Akzo Nobel NV		4,565
	17,909	ASR Nederland NV		757,244
	3,021	ForFarmers NV		40,758
	28,366	Heineken Holding NV		2,763,338
	833,853	ING Groep NV		12,144,832
	90	Koninklijke DSM NV		8,967
	1,862	NN Group NV		80,002
	39,728	Signify NV		1,132,262
	58,943	Wolters Kluwer NV		3,311,193
		Total Netherlands		20,243,161
		New Zealand — 0.0%
	652,151	Air New Zealand Ltd		1,426,646
	7,251	Fletcher Building Ltd		33,426
		Total New Zealand		1,460,072
		Norway — 0.5%
	1,793	Aker ASA – A Shares		127,649
	15,525	Austevoll Seafood ASA		186,007
	25,729	Bakkafrost P/F		1,348,947
	2,589	Borregaard ASA		28,732
	53,854	BW LPG Ltd *		224,671
	469,929	DNB ASA		8,422,570
	181,272	Equinor ASA		4,765,218
	21,105	Kvaerner ASA *		46,341
	1,635	Salmar ASA		71,286
	19,206	SpareBank 1 Nord Norge		132,301
	10,671	SpareBank 1 SR Bank ASA		102,317
	176,698	Storebrand ASA		1,445,447
	225,108	Subsea 7 SA		3,431,289
	25,238	Telenor ASA		519,875
	13,044	TGS NOPEC Geophysical Co ASA		437,395
		Total Norway		21,290,045
		Pakistan — 0.0%
	13,100	Engro Corp Ltd		34,609
	38,000	Engro Fertilizers Ltd		24,461
	29,500	Oil & Gas Development Co Ltd		41,554
	6,350	Pakistan Oilfields Ltd		37,045
		Total Pakistan		137,669
		Peru — 0.0%
	800	Credicorp Ltd		177,136
		Philippines — 0.0%
	107,500	First Gen Corp		30,691
	269,200	Lopez Holding Corp		19,558

Shares		Description	Value ($)
		Philippines — continued
	20,720	Manila Electric Co		127,151
	169,800	Manila Water Co Inc		91,641
	379,000	Megaworld Corp		35,039
		Total Philippines		304,080
		Poland — 0.1%
	108,611	Asseco Poland SA		1,346,001
	607	Bank Zachodni WBK SA		56,834
	19,146	Enea SA		52,998
	401,832	Energa SA		1,025,146
	66,040	Impexmetal SA *		75,386
	24,932	PGE Polska Grupa Energetyczna SA *		66,221
	6,759	Polski Koncern Naftowy ORLEN SA		149,055
	39,649	Polskie Gornictwo Naftowe i Gazownictwo SA		61,457
	12,277	Powszechny Zaklad Ubezpieczen SA		120,380
		Total Poland		2,953,478
		Portugal — 0.0%
	8,135	CTT-Correios de Portugal SA		26,976
	144,891	Sonae SGPS SA		178,878
		Total Portugal		205,854
		Qatar — 0.0%
	20,433	Barwa Real Estate Co		192,261
	7,847	Doha Bank QPSC		56,092
	10,166	Masraf Al Rayan QSC		93,329
	584	Qatar Electricity & Water Co QSC		30,480
	5,285	Qatar Gas Transport Co Ltd		21,337
	5,364	Qatar Insurance Co SAQ		48,455
	2,043	Qatar Islamic Bank SAQ		64,394
	5,956	Qatar National Bank QPSC		258,926
	1,678	Qatar Navigation QSC		29,003
		Total Qatar		794,277
		Russia — 0.5%
	6,125	TCS Group Holding Plc GDR (Registered)		124,803
	185,600	Aeroflot PJSC		418,798
	514,500	Alrosa PJSC		728,223
	1,327,000	ENEL RUSSIA PJSC		30,199
	16,562	Evraz Plc		112,165
	18,200	Gazprom Neft PJSC		93,846
	458,310	Gazprom PJSC Sponsored ADR		2,076,044
	16,384	Globaltrans Investment Plc Sponsored GDR (Registered)		163,076
	3,048,000	Inter RAO UES PJSC		199,826
	24,682	LUKOIL PJSC Sponsored ADR		1,644,061
	14,840	M.Video PJSC *		96,963
	2,380	Magnit PJSC Sponsored GDR (Registered)		47,807
	188,800	Magnitogorsk Iron & Steel OJSC		148,510

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	4,588	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		46,847
	70,811	MegaFon PJSC GDR (Registered)		624,841
	4,640	MegaFon PJSC *		35,160
	102,335	MMC Norilsk Nickel PJSC ADR		1,813,596
	229,400	Mobile TeleSystems PJSC Sponsored ADR		2,197,652
	349,700	Moscow Exchange MICEX-RTS PJSC		630,998
	12,810	Novatek PJSC		172,272
	8,424	Novatek PJSC Sponsered GDR (Registered)		1,211,915
	77,500	Novolipetsk Steel PJSC		202,332
	24,024	Novolipetsk Steel PJSC GDR		629,589
	1,625	PhosAgro PJSC GDR (Registered)		21,574
	1,116	Polyus PJSC		67,075
	4,512	Polyus PJSC GDR (Registered)		137,598
	14,700	QIWI Plc Sponsored ADR		239,316
	397,650	Rostelecom PJSC		420,473
	1,611	Rostelecom PJSC Sponsored ADR		10,402
	109,000	Sberbank of Russia PJSC		385,859
	200,935	Sberbank of Russia Sponsored ADR		2,881,401
	8,990	Severstal PJSC		144,447
	23,869	Severstal PJSC GDR (Registered)		379,058
	24,800	Surgutneftegas OJSC		11,393
	11,635	Surgutneftegas OJSC Sponsored ADR		51,658
	38,890	Tatneft PJSC		415,882
	9,055	Tatneft PJSC Sponsored ADR		577,877
		Total Russia		19,193,536
		Singapore — 0.1%
	19,400	CapitaLand Commercial Trust (REIT)		24,731
	19,100	China Aviation Oil Singapore Corp Ltd		23,163
	110,000	Frasers Centrepoint Trust (REIT)		179,520
	120,300	Japfa Ltd		49,782
	87,000	Mapletree Industrial Trust (REIT)		127,674
	17,300	Mapletree Logistics Trust (REIT)		15,860
	543,900	Mapletree North Asia Commercial Trust (REIT)		470,945
	15,700	Oversea-Chinese Banking Corp Ltd		146,379
	70,600	Parkway Life Real Estate Investment Trust		143,739
	500	SATS Ltd		1,919
	54,600	UMS Holdings Ltd		37,126
	215,800	Venture Corp Ltd		3,373,725
	827,200	Yangzijiang Shipbuilding Holdings Ltd		592,103
	416,600	Yanlord Land Group Ltd		524,277
		Total Singapore		5,710,943
		South Africa — 1.4%
	855	African Rainbow Minerals Ltd		7,354
	88,945	Astral Foods Ltd		1,879,557
	498,052	Aveng Ltd *		17,513

Shares		Description	Value ($)
		South Africa — continued
	679,409	Barclays Africa Group Ltd		8,638,070
	257,358	Barloworld Ltd		2,676,933
	3,730	Bidvest Group Ltd (The)		59,121
	1,616,217	Blue Label Telecoms Ltd		1,492,925
	6,864	Brait SE *		19,686
	399	Clicks Group Ltd		6,338
	2,862	DataTec Ltd		4,938
	1,715	Distell Group Ltd		17,320
	99,036	Emira Property Fund Ltd (REIT)		120,544
	19,661	FirstRand Ltd		92,506
	142,421	Kumba Iron Ore Ltd		3,235,905
	23,626	Lewis Group Ltd		62,016
	338,574	Liberty Holdings Ltd		3,221,339
	1,565,404	Merafe Resources Ltd		190,900
	33,464	Metair Investments Ltd		52,533
	134,463	MMI Holdings Ltd		197,327
	135,867	Mondi Ltd		3,735,871
	103,403	Mr Price Group Ltd		2,043,544
	481,149	Murray & Roberts Holdings Ltd		683,853
	478,332	Nedbank Group Ltd		10,264,335
	140,492	Raubex Group Ltd		251,017
	262,066	Reunert Ltd		1,626,679
	9,648	Santam Ltd		234,352
	17,829	Sibanye Gold Ltd *		11,050
	852,142	Standard Bank Group Ltd		13,863,476
	211,205	Steinhoff International Holdings NV *		18,582
	3,119	Sun International Ltd *		16,669
	13,951	Truworths International Ltd		92,464
	67,591	Wilson Bayly Holmes-Ovcon Ltd		826,294
		Total South Africa		55,661,011
		South Korea — 2.2%
	2,119	Aekyung Petrochemical Co Ltd		25,236
	63,943	BNK Financial Group Inc		563,767
	233	Celltrion Pharm Inc *		19,983
	4,118	Chong Kun Dang Pharmaceutical Corp		399,899
	3,290	CJ O Shopping Co Ltd		679,025
	824	Com2uSCorp		146,208
	17,862	Daishin Securities Co Ltd		224,513
	11,089	Daou Data Corp		125,765
	10,995	Daou Technology Inc		263,915
	11,381	DB Insurance Co Ltd		617,335
	12,405	DGB Financial Group Inc		118,824
	13,190	Dongwha Pharm Co Ltd		139,655
	24,043	Dongwon Development Co Ltd		100,389
	122	Douzone Bizon Co Ltd		4,953
	9,817	E-MART Inc		2,271,673
	3,650	F&F Co Ltd		215,891
	27,607	Grand Korea Leisure Co Ltd		700,194
	7,735	Green Cross Holdings Corp		272,029
	4,309	GS Home Shopping Inc		676,455
	58,348	Hana Financial Group Inc		2,248,787
	7,785	Hankook Tire Co Ltd		309,008

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	16,201	Hankook Tire Worldwide Co Ltd		269,281
	357	Hanwha Aerospace Co Ltd *		10,979
	1,455	Hanwha Corp		48,465
	104,366	Hanwha Life Insurance Co Ltd		539,066
	158	HLB Inc *		20,143
	8,956	Hyundai Corp		332,283
	219	Hyundai Glovis Co Ltd		27,257
	1,966	Hyundai Home Shopping Network Corp		194,031
	10,462	Hyundai Hy Communications & Network Co Ltd		42,230
	45,267	Hyundai Marine & Fire Insurance Co Ltd		1,429,892
	3,797	Hyundai Mobis Co Ltd		765,872
	230	Hyundai Wia Corp		10,755
	547,756	Industrial Bank of Korea		7,908,521
	2,479	Innocean Worldwide Inc		150,873
	76,074	JB Financial Group Co Ltd		426,953
	17,119	Kangwon Land Inc		426,155
	112,779	KB Financial Group Inc		5,424,520
	187,055	Kia Motors Corp		5,396,492
	4,450	KISCO Corp		35,221
	15,538	Korea Asset In Trust Co Ltd		76,398
	5,920	Korea United Pharm Inc		140,741
	929	Korea Zinc Co Ltd		349,258
	16,802	Korean Reinsurance Co		197,768
	8,335	KT Hitel Co Ltd *		43,655
	6,301	KT Skylife Co Ltd		74,990
	13,453	KT&G Corp		1,197,912
	25,588	Kwang Dong Pharmaceutical Co Ltd		190,714
	14,392	Kwangju Bank Co Ltd		145,945
	4,218	Kyobo Securities Co Ltd		39,205
	41,199	LF Corp		1,100,119
	60,145	LG Corp		4,088,378
	64,407	LG Electronics Inc		5,521,226
	37,048	LOTTE Himart Co Ltd		2,701,252
	6,289	Meritz Financial Group Inc		82,979
	2,494	Meritz Fire & Marine Insurance Co Ltd		47,354
	22,574	Meritz Securities Co Ltd		85,144
	476	NHN Entertainment Corp *		29,168
	39	Pearl Abyss Corp *		8,075
	2,127	Posco Daewoo Corp		45,098
	1,145	S&T Motiv Co Ltd		32,834
	12,268	Samjin Pharmaceutical Co Ltd		542,968
	4,035	Samsung Card Co Ltd		138,834
	20,900	Samsung Electronics Co Ltd		981,413
	1,153	Samsung Engineering Co Ltd *		19,653
	1,283	Samsung Fire & Marine Insurance Co Ltd		297,938
	4,226	Samsung SDS Co Ltd		822,891
	883	Samsung Securities Co Ltd		30,108
	1,553	Seah Besteel Corp		33,671
	417	SeAH Steel Corp		34,873
	16,124	Seoyon E-Hwa Co Ltd		113,629
	38,630	Shinhan Financial Group Co Ltd		1,576,773

Shares		Description	Value ($)
		South Korea — continued
	818	Sindoh Co Ltd		40,655
	505	SK Gas Ltd		46,772
	7,635	SK Holdings Co Ltd		1,955,735
	250,257	SK Hynix Inc		21,639,390
	1,890	SK Innovation Co Ltd		360,099
	2,374	SK Networks Co Ltd		10,922
	2,284	SK Telecom Co Ltd		469,762
	197,800	SK Telecom Co Ltd Sponsored ADR		4,513,796
	157	SKCKOLONPI Inc		6,446
	17,498	SL Corp		301,578
	379	Spigen Korea Co Ltd		16,647
	12,748	Tongyang Life Insurance Co Ltd		84,045
	1,084	Unid Co Ltd		58,148
	96	ViroMed Co Ltd *		23,445
	199,200	Woori Bank		2,821,571
		Total South Korea		86,722,468
		Spain — 0.4%
	15,978	Aena SME SA (a)		3,076,736
	14,862	Ebro Foods SA		361,337
	17,322	Ence Energia y Celulosa SA		136,395
	235,164	International Consolidated Airlines Group SA		2,137,161
	424,418	Repsol SA		8,088,532
		Total Spain		13,800,161
		Sweden — 0.8%
	33,973	Acando AB		124,856
	15,028	Alfa Laval AB		375,209
	3,817	Atlas Copco AB – A Shares		151,413
	857	Axfood AB		15,891
	15,435	Bilia AB – A Shares		123,129
	11,765	Bufab AB		157,909
	1,912	Castellum AB		30,677
	48,073	Electrolux AB – Series B		1,186,653
	478	Evolution Gaming Group AB		30,356
	3,186	Granges AB		41,111
	11,522	KappAhl AB		31,228
	16,474	Kindred Group Plc		208,519
	4,438	KNOW IT AB		92,790
	535	Loomis AB – Class B		20,434
	1,025	NCC AB – B Shares		18,871
	25,268	Nobina AB		169,634
	2,270	Nolato AB – B Shares		197,133
	2,423	Oriflame Holding AG		81,722
	7,609	Ratos AB – B Shares		24,975
	17,721	Resurs Holding AB		113,221
	569,623	Sandvik AB		9,879,506
	56,935	SAS AB *		121,664
	1,216	Securitas AB – B Shares		19,591
	2,387	SKF AB – B Shares		46,411
	403,655	Svenska Cellulosa AB – Class B		4,474,501

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Sweden — continued
	12,342	Swedish Match AB		585,377
	5,157	Tethys Oil AB		53,448
	5,157	Tethys Oil AB *		2,339
	10,437	Volvo AB – A Shares		179,158
	858,044	Volvo AB – B Shares		14,757,547
		Total Sweden		33,315,273
		Switzerland — 1.0%
	3,840	ALSO Holding AG (Registered) *		478,471
	546	Autoneum Holding AG		133,996
	389	Barry Callebaut AG (Registered)		681,370
	340	Bell Food Group AG (Registered)		114,057
	7,838	BKW AG		495,036
	4,729	Bobst Group SA (Registered)		513,745
	1,535	Bossard Holding AG (Registered) – A Shares		309,943
	2,071	Bucher Industries AG (Registered)		747,234
	640	Coltene Holding AG (Registered)		62,034
	1,059	Comet Holding AG (Registered) *		139,540
	44	Emmi AG (Registered)		37,993
	42,696	GAM Holding AG *		638,460
	2,696	Georg Fischer AG (Registered)		3,485,316
	30	Gurit Holding AG		25,312
	708	Inficon Holding AG (Registered) *		398,901
	23	Intershop Holding AG		11,805
	3,348	Kardex AG (Registered) *		512,829
	142	Kuehne & Nagel International AG (Registered)		21,438
	42	LEM Holding SA (Registered)		70,411
	10,289	Logitech International SA (Registered)		420,235
	611	Lonza Group AG (Registered) *		163,599
	3,500	Luxoft Holding Inc *		126,000
	47,493	Nestle SA (Registered)		3,589,635
	120,688	Novartis AG (Registered)		8,972,275
	2,393	Orior AG		213,730
	37,317	Roche Holding AG		8,001,201
	4,268	Roche Holding AG		931,363
	880	Sika AG (Registered) (a)		7,037,804
	63	Straumann Holding AG (Registered)		41,554
	692	Swiss Life Holding AG (Registered) *		236,035
	14,888	Swiss Re AG		1,280,230
	736	Swissquote Group Holding SA (Registered)		47,173
	961	Zehnder Group AG – Class RG		41,546
		Total Switzerland		39,980,271
		Taiwan — 3.0%
	298,000	AcBel Polytech Inc		193,571
	32,000	Actron Technology Corp		118,309
	37,000	Advantech Co Ltd		249,773
	23,000	Alpha Networks Inc		16,402
	123,000	AmTRAN Technology Co Ltd		52,671
	413,000	Ardentec Corp		475,850

Shares		Description	Value ($)
		Taiwan — continued
	28,000	ASE Industrial Holding Co Ltd		71,024
	39,000	Asia Pacific Telecom Co Ltd *		10,449
	502,000	Asia Vital Components Co Ltd		481,728
	494,000	Asustek Computer Inc		4,464,842
	8,400	Aurora Corp		25,256
	16,625	Casetek Holdings Ltd		41,575
	137,000	Catcher Technology Co Ltd		1,588,155
	389,000	Cathay Financial Holding Co Ltd		693,428
	252,000	Chailease Holding Co Ltd		894,721
	50,000	Channel Well Technology Co Ltd		53,628
	201,000	Cheng Shin Rubber Industry Co Ltd		305,105
	9,105	Chicony Electronics Co Ltd		21,454
	14,110	Chicony Power Technology Co Ltd		24,056
	110,000	Chin-Poon Industrial Co Ltd		145,387
	45,000	China Life Insurance Co Ltd		47,158
	306,000	China Motor Corp		296,761
	35,000	Chipbond Technology Corp		73,407
	8,000	Chlitina Holding Ltd		72,354
	10,000	Chong Hong Construction Co Ltd		31,168
	406,000	Chunghwa Telecom Co Ltd		1,475,543
	1,300	Chunghwa Telecom Co Ltd Sponsored ADR		47,099
	7,000	Cleanaway Co Ltd		44,890
	866,000	Compal Electronics Inc		567,518
	908,000	Coretronic Corp		1,249,284
	1,278,000	CTBC Financial Holding Co Ltd		917,074
	60,000	CTCI Corp		98,323
	96,000	Cyberlink Corp		239,054
	146,000	Darfon Electronics Corp		309,692
	58,000	Dynapack International Technology Corp		77,647
	6,040	Eclat Textile Co Ltd		73,588
	618,000	Elan Microelectronics Corp		995,608
	357,000	Elitegroup Computer Systems Co Ltd *		207,747
	12,000	Everlight Electronics Co Ltd		16,137
	233,000	Far EasTone Telecommunications Co Ltd		593,336
	113,000	Farglory Land Development Co Ltd		126,393
	15,000	FLEXium Interconnect Inc		43,340
	62,000	Formosa Advanced Technologies Co Ltd		81,080
	80,000	Formosa Chemicals & Fibre Corp		306,245
	62,000	Formosa Petrochemical Corp		250,498
	132,000	Formosa Plastics Corp		472,335
	84,600	Formosan Rubber Group Inc		42,187
	453,000	Foxconn Technology Co Ltd		1,112,890
	4,188,000	Fubon Financial Holding Co Ltd		7,258,619
	11,000	Gemtek Technology Corp		9,682
	1,780,000	Gigabyte Technology Co Ltd		4,682,793
	1,848,000	Grand Pacific Petrochemical		1,971,476
	1,456,000	Great Wall Enterprise Co Ltd		1,880,987
	79,000	Greatek Electronics Inc		142,726
	43,000	Green Seal Holding Ltd		48,268
	236,000	Highwealth Construction Corp		356,668
	28,000	Holiday Entertainment Co Ltd		54,667

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	873,000	Holtek Semiconductor Inc		2,147,754
	7,449,300	Hon Hai Precision Industry Co Ltd		21,253,199
	59,000	Huaku Development Co Ltd		139,354
	83,000	IEI Integration Corp		94,269
	52,000	Innolux Corp		20,070
	3,236,000	Inventec Corp		2,608,602
	74,000	ITEQ Corp		157,427
	30,000	King’s Town Bank Co Ltd		34,945
	1,000	Largan Precision Co Ltd		137,069
	947,000	Lite-On Semiconductor Corp		1,357,587
	519,000	Lite-On Technology Corp		676,681
	35,000	Lotes Co Ltd		221,187
	29,000	Makalot Industrial Co Ltd		131,256
	75,000	Mercuries Life Insurance Co Ltd		41,105
	8,000	Merida Industry Co Ltd		34,123
	20,000	Micro-Star International Co Ltd		82,683
	33,600	MIN AIK Technology Co Ltd		23,935
	1,651,000	Mitac Holdings Corp		1,808,208
	1,576,000	Nan Ya Plastics Corp		4,389,227
	4,000	Nien Made Enterprise Co Ltd		31,558
	539,000	Novatek Microelectronics Corp		2,427,598
	262,000	Nuvoton Technology Corp		579,131
	3,000	On-Bright Electronics, Inc.		28,564
	1,368,105	OptoTech Corp		1,160,794
	3,350,000	Pegatron Corp		7,052,118
	343,000	Phison Electronics Corp		3,138,461
	3,378,000	Pou Chen Corp		4,133,559
	4,000	President Chain Store Corp		40,923
	432,000	Quanta Computer Inc		762,414
	21,000	Quanta Storage Inc		19,624
	2,441,000	Radiant Opto-Electronics Corp		5,093,809
	157,000	Realtek Semiconductor Corp		597,707
	27,000	Rechi Precision Co Ltd		27,916
	111,000	Ruentex Development Co Ltd *		133,486
	185,000	Ruentex Industries Ltd *		377,525
	37,000	Sercomm Corp		85,119
	110,000	Sheng Yu Steel Co Ltd		95,182
	60,000	Shinkong Insurance Co Ltd		70,293
	17,000	ShunSin Technology Holding Ltd		89,757
	273,000	Sigurd Microelectronics Corp		339,807
	300	Silicon Motion Technology Corp Sponsored ADR		14,589
	114,800	Simplo Technology Co Ltd		715,849
	9,000	Sinbon Electronics Co Ltd		24,217
	30,000	Sinmag Equipment Corp		155,754
	53,000	Sitronix Technology Corp		160,940
	153,000	Soft-World International Corp		441,452
	2,000	St Shine Optical Co Ltd		53,114
	47,000	Standard Chemical & Pharmaceutical Co Ltd		54,345
	1,681,000	Sunplus Technology Co Ltd		866,612
	266,000	Syncmold Enterprise Corp		568,854

Shares		Description	Value ($)
		Taiwan — continued
	195,000	Synnex Technology International Corp		311,690
	14,700	TaiDoc Technology Corp		75,825
	245,000	Taiflex Scientific Co Ltd		367,370
	46,000	Taiwan Cement Corp		66,728
	48,000	Taiwan Mobile Co Ltd		176,204
	648,000	Taiwan Semiconductor Co Ltd		1,840,724
	276,000	Taiwan Semiconductor Manufacturing Co Ltd		2,060,753
	174,742	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		6,762,515
	269,000	Taiwan Surface Mounting Technology Corp		227,383
	21,000	Test Research Inc		44,986
	32,000	Tong Hsing Electronic Industries Ltd		124,693
	201,470	TOPBI International Holdings Ltd		741,745
	204,485	Topco Scientific Co Ltd		556,471
	24,000	Transcend Information Inc		68,751
	398,000	Tripod Technology Corp		1,125,728
	22,000	TXC Corp		27,454
	673,000	Uni-President Enterprises Corp		1,640,038
	112,000	United Integrated Services Co Ltd		239,418
	29,000	Wah Lee Industrial Corp		54,629
	42,000	Well Shin Technology Co Ltd		71,699
	3,398,312	Winbond Electronics Corp		2,265,311
	17,505	Wistron NeWeb Corp		41,713
	15,000	Xxentria Technology Materials Corp		40,332
	279,000	Yuanta Financial Holding Co Ltd		131,015
	102,000	Yungtay Engineering Co Ltd		169,724
	6,000	Zeng Hsing Industrial Co Ltd		25,991
		Total Taiwan		120,160,268
		Thailand — 0.9%
	229,200	Advanced Info Service Pcl NVDR		1,362,883
	68,300	Airports of Thailand Pcl NVDR		146,328
	306,400	Amata Corp Pcl NVDR		219,554
	285,500	AP Thailand Pcl NVDR		81,913
	215,000	Bangchak Petroleum Pcl NVDR		243,462
	16,000	Bangkok Bank Pcl (Foreign Registered) (b)		96,398
	14,700	Bangkok Bank Pcl NVDR		86,732
	87,200	Bangkok Dusit Medical Services Pcl NVDR		72,703
	89,100	Banpu Pcl NVDR		58,331
	162,700	Central Pattana Pcl NVDR		387,823
	455,900	Com7 PCL NVDR		259,632
	205,700	GFPT Pcl NVDR		77,112
	101,700	Glow Energy Pcl NVDR		270,309
	69,200	Hana Microelectronics Pcl NVDR		73,716
	1,807,700	Indorama Ventures Pcl NVDR		3,285,860
	202,000	Intouch Holdings Pcl NVDR		348,323
	47,700	Kasikornbank Pcl NVDR		285,063
	20,200	KCE Electronics pcl		20,522
	35,800	KCE Electronics Pcl NVDR		35,886

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Thailand — continued
	19,600	Kiatnakin Bank Pcl NVDR		42,096
	311,100	Krung Thai Bank Pcl NVDR		169,977
	310,900	LPN Development Pcl NVDR		94,085
	37,200	Malee Group Pcl (Foreign Registered)		18,306
	86,200	MC Group Pcl NVDR		35,844
	99,700	Mega Lifesciences Pcl (Foreign Registered)		128,934
	386,000	Mega Lifesciences Pcl NVDR		499,181
	147,500	Pruksa Holding Pcl NVDR		102,906
	185,000	PTT Exploration & Production Pcl NVDR		774,149
	1,537,800	PTT Global Chemical		4,281,330
	1,675,000	PTT Pcl (Foreign Registered)		2,721,982
	3,302,000	PTT Pcl NVDR		5,366,072
	3,435,700	Quality Houses Pcl NVDR		349,283
	84,300	Ratchaburi Electricity Generating Holding Pcl NVDR		136,563
	1,789,000	Sansiri Pcl NVDR		97,049
	74,700	Siam Cement Pcl (The) (Foreign Registered)		1,040,604
	27,300	Siam Cement Pcl (The) NVDR		380,301
	54,400	Siam Commercial Bank Pcl (The) NVDR		225,591
	433,200	Siamgas & Petrochemicals Pcl NVDR		134,243
	77,600	Somboon Advance Technology PCL		54,560
	20,300	Sri Trang Agro-Industry Pcl NVDR *		7,908
	1,625,100	Star Petroleum Refining Pcl		785,445
	71,800	STP & I Pcl NVDR *		11,045
	263,900	Supalai Pcl NVDR *		208,107
	11,514,300	Thai Beverage Pcl		6,571,282
	145,600	Thai Oil Pcl NVDR		418,466
	52,600	Thai Vegetable Oil Pcl NVDR		50,930
	835,700	Thanachart Capital Pcl (Foreign Registered)		1,343,791
	454,300	Thanachart Capital Pcl NVDR		730,506
	62,600	Tipco Asphalt Pcl NVDR		34,593
	323,200	TTW Pcl NVDR		124,944
	620,900	WHA Corp Pcl NVDR		85,078
		Total Thailand		34,437,701
		Turkey — 0.7%
	96,423	Adana Cimento Sanayii TAS – Class C		21,932
	66,217	Akbank Turk AS		117,418
	6,659	Aksa Akrilik Kimya Sanayii AS		16,966
	12,628	Alarko Holding AS *		13,291
	112,180	Albaraka Turk Katilim Bankas AS		33,711
	10,637	Arcelik AS		39,056
	27,547	Aselsan Elektronik Sanayi Ve Ticaret AS		143,611
	7,050	Aygaz AS		18,855
	23,429	BIM Birlesik Magazalar AS		358,367
	101,338	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		76,779
	1,862,002	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		851,367
	122,229	Enka Insaat ve Sanayi AS		120,444

Shares		Description	Value ($)
		Turkey — continued
	1,903,896	Eregli Demir ve Celik Fabrikalari TAS		4,724,128
	49,203	Ford Otomotiv Sanayi AS		696,485
	148,944	Haci Omer Sabanci Holding AS		307,016
	66,057	Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim AS *		97,767
	75,880	Is Gayrimenkul Yatirim Ortakligi AS (REIT)		16,763
	1,494,162	KOC Holding AS		4,609,059
	1,327	Mavi Giyim Sanayi Ve Ticaret AS		14,285
	5,302	Otokar Otomotiv Ve Savunma Sanayi AS		90,525
	155,008	Petkim Petrokimya Holding AS		161,244
	90,907	Selcuk Ecza Deposu Ticaret ve Sanayi AS		77,900
	397,313	Soda Sanayii AS		465,684
	44,884	TAV Havalimanlari Holding AS		217,805
	52,919	Tekfen Holding AS		177,011
	9,200	Tofas Turk Otomobil Fabrikasi AS		50,795
	26,330	Trakya Cam Sanayii AS		23,282
	24,536	Tupras Turkiye Petrol Rafineriler AS		575,344
	10,235	Turk Hava Yollari AO *		37,657
	15,477	Turk Telekomunikasyon AS *		20,272
	1,260	Turk Traktor ve Ziraat Makineleri AS		16,306
	71,906	Turkcell Iletisim Hizmetleri AS		190,376
	418,759	Turkiye Garanti Bankasi AS		824,273
	221,602	Turkiye Halk Bankasi AS		376,003
	6,487,000	Turkiye Is Bankasi – Class C		8,539,742
	472,470	Turkiye Sinai Kalkinma Bankasi AS		127,376
	32,448	Turkiye Sise ve Cam Fabrikalari AS		28,535
	1,207,913	Turkiye Vakiflar Bankasi TAO – Class D		1,459,784
	38,315	Vestel Elektronik Sanayi ve Ticaret AS *		75,007
	62,134	Yapi ve Kredi Bankasi AS *		55,175
		Total Turkey		25,867,396
		United Arab Emirates — 0.0%
	114,502	Aldar Properties PJSC		63,849
	310,129	DAMAC Properties Dubai Co PJSC		201,048
	38,383	Dubai Islamic Bank PJSC		52,956
	96,645	DXB Entertainments PJSC *		11,024
	44,377	Emaar Properties PJSC		62,769
	10,445	Emirates Telecommunications Group Co PJSC		46,025
	270,021	RAK Properties PJSC		47,706
		Total United Arab Emirates		485,377
		United Kingdom — 2.8%
	552,324	3i Group Plc		6,987,513
	224,299	AstraZeneca Plc		16,363,943
	118,152	Aviva Plc		800,559
	16,301	Barratt Developments Plc		118,129
	2,757	Beazley Plc		21,880
	17,804	Bellway Plc		776,497
	110,021	Berkeley Group Holdings Plc (The)		6,205,138

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	441,348	BP Plc		3,375,521
	262,154	British American Tobacco Plc		13,456,518
	3,256	BT Group Plc		8,831
	10,795	Central Asia Metals Plc		40,928
	7,368	Centrica Plc		14,268
	10,846	Close Brothers Group Plc		210,177
	17,232	CMC Markets Plc		41,310
	132,264	Coca-Cola HBC AG *		4,514,628
	36,150	Computacenter Plc		632,555
	1,045	Cranswick Plc		46,786
	14,231	Dart Group Plc		152,678
	478	Derwent London Plc (REIT)		19,106
	3,100	Diageo Plc Sponsored ADR		454,212
	57,274	EI Group Plc *		109,421
	229,465	Electrocomponents Plc		2,144,489
	23,871	Fenner Plc		193,131
	511,908	Ferrexpo Plc		1,489,364
	194,575	Firstgroup Plc *		231,924
	57,473	Galliford Try Plc		735,068
	1,267	Games Workshop Group Plc		48,740
	185,435	GlaxoSmithKline Plc		3,756,885
	147,400	GlaxoSmithKline Plc Sponsored ADR		5,972,648
	747	HSBC Holdings Plc		7,150
	48,500	HSBC Holdings Plc Sponsored ADR		2,346,430
	18,477	Hunting Plc *		207,088
	75,985	IG Group Holdings Plc		872,570
	65,010	Inchcape Plc		631,838
	509,142	Indivior Plc *		3,246,492
	15,182	Intermediate Capital Group Plc		230,997
	19,459	Jupiter Fund Management Plc		117,237
	10,412	Land Securities Group Plc (REIT)		128,517
	559,892	Legal & General Group Plc		2,005,399
	2,830,072	Lloyds Banking Group Plc		2,373,782
	29,290	Lookers Plc		41,659
	13,100	Mitie Group Plc		31,126
	6,302	Morgan Sindall Group Plc		122,509
	75,800	Nomad Foods Ltd *		1,318,920
	1,467	Northgate Plc		8,125
	13,694	Numis Corp Plc		74,058
	378,757	Persimmon Plc		14,251,273
	44,371	Plus500 Ltd		961,608
	1,218	Polypipe Group Plc		6,241
	243,643	QinetiQ Group Plc		854,785
	56,188	Reckitt Benckiser Group Plc		4,300,811
	29,884	Redrow Plc		240,233
	27,508	Royal Dutch Shell Plc – Class A		956,667
	3,900	Royal Dutch Shell Plc – Class B Sponsored ADR		282,087
	34,996	Royal Mail Plc		235,483
	53,955	RPS Group Plc		188,957
	6,068	Safestore Holdings Plc (REIT)		45,205
	16,574	Sage Group Plc (The)		145,697

Shares		Description	Value ($)
		United Kingdom — continued
	4,648	Segro Plc (REIT)		40,394
	4,870	Softcat Plc		49,476
	1,911	Spectris Plc		70,738
	20,043	SSP Group Plc		171,559
	44,119	Stock Spirits Group Plc		141,512
	2,744	TUI AG		63,537
	3,613	TUI AG		83,827
	109,266	Unilever Plc		6,024,269
	50,978	Vesuvius Plc		424,734
	593	WH Smith Plc		15,267
	220,502	William Hill Plc		937,340
	7,265	Wm Morrison Supermarkets Plc		23,708
		Total United Kingdom		113,202,152
		United States — 5.0%
	17,573	3M Co. (a)		3,465,923
	63,174	Abbott Laboratories		3,887,096
	48,382	Accenture Plc – Class A		7,535,013
	13,925	Alphabet, Inc. – Class C *		15,108,486
	58,694	American Express Co.		5,769,620
	17,204	Amphenol Corp. – Class A		1,495,544
	26,469	Anthem, Inc.		5,860,766
	77,085	Apple, Inc.		14,404,874
	11,734	Becton Dickinson and Co.		2,600,137
	128,584	Cisco Systems, Inc.		5,491,823
	81,575	Coca-Cola Co. (The)		3,507,725
	79,517	Cognizant Technology Solutions Corp. – Class A		5,991,606
	30,167	Costco Wholesale Corp.		5,980,306
	14,800	Facebook, Inc. – Class A *		2,838,344
	16,910	Honeywell International, Inc.		2,501,158
	93,326	Johnson & Johnson		11,163,656
	8,723	Mastercard, Inc. – Class A		1,658,417
	76,411	Medtronic Plc		6,595,797
	75,939	Merck & Co., Inc.		4,520,649
	139,099	Microsoft Corp.		13,748,545
	277,759	Oracle Corp.		12,976,900
	9,737	PepsiCo, Inc.		976,134
	61,260	Pfizer, Inc.		2,201,072
	30,336	Philip Morris International, Inc.		2,412,925
	108,484	QUALCOMM, Inc.		6,305,090
	35,984	Schlumberger Ltd.		2,471,021
	14,070	Stryker Corp.		2,448,461
	27,136	Teradata Corp. *		1,081,912
	39,602	Texas Instruments, Inc.		4,431,860
	81,874	TJX Cos., Inc. (The)		7,394,860
	48,514	UnitedHealth Group, Inc.		11,716,616
	35,669	United Technologies Corp.		4,452,205
	110,484	US Bancorp		5,523,095
	22,573	VF Corp.		1,832,025
	19,400	Visa, Inc. – Class A		2,535,968

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares / Par Value†		Description	Value ($)
		United States — continued
	115,039	Wells Fargo & Co.		6,210,956
		Total United States		199,096,585
		TOTAL COMMON STOCKS (COST $1,502,935,477)		1,630,893,262
		DEBT OBLIGATIONS — 25.7%
		Japan — 2.0%
		Foreign Government Obligations — 2.0%
JPY	1,900,000,000	Japan Treasury Discount Bill, Zero Coupon, due 06/18/18		17,466,359
JPY	560,000,000	Japan Treasury Discount Bill, Zero Coupon, due 06/25/18		5,148,098
JPY	1,495,000,000	Japan Treasury Discount Bill, Zero Coupon, due 07/09/18		13,744,229
JPY	1,788,500,000	Japan Treasury Discount Bill, Zero Coupon, due 07/23/18		16,443,333
JPY	2,840,000,000	Japan Treasury Discount Bill, Zero Coupon, due 08/13/18 (a)		26,112,858
		Total Foreign Government Obligations		78,914,877
		Total Japan		78,914,877
		United States — 23.7%
		Asset-Backed Securities — 3.8%
	1,459,131	Acis CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.87%, 3.23%, due 04/18/24		1,459,107
	361,427	AMMC CLO 21 Ltd., Series 17-21A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.21%, due 11/02/30		361,920
	1,302,000	AMMC CLO XI Ltd., Series 12-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.11%, due 04/30/31		1,301,983
	1,153,851	AMMC CLO XII Ltd., Series 13-12A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 11/10/30		1,153,838
	472,030	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.31%, due 07/24/29		473,366
	845,969	AMMC CLO XIV Ltd., Series 14-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.31%, due 07/25/29		847,849
	190,769	Anchorage Capital CLO Ltd., Series 15-6A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.25%, due 07/15/30		191,050
	497,302	Anchorage Capital CLO Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 10/13/30		497,295
	956,560	Apidos CLO XII, Series 13-12A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.64%, due 04/15/31		955,449

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	434,000	Apidos CLO XV, Series 13-15A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.96%, due 04/20/31		433,994
	434,000	Ares XXXIIR CLO Ltd., Series 14-32RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.96%, due 05/15/30		433,992
	610,994	Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.92%, due 11/17/27		610,990
	4,815,987	Atrium X, Series 10A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.30%, due 07/16/25		4,816,271
	319,709	Avery Point III CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.48%, due 01/18/25		319,809
	651,000	Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.46%, due 04/25/26		651,219
	5,425,000	B&M CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.73%, 3.08%, due 04/16/26		5,424,913
	413,060	Bain Capital Credit CLO, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.16%, due 07/20/30		413,053
	638,112	Ballyrock CLO LLC, Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.18%, 3.51%, due 05/20/25		638,378
	347,200	Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.06%, due 04/15/30		347,197
	922,250	Battalion CLO VI Ltd., Series 14-6A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.18%, 3.53%, due 10/17/26		922,580
	705,250	Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + .57%, 2.53%, due 04/25/36		701,045
	335,611	Benefit Street Partners CLO III Ltd., Series 13-IIIA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.21%, due 07/20/29		335,885
	193,750	Black Diamond CLO Ltd., Series 17-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.36%, due 04/24/29		194,123
	1,107,088	BlueMountain CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.89%, 3.25%, due 10/29/25		1,107,585
	398,225	BlueMountain CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.26%, 3.62%, due 04/30/26		398,482
	651,000	BlueMountain CLO Ltd., Series 15-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.72%, due 04/20/30		650,995

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	434,000	BlueMountain CLO Ltd., Series 15-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 04/20/31		433,987
	456,460	Brookside Mill CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, mo. LIBOR + 0.60%, 2.30%, due 01/17/28		456,343
	585,900	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, due 07/15/31		585,900
	1,216,566	Carlyle Global Market Strategies CLO Ltd., Series 13-2A, Class YR, 144A, Variable Rate, 3 mo. LIBOR + 0.50%, 2.86%, due 01/18/29		1,216,426
	1,085,000	Carlyle Global Market Strategies CLO Ltd., Series 14-2RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 10.33%, due 05/15/31		1,084,996
	413,060	Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.96%, due 04/22/30		413,054
	1,208,200	CBAM Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.05%, due 10/17/29		1,208,182
	688,778	CBAM Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.16%, due 07/20/30		688,951
	2,065,300	CBAM Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.19%, due 01/15/31		2,065,234
	106,550	Cent CLO, Series 12-16A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 3.61%, due 08/01/24		106,623
	868,000	Cent CLO, Series C17A, Class X,144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 04/30/31		868,000
	929,385	CIFC Funding II Ltd., Series 13-2A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.01%, due 10/18/30		929,378
	434,000	CIFC Funding III Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.16%, due 07/20/30		434,271
	1,193,526	CIFC Funding IV Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.11%, due 10/24/30		1,193,968
	543,500	CIFC Funding Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.96%, due 01/18/31		543,492
	101,451	Citigroup Global Markets Mortgage Securities VII, Inc., Series 01-MMA, Class F4, 144A, Variable Rate, 6.50%, due 02/18/34		101,467
	3,737,036	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35		1,522,842
	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		732,358

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	329,178	CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.50%, due 01/16/26		329,285
	912,990	Dryden 30 Senior Loan Fund, Series 13-30A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 11/15/28		912,982
	228,230	Dryden XXVIII Senior Loan Fund, Series 13-28A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 08/15/30		228,266
	516,325	Elevation CLO Ltd., Series 14-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 10/15/29		516,317
	356,264	Galaxy XV CLO Ltd., Series 13-15A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 10/15/30		357,481
	1,167,460	Galaxy XX CLO Ltd., Series 15-20A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.96%, due 04/20/31		1,167,444
	607,600	Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 05/16/31		607,586
	6,117,249	GCO Education Loan Funding Master Trust-II, Series 07-1A, Class A6L, 144A, Variable Rate, 3 mo. LIBOR + .11%, 2.44%, due 11/25/26		6,082,640
	190,960	GCO Education Loan Funding Trust, Series 06-1, Class A9L, Variable Rate, 3 mo. LIBOR + 0.16%, 2.49%, due 05/25/26		190,197
	1,054,390	Goldentree Loan Management US CLO 2 Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.96%, due 11/28/30		1,054,375
	79,907	GoldenTree Loan Opportunities VII Ltd., Series 13-7A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.51%, due 04/25/25		79,920
	665,787	Goldentree Loan Opportunities XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.96%, due 01/18/31		665,778
	650,569	Greywolf CLO V Ltd., Series 15-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.01%, due 01/27/31		650,560
	269,225	Halcyon Loan Advisors Funding Ltd., Series 13-1X, Class A1, Reg. S, 3 mo. LIBOR + 1.15%, 3.50%, due 04/15/25		269,293
	404,583	Halcyon Loan Advisors Funding Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.50%, due 04/15/25		404,684
	649,372	Highbridge Loan Management Ltd., Series 6A-2015, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.01%, due 02/05/31		649,365

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	258,163	Highbridge Loan Management Ltd., Series 3A-2014, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.16%, due 07/18/29		258,321
	309,795	Highbridge Loan Management Ltd., Series 13-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.01%, due 10/20/29		309,790
	2,711,245	Higher Education Funding I, Series 05-1, Class A5, Variable Rate, 3 mo. LIBOR + 0.16%, 2.49%, due 02/25/32		2,708,146
	859,320	ICG US CLO Ltd., Series 14-2A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + .55%, 2.77%, due 01/15/31		859,301
	619,590	Jamestown CLO X Ltd., Series 17-10A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.25%, due 07/17/29		620,443
	313,733	KeyCorp Student Loan Trust, Series 00-A, Class A2, Variable Rate, 3 mo. LIBOR + 0.32%, 2.65%, due 05/25/29		312,436
	432,972	KeyCorp Student Loan Trust, Series 06-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.31%, 1.98%, due 09/27/35		433,031
	1,412,089	KeyCorp Student Loan Trust, Series 99-B, Class CTFS, Variable Rate,, 3 mo. LIBOR + 0.90%, 3.23%, due 11/25/36		1,413,219
	337,504	KeyCorp Student Loan Trust, Series 05-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.34%, 2.63%, due 06/27/38		337,461
	443,450	KeyCorp Student Loan Trust, Series 04-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.53%, 2.90%, due 01/27/42		443,744
	618,450	Kingsland VIII Ltd., Series 18-8A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 2.53%, due 04/20/31		618,437
	407,625	KKR CLO Ltd., Series 9, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.30%, due 07/15/30		408,254
	673,940	LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.84%, due 04/20/31		673,848
	484,258	LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.31%, due 07/20/30		485,511
	1,197,840	Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.96%, due 04/19/30		1,197,823
	1,898,750	Marathon CLO VI Ltd., Series 14-6A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.06%, due 05/13/28		1,898,731
	2,164,464	Montana Higher Education Student Assistance Corp., Series 12-1, Class A2, Variable Rate, 1 mo. LIBOR + 1.00%, 2.90%, due 05/20/30		2,189,088

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	5,308,473	Montana Higher Education Student Assistance Corp., Series 05-1, Class B, Variable Rate, 3 mo. LIBOR + 0.12%, 2.32%, due 06/20/30		5,295,202
	214,672	Morgan Stanley Dean Witter Capital I Trust, Series 01-TOP3, Class E, 144A, Variable Rate, 7.85%, due 07/15/33		228,297
	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		619,647
	676,549	Mountain View CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 10/12/30		676,538
	732,880	National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate,, 1 mo. LIBOR + 0.25%, 2.21%, due 03/27/28		730,866
	5,708,962	National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 2.13%, due 03/26/29		5,597,183
	1,481,874	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate,, 1 mo. LIBOR + 0.24%, 2.20%, due 07/25/30		1,455,811
	345,618	Navient Private Education Loan Trust, Series 14-CTA, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.70%, 2.62%, due 09/16/24		346,058
	342,345	Neuberger Berman CLO XV, Series 13-15A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 10/15/29		342,289
	461,464	Neuberger Berman CLO XVII Ltd., Series 14-17A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.36%, due 04/22/29		462,346
	509,601	Newcastle CDO V Ltd., Series 04-5A, Class 3, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.06%, due 12/24/39		508,705
	3,773,854	NewMark Capital Funding CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.94%, 2.96%, due 06/02/25		3,773,560
	1,138,366	NewMark Capital Funding CLO Ltd., Series 13-1A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.14%, due 06/02/25		1,138,373
	2,079,468	Ocean Trails CLO IV, Series 13-4A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.26%, due 08/13/25		2,079,701
	329,840	Octagon Investment Partners XIV Ltd., Series 12-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.88%, 3.23%, due 07/15/19		330,132

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	301,507	Octagon Investment Partners XV Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.16%, due 07/19/30		301,757
	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		759,480
	916,010	OFSI Fund V Ltd., Series 13-5A, Class A1LA, 144A, Variable Rate, 3 mo. LIBOR + 0.93%, 3.28%, due 04/17/25		915,965
	265,539	OFSI Fund V Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.20%, due 08/16/29		265,833
	3,255,000	OFSI Fund VI Ltd., Series 14-6A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 03/20/25		3,247,562
	915,059	OHA Credit Partners Ltd., Series 13-8A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.48%, due 04/20/25		915,244
	380,450	OHA Credit Partners XIV Ltd., Series 17-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.96%, due 01/21/30		380,445
	681,549	OZLM Funding Ltd., Series 13-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.01%, due 10/22/30		681,539
	1,519,000	OZLM VI Ltd., Series 14-6A, Class XS, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.05%, due 04/17/31		1,518,977
	328,817	OZLM XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.11%, due 10/30/30		328,922
	3,669,470	Palmer Square Loan Funding Ltd., Series 18-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.82%, due 04/15/26		3,655,687
	1,017,730	Seneca Park CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.47%, due 07/17/26		1,018,056
	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
	483,958	Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 3.51%, due 05/15/26		484,196
	3,848,031	SLC Student Loan Trust, Series 08-2, Class A3, Variable Rate, 3 mo. LIBOR + .65%, 2.77%, due 09/15/18		3,848,018
	2,508,687	SLM Private Credit Student Loan Trust, Series 07-A, Class A3, Variable Rate, 3 mo. LIBOR + 0.17%, 2.29%, due 12/15/26		2,507,765
	925,929	SLM Private Education Loan Trust, Series 14-A, Class A2B, 144A, Variable Rate, 1 mo. LIBOR + 1.15%, 3.07%, due 01/15/26		930,604

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	388,941	SLM Private Education Loan Trust, Series 11-A, Class A2, 144A, 4.37%, due 04/17/28		390,694
	1,323,700	SLM Private Education Loan Trust, Series 11-B, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.25%, 4.17%, due 06/16/42		1,366,072
	2,219,654	SLM Private Education Loan Trust, Series 11-A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.50%, 4.42%, due 01/15/43		2,281,446
	2,557,349	SLM Private Education Loan Trust, Series 10-A, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + 3.25%, 5.17%, due 05/16/44		2,614,802
	1,111,939	SLM Private Education Loan Trust, Series 11-C, Class A2B, 144A, 4.54%, due 10/17/44		1,127,326
	371,418	SLM Private Education Loan Trust, Series 12-C, Class A2, 144A, 3.31%, due 10/15/46		371,779
	2,496,992	SLM Student Loan Trust, Series 07-3, Class A3, Variable Rate, 3 mo. LIBOR + 0.04%, 2.40%, due 04/25/19		2,489,193
	6,481,459	SLM Student Loan Trust, Series 07-6, Class A4, Variable Rate, 3 mo. LIBOR + 0.38%, 2.74%, due 10/25/24		6,490,354
	985,450	South Carolina Student Loan Corp., Series 05, Class A3, Variable Rate, 3 mo. LIBOR + 0.14%, 2.15%, due 12/01/23		985,085
	435,571	South Carolina Student Loan Corp., Series 10-1, Class A2, Variable Rate, 3 mo. LIBOR + 1.00%, 3.36%, due 07/25/25		437,470
	1,244,011	Symphony CLO V Ltd., Series 07-5A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.10%, due 01/15/24		1,244,428
	30,163	Symphony CLO VIII LP, Series 12-8A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.43%, due 01/09/23		30,173
	258,163	Telos CLO, Series 13-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.35%, due 07/17/19		258,416
	868,000	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.10%, due 04/17/28		867,986
	809,598	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.10%, due 01/17/30		809,585
	154,613	THL Credit Wind River CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.26%, due 07/20/30		154,846
	650,569	THL Credit Wind River CLO Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.93%, due 11/20/30		650,566

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,231,475	TICP CLO I-2 Ltd., Series 18-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 2.99%, due 04/26/28		1,231,432
	1,605,800	TICP CLO III-2 Ltd., Series 18-3R, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.91%, due 04/20/28		1,605,737
	1,085,000	Tryon Park CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.90%, due 04/15/29		1,084,957
	544,077	Velocity Commercial Capital Loan Trust, Series 15-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 2.43%, 4.39%, due 06/25/45		549,478
	2,101,964	Voya CLO Ltd., Series 13-3A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 3.41%, due 01/18/26		2,102,456
	464,692	Voya CLO Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.16%, due 07/20/30		464,689
	1,084,282	Voya CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 10/15/30		1,084,267
	412,300	Voya CLO Ltd.., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 2.99%, due 04/18/31		412,294
	84,378	WhiteHorse VI Ltd., Series 12-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 3.56%, due 02/03/25		84,424
	5,141,510	WhiteHorse VIII Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.26%, due 05/01/26		5,141,870
	180,381	Ziggurat CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.25%, due 04/17/29		180,560
		Total Asset-Backed Securities		151,935,052
		Mortgage Backed Securities — 0.0%
	1,262,494	JP Morgan Chase Commercial Mortgage Securities Trust, Series 14-CBM, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.90%, 2.82%, due 10/15/29		1,262,495
	338,078	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.15%, due 02/25/30		331,447
	82,930	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.21%, due 09/25/30		82,817
	113,204	Nationslink Funding Corp. Commercial Loan Pass Through Certificate, Series 99-LTL1, Class D, 144A, 6.45%, due 01/22/26		115,170
		Total Mortgage Backed Securities		1,791,929

Par Value†		Description	Value ($)
		U.S. Government — 19.0%
	53,720,369	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (c)		53,331,846
	151,561,595	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (c)		146,805,929
	42,551,431	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 (c)		41,250,642
	89,150,775	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (a) (c)		86,904,018
	101,321,432	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (c)		110,460,220
	85,097,191	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (c)		99,787,663
	20,950,000	U.S. Treasury Note, 0.75%, due 10/31/18 (a)		20,837,885
	7,900,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 1.95%, due 10/31/19		7,905,219
	29,750,000	U.S. Treasury Note, 1.88%, due 12/31/19 (a)		29,512,930
	8,900,000	U.S. Treasury Note, Variable Rate, USBM + 0.00%, 1.90%, due 01/31/20		8,897,369
	40,250,000	U.S. Treasury Note, 2.00%, due 01/31/20		39,992,148
	30,250,000	U.S. Treasury Note, 2.25%, due 02/29/20		30,173,193
	22,750,000	U.S. Treasury Note, 2.25%, due 03/31/20		22,682,461
	33,000,000	U.S. Treasury Note, 2.38%, due 04/30/20		32,967,773
	25,000,000	U.S. Treasury Note, 2.50%, due 05/31/20		25,035,156
		Total U.S. Government		756,544,452
		U.S. Government Agency — 0.9%
	10,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR + 0.22%, 2.15%, due 11/09/18		10,510,257
	3,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR - 0.24%, 1.79%, due 03/06/19		3,001,759
	10,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR - 0.16%, 2.20%, due 02/07/20		10,506,488
	8,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR - 0.24%, 2.10%, due 04/13/20		7,992,165
	143,299	Government National Mortgage Association, Series 12-H15, Class FA, Variable Rate, 1 mo. LIBOR + 0.45%, 2.33%, due 05/20/62		143,462
	2,546,032	Government National Mortgage Association, Series 17-H12, Class FE, Variable Rate, 1 mo. LIBOR + 0.20%, 2.08%, due 06/20/66		2,545,031
	899,417	Government National Mortgage Association, Series 17-H05, Class FJ, Variable Rate, 1 mo. LIBOR + 0.27%, 2.15%, due 01/20/67		899,521

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value† / Shares		Description	Value ($)
		U.S. Government Agency — continued
	945,812	Government National Mortgage Association, Series 17-H13, Class FJ, Variable Rate, 1 mo. LIBOR + 0.20%, 2.08%, due 05/20/67		946,062
		Total U.S. Government Agency		36,544,745
		Total United States		946,816,178
		TOTAL DEBT OBLIGATIONS (COST $1,035,190,127)		1,025,731,055
		PREFERRED STOCKS (d) — 0.8%
		Brazil — 0.2%
	116,500	Banco do Estado do Rio Grande do Sul SA – Class B		513,118
	590,600	Braskem SA – Class A		7,192,512
	182,800	Centrais Eletricas Brasileiras SA – Class B *		820,788
	2,700	Cia Brasileira de Distribuicao		57,580
	14,200	Cia de Saneamento do Parana		33,896
	112,200	Itausa – Investimentos Itau SA		338,033
		Total Brazil		8,955,927
		Colombia — 0.0%
	98,669	Grupo Aval Acciones y Valores SA		42,501
		Germany — 0.1%
	9,655	Bayerische Motoren Werke AG		845,858
	2,217	Draegerwerk AG & Co KGaA		154,335
	1,256	Jungheinrich AG		48,984
	1,638	RWE AG		30,103
	490	Sixt SE		41,631
	6,880	Volkswagen AG		1,292,196
		Total Germany		2,413,107
		Russia — 0.1%
	3,660	Bashneft PJSC		101,998
	843,700	Sberbank of Russia PJSC		2,654,025
	62	Transneft PJSC		169,364
		Total Russia		2,925,387
		South Korea — 0.4%
	140	Hyundai Motor Co		11,596
	12,130	Hyundai Motor Co 2nd Preference		1,062,249
	38,442	LG Electronics Inc		1,341,391
	397,754	Samsung Electronics Co Ltd		14,876,982
	1,054	Samsung Electronics Co Ltd GDR		987,808
		Total South Korea		18,280,026
		Sweden — 0.0%
	2,540	Akelius Residential Property AB		98,052

Shares		Description	Value ($)
		Taiwan — 0.0%
	14,463	CTBC Financial Holding Co Ltd *		29,688
		TOTAL PREFERRED STOCKS (COST $28,820,128)		32,744,688
		RIGHTS/WARRANTS — 0.0%
		South Africa — 0.0%
	9,439	Kersaf Rights, Expires 6/1/18 *		7,786
		Switzerland — 0.0%
	340	Bell Food Group AG, Expires 6/6/18 *		10,704
		Thailand — 0.0%
	48,800	Supalai Pcl Rights, Expires 10/19/18 *		31,534
	74,250	Supalai Public Co Rights, Expires 10/19/18 *		48,046
		Total Thailand		79,580
		United Arab Emirates — 0.0%
	12,794	Dubai Islamic Bank PJSC, Expires 6/5/18 *		5,886
		TOTAL RIGHTS/WARRANTS (COST $60,200)		103,956
		INVESTMENT FUNDS — 0.1%
		United States — 0.1%
	43,788	iShares MSCI Emerging Markets ETF		2,000,674
		TOTAL INVESTMENT FUNDS (COST $2,016,017)		2,000,674
		MUTUAL FUNDS — 31.4%
		United States — 31.4%
		Affiliated Issuers — 31.4%
	4,585,669	GMO Emerging Country Debt Fund, Class IV		127,573,298
	14,627,502	GMO Emerging Markets Fund, Class VI		490,313,864
	7,634,876	GMO Opportunistic Income Fund, Class VI		203,545,781
	5,406,626	GMO SGM Major Markets Fund, Class VI		174,579,968
	9,762,404	GMO Special Opportunities Fund, Class VI		254,505,878
		TOTAL MUTUAL FUNDS (COST $1,093,263,623)		1,250,518,789

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares / Par Value†			Description	Value ($)
			SHORT-TERM INVESTMENTS — 2.8%
			Money Market Funds — 0.1%
	3,423,096		State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (e)		3,423,096
			Repurchase Agreements — 2.4%
	94,347,050		Daiwa Capital Markets America Inc. Repurchase Agreement, dated 05/31/18, maturing on 06/01/18 with a maturity value of $94,351,715 and an effective yield of 2.625%, collateralized by a U.S. Treasury Note with maturity date 03/31/25 and a market value of $96,362,822.		94,347,050
			U.S. Government — 0.2%
	10,175,000		U.S. Treasury Note, 1.38%, due 11/30/18		10,138,036
			Total U.S. Government		10,138,036
			U.S. Government Agency — 0.1%
	2,000,000		Federal Home Loan Bank Discount Notes, Zero Coupon, due 07/02/18		1,996,780
			Total U.S. Government Agency		1,996,780
			TOTAL SHORT-TERM INVESTMENTS (COST $109,924,558)		109,904,962
			TOTAL INVESTMENTS — 101.7% (Cost $3,772,210,130)		4,051,897,386
			SECURITIES SOLD SHORT — (1.2)%
			Common Stocks — (1.2)%
			Brazil — 0.0%
	(40,700	)	Pagseguro Digital Ltd.– Class A*		(1,354,089	)
			Canada — (0.2)%
	(20,850	)	Algonquin Power & Utilities		(203,288	)
	(148,200	)	Barrick Gold Corp		(1,954,758	)
	(41,800	)	Brookfield Asset Management Inc – Class A		(1,665,312	)
	(96,600	)	Enbridge Inc		(3,001,362	)
			Total Canada		(6,824,720	)
			Denmark — 0.0%
	(538	)	AP Moller – Maersk A/S – Class B		(802,165	)

Shares			Description	Value ($)
			France — (0.1)%
	(13,449	)	Air Liquide SA		(1,660,388	)
	(21,002	)	DBV Technologies SA *		(955,892	)
			Total France		(2,616,280	)
			Germany — (0.1)%
	(313,966	)	Deutsche Bank AG (Registered)		(3,357,479	)
	(77,425	)	thyssenkrupp AG (Registered) *		(2,042,793	)
			Total Germany		(5,400,272	)
			Israel — 0.0%
	(7,100	)	Wix.com Ltd *		(617,345	)
			Italy — (0.1)%
	(231,309	)	BPER Banca		(1,115,375	)
	(91,471	)	Brembo SPA		(1,307,828	)
	(50,919	)	Eni SPA		(924,035	)
	(543,029	)	Saipem SPA *		(2,303,139	)
			Total Italy		(5,650,377	)
			Japan — (0.2)%
	(38,700	)	Kansai Paint Co Ltd		(827,739	)
	(58,200	)	Kyushu Electric Power Co Inc		(687,466	)
	(20,100	)	Mitsui OSK Lines Ltd		(529,333	)
	(226,200	)	Monex Group Inc		(1,336,521	)
	(16,400	)	Murata Manufacturing Co Ltd		(2,427,402	)
	(40,500	)	SoftBank Group Corp		(2,873,884	)
			Total Japan		(8,682,345	)
			Netherlands — 0.0%
	(95,092	)	Altice NV *		(335,951	)
	(24,428	)	Boskalis Westminster		(672,890	)
			Total Netherlands		(1,008,841	)
			Spain — (0.2)%
	(549,356	)	Bankia SA		(2,091,654	)
	(48,427	)	Cellnex Telecom SA		(1,230,456	)
	(108,825	)	Ferrovial SA		(2,224,671	)
	(64,673	)	Industria de Diseno Textil SA		(2,044,248	)
	(113,518	)	Merlin Properties Socimi SA (REIT)		(1,568,113	)
			Total Spain		(9,159,142	)
			Switzerland — (0.1)%
	(112,848	)	Credit Suisse Group AG (Registered) *		(1,730,240	)
	(23,609	)	LafargeHolcim Ltd (Registered) *		(1,212,684	)
			Total Switzerland		(2,942,924	)
			United Kingdom — (0.1)%
	(92,450	)	GVC Holdings Plc		(1,248,003	)
	(494,565	)	Melrose Industries Plc		(1,553,558	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares			Description	Value ($)
			United Kingdom — continued
	(42,715	)	Travis Perkins Plc		(763,162	)
			Total United Kingdom		(3,564,723	)
			TOTAL COMMON STOCKS (PROCEEDS $51,365,644)		(48,623,223	)
			Rights/Warrants — 0.0%
			Netherlands — 0.0%
	(95,092	)	Altice NV, Expires 6/4/18 * (f)		(693,760	)
			Spain — 0.0%
	(108,825	)	Ferrovial SA, Expires 6/12/18 *		(39,693	)
			TOTAL RIGHTS/WARRANTS (PROCEEDS $717,655)		(733,453	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $52,083,299)		(49,356,676	)
			Other Assets and Liabilities (net) — (0.5%)		(19,912,213	)
			TOTAL NET ASSETS — 100.0%		$3,982,628,497

A summary of outstanding financial instruments at May 31, 2018 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
07/13/2018	BCLY		AUD	723,300		USD	561,945		14,813
07/13/2018	GS		AUD	2,965,526		USD	2,298,687		55,449
07/12/2018	GS		CHF	1,309,792		USD	1,371,227		37,767
07/12/2018	JPM		CHF	1,851,576		USD	1,939,165		54,133
06/20/2018	BOA		EUR	14,133,506		USD	17,581,445		1,038,838
06/20/2018	DB		EUR	1,670,500		USD	2,071,009		115,767
06/20/2018	GS		EUR	12,237,474		USD	15,158,439		835,048
06/20/2018	BOA		GBP	4,493,903		USD	6,417,135		438,519
06/20/2018	GS		GBP	6,039,921		USD	8,640,043		604,630
06/18/2018	BCLY		JPY	1,900,000,000		USD	18,042,828		561,229
06/18/2018	GS		JPY	693,700,975		USD	6,477,286		94,654
06/18/2018	JPM		JPY	1,119,860,406		USD	10,479,676		176,018
06/18/2018	MSCI		JPY	1,001,958,891		USD	9,372,575		153,710
06/25/2018	MSCI		JPY	560,000,000		USD	5,346,598		191,433
07/09/2018	BOA		JPY	1,495,000,000		USD	14,053,288		276,891
07/23/2018	JPM		JPY	988,500,000		USD	9,263,229		145,732
07/23/2018	MSCI		JPY	800,000,000		USD	7,298,722		(80,132	)
08/13/2018	BCLY		JPY	2,840,000,000		USD	26,146,438		(85,202	)
07/12/2018	JPM		NOK	28,647,688		USD	3,691,932		185,623
07/12/2018	BCLY		SEK	27,587,282		USD	3,326,391		188,807
06/20/2018	DB		USD	1,877,550		EUR	1,605,700		1,847
								$	5,005,574

Reverse Repurchase Agreements

Average balance outstanding	$	(46,057,969	)
Average interest rate		0.51	%
Maximum balance outstanding	$	(46,057,969	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into reverse repurchase agreements.

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
	Buys
120	Mini MSCI Emerging Markets	June 2018	$	6,730,200		(536,732	)
	Sales
2,335	S&P 500 E-Mini	June 2018	$	315,867,125		3,425,701

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

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) ($)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 1.00%	MORD		USD	6,802,494		05/18/2020		Monthly		—		17,339			17,339
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 3.38%	MORD		USD	213,376		05/18/2020		Monthly		—		53,140			53,140
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.75%	MORD		USD	982,832		05/18/2020		Monthly		—		91,230			91,230
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	669,151		05/18/2020		Monthly		—		14,379			14,379
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	5,592,945		05/18/2020		Monthly		—		(148,860	)		(148,860	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 1.75%	MORD		USD	1,617,919		05/18/2020		Monthly		—		(104,706	)		(104,706	)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	755,894		05/18/2020		Monthly		—		(7,898	)		(7,898	)
										$	—	$	(85,376	)	$	(85,376	)

As of May 31, 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:

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

ADR - American Depositary Receipt

CDO - Collateralized Debt Obligation

CLO - Collateralized Loan Obligation

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

ETF - Exchange-Traded Fund

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

GDR - Global Depositary Receipt

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

QPSC - Qatari Public Shareholding Company

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

REIT - Real Estate Investment Trust

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

The rates shown on variable rate notes are the current interest rates at May 31, 2018, which are subject to change based on the terms of the security.

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

* Non-income producing security.

(a) 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.

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

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

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

(e) The rate disclosed is the 7 day net yield as of May 31, 2018.

(f) Investment valued using significant unobservable inputs.

(g) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

Counterparty Abbreviations:

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co.

Currency Abbreviations:

AUD - Australian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

SEK - Swedish Krona

USD - United States Dollar

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	3,281,215	GMO Alpha Only Fund, Class IV		69,889,875
	12,727,204	GMO Asset Allocation Bond Fund, Class VI		283,689,367
	16,747,994	GMO Core Plus Bond Fund, Class IV		354,387,556
	1,706,014	GMO Emerging Country Debt Fund, Class IV		47,461,297
	13,004,889	GMO Emerging Markets Fund, Class VI		435,923,865
	20,792,258	GMO International Equity Fund, Class IV		482,796,225
	889,436	GMO Opportunistic Income Fund, Class VI		23,712,362
	6,852,974	GMO Quality Fund, Class VI		171,187,297
	2,175,831	GMO Risk Premium Fund, Class VI		59,269,626
	2,156,436	GMO SGM Major Markets Fund, Class VI		69,631,326
	11,058,928	GMO U.S. Equity Fund, Class VI		170,528,664
	6,481,228	GMO U.S. Treasury Fund		161,901,072
		TOTAL MUTUAL FUNDS (COST $2,268,675,014)		2,330,378,532
		DEBT OBLIGATIONS — 0.0%
		Asset-Backed Securities — 0.0%
	31,813	ACE Securities Corp., Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + .28%, 2.24%, due 02/25/36 ◆		17,426
	25,121	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .50%, 2.46%, due 10/25/34 ◆		23,484
	20,961	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.22%, due 02/26/34		19,776
		Total Asset-Backed Securities		60,686
		TOTAL DEBT OBLIGATIONS (COST $53,898)		60,686
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	341,827	State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (a)		341,827
		TOTAL SHORT-TERM INVESTMENTS (COST $341,827)		341,827
		TOTAL INVESTMENTS — 100.0% (Cost $2,269,070,739)		2,330,781,045
		Other Assets and Liabilities (net) — (0.0%)		(107,848	)
		TOTAL NET ASSETS — 100.0%		$2,330,673,197

Notes to Schedule of Investments:

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

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

LIBOR - London Interbank Offered Rate

The rates shown on variable rate notes are the current interest rates at May 31, 2018, which are subject to change based on the terms of the security.

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

◆ These securities are primarily backed by subprime mortgages.

(a) The rate disclosed is the 7 day net yield as of May 31, 2018.

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,300,624	GMO Emerging Markets Fund, Class VI		43,596,899
	9,090,415	GMO International Equity Fund, Class IV		211,079,431
	4,072,610	GMO Quality Fund, Class VI		101,733,801
	6,587,583	GMO U.S. Equity Fund, Class VI		101,580,528
		TOTAL MUTUAL FUNDS (COST $410,782,345)		457,990,659
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	208,215	State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (a)		208,215
		TOTAL SHORT-TERM INVESTMENTS (COST $208,215)		208,215
		TOTAL INVESTMENTS — 100.0% (Cost $410,990,560)		458,198,874
		Other Assets and Liabilities (net) — (0.0%)		(67,783	)
		TOTAL NET ASSETS — 100.0%		$458,131,091

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2018.

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	16,815,471	GMO Emerging Markets Fund, Class VI		563,654,594
	37,238,255	GMO International Equity Fund, Class IV		864,672,283
	16,032,028	GMO Quality Fund, Class VI		400,480,053
	25,975,855	GMO U.S. Equity Fund, Class VI		400,547,677
		TOTAL MUTUAL FUNDS (COST $2,118,311,304)		2,229,354,607
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	772,303	State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (a)		772,303
		TOTAL SHORT-TERM INVESTMENTS (COST $772,303)		772,303
		TOTAL INVESTMENTS — 100.0% (Cost $2,119,083,607)		2,230,126,910
		Other Assets and Liabilities (net) — (0.0%)		(99,416	)
		TOTAL NET ASSETS — 100.0%		$2,230,027,494

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2018.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 59.9%
		Australia — 0.7%
	36,784	Abacus Property Group (REIT)		106,656
	197,503	Australia & New Zealand Banking Group Ltd		4,059,022
	208,942	Australian Pharmaceutical Industries Ltd		213,591
	141,562	Beach Energy Ltd		174,555
	22,555	Brickworks Ltd		264,948
	51,024	BWP Trust (REIT)		123,319
	849,619	Caltex Australia Ltd		18,842,407
	90,068	Charter Hall Group (REIT)		432,760
	112,691	Codan Ltd		250,262
	650,067	Costa Group Holdings Ltd		3,771,939
	72,352	Credit Corp Group Ltd		1,033,651
	169,577	Cromwell Property Group (REIT)		138,816
	10,133	Dexus (REIT)		75,589
	1,783,984	Downer EDI Ltd		9,450,064
	41,300	Elders Ltd		275,469
	272,783	GDI Property Group (REIT)		270,979
	573,610	Genworth Mortgage Insurance Australia Ltd		1,060,880
	13,892	Goodman Group (REIT)		97,911
	37,958	GWA Group Ltd		102,211
	27,911	Investa Office Fund (REIT)		106,353
	210,287	Macquarie Group Ltd (REIT)		18,119,303
	37,776	McMillan Shakespeare Ltd		482,450
	552,930	Metcash Ltd		1,208,058
	598,163	Mineral Resources Ltd		8,307,413
	61,661	Monadelphous Group Ltd		674,716
	128,794	Monash IVF Group Ltd		114,821
	1,295,691	Nine Entertainment Co Holdings Ltd		2,354,697
	170,289	NRW Holdings Ltd *		173,951
	453,089	OZ Minerals Ltd		3,360,151
	41,727	Sandfire Resources NL		273,169
	680,608	Scentre Group (REIT)		2,149,380
	13,711	Sims Metal Management Ltd		164,623
	54,850	St Barbara Ltd		197,993
	104,440	Stockland (REIT)		327,543
	298,897	Tassal Group Ltd		927,399
	29,194	Virtus Health Ltd		121,751
		Total Australia		79,808,800
		Austria — 0.3%
	43,489	FACC AG *		842,259
	394,459	OMV AG		22,602,541
	23,033	POLYTEC Holding AG		350,285
	9,661	S IMMO AG		190,869
	11,695	Vienna Insurance Group AG Wiener Versicherung Gruppe		335,321
	149,280	voestalpine AG		7,971,301
		Total Austria		32,292,576

Shares		Description	Value ($)
		Belgium — 0.0%
	300,759	AGFA-Gevaert NV *		1,076,049
	4,542	Barco NV		562,132
	385	Groupe Bruxelles Lambert SA		40,717
	11,918	KBC Group NV		916,280
	34,851	UCB SA		2,739,550
		Total Belgium		5,334,728
		Brazil — 0.7%
	127,240	Banco Bradesco SA		889,741
	434,900	Banco BTG Pactual SA		2,271,602
	1,182,900	Banco do Brasil SA		9,630,413
	1,111,200	Banco Santander Brasil SA		10,064,249
	1,686,300	Centrais Eletricas Brasileiras SA *		6,613,299
	1,559,600	Cia de Saneamento Basico do Estado de Sao Paulo		10,925,658
	291,800	Cia de Saneamento Basico do Estado de Sao Paulo ADR		2,004,666
	562,600	Estacio Participacoes SA		3,791,731
	177,300	Grendene SA		1,108,894
	7,900	Guararapes Confeccoes SA		230,860
	10,265,800	JBS SA		24,608,860
	26,200	Qualicorp SA		133,847
	289,800	Transmissora Alianca de Energia Eletrica SA		1,495,053
	459,300	Via Varejo SA		2,876,648
		Total Brazil		76,645,521
		Canada — 1.2%
	139,500	AGF Management Ltd – Class B		729,454
	95,700	Air Canada *		1,695,379
	899,200	Alignvest Acquisition II Corp *		6,699,269
	93,500	Bank of Montreal		7,242,897
	23,100	Baytex Energy Corp *		96,558
	97,100	Bird Construction Inc		545,186
	93,448	BRP Inc Sub Voting		4,353,123
	63,000	Canfor Corp *		1,577,672
	11,800	Cogeco Inc		593,822
	4,400	Constellation Software Inc		3,465,501
	67,600	Empire Co Ltd – A Shares		1,301,323
	43,100	Finning International Inc		1,072,015
	44,100	Industrial Alliance Insurance & Financial Services Inc		1,802,638
	19,400	Labrador Iron Ore Royalty Corp		358,794
	163,400	Magna International Inc		10,477,461
	15,600	Magna International Inc		999,492
	286,100	Manulife Financial Corp		5,397,197
	259,800	Metro Inc		8,571,837
	13,500	Morguard North American Residential Real Estate Investment Trust		155,137
	66,200	Power Corp of Canada		1,542,420
	15,100	Rocky Mountain Dealerships Inc		132,996
	501,000	Rogers Sugar Inc		2,090,398

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	22,800	Royal Bank of Canada		1,723,452
	511,500	Royal Bank of Canada		38,660,342
	64,400	Russel Metals Inc		1,455,780
	5,600	Sierra Wireless Inc *		91,840
	243,900	Sun Life Financial Inc		10,080,387
	73,200	Sun Life Financial Inc		3,025,442
	2,300	TMX Group Ltd		144,233
	5,600	Toromont Industries Ltd		251,408
	102,100	Toronto-Dominion Bank (The)		5,960,952
	79,400	Transat AT Inc *		511,330
	198,720	Transcontinental Inc – Class A		4,478,327
	9,100	Wajax Corp		175,880
	152,800	West Fraser Timber Co Ltd		11,104,692
	17,960	WestJet Airlines Ltd		277,171
	7,600	Westshore Terminals Investment Corp		134,814
		Total Canada		138,976,619
		Chile — 0.0%
	608,693	AES Gener SA		159,189
	63,824	Empresa Nacional de Telecomunicaciones SA		696,711
	6,378,467	Enel Chile SA		679,381
		Total Chile		1,535,281
		China — 7.5%
	5,207,000	361 Degrees International Ltd		1,635,596
	88,000	AAC Technologies Holdings Inc		1,306,245
	7,182,000	Agile Group Holdings Ltd		13,567,862
	120,785,000	Agricultural Bank of China Ltd – Class H		62,004,460
	65,250	Alibaba Group Holding Ltd Sponsored ADR *		12,920,152
	4,321,500	Anhui Conch Cement Co Ltd – Class H		26,387,711
	260,000	ANTA Sports Products Ltd		1,500,587
	69,749,000	Bank of China Ltd – Class H		36,422,385
	15,371,000	Bank of Communications Co Ltd – Class H		12,123,079
	242,900	Changyou.com Ltd ADR		4,549,517
	57,000	China Aoyuan Property Group Ltd		46,137
	11,759,000	China CITIC Bank Corp Ltd – Class H		7,947,794
	2,000	China Communications Construction Co Ltd – Class H		2,140
	18,340,000	China Communications Services Corp Ltd – Class H		11,774,693
	43,062,000	China Construction Bank – Class H		43,342,772
	7,199,000	China Everbright Bank Co Ltd – Class H		3,572,193
	8,871,000	China Greenfresh Group Co Ltd		1,413,586
	16,471,000	China Huarong Asset Management Co Ltd – Class H		5,520,448
	176,000	China Jinmao Holdings Group Ltd		99,430
	7,852,000	China Lesso Group Holdings Ltd		5,535,286

Shares		Description	Value ($)
		China — continued
	11,182,000	China Machinery Engineering Corp – Class H		6,169,603
	138,000	China Medical System Holdings Ltd		331,177
	1,512,500	China Mobile Ltd		13,540,491
	13,638,600	China National Building Material Co Ltd – Class H *		15,502,271
	2,582,000	China Overseas Land & Investment Ltd		8,579,412
	30,900	China Petroleum & Chemical Corp ADR		3,011,205
	67,724,000	China Petroleum & Chemical Corp – Class H		65,880,491
	25,386,200	China Railway Construction Corp Ltd – Class H		28,678,343
	3,684,000	China Railway Group Ltd – Class H		2,962,661
	4,908,000	China Resources Cement Holdings Ltd		5,745,942
	1,668,000	China Resources Land Ltd		6,096,869
	2,608,000	China Resources Pharmaceutical Group Ltd		3,997,395
	5,138,500	China Shenhua Energy Co Ltd – Class H		13,366,972
	392,000	China Shineway Pharmaceutical Group Ltd		849,291
	77,112,000	China Telecom Corp Ltd – Class H		35,850,916
	562,200	China Vanke Co Ltd – Class H		1,998,289
	9,400	China Yuchai International Ltd		216,670
	6,261,000	Chongqing Rural Commercial Bank Co Ltd – Class H		4,164,899
	1,152,000	CIFI Holdings Group Co Ltd		886,933
	144,570	CKH Food & Health Ltd *		80,782
	3,174,000	Country Garden Holdings Co Ltd		6,167,946
	416,000	Dah Chong Hong Holdings Ltd		222,728
	133,000	Digital China Holdings Ltd *		86,539
	23,134,000	Dongfeng Motor Group Co Ltd – Class H		26,351,927
	124,000	ENN Energy Holdings Ltd		1,271,049
	1,600	GDS Holdings Ltd ADR *		60,496
	6,921,000	Geely Automobile Holdings Ltd		19,435,140
	3,932,000	Guangdong Investment Ltd		6,600,184
	978,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		5,095,056
	12,221,200	Guangzhou R&F Properties Co Ltd – Class H		28,451,260
	4,645,000	Haier Electronics Group Co Ltd *		16,652,114
	1,274,000	Haitian International Holdings Ltd		3,615,588
	4,353,700	Harbin Electric Co Ltd – Class H		1,513,258
	118,000	Hengan International Group Co Ltd		1,121,356
	996,000	Hi Sun Technology China Ltd *		183,439
	626,000	Hisense Kelon Electrical Holdings Co Ltd – Class H		732,925
	10,400	Hollysys Automation Technologies Ltd		248,248
	72,000	Hopson Development Holdings Ltd		68,779
	1,903,000	Hua Hong Semiconductor Ltd		4,585,502
	14,199,000	Huabao International Holdings Ltd		9,344,465
	31,488,000	Industrial and Commercial Bank of China Ltd – Class H		26,008,389

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		China — continued
	1,482,000	Jiangsu Expressway Co Ltd – Class H		2,226,641
	888,000	Ju Teng International Holdings Ltd		128,700
	357,800	Jumei International Holding Ltd ADR *		930,280
	3,953,500	Kingboard Chemical Holdings Ltd		15,640,714
	3,915,000	Kingboard Laminates Holdings Ltd		5,150,191
	153,500	Legend Holdings Corp – Class H		487,406
	876,700	Livzon Pharmaceutical Group Inc – Class H		6,288,037
	188,000	Logan Property Holdings Co Ltd		281,015
	2,617,000	Longfor Properties Co Ltd		7,792,893
	16,459,000	Lonking Holdings Ltd		8,232,438
	700	Momo Inc Sponsored ADR *		32,144
	12,800	NetEase Inc ADR		2,922,496
	9,100	New Oriental Education & Technology Group Inc Sponsored ADR		905,177
	470,000	Nexteer Automotive Group Ltd		770,984
	1,627,000	People’s Insurance Co Group of China Ltd (The) – Class H		766,030
	1,838,000	PetroChina Co Ltd – Class H		1,515,261
	3,418,000	PICC Property & Casualty Co Ltd – Class H		5,996,193
	387,500	Ping An Insurance Group Co of China Ltd – Class H		3,774,945
	8,924,000	Postal Savings Bank of China Co Ltd – Class H		5,943,802
	2,234,000	Powerlong Real Estate Holdings Ltd		1,336,104
	94,000	Shandong Chenming Paper Holdings Ltd – Class H *		139,487
	464,000	Shandong Weigao Group Medical Polymer Co Ltd – Class H		398,256
	2,477,000	Shanghai Industrial Holdings Ltd		6,565,027
	4,689,000	Shanghai Pharmaceuticals Holding Co Ltd – Class H		14,428,416
	1,688,000	Shenzhen Expressway Co Ltd – Class H		1,765,454
	7,637,000	Shimao Property Holdings Ltd		22,397,891
	791,000	Sino Biopharmaceutical Ltd		1,992,564
	346,000	Sinofert Holdings Ltd *		46,593
	2,811,000	Sinotruk Hong Kong Ltd		3,963,278
	3,650,000	SSY Group Ltd.		3,889,148
	504,500	Sun Art Retail Group Ltd		592,102
	617,300	Tencent Holdings Ltd		31,514,472
	71,400	Tencent Holdings Ltd ADR		3,646,219
	1,631,000	Texhong Textile Group Ltd		2,822,989
	708,000	Tianjin Development Holdings Ltd		315,709
	988,000	Tianjin Port Development Holdings Ltd *		140,709
	1,860,000	Tianneng Power International Ltd		2,870,662
	6,021,000	TravelSky Technology Ltd – Class H		17,493,868
	187,000	Want Want China Holdings Ltd		184,839
	9,794,000	Weichai Power Co Ltd – Class H		13,049,938
	36,000	Wisdom Education International Holdings Co Ltd		31,362
	1,029,000	XTEP International Holdings Ltd		652,670
	2,720,000	Yadea Group Holdings Ltd		1,004,371

Shares		Description	Value ($)
		China — continued
	1,600	YiChang HEC ChangJiang Pharmaceutical Co Ltd – Class H		8,744
	4,000	Yihai International Holding Ltd.		7,351
	8,989,000	Yuzhou Properties Co Ltd		6,296,699
	45,400	YY, Inc. ADR *		5,290,462
	4,376,000	Zhejiang Expressway Co Ltd – Class H		4,363,703
	95,300	Zhuzhou CRRC Times Electric Co Ltd – Class H		478,979
		Total China		844,872,486
		Colombia — 0.1%
	405,978	Almacenes Exito SA		2,317,587
	466,000	Ecopetrol SA Sponsored ADR		10,014,340
		Total Colombia		12,331,927
		Cyprus — 0.0%
	67,336	TCS Group Holding Plc GDR (Registered)		1,372,039
		Czech Republic — 0.1%
	176,979	CEZ AS		4,425,165
	1,232,534	Moneta Money Bank AS		4,308,401
		Total Czech Republic		8,733,566
		Denmark — 0.2%
	90,200	Novo Nordisk A/S Sponsored ADR		4,288,108
	332,780	Novo Nordisk A/S – Class B		15,816,517
	7,941	Scandinavian Tobacco Group A/S		117,442
	2,726	Schouw & Co AB		245,273
	6,925	Spar Nord Bank A/S		75,201
		Total Denmark		20,542,541
		Egypt — 0.0%
	544,093	Global Telecom Holding SAE *		148,071
		Finland — 0.2%
	41,556	Finnair Oyj		516,922
	68,232	Neste Oyj		5,575,929
	12,803	Sanoma Oyj		131,111
	8,560	Stora Enso Oyj – R Shares		175,593
	354,259	UPM-Kymmene Oyj		13,003,729
		Total Finland		19,403,284
		France — 1.9%
	497,387	Air France-KLM *		3,942,467
	29,555	Amundi SA		2,160,358
	742,784	AXA SA		18,610,825
	453,415	BNP Paribas SA		28,173,346
	2,033	Bonduelle SCA		77,673
	48,771	Christian Dior SE		20,768,713
	254,263	CNP Assurances		5,954,186
	22,164	Coface SA		235,550
	559,006	Credit Agricole SA		7,687,063

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		France — continued
	70,792	Derichebourg SA		430,494
	10,976	Gaztransport Et Technigaz SA		653,113
	3,290	Kaufman & Broad SA		154,686
	70,007	L’Oreal SA		16,860,412
	7,846	Mersen SA		334,389
	26,519	Metropole Television SA		560,536
	292,307	Natixis SA		2,115,542
	7,721	Neopost SA		214,690
	18,334	Rallye SA		242,440
	3,873	Renault SA		375,564
	5,647	Rexel SA		83,074
	102,032	Sanofi		7,821,150
	59,900	Sanofi ADR		2,292,373
	149,345	SCOR SE		5,502,098
	566,802	Societe Generale SA		24,464,605
	795,100	STMicroelectronics NV – NY Shares		18,979,037
	706,342	STMicroelectronics NV		16,841,917
	1,971,642	Unibail-Rodamco-Westfield CDI * (a)		21,933,405
	3,168	Vilmorin & Cie SA		212,969
		Total France		207,682,675
		Germany — 2.6%
	211,521	Allianz SE (Registered)		43,580,133
	1,074	Amadeus Fire AG		119,399
	239,624	BASF SE		23,659,299
	12,091	Bauer AG		324,796
	13,373	Bayer AG (Registered)		1,596,117
	438,654	Bayerische Motoren Werke AG		43,832,119
	2,053	Cewe Stiftung & Co KGAA		203,215
	164,140	Covestro AG		14,953,594
	620,343	Daimler AG (Registered Shares)		44,813,714
	1,350,866	Deutsche Lufthansa AG (Registered)		36,660,971
	65,605	Deutsche Pfandbriefbank AG *		999,334
	14,244	Deutsche Post AG (Registered)		540,230
	4,362	Eckert & Ziegler AG		182,719
	16,541	Elmos Semiconductor AG		510,102
	3,906	Gesco AG		131,214
	22,194	Henkel AG & Co KGaA		2,502,488
	4,845	Isra Vision AG		246,084
	18,582	Leoni AG		1,115,141
	181,489	Linde AG		41,472,921
	2,747	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		564,675
	4,074	OHB SE		154,899
	1,031	Pfeiffer Vacuum Technology AG		180,881
	3,476	ProSiebenSat.1 Media SE		102,199
	177,517	RWE AG		4,026,394
	140,820	SAP SE		15,862,974
	1,545	Sixt SE		196,099
	7,582	Software AG		361,780

Shares		Description	Value ($)
		Germany — continued
	7,926	STADA Arzneimittel AG		751,293
	52,048	Talanx AG		2,004,653
	23,321	Uniper SE		738,209
	32,307	Volkswagen AG		5,983,277
	36,713	Wacker Neuson SE		1,114,728
	26,569	Wuestenrot & Wuerttembergische AG		588,534
		Total Germany		290,074,185
		Greece — 0.0%
	118,862	Intralot SA *		131,943
	30,154	Mytilineos Holdings SA *		320,328
	134,542	Public Power Corp SA *		316,346
		Total Greece		768,617
		Hong Kong — 0.9%
	3,543,000	BOC Hong Kong Holdings Ltd		17,735,058
	547,000	CK Asset Holdings Ltd		4,546,787
	520,000	Dah Sing Banking Group Ltd		1,191,119
	319,200	Dah Sing Financial Holdings Ltd		2,102,751
	22,000	Fortune Real Estate Investment Trust		26,583
	16,000	Henderson Land Development Co Ltd		104,877
	193,000	Hysan Development Co Ltd		1,113,441
	3,230,213	I-CABLE Communications Ltd *		69,095
	225,500	Johnson Electric Holdings Ltd		688,021
	967,000	Kerry Properties Ltd		5,157,039
	612,500	Link (REIT)		5,396,532
	170,000	Luk Fook Holdings International Ltd		773,655
	772,000	Singamas Container Holdings Ltd		146,996
	5,663,000	SJM Holdings Ltd		8,088,484
	3,000	Sun Hung Kai Properties Ltd		48,258
	16,889,500	WH Group Ltd		17,303,688
	1,990,000	Wharf Holdings Ltd (The)		6,401,699
	1,898,000	Wharf Real Estate Investment Co Ltd		14,594,084
	1,253,000	Wheelock & Co Ltd		9,410,568
	232,500	Xinyi Automobile Glass Hong Kong Enterprises Ltd *		64,902
	376,000	Yue Yuen Industrial Holdings Ltd		1,159,693
		Total Hong Kong		96,123,330
		Hungary — 0.1%
	2,257,270	Magyar Telekom Telecommunications Plc		3,428,791
	177,069	Richter Gedeon Nyrt		3,468,532
		Total Hungary		6,897,323
		India — 1.6%
	8,089	ACC Ltd		162,781
	208,400	Andhra Bank *		111,443
	395,015	Aurobindo Pharma Ltd		3,248,370
	41,675	Canara Bank		158,702
	224,796	Castrol India Ltd		575,491
	507,101	Chambal Fertilizers and Chemicals Ltd		1,271,435
	33,227	DCM Shriram Ltd		138,720

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		India — continued
	211,718	Divi’s Laboratories Ltd		3,290,421
	638,702	Firstsource Solutions Ltd *		685,555
	126,366	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		891,925
	2,514,325	HCL Technologies Ltd		33,779,913
	63,910	Hero MotoCorp Ltd		3,359,553
	1,242,622	Hexaware Technologies Ltd		8,046,600
	290,335	Hindustan Petroleum Corp Ltd		1,344,228
	45,502	IDBI Bank Ltd *		43,973
	259,399	IDFC Bank Ltd		156,192
	641,376	IFCI Ltd *		167,771
	934,454	Indian Oil Corp Ltd		2,415,718
	157,900	Infosys Ltd Sponsored ADR		2,872,201
	1,644,357	Jaypee Infratech Ltd *		132,206
	559,812	Karnataka Bank Ltd (The)		994,065
	281,591	KPIT Technologies Ltd		1,149,646
	119,616	Larsen & Toubro Infotech Ltd		3,106,780
	38,577	Mahanagar Gas Ltd		468,551
	49,247	Maruti Suzuki India Ltd		6,230,988
	35,715	Mastek Ltd		278,806
	8,130	Merck Ltd		281,425
	235,082	Mindtree Ltd		3,509,487
	365,651	Mphasis Ltd		5,943,018
	1,337,409	NHPC Ltd		527,078
	364,616	NIIT Technologies Ltd		6,061,798
	21,408	NMDC Ltd		37,104
	20,862	Nucleus Software Exports Ltd		118,598
	3,605,261	Oil & Natural Gas Corp Ltd		9,490,710
	205,598	Oil India Ltd		659,279
	58,704	Pidilite Industries Ltd		1,000,267
	7,902,579	Power Finance Corp Ltd		9,487,829
	2,086,433	PTC India Ltd		2,622,970
	1,135,724	Reliance Capital Ltd		7,004,809
	8,430,860	Rural Electrification Corp Ltd		14,739,590
	533,189	Sonata Software Ltd		2,973,296
	140,819	Steel Authority of India Ltd *		158,349
	98,916	Tata Chemicals Ltd		1,086,119
	1,051,354	Tata Global Beverages Ltd		4,185,733
	62,204	Tata Motors Ltd – Class A *		156,426
	1,257,329	Tata Steel Ltd		10,744,702
	489,798	Tech Mahindra Ltd		5,143,598
	31,075	Unichem Laboratories Ltd		116,619
	124,525	Union Bank of India *		166,681
	2,797,474	Unitech Ltd *		186,192
	587,060	Vakrangee Ltd		283,602
	2,803,915	Wipro Ltd		10,948,401
	19,633	Zensar Technologies Ltd		377,702
	74,402	Zuari Agro Chemicals Ltd		401,167
		Total India		173,494,583

Shares		Description	Value ($)
		Indonesia — 0.3%
	14,810,300	Adaro Energy Tbk PT		2,005,798
	1,441,800	Bank Central Asia Tbk PT		2,348,020
	5,141,900	Bank Mandiri Persero Tbk PT		2,595,977
	2,263,000	Bank Negara Indonesia Persero Tbk PT		1,376,083
	15,990,400	Bank Pembangunan Daerah Jawa Timur Tbk PT		791,955
	39,553,200	Bank Rakyat Indonesia Persero Tbk PT		8,736,905
	4,106,400	Bukit Asam Tbk PT		1,118,177
	2,742,500	Gajah Tunggal Tbk PT		160,248
	85,400	Gudang Garam Tbk PT		420,050
	3,773,200	Harum Energy Tbk PT *		873,315
	4,699,800	Indo Tambangraya Megah Tbk PT		8,721,653
	1,769,300	Indofood Sukses Makmur Tbk PT		898,191
	448,700	Matahari Department Store Tbk PT		294,291
	27,622,800	Panin Financial Tbk PT *		440,934
	17,943,000	Telekomunikasi Indonesia Persero Tbk PT		4,502,792
	44,500	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		1,099,595
	697,100	United Tractors Tbk PT		1,756,640
	966,100	XL Axiata Tbk PT *		145,429
		Total Indonesia		38,286,053
		Ireland — 0.0%
	36,200	ICON Plc *		4,669,076
	1,854	Smurfit Kappa Group Plc		76,500
		Total Ireland		4,745,576
		Israel — 0.1%
	48,676	Discount Investment Corp Ltd (Registered)		143,031
	11,077	First International Bank of Israel Ltd		244,373
	23,745	Frutarom Industries Ltd		2,324,709
	27,495	Harel Insurance Investments & Financial Services Ltd		209,043
	29,471	Nova Measuring Instruments Ltd *		883,700
	74,700	Orbotech Ltd *		4,783,788
	2,795	SodaStream International Ltd *		232,712
	9,196	SodaStream International Ltd *		780,039
	5,531	Teva Pharmaceutical Industries Ltd *		119,242
		Total Israel		9,720,637
		Italy — 1.1%
	845	ACEA SPA		13,203
	178,721	Arnoldo Mondadori Editore SPA *		255,911
	29,484	ASTM SPA		681,472
	35,971	Carraro SpA		127,267
	11,154	Credito Emiliano SPA		78,880
	5,328	El.En. SPA		185,751
	46,423	Enav SPA		223,829
	3,734,753	Enel SPA		20,525,561
	18,266	ERG SPA		380,223

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	423,931	EXOR NV		30,789,929
	136,155	Falck Renewables SPA		311,782
	1,768,224	Fiat Chrysler Automobiles NV		41,075,844
	140,282	Fiat Chrysler Automobiles NV *		3,179,475
	139,651	Fincantieri SPA		221,848
	97,315	FinecoBank Banca Fineco SPA		970,553
	221,943	IMMSI SPA *		130,404
	1,050,965	Iren SPA		2,614,078
	31,456	La Doria SPA		427,807
	28,376	Piaggio & C SPA		67,276
	43,585	Poste Italiane SPA		373,293
	13,622	Prima Industrie SPA		572,694
	154,760	Recordati SPA		5,726,209
	4,804	Reply SPA		288,750
	6,037	Sabaf SPA		126,705
	562,147	Saras SPA		1,262,739
	613,848	Societa Cattolica di Assicurazioni SC		5,280,665
	46,344	Societa Iniziative Autostradali e Servizi SPA		750,796
	1,357,900	Telecom Italia SPA *		1,090,898
	2,555,217	Telecom Italia SPA-RSP		1,790,646
		Total Italy		119,524,488
		Japan — 4.9%
	113,200	Aisin Seiki Co Ltd		5,678,248
	65,200	AOKI Holdings Inc		1,041,571
	2,800	Aoyama Trading Co Ltd		99,165
	10,400	Asahi Glass Co Ltd		424,293
	1,571,200	Asahi Kasei Corp (b)		21,481,239
	802,600	Astellas Pharma Inc		12,428,825
	7,100	Autobacs Seven Co Ltd		129,063
	4,600	Bank of the Ryukyus Ltd		69,635
	14,900	Belluna Co Ltd		191,434
	541,300	Brother Industries Ltd		11,276,789
	1,078,200	Canon Inc		36,766,038
	16,000	Chiba Bank Ltd (The)		122,941
	64,400	CKD Corp		1,326,486
	3,800	Daicel Corp		42,822
	5,000	Daihen Corp		35,314
	9,500	Dai-ichi Seiko Co Ltd		174,584
	45,500	Daiwa House Industry Co Ltd		1,643,514
	6,700	Daiwabo Holdings Co Ltd		373,827
	118,300	DCM Holdings Co Ltd		1,185,510
	56,600	Denka Co Ltd		2,066,267
	7,500	DIC Corp		244,054
	10,500	Duskin Co Ltd		253,834
	81,000	Fancl Corp		3,727,045
	4,900	Foster Electric Co Ltd		74,854
	115,000	Fuji Electric Co Ltd		815,153
	4,800	Fuji Pharma Co Ltd		176,287
	1,200	Fuji Oil Holdings Inc		43,366
	1,000	Fuji Soft Inc		40,732

Shares		Description	Value ($)
		Japan — continued
	13,600	FUJIFILM Holdings Corp (b)		520,421
	39,300	Fujikura Ltd		266,344
	5,000	Fujitsu General Ltd		77,544
	2,931,000	Fujitsu Ltd		17,871,933
	26,000	Fukuoka Financial Group Inc		138,563
	5,500	Fuyo General Co Ltd		395,518
	3,400	Gree Inc		19,319
	9,200	Hamakyorex Co Ltd		309,229
	8,400	Hanwa Co Ltd		353,084
	8,900	Hazama Ando Corp		77,658
	8,600	Heiwado Co Ltd		207,667
	1,100	Hitachi High-Technologies Corp		49,931
	4,967,000	Hitachi Ltd		36,163,553
	9,900	Hochiki Corp		202,306
	68,800	Honda Motor Co Ltd		2,183,376
	4,200	Hosokawa Micron Corp		261,232
	77,100	House Foods Group Inc (b)		2,818,556
	4,700	Idemitsu Kosan Co Ltd		156,874
	15,100	Isuzu Motors Ltd		201,557
	2,636,000	ITOCHU Corp		49,324,210
	39,400	Itochu Techno-Solutions Corp		711,811
	5,000	Japan Airlines Co Ltd		193,352
	5,000	Japan Aviation Electronics Industry Ltd		82,812
	17,400	JFE Holdings Inc		358,026
	4,800	JSP Corp		148,957
	32,600	JSR Corp		633,422
	8,800	JTEKT Corp		127,562
	10,100	Juki Corp		111,436
	35,300	JXTG Holdings Inc		226,774
	22,000	Kajima Corp		179,007
	11,200	Kamei Corp		163,278
	18,000	Kaneka Corp		184,754
	235,200	Kanematsu Corp		3,627,401
	6,200	Kato Sangyo Co Ltd		215,448
	40,500	Keihin Corp		785,867
	47,000	Kirin Holdings Co Ltd		1,331,436
	109,500	Kitz Corp		976,607
	26,400	Kose Corp		5,715,027
	30,000	Kyosan Electric Manufacturing Co Ltd		211,790
	7,100	Kyowa Exeo Corp		185,393
	37,100	Leopalace21 Corp		254,941
	6,000	Makino Milling Machine Co Ltd		53,248
	9,000	Mandom Corp		292,711
	2,424,300	Marubeni Corp		18,806,271
	41,100	MCJ Co Ltd		666,411
	3,304	Medipal Holdings Corp		75,942
	4,292,900	Mitsubishi Chemical Holdings Corp		39,534,499
	288,200	Mitsubishi Corp		7,987,893
	1,732,900	Mitsubishi Electric Corp		24,558,247
	287,200	Mitsubishi Gas Chemical Co Inc		7,294,362
	578,300	Mitsubishi Tanabe Pharma Corp		10,328,106
	143,500	Mitsubishi UFJ Financial Group Inc		865,049

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	147,474	Mitsui & Co Ltd		2,587,969
	182,500	Mitsui Chemicals Inc		5,257,497
	34,800	Mitsui Mining & Smelting Co Ltd		1,514,379
	44,100	Modec Inc		1,193,782
	4,400	Morinaga & Co Ltd		217,799
	8,900	Nachi-Fujikoshi Corp		423,984
	2,900	NEC Networks & System Integration Corp		65,971
	131,800	NET One Systems Co Ltd		2,140,122
	158,000	Nichias Corp		1,980,140
	32,000	Nichiha Corp		1,272,529
	107,300	Nippo Corp		2,070,061
	5,200	Nippon Chemi-Con Corp *		195,144
	4,000	Nippon Paper Industries Co Ltd		67,223
	15,000	Nippon Soda Co Ltd		82,764
	984,300	Nippon Telegraph & Telephone Corp		45,983,406
	6,900	Nippon Valqua Industries Ltd		209,390
	11,000	Nippon Flour Mills Co Ltd		183,013
	28,200	Nisshin Oillio Group Ltd (The)		803,886
	5,800	Nisshin Seifun Group Inc		122,135
	34,300	Nisshinbo Holdings Inc		414,144
	14,400	Nomura Real Estate Holdings Inc		336,304
	3,500	Noritake Co Ltd		174,930
	19,700	NSK Ltd		222,896
	93,200	NTT DOCOMO Inc		2,403,803
	59,500	Onward Holdings Co Ltd		486,332
	17,000	Osaki Electric Co Ltd		130,068
	4,200	Otsuka Holdings Co Ltd		208,445
	83,900	Pola Orbis Holdings Inc		4,136,880
	309,000	Prima Meat Packers Ltd		1,846,306
	28,500	Rohm Co Ltd		2,624,382
	72,000	Rohto Pharmaceutical Co Ltd		2,314,275
	9,000	Sakata INX Corp		126,366
	3,400	Sanyo Special Steel Co Ltd		86,964
	9,700	SBI Holdings Inc		263,288
	12,500	Seiko Epson Corp		218,371
	674,400	Sekisui Chemical Co Ltd		11,046,379
	900	Shimamura Co Ltd		91,830
	15,200	Shin-Etsu Polymer Co Ltd		151,296
	30,800	Shionogi & Co Ltd		1,610,582
	14,700	Showa Corp		263,208
	87,700	Showa Denko KK		3,766,687
	600	SMC Corp		226,413
	4,357,000	Sojitz Corp		15,464,993
	71,200	Sony Corp		3,359,135
	1,700	Sugi Holdings Co Ltd		101,720
	114,000	Sumitomo Bakelite Co Ltd		1,153,858
	3,934,000	Sumitomo Chemical Co Ltd		23,681,280
	24,000	Sumitomo Dainippon Pharma Co Ltd		496,911
	25,200	Sumitomo Forestry Co Ltd		383,748
	25,500	Sumitomo Mitsui Financial Group Inc		1,051,296
	300	Sumitomo Seika Chemicals Co Ltd		13,731

Shares		Description	Value ($)
		Japan — continued
	2,900	Suntory Beverage & Food Ltd		128,519
	59,500	Suzuki Motor Corp		3,409,567
	1,600	Taikisha Ltd		50,136
	304,400	Takeda Pharmaceutical Co Ltd		12,374,468
	82,500	Tatsuta Electric Wire and Cable Co Ltd		458,186
	19,300	T-Gaia Corp		540,840
	3,737	TIS Inc		175,070
	57,000	Tocalo Co Ltd		689,218
	10,600	Tochigi Bank Ltd (The)		38,042
	19,400	Token Corp		1,842,291
	900	Tokyo Century Corp		53,920
	28,200	Tokyo Electric Power Co Holdings Inc *		133,621
	94,800	Tokyo Electron Ltd (b)		17,690,715
	1,800	Tokyo Gas Co Ltd		48,947
	43,900	Tokyu Construction Co Ltd		442,845
	11,000	Toshiba Machine Co Ltd		61,167
	508,000	Tosoh Corp		8,863,811
	28,000	Toyo Ink SC Holdings Co Ltd		156,456
	9,000	Toyo Suisan Kaisha Ltd		320,213
	397,100	Toyota Tsusho Corp		13,644,058
	80,300	TS Tech Co Ltd		3,517,913
	15,000	Tsubakimoto Chain Co		116,557
	1,600	Tsumura & Co		58,093
	5,600	Ube Industries Ltd		158,683
	24,500	Unipres Corp		518,168
	22,300	Wacoal Holdings Corp		662,452
	29,700	Warabeya Nichiyo Holdings Co Ltd		748,240
	2,000	Yamaguchi Financial Group Inc		24,064
	7,000	Yamaha Motor Co Ltd		201,794
	6,400	Yokohama Rubber Co Ltd (The)		138,724
	12,100	Zeon Corp		152,659
		Total Japan		553,067,057
		Malaysia — 0.1%
	289,300	DRB-Hicom Berhad		126,687
	29,000	Fraser & Neave Holdings Berhad		275,687
	1,915,800	KSL Holdings Berhad *		421,506
	166,700	Padini Holdings Berhad		240,598
	1,174,600	Petronas Chemicals Group Berhad		2,375,557
	63,300	PPB Group Bhd		316,995
	994,400	Sapura Energy Berhad *		137,417
	1,132,100	Supermax Corp Berhad		872,121
	508,200	Ta Ann Holdings Berhad		356,300
	1,819,900	Top Glove Corp Berhad		4,678,904
	767,300	YTL Power International Berhad		158,015
		Total Malaysia		9,959,787
		Mexico — 0.6%
	1,524,862	Arca Continental SAB de CV		9,174,563
	315,492	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand – Class B		412,543

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Mexico — continued
	1,460,246	Bolsa Mexicana de Valores SAB de CV		2,372,163
	2,100	Coca-Cola Femsa SAB de CV Sponsored ADR		122,766
	1,155,500	Corp Inmobiliaria Vesta SAB de CV		1,451,280
	126,400	Credito Real SAB de CV SOFOM ER		153,432
	367,600	Genomma Lab Internacional SAB de CV – Class B *		311,115
	1,112,700	Gentera SAB de CV		857,483
	142,700	Grupo Aeroportuario del Centro Norte SAB de CV		679,062
	4,000	Grupo Aeroportuario del Centro Norte SAB de CV ADR		152,320
	700	Grupo Aeroportuario del Sureste SAB de CV ADR		111,839
	295,600	Grupo Financiero Inbursa SAB de CV – Class O		417,656
	27,191	Grupo Financiero Interacciones SA de CV – Class O *		122,972
	267,213	Grupo Herdez SAB de CV		527,871
	268,000	Grupo Lala SAB de CV		291,990
	159,400	Megacable Holdings SAB de CV CPO		681,328
	77,245	Promotora y Operadora de Infraestructura SAB de CV *		693,494
	18,111,150	Wal-Mart de Mexico SAB de CV		45,612,386
		Total Mexico		64,146,263
		Netherlands — 1.0%
	202	Akzo Nobel NV		17,734
	57,691	ASR Nederland NV		2,439,343
	36,129	ForFarmers NV		487,438
	57,129	Heineken Holding NV		5,565,351
	2,317,180	ING Groep NV		33,749,068
	27,954	Koninklijke Ahold Delhaize NV		642,183
	350	Koninklijke DSM NV		34,871
	7,631	NN Group NV		327,869
	475,607	NXP Semiconductors NV *		54,219,198
	80,405	Signify NV		2,291,571
	47,336	Unilever NV – NY Shares (c)		2,639,929
	1,528	Vastned Retail NV		75,009
	152,899	Wolters Kluwer NV		8,589,282
		Total Netherlands		111,078,846
		New Zealand — 0.0%
	1,205,311	Air New Zealand Ltd		2,636,739
		Norway — 0.6%
	5,147	Aker ASA – A Shares		366,430
	7,580	Atea ASA *		114,956
	61,510	Austevoll Seafood ASA		736,959
	56,696	Bakkafrost P/F		2,972,516
	233,681	BW LPG Ltd *		974,884
	951,974	DNB ASA		17,062,296
	918,012	Equinor ASA		24,132,392

Shares		Description	Value ($)
		Norway — continued
	384,556	Kongsberg Automotive ASA *		498,410
	112,598	Kvaerner ASA *		247,238
	9,756	Salmar ASA		425,359
	12,614	Selvaag Bolig ASA		67,616
	45,694	SpareBank 1 SR Bank ASA		438,130
	618,899	Storebrand ASA		5,062,794
	466,595	Subsea 7 SA		7,112,242
	135,311	Telenor ASA		2,787,257
	46,872	TGS NOPEC Geophysical Co ASA		1,571,726
		Total Norway		64,571,205
		Pakistan — 0.0%
	627,500	Engro Fertilizers Ltd		403,932
	333,700	Oil & Gas Development Co Ltd		470,050
	104,050	Pakistan Oilfields Ltd		607,019
		Total Pakistan		1,481,001
		Peru — 0.0%
	13,500	Credicorp Ltd		2,989,170
		Philippines — 0.0%
	426,420	Manila Electric Co		2,616,772
	1,156,500	Manila Water Co Inc		624,159
	12,832,000	Megaworld Corp		1,186,345
		Total Philippines		4,427,276
		Poland — 0.2%
	345,143	Asseco Poland SA		4,277,308
	6,798	Bank Zachodni WBK SA		636,505
	487,703	Enea SA		1,350,012
	1,346,657	Energa SA		3,435,565
	535,514	PGE Polska Grupa Energetyczna SA *		1,422,351
	111,826	Polski Koncern Naftowy ORLEN SA		2,466,082
	679,415	Polskie Gornictwo Naftowe i Gazownictwo SA		1,053,107
	228,098	Powszechny Zaklad Ubezpieczen SA		2,236,584
	5,631,924	Tauron Polska Energia SA *		3,407,145
		Total Poland		20,284,659
		Portugal — 0.0%
	36,180	CTT – Correios de Portugal SA		119,973
	17,120	Mota-Engil SGPS SA		64,895
	71,344	Navigator Co SA (The)		444,963
	520,332	Sonae SGPS SA		642,386
		Total Portugal		1,272,217
		Qatar — 0.1%
	326,526	Barwa Real Estate Co		3,072,395
	88,110	Doha Bank QPSC		629,824
	96,736	Masraf Al Rayan QSC		888,087
	14,537	Qatar Electricity & Water Co QSC		758,698

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Qatar — continued
	75,713	Qatar Gas Transport Co Ltd		305,680
	98,308	Qatar Insurance Co SAQ		888,046
	35,594	Qatar Islamic Bank SAQ		1,121,899
	131,964	Qatar National Bank QPSC		5,736,887
	25,567	Qatar Navigation QSC		441,912
		Total Qatar		13,843,428
		Russia — 2.3%
	2,555,800	Aeroflot PJSC		5,767,044
	6,812,900	Alrosa PJSC		9,642,975
	259,165	Evraz Plc		1,755,177
	74,090	Gazprom Neft PJSC		382,037
	321,830	Gazprom PJSC		749,239
	6,031,692	Gazprom PJSC Sponsored ADR		27,322,250
	268,653	Globaltrans Investment Plc Sponsored GDR (Registered)		2,674,008
	26,664,000	Inter RAO UES PJSC		1,748,080
	323,632	LUKOIL PJSC Sponsored ADR		21,557,038
	234,980	M.Video PJSC *		1,535,334
	37,386	Magnit PJSC Sponsored GDR (Registered)		750,964
	2,019,000	Magnitogorsk Iron & Steel OJSC		1,588,142
	16,193	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		165,341
	1,115,591	MegaFon PJSC GDR (Registered)		9,844,049
	74,140	MegaFon PJSC *		561,803
	1,214,875	MMC Norilsk Nickel PJSC ADR		21,530,191
	3,393,100	Mobile TeleSystems PJSC Sponsored ADR		32,505,898
	5,240,310	Moscow Exchange MICEX-RTS PJSC		9,455,602
	173,530	Novatek PJSC		2,333,671
	124,232	Novatek PJSC Sponsered GDR (Registered)		17,872,580
	1,379,960	Novolipetsk Steel PJSC		3,602,716
	314,994	Novolipetsk Steel PJSC GDR		8,254,949
	59,201	PhosAgro PJSC GDR (Registered)		785,984
	17,320	Polyus PJSC		1,040,984
	74,613	Polyus PJSC GDR (Registered)		2,275,398
	199,717	QIWI Plc Sponsored ADR		3,251,393
	4,417,585	Rostelecom PJSC		4,671,136
	7,939	Rostelecom PJSC Sponsored ADR		51,263
	1,561,000	Sberbank of Russia PJSC		5,525,927
	1,959,067	Sberbank of Russia Sponsored ADR		28,092,954
	125,050	Severstal PJSC		2,009,238
	280,582	Severstal PJSC GDR (Registered)		4,455,856
	1,986,558	Surgutneftegas OJSC Sponsored ADR		8,820,123
	552,420	Tatneft PJSC		5,907,466
	139,118	Tatneft PJSC Sponsored ADR		8,878,310
	1,200	Yandex NV – Class A *		40,224
		Total Russia		257,405,344

Shares		Description	Value ($)
		Singapore — 0.1%
	122,700	Oversea-Chinese Banking Corp Ltd		1,143,997
	605,200	Sino Grandness Food Industry Group Ltd *		108,451
	292,400	Venture Corp Ltd		4,571,257
	5,487,100	Yangzijiang Shipbuilding Holdings Ltd		3,927,622
	1,115,300	Yanlord Land Group Ltd		1,403,566
		Total Singapore		11,154,893
		South Africa — 1.5%
	1,613,256	African Phoenix Investments Ltd *		81,234
	70,136	Aspen Pharmacare Holdings Ltd		1,376,985
	145,164	Astral Foods Ltd		3,067,558
	123,453	AVI Ltd		991,311
	2,745,451	Barclays Africa Group Ltd		34,905,921
	611,739	Barloworld Ltd		6,363,060
	119,659	Bidvest Group Ltd (The)		1,896,626
	2,550,540	Blue Label Telecoms Ltd		2,355,974
	98,344	Brait SE *		282,053
	26,211	Distell Group Ltd		264,707
	1,017,026	Emira Property Fund Ltd (REIT)		1,237,896
	113,228	Hyprop Investments Ltd (REIT)		921,663
	310,750	Imperial Holdings Ltd		4,987,943
	8,285	JSE Ltd		118,196
	513,658	Kumba Iron Ore Ltd		11,670,668
	516,296	Lewis Group Ltd		1,355,223
	617,554	Liberty Holdings Ltd		5,875,675
	1,219,016	MMI Holdings Ltd		1,788,926
	244,710	Mondi Ltd		6,728,676
	300,868	Mr Price Group Ltd		5,946,027
	952,078	Murray & Roberts Holdings Ltd		1,353,181
	1,184,588	Nedbank Group Ltd		25,419,601
	48,412	Omnia Holdings Ltd		511,821
	442,641	Reunert Ltd		2,747,532
	1,319,480	SA Corporate Real Estate Ltd (REIT)		481,265
	3,817	Sanlam Ltd		22,796
	42,279	Santam Ltd		1,026,967
	255,439	Sibanye Gold Ltd *		158,320
	2,268,558	Standard Bank Group Ltd		36,907,111
	3,025,964	Steinhoff International Holdings NV *		266,228
	94,194	Truworths International Ltd		624,294
	339,220	Tsogo Sun Holdings Ltd		612,326
	16,716	Vukile Property Fund Ltd (REIT)		28,712
	203,844	Wilson Bayly Holmes-Ovcon Ltd		2,491,974
		Total South Africa		164,868,450
		South Korea — 3.3%
	62,845	Aekyung Petrochemical Co Ltd		748,435
	1,018,672	BNK Financial Group Inc		8,981,337
	3,310	Celltrion Pharm Inc *		283,873

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	9,545	Chong Kun Dang Pharmaceutical Corp		926,915
	7,057	CJ O Shopping Co Ltd		1,456,499
	17,356	Com2uSCorp		3,079,601
	2,881	Crown Confectionery Co Ltd		37,844
	2,237	Crown Haitai Holdings Co Ltd		35,587
	376	Dae Han Flour Mills Co Ltd		66,261
	51,186	Daeduck Electronics Co		377,813
	4,487	Daihan Pharmaceutical Co Ltd		187,362
	58,765	Daishin Securities Co Ltd		738,635
	73,782	Daou Data Corp		836,791
	177,742	Daou Technology Inc		4,266,377
	178,504	DB Insurance Co Ltd		9,682,521
	14,252	DGB Financial Group Inc		136,516
	3,011	DongKook Pharmaceutical Co Ltd		177,195
	25,671	Dongsuh Cos Inc		617,108
	22,623	Dongwha Pharm Co Ltd		239,530
	494,990	Dongwon Development Co Ltd		2,066,771
	30,089	E-MART Inc		6,962,654
	17,097	F&F Co Ltd		1,011,255
	2,517	GOLFZON Co Ltd		100,721
	440,330	Grand Korea Leisure Co Ltd		11,168,046
	26,597	Green Cross Holdings Corp		935,380
	8,074	GS Home Shopping Inc		1,267,510
	6,928	GS Retail Co Ltd		242,475
	159,738	Hana Financial Group Inc		6,156,454
	139,124	Hankook Tire Co Ltd		5,522,219
	168,768	Hankook Tire Worldwide Co Ltd		2,805,133
	6,393	Hansol Paper Co Ltd		109,977
	5,108	Hanwha Aerospace Co Ltd *		157,085
	8,421	Hanwha Corp		280,497
	268,353	Hanwha Life Insurance Co Ltd		1,386,083
	35,303	Harim Holdings Co Ltd		123,066
	2,250	HLB Inc *		286,844
	15,635	Hyundai Corp		580,085
	37,367	Hyundai Greenfood Co Ltd		517,104
	28,043	Hyundai Home Shopping Network Corp		2,767,657
	197,617	Hyundai Hy Communications & Network Co Ltd		797,675
	226,491	Hyundai Marine & Fire Insurance Co Ltd		7,154,388
	55,481	Hyundai Mobis Co Ltd		11,190,765
	3,295	Hyundai Wia Corp		154,080
	1,216,995	Industrial Bank of Korea		17,571,017
	27,443	Innocean Worldwide Inc		1,670,194
	459,713	JB Financial Group Co Ltd		2,580,062
	2,176	Kangnam Jevisco Co Ltd		63,568
	265,027	Kangwon Land Inc		6,597,495
	283,708	KB Financial Group Inc		13,645,979
	549,917	Kia Motors Corp		15,864,975
	170,163	Korea Asset In Trust Co Ltd		836,663
	14,263	Korea Zinc Co Ltd		5,362,188
	100,416	Korean Reinsurance Co		1,181,944

Shares		Description	Value ($)
		South Korea — continued
	72,725	KT Hitel Co Ltd *		380,898
	67,865	KT Skylife Co Ltd		807,682
	210,426	KT&G Corp		18,737,219
	104	Kukdo Chemical Co Ltd		6,243
	69,767	Kwang Dong Pharmaceutical Co Ltd		519,991
	87,816	Kyobo Securities Co Ltd		816,220
	37,636	Kyungdong Pharm Co Ltd		423,308
	151,982	LF Corp		4,058,308
	158,992	LG Corp		10,807,539
	241,293	LG Electronics Inc		20,684,602
	124,632	LOTTE Himart Co Ltd		9,087,195
	25,123	Maeil Holdings Co Ltd		361,518
	101,445	Meritz Fire & Marine Insurance Co Ltd		1,926,157
	126,505	Meritz Securities Co Ltd		477,150
	20,094	NHN KCP Corp *		261,421
	1,153	Ottogi Corp		866,084
	1,110	Pearl Abyss Corp *		229,837
	18,236	S&T Motiv Co Ltd		522,937
	49,355	Samjin Pharmaceutical Co Ltd		2,184,398
	80,405	Samsung Card Co Ltd		2,766,530
	329,800	Samsung Electronics Co Ltd		15,486,608
	7	Samsung Electronics Co Ltd GDR		8,282
	16,407	Samsung Engineering Co Ltd *		279,655
	14,743	Samsung Fire & Marine Insurance Co Ltd		3,423,621
	17,231	Samsung SDS Co Ltd		3,355,240
	5,963	Samsung Securities Co Ltd		203,321
	13,005	SeAH Steel Corp		1,087,586
	80,641	Seohan Co Ltd		186,673
	41,827	Shinhan Financial Group Co Ltd		1,707,266
	19,510	Sindoh Co Ltd		969,668
	30,824	SK Holdings Co Ltd		7,895,687
	709,854	SK Hynix Inc		61,380,132
	25,311	SK Innovation Co Ltd		4,822,475
	34,018	SK Networks Co Ltd		156,510
	27,827	SK Telecom Co Ltd		5,723,319
	556,500	SK Telecom Co Ltd Sponsored ADR		12,699,330
	3,926	SKCKOLONPI Inc		161,190
	79,584	SL Corp		1,371,632
	6,563	Spigen Korea Co Ltd		288,270
	195	Taekwang Industrial Co Ltd		224,793
	19,149	Tongyang Life Insurance Co Ltd		126,246
	2,642	Unid Co Ltd		141,722
	1,363	ViroMed Co Ltd *		332,865
	427,323	Woori Bank		6,052,822
		Total South Korea		366,004,359
		Spain — 0.5%
	1,221,384	Atlantica Yield Plc		23,340,648
	17,215	Ebro Foods SA		418,546
	186,724	Ence Energia y Celulosa SA		1,470,287
	10,659	Faes Farma SA		43,079

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Spain — continued
	1,814,606	International Consolidated Airlines Group SA		16,491,064
	6,003	Papeles y Cartones de Europa SA		104,612
	844,149	Repsol SA		16,087,739
	78,224	Unicaja Banco SA		135,617
		Total Spain		58,091,592
		Sweden — 0.9%
	53,593	Alfa Laval AB		1,338,074
	165,182	Atlas Copco AB – A Redemption *		149,822
	191,207	Atlas Copco AB – A Shares		7,584,795
	14,861	Bufab AB		199,463
	12,708	Dometic Group AB		130,274
	118,492	Electrolux AB – Series B (b)		2,924,904
	5,321	Fastighets AB Balder – B Shares *		138,086
	12,261	Granges AB		158,213
	14,903	Hemfosa Fastigheter AB		192,627
	3,603	Holmen AB- B Shares		85,029
	205,339	Kindred Group Plc SDR		2,599,064
	4,772	Loomis AB – Class B		182,267
	25,704	Mr. Green & Co AB *		138,566
	25,704	Mr. Green & Co AB (Redemption Shares) *		3,764
	3,807	NCC AB – B Shares		70,090
	14,251	Nobina AB		95,673
	6,265	Nolato AB – B Shares		544,071
	13,680	Nordea Bank AB		131,562
	8,098	Oriflame Holding AG		273,127
	52,160	Resurs Holding AB		333,253
	1,185,402	Sandvik AB		20,559,539
	226,082	SAS AB *		483,112
	23,283	SKF AB – B Shares		452,695
	16,516	SSAB AB – Series A		89,213
	1,162,631	Svenska Cellulosa AB SCA – Class B		12,887,724
	26,245	Swedbank AB – A Shares		545,601
	43,394	Swedish Match AB		2,058,164
	45,227	Volvo AB – A Shares		776,353
	2,407,187	Volvo AB – B Shares		41,401,344
		Total Sweden		96,526,469
		Switzerland — 1.3%
	12,612	ALSO Holding AG (Registered) *		1,571,477
	6,514	Ascom Holding AG (Registered)		132,060
	713	Barry Callebaut AG (Registered)		1,248,886
	18,575	BKW AG		1,173,168
	9,609	Bobst Group SA (Registered)		1,043,894
	1,705	Bossard Holding AG (Registered) – A Shares		344,268
	4,951	Bucher Industries AG (Registered)		1,786,362
	51	Comet Holding AG (Registered) *		6,720
	103,990	GAM Holding AG *		1,555,027
	10,015	Georg Fischer AG (Registered)		12,947,123

Shares		Description	Value ($)
		Switzerland — continued
	390	Gurit Holding AG		329,062
	1,462	Inficon Holding AG (Registered) *		823,718
	9,168	Kardex AG (Registered) *		1,404,306
	146	Komax Holding AG (Registered)		41,273
	18,713	Lonza Group AG (Registered) *		5,010,530
	29,200	Luxoft Holding Inc *		1,051,200
	195,420	Nestle SA (Registered)		14,770,315
	417,214	Novartis AG (Registered)		31,016,828
	6,100	Novartis AG ADR		454,572
	7,689	Orior AG		686,742
	107,197	Roche Holding AG		22,984,289
	14,405	Roche Holding AG		3,143,461
	3,139	Sika AG		25,104,166
	939	Straumann Holding AG (Registered)		619,347
	254	Swiss Life Holding AG (Registered) *		86,637
	121,292	Swiss Re AG		10,429,990
	9,109	UBS Group AG (Registered) *		137,504
	1,962	Zehnder Group AG – Class RG		84,822
		Total Switzerland		139,987,747
		Taiwan — 6.0%
	327,000	Ability Enterprise Co Ltd		177,065
	962,000	AcBel Polytech Inc		624,884
	170,000	Actron Technology Corp		628,519
	488,000	Advantech Co Ltd		3,294,302
	37,000	Airtac International Group		638,924
	1,949,000	Alpha Networks Inc		1,389,915
	1,242,000	AmTRAN Technology Co Ltd		531,847
	426,000	Arcadyan Technology Corp		870,396
	235,000	ASE Industrial Holding Co Ltd		596,098
	552,000	Asia Pacific Telecom Co Ltd *		147,894
	1,242,000	Asia Vital Components Co Ltd		1,191,845
	4,271,000	Asustek Computer Inc		38,601,902
	22,000	Bizlink Holding, Inc.		153,836
	1,961,000	Catcher Technology Co Ltd		22,732,642
	5,399,000	Cathay Financial Holding Co Ltd		9,624,204
	3,714,000	Chailease Holding Co Ltd		13,186,480
	259,000	Chaun-Choung Technology Corp		691,198
	2,706,000	Cheng Shin Rubber Industry Co Ltd		4,107,529
	102,000	Cheng Uei Precision Industry Co Ltd		119,907
	340,000	Chicony Electronics Co Ltd		801,142
	475,000	Chicony Power Technology Co Ltd		809,808
	744,410	China Life Insurance Co Ltd		780,110
	612,000	China Motor Corp		593,521
	7,000	China Steel Corp		5,500
	1,159,000	Chin-Poon Industrial Co Ltd		1,531,850
	555,000	Chipbond Technology Corp		1,164,018
	206,000	Chlitina Holding Ltd		1,863,118
	254,000	Chong Hong Construction Co Ltd		791,656
	5,628,000	Chunghwa Telecom Co Ltd		20,454,078
	68,600	Chunghwa Telecom Co Ltd Sponsored ADR		2,485,378

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	122,000	Cleanaway Co Ltd		782,374
	12,452,000	Compal Electronics Inc		8,160,195
	2,477,000	Coretronic Corp		3,408,014
	18,737,000	CTBC Financial Holding Co Ltd		13,445,393
	744,000	CTCI Corp		1,219,204
	55,000	Cyberlink Corp		136,958
	313,000	Darfon Electronics Corp		663,929
	66,000	Depo Auto Parts Ind Co Ltd		179,873
	111,000	Dynapack International Technology Corp		148,600
	41,000	E Ink Holdings Inc		46,677
	115,000	Eclat Textile Co Ltd		1,401,104
	2,209,000	Elan Microelectronics Corp		3,558,735
	99,000	Elite Advanced Laser Corp		352,060
	693,000	Elitegroup Computer Systems Co Ltd *		403,273
	632,000	Everlight Electronics Co Ltd		849,878
	3,846,000	Far EasTone Telecommunications Co Ltd		9,793,865
	20,000	Faraday Technology Corp		42,129
	461,000	Farglory Land Development Co Ltd		515,639
	180,000	Feng TAY Enterprise Co Ltd		795,995
	275,000	FLEXium Interconnect Inc		794,561
	902,000	Formosa Chemicals & Fibre Corp		3,452,911
	810,000	Formosa Petrochemical Corp		3,272,637
	1,659,000	Formosa Plastics Corp		5,936,395
	7,143,000	Foxconn Technology Co Ltd		17,548,280
	10,763,000	Fubon Financial Holding Co Ltd		18,654,374
	442,000	Gemtek Technology Corp		389,035
	6,602,000	Gigabyte Technology Co Ltd		17,368,428
	6,736,000	Grand Pacific Petrochemical		7,186,074
	22,000	Grape King Bio Ltd		169,402
	2,795,000	Great Wall Enterprise Co Ltd		3,610,824
	442,000	Greatek Electronics Inc		798,542
	771,000	Green Seal Holding Ltd		865,457
	235,000	Hannstar Board Corp		227,585
	3,403,000	Highwealth Construction Corp		5,142,970
	155,000	Hiroca Holdings Ltd		535,541
	1,964,000	Holtek Semiconductor Inc		4,831,831
	25,016,663	Hon Hai Precision Industry Co Ltd		71,373,701
	598,000	Huaku Development Co Ltd		1,412,433
	667,000	IEI Integration Corp		757,561
	866,000	Innolux Corp		334,236
	7,708,000	Inventec Corp		6,213,566
	107,000	Iron Force Industrial Co Ltd		317,104
	945,000	ITEQ Corp		2,010,380
	48,000	King Slide Works Co Ltd		699,092
	449,000	Kinik Co		1,124,485
	125,000	Kung Long Batteries Industrial Co Ltd		614,206
	14,000	Largan Precision Co Ltd		1,918,966
	81,000	Lion Travel Service Co Ltd		334,866
	2,413,000	Lite-On Semiconductor Corp		3,459,195
	7,378,000	Lite-On Technology Corp		9,619,559

Shares		Description	Value ($)
		Taiwan — continued
	333,000	Lotes Co Ltd		2,104,433
	238,000	Makalot Industrial Co Ltd		1,077,207
	346,000	MediaTek Inc		3,577,796
	3,583,994	Mercuries Life Insurance Co Ltd		1,964,277
	159,000	Merida Industry Co Ltd		678,187
	1,141,000	Micro-Star International Co Ltd		4,717,086
	3,246,000	Mitac Holdings Corp		3,555,083
	3,373,000	Nan Ya Plastics Corp		9,393,948
	185,000	Nanya Technology Corp		611,182
	25,000	Nien Made Enterprise Co Ltd		197,239
	3,952,000	Novatek Microelectronics Corp		17,799,382
	995,000	Nuvoton Technology Corp		2,199,373
	149,000	On-Bright Electronics, Inc.		1,418,703
	4,234,445	OptoTech Corp		3,592,793
	10,375,000	Pegatron Corp		21,840,514
	1,099,000	Phison Electronics Corp		10,055,885
	10,714,000	Pou Chen Corp		13,110,407
	1,583,808	Powertech Technology Inc		4,706,281
	73,000	President Chain Store Corp		746,840
	119,000	Primax Electronics Ltd		231,076
	5,219,000	Quanta Computer Inc		9,210,737
	810,000	Quanta Storage Inc		756,910
	10,391,020	Radiant Opto-Electronics Corp		21,683,683
	2,475,000	Realtek Semiconductor Corp		9,422,456
	600,000	Rechi Precision Co Ltd		620,348
	905,400	Ruentex Development Co Ltd *		1,088,809
	2,705,000	Ruentex Industries Ltd *		5,520,024
	502,000	Sercomm Corp		1,154,858
	726,000	Sheng Yu Steel Co Ltd		628,201
	272,000	Shin Zu Shing Co Ltd		793,532
	381,000	ShunSin Technology Holding Ltd		2,011,607
	910,000	Sigurd Microelectronics Corp		1,132,689
	4,900	Silicon Motion Technology Corp Sponsored ADR		238,287
	1,003,400	Simplo Technology Co Ltd		6,256,823
	376,000	Sinbon Electronics Co Ltd		1,011,749
	561,000	Sitronix Technology Corp		1,703,537
	434,000	Soft-World International Corp		1,252,225
	22,000	St Shine Optical Co Ltd		584,255
	153,000	Standard Chemical & Pharmaceutical Co Ltd		176,911
	3,314,000	Sunplus Technology Co Ltd		1,708,478
	863,000	Syncmold Enterprise Corp		1,845,567
	550,000	Synnex Technology International Corp		879,127
	275,575	Taishin Financial Holding Co Ltd		135,302
	582,412	Taiwan Business Bank		177,608
	615,000	Taiwan Cement Corp		892,123
	217,360	Taiwan Cooperative Financial Holding Co Ltd		127,860
	498,000	Taiwan Mobile Co Ltd		1,828,120
	2,453,000	Taiwan Semiconductor Co Ltd		6,968,050
	4,345,000	Taiwan Semiconductor Manufacturing Co Ltd		32,441,930

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	1,296,873	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		50,188,985
	911,000	Taiwan Surface Mounting Technology Corp		770,060
	726,000	Teco Electric and Machinery Co Ltd		583,692
	353,000	Tong Hsing Electronic Industries Ltd		1,375,515
	420,000	TOPBI International Holdings Ltd		1,546,299
	1,137,188	Topco Scientific Co Ltd		3,094,664
	560,000	Transcend Information Inc		1,604,202
	1,982,000	Tripod Technology Corp		5,606,012
	89,000	Tung Thih Electronic Co Ltd		300,858
	668,000	TXC Corp		833,619
	3,021,000	Uni-President Enterprises Corp		7,361,895
	1,924,000	United Integrated Services Co Ltd		4,112,864
	2,576,000	United Microelectronics Corp		1,429,665
	191,000	Wah Lee Industrial Corp		359,801
	5,203,860	Winbond Electronics Corp		3,468,888
	161,763	Wistron NeWeb Corp		385,467
	477,000	Youngtek Electronics Corp		873,124
	3,210,000	Yuanta Financial Holding Co Ltd		1,507,377
		Total Taiwan		668,700,143
		Thailand — 2.0%
	2,808,000	Advanced Info Service Pcl (Foreign Registered)		16,697,110
	2,339,300	Amata Corp Pcl (Foreign Registered)		1,676,251
	1,597,200	Amata Corp Pcl NVDR		1,144,490
	3,281,100	AP Thailand Pcl (Foreign Registered)		941,383
	3,596,700	AP Thailand Pcl NVDR		1,031,931
	244,900	Bangkok Bank Pcl (Foreign Registered) (d)		1,475,490
	147,100	Bangkok Bank Pcl NVDR		867,910
	2,307,400	Central Pattana Pcl (Foreign Registered)		5,500,086
	832,900	Central Pattana Pcl NVDR		1,985,360
	578,100	Com7 PCL NVDR		329,224
	616,000	Delta Electronics Thailand Pcl (Foreign Registered)		1,238,385
	64,500	Delta Electronics Thailand Pcl NVDR		129,667
	759,800	Glow Energy Pcl (Foreign Registered)		2,019,475
	679,000	Glow Energy Pcl NVDR		1,804,717
	1,322,600	Hana Microelectronics Pcl (Foreign Registered)		1,408,908
	162,700	Hana Microelectronics Pcl NVDR		173,317
	4,729,500	Indorama Ventures Pcl NVDR		8,596,823
	4,007,100	Intouch Holdings Pcl NVDR		6,909,730
	495,100	Kasikornbank Pcl NVDR		2,958,796
	289,300	KCE Electronics pcl		293,912
	619,500	Kiatnakin Bank Pcl (Foreign Registered)		1,330,530
	2,402,100	Krung Thai Bank Pcl (Foreign Registered)		1,312,443
	1,348,100	Krung Thai Bank Pcl NVDR		736,566

Shares		Description	Value ($)
		Thailand — continued
	5,220,500	LPN Development Pcl (Foreign Registered)		1,579,833
	953,000	LPN Development Pcl NVDR		288,398
	464,800	MC Group Pcl (Foreign Registered)		193,276
	1,051,100	MC Group Pcl NVDR		437,074
	432,400	Mega Lifesciences Pcl (Foreign Registered)		559,187
	583,500	Mega Lifesciences Pcl NVDR		754,591
	418,800	Pruksa Holding Pcl (Foreign Registered)		292,182
	1,892,100	Pruksa Holding Pcl NVDR		1,320,052
	715,100	PTT Exploration & Production Pcl (Foreign Registered)		2,992,402
	2,889,500	PTT Exploration & Production Pcl NVDR		12,091,372
	2,602,500	PTT Global Chemical Pcl (Foreign Registered)		7,245,522
	4,516,500	PTT Global Chemical Pcl NVDR		12,574,214
	14,330,000	PTT Pcl (Foreign Registered)		23,287,170
	14,722,100	PTT Pcl NVDR		23,924,848
	8,215,100	Quality Houses Pcl (Foreign Registered)		835,172
	16,447,900	Quality Houses Pcl NVDR		1,672,142
	803,600	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		1,301,810
	869,200	Ratchaburi Electricity Generating Holding Pcl NVDR		1,408,079
	33,841,100	Sansiri Pcl (Foreign Registered)		1,835,804
	4,253,700	Sansiri Pcl NVDR		230,754
	5,650,400	SC Asset Corp Pcl (Foreign Registered)		649,428
	101,600	SC Asset Corp Pcl NVDR		11,677
	1,192,700	Siam Cement Pcl (The) (Foreign Registered)		16,614,844
	68,300	Siam Cement Pcl (The) NVDR		951,449
	455,900	Siam Commercial Bank Pcl (The) (Foreign Registered)		1,890,571
	113,000	Siam Commercial Bank Pcl (The) NVDR		468,599
	2,488,600	Siamgas & Petrochemicals Pcl NVDR		771,183
	9,270,800	Star Petroleum Refining Pcl		4,480,772
	2,530,300	Star Petroleum Refining Pcl (Foreign Registered)		1,222,947
	782,500	STP & I Pcl (Foreign Registered) *		120,371
	1,658,625	Supalai Pcl (Foreign Registered) *		1,307,967
	2,503,100	Supalai Pcl NVDR *		1,973,906
	29,846,200	Thai Beverage Pcl		17,033,411
	286,700	Thai Oil Pcl (Foreign Registered)		824,000
	1,408,500	Thai Oil Pcl NVDR		4,048,143
	532,100	Thai Vegetable Oil Pcl (Foreign Registered)		515,212
	276,900	Thai Vegetable Oil Pcl NVDR		268,112
	4,515,500	Thanachart Capital Pcl (Foreign Registered)		7,260,844
	592,300	Thanachart Capital Pcl NVDR		952,408
	745,600	Tipco Asphalt Pcl NVDR		412,019

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Thailand — continued
	1,638,600	TTW Pcl (Foreign Registered)		633,456
	2,652,600	TTW Pcl NVDR		1,025,451
		Total Thailand		218,823,156
		Turkey — 1.3%
	930,606	Adana Cimento Sanayii TAS – Class C		211,674
	700,749	Akbank Turk AS		1,242,592
	156,726	Aksa Akrilik Kimya Sanayii AS		399,304
	1,456,492	Albaraka Turk Katilim Bankas AS		437,684
	132,594	Arcelik AS		486,848
	325,811	Aselsan Elektronik Sanayi Ve Ticaret AS		1,698,548
	114,349	Aygaz AS		305,818
	245,849	BIM Birlesik Magazalar AS		3,760,472
	1,022,359	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		774,594
	29,869,903	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		13,657,475
	605,468	Enka Insaat ve Sanayi AS		596,628
	6,858,657	Eregli Demir ve Celik Fabrikalari TAS		17,018,354
	191,574	Ford Otomotiv Sanayi AS		2,711,796
	2,426,478	Haci Omer Sabanci Holding AS		5,001,670
	1,044,639	Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim AS *		1,546,107
	1,215,202	Is Gayrimenkul Yatirim Ortakligi AS (REIT)		268,461
	3,871,506	KOC Holding AS		11,942,480
	23,536	Otokar Otomotiv Ve Savunma Sanayi AS		401,847
	1,268,108	Petkim Petrokimya Holding AS		1,319,120
	6,126,621	Soda Sanayii AS		7,180,916
	224,627	TAV Havalimanlari Holding AS		1,090,028
	274,668	Tekfen Holding AS		918,748
	119,893	Tofas Turk Otomobil Fabrikasi AS		661,953
	462,242	Trakya Cam Sanayii AS		408,738
	346,679	Tupras Turkiye Petrol Rafineriler AS		8,129,261
	590,247	Turk Hava Yollari AO *		2,171,660
	221,740	Turk Telekomunikasyon AS *		290,433
	20,342	Turk Traktor ve Ziraat Makineleri AS		263,253
	743,523	Turkcell Iletisim Hizmetleri AS		1,968,525
	5,873,251	Turkiye Garanti Bankasi AS		11,560,737
	3,260,862	Turkiye Halk Bankasi AS		5,532,867
	19,615,838	Turkiye Is Bankasi – Class C		25,823,060
	7,279,496	Turkiye Sinai Kalkinma Bankasi AS		1,962,529
	1,935,302	Turkiye Sise ve Cam Fabrikalari AS		1,701,896
	8,257,267	Turkiye Vakiflar Bankasi TAO – Class D		9,979,054
	396,813	Vestel Elektronik Sanayi ve Ticaret AS *		776,817
	927,037	Yapi ve Kredi Bankasi AS *		823,208
		Total Turkey		145,025,155
		United Arab Emirates — 0.0%
	1,666,582	Aldar Properties PJSC		929,322

Shares		Description	Value ($)
		United Arab Emirates — continued
	1,997,561	DAMAC Properties Dubai Co PJSC		1,294,963
	436,552	Dubai Islamic Bank PJSC		602,297
	1,384,638	DXB Entertainments PJSC *		157,947
	421,911	Emaar Properties PJSC		596,776
	153,687	Emirates Telecommunications Group Co PJSC		677,209
		Total United Arab Emirates		4,258,514
		United Kingdom — 3.2%
	1,651,436	3i Group Plc		20,892,504
	45,345	888 Holdings Plc		180,825
	32,783	Ashmore Group Plc		160,219
	606,318	AstraZeneca Plc		44,234,495
	2,247	AVEVA Group Plc		70,826
	473,629	Aviva Plc		3,209,153
	42,321	Beazley Plc		335,867
	86,592	Bellway Plc		3,776,589
	285,279	Berkeley Group Holdings Plc (The)		16,089,615
	11,724	Bovis Homes Group Plc		196,277
	734,598	British American Tobacco Plc		37,707,344
	16,186	Britvic Plc		174,073
	12,653	BT Group Plc		34,316
	61,720	Carillion Plc * (e)		—
	38,180	Central Asia Metals Plc		144,756
	45,959	Close Brothers Group Plc		890,607
	63,063	CMC Markets Plc		151,178
	58,260	Cobham Plc *		96,237
	434,732	Coca-Cola HBC AG *		14,838,907
	33,717	Computacenter Plc		589,982
	8,662	Crest Nicholson Holdings Plc		50,712
	41,600	Dart Group Plc		446,308
	249,740	Debenhams Plc		71,331
	20,800	Diageo Plc Sponsored ADR		3,047,616
	311,954	EI Group Plc *		595,982
	681,864	Electrocomponents Plc		6,372,429
	138,549	Fenner Plc		1,120,946
	1,299,838	Ferrexpo Plc		3,781,796
	115,429	Galliford Try Plc		1,476,314
	8,328	Games Workshop Group Plc		320,372
	6,619	GlaxoSmithKline Plc		134,100
	638,100	GlaxoSmithKline Plc Sponsored ADR		25,855,812
	11,220	Grafton Group Plc		113,084
	10,527	Hostelworld Group Plc		45,134
	49,400	HSBC Holdings Plc Sponsored ADR		2,389,972
	512,328	IG Group Holdings Plc		5,883,296
	333,583	Inchcape Plc		3,242,124
	868,166	Indivior Plc *		5,535,772
	5,430	Intermediate Capital Group Plc		82,618
	29,216	International Personal Finance Plc		79,961
	23,789	John Laing Group Plc		88,703
	173,110	Jupiter Fund Management Plc		1,042,956
	4,705	Keller Group Plc		65,547

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	40,987	Land Securities Group Plc (REIT)		505,910
	2,150,607	Legal & General Group Plc		7,702,957
	10,140,136	Lloyds Banking Group Plc		8,505,252
	138,383	McBride Plc *		235,445
	43,294	Morgan Sindall Group Plc		841,626
	61,230	N Brown Group Plc		168,449
	3,749	Next Plc		288,766
	287,100	Nomad Foods Ltd *		4,995,540
	5,700	Northgate Plc		31,571
	24,490	Paragon Banking Group Plc		157,453
	1,058,364	Persimmon Plc		39,822,456
	155,700	Plus500 Ltd		3,374,329
	4,735	Polypipe Group Plc		24,260
	602,212	QinetiQ Group Plc		2,112,771
	355,409	Reckitt Benckiser Group Plc		27,204,150
	116,144	Redrow Plc		933,663
	132,791	Royal Dutch Shell Plc – Class A		4,618,175
	15,100	Royal Dutch Shell Plc – Class B Sponsored ADR		1,092,183
	229,566	Royal Mail Plc		1,544,719
	113,827	RPS Group Plc		398,635
	32,336	Safestore Holdings Plc (REIT)		240,897
	41,681	Sage Group Plc (The)		366,404
	16,210	Savills Plc		207,572
	6,363	Schroders Plc		273,282
	50,731	Segro Plc (REIT)		440,879
	99,066	Shire Plc ADR		16,270,600
	40,702	Spectris Plc		1,506,634
	18,686	St Modwen Properties Plc		99,163
	203,686	Stock Spirits Group Plc		653,325
	50,101	Tate & Lyle Plc		458,200
	74,113	Taylor Wimpey Plc		187,132
	40,494	TUI AG		939,520
	12,871	UDG Healthcare Plc		153,670
	454,218	Unilever Plc		25,042,846
	4,804	Vedanta Resources Plc		45,186
	335,017	Vesuvius Plc		2,791,266
	418,848	William Hill Plc		1,780,496
		Total United Kingdom		361,632,037
		United States — 10.4%
	73,251	3M Co.		14,447,295
	262,557	Abbott Laboratories		16,155,132
	201,055	Accenture Plc – Class A		31,312,306
	207,000	Aetna, Inc.		36,458,910
	300,913	Akorn, Inc. *		4,203,755
	57,757	Alphabet, Inc. – Class C * (b)		62,665,767
	244,193	American Express Co.		24,004,172
	71,377	Amphenol Corp. – Class A		6,204,803
	109,966	Anthem, Inc.		24,348,672
	320,343	Apple, Inc.		59,862,496
	7,321	Automatic Data Processing, Inc. (c)		951,876

Shares		Description	Value ($)
		United States — continued
	48,581	Becton Dickinson and Co.		10,765,064
	150,000	Bunge Ltd. (c)		10,432,500
	274,100	Cars.com, Inc. *		7,038,888
	219,200	Cavium, Inc. *		18,327,312
	173	CenturyLink, Inc.		3,152
	534,571	Cisco Systems, Inc.		22,831,527
	339,154	Coca-Cola Co. (The)		14,583,622
	330,631	Cognizant Technology Solutions Corp. – Class A		24,913,046
	40,815	Colgate-Palmolive Co. (c)		2,575,018
	125,222	Costco Wholesale Corp.		24,824,009
	175,000	Dell Technologies, Inc. – Class V * (c)		14,115,500
	26,400	EveryWare Global, Inc. * (a)		217,800
	200,000	Express Scripts Holding Co. * (c)		15,162,000
	61,700	Facebook, Inc. – Class A *		11,832,826
	70,198	Honeywell International, Inc.		10,382,986
	1,538,335	HRG Group, Inc. *		19,506,088
	388,135	Johnson & Johnson		46,428,709
	26,000	KLX, Inc. *		1,919,580
	211,903	LaSalle Hotel Properties (REIT)		7,268,273
	2	Lennar Corp.		103
	185,758	Liberty Media Corp.-Liberty SiriusXM – Class C *		8,580,162
	83,200	Macquarie Infrastructure Corp.		3,219,840
	36,224	Mastercard, Inc. – Class A		6,886,907
	317,748	Medtronic Plc		27,428,007
	315,808	Merck & Co., Inc.		18,800,050
	578,208	Microsoft Corp.		57,150,079
	48,604	Mondelez International, Inc. – Class A (c)		1,908,679
	168,200	Monsanto Co.		21,438,772
	543,000	NxStage Medical, Inc. *		15,008,520
	267,305	OneMarket Ltd * (a)		309,289
	1,154,461	Oracle Corp.		53,936,418
	40,310	PepsiCo, Inc.		4,041,078
	254,744	Pfizer, Inc.		9,152,952
	126,089	Philip Morris International, Inc.		10,029,119
	60,834	Pinnacle Foods, Inc. (c)		3,889,726
	471,462	QUALCOMM, Inc. (c)		27,401,371
	417,588	Rockwell Collins, Inc.		57,422,526
	86,800	Sanchez Energy Corp. *		341,992
	149,707	Schlumberger Ltd.		10,280,380
	58,646	Stryker Corp.		10,205,577
	86,761	Tenet Healthcare Corp. * (b)		3,073,942
	112,631	Teradata Corp. *		4,490,598
	164,472	Texas Instruments, Inc.		18,406,062
	324,732	Time Warner, Inc. (c)		30,576,765
	340,405	TJX Cos., Inc. (The)		30,745,380
	78,639	T-Mobile US, Inc. * (c)		4,380,192
	626,100	Tribune Media Co. – Class A		22,464,468
	275,000	Twenty-First Century Fox, Inc. – Class A (c)		10,601,250
	44,529	Twitter, Inc. * (c)		1,545,156

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	148,227	United Technologies Corp.		18,501,694
	201,477	UnitedHealth Group, Inc.		48,658,710
	459,091	US Bancorp		22,949,959
	93,802	VF Corp.		7,612,970
	200,000	Viacom, Inc. – Class B (c)		5,420,000
	80,700	Visa, Inc. – Class A		10,549,104
	37,500	VMware, Inc. – Class A * (c)		5,155,500
	55,741	Walt Disney Co. (The) (c)		5,544,557
	478,035	Wells Fargo & Co.		25,809,110
	83,221	Williams Cos, Inc. (The) (b) (c)		2,235,316
	20	Worldpay, Inc. *		1,519
		Total United States		1,169,896,883
		TOTAL COMMON STOCKS (COST $6,433,227,437)		6,701,447,296
		PREFERRED STOCKS (f) — 1.2%
		Brazil — 0.3%
	569,934	Banco Bradesco SA		4,456,250
	510,300	Banco do Estado do Rio Grande do Sul SA – Class B		2,247,590
	1,453,900	Braskem SA – Class A		17,706,050
	1,089,075	Centrais Eletricas Brasileiras SA – Class B *		4,890,041
	4,939	Companhia Energetica de Minas Gerais Sponsored ADR		9,927
	940,207	Itausa – Investimentos Itau SA		2,832,635
		Total Brazil		32,142,493
		Germany — 0.1%
	33,115	Bayerische Motoren Werke AG		2,901,147
	3,025	Draegerwerk AG & Co KGaA		210,583
	45,528	Henkel AG & Co KGaA		5,620,597
	27,965	RWE AG		513,941
	1,759	Sixt SE		149,448
	24,548	Volkswagen AG		4,610,587
		Total Germany		14,006,303
		Russia — 0.1%
	65,898	Bashneft PJSC		1,836,468
	2,946,400	Sberbank of Russia PJSC		9,268,483
	2,999,800	Surgutneftegas OJSC		1,470,073
	1,008	Transneft PJSC		2,753,536
		Total Russia		15,328,560
		South Korea — 0.7%
	7,825	Hyundai Motor Co		648,150
	18,509	Hyundai Motor Co 2nd Preference		1,620,872
	87,009	LG Electronics Inc		3,036,081
	1,755,750	Samsung Electronics Co Ltd		65,669,387
	5,004	Samsung Electronics Co Ltd GDR		4,689,744
		Total South Korea		75,664,234

Shares / Par Value†		Description	Value ($)
		Taiwan — 0.0%
	220,277	CTBC Financial Holding Co Ltd *		452,156
		TOTAL PREFERRED STOCKS (COST $123,363,111)		137,593,746
		RIGHTS/WARRANTS — 0.0%
		Canada — 0.0%
	449,600	Alignvest Acquisition II Corp *		204,584
		Thailand — 0.0%
	174,750	Supalai Pcl *		112,923
	421,725	Supalai Public Co *		272,888
		Total Thailand		385,811
		United Arab Emirates — 0.0%
	145,517	Dubai Islamic Bank PJSC, Expires 6/5/18 *		66,952
		United States — 0.0%
	2,616,810	Media General, Inc. CVR * (a)		130,841
		TOTAL RIGHTS/WARRANTS (COST $364,084)		788,188
		INVESTMENT FUNDS — 0.2%
		United States — 0.2%
	520,172	iShares MSCI Emerging Markets ETF		23,766,659
		TOTAL INVESTMENT FUNDS (COST $23,983,220)		23,766,659
		DEBT OBLIGATIONS — 33.7%
		Australia — 0.0%
		Corporate Debt — 0.0%
	750,000	Virgin Australia Holdings Ltd, 144A, 8.50%, due 11/15/19		765,000
		Bermuda — 0.0%
		Corporate Debt — 0.0%
	750,000	Teekay Corp, 8.50%, due 01/15/20		774,375
		Brazil — 0.2%
		Corporate Debt — 0.2%
EUR	11,401,000	Portugal Telecom International Finance BV, Reg. S, 5.88%, due 04/17/18 (a)		6,397,606
EUR	3,032,000	Portugal Telecom International Finance BV, Reg. S, 4.63%, due 05/08/20 (a)		1,701,389
EUR	3,714,000	Portugal Telecom International Finance BV, Reg. S, 4.50%, due 06/16/25 (a)		2,084,090
	26,156,000	Telemar Norte Leste SA, Reg. S, 5.50%, due 10/23/20 (a)		12,554,880
		Total Brazil		22,737,965
		Canada — 0.0%
		Corporate Debt — 0.0%
	500,000	Bellatrix Exploration Ltd, 144A, 8.50%, due 05/15/20		392,500

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Canada — continued
		Corporate Debt — continued
	750,000	Bombardier Inc, 144A, 7.75%, due 03/15/20		796,875
	500,000	Canbriam Energy Inc, 144A, 9.75%, due 11/15/19		505,000
	750,000	Eldorado Gold Corp, 144A, 6.13%, due 12/15/20		720,000
	1,400,000	Teck Resources Ltd, 6.13%, due 10/01/35		1,445,500
		Total Canada		3,859,875
		France — 0.0%
		Corporate Debt — 0.0%
	1,250,000	Credit Agricole SA, 144A, Variable Rate, 3 mo. LIBOR + 6.98%, 8.38%		1,303,125
		Germany — 0.0%
		Corporate Debt — 0.0%
	1,208,000	Deutsche Bank AG, 4.50%, due 04/01/25		1,082,532
		Hong Kong — 0.0%
		Corporate Debt — 0.0%
	750,000	Studio City Co Ltd, 144A, 5.88%, due 11/30/19		760,350
		Ireland — 0.0%
		Corporate Debt — 0.0%
	1,130,000	Park Aerospace Holdings Ltd, 144A, 5.50%, due 02/15/24		1,108,813
		Italy — 0.0%
		Corporate Debt — 0.0%
	1,243,000	Intesa Sanpaolo SPA, 144A, 3.88%, due 07/14/27		1,088,965
	2,735,000	Intesa Sanpaolo SPA, 144A, 4.38%, due 01/12/48		2,198,859
	1,100,000	Intesa Sanpaolo SPA, 144A, 5.02%, due 06/26/24		1,001,839
		Total Italy		4,289,663
		Jamaica — 0.0%
		Corporate Debt — 0.0%
	4,679,000	Digicel Ltd., Reg. S, 6.75%, due 03/01/23		4,047,335
		Japan — 4.5%
		Foreign Government Obligations — 4.5%
JPY	6,775,000,000	Japan Treasury Discount Bill, Zero Coupon, due 06/18/18		62,281,360
JPY	13,140,000,000	Japan Treasury Discount Bill, Zero Coupon, due 06/25/18		120,796,442
JPY	11,100,000,000	Japan Treasury Discount Bill, Zero Coupon, due 07/02/18		102,045,106

Par Value†		Description	Value ($)
		Japan — continued
		Foreign Government Obligations — continued
JPY	3,950,000,000	Japan Treasury Discount Bill, Zero Coupon, due 07/09/18		36,314,184
JPY	2,365,000,000	Japan Treasury Discount Bill, Zero Coupon, due 07/17/18		21,743,173
JPY	4,592,500,000	Japan Treasury Discount Bill, Zero Coupon, due 07/23/18		42,223,095
JPY	10,350,000,000	Japan Treasury Discount Bill, Zero Coupon, due 08/13/18		95,164,818
JPY	2,365,000,000	Japan Treasury Discount Bill, Zero Coupon, due 08/20/18		21,745,999
		Total Japan		502,314,177
		Luxembourg — 0.1%
		Bank Loans — 0.1%
	3,360,000	SkillSoft Corp., 1st Lien Term Loan, 3 mo. LIBOR + 4.75%, 6.73%, due 04/28/21 (a)		3,124,800
		Corporate Debt — 0.0%
	500,000	Telecom Italia Capital SA, 7.20%, due 07/18/36		531,250
	375,000	Intelsat Jackson Holdings SA, 7.50%, due 04/01/21		366,562
	500,000	Intelsat Jackson Holdings SA, 7.25%, due 10/15/20		490,000
		Total Corporate Debt		1,387,812
		Total Luxembourg		4,512,612
		Norway — 0.0%
		Corporate Debt — 0.0%
	750,000	Petroleum Geo-Services ASA, 144A, 7.38%, due 12/15/20		746,250
		Puerto Rico — 0.2%
		Asset-Backed Securities — 0.0%
	720,000	Government Development Bank for Puerto Rico, 4.70%, due 05/01/16		291,600
	20,000	Government Development Bank for Puerto Rico, 3.88%, due 02/01/17		8,100
	630,000	Government Development Bank for Puerto Rico, 4.15%, due 08/01/17		255,150
	790,000	Government Development Bank for Puerto Rico, 4.38%, due 02/01/19		319,950
	60,000	Government Development Bank for Puerto Rico, 4.50%, due 08/01/19		24,300
	69,000	Government Development Bank for Puerto Rico, 5.40%, due 08/01/19		27,945
	2,666,000	Government Development Bank for Puerto Rico, 5.50%, due 08/01/20		1,079,730
	1,315,000	Government Development Bank for Puerto Rico, 4.90%, due 08/01/21		532,575
	2,110,000	Government Development Bank for Puerto Rico, 5.00%, due 08/01/23		854,550
	240,000	Government Development Bank for Puerto Rico, 5.75%, due 08/01/25		97,200
	714,000	Government Development Bank for Puerto Rico, 5.75%, due 08/01/25		289,170
				3,780,270

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Municipal Obligations — 0.2%
	1,000,000	Commonwealth of Puerto Rico, 5.25%, due 07/01/16 (g)		437,500
	1,545,000	Commonwealth of Puerto Rico, 5.50%, due 07/01/19		675,937
	1,348,600	Commonwealth of Puerto Rico, 5.13%, due 07/01/31 (g)		590,013
	2,500,000	Commonwealth of Puerto Rico, 8.00%, due 07/01/35 (g)		1,046,875
	3,197,940	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/44		2,606,321
	11,381,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/47		9,161,705
	1,000,000	Puerto Rico Public Buildings Authority, 5.00%, due 07/01/32 (g)		427,500
	1,500,000	Puerto Rico Public Buildings Authority, 5.25%, due 07/01/33 (g)		641,250
				15,587,101
		Total Puerto Rico		19,367,371
		Spain — 0.1%
		Bank Loans — 0.1%
	1,574,020	Abengoa S.A., NM Term Loan A, 7.00%, due 03/31/21 (a)		1,668,461
	1,294,030	Abengoa S.A., Term Loan Escrow, 7.00%, due 03/31/21 (a)		1,384,612
	354,585	ABG Orphan Holdco S.a r.l., USD Facility 1A Escrow Tranche, 3 mo. LIBOR + 9.00%, 14.00%, due 03/31/21 (a)		379,406
		Total Bank Loans		3,432,479
		Corporate Debt — 0.0%
	677,906	ABG Orphan Holdco S.a r.l., 144A, 14.00%, due 02/28/21 (a)		715,191
	696,202	ABG Orphan Holdco S.a r.l., 144A, 14.00%, due 02/28/21 (a)		748,417
		Total Corporate Debt		1,463,608
		Total Spain		4,896,087
		United Kingdom — 0.0%
		Corporate Debt — 0.0%
	1,000,000	Avon Products, Inc., 7.00%, due 03/15/23		842,500
	1,130,000	Royal Bank of Scotland Group Plc, 5.13%, due 05/28/24		1,146,826
	500,000	Virgin Media Secured Finance Plc, 5.25%, due 01/15/21		513,485
	1,510,000	Virgin Media Secured Finance Plc, 144A, 5.25%, due 01/15/26		1,415,625
		Total United Kingdom		3,918,436

Par Value†		Description	Value ($)
		United States — 28.6%
		Asset-Backed Securities — 3.7%
	4,105,123	Acis CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.87%, 3.23%, due 04/18/24		4,105,053
	990,185	AMMC CLO 21 Ltd., Series 17-21A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.21%, due 11/02/30		991,534
	3,576,000	AMMC CLO XI Ltd., Series 12-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.11%, due 04/30/31		3,575,954
	3,161,147	AMMC CLO XII Ltd., Series 13-12A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 11/10/30		3,161,112
	1,293,196	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.31%, due 07/24/29		1,296,856
	2,317,658	AMMC CLO XIV Ltd., Series 14-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.31%, due 07/25/29		2,322,810
	522,639	Anchorage Capital CLO Ltd., Series 15-6A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.25%, due 07/15/30		523,410
	1,362,435	Anchorage Capital CLO Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 10/13/30		1,362,415
	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		2,617,597
	1,192,000	Apidos CLO XV, Series 13-15A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.96%, due 04/20/31		1,191,983
	1,192,000	Ares XXXIIR CLO Ltd., Series 14-32RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.96%, due 05/15/30		1,191,977
	1,673,911	Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.92%, due 11/17/27		1,673,898
	13,214,512	Atrium X, Series ATRM-10A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + .95%, 3.30%, due 07/16/25		13,215,291
	875,890	Avery Point III CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.48%, due 01/18/25		876,165
	1,788,000	Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.46%, due 04/25/26		1,788,601
	14,900,000	B&M CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.73%, 3.08%, due 04/16/26		14,899,762
	1,131,640	Bain Capital Credit CLO, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.16%, due 07/20/30		1,131,622
	1,752,602	Ballyrock CLO LLC, Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.18%, 3.51%, due 05/20/25		1,753,333

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	953,600	Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.06%, due 04/15/30		953,592
	2,533,000	Battalion CLO VI Ltd., Series 14-6A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.18%, 3.53%, due 10/17/26		2,533,907
	1,937,000	Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + .57%, 2.53%, due 04/25/36		1,925,451
	919,458	Benefit Street Partners CLO III Ltd., Series 13-IIIA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.21%, due 07/20/29		920,209
	532,143	Black Diamond CLO Ltd., Series 17-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.36%, due 04/24/29		533,168
	3,033,034	BlueMountain CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.89%, 3.25%, due 10/29/25		3,034,396
	1,093,741	BlueMountain CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.26%, 3.62%, due 04/30/26		1,094,448
	1,788,000	BlueMountain CLO Ltd., Series 15-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.72%, due 04/20/30		1,787,988
	1,192,000	BlueMountain CLO Ltd., Series 15-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 04/20/31		1,191,965
	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		1,250,519
	1,609,200	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, due 07/15/31		1,609,200
	3,341,352	Carlyle Global Market Strategies CLO Ltd., Series 13-2A, Class YR, 144A, Variable Rate, 3 mo. LIBOR + 0.50%, 2.86%, due 01/18/29		3,340,968
	2,980,000	Carlyle Global Market Strategies CLO Ltd., Series 14-2RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 10.33%, due 05/15/31		2,979,988
	1,131,640	Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.96%, due 04/22/30		1,131,624
	3,310,047	CBAM Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.05%, due 10/17/29		3,309,997
	1,887,010	CBAM Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.16%, due 07/20/30		1,887,485
	5,658,200	CBAM Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.19%, due 01/15/31		5,658,019

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	292,370	Cent CLO, Series 12-16A, Class A1AR, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 3.61%, due 08/01/24		292,571
	2,384,000	Cent CLO, Series C17A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 04/30/31		2,384,000
	2,546,190	CIFC Funding II Ltd., Series 13-2A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.01%, due 10/18/30		2,546,172
	1,192,000	CIFC Funding III Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.16%, due 07/20/30		1,192,745
	3,269,844	CIFC Funding IV Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.11%, due 10/24/30		3,271,054
	1,489,000	CIFC Funding Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.96%, due 01/18/31		1,488,979
	277,939	Citigroup Global Markets Mortgage Securities VII, Inc., Series 01-MMA, Class F4, 144A, Variable Rate, 6.50%, due 02/18/34		277,985
	10,263,933	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35		4,182,553
	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		2,011,454
	901,832	CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.50%, due 01/16/26		902,125
	2,501,610	Dryden 30 Senior Loan Fund, Series 13-30A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 11/15/28		2,501,588
	625,420	Dryden XXVIII Senior Loan Fund, Series 13-28A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 08/15/30		625,519
	1,414,550	Elevation CLO Ltd., Series 14-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 10/15/29		1,414,529
	976,039	Galaxy XV CLO Ltd., Series 13-15A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 10/15/30		979,374
	3,206,480	Galaxy XX CLO Ltd., Series 15-20A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.96%, due 04/20/31		3,206,435
	1,668,800	Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 05/16/31		1,668,762
	16,776,958	GCO Education Loan Funding Master Trust-II, Series 07-1A, Class A6L, 144A, Variable Rate, 3 mo. LIBOR + .11%, 2.44%, due 11/25/26		16,682,039

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	524,480	GCO Education Loan Funding Trust, Series 06-1, Class A9L, Variable Rate, 3 mo. LIBOR + 0.16%, 2.49%, due 05/25/26		522,384
	2,888,660	Goldentree Loan Management US CLO 2 Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 2.96%, due 11/28/30		2,888,620
	219,467	GoldenTree Loan Opportunities VII Ltd., Series 13-7A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.51%, due 04/25/25		219,503
	1,824,025	Goldentree Loan Opportunities XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.96%, due 01/18/31		1,823,999
	1,782,333	Greywolf CLO V Ltd., Series 15-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.01%, due 01/27/31		1,782,308
	739,439	Halcyon Loan Advisors Funding Ltd., Series 13-1X, Class A1, Reg. S, 3 mo. LIBOR + 1.15%, 3.50%, due 04/15/25		739,626
	1,108,415	Halcyon Loan Advisors Funding Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.50%, due 04/15/25		1,108,694
	1,783,530	Highbridge Loan Management Ltd., Series 6A-2015, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.01%, due 02/05/31		1,783,509
	707,275	Highbridge Loan Management Ltd., Series 3A-2014, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.16%, due 07/18/29		707,710
	848,730	Highbridge Loan Management Ltd., Series 13-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.01%, due 10/20/29		848,717
	7,446,552	Higher Education Funding I, Series 05-1, Class A5, Variable Rate, 3 mo. LIBOR + .16%, 2.49%, due 02/25/32		7,438,041
	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		2,360,108
	1,697,460	Jamestown CLO X Ltd., Series 17-10A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.25%, due 07/17/29		1,699,796
	859,520	KeyCorp Student Loan Trust, Series 00-A, Class A2, Variable Rate, 3 mo. LIBOR + 0.32%, 2.65%, due 05/25/29		855,966
	1,186,192	KeyCorp Student Loan Trust, Series 06-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.31%, 2.60%, due 09/27/35		1,186,355

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	3,868,632	KeyCorp Student Loan Trust, Series 99-B, Class CTFS, Variable Rate, 3 mo. LIBOR + 0.90%, 3.23%, due 11/25/36		3,871,727
	924,642	KeyCorp Student Loan Trust, Series 05-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.34%, 2.63%, due 06/27/38		924,525
	1,214,897	KeyCorp Student Loan Trust, Series 04-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.53%, 2.90%, due 01/27/42		1,215,704
	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		1,698,564
	1,116,750	KKR CLO Ltd., Series 9, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.30%, due 07/15/30		1,118,472
	1,846,360	LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.84%, due 04/20/31		1,846,107
	1,326,699	LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.31%, due 07/20/30		1,330,131
	3,289,920	Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.96%, due 04/19/30		3,289,874
	5,215,000	Marathon CLO VI Ltd., Series 14-6A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.06%, due 05/13/28		5,214,948
	5,944,794	Montana Higher Education Student Assistance Corp., Series 12-1, Class A2, Variable Rate, 1 mo. LIBOR + 1.00%, 2.95%, due 05/20/30		6,012,426
	14,543,361	Montana Higher Education Student Assistance Corp., Series 05-1, Class B, Variable Rate, 3 mo. LIBOR + 0.12%, 2.32%, due 06/20/30		14,507,002
	588,127	Morgan Stanley Dean Witter Capital I Trust, Series 01-TOP3, Class E, 144A, Variable Rate, 7.85%, due 07/15/33		625,453
	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		1,697,616
	1,853,507	Mountain View CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 10/12/30		1,853,478
	2,013,829	National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.25%, 2.21%, due 03/27/28		2,008,294

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	15,679,913	National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 2.19%, due 03/26/29		15,372,907
	4,067,724	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 2.20%, due 07/25/30		3,996,180
	949,256	Navient Private Education Loan Trust, Series 14-CTA, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.70%, 2.62%, due 09/16/24		950,462
	938,130	Neuberger Berman CLO XV, Series 13-15A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 10/15/29		937,976
	1,267,431	Neuberger Berman CLO XVII Ltd., Series 14-17A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.36%, due 04/22/29		1,269,853
	1,399,641	Newcastle CDO V Ltd., Series 04-5A, Class 3, 144A, Variable Rate, 3 mo. LIBOR + .90%, 2.20%, due 12/24/39		1,397,181
	10,353,755	NewMark Capital Funding CLO Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.94%, 2.96%, due 06/02/25		10,352,947
	3,126,573	NewMark Capital Funding CLO Ltd., Series 13-1A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.14%, due 06/02/25		3,126,591
	5,705,723	Ocean Trails CLO IV, Series 13-4A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.26%, due 08/13/25		5,706,362
	905,920	Octagon Investment Partners XII Ltd., Series 12-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .88%, 3.23%, due 07/15/19		906,722
	826,023	Octagon Investment Partners XV Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.16%, due 07/19/30		826,709
	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		2,085,946
	2,461,731	OFSI Fund V Ltd., Series 13-5A, Class A1LA, 144A, Variable Rate, 3 mo. LIBOR + 0.93%, 3.28%, due 04/17/25		2,461,608
	727,483	OFSI Fund V Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.20%, due 08/16/29		728,288
	8,940,000	OFSI Fund VI Ltd., Series 14-6A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 03/20/25		8,919,572

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	2,506,941	OHA Credit Partners Ltd., Series 13-8A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.48%, due 04/20/25		2,507,450
	1,042,300	OHA Credit Partners XIV Ltd., Series 17-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.96%, due 01/21/30		1,042,285
	1,867,206	OZLM Funding Ltd., Series 13-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.01%, due 10/22/30		1,867,178
	4,172,000	OZLM VI Ltd., Series 14-6A, Class XS, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.05%, due 04/17/31		4,171,937
	900,845	OZLM XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.11%, due 10/30/30		901,131
	10,078,360	Palmer Square Loan Funding Ltd., Series 18-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.82%, due 04/15/26		10,040,506
	2,795,240	Seneca Park CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.47%, due 07/17/26		2,796,135
	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		1,414,513
	1,329,211	Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 3.51%, due 05/15/26		1,329,865
	10,544,493	SLC Student Loan Trust, Series 08-2, Class A3, Variable Rate, 3 mo. LIBOR + .65%, 2.77%, due 09/15/18		10,544,459
	6,793,601	SLM Private Credit Student Loan Trust, Series 07-A, Class A3, Variable Rate, 3 mo. LIBOR + .17%, 2.29%, due 12/15/26		6,791,105
	2,540,087	SLM Private Education Loan Trust, Series 14-A, Class A2B, 144A, Variable Rate, 1 mo. LIBOR + 1.15%, 3.07%, due 01/15/26		2,552,911
	1,066,270	SLM Private Education Loan Trust, Series 11-A, Class A2, 144A, 4.37%, due 04/17/28		1,071,077
	3,635,600	SLM Private Education Loan Trust, Series 11-B, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.25%, 4.17%, due 06/16/42		3,751,977
	6,081,076	SLM Private Education Loan Trust, Series 11-A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.50%, 4.42%, due 01/15/43		6,250,363
	7,021,377	SLM Private Education Loan Trust, Series 10-A, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + 3.25%, 5.17%, due 05/16/44		7,179,118

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	3,053,990	SLM Private Education Loan Trust, Series 11-C, Class A2B, 144A, 4.54%, due 10/17/44		3,096,249
	1,019,002	SLM Private Education Loan Trust, Series 12-C, Class A2, 144A, 3.31%, due 10/15/46		1,019,994
	6,858,099	SLM Student Loan Trust, Series 07-3, Class A3, Variable Rate, 3 mo. LIBOR + 0.04%, 2.40%, due 04/25/19		6,836,677
	17,795,667	SLM Student Loan Trust, Series 07-6, Class A4, Variable Rate, 3 mo. LIBOR + .38%, 2.74%, due 10/25/24		17,820,090
	2,706,285	South Carolina Student Loan Corp., Series 2005, Class A3, Variable Rate, 3 mo. LIBOR + .14%, 2.15%, due 12/01/23		2,705,284
	1,196,315	South Carolina Student Loan Corp., Series 10-1, Class A2, Variable Rate, 3 mo. LIBOR + 1.00%, 3.36%, due 07/25/25		1,201,531
	3,414,292	Symphony CLO V Ltd., Series 07-5A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.10%, due 01/15/24		3,415,436
	82,843	Symphony CLO VIII LP, Series 12-8A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.43%, due 01/09/23		82,871
	707,275	Telos CLO, Series 13-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.35%, due 07/17/19		707,968
	2,384,000	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.10%, due 04/17/28		2,383,962
	2,218,014	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.10%, due 01/17/30		2,217,979
	424,650	THL Credit Wind River CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .90%, 3.26%, due 07/20/30		425,291
	1,782,333	THL Credit Wind River CLO Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.93%, due 11/20/30		1,782,322
	3,382,300	TICP CLO I-2 Ltd., Series 18-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 2.99%, due 04/26/28		3,382,182
	4,410,400	TICP CLO III-2 Ltd., Series 18-3R, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.91%, due 04/20/28		4,410,228
	2,980,000	Tryon Park CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.90%, due 04/15/29		2,979,881
	1,490,582	Velocity Commercial Capital Loan Trust, Series 15-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 2.43%, 4.39%, due 06/25/45		1,505,378

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	5,758,646	Voya CLO Ltd., Series 13-3A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 3.41%, due 01/18/26		5,759,993
	1,273,095	Voya CLO Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.16%, due 07/20/30		1,273,085
	2,970,555	Voya CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 10/15/30		2,970,513
	1,132,400	Voya CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 2.99%, due 04/18/31		1,132,383
	231,749	WhiteHorse VI Ltd., Series 12-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.20%, 3.56%, due 02/03/25		231,874
	14,085,940	WhiteHorse VIII Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.26%, due 05/01/26		14,086,926
	495,425	Ziggurat CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.25%, due 04/17/29		495,918
				416,805,167
		Bank Loans — 0.3%
	14,563,500	21st Century Oncology Holdings, Inc., Exit Term Loan, 3 mo. LIBOR + 6.13%, 8.48%, due 01/16/23 (a)		13,980,960
	2,803,755	Gibson Brands Inc., DIP Term Loan, 3 mo. LIBOR + 9.00%, 2.44%, due 05/01/19 (a) (h)		2,719,643
	3,526,400	Murray Energy Corp., Term Loan B2, due 04/17/20 (a)		3,244,288
	4,112,500	Quorum Health Corp., Term Loan B, due 04/29/22 (a)		4,179,328
	3,841,800	Sears Holding Corp., Incremental Term Loan, 3 mo. LIBOR + 7.50%, 9.42%, due 07/20/20 (a)		3,880,218
	2,551,225	Sears Roebuck Acceptance Corp., Extended ABL TL, 3 mo. LIBOR + 4.50%, 6.42%, due 01/20/19 (a)		2,544,847
				30,549,284
		Corporate Debt — 0.9%
	900,000	Allegheny Technologies, Inc., 5.95%, due 01/15/21		909,000
	500,000	Ally Financial, Inc., 8.00%, due 11/01/31		600,000
	750,000	Antero Resources Corp., 5.63%, due 06/01/23		761,250
	642,000	APX Group, Inc., 6.38%, due 12/01/19		643,605
	150,000	Arconic, Inc., 6.15%, due 08/15/20		156,765
	750,000	Arconic, Inc., 6.75%, due 01/15/28		796,250
	251,000	Boxer Parent Co., Inc., 144A, 9.00%, due 10/15/19		251,941
	500,000	Cablevision Systems Corp., 8.00%, due 04/15/20		527,500
	510,000	Calpine Corp., 144A, 6.00%, due 01/15/22		518,925

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Corporate Debt — continued
	2,270,000	CCO Holdings LLC / CCO Holdings Capital Corp., 5.25%, due 09/30/22		2,289,862
	900,000	CenturyLink, Inc., 5.80%, due 03/15/22		885,375
	750,000	CF Industries, Inc., 4.95%, due 06/01/43		622,500
	1,988,000	CHS/Community Health Systems, Inc., 6.88%, due 02/01/22		1,043,700
	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		1,507,500
	1,130,000	CommScope Technologies LLC, 144A, 5.00%, due 03/15/27		1,056,550
	1,000,000	Comstock Resources, Inc., 10.00%, due 03/15/20		1,047,500
	900,000	DCP Midstream Operating LP, 144A, 6.75%, due 09/15/37		961,875
	1,250,000	DISH DBS Corp., 5.88%, due 11/15/24		1,038,125
	500,000	DJO Finance LLC / DJO Finance Corp., 10.75%, due 04/15/20		486,250
	500,000	Edgewell Personal Care Co., 4.70%, due 05/19/21		500,000
	1,000,000	Embarq Corp., 8.00%, due 06/01/36		950,000
	1,550,000	EMC Corp., 3.38%, due 06/01/23		1,451,524
	1,500,000	Energy Transfer Equity LP, 5.50%, due 06/01/27		1,520,625
	750,000	Ensco Plc, 5.75%, due 10/01/44		534,375
	5,461,600	EP Energy LLC / Everest Acquisition Finance, Inc., 144A, 8.00%, due 02/15/25		3,959,660
	250,000	Equinix, Inc., REIT, 5.38%, due 01/01/22		257,188
	880,000	Equinix, Inc., REIT, 5.75%, due 01/01/25		895,400
	750,000	Freeport-McMoRan, Inc., 3.88%, due 03/15/23		720,938
	1,250,000	Frontier Communications Corp., 8.50%, due 04/15/20		1,281,250
	500,000	Frontier Communications Corp., 9.25%, due 07/01/21		475,625
	994,600	Frontier Communications Corp., 6.25%, due 09/15/21		852,248
	3,070,000	Frontier Communications Corp., 8.75%, due 04/15/22		2,578,800
	1,491,000	Frontier Communications Corp., 7.13%, due 01/15/23		1,090,294
	3,348,000	Frontier Communications Corp., 11.00%, due 09/15/25		2,678,400
	3,792,000	Frontier Communications Corp., 144A, 8.50%, due 04/01/26		3,673,500
	3,418,000	GenOn Energy, Inc., 7.88%, due 06/15/17 (g)		3,136,015
	1,899,000	GenOn Energy, Inc., 9.88%, due 10/15/20 (g)		1,709,100
	750,000	Genworth Holdings, Inc., 7.70%, due 06/15/20		753,750

Par Value†		Description	Value ($)
		Corporate Debt — continued
	5,923,000	Gibson Brands, Inc., 144A, 8.88%, due 08/01/18		5,004,935
	750,000	Goodyear Tire & Rubber Co. (The), 5.00%, due 05/31/26		710,625
	1,130,000	HCA, Inc., 4.50%, due 02/15/27		1,070,675
	500,000	Hexion, Inc., 6.63%, due 04/15/20		471,875
	4,802,588	iHeartCommunications, Inc., 14.00%, due 02/01/21 (g)		612,330
	750,000	KB Home, 8.00%, due 03/15/20		798,750
	250,000	Kindred Healthcare, Inc., 8.00%, due 01/15/20		266,248
	1,130,000	Level 3 Financing, Inc., 5.63%, due 02/01/23		1,139,548
	1,510,000	Levi Strauss & Co., 5.00%, due 05/01/25		1,521,325
	1,510,000	LifePoint Health, Inc., 5.88%, due 12/01/23		1,510,000
	500,000	Mack-Cali Realty LP, REIT, 4.50%, due 04/18/22		487,657
	250,000	Magellan Health, Inc., 4.40%, due 09/22/24		245,467
	500,000	Mallinckrodt International Finance SA / Mallinckrodt CB LLC, 144A, 4.88%, due 04/15/20 (i)		481,250
	750,000	Mattel, Inc., 4.35%, due 10/01/20		748,125
	1,899,000	Momentive Performance Materials, Inc., 4.69%, due 04/24/22		2,041,425
	600,000	Murphy Oil Corp., 4.45%, due 12/01/22		591,000
	9,517,000	Murray Energy Corp., 144A, 11.25%, due 04/15/21		4,044,725
	750,000	Navient Corp., 5.50%, due 01/25/23		736,725
	1,140,000	Nuance Communications, Inc., 144A, 5.38%, due 08/15/20		1,144,275
	250,000	NuStar Logistics LP, 5.63%, due 04/28/27		238,125
	500,000	Oceaneering International, Inc., 4.65%, due 11/15/24		475,831
	1,000,000	Resolute Energy Corp., 8.50%, due 05/01/20		1,001,250
	380,000	Spectrum Brands, Inc., 5.75%, due 07/15/25		376,200
	1,000,000	Springleaf Finance Corp., 5.25%, due 12/15/19		1,020,000
	750,000	Sprint Capital Corp., 6.90%, due 05/01/19		770,550
	500,000	Sprint Capital Corp., 8.75%, due 03/15/32		538,125
	500,000	Sprint Communications, Inc., 144A, 7.00%, due 03/01/20		522,625
	1,510,000	Standard Industries, Inc., 144A, 5.38%, due 11/15/24		1,483,575
	760,000	Steel Dynamics, Inc., 5.25%, due 04/15/23		771,400
	1,250,000	T-Mobile USA, Inc., 5.38%, due 04/15/27		1,226,562
	250,000	Talen Energy Supply LLC, 4.60%, due 12/15/21		220,625

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		Corporate Debt — continued
	4,861,000	Tapstone Energy LLC / Tapstone Energy Finance Corp., 144A, 9.75%, due 06/01/22		4,125,774
	380,000	Targa Resources Partners LP / Targa Resources Partners Finance Corp., 6.75%, due 03/15/24		399,958
	750,000	Transocean, Inc., 6.80%, due 03/15/38		631,875
	2,944,000	TRU Taj LLC / TRU Taj Finance, Inc., 144A, 11.00%, due 01/22/19 (a)		3,105,920
	9,084,000	TRU Taj LLC / TRU Taj Finance, Inc., 144A, 12.00%, due 08/15/21		8,152,890
	500,000	Universal Hospital Services, Inc., 7.63%, due 08/15/20		501,875
	375,000	Urban One, Inc., 144A, 9.25%, due 02/15/20		356,250
	380,000	USG Corp., 144A, 4.88%, due 06/01/27		378,689
	750,000	Williams Cos., Inc. (The), 8.75%, due 03/15/32		975,000
	900,000	Yum! Brands, Inc., 5.35%, due 11/01/43		802,863
	750,000	Zachry Holdings, Inc., 144A, 7.50%, due 02/01/20		749,062
				97,957,524
		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%, 2.82%, due 10/15/29		3,461,039
	928,490	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.21%, due 02/25/30		910,279
	227,199	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.21%, due 09/25/30		226,891
	310,140	Nationslink Funding Corp. Commercial Loan Pass Through Certificate, Series 99-LTL1, Class D, 144A, 6.45%, due 01/22/26		315,525
				4,913,734
		U.S. Government — 20.2%
	214,311,223	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (j)		212,761,256
	410,206,044	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (b) (j)		397,334,689
	106,031,234	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 (j)		102,789,878
	245,926,649	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (j)		239,728,862
	262,597,889	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (b) (j)		286,283,168

Par Value†		Description	Value ($)
		U.S. Government — continued
	225,823,631	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (b) (i)		264,807,949
	115,520,000	U.S. Treasury Note, 0.75%, due 10/31/18 (b)		114,901,788
	47,100,000	U.S. Treasury Note, 1.38%, due 11/30/18 (b)		46,928,895
	43,050,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 1.95%, due 10/31/19		43,078,439
	57,550,000	U.S. Treasury Note, 1.88%, due 12/31/19 (b)		57,091,398
	49,100,000	U.S. Treasury Note, Variable Rate, USBM + 0.00%, 1.90%, due 01/31/20 (b)		49,085,487
	87,250,000	U.S. Treasury Note, 2.00%, due 01/31/20 (b)		86,691,055
	47,250,000	U.S. Treasury Note, 2.25%, due 02/29/20 (b)		47,130,029
	43,750,000	U.S. Treasury Note, 2.25%, due 03/31/20 (b)		43,620,117
	138,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.94%, due 04/30/20		138,003,762
	78,000,000	U.S. Treasury Note, 2.38%, due 04/30/20		77,923,828
	54,000,000	U.S. Treasury Note, 2.50%, due 05/31/20		54,075,937
				2,262,236,537
		U.S. Government Agency — 3.4%
	28,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR - 0.22%, 2.15%, due 11/09/18		28,027,352
	64,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR - 0.22%, 2.14%, due 02/01/19		64,071,445
	3,300,000	Federal Home Loan Banks, Variable Rate, 1 mo. LIBOR - 11%, 1.86%, due 05/28/19		3,299,380
	64,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR - 0.24%, 2.09%, due 11/25/19		63,971,776
	17,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR - 0.14%, 2.15%, due 12/26/19		17,016,910
	62,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR - 0.14%, 2.15%, due 12/26/19		62,061,672
	28,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR - 0.16%, 2.20%, due 02/07/20		28,017,302
	42,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR - 0.24%, 2.10%, due 04/13/20		42,458,375
	64,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR - 0.21%, 2.12%, due 05/22/20		63,962,844
	393,577	Government National Mortgage Association, Series 12-H15, Class FA, Variable Rate, 1 mo. LIBOR + 0.45%, 2.33%, due 05/20/62		394,023
	6,992,788	Government National Mortgage Association, Series 17-12H, Class FE, Variable Rate, 1 mo. LIBOR + .20%, 2.08%, due 06/20/66		6,990,040
	2,470,288	Government National Mortgage Association, Series 17-H05, Class FJ, Variable Rate, 1 mo. LIBOR + 0.27%, 2.15%, due 01/20/67		2,470,574
	2,591,196	Government National Mortgage Association, Series 17-H13, Class FJ, Variable Rate, 1 mo. LIBOR + 0.20%, 2.08%, due 05/20/67		2,591,878
				385,333,571
		Total United States		3,197,795,817
		TOTAL DEBT OBLIGATIONS (COST $3,813,110,970)		3,774,279,783

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 0.7%
		United States — 0.7%
	1,066,783	Altaba, Inc.*		82,312,976
		TOTAL MUTUAL FUNDS (COST $60,794,682)		82,312,976
		SHORT-TERM INVESTMENTS — 5.0%
		Money Market Funds — 0.2%
	17,910,000	State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (k) (l)		17,910,000
		Repurchase Agreements — 4.1%
	200,365,900	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 5/31/18, maturing on 6/01/18 with a maturity value of $200,375,807 and an effective yield of 1.78%, collateralized by a U.S. Treasury Note with maturity date 03/31/25 and a market value of $204,646,806.		200,365,900
	259,999,904	Nomura Securities International Inc. Repurchase Agreement, dated 5/31/18, maturing on 6/01/18 with a maturity value of $260,012,543 and an effective yield of 1.75%, collateralized by a U.S. Treasury Note with maturity date 07/31/24 and a market value of $265,546,577.		259,999,904
		TOTAL REPURCHASE AGREEMENTS (COST $460,365,804)		460,365,804

Shares		Description	Value ($)
		U.S. Government — 0.5%
	50,490,000	U.S. Treasury Bill, 2.00%, due 11/01/18 (l) (m)		50,066,468
		U.S. Government Agency — 0.2%
	8,500,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 07/02/18		8,486,315
	10,960,000	Federal Home Loan Bank Discount Notes, Zero Coupon, due 08/03/18		10,923,174
		TOTAL U.S. GOVERNMENT AGENCY (COST $19,416,429)		19,409,489
		TOTAL SHORT-TERM INVESTMENTS (COST $547,759,176)		547,751,761

PURCHASED OPTIONS — 0.0%

Description	Exercise Price		Expiration Date		Number of Contracts	Notional Amount			Value ($)
Equity Options—Puts — 0.0%
United Technologies Corp. (c)		105.00		06/15/18	710		USD	8,862,220		710
Walt Disney Co. (The) (c)		105.00		07/20/18	700		USD	6,962,900		473,200
Automatic Data Processing, Inc. (c)		115.00		08/17/18	600		USD	7,801,200		60,000
T-Mobile US, Inc. (c)		60.00		08/17/18	1,100		USD	6,127,000		563,200
Unilever NV (c)		55.00		08/17/18	1,100		USD	6,134,700		137,500
Mondelez International, Inc. (c)		35.00		09/21/18	3,100		USD	12,173,700		111,600
Pinnacle Foods, Inc. (c)		60.00		09/21/18	2,000		USD	12,788,000		396,000
QUALCOMM, Inc. (c)		50.00		09/21/18	1,200		USD	6,974,400		129,600
Twitter, Inc. (c)		29.00		09/21/18	2,400		USD	8,328,000		256,800
Colgate-Palmolive Co. (c)		60.00		11/16/18	1,200		USD	7,570,800		236,400
Williams Cos, Inc. (The) (c)		26.00		11/16/18	2,000		USD	5,372,000		278,000
CVS Health Corp. (c)		65.00		01/18/19	1,100		USD	6,972,900		638,000
Total Equity Options—Puts										3,281,010
TOTAL PURCHASED OPTIONS (COST $4,541,094)										3,281,010
Less Unfunded Loan Commitments — (0.0)%										(2,216,005	)
TOTAL INVESTMENTS — 100.7% (Cost $11,007,143,774)										11,269,005,414

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (3.3)%
			Common Stocks — (3.3)%
			Brazil — (0.1)%
	(169,100	)	Pagseguro Digital Ltd. – Class A *		(5,625,957	)
			Canada — (0.2)%
	(102,650	)	Algonquin Power & Utilities		(1,000,838	)
	(1,004,300	)	Barrick Gold Corp		(13,246,717	)
	(401,000	)	Enbridge Inc		(12,459,070	)
			Total Canada		(26,706,625	)
			China — (0.6)%
	(344,151	)	Alibaba Group Holding Ltd Sponsored ADR *		(68,145,340	)
			Denmark — 0.0%
	(1,707	)	AP Moller – Maersk A/S		(2,395,471	)
			France — (0.3)%
	(69,408	)	DBV Technologies SA *		(3,159,058	)
	(21,576	)	Iliad SA		(3,651,512	)
	(98,306	)	Unibail-Rodamco SE		(22,133,461	)
			Total France		(28,944,031	)
			Germany — (0.2)%
	(952,007	)	Deutsche Bank AG (Registered)		(10,180,540	)
	(371,655	)	thyssenkrupp AG		(9,805,802	)
			Total Germany		(19,986,342	)
			Italy — (0.1)%
	(498,214	)	Leonardo SPA		(5,075,670	)
	(1,667,648	)	Saipem SPA *		(7,072,967	)
			Total Italy		(12,148,637	)
			Japan — (0.4)%
	(1,056	)	Daiwa House REIT Investment Corp		(2,487,107	)
	(78,700	)	Mitsui OSK Lines Ltd		(2,072,563	)
	(942,700	)	Monex Group Inc		(5,570,018	)
	(88,300	)	Murata Manufacturing Co Ltd		(13,069,486	)
	(227,836	)	Takeda Pharmaceutical Co Ltd		(9,261,988	)
	(269,600	)	Tokyo Electric Power Co Holdings Inc *		(1,277,451	)
	(2,009,071	)	Yahoo Japan Corp		(7,281,498	)
			Total Japan		(41,020,111	)
			Netherlands — 0.0%
	(433,628	)	Altice NV *		(1,531,965	)
	(85,356	)	Boskalis Westminster		(2,351,206	)
			Total Netherlands		(3,883,171	)
			Spain — (0.2)%
	(1,194,731	)	Bankia SA		(4,548,897	)
	(115,146	)	Cellnex Telecom SA		(2,925,683	)
	(257,799	)	Ferrovial SA		(5,270,095	)

Shares			Description	Value ($)
			Spain — continued
	(299,048	)	Industria de Diseno Textil SA		(9,452,605	)
			Total Spain		(22,197,280	)
			Switzerland — (0.1)%
	(561,479	)	Credit Suisse Group AG (Registered) *		(8,608,867	)
	(137,860	)	LafargeHolcim Ltd (Registered) *		(7,081,224	)
			Total Switzerland		(15,690,091	)
			United Kingdom — (0.1)%
	(1,158,306	)	Cobham Plc *		(1,913,344	)
	(320,713	)	GVC Holdings Plc		(4,329,374	)
	(1,807,393	)	Melrose Industries Plc		(5,677,493	)
			Total United Kingdom		(11,920,211	)
			United States — (1.0)%
	(67,412	)	CVS Health Corp. (c)		(4,273,247	)
	(5,800	)	International Flavors & Fragrances, Inc.		(708,354	)
	(18,600	)	KLA-Tencor Corp.		(2,106,078	)
	(30	)	Lennar Corp. – B Shares		(1,241	)
	(476,851	)	Marvell Technology Group Ltd.		(10,271,371	)
	(279,308	)	Praxair, Inc.		(43,644,668	)
	(144,118	)	Sinclair Broadcast Group, Inc. – Class A		(3,948,833	)
	(1,171,675	)	Sirius XM Holdings, Inc.		(8,318,893	)
	(200,014	)	Spectrum Brands Holdings, Inc.		(15,939,116	)
	(83,095	)	United Technologies Corp. (c)		(10,371,918	)
	(103,880	)	Validus Holdings Ltd. *		(7,038,909	)
			Total United States		(106,622,628	)
			TOTAL COMMON STOCKS (PROCEEDS $365,832,402)		(365,285,895	)
			Rights/Warrants — 0.0%
			Netherlands — 0.0%
	(433,628	)	Altice NV, Expires 6/4/18* (a)		(3,163,601	)
			Spain — 0.0%
	(257,799	)	Ferrovial SA, Expires 6/12/18*		(94,031	)
			TOTAL RIGHTS/WARRANTS (PROCEEDS $3,186,222)		(3,257,632	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $369,018,624)		(368,543,527	)
			Other Assets and Liabilities (net) — 2.6%		295,022,343
			TOTAL NET ASSETS — 100.0%		$11,195,484,230

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

A summary of outstanding financial instruments at May 31, 2018 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appre- ciation (Depre- ciation) ($)
06/04/2018	MSCI	AUD	123,430,000	USD	92,721,744		(622,197	)
07/05/2018	MSCI	AUD	123,430,000	USD	93,515,875		154,654
07/13/2018	BCLY	AUD	2,818,100	USD	2,189,432		57,713
07/13/2018	GS	AUD	15,562,123	USD	11,999,596		227,807
06/04/2018	MSCI	BRL	191,900,559	USD	53,438,172		1,908,100
07/03/2018	MSCI	BRL	80,702,424	USD	22,094,212		483,087
06/04/2018	MSCI	CAD	10,768,174	USD	8,380,000		74,629
06/11/2018	JPM	CAD	8,992,000	USD	6,941,219		4,661
07/12/2018	BCLY	CHF	718,053	USD	726,624		(4,404	)
07/12/2018	GS	CHF	5,090,155	USD	5,328,903		146,774
07/12/2018	JPM	CHF	114,253,526	USD	120,320,655		4,002,666
06/20/2018	BCLY	EUR	13,551,400	USD	15,999,275		137,995
06/20/2018	BOA	EUR	56,117,269	USD	69,807,357		4,124,719
06/20/2018	DB	EUR	4,752,500	USD	5,891,931		329,352
06/20/2018	GS	EUR	96,267,354	USD	119,239,385		6,562,952
06/14/2018	BCLY	GBP	3,400,000	USD	4,744,366		222,565
06/14/2018	BOA	GBP	28,140,000	USD	39,256,144		1,831,588
06/14/2018	GS	GBP	4,100,000	USD	5,845,273		392,513
06/14/2018	JPM	GBP	3,790,000	USD	5,156,652		116,174
06/20/2018	BCLY	GBP	5,802,700	USD	7,748,085		28,267
06/20/2018	BOA	GBP	17,464,955	USD	24,939,340		1,704,247
06/20/2018	GS	GBP	28,705,564	USD	40,619,342		2,429,923
06/07/2018	BCLY	JPY	699,642,291	USD	6,420,000		(12,499	)
06/07/2018	GS	JPY	490,631,985	USD	4,590,000		79,138
06/18/2018	BCLY	JPY	6,775,000,000	USD	64,336,926		2,001,226
06/18/2018	GS	JPY	4,840,707,395	USD	44,536,169		(2,411	)
06/18/2018	JPM	JPY	4,354,751,855	USD	40,751,854		684,473
06/18/2018	MSCI	JPY	3,892,738,760	USD	36,415,589		599,117
06/25/2018	MSCI	JPY	13,140,000,000	USD	125,454,103		4,491,845
07/02/2018	BCLY	JPY	11,100,000,000	USD	104,931,120		2,694,945
07/09/2018	BOA	JPY	3,950,000,000	USD	37,130,760		731,584
07/17/2018	BCLY	JPY	2,365,000,000	USD	21,599,598		(205,432	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appre- ciation (Depre- ciation) ($)
07/23/2018	CITI	JPY	1,100,468,600	USD	10,293,141		142,894
07/23/2018	JPM	JPY	1,452,500,000	USD	13,611,371		214,139
07/23/2018	MSCI	JPY	2,040,000,000	USD	18,611,741		(204,337	)
08/13/2018	BCLY	JPY	10,350,000,000	USD	95,287,197		(310,508	)
08/20/2018	BCLY	JPY	2,365,000,000	USD	21,650,405		(204,136	)
07/05/2018	JPM	NOK	38,908,056	USD	5,030,000		269,178
07/12/2018	GS	NOK	16,822,215	USD	2,090,679		31,739
07/12/2018	JPM	NOK	111,338,051	USD	14,348,722		721,599
06/05/2018	BCLY	NZD	24,740,000	USD	17,272,291		(40,758	)
09/05/2018	BCLY	NZD	17,010,000	USD	11,931,750		27,133
07/12/2018	BCLY	SEK	136,414,718	USD	16,308,439		793,586
08/03/2018	BCLY	SEK	51,659,076	USD	6,060,000		174,844
08/03/2018	JPM	SEK	65,610,219	USD	7,620,000		145,488
06/04/2018	BOA	USD	5,210,000	CAD	6,649,867		(81,033	)
06/04/2018	GS	USD	4,380,000	CAD	5,590,959		(67,757	)
06/04/2018	MSCI	USD	93,498,225	AUD	123,430,000		(154,284	)
06/04/2018	MSCI	USD	57,970,665	BRL	213,888,110		(536,390	)
06/04/2018	MSCI	USD	29,078,556	CAD	37,496,798		(157,701	)
06/05/2018	BCLY	USD	17,353,564	NZD	24,740,000		(40,515	)
06/07/2018	GS	USD	21,848,209	JPY	2,298,154,069		(719,019	)
06/14/2018	GS	USD	2,192,271	GBP	1,630,000		(24,466	)
06/20/2018	BOA	USD	5,368,347	EUR	4,318,226		(314,065	)
06/20/2018	DB	USD	1,029,421	EUR	830,342		(57,544	)
06/20/2018	GS	USD	25,286,967	EUR	20,867,060		(863,049	)
06/20/2018	MSCI	USD	954,429	EUR	771,771		(51,107	)
06/20/2018	SSB	USD	1,971,015	EUR	1,594,067		(105,234	)
07/05/2018	JPM	USD	66,265,595	NOK	516,845,138		(3,023,995	)
07/12/2018	JPM	USD	9,570,000	CHF	9,107,584		(297,850	)
08/03/2018	BCLY	USD	42,080,000	SEK	369,889,293		58,893
08/03/2018	JPM	USD	40,618,239	SEK	352,281,984		(485,223	)
						$	30,216,293

Reverse Repurchase Agreements ⁽ⁿ⁾

Face Value		Description	Value ($)
USD	481,552	Barclays Bank plc, 1.00%, dated 4/30/18,(collateral: Mallinckrodt International Finance SA / Mallinckrodt CB LLC, 144A, 4.88%, due 04/15/20), to be repurchased on demand at face value plus accrued interest.	$	(481,552	)
		Average balance outstanding	$	(17,096,729	)
		Average interest rate		(0.62	)%
		Maximum balance outstanding	$	(105,632,950	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into reverse repurchase agreements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
1,900	Mini MSCI Emerging Markets	June 2018		106,561,500		(8,497,333	)
96	U.S. Treasury Note 10 Yr. (CBT)	September 2018		11,562,000		181,366
88	U.S. Treasury Note 2 Yr. (CBT)	September 2018		18,676,625		74,150
394	U.S. Treasury Note 5 Yr. (CBT)	September 2018		44,872,906		439,612
			$	181,673,031	$	(7,802,205	)
Sales
9,950	S&P 500 E-Mini	June 2018		1,345,986,250		16,567,099
45	U.S. Long Bond (CBT)	September 2018		6,530,625		(212,766	)
			$	1,352,516,875	$	16,354,333

+ 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.(c)	35.00		06/15/18		(4,000	)		USD	10,840,000		(120,000	)
Time Warner, Inc. (c)	100.00		07/20/18		(2,000	)		USD	18,832,000		(206,000	)
Bunge Ltd. (c)	80.00		07/20/18		(3,000	)		USD	20,865,000		(39,000	)
Twenty-First Century Fox, Inc. (c) (e)	38.00		07/20/18		(5,500	)		USD	21,202,500		(1,168,750	)
VMware, Inc (c)	135.00		07/20/18		(750	)		USD	10,311,000		(735,000	)
Dell Technologies Ltd., Inc. (c)	75.00		07/20/18		(3,500	)		USD	28,231,000		(2,975,000	)
Express Scripts Holding Co. (c)	80.00		08/17/18		(1,500	)		USD	11,371,500		(555,000	)
Express Scripts Holding Co. (c)	75.00		08/17/18		(1,500	)		USD	11,371,500		(990,000	)
			Total Equity Options—Calls								(6,788,750	)
Equity Options—Puts
Viacom, Inc. (c)	30.00		06/15/18		(4,000	)		USD	10,840,000		(1,360,000	)
Bunge Ltd. (c)	70.00		07/20/18		(1,000	)		USD	6,955,000		(240,000	)
Time Warner, Inc. (c)	90.00		07/20/18		(2,000	)		USD	18,832,000		(510,000	)
Bunge Ltd. (c)	75.00		07/20/18		(2,000	)		USD	13,910,000		(1,180,000	)
Twenty-First Century Fox, Inc. (c) (e)	36.00		07/20/18		(5,500	)		USD	21,202,500		(412,500	)
VMware, Inc. (c)	120.00		07/20/18		(750	)		USD	10,311,000		(177,750	)
Dell Technologies Ltd., Inc. (c)	65.00		07/20/18		(3,500	)		USD	28,231,000		(224,000	)
Express Scripts Holding Co. (c)	70.00		08/17/18		(1,500	)		USD	11,371,500		(312,000	)
Express Scripts Holding Co. (c)	80.00		08/17/18		(1,500	)		USD	11,371,500		(1,050,000	)
			Total Equity Options—Puts								(5,466,250	)
			TOTAL WRITTEN OPTIONS (Premiums $14,156,400)								(12,255,000	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

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) ($)

Sell Protection^:

CDX.NA.HYS.30.V1-5Y

USD

81,470,000

5.00%

0.50%

USD 81,470,000

06/20/2023

Quarterly

5,279,449

5,065,478

(213,971

)

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	3,631,000		5.00%		17.76%		N/A		12/20/2018		Quarterly		926,914		231,353		(695,561	)
Sears Roebuck Acceptance Corp.	GS	USD	1,365,000		0.00%		60.50%		N/A		12/20/2018		At Maturity		—		49,521		49,521
Sears Roebuck Acceptance Corp.	MSCI	USD	685,000		0.00%		60.50%		N/A		06/20/2021		Quarterly		—		83,101		83,101
Sears Roebuck Acceptance Corp.	MSCI	USD	685,000		0.00%		60.50%		N/A		12/20/2021		At Maturity		—		85,366		85,366
Sears Roebuck Acceptance Corp.	GS	USD	360,000		5.00%		40.95%		N/A		06/20/2022		Quarterly		183,600		87,589		(96,011	)
Sears Roebuck Acceptance Corp.	GS	USD	240,000		5.00%		19.04%		N/A		06/20/2022		Quarterly		57,600		58,390		790
														$	1,168,114	$	595,320	$	(572,794	)

^ 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 May 31, 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.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month NZD Bank Bill Rate		2.81%	NZD	336,224,000		06/20/2023	Quarterly		—			1,965,974			1,965,974
3 Month NZD Bank Bill Rate		2.85%	NZD	146,231,000		06/20/2023	Quarterly		—			1,024,995			1,024,995
2.97%		6 Month AUD BBSW	AUD	19,606,000		06/20/2028	Semi-Annual		—			(113,910	)		(113,910	)
3.01%		6 Month AUD BBSW	AUD	290,616,000		06/20/2028	Semi-Annual		—			(2,515,370	)		(2,515,370	)
6 Month AUD BBSW		2.87%	AUD	20,574,000		06/20/2028	Semi-Annual		—			(24,030	)		(24,030	)
6 Month AUD BBSW		2.93%	AUD	30,718,000		06/20/2028	Semi-Annual		—			90,025			90,025
6 Month AUD BBSW		3.04%	AUD	27,850,000		06/20/2028	Semi-Annual		—			293,879			293,879
6 Month AUD BBSW		3.05%	AUD	27,850,000		06/20/2028	Semi-Annual		—			314,634			314,634
6 Month AUD BBSW		3.04%	AUD	27,366,000		06/20/2028	Semi-Annual		—			296,188			296,188
3 Month NZD Bank Bill Rate		3.31%	NZD	99,308,000		06/20/2028	Quarterly		—			1,255,855			1,255,855
3.24%		3 Month NZD Bank Bill Rate	NZD	14,752,000		06/20/2028	Quarterly		—			(126,212	)		(126,212	)
3.28%		3 Month NZD Bank Bill Rate	NZD	41,592,000		06/20/2028	Quarterly		—			(450,361	)		(450,361	)
3.29%		3 Month NZD Bank Bill Rate	NZD	15,796,000		06/20/2028	Quarterly		—			(180,613	)		(180,613	)
3.29%		3 Month NZD Bank Bill Rate	NZD	15,796,000		06/20/2028	Quarterly		—			(183,006	)		(183,006	)
3 Month NZD Bank Bill Rate		3.11%	NZD	26,858,000		06/20/2028	Quarterly		—			14,130			14,130
3 Month NZD Bank Bill Rate		3.22%	NZD	23,964,000		06/20/2028	Quarterly		—			165,090			165,090
2.76%		3 Month CAD LIBOR	CAD	21,540,000		06/21/2028	Semi-Annual		—			(243,280	)		(243,280	)
2.60%		3 Month CAD LIBOR	CAD	18,921,000		06/21/2028	Semi-Annual		—			(2,904	)		(2,904	)
2.61%		3 Month CAD LIBOR	CAD	60,375,000		06/21/2028	Semi-Annual		—			(45,948	)		(45,948	)
3 Month CAD LIBOR		2.63%	CAD	9,705,000		06/21/2028	Semi-Annual		—			16,936			16,936
3 Month CAD LIBOR		2.67%	CAD	24,081,000		06/21/2028	Semi-Annual		—			122,007			122,007
3 Month CAD LIBOR		2.67%	CAD	42,620,000		06/21/2028	Semi-Annual		—			210,037			210,037
3 Month CAD LIBOR		2.75%	CAD	30,719,000		06/21/2028	Semi-Annual		—			317,191			317,191
3 Month CAD LIBOR		2.86%	CAD	29,817,000		06/21/2028	Semi-Annual		—			534,837			534,837
6 Month CHF LIBOR		0.55%	CHF	21,594,000		06/21/2028	Semi-Annual		—			340,591			340,591
0.51%		6 Month CHF LIBOR	CHF	21,164,000		06/21/2028	Semi-Annual		—			(246,358	)		(246,358	)
0.53%		6 Month CHF LIBOR	CHF	17,117,000		06/21/2028	Semi-Annual		—			(234,177	)		(234,177	)
0.54%		6 Month CHF LIBOR	CHF	13,199,000		06/21/2028	Semi-Annual		—			(187,308	)		(187,308	)
6 Month CHF LIBOR		0.38%	CHF	15,481,000		06/21/2028	Semi-Annual		—			(33,022	)		(33,022	)
6 Month CHF LIBOR		0.52%	CHF	3,794,000		06/21/2028	Semi-Annual		—			47,454			47,454
6 Month CHF LIBOR		0.57%	CHF	21,745,000		06/21/2028	Semi-Annual		—			389,562			389,562
1.03%		6 Month EURIBOR	EUR	20,669,000		06/21/2028	Semi-Annual		—			(246,287	)		(246,287	)
1.04%		6 Month EURIBOR	EUR	19,186,000		06/21/2028	Semi-Annual		—			(258,282	)		(258,282	)
6 Month EURIBOR		1.15%	EUR	69,011,000		06/21/2028	Semi-Annual		200,945			1,778,710			1,577,765
1.65%		6 Month GBP LIBOR	GBP	81,142,000		06/21/2028	Semi-Annual		—			(1,855,911	)		(1,855,911	)
1.64%		6 Month GBP LIBOR	GBP	193,995,000		06/21/2028	Semi-Annual		(211,403	)		(4,192,206	)		(3,980,803	)
1.72%		6 Month GBP LIBOR	GBP	49,939,000		06/21/2028	Semi-Annual		4,591			(9,007	)		(13,598	)
1.66%		6 Month GBP LIBOR	GBP	11,311,000		06/21/2028	Semi-Annual		—			(275,846	)		(275,846	)
6 Month GBP LIBOR		1.58%	GBP	20,192,000		06/21/2028	Semi-Annual		—			278,291			278,291
6 Month GBP LIBOR		1.57%	GBP	15,056,000		06/21/2028	Semi-Annual		—			188,497			188,497
6 Month GBP LIBOR		1.60%	GBP	5,975,000		06/21/2028	Semi-Annual		—			98,568			98,568
6 Month GBP LIBOR		1.61%	GBP	10,063,000		06/21/2028	Semi-Annual		—			179,346			179,346
6 Month GBP LIBOR		1.70%	GBP	6,492,000		06/21/2028	Semi-Annual		—			187,830			187,830
6 Month GBP LIBOR		1.70%	GBP	6,492,000		06/21/2028	Semi-Annual		—			191,928			191,928
6 Month GBP LIBOR		1.47%	GBP	21,070,000		06/21/2028	Semi-Annual		—			5,759			5,759
1.29%		3 Month SEK STIBOR	SEK	191,758,000		06/21/2028	Quarterly		—			(234,866	)		(234,866	)
1.31%		3 Month SEK STIBOR	SEK	336,157,000		06/21/2028	Quarterly		—			(486,796	)		(486,796	)
1.30%		3 Month SEK STIBOR	SEK	203,383,000		06/21/2028	Quarterly		—			(279,014	)		(279,014	)
3 Month SEK STIBOR		1.17%	SEK	159,454,000		06/21/2028	Quarterly		—			(13,144	)		(13,144	)
3 Month SEK STIBOR		1.4%	SEK	245,623,000		06/21/2028	Quarterly		—			608,548			608,548
3 Month SEK STIBOR		1.18%	SEK	272,692,000		06/21/2028	Quarterly		—			10,199			10,199
2.89%		3 Month USD LIBOR	USD	12,371,000		06/21/2028	Quarterly		—			(8,073	)		(8,073	)
3 Month USD LIBOR		2.94%	USD	25,189,000		06/21/2028	Quarterly		9,828			138,637			128,809
3 Month USD LIBOR		2.95%	USD	21,800,000		06/21/2028	Quarterly		—			137,290			137,290
3 Month USD LIBOR		3.02%	USD	24,361,000		06/21/2028	Quarterly		—			297,385			297,385
3 Month USD LIBOR		3.05%	USD	21,432,000		06/21/2028	Quarterly		—			323,067			323,067
3 Month USD LIBOR		3.12%	USD	12,629,000		06/21/2028	Quarterly		—			265,004			265,004
3 Month USD LIBOR		3.11%	USD	16,430,000		06/21/2028	Quarterly		—			339,691			339,691

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month NZD Bank Bill Rate		3.14%	NZD	18,870,000		09/19/2028	Quarterly		—		(7,636	)		(7,636	)
3 Month NZD Bank Bill Rate		3.14%	NZD	14,482,500		09/19/2028	Quarterly		—		(8,037	)		(8,037	)
3 Month NZD Bank Bill Rate		3.15%	NZD	15,108,000		09/19/2028	Quarterly		—		(1,571	)		(1,571	)
3 Month NZD Bank Bill Rate		3.15%	NZD	33,352,500		09/19/2028	Quarterly		—		1,545			1,545
6 Month CHF LIBOR		0.45%	CHF	20,119,000		09/20/2028	Semi-Annual		—		9,652			9,652
6 Month EURIBOR		0.98%	EUR	25,356,000		09/20/2028	Semi-Annual		—		(2,006	)		(2,006	)
								$	3,961	$	(25,849	)	$	(29,810	)

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 1.75%)		Appreciation of Total Return on High Yield Growth ETF	BOA		USD	23,708,632		06/11/2018	Monthly		—		(98,423	)		(98,423	)
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	BOA		USD	22,268,997		06/14/2018	At Maturity		—		13,160			13,160
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	8,751,871		06/14/2018	At Maturity		—		5,172			5,172
Total Return on Equity Basket (o)		1 Month Federal Funds Rate minus 0.40%	MORD		USD	17,963,741		05/18/2020	Monthly		—		(547,457	)		(547,457	)
Total Return on Equity Basket (o)		1 Month Federal Funds Rate minus 1.75%	MORD		USD	7,421,457		05/18/2020	Monthly		—		(480,290	)		(480,290	)
Total Return on Equity Basket (o)		1 Month Federal Funds Rate minus 0.75%	MORD		USD	3,058,270		05/18/2020	Monthly		—		197,523			197,523
Total Return on Equity Basket (o)		1 Month Federal Funds Rate minus 1.00%	MORD		USD	15,890,766		05/18/2020	Monthly		—		97,756			97,756
										$	—	$	(812,559	)	$	(812,559	)

As of May 31, 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.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

Notes to Schedule of Investments:

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

ADR - American Depositary Receipt

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

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

CDI - Certificado de Deposito Interbancario

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.

CVR - Contingent Value Right

DIP - Debtor - in - Possession

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

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

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

GDR - Global Depositary Receipt

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

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

OJSC - Open Joint-Stock Company

QPSC - Qatar Private Joint-Stock Company

PJSC - Private Joint-Stock Company

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

REIT - Real Estate Investment Trust

SDR - Swedish Depository Receipt

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

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

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

The rates shown on variable rate notes are the current interest rates at May 31, 2018, which are subject to change based on the terms of the security.

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

* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

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

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

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

(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.

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

(g) Security is in default.

(h) Includes unfunded loan commitments with a Par Value and Value of $2,284,541 and $2,216,005, respectively.

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

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

(k) The rate disclosed is the 7 day net yield as of May 31, 2018.

(l) 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.

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

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

(o) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

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.   MORD - Morgan Stanley Capital Services LLC   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   DKK - Danish Krone   EUR - Euro   GBP - British Pound   JPY - Japanese Yen   NOK - Norwegian Krone   NZD - New Zealand Dollar   SEK - Swedish Krona   USD - United States Dollar

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,959,454	GMO Emerging Markets Fund, Class VI		65,680,893
	25,481,581	GMO International Equity Fund, Class IV		591,682,321
		TOTAL MUTUAL FUNDS (COST $644,218,770)		657,363,214
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	259,154	State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (a)		259,154
		TOTAL SHORT-TERM INVESTMENTS (COST $259,154)		259,154
		TOTAL INVESTMENTS — 100.0% (Cost $644,477,924)		657,622,368
		Other Assets and Liabilities (net) — 0.00%		41,739
		TOTAL NET ASSETS — 100.0%		$657,664,107

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2018.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	10,917,914	GMO Emerging Markets Fund, Class VI		365,968,470
	30,053,100	GMO International Equity Fund, Class IV		697,832,991
		TOTAL MUTUAL FUNDS (COST $1,028,569,642)		1,063,801,461
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	110,558	State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (a)		110,558
		TOTAL SHORT-TERM INVESTMENTS (COST $110,558)		110,558
		TOTAL INVESTMENTS — 100.0% (Cost $1,028,680,200)		1,063,912,019
		Other Assets and Liabilities (net) — 0.00%		209,839
		TOTAL NET ASSETS — 100.0%		$1,064,121,858

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of May 31, 2018.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 21.2%
		U.S. Government — 12.3%
	33,750,000	U.S. Treasury Note, 0.75%, due 08/31/18		33,650,024
	67,600,000	U.S. Treasury Note, 1.38%, due 09/30/18 (a)		67,454,768
	33,100,000	U.S. Treasury Note, 1.25%, due 01/31/19 (a)		32,895,711
	68,300,000	U.S. Treasury Note, Variable Rate, USBM + 0.00%, 1.90%, due 01/31/20 (a)		68,279,812
	23,600,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 1.94%, due 04/30/20		23,600,643
		Total U.S. Government		225,880,958
		U.S. Government Agency — 8.9%
	29,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR—0.25%, 2.11%, due 10/18/18		29,023,222
	9,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR—0.23%, 2.13%, due 02/13/19		9,009,439
	19,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. LIBOR—0.19%, 2.17%, due 05/10/19		19,525,449
	15,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. U.S. LIBOR—0.16%, 1.91%, due 06/12/19		15,018,471
	75,000,000	Federal Home Loan Banks, Variable Rate, 1 mo. LIBOR—0.09%, 1.83%, due 07/12/19		74,976,888
	15,500,000	Federal Home Loan Banks, Variable Rate, 1 mo. U.S. LIBOR—0.07%, 1.90%, due 01/23/20		15,495,055
		Total U.S. Government Agency		163,048,524
		TOTAL DEBT OBLIGATIONS (COST $389,163,037)		388,929,482
		MUTUAL FUNDS — 56.8%
		Affiliated Issuers — 56.8%
	41,810,138	GMO U.S. Treasury Fund		1,044,417,229
		TOTAL MUTUAL FUNDS (COST $1,045,140,561)		1,044,417,229

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 21.8%
		Money Market Funds — 0.5%
	4,267,536	SSgA USD Liquidity Fund-Class S2 Shares (b)		4,267,536
	4,952,468	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.67% (c)		4,952,468
		Total Money Market Funds		9,220,004
		U.S. Government — 21.3%
	81,245,000	U.S. Treasury Bill, 1.72%, due 07/05/18 (b) (d)		81,111,488
	20,000,000	U.S. Treasury Bill, 1.79%, due 07/26/18 (b) (d)		19,945,305
	20,000,000	U.S. Treasury Bill, 1.92%, due 09/13/18 (b) (d)		19,890,078
	4,500,000	U.S. Treasury Bill, 1.93%, due 09/20/18 (b) (d)		4,473,568
	9,000,000	U.S. Treasury Bill, 1.99%, due 10/18/18 (b) (d)		8,931,890
	57,000,000	U.S. Treasury Bill, 1.99%, due 10/25/18 (b) (d)		56,546,335
	71,500,000	U.S. Treasury Bill, 2.02%, due 11/08/18 (b) (d)		70,868,417
	21,000,000	U.S. Treasury Note, 1.00%, due 09/15/18 (a) (b)		20,941,405
	68,100,000	U.S. Treasury Note, 0.75%, due 10/31/18 (a)		67,735,559
	2,500,000	U.S. Treasury Note, 1.50%, due 12/31/18 (b)		2,490,723
	39,250,000	U.S. Treasury Note, Variable Rate, USBM + 0.07%, 1.97%, due 04/30/19		39,290,779
		Total U.S. Government		392,225,547
		TOTAL SHORT-TERM INVESTMENTS (COST $401,626,132)		401,445,551
		TOTAL INVESTMENTS — 99.8% (COST $1,835,929,730)		1,834,792,262
		Other Assets and Liabilities (net) — 0.2%		3,531,847
		TOTAL NET ASSETS — 100.0%		$1,838,324,109

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

A summary of outstanding financial instruments at May 31, 2018 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/18/2018	MSCI		AUD	124,380,322		USD	93,860,625		(209,297	)
07/16/2018	SSB		AUD	124,500,000		USD	93,972,600		(206,257	)
08/16/2018	MSCI		AUD	19,833,221		USD	14,871,138		(135,244	)
08/16/2018	NABH		AUD	127,790,481		USD	96,530,449		(159,483	)
08/16/2018	UBS		AUD	8,763,007		USD	6,599,394		(30,947	)
06/19/2018	MSCI		CHF	21,577,682		USD	22,657,325		736,212
06/19/2018	NABH		CHF	10,458,139		USD	10,987,563		362,972
06/19/2018	SSB		CHF	61,500,000		USD	65,560,139		3,081,304
06/26/2018	MSCI		CHF	17,044,546		USD	17,041,196		(286,133	)
06/26/2018	NABH		CHF	6,546,124		USD	6,694,631		39,902
06/26/2018	SSB		CHF	82,224,005		USD	85,082,847		1,494,683
06/26/2018	UBS		CHF	24,307,460		USD	24,428,128		(282,611	)
07/23/2018	MSCI		CHF	5,530,406		USD	5,561,452		(74,189	)
07/23/2018	MSCI		CHF	75,354,133		USD	75,789,773		(998,232	)
07/23/2018	UBS		CHF	3,305,943		USD	3,342,419		(26,431	)
06/20/2018	MSCI		EUR	9,730,239		USD	11,513,192		124,401
06/20/2018	NABH		EUR	14,264,652		USD	17,063,879		367,771

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
06/20/2018	SSB		EUR	12,343,923		USD	14,729,844		281,859
06/20/2018	UBS		EUR	27,253,804		USD	32,247,890		348,588
06/20/2018	JPM		GBP	1,728,981		USD	2,313,720		13,512
06/20/2018	MSCI		GBP	3,223,025		USD	4,297,584		9,724
06/20/2018	NABH		GBP	2,264,247		USD	3,041,752		29,435
06/20/2018	SSB		GBP	36,998,654		USD	50,011,081		788,671
06/20/2018	UBS		GBP	3,277,993		USD	4,353,860		(7,129	)
06/05/2018	NABH		JPY	1,168,940,000		USD	10,753,226		7,211
07/16/2018	JPM		NZD	14,487,558		USD	9,970,715		(167,920	)
07/16/2018	SSB		NZD	100,327,447		USD	69,705,504		(505,323	)
06/05/2018	DB		USD	11,761,375		JPY	1,242,418,677		(339,873	)
06/05/2018	NABH		USD	1,130,010		JPY	120,619,472		(21,160	)
06/18/2018	MSCI		USD	132,768,037		JPY	14,132,772,496		(2,734,639	)
07/17/2018	MSCI		USD	105,144,246		JPY	11,512,485,279		999,555
07/31/2018	UBS		USD	16,727,278		JPY	1,808,720,583		(35,534	)
								$	2,465,398

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
1,907	Australian Government Bond 10 Yr.	June 2018		186,047,527		2,323,765
6,184	Euro STOXX 50	June 2018		246,305,952		2,865,007
3,466	FTSE 100 Index	June 2018		353,397,488		23,871,713
119	Gold 100 OZ (b)	August 2018		15,525,930		(196,620	)
143	Hang Seng	June 2018		27,801,605		(161,962	)
4,288	Mini MSCI Emerging Markets	June 2018		240,492,480		(19,175,117	)
342	MSCI Singapore	June 2018		10,000,598		(313,965	)
823	MSCI Taiwan	June 2018		32,500,270		(470,914	)
313	SPI 200	June 2018		35,600,621		(21,669	)
1,292	Crude Oil (b)	June 2018		86,615,680		(4,069,849	)
			$	1,234,288,151	$	4,650,389

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
1,291	Corn (b)	July 2018		25,432,700		(548,675	)
916	FTSE/JSE TOP 40	June 2018		36,068,312		2,257,753
265	Japanese Government Bond 10 Yr. (OSE)	June 2018		367,762,559		(943,322	)
3,368	S&P 500 E-Mini	June 2018		455,606,200		8,909,982
9	TOPIX	June 2018		1,443,260		11,043
2,792	UK Gilt Long Bond	September 2018		458,227,577		(6,727,765	)
			$	1,344,540,608	$	2,959,016

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 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.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

Notes to Schedule of Investments:

LIBOR - London Interbank Offered Rate

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

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

The rates shown on variable rate notes are the current interest rates at May 31, 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.

(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 May 31, 2018.

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

Counterparty Abbreviations:

DB - Deutsche Bank AG

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

NABH - National Australia Bank Limited

SSB - State Street Bank and Trust Company

UBS - UBS Securities LLC

Currency Abbreviations:

AUD - Australian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NZD - New Zealand Dollar

USD - United States Dollar

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 72.4%
		Canada — 0.0%
	6,000,000	Jagercor Energy Corp * (a) (b)		69,412
		Germany — 3.6%
	605,000	Brenntag AG		34,842,747
		Netherlands — 4.3%
	650,000	InterXion Holding NV *		41,509,000
		Romania — 0.4%
	1,560,661	Societatea Energetica Electrica SA		3,867,906
		United Kingdom — 7.1%
	1,550,000	Metro Bank Plc *		68,387,791
		United States — 57.0%
	1,420,000	Ally Financial, Inc.		36,423,000
	233,000	Berkshire Hathaway, Inc. – Class B *		44,626,490
	480,000	Cimpress NV *		66,830,400
	93,000	Credit Acceptance Corp. *		32,829,930
	1,840,000	General Motors Co.		78,568,000
	997,544	Interactive Brokers Group, Inc. – Class A		72,601,253
	750,000	Liberty Latin America Ltd. – Class A *		16,252,500
	1,235,000	Liberty Latin America Ltd. – Class C *		26,527,800
	80,000	National Beverage Corp.		7,542,400
	680,000	Shake Shack, Inc. – Class A *		40,541,600
	1,350,000	Wayfair, Inc. – Class A *		124,672,500
		Total United States		547,415,873
		TOTAL COMMON STOCKS (COST $465,158,159)		696,092,729

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 25.5%
		Money Market Funds — 0.7%
	6,926,476	State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (c) (d)		6,926,476
		U.S. Government — 24.8%
	2,500,000	U.S. Treasury Bill, 1.65%, due 06/21/18 (d) (e)		2,497,635
	44,000,000	U.S. Treasury Bill, 1.72%, due 07/05/18 (e)		43,927,694
	10,000,000	U.S. Treasury Bill, 1.74%, due 07/12/18 (e)		9,980,041
	26,000,000	U.S. Treasury Bill, 1.79%, due 07/26/18 (e)		25,928,897
	35,500,000	U.S. Treasury Bill, 1.85%, due 08/09/18 (e)		35,374,208
	1,275,000	U.S. Treasury Bill, 1.87%, due 08/23/18 (d) (e) (f)		1,269,536
	47,500,000	U.S. Treasury Bill, 1.91%, due 09/06/18 (e)		47,257,179
	38,000,000	U.S. Treasury Bill, 1.99%, due 10/18/18 (e)		37,712,424
	35,000,000	U.S. Treasury Bill, 2.02%, due 11/08/18 (e)		34,690,834
		Total U.S. Government		238,638,448
		TOTAL SHORT-TERM INVESTMENTS (COST $245,594,692)		245,564,924
		TOTAL INVESTMENTS — 97.9% (Cost $710,752,851)		941,657,653
		Other Assets and Liabilities (net) — 2.1%		19,871,911
		TOTAL NET ASSETS — 100.0%		$961,529,564

A summary of outstanding financial instruments at May 31, 2018 is as follows:

Futures Contracts ^(d)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
25	Natural Gas	December 2019		186,000		(74,937	)
25	Natural Gas	January 2020		183,875		(77,062	)
25	Natural Gas	February 2020		177,875		(83,062	)
25	Natural Gas	March 2020		160,563		(100,375	)
25	Natural Gas	April 2020		158,875		(102,063	)
25	Natural Gas	May 2020		160,813		(100,125	)
25	Natural Gas	June 2020		162,938		(98,000	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
25	Natural Gas	July 2020		163,437		(97,500	)
25	Natural Gas	August 2020		162,500		(98,438	)
25	Natural Gas	September 2020		163,750		(97,188	)
25	Natural Gas	October 2020		167,312		(93,625	)
25	Natural Gas	November 2020		175,875		(85,063	)
			$	2,023,813	$	(1,107,438	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of May 31, 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.

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

May 31, 2018 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) Affiliated company.

(b) Investment valued using significant unobservable inputs.

(c) The rate disclosed is the 7 day net yield as of May 31, 2018.

(d) All or a portion of this security or derivative is owned by 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.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 9.2%
		Australia — 0.1%
	2,500	Abacus Property Group (REIT)		7,249
	11,400	Caltex Australia Ltd		252,823
	300	CIMIC Group Ltd		9,330
	15,100	Costa Group Holdings Ltd		87,616
	1,000	Credit Corp Group Ltd		14,286
	45,300	Downer EDI Ltd		239,962
	900	Elders Ltd		6,003
	2,400	Macquarie Group Ltd		206,795
	11,600	Metcash Ltd		25,344
	14,200	Mineral Resources Ltd		197,213
	600	Monadelphous Group Ltd		6,565
	25,781	Nine Entertainment Co Holdings Ltd		46,853
	15,300	OZ Minerals Ltd		113,466
	9,200	Shopping Centres Australasia Property Group (REIT)		17,097
	2,800	Tassal Group Ltd		8,688
	200	Woodside Petroleum Ltd		4,887
		Total Australia		1,244,177
		Austria — 0.1%
	600	Oesterreichische Post AG		27,792
	6,400	OMV AG		366,721
	3,100	voestalpine AG		165,535
		Total Austria		560,048
		Belgium — 0.0%
	4,800	AGFA-Gevaert NV *		17,173
	100	bpost SA		1,770
	300	D’ieteren SA		12,987
	700	Orange Belgium SA		13,787
	700	UCB SA		55,025
		Total Belgium		100,742
		Brazil — 0.1%
	93,500	Banco do Brasil SA		761,217
	39,300	Banco Santander Brasil SA		355,944
	46,200	Cia de Saneamento Basico do Estado de Sao Paulo		323,651
	27,800	Localiza Rent a Car SA		184,469
		Total Brazil		1,625,281
		Canada — 0.1%
	9,400	Bank of Montreal		728,163
	2,700	Dollarama Inc		311,627
	4,600	Magna International Inc		294,959
		Total Canada		1,334,749
		China — 0.2%
	1,763,000	Agricultural Bank of China Ltd – Class H		905,028
	1,128,000	China Petroleum & Chemical Corp – Class H		1,097,295
		Total China		2,002,323

Shares		Description	Value ($)
		Denmark — 0.0%
	2,200	Novo Nordisk A/S Sponsored ADR		104,588
	4,900	Novo Nordisk A/S – Class B		232,889
		Total Denmark		337,477
		Finland — 0.0%
	200	Metso Oyj		6,922
	200	Tieto Oyj		6,987
		Total Finland		13,909
		France — 0.3%
	600	Amundi SA		43,858
	24,200	AXA SA		606,343
	1,000	Christian Dior SE		425,841
	5,500	CNP Assurances		128,796
	30,224	Credit Agricole SA		415,619
	100	IPSOS		3,415
	200	L’Oreal SA		48,168
	1,800	Metropole Television SA		38,047
	1,200	Sanofi		91,985
	2,000	Sanofi ADR		76,540
	2,400	SCOR SE		88,420
	11,300	Societe Generale SA		487,737
	17,200	STMicroelectronics NV – NY Shares		410,564
	19,000	STMicroelectronics NV		453,033
	4,500	TOTAL SA		273,572
		Total France		3,591,938
		Germany — 0.4%
	1,000	ADVA Optical Networking SE *		7,176
	6,920	Allianz SE (Registered)		1,425,743
	1,100	BASF SE		108,609
	8,400	Bayerische Motoren Werke AG (a)		839,363
	700	Bechtle AG		61,510
	1,500	Covestro AG		136,654
	12,200	Daimler AG (Registered Shares)		881,331
	22,600	Deutsche Lufthansa AG (Registered)		613,338
	500	Deutsche Pfandbriefbank AG *		7,616
	100	Evonik Industries AG		3,508
	100	Henkel AG & Co KGaA		11,276
	400	Jenoptik AG		16,530
	700	Leoni AG		42,008
	1,600	RHOEN-KLINIKUM AG		49,332
	900	Software AG		42,944
	400	Talanx AG		15,406
	1,100	Volkswagen AG		203,721
		Total Germany		4,466,065
		Hong Kong — 0.2%
	69,400	BOC Hong Kong Holdings Ltd		347,393
	22,600	Champion (REIT)		15,766
	1,900	CK Asset Holdings Ltd		15,793
	18,500	Dah Sing Banking Group Ltd		42,376

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	3,600	Dah Sing Financial Holdings Ltd		23,715
	2,600	Fortune Real Estate Investment Trust		3,142
	19,400	Hysan Development Co Ltd		111,921
	21,400	Kerry Properties Ltd		114,127
	7,200	Luk Fook Holdings International Ltd		32,767
	7,300	Man Wah Holdings Ltd		6,420
	12,700	Pacific Textiles Holdings Ltd		10,980
	8,400	PCCW Ltd		4,938
	111,400	SJM Holdings Ltd		159,113
	300	Swire Pacific Ltd – Class A		3,084
	1,200	Swire Properties Ltd		4,699
	1,000	Techtronic Industries Co Ltd		5,949
	430,100	WH Group Ltd		440,647
	26,900	Wharf Holdings Ltd (The)		86,535
	24,600	Wharf Real Estate Investment Co Ltd		189,154
	13,400	Wheelock & Co Ltd		100,640
	26,500	Yue Yuen Industrial Holdings Ltd		81,734
		Total Hong Kong		1,800,893
		India — 0.1%
	65,600	Infosys Ltd Sponsored ADR		1,193,264
		Ireland — 0.0%
	300	ICON Plc *		38,694
		Israel — 0.0%
	500	Bank Hapoalim BM		3,450
	27,000	Israel Discount Bank Ltd – Class A		81,399
	200	Mizrahi Tefahot Bank Ltd		3,820
		Total Israel		88,669
		Italy — 0.3%
	3,700	A2A SPA		6,292
	600	De’ Longhi SPA		17,017
	53,300	Enel SPA		292,928
	16,043	EXOR NV		1,165,196
	39,800	Fiat Chrysler Automobiles NV		924,554
	100	Fiat Chrysler Automobiles NV *		2,266
	4,900	Hera SPA		15,097
	31,625	Iren SPA		78,661
	400	La Doria SPA		5,440
	5,900	Recordati SPA		218,303
	2,800	Saras SPA		6,290
	13,000	Societa Cattolica di Assicurazioni SC		111,833
	4,600	Telecom Italia SPA *		3,702
		Total Italy		2,847,579
		Japan — 1.1%
	1,100	Alpine Electronics Inc		20,921
	600	AOKI Holdings Inc		9,585
	26,600	Asahi Kasei Corp		363,672

Shares		Description	Value ($)
		Japan — continued
	53,200	Astellas Pharma Inc		823,839
	1,000	Autobacs Seven Co Ltd		18,178
	15,700	Brother Industries Ltd		327,075
	34,800	Canon Inc		1,186,661
	400	Cawachi Ltd		8,935
	1,800	Central Japan Railway Co		371,306
	1,600	CKD Corp		32,956
	2,600	Cosmo Energy Holdings Co Ltd		87,923
	200	Daikyo Inc		4,741
	500	Daiwabo Holdings Co Ltd		27,898
	2,600	Denka Co Ltd		94,917
	500	Denso Corp		24,240
	700	Dexerials Corp		6,963
	500	Doutor Nichires Holdings Co Ltd		10,184
	100	DTS Corp		3,979
	1,200	Fancl Corp		55,215
	7,000	Fuji Electric Co Ltd		49,618
	86,400	Fujitsu Ltd (a)		526,829
	100	Fuji Oil Holdings Inc		3,614
	600	Furukawa Electric Co Ltd		23,058
	200	Fuyo General Lease Co Ltd		14,382
	1,300	Geo Holdings Corp		18,453
	100	Gunze Ltd		6,403
	2,100	Hanwa Co Ltd		88,271
	800	Hiroshima Bank Ltd (The)		5,664
	100	Hitachi Capital Corp		2,583
	200	Hitachi Chemical Co Ltd		4,290
	100,300	Hitachi Ltd (a)		730,261
	1,600	House Foods Group Inc		58,491
	200	Isuzu Motors Ltd		2,670
	53,500	ITOCHU Corp		1,001,079
	1,200	Itochu Techno-Solutions Corp		21,680
	1,400	Kanematsu Corp		21,592
	800	Keihin Corp		15,523
	400	Kohnan Shoji Co Ltd		9,672
	500	Kokuyo Co Ltd		9,343
	1,700	Kose Corp		368,013
	300	Kuraray Co Ltd		4,579
	400	Mandom Corp		13,009
	52,100	Marubeni Corp		404,161
	1,000	MINEBEA MITSUMI Inc		18,872
	83,900	Mitsubishi Chemical Holdings Corp		772,658
	6,500	Mitsubishi Corp		180,157
	18,500	Mitsubishi Electric Corp		262,178
	6,400	Mitsubishi Gas Chemical Co Inc		162,548
	6,000	Mitsubishi Tanabe Pharma Corp		107,157
	14,300	Mitsui & Co Ltd		250,946
	4,400	Mitsui Chemicals Inc		126,756
	700	Modec Inc		18,949
	130	Nachi-Fujikoshi Corp		6,193
	600	Namura Shipbuilding Co Ltd		2,862
	3,300	NET One Systems Co Ltd		53,584

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	2,700	Nichias Corp		33,838
	1,100	Nichirei Corp		29,712
	100	Nifco Inc		3,440
	900	Nippo Corp		17,363
	100	Nippon Chemi-Con Corp *		3,753
	2,600	Nippon Light Metal Holdings Co Ltd		6,029
	18,800	Nippon Telegraph & Telephone Corp (a)		878,277
	600	Nippon Signal Co Ltd		5,528
	900	Nishi-Nippon Financial Holdings Inc		10,431
	300	Nissin Electric Co Ltd		2,813
	600	Nomura Holdings Inc		3,093
	1,125	Okinawa Electric Power Co (The)		25,601
	700	Onward Holdings Co Ltd		5,722
	3,500	Orient Corp		4,848
	1,900	Pola Orbis Holdings Inc		93,684
	800	Press Kogyo Co Ltd		4,386
	10,900	Prima Meat Packers Ltd		65,129
	200	Relo Group Inc		5,152
	800	Rengo Co Ltd		7,084
	2,300	Rohto Pharmaceutical Co Ltd		73,928
	300	San-A Co Ltd		15,225
	800	Seiko Holdings Corp		19,008
	13,500	Sekisui Chemical Co Ltd		221,124
	600	Showa Denko KK		25,770
	300	Softbank Technology Corp		4,565
	106,000	Sojitz Corp		376,243
	80,900	Sumitomo Chemical Co Ltd		486,989
	3,100	Sumitomo Forestry Co Ltd		47,207
	1,100	Sumitomo Heavy Industries Ltd		38,682
	100	Suzuken Co Ltd		4,469
	1,200	T-Gaia Corp		33,627
	100	Token Corp		9,496
	1,200	Tokyo Electron Ltd		223,933
	400	Toppan Printing Co Ltd		3,252
	19,400	Tosoh Corp		338,500
	400	Towa Pharmaceutical Co Ltd		25,011
	100	Toyoda Gosei Co Ltd		2,623
	9,200	Toyota Tsusho Corp		316,105
	200	TPR Co Ltd		5,145
	2,000	TS Tech Co Ltd		87,619
	600	TSI Holdings Co Ltd		4,190
	600	Tsubakimoto Chain Co		4,662
	100	Tsumura & Co		3,631
	3,700	Ube Industries Ltd		104,844
	1,700	Valor Holdings Co Ltd		40,985
	200	Warabeya Nichiyo Holdings Co Ltd		5,039
	300	Yamaguchi Financial Group Inc		3,610
	800	Yamaha Motor Co Ltd		23,062
	4,900	Zeon Corp		61,821
		Total Japan		12,661,534

Shares		Description	Value ($)
		Malta — 0.0%
	125,500	BGP Holdings Plc * (b)		—
		Netherlands — 0.0%
	100	ASR Nederland NV		4,228
	800	BinckBank NV		4,158
	1,200	Constellium NV – Class A *		14,580
	100	Corbion NV		3,139
	1,300	Heineken Holding NV		126,642
	1,400	Signify NV		39,901
		Total Netherlands		192,648
		New Zealand — 0.0%
	4,300	Air New Zealand Ltd		9,407
		Norway — 0.1%
	1,100	Bakkafrost P/F		57,672
	3,900	BW LPG Ltd *		16,270
	18,500	DNB ASA		331,577
	23,082	Equinor ASA		606,772
	100	Salmar ASA		4,360
	11,700	Storebrand ASA		95,710
	12,500	Subsea 7 SA		190,536
	2,400	Telenor ASA		49,437
	100	Yara International ASA		4,128
		Total Norway		1,356,462
		Portugal — 0.0%
	1,100	Altri SGPS SA		10,132
	1,400	Navigator Co SA (The)		8,732
	5,700	REN-Redes Energeticas Nacionais SGPS SA		15,841
		Total Portugal		34,705
		Singapore — 0.0%
	4,200	CapitaLand Commercial Trust (REIT)		5,354
	10,800	Mapletree North Asia Commercial Trust (REIT)		9,351
	6,100	Venture Corp Ltd		95,365
	19,600	Yangzijiang Shipbuilding Holdings Ltd		14,030
		Total Singapore		124,100
		South Africa — 0.0%
	33,575	Barclays Africa Group Ltd		426,876
		South Korea — 0.0%
	16,200	SK Telecom Co Ltd Sponsored ADR		369,684
		Spain — 0.0%
	4,200	Ebro Foods SA		102,114
	900	Ence Energia y Celulosa SA		7,087
	8,800	International Consolidated Airlines Group SA		79,974
		Total Spain		189,175

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		Sweden — 0.2%
	1,400	Atlas Copco AB – A Redemption *		1,270
	1,400	Atlas Copco AB – A Shares		55,535
	200	Atlas Copco AB – B Redemption *		181
	200	Atlas Copco AB – B Shares		7,231
	500	Electrolux AB – Series B		12,342
	200	Industrivarden AB – C Shares		4,202
	1,000	Kindred Group Plc		12,657
	22,366	Sandvik AB		387,915
	3,300	SAS AB *		7,052
	200	Securitas AB – B Shares		3,222
	45,060	Svenska Cellulosa AB SCA – Class B		499,489
	47,048	Volvo AB – B Shares		809,181
	800	Wihlborgs Fastigheter AB		8,689
		Total Sweden		1,808,966
		Switzerland — 0.2%
	400	Ascom Holding AG (Registered)		8,109
	100	Autoneum Holding AG		24,541
	100	Bucher Industries AG (Registered)		36,081
	2,200	GAM Holding AG *		32,898
	100	Georg Fischer AG (Registered)		129,277
	299	Logitech International SA (Registered)		12,212
	100	Lonza Group AG (Registered) *		26,776
	14,275	Nestle SA (Registered)		1,078,939
	2,200	Novartis AG (Registered)		163,554
	300	Roche Holding AG		65,466
	3,000	Swiss Re AG		257,972
	400	Vontobel Holding AG (Registered)		26,853
		Total Switzerland		1,862,678
		Taiwan — 0.2%
	512,000	Hon Hai Precision Industry Co Ltd		1,460,760
	270,000	Inventec Corp		217,652
	45,000	Novatek Microelectronics Corp		202,675
		Total Taiwan		1,881,087
		United Kingdom — 0.5%
	20,297	3i Group Plc		256,780
	15,040	AstraZeneca Plc		1,097,257
	1,417	Barratt Developments Plc		10,269
	1,264	Bellway Plc		55,128
	5,967	Berkeley Group Holdings Plc (The)		336,536
	11,739	British American Tobacco Plc		602,570
	6,096	Cairn Energy Plc *		18,639
	8,108	Coca-Cola HBC AG *		276,754
	33,903	Debenhams Plc		9,683
	500	Diageo Plc Sponsored ADR		73,260
	9,245	Electrocomponents Plc		86,400
	27,481	Ferrexpo Plc		79,954
	58,871	Firstgroup Plc *		70,171
	3,258	Galliford Try Plc		41,669

Shares		Description	Value ($)
		United Kingdom — continued
	54,407	GlaxoSmithKline Plc		1,102,278
	1,100	GlaxoSmithKline Plc Sponsored ADR		44,572
	1,050	Halfords Group Plc		4,708
	2,638	Hunting Plc *		29,566
	7,086	IG Group Holdings Plc		81,372
	8,176	Inchcape Plc		79,463
	20,370	Indivior Plc *		129,887
	290	Intermediate Capital Group Plc		4,412
	1,209	Mitie Group Plc		2,873
	3,195	National Express Group Plc		17,031
	157	Next Plc		12,093
	3,700	Nomad Foods Ltd *		64,380
	236	Pearson Plc		2,829
	18,120	Persimmon Plc		681,791
	449	Playtech Plc		4,664
	1,877	Plus500 Ltd		40,678
	1,959	QinetiQ Group Plc		6,873
	3,976	Reckitt Benckiser Group Plc		304,336
	2,251	Royal Mail Plc		15,147
	554	Savills Plc		7,094
	1,033	Spectris Plc		38,238
	2,809	Vesuvius Plc		23,404
	206	Victrex Plc		7,724
	84	WH Smith Plc		2,163
		Total United Kingdom		5,722,646
		United States — 5.0%
	5,900	AbbVie, Inc.		583,746
	15,300	ACCO Brands Corp.		197,370
	1,100	Acushnet Holdings Corp.		26,301
	7,600	Adobe Systems, Inc. * (a)		1,894,528
	1,600	Adtalem Global Education, Inc. *		76,400
	200	Aflac, Inc.		9,012
	1,600	Allstate Corp. (The)		149,568
	2,000	Amdocs Ltd. (a)		134,920
	3,200	American Eagle Outfitters, Inc.		71,040
	100	American National Bankshares, Inc.		3,970
	200	American National Insurance Co.		23,800
	3,400	Ameriprise Financial, Inc.		471,342
	1,100	Andeavor		158,873
	1,800	Anthem, Inc.		398,556
	1,350	Apergy Corp. *		58,306
	4,000	Apple Hospitality REIT, Inc.		76,120
	2,200	Apple, Inc.		411,114
	800	Applied Industrial Technologies, Inc.		55,800
	13,600	Applied Materials, Inc.		690,608
	3,400	Aptiv Plc		331,500
	2,000	Arrow Electronics, Inc. *		148,240
	2,400	Avery Dennison Corp.		252,072
	100	Bassett Furniture Industries, Inc.		2,765
	21,400	Baxter International, Inc.		1,515,976
	4,000	BGC Partners, Inc. – Class A		45,840

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	1,000	Big Lots, Inc.		40,910
	1,300	Biogen Idec, Inc. *		382,148
	1,200	Boise Cascade Co.		57,240
	4,200	BorgWarner, Inc.		204,876
	1,500	Brady Corp. – Class A		58,500
	1,500	Briggs & Stratton Corp.		27,675
	1,400	Broadridge Financial Solutions, Inc.		161,630
	2,300	Bruker Corp.		69,621
	1,500	Brunswick Corp.		95,400
	4,500	CA, Inc.		160,830
	200	Cabot Microelectronics Corp.		22,634
	6,300	Cadence Design Systems, Inc. *		267,435
	2,300	Callaway Golf Co.		43,562
	1,800	Catalent, Inc. *		70,668
	6,400	CBRE Group, Inc. – Class A *		295,616
	300	Central Garden & Pet Co. *		12,249
	200	Children’s Place, Inc. (The)		25,750
	6,000	Citizens Financial Group, Inc.		245,100
	900	Clorox Co. (The)		108,747
	100	CNB Financial Corp.		3,039
	2,800	CNO Financial Group, Inc.		56,056
	700	Cooper-Standard Holding, Inc. *		86,940
	2,700	CoreCivic, Inc. (REIT)		58,104
	1,400	Crown Holdings, Inc. *		60,676
	1,300	CSG Systems International, Inc.		53,794
	200	Culp, Inc.		6,210
	2,200	Cummins, Inc.		313,258
	23,900	Dana, Inc.		532,970
	16,100	Danaher Corp.(a)		1,598,408
	1,700	Deere & Co.		254,167
	900	Deluxe Corp.		59,886
	2,700	Dover Corp.		208,467
	3,600	DR Horton, Inc.		151,956
	500	Drive Shack, Inc. *		3,265
	3,100	DXC Technology Co.		285,541
	1,900	E*TRADE Financial Corp. *		120,365
	1,900	Eastman Chemical Co.		198,189
	11,600	eBay, Inc. *		437,552
	22,700	Eli Lilly & Co. (a)		1,930,408
	700	EMCOR Group, Inc.		53,151
	4,800	Emerson Electric Co.		340,032
	100	Encore Capital Group, Inc. *		3,945
	1,300	Enova International, Inc. *		43,680
	12,700	Estee Lauder Cos, Inc. (The) – Class A (a)		1,897,888
	700	Exterran Corp. * (a)		19,292
	300	Federal Agricultural Mortgage Corp. – Class C		28,053
	2,600	Federated Investors, Inc. – Class B		63,102
	1,700	First American Financial Corp.		88,536
	100	Flexsteel Industries, Inc.		3,727
	2,800	Fortive Corp.		203,532
	1,700	Gannett Co., Inc.		17,969

Shares		Description	Value ($)
		United States — continued
	5,200	Gap Inc. (The)		145,496
	2,400	Garmin Ltd.		144,216
	14,300	General Motors Co.		610,610
	2,300	GEO Group , Inc. (The) (REIT)		57,040
	100	German American Bancorp, Inc.		3,607
	100	Graham Holdings Co. – Class B		58,085
	700	Grand Canyon Education, Inc. *		77,770
	600	Group 1 Automotive, Inc.		42,156
	400	Heidrick & Struggles International, Inc.		15,120
	5,000	Herman Miller, Inc.		163,750
	10,100	Hewlett Packard Enterprise Co.		153,924
	12,800	Honeywell International, Inc. (a)		1,893,248
	10,300	Host Hotels & Resorts, Inc. (REIT)		222,789
	74,200	HP, Inc. (a)		1,634,626
	32,800	Huntsman Corp. (a)		1,048,616
	800	IAC/InterActiveCorp *		124,112
	600	ICF International, Inc.		42,390
	2,400	Illinois Tool Works, Inc.		344,880
	1,700	Ingersoll-Rand Plc		148,818
	1,000	Insight Enterprises, Inc. *		46,900
	600	Insperity, Inc.		55,200
	500	Inter Parfums, Inc.		26,650
	2,200	International Game Technology Plc		55,308
	1,400	Intuit, Inc.		282,240
	4,300	Invesco Ltd.		117,476
	1,700	ITT, Inc.		87,754
	300	Johnson Outdoors, Inc. – Class A		22,764
	14,400	Johnson & Johnson(a)		1,722,528
	1,100	Jones Lang LaSalle, Inc.		180,136
	5,100	JPMorgan Chase & Co.		545,751
	1,900	KB Home		50,046
	1,800	KLA-Tencor Corp.		203,814
	13,000	Kohl’s Corp.		867,750
	700	Koppers Holdings, Inc. *		28,210
	1,100	Kulicke & Soffa Industries, Inc. *		26,488
	800	La-Z-Boy, Inc.		24,960
	1,600	Lam Research Corp.		317,088
	4,500	Lear Corp.		891,000
	1,300	Legg Mason, Inc. (a)		48,451
	1,400	Leidos Holdings, Inc.		84,084
	3,200	Lincoln National Corp.		212,128
	1,200	Live Nation Entertainment, Inc. *		51,156
	4,900	LKQ Corp. *		155,673
	1,600	Louisiana-Pacific Corp.		46,688
	1,800	LyondellBasell Industries NV – Class A		201,816
	1,500	ManpowerGroup, Inc.		135,000
	6,100	Marathon Petroleum Corp.		482,083
	10,000	Marathon Oil Corp.		214,300
	10,200	Mastercard, Inc. – Class A (a)		1,939,224
	400	Materion Corp.		21,820
	3,900	McDonald’s Corp.		624,039

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	2,300	McKesson Corp.		326,462
	900	MDC Holdings, Inc.		28,422
	13,300	Merck & Co., Inc.		791,749
	3,000	Meritor, Inc. *		62,250
	100	Mettler-Toledo International, Inc. *		55,074
	2,300	Michaels Cos , Inc. (The) *		42,228
	37,900	Micron Technology, Inc. * (a)		2,182,661
	10,500	Modine Manufacturing Co. *		189,000
	1,400	Moog, Inc. – Class A		114,142
	4,600	Movado Group, Inc.		225,860
	3,800	NetApp, Inc.		259,616
	1,800	New York Times Co. (The) – Class A		40,950
	1,200	Newpark Resources, Inc. *		13,020
	8,200	News Corp. – Class A		123,246
	4,200	News Corp. – Class B		64,890
	5,200	ON Semiconductor Corp. *		130,676
	200	OneMain Holdings, Inc. *		6,506
	12,000	Oracle Corp.		560,640
	1,600	Oshkosh Corp.		116,400
	2,300	Owens Corning		145,406
	3,800	Owens-Illinois, Inc. *		70,680
	1,600	Parker-Hannifin Corp.		273,440
	1,800	Penn National Gaming, Inc. *		61,344
	19,500	PepsiCo, Inc. (a)		1,954,875
	58,000	Pfizer, Inc. (a)		2,083,940
	6,200	Phillips 66		722,238
	2,000	Popular, Inc.		90,480
	1,000	PotlatchDeltic Corp. (REIT)		50,500
	3,700	Principal Financial Group, Inc.		206,460
	11,800	Procter & Gamble Co. (The)		863,406
	800	Progress Software Corp.		30,304
	10,500	Progressive Corp. (The)		651,945
	1,800	Prudential Financial, Inc.		174,312
	3,800	PulteGroup, Inc.		114,950
	10,900	PVH Corp. (a)		1,744,000
	9,100	Qurate Retail, Inc. *		185,003
	2,300	Raymond James Financial, Inc.		222,088
	800	Regional Management Corp. *		28,552
	11,800	Regions Financial Corp.		215,232
	500	Reinsurance Group of America, Inc.		74,720
	1,100	Reliance Steel & Aluminum Co.		102,927
	700	Ryman Hospitality Properties, Inc. (REIT)		58,716
	700	Scholastic Corp.		31,493
	400	SEACOR Holdings, Inc. *		20,892
	3,000	Seagate Technology Plc		169,050
	1,600	SEI Investments Co.		102,048
	3,100	Service Corp. International		113,739
	1,900	Skechers U.S.A., Inc. – Class A *		55,214
	1,100	SPX Corp. *		37,686
	1,200	Stanley Black & Decker, Inc.		167,088
	4,200	State Street Corp.		403,662

Shares		Description	Value ($)
		United States — continued
	1,300	Stoneridge, Inc. *		40,989
	900	Sykes Enterprises, Inc. *		25,335
	3,700	Synopsys, Inc. *		325,859
	3,400	TCF Financial Corp.		89,454
	4,900	TE Connectivity Ltd. (a)		456,092
	700	Tech Data Corp. *		60,767
	600	Teledyne Technologies, Inc. *		120,876
	3,800	Telephone & Data Systems, Inc.		97,090
	100	Territorial Bancorp, Inc.		3,058
	6,900	Texas Instruments, Inc.		772,179
	1,300	Textron, Inc.		86,554
	1,500	Timken Co. (The)		70,950
	900	Tower International, Inc.		26,460
	1,500	Trinseo SA		108,450
	600	Triple-S Management Corp. – Class B *		21,990
	4,200	Twenty-First Century Fox, Inc.– Class A		161,910
	2,200	Tyson Foods, Inc.– Class A		148,434
	500	United States Cellular Corp. *		17,960
	600	Universal Corp.		39,690
	1,100	Universal Forest Products, Inc.		40,458
	2,700	Unum Group		104,787
	1,600	Urban Outfitters, Inc. *		66,464
	3,100	US Foods Holding Corp. *		110,608
	2,300	Valero Energy Corp.		278,760
	200	Vectrus, Inc. *		6,414
	42,000	Verizon Communications, Inc. (a)		2,002,140
	4,800	VF Corp.		389,568
	2,400	Vishay Intertechnology, Inc.		50,880
	600	Visteon Corp. *		74,976
	2,700	Wal-Mart Stores, Inc.		222,858
	3,300	Western Digital Corp.		275,583
	2,800	Wolverine World Wide, Inc.		93,884
	5,300	Xenia Hotels & Resorts, Inc. (REIT)		133,401
	3,300	Xerox Corp.		89,694
		Total United States		59,195,048
		TOTAL COMMON STOCKS (COST $106,318,993)		107,080,824
		PREFERRED STOCKS (c) — 0.1%
		Germany — 0.1%
	4,264	Henkel AG & Co KGaA		526,406
	1,000	Volkswagen AG		187,819
		Total Germany		714,225
		TOTAL PREFERRED STOCKS (COST $747,568)		714,225

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Shares/ Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 7.8%
		United States — 7.8%
		U.S. Government — 7.8%
	1,009,233	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 (d)		1,001,934
	22,110,760	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 (d)		21,416,974
	9,731,754	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 (d)		9,434,256
	5,329,319	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 (a) (d)		5,195,011
	18,713,686	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (d)		20,401,586
	29,243,624	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (d)		34,292,000
		Total U.S. Government		91,741,761
		TOTAL DEBT OBLIGATIONS (COST $92,556,413)		91,741,761
		MUTUAL FUNDS — 85.0%
		United States — 85.0%
		Affiliated Issuers — 85.0%
	5,751,095	GMO Core Plus Bond Fund, Class IV		121,693,171
	1,194,215	GMO Emerging Country Debt Fund, Class IV		33,223,077
	7,704,855	GMO Emerging Markets Fund, Class VI		258,266,737
	12,138,053	GMO International Equity Fund, Class IV		281,845,584
	1,241,628	GMO Opportunistic Income Fund, Class VI		33,101,792
	4,680,698	GMO Quality Fund, Class VI		116,923,826
	5,234,837	GMO U.S. Equity Fund, Class VI		80,721,186
	2,781,868	GMO U.S. Treasury Fund		69,491,066
		TOTAL MUTUAL FUNDS (COST $912,676,099)		995,266,439
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	2,559,948	State Street Institutional Treasury Money Market Fund-Premier Class, 1.66% (e)		2,559,948
		TOTAL SHORT-TERM INVESTMENTS (COST $2,559,948)		2,559,948
		TOTAL INVESTMENTS — 102.3% (Cost $1,114,859,021)		1,197,363,197
		SECURITIES SOLD SHORT — (2.0)%
		COMMON STOCKS — (2.0)%
		Canada — (0.1)%
	(33,400)	Enbridge Inc		(1,037,738	)

Par Value†		Description	Value ($)
		France — 0.0%
	(8,461)	DBV Technologies SA *		(385,097	)
		Germany — (0.1)%
	(116,287)	Deutsche Bank AG (Registered)		(1,243,546	)
		Japan — (0.2)%
	(204)	AEON REIT Investment Corp		(230,491	)
	(10,600)	Mitsui OSK Lines Ltd		(279,151	)
	(6,400)	Murata Manufacturing Co Ltd		(947,279	)
	(19,300)	SoftBank Group Corp		(1,369,530	)
		Total Japan		(2,826,451	)
		Netherlands — 0.0%
	(13,576)	Altice NV – Class B *		(47,707	)
		Portugal — 0.0%
	(30,526)	CTT-Correios de Portugal SA		(101,224	)
		Spain — (0.1)%
	(181,692)	Bankia SA		(691,786	)
		Switzerland — (0.1)%
	(16,189)	LafargeHolcim Ltd (Registered) *		(831,553	)
		United Kingdom — (0.1)%
	(148,909)	Melrose Industries Plc		(467,762	)
	(216,172)	Tesco Plc		(705,636	)
		Total United Kingdom		(1,173,398	)
		United States — (1.3)%
	(132,900)	Advanced Micro Devices, Inc. *		(1,824,717	)
	(11,300)	Autodesk, Inc. *		(1,458,830	)
	(9,500)	BioMarin Pharmaceutical, Inc. *		(858,230	)
	(5,200)	Charter Communications, Inc. – Class A *		(1,357,408	)
	(2,800)	Chipotle Mexican Grill, Inc. *		(1,204,504	)
	(8,800)	Clovis Oncology, Inc. *		(413,248	)
	(26,500)	Envision Healthcare Corp. *		(1,136,320	)
	(26,600)	Incyte Corp. *		(1,815,982	)
	(47,300)	Kinder Morgan, Inc.		(788,964	)
	(82,300)	Pandora Media, Inc. *		(594,206	)
	(29,700)	Roku, Inc. *		(1,112,562	)
	(7,300)	TESARO, Inc. *		(334,121	)
	(5,200)	Tesla, Inc. *		(1,480,596	)
	(35,400)	Under Armour, Inc. – Class A *		(739,860	)
		Total United States		(15,119,548	)
		TOTAL COMMON STOCKS (PROCEEDS $23,201,478)		(23,458,048	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

May 31, 2018 (Unaudited)

Par Value†		Description	Value ($)
		RIGHTS/WARRANTS — 0.0%
		Netherlands — 0.0%
	(13,576)	Altice NV – Class B, Expires 6/4/18 * (f)		(99,046	)
		TOTAL RIGHTS/WARRANTS (PROCEEDS $96,831)		(99,046	)
		TOTAL SECURITIES SOLD SHORT (PROCEEDS $23,298,309)		(23,557,094	)
		Other Assets and Liabilities (net) — (0.3%)		(3,065,842	)
		TOTAL NET ASSETS — 100.0%		$1,170,740,261

A summary of outstanding financial instruments at May 31, 2018 is as follows:

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) ($)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	1,111,619	05/18/2020		Monthly		—		16,852			16,852
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 1.75%	MORD	USD	264,778	05/18/2020		Monthly		—		28,186			28,186
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	166,941	05/18/2020		Monthly		—		(2,021	)		(2,021	)
								$	—	$	43,017		$	43,017

As of May 31, 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:

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

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

* Non-income producing security.

(a) 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.

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

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

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

(e) The rate disclosed is the 7 day net yield as of May 31, 2018.

(f) Investment valued using significant unobservable inputs.

(g) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

Counterparty Abbreviations:

MORD - Morgan Stanley Capital Services LLC

Currency Abbreviations:

USD - United States Dollar

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes. As of May 31, 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) ($)
Alpha Only Fund		197,537,758		18,100,992		(7,525,119)		10,575,873		5,341,316
Benchmark-Free Allocation Fund		12,571,433,554		666,407,840		(52,767,134)		613,640,706		—
Benchmark-Free Fund		3,745,620,456		343,683,292		(86,763,038)		256,920,254		7,809,167
Global Asset Allocation Fund		2,335,791,734		30,122,741		(35,133,430)		(5,010,689)		—
Global Developed Equity Allocation Fund		430,578,441		27,620,433		—		27,620,433		—
Global Equity Allocation Fund		2,199,008,080		59,189,206		(28,070,376)		31,118,830		—
Consolidated Implementation Fund		10,691,614,119		604,084,015		(393,020,242)		211,063,773		39,040,687
International Developed Equity Allocation Fund		711,134,145		—		(53,511,777)		(53,511,777)		—
International Equity Allocation Fund		1,081,500,902		—		(17,588,883)		(17,588,883)		—
Consolidated SGM Major Markets Fund		1,835,425,902		60,416,304		(61,049,944)		(633,640)		14,889,947
Consolidated Special Opportunities Fund		717,774,003		251,458,270		(27,574,620)		223,883,650		—
Strategic Opportunities Allocation Fund		1,111,625,475		68,256,868		(6,076,239)		62,180,629		43,017

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 (“underlying funds”). A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 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
Alpha Only Fund
GMO U.S. Treasury Fund	$	13,848,473	$	55,614,323	$	55,840,000	$	69,298	$	7,547	$	4,720		$	13,635,063
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	338,343,014	$	7,763,041	$	8,572,423	$	—	$	69,579	$	(8,875,831	)	$	328,727,380
GMO Implementation Fund		10,973,015,970		48,888,897		145,084,123		—		8,414,773		(210,162,098	)		10,675,073,419
GMO Opportunistic Income Fund, Class VI		542,342,069		1,453,399		19,611,723		—		1,708,978		3,260,626			529,153,349
GMO SGM Major Markets Fund, Class VI		1,015,978,511		6,291,461		56,474,811		—		2,434,607		14,084,260			982,314,028
GMO Special Opportunities Fund, Class VI		669,099,430		5,577,953		33,090,634		—		8,171,017		12,896,073			662,653,839
Totals	$	13,538,778,994	$	69,974,751	$	262,833,714	$	—	$	20,798,954	$	(188,796,970	)	$	13,177,922,015

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
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class IV	$	133,185,460	$	—	$	2,100,000	$	—	$	48,778		$	(3,560,940	)	$	127,573,298
GMO Emerging Markets Fund, Class VI		569,680,947		—		38,000,000		—		5,017,514			(46,384,597	)		490,313,864
GMO Opportunistic Income Fund, Class VI		217,604,583		—		16,000,000		—		1,801,543			139,655			203,545,781
GMO SGM Major Markets Fund, Class VI		184,449,116		—		13,000,000		—		977,377			2,153,475			174,579,968
GMO Special Opportunities Fund, Class VI		323,594,896		—		76,000,000		—		16,107,096			(9,196,114	)		254,505,878
Totals	$	1,428,515,002	$	—	$	145,100,000	$	—	$	23,952,308		$	(56,848,521	)	$	1,250,518,789
Global Asset Allocation Fund
GMO Alpha Only Fund, Class IV	$	74,946,917	$	—	$	3,359,458	$	—	$	(342,386	)	$	(1,355,198	)	$	69,889,875
GMO Asset Allocation Bond Fund, Class VI		399,177,319		—		119,273,615		—		(18,823,309	)		22,608,972			283,689,367
GMO Core Plus Bond Fund, Class IV		249,614,612		115,951,328		14,263,031		—		(26,034	)		3,110,681			354,387,556
GMO Emerging Country Debt Fund, Class IV		55,530,671		—		6,606,871		—		17,510			(1,480,013	)		47,461,297
GMO Emerging Markets Fund, Class VI		467,717,958		10,857,869		8,614,586		—		1,436,394			(35,473,770	)		435,923,865
GMO International Equity Fund, Class IV		519,183,914		5,647,084		28,635,404		—		(1,489,801	)		(11,909,568	)		482,796,225
GMO Opportunistic Income Fund, Class VI		48,813,182		—		25,378,197		—		1,656,834			(1,379,457	)		23,712,362
GMO Quality Fund, Class VI		178,367,480		3,369,424		9,681,111		—		1,681,615			(2,550,111	)		171,187,297
GMO Risk Premium Fund, Class VI		62,350,340		—		3,886,059		—		(102,039	)		907,384			59,269,626
GMO SGM Major Markets Fund, Class VI		73,567,091		—		5,155,510		—		373,475			846,270			69,631,326
GMO U.S. Equity Fund, Class VI		178,908,774		3,945,227		13,867,375		—		220,674			1,321,364			170,528,664
GMO U.S. Treasury Fund		167,046,625		9,400,027		14,610,435		727,640		(22,690	)		87,545			161,901,072
Totals	$	2,475,224,883	$	149,170,959	$	253,331,652	$	727,640	$	(15,419,757	)	$	(25,265,901	)	$	2,330,378,532
Global Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	46,991,022	$	315,970	$	290,682	$	—	$	43,933		$	(3,463,344	)	$	43,596,899
GMO International Equity Fund, Class IV		217,379,783		—		395,355		—		36,910			(5,941,907	)		211,079,431
GMO Quality Fund, Class VI		102,786,624		—		443,081		—		73,427			(683,169	)		101,733,801
GMO U.S. Equity Fund, Class VI		101,984,701		—		1,120,849		—		73,145			643,531			101,580,528
Totals	$	469,142,130	$	315,970	$	2,249,967	$	—	$	227,415		$	(9,444,889	)	$	457,990,659
Global Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	608,573,770	$	—	$	516,779	$	—	$	77,911		$	(44,480,308	)	$	563,654,594
GMO International Equity Fund, Class IV		896,831,372		—		7,959,621		—		(1,374,179	)		(22,825,289	)		864,672,283
GMO Quality Fund, Class VI		412,807,154		—		9,837,534		—		1,668,321			(4,157,888	)		400,480,053
GMO U.S. Equity Fund, Class VI		409,993,568		—		12,336,428		—		(353,274	)		3,243,811			400,547,677
Totals	$	2,328,205,864	$	—	$	30,650,362	$	—	$	18,779		$	(68,219,674	)	$	2,229,354,607

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
International Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	67,378,736	$	3,328,045	$	—		$	—	$	—		$	(5,025,888	)	$	65,680,893
GMO International Equity Fund, Class IV		597,172,345		13,791,372		3,013,953			—		(183,272	)		(16,084,171	)		591,682,321
Totals	$	664,551,081	$	17,119,417	$	3,013,953		$	—	$	(183,272	)	$	(21,110,059	)	$	657,363,214
International Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	402,051,540	$	4,718,225	$	12,237,134		$	—	$	1,320,081		$	(29,884,242	)	$	365,968,470
GMO International Equity Fund, Class IV		748,929,812		862,768		32,222,567			—		(969,921	)		(18,767,101	)		697,832,991
Totals	$	1,150,981,352	$	5,580,993	$	44,459,701		$	—	$	350,160		$	(48,651,343	)	$	1,063,801,461
Consolidated SGM Major Markets Fund
GMO U.S. Treasury Fund	$	1,072,205,111	$	26,781,271	$	55,000,000		$	4,781,626	$	(52,051	)	$	482,898		$	1,044,417,229
Consolidated Special Opportunities Fund
Jagercor Energy Corp	$	70,137	$	—	$	—		$	—	$	—		$	(725	)	$	69,412
Strategic Opportunities Allocation Fund
GMO Core Plus Bond Fund, Class IV	$	99,134,920	$	30,000,000	$	8,556,009		$	—	$	(64,757	)	$	1,179,017		$	121,693,171
GMO Emerging Country Debt Fund, Class IV		39,992,630		—		5,783,515			—		(98,182	)		(887,856	)		33,223,077
GMO Emerging Markets Fund, Class VI		305,084,580		—		25,996,456			—		4,233,915			(25,055,302	)		258,266,737
GMO International Equity Fund, Class IV		349,818,348		—		59,532,017	(a)		—		(4,632,409	)		(3,808,338	)		281,845,584
GMO Opportunistic Income Fund, Class VI		45,985,113		—		13,211,851			—		1,076,542			(748,012	)		33,101,792
GMO Quality Fund, Class VI		131,528,842		—		13,542,052			—		1,968,279			(3,031,243	)		116,923,826
GMO U.S. Equity Fund, Class VI		130,082,686		—		48,642,776	(b)		—		(481,839	)		(236,885	)		80,721,186
GMO U.S. Treasury Fund		93,901,813		5,819,422		30,258,962			392,619		(9,435	)		38,228			69,491,066
Totals	$	1,195,528,932	$	35,819,422	$	205,523,638		$	392,619	$	1,992,114		$	(32,550,391	)	$	995,266,439

(a) $39,000,000 was redeemed in-kind.

(b) $40,500,000 was redeemed in-kind.

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2018 through May 31, 2018. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2019.

Basis of presentation

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

Basis of presentation and principles of consolidation: Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund

Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund include the accounts of their wholly-owned subsidiaries Implementation SPC Ltd., Special Opportunities SPC Ltd. and Alternative Asset SPC Ltd. (each a “wholly-owned subsidiary”), respectively, and the accompanying schedules of investments have been consolidated for those accounts. The consolidated schedules of investments include all of the assets and liabilities of each wholly-owned subsidiary.

Portfolio valuation

Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. Direct investments held by the Funds and underlying funds are valued as follows: Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that 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 when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees of GMO Trust (“Trustees”) or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 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 “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before 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 May 31, 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 and are described in the disclosures of the underlying funds.

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a specific relevant pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds. See the table below for information about securities for which no alternative pricing source was available.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

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

As discussed above, certain of the Funds and underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees, fair valued using inputs obtained from an independent pricing service, or valued using prices for which no alternative pricing source was available. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of May 31, 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		—		55%		—
Benchmark-Free Allocation Fund		< 1%		36%		2%
Benchmark-Free Fund		< 1%		44%		2%
Global Asset Allocation Fund		< 1%		38%		< 1%
Global Developed Equity Allocation Fund		< 1%		55%		—
Global Equity Allocation Fund		< 1%		61%		—
Consolidated Implementation Fund		(1)%		44%		2%
International Developed Equity Allocation Fund		< 1%		93%		—
International Equity Allocation Fund		< 1%		91%		—
Consolidated SGM Major Markets Fund		—		2%		—
Consolidated Special Opportunities Fund		—		11%		—
Strategic Opportunities Allocation Fund		< 1%		46%		<1%

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the table below). Other than Funds with investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes) or as disclosed in the Asset and Liability Valuation Inputs table below, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at May 31, 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 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 May 31, 2018:

Description	Level 1		Level 2		Level 3			Total
Alpha Only Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,590,530	$	—		$	1,590,530
Austria		—		445,907		—			445,907
Belgium		—		62,669		—			62,669
Brazil		75,570		3,429,595		—			3,505,165
Chile		—		17,321		—			17,321
China		82,653		24,442,140		67,238			24,592,031
Colombia		82,204		—		—			82,204
Czech Republic		—		15,541		—			15,541
Denmark		—		49,132		—			49,132
Egypt		—		10,791		—			10,791
Finland		—		469,665		—			469,665
France		19,135		4,223,925		11,348			4,254,408
Germany		—		5,411,596		—			5,411,596
Greece		—		36,628		—			36,628
Hong Kong		—		938,898		—			938,898
Hungary		—		82,430		—			82,430
India		—		8,111,416		—			8,111,416
Indonesia		—		269,998		—			269,998
Ireland		—		6,767		—			6,767
Israel		206,400		160,423		—			366,823
Italy		436,724		1,773,266		—			2,209,990
Japan		—		11,467,620		—			11,467,620
Malaysia		—		718,679		0	§		718,679
Mexico		2,011,523		—		—			2,011,523
Netherlands		82,965		1,493,010		—			1,575,975
New Zealand		—		35,630		—			35,630
Norway		—		1,021,401		—			1,021,401
Philippines		—		89,914		—			89,914
Poland		—		617,411		—			617,411
Portugal		—		51,454		—			51,454
Qatar		—		35,033		—			35,033
Russia		—		314,571		—			314,571
Singapore		—		104,359		—			104,359
South Africa		—		6,008,860		—			6,008,860
South Korea		622,986		7,068,174		—			7,691,160
Spain		—		1,318,153		—			1,318,153
Sweden		—		1,456,804		—			1,456,804
Switzerland		—		4,809,911		—			4,809,911
Taiwan		1,336,350		10,900,577		—			12,236,927
Thailand		—		2,924,229		—			2,924,229
Turkey		—		2,614,622		—			2,614,622
United Arab Emirates		—		17,826		—			17,826
United Kingdom		1,504,764		9,533,544		—			11,038,308
United States		61,819,908		—		160			61,820,068
TOTAL COMMON STOCKS		68,281,182		114,150,420		78,746			182,510,348
Preferred Stocks
Brazil		150,406		714,689		—			865,095
Colombia		16,321		—		—			16,321
Germany		—		428,868		—			428,868
Russia		—		13,450		—			13,450
South Korea		—		874,117		—			874,117
TOTAL PREFERRED STOCKS		166,727		2,031,124		—			2,197,851
Mutual Funds
United States		13,635,063		—		—			13,635,063
TOTAL MUTUAL FUNDS		13,635,063		—		—			13,635,063

Description	Level 1		Level 2			Level 3		Total
Alpha Only Fund (continued)
Asset Valuation Inputs (continued)
Short-Term Investments	$	9,770,369	$	—		$	—	$	9,770,369
Total Investments		91,853,341		116,181,544			78,746		208,113,631
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		1,062,818			—		1,062,818
Futures Contracts
Equity Risk		4,309,790		—			—		4,309,790
Total	$	96,163,131	$	117,244,362		$	78,746	$	213,486,239
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(31,292	)	$	—	$	(31,292	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	13,177,922,015	$	—		$	—	$	13,177,922,015
Short-Term Investments		7,152,245		—			—		7,152,245
Total Investments		13,185,074,260		—			—		13,185,074,260
Total	$	13,185,074,260	$	—		$	—	$	13,185,074,260
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	24,911,874		$	—	$	24,911,874
Austria		—		9,428,506			—		9,428,506
Belgium		—		1,355,020			—		1,355,020
Brazil		819,213		27,388,879			—		28,208,092
Canada		44,690,545		—			—		44,690,545
Chile		—		71,913			—		71,913
China		5,483,780		212,429,774			—		217,913,554
Colombia		4,616,823		—			—		4,616,823
Czech Republic		—		331,374			—		331,374
Denmark		1,758,980		5,681,366			—		7,440,346
Egypt		—		40,635			—		40,635
Finland		—		5,532,759			—		5,532,759
France		10,307,072		51,493,565			—		61,800,637
Germany		—		82,245,105			—		82,245,105
Greece		—		364,043			—		364,043
Hong Kong		—		33,685,380			—		33,685,380
Hungary		—		2,843,349			—		2,843,349
India		90,950		58,044,624			—		58,135,574
Indonesia		54,362		4,315,680			—		4,370,042
Ireland		1,573,556		—			—		1,573,556
Israel		—		265,319			—		265,319
Italy		15,594,299		22,785,279			—		38,379,578
Japan		—		184,126,681			—		184,126,681
Malaysia		—		3,437,647			—		3,437,647
Mexico		19,925,996		—			—		19,925,996
Netherlands		—		20,243,161			—		20,243,161
New Zealand		—		1,460,072			—		1,460,072
Norway		—		21,290,045			—		21,290,045
Pakistan		—		137,669			—		137,669
Peru		177,136		—			—		177,136
Philippines		—		304,080			—		304,080
Poland		—		2,953,478			—		2,953,478
Portugal		—		205,854			—		205,854
Qatar		—		794,277			—		794,277

Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Russia	$	2,436,968		$	16,756,568		$	—	$	19,193,536
Singapore		—			5,710,943			—		5,710,943
South Africa		—			55,661,011			—		55,661,011
South Korea		4,513,796			82,208,672			—		86,722,468
Spain		—			13,800,161			—		13,800,161
Sweden		—			33,315,273			—		33,315,273
Switzerland		240,057			39,740,214			—		39,980,271
Taiwan		6,824,203			113,336,065			—		120,160,268
Thailand		—			34,437,701			—		34,437,701
Turkey		—			25,867,396			—		25,867,396
United Arab Emirates		—			485,377			—		485,377
United Kingdom		10,374,297			102,827,855			—		113,202,152
United States		199,096,585			—			—		199,096,585
TOTAL COMMON STOCKS		328,578,618			1,302,314,644			—		1,630,893,262
Debt Obligations
Japan		—			78,914,877			—		78,914,877
United States		250,014,803			696,801,375			—		946,816,178
TOTAL DEBT OBLIGATIONS		250,014,803			775,716,252			—		1,025,731,055
Preferred Stocks
Brazil		—			8,955,927			—		8,955,927
Colombia		42,501			—			—		42,501
Germany		—			2,413,107			—		2,413,107
Russia		—			2,925,387			—		2,925,387
South Korea		—			18,280,026			—		18,280,026
Sweden		—			98,052			—		98,052
Taiwan		—			29,688			—		29,688
TOTAL PREFERRED STOCKS		42,501			32,702,187			—		32,744,688
Rights/Warrants
South Africa		7,786			—			—		7,786
Switzerland		10,704			—			—		10,704
Thailand		79,580			—			—		79,580
United Arab Emirates		5,886			—			—		5,886
TOTAL RIGHTS/WARRANTS		103,956			—			—		103,956
Investment Funds
United States		2,000,674			—			—		2,000,674
TOTAL INVESTMENT FUNDS		2,000,674			—			—		2,000,674
Mutual Funds
United States		1,250,518,789			—			—		1,250,518,789
TOTAL MUTUAL FUNDS		1,250,518,789			—			—		1,250,518,789
Short-Term Investments		15,557,912			94,347,050			—		109,904,962
Total Investments		1,846,817,253			2,205,080,133			—		4,051,897,386
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			5,170,908			—		5,170,908
Futures Contracts
Equity Risk		3,425,701			—			—		3,425,701
Swap Contracts
Equity Risk		—			176,088			—		176,088
Total	$	1,850,242,954		$	2,210,427,129		$	—	$	4,060,670,083
Liability Valuation Inputs
Common Stocks
Brazil	$	(1,354,089	)	$	—		$	—	$	(1,354,089	)
Canada		(6,824,720	)		—			—		(6,824,720	)
Denmark		—			(802,165	)		—		(802,165	)
France		—			(2,616,280	)		—		(2,616,280	)
Germany		—			(5,400,272	)		—		(5,400,272	)

Description	Level 1			Level 2			Level 3			Total
Benchmark-Free Fund (continued)
Liability Valuation Inputs (continued)
Israel	$	(617,345	)	$	—		$	—		$	(617,345	)
Italy		—			(5,650,377	)		—			(5,650,377	)
Japan		—			(8,682,345	)		—			(8,682,345	)
Netherlands		—			(1,008,841	)		—			(1,008,841	)
Spain		—			(9,159,142	)		—			(9,159,142	)
Switzerland		—			(2,942,924	)		—			(2,942,924	)
United Kingdom		—			(3,564,723	)		—			(3,564,723	)
TOTAL COMMON STOCKS		(8,796,154	)		(39,827,069	)		—			(48,623,223	)
Rights/Warrants
Netherlands		—			—			(693,760	)		(693,760	)
Spain		(39,693	)		—			—			(39,693	)
TOTAL RIGHTS/WARRANTS		(39,693	)		—			(693,760	)		(733,453	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(165,334	)		—			(165,334	)
Futures Contracts
Equity Risk		(536,732	)		—			—			(536,732	)
Swap Contracts
Equity Risk		—			(261,464	)		—			(261,464	)
Total	$	(9,372,579	)	$	(40,253,867	)	$	(693,760	)	$	(50,320,206	)
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,330,378,532		$	—		$	—		$	2,330,378,532
Debt Obligations
Asset-Backed Securities		—			60,686			—			60,686
TOTAL DEBT OBLIGATIONS		—			60,686			—			60,686
Short-Term Investments		341,827			—			—			341,827
Total Investments		2,330,720,359			60,686			—			2,330,781,045
Total	$	2,330,720,359		$	60,686		$	—		$	2,330,781,045
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	457,990,659		$	—		$	—		$	457,990,659
Short-Term Investments		208,215			—			—			208,215
Total Investments		458,198,874			—			—			458,198,874
Total	$	458,198,874		$	—		$	—		$	458,198,874
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,229,354,607		$	—		$	—		$	2,229,354,607
Short-Term Investments		772,303			—			—			772,303
Total Investments		2,230,126,910			—			—			2,230,126,910
Total	$	2,230,126,910		$	—		$	—		$	2,230,126,910
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	79,808,800		$	—		$	79,808,800
Austria		—			32,292,576			—			32,292,576
Belgium		—			5,334,728			—			5,334,728
Brazil		2,004,666			74,640,855			—			76,645,521
Canada		138,976,619			—			—			138,976,619
Chile		—			1,535,281			—			1,535,281
China		34,733,066			810,139,420			—			844,872,486
Colombia		12,331,927			—			—			12,331,927

Description	Level 1		Level 2		Level 3			Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Cyprus	$	—	$	1,372,039	$	—		$	1,372,039
Czech Republic		—		8,733,566		—			8,733,566
Denmark		4,288,108		16,254,433		—			20,542,541
Egypt		—		148,071		—			148,071
Finland		—		19,403,284		—			19,403,284
France		21,271,410		164,477,860		21,933,405			207,682,675
Germany		—		290,074,185		—			290,074,185
Greece		—		768,617		—			768,617
Hong Kong		—		96,123,330		—			96,123,330
Hungary		—		6,897,323		—			6,897,323
India		2,872,201		170,622,382		—			173,494,583
Indonesia		1,099,595		37,186,458		—			38,286,053
Ireland		4,669,076		76,500		—			4,745,576
Israel		5,016,500		4,704,137		—			9,720,637
Italy		41,075,844		78,448,644		—			119,524,488
Japan		—		553,067,057		—			553,067,057
Malaysia		—		9,959,787		—			9,959,787
Mexico		64,146,263		—		—			64,146,263
Netherlands		56,859,127		54,219,719		—			111,078,846
New Zealand		—		2,636,739		—			2,636,739
Norway		—		64,571,205		—			64,571,205
Pakistan		—		1,481,001		—			1,481,001
Peru		2,989,170		—		—			2,989,170
Philippines		—		4,427,276		—			4,427,276
Poland		—		20,284,659		—			20,284,659
Portugal		—		1,272,217		—			1,272,217
Qatar		—		13,843,428		—			13,843,428
Russia		35,797,515		221,607,829		—			257,405,344
Singapore		—		11,154,893		—			11,154,893
South Africa		—		164,868,450		—			164,868,450
South Korea		12,699,330		353,305,029		—			366,004,359
Spain		23,340,648		34,750,944		—			58,091,592
Sweden		—		96,526,469		—			96,526,469
Switzerland		1,505,772		138,481,975		—			139,987,747
Taiwan		52,912,650		615,787,493		—			668,700,143
Thailand		—		218,823,156		—			218,823,156
Turkey		—		145,025,155		—			145,025,155
United Arab Emirates		—		4,258,514		—			4,258,514
United Kingdom		53,651,723		307,980,314		0	§		361,632,037
United States		1,169,368,275		1,519		527,089			1,169,896,883
TOTAL COMMON STOCKS		1,741,609,485		4,937,377,317		22,460,494			6,701,447,296
Preferred Stocks
Brazil		9,927		32,132,566		—			32,142,493
Germany		—		14,006,303		—			14,006,303
Russia		—		15,328,560		—			15,328,560
South Korea		—		75,664,234		—			75,664,234
Taiwan		—		452,156		—			452,156
TOTAL PREFERRED STOCKS		9,927		137,583,819		—			137,593,746
Rights/Warrants
Canada		204,584		—		—			204,584
Thailand		385,811		—		—			385,811
United Arab Emirates		66,952		—		—			66,952
United States		—		—		130,841			130,841
TOTAL RIGHTS/WARRANTS		657,347		—		130,841			788,188
Investment Funds
United States		23,766,659		—		—			23,766,659
TOTAL INVESTMENT FUNDS		23,766,659		—		—			23,766,659

Description	Level 1			Level 2			Level 3			Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations
Australia	$	—		$	765,000		$	—		$	765,000
Bermuda		—			774,375			—			774,375
Brazil		—			—			22,737,965			22,737,965
Canada		—			3,859,875			—			3,859,875
France		—			1,303,125			—			1,303,125
Germany		—			1,082,532			—			1,082,532
Hong Kong		—			760,350			—			760,350
Ireland		—			1,108,813			—			1,108,813
Italy		—			4,289,663			—			4,289,663
Jamaica		—			4,047,335			—			4,047,335
Japan		—			502,314,177			—			502,314,177
Luxembourg		—			1,387,812			3,124,800			4,512,612
Norway		—			746,250			—			746,250
Puerto Rico		1,068,750			18,298,621			—			19,367,371
Spain		—			—			4,896,087			4,896,087
United Kingdom		—			3,918,436			—			3,918,436
United States		1,131,417,791			2,032,722,822			33,655,204	*		3,197,795,817
TOTAL DEBT OBLIGATIONS		1,132,486,541			2,577,379,186			64,414,056			3,774,279,783
Mutual Funds
United States		82,312,976			—			—			82,312,976
TOTAL MUTUAL FUNDS		82,312,976			—			—			82,312,976
Short-Term Investments		87,385,957			460,365,804			—			547,751,761
Purchased Options		3,281,010			—			—			3,281,010
Total Investments		3,071,509,902			8,112,706,126			87,005,391			11,271,221,419
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			38,802,207			—			38,802,207
Futures Contracts
Equity Risk		16,567,099			—			—			16,567,099
Interest Rate Risk		695,128			—			—			695,128
Swap Contracts
Credit Risk		—			5,660,798			—			5,660,798
Equity Risk		—			313,611			—			313,611
Interest Rate Risk		—			12,439,332			—			12,439,332
Total	$	3,088,772,129		$	8,169,922,074		$	87,005,391		$	11,345,699,594
Liability Valuation Inputs
Common Stocks
Brazil	$	(5,625,957	)	$	—		$	—		$	(5,625,957	)
Canada		(26,706,625	)		—			—			(26,706,625	)
China		(68,145,340	)		—			—			(68,145,340	)
Denmark		—			(2,395,471	)		—			(2,395,471	)
France		—			(28,944,031	)		—			(28,944,031	)
Germany		—			(19,986,342	)		—			(19,986,342	)
Italy		—			(12,148,637	)		—			(12,148,637	)
Japan		—			(41,020,111	)		—			(41,020,111	)
Netherlands		—			(3,883,171	)		—			(3,883,171	)
Spain		—			(22,197,280	)		—			(22,197,280	)
Switzerland		—			(15,690,091	)		—			(15,690,091	)
United Kingdom		—			(11,920,211	)		—			(11,920,211	)
United States		(106,622,628	)		—			—			(106,622,628	)
Total Common Stocks		(207,100,550	)		(158,185,345	)		—			(365,285,895	)
Rights/Warrants
Netherlands		—			—			(3,163,601	)		(3,163,601	)
Spain		(94,031	)		—			—			(94,031	)
Total Rights/Warrants		(94,031	)		—			(3,163,601	)		(3,257,632	)

Description	Level 1			Level 2			Level 3			Total
Consolidated Implementation Fund (continued)
Liability Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(8,585,914	)	$	—		$	(8,585,914	)
Futures Contracts
Equity Risk		(8,497,333	)		—			—			(8,497,333	)
Interest Rate Risk		(212,766	)		—			—			(212,766	)
Written Options
Equity Risk		(10,673,750	)		—			(1,581,250	)		(12,255,000	)
Swap Contracts
Equity Risk		—			(1,126,170	)		—			(1,126,170	)
Interest Rate Risk		—			(12,465,181	)		—			(12,465,181	)
Total	$	(226,578,430	)	$	(180,362,610	)	$	(4,744,851	)	$	(411,685,891	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	657,363,214		$	—		$	—		$	657,363,214
Short-Term Investments		259,154			—			—			259,154
Total Investments		657,622,368			—			—			657,622,368
Total	$	657,622,368		$	—		$	—		$	657,622,368
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,063,801,461		$	—		$	—		$	1,063,801,461
Short-Term Investments		110,558			—			—			110,558
Total Investments		1,063,912,019			—			—			1,063,912,019
Total	$	1,063,912,019		$	—		$	—		$	1,063,912,019
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	225,880,958		$	—		$	—		$	225,880,958
U.S. Government Agency		163,048,524			—			—			163,048,524
TOTAL DEBT OBLIGATIONS		388,929,482			—			—			388,929,482
Mutual Funds		1,044,417,229			—			—			1,044,417,229
Short-Term Investments		401,445,551			—			—			401,445,551
Total Investments		1,834,792,262			—			—			1,834,792,262
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			8,685,800			—			8,685,800
Futures Contracts
Equity Risk		8,909,982			29,005,516			—			37,915,498
Interest Rate Risk		2,323,765			—			—			2,323,765
Total	$	1,846,026,009		$	37,691,316		$	—		$	1,883,717,325
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(6,220,402	)	$	—		$	(6,220,402	)
Futures Contracts
Equity Risk		(19,175,117	)		(968,510	)		—			(20,143,627	)
Interest Rate Risk		(6,727,765	)		(943,322	)		—			(7,671,087	)
Physical Commodity Contract Risk		(4,815,144	)		—			—			(4,815,144	)
Total	$	(30,718,026	)	$	(8,132,234	)	$	—		$	(38,850,260	)

Description	Level 1			Level 2		Level 3			Total
Consolidated Special Opportunities Fund
Asset Valuation Inputs
Common Stocks
Canada	$	—		$	—	$	69,412		$	69,412
Germany		—			34,842,747		—			34,842,747
Netherlands		41,509,000			—		—			41,509,000
Romania		—			3,867,906		—			3,867,906
United Kingdom		—			68,387,791		—			68,387,791
United States		547,415,873			—		—			547,415,873
TOTAL COMMON STOCKS		588,924,873			107,098,444		69,412			696,092,729
Short-Term Investments	$	245,564,924		$	—	$	—		$	245,564,924
Total Investments		834,489,797			107,098,444		69,412			941,657,653
Total	$	834,489,797		$	107,098,444	$	69,412		$	941,657,653
Liability Valuation Inputs
Derivatives^
Futures Contracts
Physical Commodity Contract Risk	$	(1,107,438	)	$	—	$	—		$	(1,107,438	)
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	1,244,177	$	—		$	1,244,177
Austria		—			560,048		—			560,048
Belgium		—			100,742		—			100,742
Brazil		—			1,625,281		—			1,625,281
Canada		1,334,749			—		—			1,334,749
China		—			2,002,323		—			2,002,323
Denmark		104,588			232,889		—			337,477
Finland		—			13,909		—			13,909
France		487,104			3,104,834		—			3,591,938
Germany		—			4,466,065		—			4,466,065
Hong Kong		—			1,800,893		—			1,800,893
India		1,193,264			—		—			1,193,264
Ireland		38,694			—		—			38,694
Israel		—			88,669		—			88,669
Italy		924,554			1,923,025		—			2,847,579
Japan		—			12,661,534		—			12,661,534
Malta		—			—		0	§		0	§
Netherlands		14,580			178,068		—			192,648
New Zealand		—			9,407		—			9,407
Norway		—			1,356,462		—			1,356,462
Portugal		—			34,705		—			34,705
Singapore		—			124,100		—			124,100
South Africa		—			426,876		—			426,876
South Korea		369,684			—		—			369,684
Spain		—			189,175		—			189,175
Sweden		—			1,808,966		—			1,808,966
Switzerland		—			1,862,678		—			1,862,678
Taiwan		—			1,881,087		—			1,881,087
United Kingdom		182,212			5,540,434		—			5,722,646
United States		59,195,048			—		—			59,195,048
TOTAL COMMON STOCKS		63,844,477			43,236,347		0	§		107,080,824
Preferred Stocks
Germany		—			714,225		—			714,225
TOTAL PREFERRED STOCKS		—			714,225		—			714,225
Debt Obligations
United States		—			91,741,761		—			91,741,761
TOTAL DEBT OBLIGATIONS		—			91,741,761		—			91,741,761

Description	Level 1			Level 2			Level 3			Total
Strategic Opportunities Allocation Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	995,266,439		$	—		$	—		$	995,266,439
TOTAL MUTUAL FUNDS		995,266,439			—			—			995,266,439
Short-Term Investments		2,559,948			—			—			2,559,948
Total Investments		1,061,670,864			135,692,333			0	§		1,197,363,197
Derivatives^
Swap Contracts
Equity Risk		—			45,038			—			45,038
Total	$	1,061,670,864		$	135,737,371		$	0	§	$	1,197,408,235
Liability Valuation Inputs
Common Stocks
Canada	$	(1,037,738	)	$	—		$	—		$	(1,037,738	)
France		—			(385,097	)		—			(385,097	)
Germany		—			(1,243,546	)		—			(1,243,546	)
Japan		—			(2,826,451	)		—			(2,826,451	)
Netherlands		—			(47,707	)		—			(47,707	)
Portugal		—			(101,224	)		—			(101,224	)
Spain		—			(691,786	)		—			(691,786	)
Switzerland		—			(831,553	)		—			(831,553	)
United Kingdom		—			(1,173,398	)		—			(1,173,398	)
United States		(15,119,548	)		—			—			(15,119,548	)
TOTAL COMMON STOCKS		(16,157,286	)		(7,300,762	)		—			(23,458,048	)
Rights/Warrants
Netherlands		—			—			(99,046	)		(99,046	)
TOTAL RIGHTS/WARRANTS		—			—			(99,046	)		(99,046	)
Derivatives^
Swap Contracts
Equity Risk		—			(2,021	)		—			(2,021	)
Total	$	(16,157,286	)	$	(7,302,783	)	$	(99,046	)	$	(23,559,115	)

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.

§ Represents the interest in securities that were determined to have a value of zero at May 31, 2018.

* Includes unfunded loan commitments of $2,216,005

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

For all Funds for the period ended May 31, 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, 2018		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 May 31, 2018			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2018
Alpha Only Fund
Common Stocks
China	$	—	$	—	$	—		$	—		$	—		$	—		$	67,238	‡	$	—		$	67,238		$	—
France		—		11,690		—			—			—			(342	)		—			—			11,348			(342	)
United States		—		160		—			—			—			—			—			—			160			—
Rights/Warrants
Brazil		5,671		—		0			—			—			(5,671	)		—			—			—			—
Total Investments	$	5,671	$	11,850	$	0		$	—		$	—		$	(6,013	)	$	67,238		$	—		$	78,746		$	(342	)
Benchmark-Free Fund
Rights/Warrants
Brazil	$	113,625	$	—	$	0		$	—		$	—		$	(113,625	)	$	—		$	—		$	—		$	—
Netherland		—		—		(678,248	)		—			—			(15,512	)		—			—			(693,760	)		(15,512	)
Total	$	113,625	$	—	$	(678,248	)	$	—		$	—		$	(129,137	)	$	—		$	—		$	(693,760	)	$	(15,512	)
Consolidated Implementation Fund
Common Stocks
France	$	—	$	23,457,625	$	—		$	—		$	—		$	(1,524,220	)	$	—		$	—		$	21,933,405		$	—
United States		—		525,230		—			—			—			1,859			—			—			527,089			1,859
Rights/Warrants
Brazil		203,741		—		0			—			—			(203,741	)		—			—			—			—
Canada		217,232		—		—			—			—			(12,648	)		—			(204,584	)‡		—			—
United States		48,966		—		(6,110	)		—			(105,144	)		193,129			—			—			130,841			104,672
Debt Obligations
Bank Loans
Luxembourg		—		3,255,000		—			1,325			—			(131,525	)		—			—			3,124,800			(131,525	)
Spain		6,460,857		287,231		(3,203,774	)		(7,223	)		(105,888	)		1,276			—			—			3,432,479			1,276
United States		24,534,800		13,999,149		(7,920,664	)		43,536			121,481			(229,018	)		—			—			30,549,284	*		(229,018	)
Corporate Debt
Brazil		30,260,306		—		(8,965,098	)		4,739,691			(5,256,343	)		1,959,409			—			—			22,737,965			2,387,142
Spain		2,788,545		36,238		(1,292,833	)		(2,114	)		(24,692	)		(41,536	)		—			—			1,463,608			(41,536	)
United States		1,269,450		1,694,560		—			8,493			—			133,417			—			—			3,105,920			133,417
Total Investments	$	65,783,897	$	43,255,033	$	(21,388,479	)	$	4,783,708		$	(5,370,586	)	$	146,402		$	—		$	(204,584	)	$	87,005,391		$	2,226,287
Securities Sold Short
Rights/Warrants
Netherlands	$	—	$	—	$	(3,092,867	)	$	—		$	—		$	(70,734	)	$	—		$	—		$	(3,163,601	)	$	(70,734	)
Total	$	—	$	—	$	(3,092,867	)	$	—		$	—		$	(70,734	)	$	—		$	—		$	(3,163,601	)	$	(70,734	)
Derivatives
Written Options	$	—	$	—	$	—		$	—		$	—		$	—		$	(1,581,250	)‡	$	—		$	(1,581,250	)	$	—
Total	$	65,783,897	$	43,255,033	$	(24,481,346	)	$	4,783,708		$	(5,370,586	)	$	75,668		$	(1,581,250	)	$	(204,584	)	$	82,260,540		$	2,155,553
Consolidated Special Opportunities Fund
Common Stocks
Canada	$	70,137	$	—	$	—		$	—		$	—		$	(725	)	$	—		$	—		$	69,412		$	(725	)
Total	$	70,137	$	—	$	—		$	—		$	—		$	(725	)	$	—		$	—		$	69,412		$	(725	)
Strategic Opportunities Allocation Fund
Rights/Warrants
Netherlands	$	—		—	$	(96,831	)		—			—		$	(2,215	)	$	—		$	—			(99,046	)		(2,215	)
Total	$	—	$	—	$	(96,831	)	$	—		$	—		$	(2,215	)	$	—		$	—		$	(99,046	)	$	(2,215	)

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

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

* Includes unfunded loan commitments of $2,216,005

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 May 31, 2018 were as follows:

Fund Name	Level 3 securities and derivatives
Alpha Only Fund		< 1%
Benchmark-Free Allocation Fund		1%
Benchmark-Free Fund		<1%
Global Asset Allocation Fund		< 1%
Global Developed Equity Allocation Fund		< 1%
Global Equity Allocation Fund		< 1%
Consolidated Implementation Fund		<1%
International Developed Equity Allocation Fund		< 1%
International Equity Allocation Fund		< 1%
Consolidated SGM Major Markets Fund		—
Consolidated Special Opportunities Fund		< 1%
Strategic Opportunities Allocation Fund		<1%

Foreign currency translation

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

Loan assignments and participations

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

Repurchase agreements

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

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for

bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. As of May 31, 2018, the Funds listed below had entered into reverse repurchase agreements.

Fund Name	Received from reverse repurchase agreements ($)		Market value of securities plus accrued interest ($)
Consolidated Implementation Fund		$481,552		$488,943

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

Inflation-indexed bonds

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

The market price of inflation-indexed bonds normally changes when real interest rates change. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. Coupon payments received by a Fund from inflation-indexed bonds are generally included in the Fund’s gross income for the period in which they accrue. In addition, any increase/decrease in the principal amount of an inflation-indexed bond is generally included in the Fund’s gross income even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Short sales

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

Municipal obligations

Municipal obligations are issued by or on behalf of states, territories and possessions of the United States and their political subdivisions, agencies and instrumentalities and the District of Columbia to obtain funds for various public purposes. Municipal notes are generally used to provide for short-term capital needs, such as to finance working capital needs of municipalities or to provide various interim or construction financing, and generally have maturities of one year or less. Municipal bonds, which meet longer-term capital needs and generally have maturities of more than one year when issued, have two principal classifications: “general obligation” bonds and “revenue” bonds. Issuers of general obligation bonds include states, counties, cities, towns and regional districts. The basic security behind general obligation bonds is the issuer’s pledge of its full faith, credit, and taxing power for the payment of principal and interest. Revenue bonds have been issued to fund a wide variety of capital projects. The principal security for a revenue bond is generally the net revenues derived from a particular facility or group of facilities or, in some cases, from the proceeds of a special excise or other specific revenue source. Although the principal security behind these bonds varies widely, many provide additional security in the form of a debt service reserve fund whose monies also may be used to make principal and interest payments on the issuer’s obligations. Municipal obligations at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Trade claims

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

Investment and other risks

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

Alpha Only Fund

Benchmark-Free Allocation Fund

Benchmark-Free Fund

Global Asset Allocation Fund

Global Developed Equity Allocation Fund

Global Equity Allocation Fund

Implementation Fund

International Developed Equity Allocation Fund

International Equity Allocation Fund

SGM Major Markets Fund

Special Opportunities Fund

Strategic Opportunities Allocation Fund

Commodities Risk

X

X

X

X

X

X

X

Counterparty Risk

X

X

X

X

X

X

X

X

X

X

X

X

Credit Risk

X

X

X

X

X

X

X

X

X

X

X

X

Currency Risk

X

X

X

X

X

X

X

X

X

X

X

X

Derivatives and Short Sales Risk

X

X

X

X

X

X

X

X

X

X

X

X

Focused Investment Risk

X

X

X

X

X

X

X

X

X

X

X

X

Fund of Funds Risk

X

X

X

X

X

X

X

X

X

X

X

X

Futures Contracts Risk

X

X

X

X

X

Illiquidity Risk

X

X

X

X

X

X

X

X

X

X

X

X

Large Shareholder Risk

X

X

X

X

X

X

X

X

X

X

X

X

Leveraging Risk

X

X

X

X

X

X

X

X

X

X

X

X

Management and Operational Risk

X

X

X

X

X

X

X

X

X

X

X

X

Market Disruption and Geopolitical Risk

X

X

X

X

X

X

X

X

X

X

X

X

Market Risk – Asset-Backed Securities

X

X

X

X

X

X

X

Market Risk – Equities

X

X

X

X

X

X

X

X

X

X

X

X

Market Risk – Fixed Income

X

X

X

X

X

X

X

X

X

X

X

X

Merger Arbitrage Risk

X

X

X

X

Non-Diversified Funds

X

X

X

X

X

X

X

X

X

X

X

X

Non-U.S. Investment Risk

X

X

X

X

X

X

X

X

X

X

X

X

Small Company Risk

X

X

X

X

X

X

X

X

X

X

X

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.

Each Fund that invests in other GMO Funds, other investment companies or in a wholly-owned subsidiary (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.

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

• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the 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, regulations or other requirements. The Funds are not subject to any limit 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 posted promptly 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 (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 the 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 broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result (and/or in anticipation) of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations, 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 also are 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 several major rating agencies to downgrade the long-term credit rating of U.S. bonds and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the market price of a Fund’s investments and increase the volatility of a Fund’s portfolio.

As described under “Market Risk — Asset-Backed Securities,” asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk — Asset-Backed Securities.” The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.

A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” for more information regarding risks associated with the use of credit default swaps.

The extent to which the market price of a fixed income investment changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.

Credit risk is particularly pronounced for below investment grade investments (commonly referred to as “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade investments have speculative characteristics, often are less liquid than higher quality investments, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality investments, including adverse business, financial or economic conditions that lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer does not make any interest or other payments and a Fund incurs additional expenses in seeking recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, a Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of a 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 or may only be able to do so at an unfavorable exchange rate. Exchange rates for many 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, 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, but are not limited to, 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. 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 the Fund under an OTC derivatives contract, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s fundamental fair (or intrinsic) value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of not being able to recover what it is owed if the counterparty defaults.

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, inaccurate 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 also are 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. The Securities and Exchange Commission has proposed a rule under the Investment Company Act of 1940, as amended (the “1940 Act”), regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.

Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) have adopted similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these U.S. and European Union requirements are new and evolving (and some of the rules are not yet final), their impact on the Funds remains unclear.

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

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

Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may be required to indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility.

If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.

The U.S. government and the European Union have adopted mandatory minimum margin requirements for bilateral derivatives. New variation margin requirements became effective in March 2017 and new initial margin requirements will become effective in 2020. Such requirements could increase the amount of margin a Fund needs to provide in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.

These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the cost of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared

derivatives than they historically posted for bilateral derivatives. The cost of derivatives transactions is expected to increase further as clearing members raise their fees to cover the cost of additional capital requirements and other regulatory changes applicable to the clearing members. These rules and regulations are new and evolving, and, therefore, their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Options. Some Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.

National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, GMO, and other funds advised by GMO likely constitute such a group. When applicable, these limits restrict a Fund’s ability to purchase or write options on a particular security.

Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.

Special tax rules apply to a Fund’s transactions in options, which could increase the taxes payable by shareholders subject to U.S. income taxation. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s distributions to be taxable at ordinary income tax rates. See the Funds’ Prospectus and Statement of Additional Information for more information.

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

A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index.

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 a limited number of asset classes, sectors, industries, issuers, currencies, countries, or regions (or in sectors within a country or region) 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, or market (e.g., emerging markets), or to sectors within a region, country, or market (e.g., Russian oil) have more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in the value of the currency of one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region

or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk.”

• FUND OF FUNDS RISK. Funds that invest in Underlying Funds (including underlying GMO Funds) or in a wholly-owned subsidiary of a GMO Fund 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.

Because, 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, 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 when an underlying GMO Fund has 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 exchange-traded funds (“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.” ETFs are investment companies that typically hold a portfolio of securities designed to track the price, performance, and dividend yield of a particular securities market index (or sector of an index). As investment companies, ETFs incur their own management and other fees and expenses, such as trustee fees, operating expenses, registration fees, and marketing expenses, and a Fund that invests in ETFs will bear a proportionate share of such fees and expenses. As a result, an investment by a Fund in an ETF could lead to higher operating expenses and poorer performance than if the Fund were to invest directly in the securities underlying the ETF.

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

• FUTURES CONTRACTS RISK. The risk of loss to a Fund resulting from its use of futures contracts is potentially unlimited. Futures markets are highly volatile, and the use of futures contracts may increase the volatility of the Fund’s net asset value. A Fund’s ability to establish and close out positions in futures contracts is subject to the development and maintenance of a liquid secondary market. A liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund might be unable to effect closing transactions to terminate its exposure to the contract. In using futures contracts, a Fund relies on GMO’s ability to predict market and price movements correctly. The skills needed to use futures contracts successfully are different from those needed for traditional portfolio management. If a Fund uses futures contracts for hedging purposes, it runs the risk that changes in the prices of the contracts may not correlate perfectly with changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund’s investments that are the subject of the hedge.

A Fund typically will be required to post margin with its futures commission merchant in connection with its positions in futures contracts. If the Fund has insufficient cash to meet margin requirements, the Fund may have to sell other investments at disadvantageous times. A Fund may be unable to reenter or may be delayed in 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 deposited 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 of its affiliated entities may hold or control in a particular futures contract. In addition, an exchange may impose trading limits on the number of contracts a 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, and those limits may adversely affect the market liquidity of those futures and derivatives. 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 a foreign exchange or the laws of the country where the exchange is located. Margin and other payments made by a Fund in foreign countries may not have the same protections as payments in the United States. In addition, foreign futures contracts may be less liquid and more volatile than U.S. contracts.

• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits, delays or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed, defaulted or other low quality debt securities, emerging country debt or equity 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 or other investments that are less liquid than those in its benchmark. The more illiquid investments a Fund has, the greater the likelihood of its paying redemption proceeds in-kind.

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

A Fund’s, and particularly Risk Premium Fund’s, ability to use options as part of its investment program depends on the liquidity of the options market. That market may not be liquid when a Fund seeks to close out an option position, and the hours of trading for options on an exchange may not conform to the hours during which the underlying securities are traded. To the extent that the options markets close before the markets for the underlying securities, significant price and rate movements can take place in the markets for those securities that are not immediately reflected in the options markets. If a Fund receives a redemption request and is unable to close out an option it has sold, the Fund may temporarily be leveraged in relation to its assets.

• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities, potentially at disadvantageous prices, to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the outstanding shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments when it would not have otherwise done 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 ultimately is not received or differs in size from the actual order, leading to temporary underexposure or overexposure to the Fund’s intended investment program. In addition, redemptions and purchases of shares by a large shareholder or group of shareholders could limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.

To the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.

• LEVERAGING RISK. The use of traditional borrowing (including to meet redemption requests), reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives, similar to short sales, have the potential for unlimited loss, regardless of the size of the initial investment. Similarly, a Fund’s portfolio will be leveraged and can incur losses if the value of the Fund’s assets declines 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 decline 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 to avoid having the pledged securities liquidated to compensate for the decline.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and may cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

For many Funds, GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market movements, or characteristics. In addition, they are based on 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 security’s fundamental fair (or intrinsic) value) is wrong.

GMO relies heavily on quantitative models in making investment decisions for SGM Major Markets Fund. The usefulness of GMO’s models may be diminished by the faulty incorporation of mathematical models into computer code, by reliance on proprietary and third-party technology that includes errors, omissions, bugs, or viruses, and by the retrieval of limited or imperfect data for processing by the model. These risks are present in the ordinary course of business and are more likely to occur when GMO is making changes to its models. Any of these risks could adversely affect a Fund’s performance.

There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.

The Funds also are subject to a risk of loss resulting from other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from 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 disrupting operations. 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, and additional compliance costs. The Funds’ service providers regularly experience cyber-attacks and expect they will continue to do so. While GMO has established business continuity plans and systems designed to prevent, detect and respond to cyber-attacks, those plans and systems have inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could have material adverse consequences for those issuers and result in a decline in the market price of their securities. Furthermore, as a result of cyber-attacks, technological disruptions, malfunctions, or failures, an exchange or market may close or suspend trading in specific securities or the entire market, which could prevent the Funds from, among other things, buying or selling securities or accurately pricing their investments. The Funds cannot directly control cyber security plans and systems of 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 reducing 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. 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 an issuer of securities 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 have resulted, and may in the future result, in a shutdown of government services, which could adversely affect the U.S. economy, reduce the value of many Fund investments, and impair the operation of the U.S. or other securities markets. Uncertainty over the sovereign debt of several European Union countries, as well as uncertainty over 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”) and in March 2017, the United Kingdom commenced the formal process of withdrawing from the European Union. Brexit has resulted in volatility in European and global markets and could have negative long-term impacts on financial markets in the United Kingdom and throughout Europe. There is considerable uncertainty about the potential consequences and precise timeframe for Brexit, how it will be conducted, how negotiations of trade agreements will proceed, and how the financial markets will react, and as this process unfolds markets may be further disrupted. The consequences of the United Kingdom’s or another country’s exit from the European Union and/or Eurozone also could threaten the stability of the euro for remaining countries and could negatively affect the financial markets of other countries in the European region and beyond.

War, terrorism, economic uncertainty, and related geopolitical events, such as sanctions, tariffs, the imposition of exchange controls or other cross-border trade barriers, 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 market price 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 become particularly acute during periods of adverse market conditions, such as those that occurred in 2008.

As described under “Market Risk — Fixed Income” the market price of asset-backed securities, like that of other fixed income investments with complex structures, can decline for a variety of reasons, 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 performance of other service providers with access to the payment stream. A problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security. Principal repayments of asset-backed securities are at risk 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 issuance 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.

When worldwide economic and liquidity conditions deteriorated 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 asset-backed (as well as others)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 can 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 2008 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 the many asset-backed securities it services.

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. The market prices of equities are volatile and can decline in a rapid or unpredictable manner. If a Fund purchases an equity for what GMO believes is less than its fundamental fair (or intrinsic) value, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

To the extent a Fund invests in GMO Risk Premium Fund (“Risk Premium Fund”), the Fund is exposed to Risk Premium Fund’s market risk with respect to equities. Because of Risk Premium Fund’s emphasis on writing put options on stock indices, GMO expects the Fund’s net asset value to decline when those indices decline in value. Also, Risk Premium Fund’s investment strategy of writing put options on stock indices can be expected to cause the Fund to underperform relative to those indices when the markets associated with those indices rise sharply because of the Fund’s lack of exposure to the upside of those markets.

Fixed Income — Funds that invest in fixed income investments (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity due to market 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, fixed income investments also may be repaid more slowly than anticipated, causing a decrease in their market price. 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 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 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. However, continued economic recovery, the U.S. Federal Reserve’s conclusion of its quantitative easing program, and recent increases in interest rates increase the likelihood that interest rates will continue to rise in the near future. To the extent the U.S. Federal Reserve continues to raise interest rates, there is a risk that rates across the financial system may rise, which could have an adverse effect on prices for fixed income investments and on the performance of the Funds. Other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) also could have a material adverse effect on the Funds.

• MERGER ARBITRAGE RISK. Some Funds engage in transactions in which the Fund purchases securities at prices below the value of the consideration GMO expects the Fund to receive upon consummation of a proposed merger, exchange offer, tender offer, or other similar transaction (“merger arbitrage transactions”). The purchase price paid by the Fund may substantially exceed the market price of the securities before the announcement of the transaction.

If a Fund engages in merger arbitrage and the merger later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund is likely to decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. A proposed merger can fail to be consummated for many reasons, including regulatory and antitrust restrictions, industry weakness, company specific events, failed financings, and general market declines.

Merger arbitrage strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust long or short investment exposure in connection with a merger arbitrage may not perform as GMO expected or may otherwise reduce the Fund’s gains or increase its losses. Also, a Fund may be unable to hedge against market fluctuations or other risks. In addition, a Fund may sell securities short when GMO expects the Fund to receive the securities upon consummation of a transaction; if the Fund does not actually receive the securities, the Fund will have an unintended “naked” short position and may be required to cover its short position at a time when the securities sold short have appreciated in value, thus resulting in a loss. A Fund’s merger arbitrage transactions could result in tax inefficiencies, including larger 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 than if their investments were more diversified, and poor performance by a single investment may have a greater impact on their performance.

The following Funds are not diversified investment companies within the meaning of the 1940 Act:

• Alpha Only Fund

• Implementation Fund

• SGM Major Markets Fund

• Special Opportunities Fund

In addition, each of the Funds may invest a portion of its assets in shares of one or more other GMO Funds that are not diversified investment companies under the 1940 Act. Each of the Funds may invest without limitation in GMO Funds that are not diversified.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. Many non-U.S. securities markets include securities of only a small number of companies in a small number of industries. As a result, the market prices of securities traded on those markets often fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as 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. In addition, a Fund’s pursuit of a tax refund may subject it to administrative and judicial proceedings in the country where it is seeking the refund. 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 it will be received. In some cases, the amount of a refund could be material to a Fund’s net asset value. Generally, 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 every country, including the U.S., 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 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 securities traded 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 a Fund from obtaining a similar license. In addition, the activities of a GMO client could cause the suspension or revocation of a Fund’s license.

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 issuer of assets; 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; less rigorous 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 and often are more volatile than the economies of developed countries.

• 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 less experienced managers and depend on fewer 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 the securities of these companies.

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

Benchmark-Free Allocation Fund, Benchmark-Free Fund and Implementation Fund may take temporary defensive positions if deemed prudent by GMO.

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

Derivative financial instruments

At May 31, 2018, only Alpha Only Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund, Special Opportunities Fund and Strategic Opportunities Allocation 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, Special Opportunities Fund and Strategic Opportunities Allocation 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 reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies (and in the case of Special Opportunities Fund, commodities) without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which its equities are traded.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

Special Opportunities Fund may have investment exposures in excess of its net assets (i.e., it may be leveraged). Alpha Only Fund is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of its derivative positions, Alpha Only Fund will typically have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. Alpha Only Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

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

Use of Derivatives by Benchmark-Free Fund, Implementation Fund and Strategic Opportunities Allocation 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, 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.

The Fund may use derivatives, such as futures, options, and swap contracts, in an attempt to adjust elements of its investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In addition, the Fund may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposure, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which its equities are traded.

The Fund is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of its derivative positions, the Fund will typically have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. The Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

***

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

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

For Funds that held derivatives during the period ended May 31, 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*

Strategic Opportunities Allocation Fund

Forward currency contracts

Adjust currency exchange rate risk

X

Adjust exposure to foreign currencies

X

X

X

X

X

Manage against anticipated currency exchange rate changes

X

Futures contracts

Adjust exposure to certain securities markets

X

X

X

Substitute for direct investment

X

X

Adjust interest rate exposure

X

X

Maintain the diversity and liquidity of the portfolio

X

X

X

Hedge some or all of the broad market exposure of the underlying funds and/or assets in which the Fund invests

X

Options (Purchased)

Substitute for direct equity investment

X

Options (Written)

Substitute for direct equity investment

X

Adjust interest rate exposure

X

Swap contracts

Adjust interest rate exposure

X

Substitute for direct investment in securities

X

X

X

Achieve exposure to a reference entity’s credit

X

Rights and/or warrants

Received as a result of corporate actions

X

X

X

X

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

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

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

Options

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

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

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

In a credit linked option contract, one party makes payments to another party in exchange for the option to exercise a contract where the buyer has the right to receive a specified return if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities and a specified decrease in the value of the related collateral occurs. A writer of a credit linked option receives

periodic payments in return for its obligation to pay an agreed-upon value to the other party if they exercise their option in the case of a credit event. If no credit event occurs, the seller has no payment obligation and will keep the premiums received.

Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using industry models and inputs provided by primary pricing sources.

Swap contracts

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

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

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

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

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

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

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

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

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

when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

Forward starting dividend swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in a dividend index point. A Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the relevant dividend index point based on a notional amount. For example, if a Fund took a long position on a dividend index swap, the Fund would receive payments if the relevant index point increased in value and would be obligated to pay if that index point decreased in value.

Future swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in an index. The Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the index based on a notional amount. For example, if the Fund took a long position on a future swap, the Fund would receive payments if the relevant index increased in value and would be obligated to pay if that index decreased in value.

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

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

Rights and warrants

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

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

The following is a summary of the valuations of derivative instruments categorized by risk exposure as of May 31, 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		Commodity Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Alpha Only Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—	$	—		$	1,062,818		$	—		$	—	$	1,062,818
Unrealized Appreciation on Futures Contracts		—		—		4,309,790			—			—			—		4,309,790
Total	$	—	$	—	$	4,309,790		$	1,062,818		$	—		$	—	$	5,372,608
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—		$	(31,292	)	$	—		$	—	$	(31,292	)
Total	$	—	$	—	$	—		$	(31,292	)	$	—		$	—	$	(31,292	)
Benchmark-Free Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	—	$	103,956		$	—		$	—		$	—	$	103,956
Unrealized Appreciation on Forward Currency Contracts		—		—		—			5,170,908			—			—		5,170,908
Unrealized Appreciation on Futures Contracts		—		—		3,425,701			—			—			—		3,425,701
Swap Contracts, at value		—		—		176,088			—			—			—		176,088
Total	$	—	$	—	$	3,705,745		$	5,170,908		$	—		$	—	$	8,876,653
Liability Derivatives
Investments, at value (rights and/or warrants)	$	—	$	—	$	(733,453	)	$	—		$	—		$	—	$	(733,453	)
Unrealized Depreciation on Forward Currency Contracts		—		—		—			(165,334	)		—			—		(165,334	)
Unrealized Depreciation on Futures Contracts		—		—		(536,732	)		—			—			—		(536,732	)
Swap Contracts, at value		—		—		(261,464	)		—			—			—		(261,464	)
Total	$	—	$	—	$	(1,531,649	)	$	(165,334	)	$	—		$	—	$	(1,696,983	)
Consolidated Implementation Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	—	$	788,188		$	—		$	—		$	—	$	788,188
Investments, at value (purchased options)		—		—		3,281,010			—			—			—		3,281,010
Unrealized Appreciation on Forward Currency Contracts		—		—		—			38,802,207			—			—		38,802,207
Unrealized Appreciation on Futures Contracts		—		—		16,567,099			—			695,128			—		17,262,227
Swap Contracts, at value		5,660,798		—		313,611			—			12,439,332			—		18,413,741
Total	$	5,660,798	$	—	$	20,949,908		$	38,802,207		$	13,134,460		$	—	$	78,547,373
Liability Derivatives
Investments, at value (rights and/or warrants)	$	—	$	—	$	(3,257,632	)	$	—		$	—		$	—	$	(3,257,632	)
Unrealized Depreciation on Forward Currency Contracts		—		—		—			(8,585,914	)		—			—		(8,585,914	)
Unrealized Depreciation on Futures Contracts		—		—		(8,497,333	)		—			(212,766	)		—		(8,710,099	)
Written Options, at value		—		—		(12,255,000	)		—			—			—		(12,255,000	)
Swap Contracts, at value		—		—		(1,126,170	)		—			(12,465,181	)		—		(13,591,351	)
Total	$	—	$	—	$	(25,136,135	)	$	(8,585,914	)	$	(12,677,947	)	$	—	$	(46,399,996	)

	Credit Contracts		Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Consolidated SGM Major Markets Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	—		$	8,685,800		$	—		$	—	$	8,685,800
Unrealized Appreciation on Futures Contracts		—		—			37,915,498			—			2,323,765			—		40,239,263
Total	$	—	$	—		$	37,915,498		$	8,685,800		$	2,323,765		$	—	$	48,925,063
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	—		$	(6,220,402	)	$	—		$	—	$	(6,220,402	)
Unrealized Depreciation on Futures Contracts		—		(4,815,144	)		(20,143,627	)		—			(7,671,087	)		—		(32,629,858	)
Total	$	—	$	(4,815,144	)	$	(20,143,627	)	$	(6,220,402	)	$	(7,671,087	)	$	—	$	(38,850,260	)
Consolidated Special Opportunities Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts	$	—	$	(1,107,438	)	$	—		$	—		$	—		$	—	$	(1,107,438	)
Total	$	—	$	(1,107,438	)	$	—		$	—		$	—		$	—	$	(1,107,438	)
Strategic Opportunities Allocation Fund
Asset Derivatives
Swap Contracts, at value	$	—	$	—		$	45,038		$	—		$	—		$	—	$	45,038
Total	$	—	$	—		$	45,038		$	—		$	—		$	—	$	45,038
Liability Derivatives
Investments, at value (rights and/or warrants)	$	—	$	—		$	(99,046	)	$	—		$	—		$	—	$	(99,046	)
Swap Contracts, at value		—		—			(2,021	)		—			—			—		(2,021	)
Total	$	—	$	—		$	(101,067	)	$	—		$	—		$	—	$	(101,067	)

Subsequent Events

Effective June 30, 2018, Tariq Ali and Malcolm Brown are co-portfolio managers of GMO Special Opportunities Fund, and Chris Hudson is no longer involved in the portfolio management of the Fund.

Subsequent to May 31, 2018, GMO Alpha Only Fund received redemption requests in the amount of $80,483,965.

Subsequent to May 31, 2018, GMO Special Opportunities Fund received redemption requests in the amount of $531,986,302.

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

Item 2. Controls and Procedures.

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

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

Item 3. Exhibits.

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

SIGNATURES

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

(Registrant) GMO Trust

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

Date: July 26, 2018

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

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

Date: July 26, 2018

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

Date: July 26, 2018