GMO Trust

N-CSRS 1 d592380dncsrs.htm GMO TRUST GMO Trust

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-04347

GMO Trust

(Exact name of the registrant as specified in charter)


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

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

(Name and address of agent for services)

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

Date of fiscal year end: 02/28/19

Date of reporting period: 08/31/18

Item 1. Reports to Stockholders.

The semi-annual reports for each series of the registrant for the period ended August 31, 2018 are filed herewith.

GMO Trust

Semiannual Report

August 31, 2018

Asset Allocation Bond Fund

Core Plus Bond Fund

Emerging Country Debt Fund

High Yield Fund

Opportunistic Income Fund

U.S. Treasury Fund

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

www.gmo.com or on the Securities and Exchange Commission’s website at www.sec.gov.

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

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

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

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

TABLE OF CONTENTS


Asset Allocation Bond Fund
Investment Concentration Summary			1
Schedule of Investments			2
Core Plus Bond Fund
Investment Concentration Summary			5
Schedule of Investments			6
Emerging Country Debt Fund
Investment Concentration Summary			9
Schedule of Investments			10
High Yield Fund
Investment Concentration Summary			21
Schedule of Investments			22
Opportunistic Income Fund
Investment Concentration Summary			26
Schedule of Investments			27
U.S. Treasury Fund
Investment Concentration Summary			36
Schedule of Investments			37
Portfolio, Counterparty and Currency Abbreviations			38
Fund Financial Statements:
Statements of Assets and Liabilities			39
Statements of Operations			43
Statements of Changes in Net Assets			45
Financial Highlights			48
Notes to Financial Statements			54
Board Review of Investment Management Agreements			99
Fund Expenses			106

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Debt Obligations		94.0	%
Mutual Funds		4.9
Short-Term Investments		3.9
Swap Contracts		0.1
Forward Currency Contracts		0.0	^
Other		(2.9	)

		100.0	%

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

^	Rounds to 0.0%.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 94.0%

		U.S. Government — 86.4%
	36,951,627	U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23^(a)		36,729,527
	23,549,384	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25^(a)		22,816,921
	66,923,303	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26^(a)		66,229,364
	54,644,884	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27^(a)		52,830,504
	29,743,889	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28^(a)		28,915,088
	61,063,430	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28^(a)		66,209,028
	60,941,392	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29^(a)		70,995,721
	1,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.14%, due 10/31/19		1,500,926
	17,500,000	U.S. Treasury Note, Variable Rate USBM + 0.00%, 2.09%, due 01/31/20		17,498,116
	10,000,000	U.S. Treasury Note, Variable Rate USBM + 0.03%, 2.12%, due 04/30/20^(b)		10,001,461

		Total U.S. Government		373,726,656


		U.S. Government Agency — 7.6%
	15,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.24%, 2.08%, due 03/06/19		15,000,862
	18,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.21%, 2.13%, due 02/10/20		17,989,995

		Total U.S. Government Agency		32,990,857


		TOTAL DEBT OBLIGATIONS (COST $410,707,887)		406,717,513


		MUTUAL FUNDS — 4.9%

		United States — 4.9%
		Affiliated Issuers — 4.9%
	855,913	GMO U.S. Treasury Fund		21,380,716


		TOTAL MUTUAL FUNDS (COST $21,380,716)		21,380,716


		SHORT-TERM INVESTMENTS — 3.9%

		Foreign Government Obligations — 3.5%
JPY	1,682,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/09/18		15,139,938


Shares		Description	Value ($)
		Money Market Funds — 0.4%
	1,516,027	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.88% ^(c)		1,516,027


		TOTAL SHORT-TERM INVESTMENTS (COST $16,748,995)		16,655,965


		TOTAL INVESTMENTS — 102.8% (COST $448,837,598)		444,754,194

		Other Assets and Liabilities (net) — (2.8%)		(12,205,686	)


		TOTAL NET ASSETS — 100.0%		$432,548,508

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

Forward Currency Contracts


Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
10/05/2018	JPM		AUD	1,380,000		USD	1,020,103		28,062
10/05/2018	MSCI		AUD	20,660,000		USD	15,168,572		316,717
09/04/2018	GS		CAD	7,646,590		USD	5,848,127		(11,329	)
09/04/2018	JPM		CAD	2,353,942		USD	1,790,000		(13,787	)
10/12/2018	MSCI		CHF	20,209,652		USD	20,494,216		(423,494	)
09/19/2018	BCLY		EUR	610,000		USD	718,174		9,395
09/19/2018	GS		EUR	1,400,000		USD	1,635,131		8,424
09/19/2018	MSCI		EUR	2,800,000		USD	3,270,628		17,213
09/14/2018	JPM		GBP	10,370,000		USD	13,925,189		476,452
09/07/2018	GS		JPY	236,477,704		USD	2,140,000		11,416
09/07/2018	JPM		JPY	57,645,843		USD	520,000		1,118
09/07/2018	MSCI		JPY	313,660,277		USD	2,850,000		26,679
10/09/2018	MSCI		JPY	1,682,000,000		USD	15,302,316		127,822
10/05/2018	BCLY		NOK	14,870,681		USD	1,780,000		4,638
09/05/2018	BCLY		NZD	6,640,000		USD	4,663,829		270,804
09/05/2018	MSCI		NZD	690,000		USD	469,688		13,184
12/05/2018	MSCI		NZD	5,490,000		USD	3,637,921		4,913
11/05/2018	GS		SEK	35,468,263		USD	3,900,000		2,693
09/04/2018	BCLY		USD	790,000		CAD	1,030,409		(415	)
09/04/2018	MSCI		USD	6,939,677		CAD	8,970,123		(66,020	)
09/05/2018	JPM		USD	1,220,642		NZD	1,840,000		(3,298	)
09/05/2018	MSCI		USD	3,637,152		NZD	5,490,000		(4,968	)
09/07/2018	GS		USD	1,990,000		JPY	222,857,623		15,988
09/07/2018	JPM		USD	3,800,605		JPY	416,267,408		(53,696	)
09/07/2018	MSCI		USD	1,380,000		JPY	153,452,936		1,261
09/14/2018	BCLY		USD	1,578,451		GBP	1,210,000		(9,216	)
09/14/2018	GS		USD	2,546,609		GBP	1,980,000		21,231
09/14/2018	JPM		USD	1,115,790		GBP	860,000		(465	)
09/14/2018	MSCI		USD	5,338,867		GBP	4,010,000		(138,342	)
09/19/2018	GS		USD	2,790,096		EUR	2,430,000		33,404
09/19/2018	JPM		USD	559,050		EUR	480,000		(1,322	)
10/05/2018	BCLY		USD	280,354		AUD	380,000		(7,183	)
10/05/2018	JPM		USD	3,702,127		AUD	5,120,000		(21,512	)
10/05/2018	JPM		USD	11,769,113		NOK	95,799,993		(331,865	)
10/12/2018	BOA		USD	400,000		CHF	394,646		8,472


2		See accompanying notes to the financial statements.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

Forward Currency Contracts — continued


Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
10/12/2018	JPM		USD	4,530,000		CHF	4,366,729		(10,280	)
11/05/2018	BCLY		USD	17,583,213		SEK	155,508,409		(495,711	)
12/03/2018	GS		USD	3,683,279		CAD	4,801,338		2,004

								$	(191,013	)

Reverse Repurchase Agreements⁽¹⁾


Average balance outstanding	$	(41,051,668	)
Average interest rate		0.22	%
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	2.37%	NZD	126,240,000		09/19/2023		Quarterly		1,459			184,958			183,499
2.37%	3 Month NZD Bank Bill Rate	NZD	31,178,500		09/19/2023		Semi-Annually		—			(46,653	)		(46,653	)
2.41%	3 Month NZD Bank Bill Rate	NZD	31,178,500		09/19/2023		Semi-Annually		—			(82,147	)		(82,147	)
1.72%	6 Month GBP LIBOR	GBP	16,041,000		06/21/2028		Semi-Annually		1,475			19,088			17,613
2.85%	6 Month AUD BBSW	AUD	3,336,000		09/19/2028		Semi-Annually		—			(34,042	)		(34,042	)
2.84%	6 Month AUD BBSW	AUD	12,512,000		09/19/2028		Semi-Annually		768			(120,356	)		(121,124	)
2.88%	6 Month AUD BBSW	AUD	8,129,000		09/19/2028		Semi-Annually		—			(98,813	)		(98,813	)
2.76%	6 Month AUD BBSW	AUD	50,952,000		09/19/2028		Semi-Annually		(41,250	)		(225,023	)		(183,773	)
3 Month NZD Bank Bill Rate	3.16%	NZD	7,665,000		09/19/2028		Quarterly		—			146,041			146,041
3 Month NZD Bank Bill Rate	3.02%	NZD	5,525,000		09/19/2028		Quarterly		(819	)		59,674			60,493
3 Month NZD Bank Bill Rate	2.88%	NZD	13,266,500		09/19/2028		Quarterly		—			36,895			36,895
3 Month NZD Bank Bill Rate	2.91%	NZD	13,266,500		09/19/2028		Quarterly		—			58,482			58,482
3 Month NZD Bank Bill Rate	2.92%	NZD	15,344,000		09/19/2028		Quarterly		15,981			76,557			60,576
2.90%	3 Month NZD Bank Bill Rate	NZD	3,199,000		09/19/2028		Quarterly		—			(12,057	)		(12,057	)
3 Month CAD LIBOR	2.71%	CAD	9,042,000		09/20/2028		Semi-Annually		4,687			52,518			47,831
3 Month CAD LIBOR	2.74%	CAD	8,105,000		09/20/2028		Semi-Annually		—			61,532			61,532
3 Month CAD LIBOR	2.77%	CAD	6,029,000		09/20/2028		Semi-Annually		—			59,007			59,007
3 Month CAD LIBOR	2.76%	CAD	11,427,000		09/20/2028		Semi-Annually		—			103,606			103,606
3 Month CAD LIBOR	2.70%	CAD	4,042,000		09/20/2028		Semi-Annually		—			21,258			21,258
3 Month CAD LIBOR	2.61%	CAD	11,242,000		09/20/2028		Semi-Annually		—			(11,828	)		(11,828	)
6 Month CHF LIBOR	0.45%	CHF	7,982,000		09/20/2028		Semi-Annually		—			40,583			40,583
6 Month CHF LIBOR	0.44%	CHF	5,692,000		09/20/2028		Semi-Annually		—			22,439			22,439
6 Month EURIBOR	0.98%	EUR	3,497,000		09/20/2028		Semi-Annually		—			38,340			38,340
6 Month EURIBOR	1.00%	EUR	3,660,000		09/20/2028		Semi-Annually		—			51,172			51,172
6 Month EURIBOR	1.00%	EUR	8,181,000		09/20/2028		Semi-Annually		5,262			110,190			104,928
6 Month EURIBOR	0.97%	EUR	6,000,000		09/20/2028		Semi-Annually		—			63,049			63,049


		See accompanying notes to the financial statements.		3

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 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) ($)
1.09%	6 Month EURIBOR	EUR	4,461,000		09/20/2028		Semi-Annually		—			(108,093	)		(108,093	)
0.93%	6 Month EURIBOR	EUR	2,999,000		09/20/2028		Semi-Annually		—			(16,828	)		(16,828	)
0.94%	6 Month EURIBOR	EUR	2,999,000		09/20/2028		Semi-Annually		—			(18,707	)		(18,707	)
1.01%	6 Month EURIBOR	EUR	2,788,000		09/20/2028		Semi-Annually		—			(39,298	)		(39,298	)
1.61%	6 Month GBP LIBOR	GBP	32,667,000		09/20/2028		Semi-Annually		—			(227,869	)		(227,869	)
1.58%	6 Month GBP LIBOR	GBP	3,900,000		09/20/2028		Semi-Annually		—			(15,878	)		(15,878	)
3 Month USD LIBOR	3.04%	USD	5,918,000		09/20/2028		Quarterly		(1,160	)		60,857			62,017
3 Month USD LIBOR	2.99%	USD	9,800,000		09/20/2028		Quarterly		—			58,245			58,245
3 Month USD LIBOR	2.98%	USD	557,000		09/20/2028		Quarterly		—			2,431			2,431
3 Month USD LIBOR	2.99%	USD	6,688,000		09/20/2028		Quarterly		—			20,686			20,686
3 Month USD LIBOR	2.96%	USD	9,587,000		09/20/2028		Quarterly		—			30,082			30,082
2.92%	3 Month USD LIBOR	USD	5,093,000		09/20/2028		Quarterly		—			1,657			1,657
2.95%	3 Month USD LIBOR	USD	5,284,000		09/20/2028		Quarterly		—			(9,168	)		(9,168	)
2.94%	3 Month USD LIBOR	USD	4,757,000		09/20/2028		Quarterly		—			(6,585	)		(6,585	)
3.02%	3 Month USD LIBOR	USD	2,195,000		09/20/2028		Quarterly		—			(17,761	)		(17,761	)
2.77%	6 Month AUD BBSW	AUD	6,042,000		12/19/2028		Semi-Annually		—			(18,756	)		(18,756	)
2.83%	6 Month AUD BBSW	AUD	6,300,000		12/19/2028		Semi-Annually		—			(43,394	)		(43,394	)
3 Month SEK STIBOR	1.20%	SEK	22,165,000		12/19/2028		Quarterly		—			(503	)		(503	)
1.23%	3 Month SEK STIBOR	SEK	38,222,000		12/19/2028		Quarterly		—			(9,141	)		(9,141	)
6 Month EURIBOR	0.97%	EUR	3,642,000		12/20/2028		Semi-Annually		—			14,159			14,159

								$	(13,597	)	$	230,606		$	244,203

As of August 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:

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

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

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

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 38.


4		See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary†	% of Total Net Assets
Debt Obligations		73.4	%
Short-Term Investments		25.2
Mutual Funds		15.0
Swap Contracts		0.6
Loan Participations		0.1
Forward Currency Contracts		0.1
Rights/Warrants		0.0	^
Loan Assignments		0.0	^
Purchased Options		0.0	^
Written Options/Credit Linked Options		0.0	^
Futures Contracts		(0.0	)^
Reverse Repurchase Agreements		(0.1	)
Other		(14.3	)

		100.0	%


Country/Region Summary‡	% of Investments
United States		96.1	%
New Zealand		17.0
Canada		11.6
Other Emerging		4.8	¥
Euro Region		4.1	§
Switzerland		3.4
Japan		0.2
Sweden		(0.4	)
United Kingdom		(17.4	)
Australia		(19.4	)

		100.0	%

†

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

‡

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

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

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

^	Rounds to 0.0%.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 49.0%

		United States — 49.0%
		Asset-Backed Securities — 3.0%
	322,361	Bear Stearns Commercial Mortgage Securities Trust, Series 05-PW10, Class AJ, Variable Rate, 5.78%, due 12/11/40		341,704
	16,740,000	Commercial Mortgage Trust, Series 13-WWP, Class A2, 144A, 3.42%, due 03/10/31		16,876,058
	5,000,000	Commercial Mortgage Trust, Series 13-WWP, Class D, 144A, 3.90%, due 03/10/31		5,134,519

		Total Asset-Backed Securities		22,352,281


		U.S. Government — 29.9%
	9,307,000	U.S. Treasury Bond, 3.75%, due 11/15/43		10,500,550
	45,764,000	U.S. Treasury Bond, 3.38%, due 05/15/44 ^(a)		48,638,551
	30,399,000	U.S. Treasury Note, 2.00%, due 02/28/21		29,902,641
	51,233,000	U.S. Treasury Note, 1.75%, due 11/30/21		49,702,014
	4,745,000	U.S. Treasury Note, 2.00%, due 02/15/23		4,597,646
	36,868,000	U.S. Treasury Note, 2.50%, due 05/15/24		36,319,301
	27,877,000	U.S. Treasury Note, 2.00%, due 08/15/25		26,430,881
	16,615,000	U.S. Treasury Note, 2.25%, due 02/15/27		15,869,272

		Total U.S. Government		221,960,856


		U.S. Government Agency — 16.1%
	15,217,000	Federal Home Loan Mortgage Corp., TBA, 3.50%, due 02/15/48		15,126,620
	36,871,000	Federal National Mortgage Association, TBA, 2.50%, due 05/25/32		35,850,702
	8,706,000	Federal National Mortgage Association, TBA, 3.00%, due 06/25/47		8,418,207
	28,967,000	Federal National Mortgage Association, TBA, 4.00%, due 04/25/48		29,487,925
	30,389,000	Government National Mortgage Association, TBA, 3.50%, due 12/20/47		30,485,746

		Total U.S. Government Agency		119,369,200


		TOTAL DEBT OBLIGATIONS (COST $369,308,299)		363,682,337


		MUTUAL FUNDS — 44.6%

		United States — 44.6%
		Affiliated Issuers — 29.6%
	1,481,448	GMO Emerging Country Debt Fund, Class IV		39,776,871
	6,095,739	GMO Opportunistic Income Fund, Class VI		162,817,183
	683,317	GMO U.S. Treasury Fund		17,069,267

		Total Affiliated Issuers		219,663,321


Shares / Par Value†		Description	Value ($)
		Exchange-Traded Funds — 15.0%
	964,362	iShares iBoxx $ Investment Grade Corporate Bond ETF		111,325,949


		TOTAL MUTUAL FUNDS (COST $334,127,572)		330,989,270


		SHORT-TERM INVESTMENTS — 20.6%

		Foreign Government Obligations — 20.2%
JPY	3,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/18/18		29,701,544
JPY	5,600,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/25/18		50,403,881
JPY	1,611,500,000	Japan Treasury Discount Bill, Zero Coupon, due 10/22/18		14,506,082
JPY	2,850,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/05/18		25,656,053
JPY	3,300,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/19/18		29,708,821

		Total Foreign Government Obligations		149,976,381


		Money Market Funds — 0.4%
	3,349,336	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.88%^(b)		3,349,336


		TOTAL SHORT-TERM INVESTMENTS (COST $154,033,241)		153,325,717


		TOTAL INVESTMENTS — 114.2% (Cost $857,469,112)		847,997,324
		Other Assets and Liabilities (net) — (14.2%)		(105,687,078	)


		TOTAL NET ASSETS — 100.0%		$742,310,246


6		See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

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

Forward Currency Contracts


Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
10/05/2018	JPM		AUD	2,680,000		USD	1,981,070		54,498
10/05/2018	MSCI		AUD	43,640,000		USD	32,040,488		669,000
09/04/2018	GS		CAD	16,026,779		USD	12,250,747		(30,308	)
09/04/2018	JPM		CAD	696,977		USD	530,000		(4,082	)
10/12/2018	MSCI		CHF	41,118,217		USD	41,701,541		(857,278	)
09/19/2018	BCLY		EUR	1,170,000		USD	1,377,482		18,019
09/19/2018	GS		EUR	2,780,000		USD	3,246,904		16,727
09/19/2018	MSCI		EUR	5,770,000		USD	6,739,831		35,472
09/14/2018	JPM		GBP	15,860,000		USD	21,297,347		728,691
09/07/2018	GS		JPY	486,215,840		USD	4,400,000		23,471
09/07/2018	JPM		JPY	24,388,626		USD	220,000		473
09/07/2018	MSCI		JPY	492,549,333		USD	4,470,000		36,462
09/18/2018	JPM		JPY	3,300,000,000		USD	30,099,048		372,902
09/25/2018	MSCI		JPY	5,600,000,000		USD	51,205,618		735,569
10/22/2018	GS		JPY	1,611,500,000		USD	14,458,102		(94,149	)
11/05/2018	GS		JPY	2,850,000,000		USD	25,700,798		(61,728	)
11/19/2018	JPM		JPY	3,300,000,000		USD	30,085,854		226,584
10/05/2018	BCLY		NOK	12,447,929		USD	1,490,000		3,882
09/05/2018	BCLY		NZD	10,800,000		USD	7,585,589		440,307
09/05/2018	JPM		NZD	1,280,000		USD	868,018		21,170
09/05/2018	MSCI		NZD	2,820,000		USD	1,919,594		53,881
12/05/2018	MSCI		NZD	13,710,000		USD	9,084,863		12,269
11/05/2018	GS		SEK	16,369,968		USD	1,800,000		1,243
09/04/2018	BCLY		USD	1,570,000		CAD	2,047,774		(825	)
09/04/2018	MSCI		USD	11,353,978		CAD	14,675,982		(108,015	)
09/05/2018	JPM		USD	789,437		NZD	1,190,000		(2,133	)
09/05/2018	MSCI		USD	9,082,944		NZD	13,710,000		(12,406	)
09/07/2018	GS		USD	4,000,000		JPY	447,954,744		32,133
09/07/2018	JPM		USD	6,452,457		JPY	707,380,487		(85,179	)
09/07/2018	MSCI		USD	2,730,000		JPY	303,569,939		2,495
09/14/2018	BCLY		USD	1,532,239		GBP	1,170,000		(14,880	)
09/14/2018	GS		USD	5,537,912		GBP	4,300,000		38,710
09/14/2018	JPM		USD	2,400,246		GBP	1,850,000		(1,001	)
09/14/2018	MSCI		USD	3,593,523		GBP	2,700,000		(91,923	)
09/19/2018	GS		USD	5,749,926		EUR	5,010,000		71,363
09/19/2018	JPM		USD	267,878		EUR	230,000		(633	)
10/05/2018	BCLY		USD	1,674,744		AUD	2,270,000		(42,910	)


Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
10/05/2018	JPM		USD	2,451,213		AUD	3,390,000		(14,243	)
10/05/2018	JPM		USD	24,578,836		NOK	200,070,497		(693,073	)
10/12/2018	BOA		USD	1,850,000		CHF	1,825,236		39,184
10/12/2018	JPM		USD	2,050,000		CHF	1,976,113		(4,652	)
11/05/2018	BCLY		USD	34,912,812		SEK	308,590,214		(1,004,445	)
12/03/2018	GS		USD	9,412,314		CAD	12,269,422		5,122

								$	515,764

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
72	U.S. Long Bond (CBT)	December 2018		10,383,750		(50,722	)
393	U.S. Treasury Note 2 Yr. (CBT)	December 2018		83,064,235		(20,116	)
118	U.S. Treasury Note 5 Yr. (CBT)	December 2018		13,381,016		(14,918	)
25	U.S. Treasury Note 10 Yr. (CBT)	December 2018		3,006,640		(5,312	)
185	U.S. Treasury Ultra 10 Yr. (CBT)	December 2018		23,688,672		(60,984	)
12	U.S. Ultra Bond (CBT)	December 2018		1,911,750		(12,574	)

			$	135,436,063	$	(164,626	)

+	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) ($)
2.85%	6 Month AUD BBSW	AUD	1,656,000		09/19/2028		Semi-Annually		—			(16,899	)		(16,899	)
2.84%	6 Month AUD BBSW	AUD	79,945,000		09/19/2028		Semi-Annually		4,905			(769,010	)		(773,915	)
2.88%	6 Month AUD BBSW	AUD	16,756,000		09/19/2028		Semi-Annually		—			(203,680	)		(203,680	)
2.76%	6 Month AUD BBSW	AUD	87,483,000		09/19/2028		Semi-Annually		(70,825	)		(386,358	)		(315,533	)
2.77%	6 Month AUD BBSW	AUD	12,744,000		12/19/2028		Semi-Annually		—			(39,560	)		(39,560	)
2.83%	6 Month AUD BBSW	AUD	13,183,000		12/19/2028		Semi-Annually		—			(90,804	)		(90,804	)
3 Month CAD LIBOR	2.71%	CAD	41,705,000		09/20/2028		Semi-Annually		15,790			242,230			226,440
3 Month CAD LIBOR	2.74%	CAD	16,525,000		09/20/2028		Semi-Annually		—			125,455			125,455
3 Month CAD LIBOR	2.77%	CAD	10,885,000		09/20/2028		Semi-Annually		—			106,533			106,533
3 Month CAD LIBOR	2.76%	CAD	23,174,000		09/20/2028		Semi-Annually		—			210,114			210,114
3 Month CAD LIBOR	2.70%	CAD	6,033,000		09/20/2028		Semi-Annually		—			31,730			31,730


		See accompanying notes to the financial statements.		7

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 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		2.61%	CAD	22,873,000		09/20/2028		Semi-Annually		—			(24,065	)		(24,065	)
6 Month CHF LIBOR		0.45%	CHF	13,773,000		09/20/2028		Annually		—			70,027			70,027
6 Month CHF LIBOR		0.44%	CHF	13,107,000		09/20/2028		Annually		—			51,671			51,671
6 Month EURIBOR		0.98%	EUR	10,552,000		09/20/2028		Annually		—			115,689			115,689
6 Month EURIBOR		1.00%	EUR	5,896,000		09/20/2028		Annually		—			82,435			82,435
6 Month EURIBOR		1.00%	EUR	12,482,000		09/20/2028		Annually		8,028			168,120			160,092
6 Month EURIBOR		0.97%	EUR	20,000,000		09/20/2028		Annually		—			210,163			210,163
1.09%		6 Month EURIBOR	EUR	7,278,000		09/20/2028		Annually		—			(176,350	)		(176,350	)
0.93%		6 Month EURIBOR	EUR	7,086,000		09/20/2028		Annually		—			(39,762	)		(39,762	)
0.94%		6 Month EURIBOR	EUR	7,085,000		09/20/2028		Annually		—			(44,194	)		(44,194	)
1.01%		6 Month EURIBOR	EUR	5,806,000		09/20/2028		Annually		—			(81,838	)		(81,838	)
6 Month EURIBOR		0.97%	EUR	6,896,000		12/20/2028		Annually		—			26,809			26,809
1.72%		6 Month GBP LIBOR	GBP	22,061,000		06/21/2028		Semi-Annually		2,028			26,251			24,223
1.61%		6 Month GBP LIBOR	GBP	59,218,000		09/20/2028		Semi-Annually		—			(413,076	)		(413,076	)
1.58%		6 Month GBP LIBOR	GBP	39,100,000		09/20/2028		Semi-Annually		—			(159,186	)		(159,186	)
3 Month NZD Bank Bill Rate		2.37%	NZD	192,324,000		09/19/2023		Semi-Annually		2,223			281,779			279,556
		3 Month NZD Bank
2.37%		Bill Rate	NZD	32,188,500		09/19/2023		Semi-Annually		—			(48,164	)		(48,164	)
		3 Month NZD Bank
2.41%		Bill Rate	NZD	32,188,500		09/19/2023		Semi-Annually		—			(84,808	)		(84,808	)
3 Month NZD Bank Bill Rate		3.16%	NZD	12,070,000		09/19/2028		Semi-Annually		—			229,969			229,969
3 Month NZD Bank Bill Rate		3.02%	NZD	53,265,000		09/19/2028		Semi-Annually		(7,893	)		575,304			583,197
3 Month NZD Bank Bill Rate		2.88%	NZD	13,696,000		09/19/2028		Semi-Annually		—			38,089			38,089
3 Month NZD Bank Bill Rate		2.91%	NZD	13,696,000		09/19/2028		Semi-Annually		—			60,375			60,375
3 Month NZD Bank Bill Rate		2.93%	NZD	35,924,000		09/19/2028		Semi-Annually		59,220			200,116			140,896
3 Month NZD Bank Bill Rate		2.92%	NZD	9,165,000		09/19/2028		Semi-Annually		9,545			45,728			36,183
3 Month SEK STIBOR		1.20%	SEK	44,195,000		12/19/2028		Annually		—			(1,004	)		(1,004	)
1.23%		3 Month SEK STIBOR	SEK	76,148,000		12/19/2028		Annually		—			(18,211	)		(18,211	)
3 Month USD LIBOR		3.04%	USD	14,243,000		09/20/2028		Semi-Annually		(2,792	)		146,464			149,256
3 Month USD LIBOR		2.99%	USD	25,200,000		09/20/2028		Semi-Annually		—			149,773			149,773
3 Month USD LIBOR		2.98%	USD	1,215,000		09/20/2028		Semi-Annually		—			5,304			5,304
3 Month USD LIBOR		2.99%	USD	14,592,000		09/20/2028		Semi-Annually		—			45,134			45,134
3 Month USD LIBOR		2.96%	USD	19,519,000		09/20/2028		Semi-Annually		—			61,247			61,247
2.92%		3 Month USD LIBOR	USD	11,126,000		09/20/2028		Semi-Annually		—			3,620			3,620
2.95%		3 Month USD LIBOR	USD	11,347,000		09/20/2028		Semi-Annually		—			(19,687	)		(19,687	)
2.94%		3 Month USD LIBOR	USD	10,214,000		09/20/2028		Semi-Annually		—			(14,140	)		(14,140	)
3.02%		3 Month USD LIBOR	USD	5,131,000		09/20/2028		Semi-Annually		—			(41,517	)		(41,517	)

									$	20,229		$	637,816		$	617,587

Notes to Schedule of Investments:

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

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

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


8		See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary†	% of Total Net Assets
Debt Obligations		89.2	%
Short-Term Investments		7.5
Loan Participations		1.3
Rights/Warrants		0.8
Swap Contracts		0.3
Loan Assignments		0.2
Forward Currency Contracts		0.0	^
Purchased Options		0.0	^
Futures Contracts		0.0	^
Written Options/Credit Linked Options		(0.1	)
Reverse Repurchase Agreements		(1.0	)
Other		1.8

		100.0	%


Country/Region Summary‡	% of Investments
Mexico		13.5	%
Other Emerging		13.3	•
Russia		5.8
Turkey		5.8
Indonesia		5.6
Argentina		5.2
Brazil		5.1
Ukraine		3.3
Venezuela		3.3
Tunisia		2.9
China		2.4
Philippines		2.4
Pakistan		2.1
Colombia		2.0
Ecuador		2.0
Israel		2.0
Uruguay		1.9
Dominican Republic		1.8
Kazakhstan		1.8
South Africa		1.8
Costa Rica		1.5
Egypt		1.5
Chile		1.5
Croatia		1.3
Congo		1.2
Hungary		1.2
Ivory Coast		1.2
Bahrain		1.1
Saudi Arabia		1.1
Sri Lanka		1.1
Angola		1.0
Morocco		0.9
Peru		0.9
Other Developed		0.5	^☐

		100.0	%

†

‡

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

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

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

^	Rounds to 0.0%.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 88.8%

		Albania — 1.0%
		Foreign Government Obligations
	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 ^{(a) (b)}		37,147,660


		Angola — 0.5%
		Foreign Government Obligations
	18,100,000	Angolan Government International Bond, 144A, 9.38%, due 05/08/48		18,145,250


		Argentina — 4.2%
		Foreign Government Obligations
JPY	407,485,276	Republic of Argentina, 4.33%, due 12/31/33 ^(c)		2,539,716
EUR	8,008,646	Republic of Argentina Discount Bond, 7.82%, due 12/31/33		7,762,189
	40,308,593	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		32,448,417
	10,786,557	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		9,006,775
EUR	59,150,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38		37,418,806
EUR	112,130,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38		68,331,317

		Total Argentina		157,507,220


		Armenia — 0.1%
		Foreign Government Obligations
	2,195,000	Republic of Armenia, Reg S, 7.15%, due 03/26/25		2,310,238


		Azerbaijan — 0.8%
		Foreign Government Agency — 0.6%
	12,650,000	Southern Gas Corridor CJSC, Reg S, 6.88%, due 03/24/26		13,677,813
	7,987,000	State Oil Company of the Azerbaijan Republic, Reg S, 6.95%, due 03/18/30		8,416,301

				22,094,114


		Foreign Government Obligations — 0.2%
	7,100,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		6,789,375

		Total Azerbaijan		28,883,489


		Bahrain — 0.8%
		Foreign Government Obligations
	35,150,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		30,800,187


Par Value†		Description	Value ($)
		Belarus — 0.1%
		Foreign Government Obligations
	3,700,000	Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30		3,482,625


		Belize — 0.5%
		Foreign Government Obligations
	33,578,000	Republic of Belize, Reg S, Step Up, 4.94%, due 02/20/34		19,894,965


		Brazil — 2.6%
		Foreign Government Agency — 1.9%
GBP	12,895,000	Petrobras Global Finance BV, 6.63%, due 01/16/34		16,383,371
	65,739,000	Petrobras Global Finance BV, 6.85%, due 06/05/2115		53,741,632

				70,125,003


		Foreign Government Obligations — 0.7%
	16,897,000	Republic of Brazil, 7.13%, due 01/20/37		17,741,850
	5,000,000	Republic of Brazil, 5.00%, due 01/27/45		3,875,000
	6,340,000	Republic of Brazil, 5.63%, due 02/21/47		5,300,240

				26,917,090

		Total Brazil		97,042,093


		Cameroon — 0.1%
		Foreign Government Obligations
	4,500,000	Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25		4,590,000


		Chile — 1.0%
		Corporate Debt — 0.8%
	20,411,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97 ^(c)		26,456,738
	3,600,000	Empresa Nacional del Petroleo, Reg. S, 4.50%, due 09/14/47		3,231,000

				29,687,738


		Foreign Government Agency — 0.2%
	7,300,000	Corp Nacional del Cobre de Chile, Reg S, 4.50%, due 08/01/47		7,026,250

		Total Chile		36,713,988


		Colombia — 1.9%
		Foreign Government Agency — 1.3%
	43,011,000	Ecopetrol SA, 7.38%, due 09/18/43		48,441,139


		Foreign Government Obligations — 0.6%
	647,000	Colombia Government International Bond, 8.38%, due 02/15/27		724,721
	15,200,000	Colombia Government International Bond, 5.63%, due 02/26/44		16,476,800


10		See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		Colombia — continued
		Foreign Government Obligations — continued
	3,800,000	Republic of Colombia, 11.85%, due 03/09/28 ^(b)		5,349,582

				22,551,103

		Total Colombia		70,992,242


		Congo Republic (Brazzaville) — 1.7%
		Foreign Government Obligations
	79,089,609	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 ^(c)		64,133,764


		Costa Rica — 1.1%
		Foreign Government Agency — 0.1%
	5,500,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		4,593,875


		Foreign Government Obligations — 1.0%
	37,631,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		36,549,109

		Total Costa Rica		41,142,984


		Dominican Republic — 1.9%
		Asset-Backed Securities — 0.6%
	20,728,927	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24		21,894,929


		Foreign Government Obligations — 1.3%
	17,687,000	Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27		20,118,963
	29,811,000	Dominican Republic International Bond, Reg S, 6.85%, due 01/27/45		30,034,582

				50,153,545

		Total Dominican Republic		72,048,474


		Ecuador — 1.6%
		Foreign Government Obligations
	16,700,000	Ecuador Government International Bond, Reg S, 9.63%, due 06/02/27		15,823,250
	31,400,000	Ecuador Government International Bond, 8.88%, due 10/23/27		28,495,500
	20,100,000	Ecuador Government International Bond, 7.88%, due 01/23/28		17,185,500

		Total Ecuador		61,504,250


		Egypt — 1.0%
		Foreign Government Obligations
	1,400,000	Egypt Government International Bond, Reg S, 8.50%, due 01/31/47		1,366,750
	39,000,000	Egypt Government International Bond, 7.90%, due 02/21/48		35,880,000

		Total Egypt		37,246,750


Par Value†		Description	Value ($)
		El Salvador — 0.6%
		Foreign Government Obligations
	24,275,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		23,668,125


		Ethiopia — 0.1%
		Foreign Government Obligations
	4,190,000	Federal Democratic Republic of Ethiopia, Reg S, 6.63%, due 12/11/24		4,085,250


		Gabon — 0.4%
		Foreign Government Obligations
	15,300,000	Gabonese Republic, Reg S, 6.38%, due 12/12/24		13,903,875


		Ghana — 1.0%
		Foreign Government Agency — 0.4%
	14,700,626	Saderea, Ltd., Reg S, 12.50%, due 11/30/26		15,564,288


		Foreign Government Obligations — 0.6%
	17,482,000	Republic of Ghana, Reg S, 10.75%, due 10/14/30 ^(e)		21,262,483

		Total Ghana		36,826,771


		Greece — 0.2%
		Foreign Government Obligations
EUR	5,800,000	Hellenic Republic Government Bond, Reg S, Step Up, 3.00%, due 02/24/36		5,773,030


		Grenada — 0.2%
		Foreign Government Obligations
	7,628,287	Grenada Government International Bond, Reg S, Step Up, 7.00%, due 05/12/30		6,751,034


		Guatemala — 0.5%
		Foreign Government Obligations
	16,195,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		20,243,750


		Honduras — 0.3%
		Foreign Government Obligations
	5,516,000	Honduras Government International Bond, Reg S, 7.50%, due 03/15/24		5,922,805
	6,646,000	Honduras Government International Bond, Reg S, 6.25%, due 01/19/27		6,795,535

		Total Honduras		12,718,340


		Hungary — 0.4%
		Foreign Government Obligations
	12,084,000	Hungary Government International Bond, 7.63%, due 03/29/41		16,962,915


		See accompanying notes to the financial statements.		11

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		Indonesia — 3.5%
		Foreign Government Agency — 0.6%
	14,400,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		15,778,512
	6,100,000	Perusahaan Listrik Negara PT, 144A, 6.15%, due 05/21/48		6,458,375

				22,236,887


		Foreign Government Obligations — 2.9%
	30,000,000	Indonesia Government International Bond, 4.35%, due 01/11/48		27,862,500
	43,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		51,246,299
	28,780,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/17/42		29,844,860

				108,953,659

		Total Indonesia		131,190,546


		Iraq — 0.4%
		Foreign Government Obligations
	15,000,000	Republic of Iraq, Reg S, 5.80%, due 01/15/28		13,687,500


		Israel — 1.4%
		Foreign Government Agency
	7,243,000	Israel Electric Corp., Ltd., Reg S, 7.88%, due 12/15/26		8,836,460
JPY	2,500,000,000	Israel Electric Corp., Ltd., 4.10%, due 01/14/32 ^(c)		26,053,011
	12,798,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		16,701,390

		Total Israel		51,590,861


		Ivory Coast — 0.9%
		Foreign Government Obligations
	15,075,650	Ivory Coast Government International Bond, Reg S, Step Up, 5.75%, due 12/31/32		13,568,085
EUR	19,500,000	Ivory Coast Government International Bond, Reg. S, 6.63%, due 03/22/48		20,484,335

		Total Ivory Coast		34,052,420


		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)		4,843,600


		Foreign Government Obligations — 0.5%
	16,875,000	Jamaica Government International Bond, 7.88%, due 07/28/45		19,342,969

		Total Jamaica		24,186,569


Par Value†		Description	Value ($)
		Jordan — 0.5%
		Foreign Government Obligations
	6,887,000	Jordan Government International Bond, Reg S, 5.75%, due 01/31/27		6,404,910
	15,000,000	Jordan Government International Bond, Reg. S, 7.38%, due 10/10/47		13,762,500

		Total Jordan		20,167,410


		Kazakhstan — 1.3%
		Foreign Government Agency — 0.4%
	14,700,000	KazMunayGas National Co JSC, 144A, 6.38%, due 10/24/48		15,269,625


		Foreign Government Obligations — 0.9%
	28,499,000	Kazakhstan Government International Bond, Reg S, 6.50%, due 07/21/45		35,196,265

		Total Kazakhstan		50,465,890


		Kenya — 0.3%
		Foreign Government Obligations
	11,600,000	Kenya Government International Bond, Reg. S, 8.25%, due 02/28/48		10,759,000


		Macedonia — 0.5%
		Foreign Government Obligations
EUR	7,300,000	Macedonia Government International Bond, Reg S, 2.75%, due 01/18/25		8,399,332
EUR	8,039,000	Macedonia Government International Bond, Reg S, 5.63%, due 07/26/23		10,700,679

		Total Macedonia		19,100,011


		Mexico — 9.2%
		Foreign Government Agency — 3.8%
	4,000,000	Petroleos Mexicanos, 6.38%, due 01/23/45		3,583,480
	84,087,000	Petroleos Mexicanos, 6.75%, due 09/21/47		77,570,257
	68,851,000	Petroleos Mexicanos, Reg. S, 6.35%, due 02/12/48		60,795,433

				141,949,170


		Foreign Government Obligations — 5.4%
	138,478,000	United Mexican States, 5.75%, due 10/12/2110		138,478,000
GBP	49,396,000	United Mexican States, 5.63%, due 03/19/2114		66,219,997

				204,697,997

		Total Mexico		346,647,167


		Morocco — 0.6%
		Foreign Government Agency
	20,800,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		22,568,000


12		See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		Mozambique — 0.1%
		Foreign Government Obligations
	4,744,000	Mozambique International Bond, Reg S, 10.50%, due 01/18/23 ^(d)		3,990,890


		Nigeria — 0.4%
		Foreign Government Obligations
	10,750,000	Nigeria Government International Bond, Reg S, 7.63%, due 11/28/47		9,742,187
	7,200,000	Nigeria Government International Bond, Reg S, 7.70%, due 02/23/38		6,678,000

		Total Nigeria		16,420,187


		Oman — 0.5%
		Foreign Government Obligations
	21,700,000	Oman Government International Bond, Reg S, 6.75%, due 01/17/48		20,289,500


		Pakistan — 1.1%
		Foreign Government Obligations
	39,562,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		35,684,924
	6,000,000	Pakistan Government International Bond, Reg S, 6.88%, due 12/05/27		5,422,500

		Total Pakistan		41,107,424


		Panama — 0.6%
		Foreign Government Agency — 0.2%
	9,300,000	Aeropuerto Internacional de Tocumen SA, 144A, 6.00%, due 11/18/48		9,346,500


		Foreign Government Obligations — 0.4%
	7,851,000	Panama Government International Bond, 8.13%, due 04/28/34		10,530,154
	4,252,000	Panama Government International Bond, 4.30%, due 04/29/53		4,103,180

				14,633,334

		Total Panama		23,979,834


		Paraguay — 0.2%
		Foreign Government Obligations
	8,000,000	Republic of Paraguay, Reg S, 6.10%, due 08/11/44		8,720,000


		Peru — 1.1%
		Foreign Government Agency — 1.0%
	14,304,000	Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25 ^(c)		12,724,409
	25,895,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		25,927,369

				38,651,778


Par Value†		Description	Value ($)
		Foreign Government Obligations — 0.1%
	5,000,000	Peru Par Bond, Series 30 Yr., Step Up, 4.00%, due 03/07/27 ^(b)		4,950,000

		Total Peru		43,601,778


		Philippines — 2.8%
		Foreign Government Agency
	9,000,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 ^(c)		16,187,778
	23,300,000	Central Bank of Philippines, Series A, 8.60%, due 06/15/27		29,884,580
	42,012,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		59,289,435

		Total Philippines		105,361,793


		Qatar — 0.3%
		Foreign Government Obligations
	11,000,000	Qatar Government International Bond, 144A, 5.10%, due 04/23/48		11,302,500


		Romania — 0.2%
		Foreign Government Obligations
EUR	5,180,000	Romanian Government International Bond, Reg S, 3.88%, due 10/29/35		6,175,027


		Russia — 4.4%
		Foreign Government Agency — 2.1%
	13,575,000	Gazprom Neft OAO Via GPN Capital SA, Reg S, 4.38%, due 09/19/22		13,184,719
	41,067,000	Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34		50,307,075
	15,700,000	Sberbank of Russia Via SB Capital SA, Reg S, 5.13%, due 10/29/22		15,386,000

				78,877,794


		Foreign Government Obligations — 2.3%
	26,000,000	Russian Foreign Bond, 144A, 5.25%, due 06/23/47		24,700,000
	64,400,000	Russian Foreign Bond, Reg S, 5.25%, due 06/23/47		61,180,000

				85,880,000

		Total Russia		164,757,794


		Rwanda — 0.1%
		Foreign Government Obligations
	5,487,000	Rwanda International Government Bond, Reg S, 6.63%, due 05/02/23		5,466,424


		Saudi Arabia — 0.5%
		Foreign Government Obligations
	21,000,000	Saudi Government International Bond, 144A, 5.00%, due 04/17/49		20,763,750


		See accompanying notes to the financial statements.		13

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		Senegal — 0.2%
		Foreign Government Obligations
	7,300,000	Senegal Government International Bond, Reg S, 6.75%, due 03/13/48		6,232,375


		South Africa — 1.3%
		Foreign Government Agency — 0.3%
	3,500,000	Eskom Holdings SOC, Ltd., 144A, 8.45%, due 08/10/28		3,495,387
ZAR	163,000,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		1,560,412
	4,975,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		4,695,156
ZAR	27,300,000	Transnet, Ltd., 13.50%, due 04/18/28		2,083,755

				11,834,710


		Foreign Government Obligations — 1.0%
	21,700,000	Republic of South Africa Government International Bond, 5.65%, due 09/27/47		19,313,000
	19,900,000	Republic of South Africa Government International Bond, 6.30%, due 06/22/48		18,805,500

				38,118,500

		Total South Africa		49,953,210


		Sri Lanka — 0.9%
		Foreign Government Obligations
	11,000,000	Sri Lanka Government International Bond, 144A, 6.75%, due 04/18/28		10,587,500
	1,425,000	Sri Lanka Government International Bond, Reg S, 6.13%, due 06/03/25		1,362,656
	14,280,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26		14,047,950
	7,144,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27		6,706,430

		Total Sri Lanka		32,704,536


		Suriname — 0.4%
		Foreign Government Obligations
	16,178,000	Republic of Suriname, Reg S, 9.25%, due 10/26/26 ^(e)		15,955,552


		Trinidad And Tobago — 0.4%
		Foreign Government Agency
	6,736,000	Petroleum Company of Trinidad and Tobago Ltd., Reg S, 9.75%, due 08/14/19		6,567,600
	7,292,000	Trinidad Generation UnLtd, Reg S, 5.25%, due 11/04/27		7,142,514

		Total Trinidad And Tobago		13,710,114


Par Value†		Description	Value ($)
		Tunisia — 1.9%
		Foreign Government Agency
JPY	7,340,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 ^(c)		53,509,135
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 ^(c)		17,775,178

		Total Tunisia		71,284,313


		Turkey — 4.2%
		Foreign Government Agency — 0.4%
	3,600,000	Export Credit Bank of Turkey, 144A, 6.13%, due 05/03/24		2,736,000
	5,000,000	TC Ziraat Bankasi AS, Reg S, 5.13%, due 09/29/23		3,712,500
	12,200,000	Turkiye Vakiflar Bankasi TAO, Reg s, 5.75%, due 01/30/23 ^(e)		8,723,000

				15,171,500


		Foreign Government Obligations — 3.8%
	30,744,000	Republic of Turkey, 6.75%, due 05/30/40		24,057,180
	83,302,000	Republic of Turkey, 6.00%, due 01/14/41		59,977,440
	3,600,000	Republic of Turkey, 6.63%, due 02/17/45		2,740,500
	84,513,000	Republic of Turkey, 5.75%, due 05/11/47		58,947,817

				145,722,937

		Total Turkey		160,894,437


		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		8,137,819
	3,700,000	Ukreximbank Via Biz Finance Plc, Reg S, 9.75%, due 01/22/25		3,672,250

				11,810,069


		Foreign Government Obligations — 1.9%
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/21		5,966,334
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/22		5,913,667
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/23		6,387,450
	8,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24		8,241,600
	6,585,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25		6,181,669
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26		5,537,480


14		See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		Ukraine — continued
		Foreign Government Obligations — continued
	6,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27		6,250,790
	33,100,000	Ukraine Government International Bond, Reg S, 7.38%, due 09/25/32		28,052,250

				72,531,240

		Total Ukraine		84,341,309


		United States — 15.6%
		Asset-Backed Securities — 0.5%
	3,916,051	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + .24%, 2.30%, due 12/15/35 ◆		3,418,986
	2,078,992	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + .24%, 2.30%, due 12/15/35 ◆		2,020,914
	2,664,973	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + .20%, 2.26%, due 05/15/36 ◆		2,504,094
	10,237,145	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 2.21%, due 11/25/36 ◆		5,124,629
	10,373,640	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + .22%, 2.28%, due 11/25/36 ◆		5,226,485
	5,596,171	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + .36%, 2.42%, due 04/25/37 ◆		3,042,590

				21,337,698


		Corporate Debt — 0.1%
	385,402	AMBAC Assurance Corp., 144A, 5.10%, due 06/07/20		522,220
	1,755,213	AMBAC LSNI LLC, 144A 3 mo. LIBOR + 5.00%, 7.34%, due 02/12/23		1,777,153

				2,299,373


		U.S. Government — 15.0%
	77,930,300	U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22 ^(f)		76,288,589
	45,000,000	U.S. Treasury Note 3 mo. USD LIBOR + 0.05%, 1.25%, due 11/30/18 ^(g)		44,906,666
	200,000,000	U.S. Treasury Note, 1.50%, due 12/31/18		199,563,206
	68,000,000	U.S. Treasury Note, 1.25%, due 01/31/19		67,723,750
	27,000,000	U.S. Treasury Note, 1.38%, due 02/28/19		26,881,875
	51,500,000	U.S. Treasury Note, USBM + 0.03%, 2.12%, due 04/30/20		51,507,523


Par Value†		Description	Value ($)
		United States — continued
		U.S. Government — continued
	100,000,000	U.S. Treasury Note, USBM + 0.00%, 2.09%, due 01/31/20		99,989,232

				566,860,841

		Total United States		590,497,912


		Uruguay — 1.4%
		Foreign Government Obligations
	52,218,000	Uruguay Government International Bond, 5.10%, due 06/18/50		53,197,087


		Venezuela — 3.4%
		Foreign Government Agency — 1.4%
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 ^(d)		11,146,500
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 ^(d)		32,780,000
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 ^(d)		11,154,060

				55,080,560


		Foreign Government Obligations — 2.0%
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34 ^(d)		1,877,181
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 ^(d) (e)		4,780,785
	55,350,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 ^(d)		13,525,293
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 ^(d)		42,007,067
	51,500,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 ^(d)		13,325,625

				75,515,951

		Total Venezuela		130,596,511


		Vietnam — 0.6%
		Foreign Government Agency — 0.5%
	25,105,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		17,247,261


		Foreign Government Obligations — 0.1%
	6,428,000	Socialist Republic of Vietnam, Series 30 Yr., Variable Rate, 6 Mo. LIBOR +0.81%, 3.13%, due 03/13/28 ^(c)		5,528,080

		Total Vietnam		22,775,341


		Zambia — 0.2%
		Foreign Government Obligations
	11,300,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27 ^(e)		8,136,000


		TOTAL DEBT OBLIGATIONS (COST $3,600,965,233)		3,361,150,241


		See accompanying notes to the financial statements.		15

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		LOAN ASSIGNMENTS — 0.2%

		Indonesia — 0.0%
	408,070	Republic of Indonesia Loan Agreement, dated September 14, 1994, 6 mo. LIBOR + 0.75%, 1.25%, due 12/16/19 ^(b)		378,036
EUR	540,685	Republic of Indonesia, Indonesia Paris Club Debt, 4.00%, due 06/01/21 ^(c)		566,620

				944,656


		Kenya — 0.2%
	7,300,000	Republic of Kenya Loan Agreement, 9.17%, due 04/10/25 ^(c)		7,300,000


		TOTAL LOAN ASSIGNMENTS (COST $8,339,796)		8,244,656


		LOAN PARTICIPATIONS — 1.4%

		Angola — 0.8%
	19,112,500	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.60%, due 12/13/23 ^(c)		17,392,375
	13,714,938	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.60%, due 12/20/23 ^(c)		12,480,593

		Total Angola		29,872,968


		Egypt — 0.0%
CHF	65,516	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 ^(b)		60,406


		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	1,063,115	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 ^(b)		884,541
JPY	152,901,473	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 ^(c)		826,048


Par Value† / Shares		Description	Value ($)
		Iraq — continued
JPY	2,753,142,613	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 ^(c)		14,806,902
JPY	359,728,676	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 ^(c)		1,934,691

		Total Iraq		18,452,182


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


		TOTAL LOAN PARTICIPATIONS (COST $73,207,865)		50,837,131


		MUTUAL FUNDS — 2.6%

		United States — 2.6%
		Affiliated Issuers — 2.6%
	568,012	GMO Opportunistic Income Fund, Class VI		15,171,593
	3,251,005	GMO U.S. Treasury Fund		81,210,113


		TOTAL MUTUAL FUNDS (COST $93,156,925)		96,381,706


		RIGHTS/WARRANTS — 0.8%

		Argentina — 0.5%
JPY	740,189,000	Republic of Argentina GDP Linked, Expires 12/15/35 ^{(c) (f)}		403,968
EUR	335,089,675	Republic of Argentina GDP Linked, Expires 12/15/35 ^(f)		19,496,386

		Total Argentina		19,900,354


		Nigeria — 0.1%
	28,000	Central Bank of Nigeria Oil Warrants, Expires 11/15/20 ^{(c) (f)}		1,624,000


		Ukraine — 0.2%
	14,446,000	Government of Ukraine GDP Linked, Expires 05/31/40 ^(f)		7,764,725


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


		Venezuela — 0.0%
	1,080,062	Republic of Venezuela Oil Warrants, Expires 04/15/20 ^{(c) (f)}		1,620,093


		TOTAL RIGHTS/WARRANTS (COST $55,515,266)		30,909,172


16		See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 5.2%

		Money Market Funds — 0.8%
	31,342,999	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.88% ^(h)		31,342,999


		U.S. Government — 4.4%
	47,000,000	U.S. Treasury Bill, 1.73%, due 10/04/18 ⁽ⁱ⁾		46,924,212
	53,000,000	U.S. Treasury Bill, 1.88%, due 10/25/18 ⁽ⁱ⁾		52,850,584
	35,500,000	U.S. Treasury Bill, 1.96%, due 11/08/18 ⁽ⁱ⁾		35,369,242
	23,000,000	U.S. Treasury Bill, 2.04%, due 12/06/18 ⁽ⁱ⁾		22,875,968
	10,000,000	U.S. Treasury Bill, 2.18%, due 01/31/19 ⁽ⁱ⁾		9,909,565

		Total U.S. Government		167,929,571


		TOTAL SHORT-TERM INVESTMENTS (COST $199,257,843)		199,272,570


		TOTAL INVESTMENTS — 99.0% (Cost $4,030,442,928)		3,746,795,476
		Other Assets and Liabilities (net) — 1.0%		36,618,449


		TOTAL NET ASSETS — 100.0%		$3,783,413,925

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

Forward Currency Contracts



Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
09/19/2018	MSCI		EUR	55,027,600		USD	64,276,727		338,289
09/19/2018	JPM		GBP	12,000,000		USD	15,953,232		387,307
09/18/2018	JPM		USD	13,682,449		JPY	1,500,000,000		(170,564	)

								$	555,032

Reverse Repurchase Agreements


Face Value		Description	Value ($)
USD	8,699,070	JP Morgan Securities, Inc., 1.65%, dated 07/03/18 (collateral: Republic of Ghana, Reg S, 10.75%, 10/14/30), to be repurchased on demand at face value plus accrued interest.		(8,699,070	)
USD	11,796,571	JP Morgan Securities, Inc., 1.65%, dated 07/03/18 (collateral: Republic of Suriname, Reg S, 9.25%, 10/26/26), to be repurchased on demand at face value plus accrued interest.		(11,796,571	)
USD	7,113,084	JP Morgan Securities, Inc., 1.65%, dated 07/03/18 (collateral: Zambia Government International Bond, Reg S, 8.97%, 07/30/27), to be repurchased on demand at face value plus accrued interest.		(7,113,084	)
USD	6,948,507	JP Morgan Securities, Inc., 1.30%, dated 08/23/18 (collateral: Turkiye Vakiflar Bankasi TAO, Reg S, 5.75%, due 01/30/23), to be repurchased on demand at face value plus accrued interest.		(6,948,507	)
USD	2,375,834	JP Morgan Securities, Inc., 1.00%, dated 07/19/18 (collateral: Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19), to be repurchased on demand at face value plus accrued interest.		(2,375,834	)

			$	(36,933,066	)

		Average balance outstanding	$	(22,440,014	)
		Average interest rate		(1.97	)%
		Maximum balance outstanding	$	(70,329,039	)


		See accompanying notes to the financial statements.		17

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

Credit Linked Options



Principal / Notional Amount			Expiration Date	Descriptions	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	)		(305,746	)
Put Sold	USD	9,746,000	01/24/2024	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) ^(b)		(13,848	)		23,480
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)		(472,813	)		108,414
Put Sold	USD	46,000,000	04/13/2021	Lebanon Gap Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB) ^(b)		(947,472	)		(1,067,938	)
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)		(2,598,444	)		(1,596,442	)
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)		(707,789	)		(230,655	)

					$	(5,101,699	)	$	(3,068,887	)

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%

1.39%

N/A

06/20/2023

Quarterly

7,670,400

16,168,752

8,498,352

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-EM21	BCLY	USD	20,222,950		5.00%		5.00%		N/A			06/20/2019		Quarterly		(504,450	)		(495,462	)		8,988
Republic of Brazil	JPM	USD	50,000,000		1.00%		0.19%		N/A			06/20/2019		Quarterly		1,008,872			156,387			(852,485	)
Republic of Croatia	JPM	USD	44,000,000		1.00%		0.84%		N/A			06/20/2019		Quarterly		3,659,820			(284,514	)		(3,944,334	)
Commonwealth of Bahamas	DB	EUR	51,746,000		1.00%		1.72%		N/A			12/20/2020		Quarterly		7,730,397			985,856			(6,744,541	)
Commonwealth of Bahamas	DB	EUR	66,982,145		1.00%		4.33%		N/A			06/20/2025		Quarterly		9,635,537			3,114,978			(6,520,559	)
United States of Mexico	GS	USD	20,000,000		1.00%		2.00%		N/A			09/20/2031		Quarterly		2,640,655			1,925,127			(715,528	)

Sell Protection^:
Commonwealth of Bahamas	DB	USD	61,270,000		1.00%		1.92%		61,270,000	USD		12/20/2020		Quarterly		(7,515,364	)		(1,232,797	)		6,282,567
Republic of Malaysia	JPM	USD	10,000,000		1.00%		1.02%		10,000,000	USD		12/20/2022		Quarterly		(826,278	)		64,449			890,727
Commonwealth of Bahamas	DB	USD	3,487,000		1.00%		2.05%		3,487,000	USD		06/20/2023		Quarterly		(641,463	)		(155,845	)		485,618
Commonwealth of Bahamas	DB	USD	6,975,000		1.00%		2.05%		6,975,000	USD		06/20/2023		Quarterly		(1,263,915	)		(311,735	)		952,180
Republic of Croatia	JPM	USD	40,000,000		1.00%		1.07%		40,000,000	USD		06/20/2023		Quarterly		(6,395,816	)		(35,254	)		6,360,562


18		See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 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) ($)
Peoples Republic of Malaysia	JPM	USD	20,000,000		1.00%		3.24%		20,000,000	USD		03/20/2024		Quarterly		(932,016	)		(69,776	)		862,240
Peoples Republic of China	JPM	USD	4,873,000		1.00%		3.85%		4,873,000	USD		06/20/2024		Quarterly		3,073			69,149			66,076
Peoples Republic of China	JPM	USD	60,000,000		1.00%		0.73%		60,000,000	USD		06/20/2024		Quarterly		(2,413,417	)		851,408			3,264,825
Republic of Brazil	JPM	USD	27,250,000		1.00%		0.73%		27,250,000	USD		06/20/2024		Quarterly		(2,095,396	)		(2,986,537	)		(891,141	)
Peoples Republic of China	GS	USD	25,000,000		1.00%		0.81%		25,000,000	USD		03/20/2025		Quarterly		(744,727	)		279,261			1,023,988
Commonwealth of Bahamas	DB	USD	89,694,857		1.00%		4.60%		89,694,857	USD		06/20/2025		Quarterly		(10,800,222	)		(3,875,726	)		6,924,496
Indonesia	GS	USD	36,208,000		1.00%		1.65%		36,208,000	USD		06/20/2025		Quarterly		(3,153,880	)		(1,385,130	)		1,768,750
Indonesia	GS	USD	10,000,000		1.00%		1.65%		10,000,000	USD		06/20/2025		Quarterly		(961,768	)		(382,548	)		579,220
Peoples Republic of China	GS	USD	22,436,000		1.00%		0.83%		22,436,000	USD		06/20/2025		Quarterly		(590,310	)		227,557			817,867
Republic of Brazil	BOA	USD	4,873,000		1.00%		3.51%		4,873,000	USD		12/20/2025		Quarterly		(726,704	)		(711,759	)		14,945
Russia	GS	USD	2,436,000		1.00%		2.03%		2,436,000	USD		12/20/2025		Quarterly		(238,041	)		(154,901	)		83,140
Russia	GS	USD	8,487,000		1.00%		2.13%		8,487,000	USD		12/20/2026		Quarterly		(1,059,663	)		(653,385	)		406,278
Republic of Brazil	JPM	USD	40,000,000		1.00%		3.85%		40,000,000	USD		03/20/2030		Quarterly		(5,674,358	)		(8,875,031	)		(3,200,673	)

															$	(21,859,434	)	$	(13,936,228	)	$	7,923,206

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 August 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 USD LIBOR plus a spread of (0.35)%

3 Month USD LIBOR

JPM

EUR

122,436,000

09/11/2020

Quarterly

—

4,242,662


		See accompanying notes to the financial statements.		19

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

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		—		(1,076,320	)		(1,076,320	)
1.17%	3 Month USD LIBOR	JPM		GBP	53,411,000		03/10/2026	Quarterly		—		4,314,492			4,314,492
1.26%	3 Month USD LIBOR	JPM		EUR	1,462,000		09/04/2035	Annual		—		(33,671	)		(33,671	)

									$	—	$	3,204,501		$	3,204,501

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		—		(351,788	)		(351,788	)

								$	—	$	(351,788	)	$	(351,788	)

Notes to Schedule of Investments:

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

*	Non-income producing security.

◆	These securities are primarily backed by subprime mortgages.

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

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

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

(d)	Security is in default.

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

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

(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 (Note 4).

(h)	The rate disclosed is the 7 day net yield as of August 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.


20		See accompanying notes to the financial statements.

GMO High Yield Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Debt Obligations		75.5	%
Short-Term Investments		21.4
Mutual Funds		0.6
Swap Contracts		0.4
Forward Currency Contracts		0.1
Futures Contracts		0.0	^
Other		2.0

		100.0	%


Industry Group Summary^(a)	% of Investments
Communications		20.2	%
Consumer Cyclical		15.3
Energy		13.4
Consumer Non-Cyclical		12.4
Technology		8.6
Capital Goods		8.1
Basic Industry		6.9
Finance Companies		3.7
Electric		3.1
Banking		2.7
Insurance		2.7
Transportation		1.2
Industrial Other		0.6
REITS		0.5
Financial Other		0.3
Cash/Cash Equivalents		0.3

		100.0	%

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

^(a)

The table excludes short-term investments and mutual funds, if any. The table includes exposure through the use of certain derivative financial instruments and excludes exposures through certain currency linked derivatives such as forward currency contracts. The table takes in account the market values of securities and the notional amounts of swaps. The table is not normalized, thus the table may not total to 100%.

^	Rounds to 0.0%.

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 75.5%

		Canada — 0.9%
		Corporate Debt — 0.9%
	500,000	Canbriam Energy Inc, 144A, 9.75%, due 11/15/19		500,000
	1,400,000	Teck Resources Ltd, 6.13%, due 10/01/35		1,484,000

		Total Canada		1,984,000


		France — 0.6%
		Corporate Debt — 0.6%
	1,250,000	Credit Agricole SA, 144A, Variable Rate, 3 mo. USD LIBOR + 6.98%, 8.38%, due 10/29/49		1,303,887


		Germany — 0.5%
		Corporate Debt — 0.5%
	1,208,000	Deutsche Bank AG, 4.50%, due 04/01/25		1,129,707


		Hong Kong — 0.4%
		Corporate Debt — 0.4%
	750,000	Studio City Co Ltd, 144A, 5.88%, due 11/30/19		762,000


		Ireland — 0.5%
		Corporate Debt — 0.5%
	1,130,000	Park Aerospace Holdings Ltd, 144A, 5.50%, due 02/15/24		1,161,075


		Italy — 0.7%
		Corporate Debt — 0.7%
	500,000	Telecom Italia Capital SA, 7.20%, due 07/18/36		533,750
	1,100,000	Intesa Sanpaolo SPA, 144A, 5.02%, due 06/26/24		994,756

		Total Italy		1,528,506


		United Kingdom — 1.5%
		Corporate Debt — 1.5%
	1,000,000	Avon Products Inc, 7.00%, due 03/15/23		857,500
	500,000	Virgin Media Secured Finance Plc, 5.25%, due 01/15/21		511,875
	2,000,000	Virgin Media Secured Finance Plc, 144A, 5.25%, due 01/15/26		1,945,400

		Total United Kingdom		3,314,775


		United States — 70.4%
		Corporate Debt — 19.9%
	900,000	Allegheny Technologies, Inc., 5.95%, due 01/15/21		913,500
	500,000	Ally Financial, Inc., 8.00%, due 11/01/31		611,250
	1,625,000	Antero Resources Corp., 5.63%, due 06/01/23		1,672,206


Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	150,000	Arconic, Inc., 6.15%, due 08/15/20		156,000
	750,000	Arconic, Inc., 6.75%, due 01/15/28		766,875
	2,875,000	CCO Holdings LLC / CCO Holdings Capital Corp., 5.25%, due 09/30/22		2,894,766
	900,000	CenturyLink, Inc., 5.80%, due 03/15/22		919,980
	1,125,000	CF Industries, Inc., 4.95%, due 06/01/43		987,750
	1,625,000	CommScope Technologies LLC, 144A, 5.00%, due 03/15/27		1,580,312
	900,000	DCP Midstream Operating LP, 144A, 6.75%, due 09/15/37		969,750
	500,000	Edgewell Personal Care Co., 4.70%, due 05/19/21		503,750
	1,000,000	Embarq Corp., 8.00%, due 06/01/36		975,000
	1,550,000	EMC Corp., 3.38%, due 06/01/23		1,462,386
	1,625,000	Energy Transfer Equity LP, 5.50%, due 06/01/27		1,704,219
	750,000	Ensco Plc, 5.75%, due 10/01/44		545,625
	375,000	Equinix, Inc., REIT, 5.38%, due 01/01/22		386,175
	1,250,000	Equinix, Inc., REIT, 5.75%, due 01/01/25		1,287,500
	750,000	Freeport-McMoRan, Inc., 3.88%, due 03/15/23		721,875
	1,250,000	Frontier Communications Corp., 8.50%, due 04/15/20		1,262,500
	750,000	Genworth Holdings, Inc., 7.70%, due 06/15/20		780,000
	1,125,000	Goodyear Tire & Rubber Co. (The), 5.00%, due 05/31/26		1,056,094
	2,375,000	HCA, Inc., 4.50%, due 02/15/27		2,351,250
	875,000	KB Home, 8.00%, due 03/15/20		925,312
	1,000,000	L Brands, Inc., 6.75%, due 07/01/36		815,000
	2,250,000	LifePoint Health, Inc., 5.88%, due 12/01/23		2,357,460
	500,000	Mack-Cali Realty LP, REIT, 4.50%, due 04/18/22		488,073
	250,000	Magellan Health, Inc., 4.40%, due 09/22/24		244,214
	600,000	Murphy Oil Corp., 4.45%, due 12/01/22		598,597
	750,000	Navient Corp., 5.50%, due 01/25/23		741,555
	542,000	Nuance Communications, Inc., 144A, 5.38%, due 08/15/20		542,000
	500,000	NuStar Logistics LP, 5.63%, due 04/28/27		498,125
	500,000	Oceaneering International, Inc., 4.65%, due 11/15/24		475,431
	625,000	Sirius XM Radio, Inc., 144A, 5.38%, due 07/15/26		623,438
	500,000	Sprint Capital Corp., 8.75%, due 03/15/32		552,500
	2,450,000	Standard Industries, Inc., 144A, 5.38%, due 11/15/24		2,462,250
	1,125,000	Steel Dynamics, Inc., 5.25%, due 04/15/23		1,142,212
	1,500,000	T-Mobile USA, Inc., 5.38%, due 04/15/27		1,507,800
	250,000	Talen Energy Supply LLC, 4.60%, due 12/15/21		216,875


22		See accompanying notes to the financial statements.

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	875,000	Targa Resources Partners LP / Targa Resources Partners Finance Corp., 6.75%, due 03/15/24		918,750
	750,000	Transocean, Inc., 6.80%, due 03/15/38		617,813
	500,000	USG Corp., 144A, 4.88%, due 06/01/27		506,105
	625,000	VeriSign, Inc., 4.75%, due 07/15/27		602,344
	750,000	Williams Cos., Inc. (The), 8.75%, due 03/15/32		1,005,000
	500,000	Wyndham Destinations, Inc., 4.15%, due 04/01/24		494,000
	900,000	Yum! Brands, Inc., 5.35%, due 11/01/43		776,250

		Total Corporate Debt		43,619,867


		U.S. Government — 16.5%
	19,750,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.12%, due 04/30/20^(a)		19,752,885
	16,300,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.13%, due 07/31/20		16,298,132

		Total U.S. Government		36,051,017


		U.S. Government Agency — 34.0%
	54,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.22%, 2.12%, due 02/01/19		54,014,069
	3,300,000	Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR - 0.11%, 1.96%, due 05/28/19		3,299,509
	17,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.14%, 2.20%, due 12/26/19		17,009,238

		Total U.S. Government Agency		74,322,816

		Total United States		153,993,700


		TOTAL DEBT OBLIGATIONS (COST $164,470,213)		165,177,650


Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 0.6%

		United States — 0.6%
		Affiliated Issuers — 0.6%
	52,717	GMO U.S. Treasury Fund		1,316,876


		TOTAL MUTUAL FUNDS (COST $1,316,876)		1,316,876


		SHORT-TERM INVESTMENTS — 21.4%

		Foreign Government Obligations — 21.4%
JPY	1,731,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/10/18		15,579,420
JPY	1,731,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/01/18		15,580,542
JPY	1,731,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/05/18		15,582,677

				46,742,639


		Money Market Funds — 0.0%
	57,470	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.88%^(b)		57,470


		TOTAL SHORT-TERM INVESTMENTS (COST $46,896,434)		46,800,109


		TOTAL INVESTMENTS — 97.5% (Cost $212,683,523)		213,294,635
		Other Assets and Liabilities (net) — 2.5%		5,422,213


		TOTAL NET ASSETS — 100.0%		$218,716,848

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

Forward Currency Contracts


Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation) ($)
09/10/2018	GS	JPY	1,731,000,000	USD	15,707,875		123,891
10/01/2018	BCLY	JPY	1,731,000,000	USD	15,735,291		127,828
11/05/2018	GS	JPY	1,731,000,000	USD	15,609,853		(37,492	)

						$	214,227

Futures Contracts


Number of Contracts+	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
178	U.S. Treasury Note 10 Yr. (CBT)	December 2018		21,407,281		6,683
77	U.S. Treasury Note 2 Yr. (CBT)	December 2018		16,274,672		3,736
377	U.S. Treasury Note 5 Yr. (CBT)	December 2018		42,751,211		8,341

			$	80,433,164	$	18,760

Sales
45	U.S. Long Bond (CBT)	December 2018	$	6,489,844	$	6,906

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.


		See accompanying notes to the financial statements.		23

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 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%

3.30%

81,470,000 USD

06/20/2023

Quarterly

5,080,795

5,629,088

548,293

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	240,000		5.00%		23.52%		N/A		06/20/2022		Quarterly		57,204		66,225		9,021
Sears Roebuck Acceptance Corp.	GS	USD	360,000		5.00%		23.52%		N/A		06/20/2022		Quarterly		85,806		99,338		13,532

														$	143,010	$	165,563	$	22,553

(1)

(2)	The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

OTC Total Return Swaps


Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
1 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	BOA		USD	22,438,630		09/14/2018		At Maturity		—		98,263		98,263
1 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	CITI		USD	39,311,346		09/14/2018		At Maturity		—		167,237		167,237
1 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	CITI		USD	7,845,532		09/21/2018		At Maturity		—		20,747		20,747
1 Month USD LIBOR	Total Return on iBoxx High Yield Corp. ETF	CITI		USD	6,346,528		09/21/2018		At Maturity		—		8,765		8,765

										$	—	$	295,012	$	295,012


24		See accompanying notes to the financial statements.

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

Notes to Schedule of Investments:

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

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

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


		See accompanying notes to the financial statements.		25

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Debt Obligations		89.6	%
Mutual Funds		4.5
Short-Term Investments		3.5
Swap Contracts		2.2
Purchased Options		0.0	^
Futures Contracts		0.0	^
Written Options		(0.0	)^
Other		0.2

		100.0	%


Industry Sector Summary	% of Debt Obligations
Student Loans – Private		22.1	%
Small Balance Commercial Mortgages		16.6
Commercial Mortgage-Backed Securities		14.1
Collateralized Loan Obligations		13.7
Residential Mortgage-Backed Securities – Other		11.0
Student Loans – Federal Family Education Loan Program		5.2
Mutual Funds		4.8
Auto Retail Subprime		2.5
Residential Mortgage-Backed Securities – Prime		2.1
Residential Mortgage-Backed Securities – Alt-A		2.1
CMBS Collateralized Debt Obligations		2.1
U.S. Government Agency		1.8
Residential Mortgage-Backed Securities – Subprime		1.4
Time Share		0.5

		100.0	%

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

^	Rounds to 0.0%.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 89.6%

		Asset-Backed Securities— 87.9%
		Auto Retail Subprime— 2.3%
	1,524,850	CarFinance Capital Auto Trust, Series 14-1A, Class D, 144A, 4.90%, due 04/15/20		1,525,980
	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		4,156,202
	6,265,989	CPS Auto Receivables Trust, Series 14-B, Class D, 144A, 4.62%, due 05/15/20		6,315,214
	1,049,647	CPS Auto Receivables Trust, Series 15-C, Class D, 144A, 4.63%, due 08/16/21		1,066,382
	2,250,000	Exeter Automobile Receivables Trust, Series 14-2A, Class D, 144A, 4.93%, due 12/15/20		2,261,868
	2,159,341	Exeter Automobile Receivables Trust, Series 14-1A, Class D, 144A, 5.53%, due 02/16/21		2,161,360
	5,377,425	Flagship Credit Auto Trust, Series 14-1, Class D, 144A, 4.83%, due 06/15/20		5,399,973
	1,400,000	Flagship Credit Auto Trust, Series 14-1, Class E, 144A, 5.71%, due 08/16/21		1,407,024

		Total Auto Retail Subprime		25,367,888


		CMBS Collateralized Debt Obligations— 2.0%
	2,852,541	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class A, 144A, 5.45%, due 12/21/42		2,883,750
	8,586,000	ARCap 2005-1 Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		3,687,229
	5,297,096	Capitalsource Real Estate Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + .39%, 2.72%, due 01/20/37^(a)		5,230,882
	8,612,402	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.50%, due 03/21/46		7,923,413
	1,347,718	Sorin Real Estate CDO IV Ltd., Series 06-4A, Class C, 144A, Variable Rate, 3 mo. LIBOR + .53%, 2.87%, due 10/28/46		1,342,298

		Total CMBS Collateralized Debt Obligations		21,067,572


		Collateralized Loan Obligations— 12.9%
	18,135,165	ACIS CLO Ltd., Series 15-6A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.59%, 3.93%, due 05/01/27		18,157,816
	37,489,650	Arrowpoint CLO Ltd., Series 15-4A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.55%, 3.88%, due 04/18/27		37,583,112
	1,705,200	Atrium VIII, Series 8A, Class CR, 144A, Variable Rate, 3 mo. LIBOR+ 2.50%, 4.85%, due 10/23/24		1,706,540
	1,543,140	BFNS LLC, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.98 %, 3.32%, due 01/25/29		1,543,174


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Collateralized Loan Obligations— continued
	6,006,000	BlueMountain CLO Ltd., Series 14-3A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 2.10%, 4.44%, due 10/15/26		6,010,541
	4,504,500	Carlyle Global Market Strategies CLO Ltd., Series 14-5A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 2.05%, 4.39%, due 10/16/25		4,504,491
	8,573,000	CIFC Funding Ltd., Series 15-2A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.78%, 3.12%, due 04/15/27		8,538,159
	3,001,600	CIFC Funding Ltd., Series 12-2RA, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.15%, due 01/20/28		2,979,532
	9,875,050	Crown Point CLO II Ltd., Series 13-2A, Class A3LR, 144A, Variable Rate, 3 mo. LIBOR + 1.75%, 4.09%, due 12/31/23		9,873,549
	4,263,000	Halcyon Loan Advisors Funding Ltd., Series 12-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 5.31%, due 08/15/23		4,269,586
	1,444,096	JFIN Revolver CLO Ltd., Series 14-2A, Class C, 144A, Variable Rate 3 mo. LIBOR + 2.75%, 5.07%, due 02/20/22		1,446,487
	1,465,400	Madison Park Funding XII Ltd, Series 14-12A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 4.70%, due 07/20/26		1,466,360
	13,689,000	Saratoga Investment CLO Ltd., Series 13-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 3.36%, 5.71%, due 10/20/25		13,716,145
	5,180,434	Symphony CLO II Ltd., Series 06-2A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 3.81%, due 10/25/20		5,182,480
	2,156,750	Symphony CLO VIII LP, Series 12-8A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 3.05%, 5.39%, due 01/09/23		2,160,755
	2,944,550	Vibrant Clo III Ltd., Series 15-3A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 2.95%, 5.30%, due 04/20/26		2,948,664
	1,568,784	Voya CLO Ltd., Series 14-3A, Class A2A, 144A, Variable Rate, 3 mo. LIBOR +1.90%, 4.24%, due 07/25/26		1,569,457
	13,519,825	Zais CLO 1 Ltd., Series 14-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.4%, 3.74%, due 04/15/26		13,522,056
	2,762,417	Zais CLO 1 Ltd., Series 14-1A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + 1.85%, 4.19%, due 04/15/26		2,755,981

		Total Collateralized Loan Obligations		139,934,885


		Commercial Mortgage-Backed Securities— 13.2%
	3,144,747	Commercial Mortgage Trust, Series 05-C6, Class G, 144A, Variable Rate, 5.85%, due 06/10/44		2,356,889
	4,175,780	Core Industrial Trust, Series 15-TEXW, Class C, 144A, 3.73%, due 02/10/34		4,186,033
	1,454,200	Core Industrial Trust, Series 15-TEXW, Class D, 144A, Variable Rate, 3.98%, due 02/10/34		1,454,843


		See accompanying notes to the financial statements.		27

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Commercial Mortgage-Backed Securitiess— continued
	3,550,200	Core Industrial Trust, Series 15-TEXW, Class E, 144A, Variable Rate, 3.98%, due 02/10/34		3,511,504
	5,151,600	Core Industrial Trust, Series 15-WEST, Class C, 144A, 3.49%, due 02/10/37		5,040,047
	23,260,500	Core Industrial Trust, Series 15-WEST, Class E, 144A, Variable Rate, 4.37%, due 02/10/37		22,839,350
	2,665,373	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + .25%, 2.31%, due 04/15/37		2,546,156
	1,223,732	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		1,208,757
	10,742,760	GS Mortgage Securities Corp., Series 16-RENT, Class E, 144A, Variable Rate, 4.20%, due 02/10/29		10,582,975
	10,459,601	GS Mortgage Securities Corp., Series 16-GS2, Class D, 144A, 2.75%, due 05/10/49		8,550,965
	4,264,000	GS Mortgage Securities Trust, Series 11-GC3, Class F, 144A, Variable Rate, 5.00%, due 03/10/44		3,681,544
	16,659,820	GS Mortgage Securities Trust, Series 11-GC3, Class D, 144A, Variable Rate, 5.83%, due 03/10/44		16,955,490
	15,187,775	Hyatt Hotel Portfolio Trust, Series 17-HYT2, Class G, 144A, Variable Rate, 1 mo. LIBOR + 4.15%, 6.21%, due 08/09/32		15,273,285
	2,432,859	JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-CB9, Class F, 144A, Variable Rate, 5.47%, due 06/12/41		2,311,216
	5,389,564	JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-C3, Class H, 144A, Variable Rate, 6.01%, due 01/15/42		5,405,760
	1,488,623	Morgan Stanley Dean Witter Capital I Trust, Series 01-TOP3, Class E, 144A, Variable Rate, 7.86%, due 07/15/33		1,572,598
	8,543,000	Union Station District of Columbia, Series 2018-USDC, Class E, 144A, 4.49%, due 05/09/38		8,304,480
	8,270,894	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 3.80%, due 03/23/45		8,260,775
	3,434,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.67%, due 04/16/35		3,328,835
	8,563,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.67%, due 04/16/35		7,952,250
	8,471,000	West Town Mall Trust, Series 17-KNOX, Class E, 144A, Variable Rate, 4.49%, due 07/05/30		8,066,434

		Total Commercial Mortgage-Backed Securities		143,390,186


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Residential Mortgage-Backed Securities —Other— 10.3%
	1,329,214	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + .28%, 2.34%, due 02/25/36		706,857
	20,896,391	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + .36%, 2.42%, due 02/25/36		3,703,342
	5,860,949	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		5,425,681
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		3,321,509
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		1,194,581
	754,330	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + .32%, 2.38%, due 02/25/37		709,119
	5,579,386	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,267,650
	7,708,818	Conseco Financial Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		7,704,215
	3,097,697	Conseco Financial Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,875,439
	2,262,212	Countrywide Home Equity Loan Trust, Series 07-E, Class A, FSA, Variable Rate, 1 mo. LIBOR + .15%, 2.21%, due 06/15/37		2,065,896
	687,818	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .50%, 2.56%, due 10/25/34		643,827
	9,112,807	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37		9,213,568
	7,309,036	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.61%, due 09/25/35		4,119,261
	31,563,134	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + .26%, 2.32%, due 06/25/36		3,943,915
	16,133,972	Home Loan Trust, Series 07-HI1, Class A4, Step Up, 5.93%, due 03/25/37		9,644,282
	4,308,431	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + .32%, 2.38%, due 03/25/36		866,925
	732,284	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.31%, due 02/26/34		692,299
	14,421,908	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + .20%, 2.26%, due 03/25/36		1,223,221
	8,226,552	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + .34%, 2.40%, due 03/25/36		697,622
	21,932,893	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + .40%, 2.46%, due 03/25/36		1,859,793


28		See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Residential Mortgage-Backed Securities — Other— continued
	1,916,669	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + .90%, 2.96%, due 08/25/35		2,161,726
	8,613,755	Oakwood Mortgage Investors, Inc., Series 99-C, Class A2, 7.48%, due 08/15/27		8,427,485
	1,592,175	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,678,737
	2,828,176	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		2,865,943
	5,998,408	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		5,512,756
	11,023,673	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		5,424,388
	1,436,566	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		1,248,100
	1,951,412	PHH Mortgage Trust, Series 07-1SL, Class M2, 144A, Step Up, 7.00%, due 12/25/27		2,230,946
	18,913,849	Residential Funding Mortgage Securities II, Series 06-HI4, Class A4, Step Up, 6.22%, due 09/25/36		14,928,071
	1,503,492	SACO I Trust, Series 05-10, Class 2A1, Variable Rate, 1 mo. LIBOR + .52%, 2.58%, due 01/25/36		1,503,499

		Total Residential Mortgage-Backed Securities — Other		111,860,653


		Residential Mortgage-Backed Securities — Prime— 2.0%
	2,217,405	Bear Stearns ARM Trust, Series 05-6, Class 3A1, Variable Rate, 4.38%, due 08/25/35		2,178,775
	2,122,321	Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 4.73%, due 10/25/35		2,147,053
	1,295,603	Citigroup Mortgage Loan Trust, Series 05-3, Class 2A2, Variable Rate, 4.35%, due 08/25/35		1,299,447
	3,090,279	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.80%, due 12/25/36		2,961,610
	2,319,796	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.75%, due 03/25/37		2,248,059
	3,443,553	RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 4.57%, due 09/25/35		3,431,759
	2,262,785	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 4.11%, due 09/25/35		2,301,515
	1,968,499	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, COFI + 1.25, 2.18%, due 01/25/47		1,909,843
	3,222,489	Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 07-5, Class A6, 6.00%, due 06/25/37		3,224,386

		Total Residential Mortgage-Backed Securities —Prime		21,702,447


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Residential Mortgage-Backed Securities — Subprime— 1.4%
	1,788,863	Asset Backed Funding Certificates, Step Up, 4.81%, due 06/25/35		1,831,877
	2,578,393	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 2.36%, due 05/26/37		2,496,824
	4,697,831	Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + .11%, 2.17%, due 04/25/31		6,273,195
	2,224,728	Credit Suisse First Boston Mortgage Securities Corp., Series 02-22, Class 2M2, Variable Rate, due 06/25/32		2,291,211
	1,703,513	Meritage Mortgage Loan Trust, Series 05-2, Class M2, Variable Rate, 1 mo. LIBOR + .75%, 2.81%, due 11/25/35		1,727,462

		Total Residential Mortgage-Backed Securities —Subprime		14,620,569


		Residential Mortgage-Backed Securities — Alt-A— 2.0%
	2,061,073	Adjustable Rate Mortgage Trust, Series 05-1, Class 5M1, Variable Rate, 1 mo. LIBOR + 1.05%, 3.11%, due 05/25/35		2,067,117
	2,522,050	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + .70%, 2.76%, due 05/25/36		1,576,293
	2,532,862	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + .70%, 2.76%, due 10/25/36		1,695,007
	5,166,936	Bear Stearns ARM Trust, Series 07-1, Class 2A1, Variable Rate, 3.87%, due 02/25/47		5,273,426
	3,788,505	Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34		3,878,452
	7,092,284	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.88%, due 07/25/36		5,277,865
	1,807,477	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		1,866,852

		Total Residential Mortgage-Backed Securities — Alt-A		21,635,012


		Small Balance Commercial Mortgages— 15.6%
	8,448,000	Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.41%, due 08/05/38		7,363,540
	638,897	Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.56%, 2.90%, due 04/25/34		625,195
	355,303	Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.20%, 3.86%, due 04/25/34		353,268
	619,141	Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.90%, 4.91%, due 04/25/34		621,140


		See accompanying notes to the financial statements.		29

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Small Balance Commercial Mortgages— continued
	6,135,214	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .31%, 2.37%, due 08/25/35		5,831,218
	3,296,700	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .39%, 2.45%, due 01/25/36		3,095,320
	1,880,236	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .38%, 2.44%, due 04/25/36		1,771,061
	2,578,414	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .23%, 2.29%, due 07/25/36		2,491,660
	5,274,178	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .28%, 2.34%, due 07/25/36		5,112,189
	7,493,056	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.31%, due 10/25/36		7,140,938
	895,763	Bayview Commercial Asset Trust, Series 06-3A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .30%, 2.36%, due 10/25/36		855,667
	2,691,555	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .24%, 2.30%, due 07/25/37		2,566,571
	11,402,507	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .27%, 2.33%, due 07/25/37		10,973,774
	6,071,136	Bayview Commercial Asset Trust, Series 07-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .32%, 2.38%, due 07/25/37		5,709,478
	2,448,365	Bayview Commercial Asset Trust, Series 07-6A, Class A3B, 144A, Variable Rate, 1 mo. LIBOR + .85%, 2.91%, due 12/25/37		2,422,782
	20,953,338	Bayview Commercial Asset Trust, Series 07-6A, Class A3A, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 3.31%, due 12/25/37		20,925,061
	3,300,000	Core Industrial Trust, Series 15-WEST, Class D, 144A, Variable Rate, 4.37%, due 02/10/37		3,329,187
	21,022,087	GE Business Loan Trust, Series 06-1X, Class A, Variable Rate, 1 mo. LIBOR + .20%, 2.26%, due 05/15/34		20,394,517
	2,358,239	GE Business Loan Trust, Series 06-2A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.18%, 2.24%, due 11/15/34		2,316,208
	5,326,826	GE Business Loan Trust, Series 07-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .17%, 2.23%, due 04/15/35		5,222,966
	4,271,986	GE Business Loan Trust, Series 07-1A, Class D, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 3.06%, due 04/16/35		3,877,957
	2,692,701	Lehman Brothers Small Balance Commercial, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .31%, 2.37%, due 04/25/31		2,692,538


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Small Balance Commercial Mortgages— continued
	7,540,867	Lehman Brothers Small Balance Commercial, Series 06-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .29%, 2.35%, due 09/25/36		7,500,100
	2,585,627	Lehman Brothers Small Balance Commercial, Series 06-3A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + .20%, 2.26%, due 12/25/36		2,565,984
	4,300,000	Lehman Brothers Small Balance Commercial, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .40%, 2.46%, due 06/25/37		4,104,353
	4,441,609	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.31%, due 02/25/30		4,367,123
	1,744,539	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .40%, 2.46%, due 09/25/30		1,733,895
	2,002,843	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + .52%, 2.58%, due 09/25/30		1,973,530
	5,445,606	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 144A, Variable Rate, 1 mo. LIBOR + .53%, 2.59%, due 04/25/31		5,238,332
	2,022,599	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 3.06%, due 04/25/31		1,923,102
	2,554,500	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-2A, Class M2, 144A, Variable Rate, 1 mo. LIBOR + .39%, 2.45%, due 09/25/36		2,453,854
	2,563,200	Morgan Stanley Capital I Trust, Series 12-STAR, Class C, 144A, 3.85%, due 08/05/34		2,567,046
	854,400	Morgan Stanley Capital I Trust, Series 12-STAR, Class D, 144A, 4.06%, due 08/05/34		855,110
	1,773,858	Velocity Commercial Capital Loan Trust, Series 16-2, Class AFL, Variable Rate, 1 mo. LIBOR + 1.80%, 3.86%, due 10/25/46		1,788,172
	9,503,550	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class C, 144A, Variable Rate, 3.37%, due 12/27/49		9,501,429
	3,430,400	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class D, 144A, Variable Rate, 3.74%, due 12/27/49		3,438,414
	2,585,664	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 3.90%, due 12/27/49		2,582,718

		Total Small Balance Commercial Mortgages		168,285,397


30		See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Student Loans — Federal Family Education Loan Program— 4.9%
	8,238,923	AccessLex Institute, Series 04-2, Class A3, Variable Rate, 3 mo. LIBOR + .19%, 2.53%, due 10/25/24		8,139,661
	18,185,119	AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + .70%, 3.04%, due 01/25/43		16,363,714
	16,255,656	AccessLex Institute, Series 07-1, Class A4, Variable Rate 3 mo. LIBOR + 0.06%, 2.40%, due 01/25/23		15,961,541
	5,357,926	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + .32%, 2.66%, due 03/28/35^(a)		5,036,451
	6,648,426	KeyCorp Student Loan Trust, Series 04-A, Class 1A2, Variable Rate, 3 mo. LIBOR + 0.24%, 2.58%, due 10/27/42		6,514,498
	1,255,232	South Carolina Student Loan Corp., Series 14-1, Class A1, Variable Rate, 1 mo. LIBOR + .75%, 2.83%, due 05/01/30		1,260,751

		Total Student Loans — Federal Family Education Loan Program		53,276,616


		Student Loans — Private— 20.8%
	6,408,127	Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .80%, 3.14%, due 07/25/34		6,174,823
	2,082,902	Access Group, Inc., Series 03-A, Class A2, Variable Rate, 3 mo. USBM +1.20%, 3.28%, due 07/01/38		2,083,319
	6,063,317	KeyCorp Student Loan Trust, Series 05-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.73%, 3.07%, due 09/27/38		6,030,903
	31,059,920	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + .48%, 2.82%, due 12/27/41		30,561,064
	3,123,725	KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 3.14%, due 04/28/42		3,037,153
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 3.59%, due 07/28/42		4,702,163
	2,407,810	L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 0.50%, 2.56%, due 10/15/28		2,325,450
	18,250,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 5.16%, due 03/31/38^(a)		8,942,500
	7,147,991	National Collegiate Commutation Trust, Series 07-3, Class A3L, 144A, Variable Rate 1 mo. LIBOR + .84%, 2.92%, due 03/31/38		2,793,583
	5,300,541	National Collegiate Student Loan Trust, Variable 1 mo. LIBOR + .38%, 2.44%, due 10/25/33		5,117,217
	870,416	National Collegiate Student Loan Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .21%, 2.27%, due 11/25/27		868,284


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Student Loans — Private— continued
	18,577	National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate 1 mo. LIBOR + 0.25%, 2.31%, due 03/27/28		18,573
	1,371,631	National Collegiate Student Loan Trust, Series 06-3, Class A4, Variable Rate, 1 mo. LIBOR + .27%, 2.33%, due 03/26/29		1,354,224
	3,050,355	National Collegiate Student Loan Trust, Series 05-2, Class A4, Variable Rate, 1 mo. LIBOR + .27%, 2.33%, due 09/25/29		3,026,762
	16,597,764	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate 1 mo. LIBOR + 0.24%, 2.30%, due 07/25/30		16,369,621
	8,685,000	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + .31%, 2.37%, due 05/25/32		7,980,486
	12,960,000	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + .35%, 2.41%, due 03/25/33		12,297,877
	12,763,500	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 2.43%, due 06/25/33		11,944,895
	8,514,000	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 2.37%, due 10/25/33		7,460,726
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 5.16%, due 03/25/38^(a)		23,000
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 5.50%, due 03/25/38^(a)		70,500
	10,865,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 4.28%, due 06/15/32^(a)		10,862,827
	5,500,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 4.34%, due 09/15/32^(a)		5,499,450
	3,509,557	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 3.94%, due 09/15/32		1,199,540
	9,000,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + .43%, 2.77%, due 09/15/33		8,651,794
	4,881,794	SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .28%, 2.62%, due 12/15/38		4,821,541
	29,081,181	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + .29%, 2.63%, due 06/15/39		28,391,474
	19,660,920	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + .33%, 2.67%, due 06/15/39		19,200,033
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + .39%, 2.73%, due 12/15/39		2,100,851


		See accompanying notes to the financial statements.		31

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		Asset-Backed Securities— continued
		Student Loans — Private— continued
	11,296,810	South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. LIBOR + 1.50%, 3.56%, due 01/25/36		11,403,409

		Total Student Loans — Private		225,314,042


		Time Share— 0.5%
	533,206	BXG Receivables Note Trust, Series 12-A, Class B, 144A, 3.99%, due 12/02/27		529,473
	1,942,050	BXG Receivables Note Trust, Series 13-A, Class B, 144A, 4.00%, due 12/04/28		1,931,469
	1,125,036	Marriott Vacation Club Owner Trust, Series 12-1A, Class B, 144A, Variable Rate, 3.50%, due 05/20/30		1,118,713
	1,770,700	Westgate Resorts LLC, Series 17-1A, Class A, 144A, 3.05%, due 12/20/30		1,752,870

		Total Time Share		5,332,525

		Total Asset-Backed Securities		951,787,792


		U.S. Government— 0.2%
	2,800,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.12%, due 04/30/20^(b)		2,800,409


		U.S. Government Agency— 1.5%
	95,586	Agency for International Development Floater (Support of Jamaica), Variable Rate, 3 mo. LIBOR + .30%, 2.33%, due 10/01/18^(c)		95,499
	6,418,750	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR – .02%, 2.52%, due 02/01/25^(c)		6,202,825
	6,375,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + .15%, 2.69%, due 10/29/26^(c)		6,157,818


Par Value†		Description	Value ($)
		U.S. Government Agency— continued
	3,525,000	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR, 2.54%, due 07/01/23^(c)		3,435,320

		Total U.S. Government Agency		15,891,462


		TOTAL DEBT OBLIGATIONS (COST $953,762,170)		970,479,663


		MUTUAL FUNDS — 4.5%

		United States— 4.5%
		Affiliated Issuers — 4.5%
	1,952,608	GMO U.S. Treasury Fund		48,776,146


		TOTAL MUTUAL FUNDS (COST $48,776,146)		48,776,146


		SHORT-TERM INVESTMENTS — 3.5%

		Money Market Funds— 0.7%
	7,129,966	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.88%^(d)		7,129,966


		Repurchase Agreements— 2.8%
	29,978,268	Barclays Bank plc Repurchase Agreement, dated 8/31/18, maturing on 9/4/18 with a maturity value of $29,984,830 and an effective yield of 1.97%, collateralized by a U.S. Treasury Note with maturity date 05/15/25 and a market value of $30,581,994.		29,978,268


		TOTAL SHORT-TERM INVESTMENTS (COST $37,108,234)	$	37,108,234

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

MSCS

106.00

09/19/18

USD 21,120,000

Fixed Spread

Pay

31,941

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

BOA

106.50

09/19/18

USD 25,344,000

Fixed Spread

Pay

75,115

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

BCLY

106.00

09/19/18

USD 21,115,000

Fixed Spread

Pay

31,934

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

MSCS

62.50

09/19/18

USD 84,480,000

Fixed Spread

Pay

60,818

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

62.50

09/19/18

USD 84,460,000

Fixed Spread

Pay

60,804


						Total Options on Credit Default Swaps – Puts			260,612


						TOTAL PURCHASED OPTIONS (COST $314,869)			260,612


						TOTAL INVESTMENTS — 97.6% (Cost $1,039,961,419)			1,056,624,655
						Other Assets and Liabilities (net) — 2.4%			26,277,007


						TOTAL NET ASSETS — 100.0%			$1,082,901,662


32		See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

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

Futures Contracts



Number of Contracts +		Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
	Buys
	652	U.S. Treasury Note 2 Yr. (CBT)	December 2018		137,806,313		31,636
	1,130	U.S. Treasury Note 5 Yr. (CBT)	December 2018		128,140,235		25,000
	178	U.S. Treasury Ultra 10 Yr. (CBT)	December 2018		22,792,344		(4,442	)

				$	288,738,892	$	52,194

+	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

BOA

101.00

09/19/18

USD

(21,027,500

)

Fixed Spread

Pay

(3,195)

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

MSCS

85.00

09/19/18

USD

(84,130,000

)

Fixed Spread

Pay

(4,541)

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

BOA

85.00

09/19/18

USD

(84,130,000

)

Fixed Spread

Pay

(4,541)

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

MSCS

101.00

10/17/18

USD

(21,120,000

)

Fixed Spread

Pay

(15,585)

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

MSCS

85.00

10/17/18

USD

(84,480,000

)

Fixed Spread

Pay

(24,548)

TOTAL WRITTEN OPTIONS ON CREDIT DEFAULT SWAPS — PUTS
(Premiums $163,443)

(52,410)

Swap Contracts

Centrally Cleared Credit Default Swaps


Reference Entity	Notional Amount		Annual Premium		Implied Credit Spread⁽¹⁾		Maximum Potential Amount of Future Payments by the Fund Under the Contract⁽²⁾		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HYS.27.V1-5Y	USD	25,022,200		5.00%		2.54%		N/A		12/20/2021		Quarterly		(1,825,591	)		(1,824,776	)		815

Sell Protection^:
CDX.NA.IGS.28.V1-5Y	USD	17,200,000		1.00%		0.49%		17,200,000 USD		06/20/2022		Quarterly		300,982			316,721			15,739

													$	(1,524,609	)	$	(1,508,055	)	$	16,554


		See accompanying notes to the financial statements.		33

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

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%		0.50%		N/A		12/20/2020		Quarterly		369,771			(428,013	)		(797,784	)
CDX.NA.HYS.25.V1-5Y	JPM	USD	4,343,000		5.00%		0.69%		N/A		12/20/2020		Quarterly		(26,058	)		(422,468	)		(396,410	)
CDX.NA.HYS.25.V1-5Y	JPM	USD	8,543,000		5.00%		0.69%		N/A		12/20/2020		Quarterly		(847,893	)		(831,026	)		16,867
CDX.NA.IGS.25.V1-5Y	BOA	USD	4,400,000		1.00%		2.49%		N/A		12/20/2020		Quarterly		710,600			(29,153	)		(739,753	)
CDX.NA.IGS.25.V1-5Y	CITI	USD	4,300,000		1.00%		0.71%		N/A		12/20/2020		Quarterly		547,891			(28,490	)		(576,381	)
CDX.NA.HYS.27.V2-5Y	GS	USD	8,580,000		5.00%		1.78%		N/A		12/20/2021		Quarterly		21,450			(874,793	)		(896,243	)
CDX.NA.HYS.27.V2-5Y	JPM	USD	4,300,000		5.00%		1.78%		N/A		12/20/2021		Quarterly		(11,825	)		(438,416	)		(426,591	)
D.R. HORTON INC	BCLY	USD	17,200,000		1.00%		1.78%		N/A		06/20/2022		Quarterly		(165,250	)		(308,782	)		(143,532	)
CDX.NA.HYS.29.V1-5Y	JPM	USD	6,425,250		5.00%		3.35%		N/A		12/20/2022		Quarterly		(282,711	)		(423,623	)		(140,912	)
CDX.NA.HYS.29.V1-5Y	MSCS	USD	3,450,800		5.00%		3.35%		N/A		12/20/2022		Quarterly		(188,414	)		(227,515	)		(39,101	)
Navient Corp.	BCLY	USD	2,576,400		5.00%		0.64%		N/A		12/20/2022		Quarterly		(208,665	)		(250,201	)		(41,536	)
Navient Corp.	BCLY	USD	2,576,400		5.00%		2.49%		N/A		12/20/2022		Quarterly		(198,694	)		(250,201	)		(51,507	)
Navient Corp.	BCLY	USD	3,435,200		5.00%		2.49%		N/A		12/20/2022		Quarterly		(264,646	)		(333,602	)		(68,956	)
CMBX.NA.AS.7	BOA	USD	4,505,000		1.00%		0.71%		N/A		01/17/2047		Monthly		47,352			(81,474	)		(128,826	)
CMBX.NA.AS.7	DB	USD	16,677,794		1.00%		0.62%		N/A		01/17/2047		Monthly		197,705			(301,620	)		(499,325	)
CMBX.NA.AS.7	GS	USD	4,400,000		1.00%		0.62%		N/A		01/17/2047		Monthly		112,812			(79,575	)		(192,387	)
CMBX.NA.AS.7	MSCS	USD	13,270,000		1.00%		0.62%		N/A		01/17/2047		Monthly		205,782			(239,990	)		(445,772	)
CMBX.NA.AA.8	CSI	USD	8,892,000		1.50%		1.40%		N/A		10/17/2057		Monthly		247,717			(46,305	)		(294,022	)
CMBX.NA.AS.8	MSCS	USD	3,384,000		1.00%		0.72%		N/A		10/17/2057		Monthly		140,432			(53,060	)		(193,492	)
CMBX.NA.AS.8	CGMI	USD	8,892,000		1.00%		0.72%		N/A		10/17/2057		Monthly		73,095			(139,424	)		(212,519	)
CMBX.NA.BBB-.8	CGMI	USD	4,223,000		3.00%		4.80%		N/A		10/17/2057		Monthly		392,728			376,128			(16,600	)
CMBX.NA.BBB-.8	GS	USD	4,224,000		3.00%		4.80%		N/A		10/17/2057		Monthly		400,908			376,217			(24,691	)
CMBX.NA.BBB-.8	GS	USD	8,650,000		3.00%		4.80%		N/A		10/17/2057		Monthly		1,299,082			770,425			(528,657	)
CMBX.NA.AAA.9	DB	USD	4,292,500		0.50%		0.45%		N/A		09/17/2058		Monthly		(5,380	)		(15,081	)		(9,701	)
CMBX.NA.AAA.9	DB	USD	21,462,500		0.50%		0.45%		N/A		09/17/2058		Monthly		(23,012	)		(75,403	)		(52,391	)
CMBX.NA.AAA.9	GS	USD	874,200		0.50%		0.45%		N/A		09/17/2058		Monthly		48,015			(3,071	)		(51,086	)
CMBX.NA.BBB-.9	DB	USD	4,400,000		3.00%		4.42%		N/A		09/17/2058		Monthly		950,085			352,982			(597,103	)
CMBX.NA.BBB-.9	MSCS	USD	8,528,000		3.00%		4.42%		N/A		09/17/2058		Monthly		974,545			684,143			(290,402	)
CMBX.NA.BBB-.9	DB	USD	4,263,000		3.00%		4.42%		N/A		09/17/2058		Monthly		517,160			341,991			(175,169	)
CMBX.NA.BBB-.9	GS	USD	1,760,000		3.00%		4.42%		N/A		09/17/2058		Monthly		346,611			141,193			(205,418	)
CMBX.NA.BBB-.10	GS	USD	2,551,200		3.00%		4.12%		N/A		11/17/2059		Monthly		236,632			179,718			(56,914	)
Sell Protection^:
CDX-NA.HYS.27.V3-5Y	JPM	USD	8,543,000		5.00%		0.64%		8,543,000 USD		12/20/2021		Quarterly		1,230,192			1,190,271			(39,921	)
CDX-NA.HYS.27.V3-5Y	JPM	USD	12,672,000		5.00%		0.64%		12,672,000 USD		12/20/2021		Quarterly		1,795,622			1,765,553			(30,069	)
CDX.NA.HYS.27.V2-5Y	GS	USD	12,870,000		5.00%		0.64%		12,870,000 USD		12/20/2021		Quarterly		1,657,013			1,793,140			136,127
CDX.NA.HYS.27.V2-5Y	JPM	USD	8,600,000		5.00%		0.64%		8,600,000 USD		12/20/2021		Quarterly		1,143,800			1,198,213			54,413
CDX.NA.HYS.27.V3-5Y	BOA	USD	8,545,000		5.00%		2.49%		8,545,000 USD		12/20/2021		Quarterly		1,369,764			1,190,550			(179,214	)
CDX.NA.HYS.29.V1-5Y	BOA	USD	25,885,000		5.00%		2.49%		25,885,000 USD		12/20/2022		Quarterly		4,283,968			3,829,000			(454,968	)
CDX.NA.HYS.29.V1-5Y	MSCS	USD	10,233,600		5.00%		1.35%		10,233,600 USD		12/20/2022		Quarterly		1,547,320			1,513,790			(33,530	)
CDX.NA.HYS.29.V1-5Y	JPM	USD	42,835,000		5.00%		0.40%		42,835,000 USD		12/20/2022		Quarterly		9,136,706			7,832,831			(1,303,875	)
CDX.NA.HYS.29.V1-5Y	BOA	USD	5,115,600		5.00%		1.37%		5,115,600 USD		12/20/2022		Quarterly		742,274			756,718			14,444
CDX.NA.HYS.29.V1-5Y	MSCS	USD	21,567,500		5.00%		0.40%		21,567,500 USD		12/20/2022		Quarterly		4,121,549			3,943,845			(177,704	)

														$	32,646,033		$	22,355,422		$	(10,290,611	)


34		See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

(1)

(2)	The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

Centrally Cleared Interest Rate Swaps


Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1.27%	3 Month USD LIBOR	USD	10,495,000		03/10/2021	Quarterly		—			403,154			403,154
2.55%	3 Month USD LIBOR	USD	21,181,000		03/16/2021	Quarterly		144,649			156,077			11,428
2.10%	3 Month USD LIBOR	USD	8,447,000		11/24/2021	Quarterly		149,033			201,071			52,038
2.59%	3 Month USD LIBOR	USD	3,584,000		02/09/2022	Quarterly		462			33,621			33,159
2.90%	3 Month USD LIBOR	USD	7,624,000		06/22/2022	Quarterly		—			(9,313	)		(9,313	)
2.06%	3 Month USD LIBOR	USD	11,981,000		11/10/2022	Quarterly		163,222			384,135			220,913
2.15%	3 Month USD LIBOR	USD	8,477,000		10/13/2024	Quarterly		164,029			345,830			181,801
2.00%	3 Month USD LIBOR	USD	19,668,000		04/16/2025	Quarterly		(91,173	)		1,072,950			1,164,123
1.65%	3 Month USD LIBOR	USD	9,022,000		05/19/2026	Quarterly		252,588			794,875			542,287
2.88%	3 Month USD LIBOR	USD	7,356,000		06/04/2028	Quarterly		—			23,934			23,934
3.00%	3 Month USD LIBOR	USD	6,581,000		07/30/2028	Quarterly		—			(47,727	)		(47,727	)

							$	782,810		$	3,358,607		$	2,575,797

OTC Total Return Swaps


Fund Pays	Fund Receives		Counterparty	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on iBoxx USD Liquid Leverage Loans Index		3 Month USD LIBOR	JPM		USD	40,000,000	12/20/2018		Quarterly		—		(218,064	)		(218,064	)
Total Return on iBoxx USD Liquid Leverage Loans Index		3 Month USD LIBOR	MSCS		USD	25,000,000	12/20/2018		Quarterly		—		(143,837	)		(143,837	)

										$	—	$	(361,901	)	$	(361,901	)

Notes to Schedule of Investments:

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

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

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

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

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


		See accompanying notes to the financial statements.		35

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary	% of Total Net Assets
Short-Term Investments		102.2	%
Other		(2.2	)

		100.0	%

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 102.2%

		U.S. Government— 78.4%
	1,000,000	U.S. Treasury Bill, 0.64%, due 09/06/18^(a)		999,895
	28,024,000	U.S. Treasury Bill, 1.65%, due 09/27/18^(a)		27,989,937
	56,815,300	U.S. Treasury Bill, 1.73%, due 10/04/18^(a)		56,723,685
	109,426,900	U.S. Treasury Bill, 1.80%, due 10/11/18^(a)		109,206,185
	7,562,000	U.S. Treasury Bill, 2.18%, due 01/31/19^(a)		7,493,613
	19,127,500	U.S. Treasury Bill, 2.18%, due 02/07/19^(a)		18,946,291
	22,241,200	U.S. Treasury Note, 0.75%, due 10/31/18		22,196,719
	44,482,500	U.S. Treasury Note, 1.00%, due 11/30/18		44,364,083
	31,137,700	U.S. Treasury Note, 1.25%, due 11/30/18		31,073,117
	22,241,200	U.S. Treasury Note, 1.50%, due 12/31/18		22,192,626
	17,793,000	U.S. Treasury Note, 0.75%, due 02/15/19		17,674,148
	22,241,200	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.14%, due 10/31/19		22,254,924
	101,108,700	U.S. Treasury Note, Variable Rate, USBM + 0.00%, 2.09%, due 01/31/20		101,097,813
	145,902,600	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.12%, due 04/30/20		145,923,913
	22,241,200	U.S. Treasury Note, Variable Rate USBM + 0.04%, 2.13%, due 07/31/20		22,238,651

		TOTAL U.S. GOVERNMENT (COST $650,322,827)		650,375,600


		U.S. Government Agency— 18.0%
	22,240,000	Federal Home Loan Banks, 0.88%, due 10/01/18		22,218,227
	11,120,000	Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – .09%, 1.98%, due 01/14/19		11,120,737
	44,480,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – .16%, 2.18%, due 01/28/19		44,503,203
	11,120,000	Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – .08%, 1.99%, due 04/26/19		11,120,579
	24,470,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – .16%, 2.18%, due 02/07/20		24,473,942
	35,590,000	Federal Home Loan Banks, Variable Rate 3 mo. USD LIBOR – .23%, 2.11%, due 05/04/20		35,569,854


		TOTAL U.S. GOVERNMENT AGENCY (COST $149,010,286)		149,006,542


		Money Market Funds— 0.1%
	1,277,616	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.88%^(b)		1,277,616


Par Value†		Description	Value ($)
		Repurchase Agreements— 5.7%
	47,000,628	Barclays Bank plc Repurchase Agreement, dated 8/31/18, maturing on 9/4/18 with a maturity value of $47,010,916 and an effective yield of 1.97%, collateralized by a U.S. Treasury Note with maturity date 05/15/25 and a market value of $47,947,163.		47,000,628


		TOTAL SHORT-TERM INVESTMENTS (COST $847,611,357)		847,660,386


		TOTAL INVESTMENTS — 102.2% (Cost $847,611,357)		847,660,386
		Other Assets and Liabilities (net) — (2.2%)		(18,477,042	)


		TOTAL NET ASSETS — 100.0%		$829,183,344

Notes to Schedule of Investments:

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

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

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


		See accompanying notes to the financial statements.		37

GMO Trust Funds

Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

Portfolio Abbreviations:

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

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

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

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

CDO - Collateralized Debt Obligation

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

CJSC - Closed Joint-Stock Company

CLO - Collateralized Loan Obligation

CMBS - Commercial Mortgage Backed Security

CMT - Constant Maturity Treasury

COFI - Cost of Funds Index

CP - Counterparty

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

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

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

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

GDP - Gross Domestic Product

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

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

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.

REIT - Real Estate Investment Trust

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona

TBA - To Be Announced-Delayed Delivery Security

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

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

VRRB - Variable Rate Reduction Bond

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

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

Counterparty Abbreviations:

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CITI - Citibank N.A.

CGMI - Citigroup Global Markets Inc.

CSI - Credit Suisse International

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

MSCS - Morgan Stanley Capital Services LLC

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

ZAR - South African Rand


38		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2018 (Unaudited)


	Asset Allocation Bond Fund		Core Plus Bond Fund		Emerging Country Debt Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	21,380,716	$	219,663,321	$	96,381,706
Investments in unaffiliated issuers, at value (Note 2)^(b)		423,373,478		628,334,003		3,650,413,770
Foreign currency, at value (Note 2)^(c)		—		10		—
Cash		—		65		252
Receivable for investments sold		79,618,699		48,842,593		—
Receivable for Fund shares sold		—		—		64,230,445
Receivable for closed swap contracts (Note 4)		418,197		200,654		—
Dividends and interest receivable		725,534		1,208,990		50,818,474
Unrealized appreciation on open forward currency contracts (Note 4)		1,401,890		3,639,627		725,596
Receivable for variation margin on open futures contracts (Note 4)		—		54,547		—
Receivable for variation margin on open cleared swap contracts (Note 4)		170,817		—		419,388
Due from broker (Note 2)		2,010,378		5,318,333		8,651,776
Receivable for open OTC swap contracts (Note 4)		—		—		16,231,326
Interest receivable for open OTC swap contracts (Note 4)		—		—		959,118
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		21,137		103,084		5,857
Receivable for options (Note 4)^(d)		—		—		131,894
Miscellaneous receivable		—		—		184,864

Total assets		529,120,846		907,365,227		3,889,154,466

Liabilities:
Due to custodian		180		—		—
Payable for investments purchased		47,325		—		—
Payable for Fund shares repurchased		94,261,936		42,053,036		40,000,000
Payable for purchases of delayed delivery securities		—		118,710,843		—
Payable to affiliate for (Note 5):
Management fee		112,390		167,310		1,129,777
Shareholder service fee		39,002		68,771		375,116
Payable to agents unaffiliated with GMO		191		168		727
Payable for variation margin on open cleared swap contracts (Note 4)		—		645,147		—
Payable for closed swap contracts (Note 4)		325,868		158,538		—
Unrealized depreciation on open forward currency contracts (Note 4)		1,592,903		3,123,863		170,564
Interest payable for open OTC swap contracts (Note 4)		—		—		715,901
Payable for open OTC swap contracts (Note 4)		—		—		22,720,391
Payable for reverse repurchase agreements (Note 2)		—		—		36,933,066
Payable for options (Note 4)^(d)		—		—		3,200,781
Payable to Trustees and related expenses		5,041		2,587		11,079
Accrued expenses		187,502		124,718		483,139

Total liabilities		96,572,338		165,054,981		105,740,541

Net assets	$	432,548,508	$	742,310,246	$	3,783,413,925

^(a) Cost of investments – affiliated issuers:	$	21,380,716	$	219,026,965	$	93,156,925
^(b) Cost of investments – unaffiliated issuers:	$	427,456,882	$	638,442,147	$	3,937,286,003
^(c) Cost of foreign currency:	$	—	$	10	$	—
^(d) Premiums on options:	$	—	$	—	$	5,101,699


		See accompanying notes to the financial statements.		39

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)


	Asset Allocation Bond Fund			Core Plus Bond Fund			Emerging Country Debt Fund
Net assets consist of:
Paid-in capital	$	489,954,073		$	772,576,330		$	4,170,084,165
Accumulated undistributed (distributions in excess of) net investment income		17,471,244			9,395,007			(27,272,676	)
Accumulated net realized gain (loss)		(70,846,595	)		(31,158,028	)		(101,689,090	)
Net unrealized appreciation (depreciation)		(4,030,214	)		(8,503,063	)		(257,708,474	)

	$	432,548,508		$	742,310,246		$	3,783,413,925

Net assets attributable to:
Class III	$	83,097,382		$	43,441,899		$	1,223,579,794

Class IV	$	—		$	698,868,347		$	2,559,834,131

Class VI	$	349,451,126		$	—		$	—

Shares outstanding:
Class III		3,730,363			2,047,184			45,498,905

Class IV		—			32,843,694			95,321,929

Class VI		15,630,115			—			—

Net asset value per share:
Class III	$	22.28		$	21.22		$	26.89

Class IV	$	—		$	21.28		$	26.85

Class VI	$	22.36		$	—		$	—


40		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)


	High Yield Fund		Opportunistic Income Fund		U.S. Treasury Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	1,316,876	$	48,776,146	$	—
Investments in unaffiliated issuers, at value (Note 2)^(b)		211,977,759		1,007,848,509		847,660,386
Cash		—		58,767		21
Receivable for Fund shares sold		60,462,236		—		—
Receivable for closed swap contracts (Note 4)		—		488,287		—
Dividends and interest receivable		1,186,569		3,442,622		1,140,911
Unrealized appreciation on open forward currency contracts (Note 4)		251,719		—		—
Receivable for variation margin on open futures contracts (Note 4)		64,977		189,782		—
Receivable for variation margin on open cleared swap contracts (Note 4)		120,859		—		—
Due from broker (Note 2)		3,626,822		1,824,000		—
Receivable for open OTC swap contracts (Note 4)		460,575		28,236,708		—
Interest receivable for open OTC swap contracts (Note 4)		—		1,591,458		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		80,971		35,085		130,968
Receivable for options (Note 4)(d)		—		—		—
Miscellaneous receivable		—		—		—

Total assets		279,549,363		1,092,491,364		848,932,286

Liabilities:
Payable for investments purchased		11,244		49,638		—
Payable for Fund shares repurchased		60,589,214		—		19,087,500
Payable to affiliate for (Note 5):
Management fee		64,770		367,264		109,117
Shareholder service fee		10,178		50,500		—
Payable to agents unaffiliated with GMO		38		206		420
Payable for variation margin on open cleared swap contracts (Note 4)		—		125,002		—
Payable for closed swap contracts (Note 4)		—		1,920,702		—
Dividend payable		—		—		406,682
Unrealized depreciation on open forward currency contracts (Note 4)		37,492		—		—
Interest payable for open OTC swap contracts (Note 4)		6,083		583,196		—
Payable for open OTC swap contracts (Note 4)		—		6,243,187		—
Written options outstanding, at value (Note 4)^(c)		—		52,410		—
Payable to Trustees and related expenses		529		3,466		5,373
Accrued expenses		112,967		194,131		139,850

Total liabilities		60,832,515		9,589,702		19,748,942

Net assets	$	218,716,848	$	1,082,901,662	$	829,183,344

^(a) Cost of investments – affiliated issuers:	$	1,316,876	$	48,776,146	$	—
^(b) Cost of investments – unaffiliated issuers:	$	211,366,647	$	991,185,273	$	847,611,357
^(c) Premiums on written options:	$	—	$	163,443	$	—


		See accompanying notes to the financial statements.		41

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)


	High Yield Fund		Opportunistic Income Fund			U.S. Treasury Fund
Net assets consist of:
Paid-in capital	$	214,419,851	$	1,148,417,155		$	831,170,353
Accumulated undistributed (distributions in excess of) net investment income		830,243		19,474,044			—
Accumulated net realized gain (loss)		1,749,891		(93,755,839	)		(2,036,038	)
Net unrealized appreciation (depreciation)		1,716,863		8,766,302			49,029

	$	218,716,848	$	1,082,901,662		$	829,183,344

Net assets attributable to:
Core Class	$	—	$	—		$	829,183,344

Class VI	$	218,716,848	$	1,082,901,662		$	—

Shares outstanding:
Core Class		—		—			33,197,421

Class VI		10,721,117		40,540,085			—

Net asset value per share:
Core Class	$	—	$	—		$	24.98

Class VI	$	20.40	$	26.71		$	—


42		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2018 (Unaudited)


	Asset Allocation Bond Fund			Core Plus Bond Fund			Emerging Country Debt Fund
Investment Income:
Interest	$	17,051,461		$	3,623,403		$	101,282,657
Dividends from affiliated issuers (Note 10)		237,627			2,153,754			906,174
Dividends from unaffiliated issuers		28,773			2,420,938			563,534

Total investment income		17,317,861			8,198,095			102,752,365

Expenses:
Management fee (Note 5)		1,101,678			1,105,922			7,021,258
Shareholder service fee – Class III (Note 5)		145,166			29,826			949,378
Shareholder service fee – Class IV (Note 5)		—			422,486			1,373,155
Shareholder service fee – Class VI (Note 5)		189,142			—			—
Audit and tax fees		44,001			45,147			79,903
Custodian, fund accounting agent and transfer agent fees		82,736			81,589			346,813
Legal fees		14,276			15,709			28,937
Registration fees		1,488			2,771			7,836
Trustees’ fees and related expenses (Note 5)		12,952			10,290			45,441
Interest expense (Note 2)		—			3,631			214,800
Miscellaneous		5,332			5,488			33,839

Total expenses		1,596,771			1,722,859			10,101,360
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(138,208	)		(140,314	)		—
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			(448,084	)		(30,452	)
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		—			(73,701	)		(4,187	)

Net expenses		1,458,563			1,060,760			10,066,721

Net investment income (loss)		15,859,298			7,137,335			92,685,644

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(9,425,171	)		(2,910,536	)		5,388,334
Investments in affiliated issuers		(15,659	)		737,344			—
Futures contracts		—			1,264,909			—
Options		—			—			70,000
Swap contracts		666,232			1,089,740			7,401,897
Forward currency contracts		1,184,981			1,719,992			7,902,011
Foreign currency and foreign currency related transactions		43,881			100,942			277,071

Net realized gain (loss)		(7,545,736	)		2,002,391			21,039,313

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		6,502,743			(3,601,084	)		(323,937,912	)
Investments in affiliated issuers		—			(1,674,383	)		202,914
Investments in securities sold short		—			—			—
Futures contracts		—			(435,317	)		—
Written options		—			—			(3,210,846	)
Swap contracts		1,505,460			2,913,646			19,526,095
Forward currency contracts		1,446,179			9,352,266			(1,402,074	)
Foreign currency and foreign currency related transactions		14,352			—			(414,909	)

Net change in unrealized appreciation (depreciation)		9,468,734			6,555,128			(309,236,732	)

Net realized and unrealized gain (loss)		1,922,998			8,557,519			(288,197,419	)

Net increase (decrease) in net assets resulting from operations	$	17,782,296		$	15,694,854		$	(195,511,775	)


		See accompanying notes to the financial statements.		43

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2018 (Unaudited) — (Continued)


	High Yield Fund^(a)			Opportunistic Income Fund			U.S. Treasury Fund
Investment Income:
Interest	$	1,033,664		$	23,250,811		$	19,492,631
Dividends from affiliated issuers (Note 10)		17,539			383,902			—
Dividends from unaffiliated issuers		2,357			54,595			6,579

Total investment income		1,053,560			23,689,308			19,499,210

Expenses:
Management fee (Note 5)		138,886			2,261,458			844,545
Shareholder service fee – Class III (Note 5)		—			—			—
Shareholder service fee – Class IV (Note 5)		—			—			—
Shareholder service fee – Class VI (Note 5)		21,825			310,950			—
Organizational expenses		138,574			—			—
Audit and tax fees		23,145			62,465			18,367
Custodian, fund accounting agent and transfer agent fees		12,059			108,546			111,444
Legal fees		1,811			71,666			13,759
Registration fees		4,588			1,028			704
Trustees’ fees and related expenses (Note 5)		942			13,131			24,781
Interest expense (Note 2)		20,638			18,889			—
Miscellaneous		5,026			19,635			7,919

Total expenses		367,494			2,867,768			1,021,519
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(144,177	)		(198,590	)		(992,445	)

Net expenses		223,317			2,669,178			29,074

Net investment income (loss)		830,243			21,020,130			19,470,136

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		33,851			12,322,261			(709,175	)
Investments in affiliated issuers		—			(40,186	)		—
Investments in securities sold short		—			333,555			—
Futures contracts		22,520			604,530			—
Written options		—			583,963			—
Swap contracts		1,509,108			499,477			—
Forward currency contracts		108,242			(5,155	)		—
Foreign currency and foreign currency related transactions		76,170			(6,443	)		—

Net realized gain (loss)		1,749,891			14,292,002			(709,175	)*

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		611,112			(9,879,427	)		1,256,117
Investments in affiliated issuers		—			23,383			—
Investments in securities sold short		—			(494,647	)		—
Futures contracts		25,666			17,161			—
Written options		—			(152,176	)		—
Swap contracts		865,858			(4,202,294	)		—
Forward currency contracts		214,227			17,898			—
Foreign currency and foreign currency related transactions		—			(34	)		—

Net change in unrealized appreciation (depreciation)		1,716,863			(14,670,136	)		1,256,117

Net realized and unrealized gain (loss)		3,466,754			(378,134	)		546,942

Net increase (decrease) in net assets resulting from operations	$	4,296,997		$	20,641,996		$	20,017,078

^(a) Period from June 25, 2018 (commencement of operations) through August 31, 2018.
* For the details related to in-kind redemption realized gain (loss) please refer to Note 6.


44		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets


	Asset Allocation Bond Fund						Core Plus Bond Fund
	Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018			Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	15,859,298		$	20,940,318		$	7,137,335		$	17,999,886
Net realized gain (loss)		(7,545,736	)		694,506			2,002,391			8,423,203
Change in net unrealized appreciation (depreciation)		9,468,734			(19,218,760	)		6,555,128			(17,657,057	)


Net increase (decrease) in net assets from operations		17,782,296			2,416,064			15,694,854			8,766,032

Distributions to shareholders from:
Net investment income
Class III		(1,443,569	)		(2,024,013	)		(174,777	)		(332,939	)
Class IV		—			—			(3,055,497	)		(23,549,157	)
Class VI		(5,659,469	)		(10,978,139	)		—			—

Total distributions from net investment income		(7,103,038	)		(13,002,152	)		(3,230,274	)		(23,882,096	)

Net share transactions (Note 9):
Class III		(126,632,696	)		(73,760,828	)		8,189,800			12,381,895
Class IV		—			—			(233,621,573	)		369,406,029
Class VI		(677,641,164	)		(181,503,566	)		—			—

Increase (decrease) in net assets resulting from net share transactions		(804,273,860	)		(255,264,394	)		(225,431,773	)		381,787,924

Total increase (decrease) in net assets		(793,594,602	)		(265,850,482	)		(212,967,193	)		366,671,860

Net assets:
Beginning of period		1,226,143,110			1,491,993,592			955,277,439			588,605,579

End of period	$	432,548,508		$	1,226,143,110		$	742,310,246		$	955,277,439

Accumulated undistributed (distributions in excess of) net investment income	$	17,471,244		$	8,714,984		$	9,395,007		$	5,487,946


		See accompanying notes to the financial statements.		45

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Emerging Country Debt Fund						High Yield Fund
	Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018			Period from June 25, 2018 (commencement of operations) through August 31, 2018 (Unaudited)
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	92,685,644		$	190,864,386		$	830,243
Net realized gain (loss)		21,039,313			86,872,155			1,749,891
Change in net unrealized appreciation (depreciation)		(309,236,732	)		(51,980,538	)		1,716,863


Net increase (decrease) in net assets from operations		(195,511,775	)		225,756,003			4,296,997

Distributions to shareholders from:
Net investment income
Class III		(17,088,236	)		(72,600,877	)		—
Class IV		(35,795,942	)		(207,887,262	)		—

Total distributions from net investment income		(52,884,178	)		(280,488,139	)		—

Net share transactions (Note 9):
Class III		27,875,371			220,374,650			—
Class IV		(134,223,114	)		(118,629,623	)		—
Class VI		—			—			214,419,851

Increase (decrease) in net assets resulting from net share transactions		(106,347,743	)		101,745,027			214,419,851

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		637,514			1,028,334			—
Class IV		1,354,875			2,878,920			—

Increase in net assets resulting from purchase premiums and redemption fees		1,992,389			3,907,254			—

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(104,355,354	)		105,652,281			214,419,851

Total increase (decrease) in net assets		(352,751,307	)		50,920,145			218,716,848
Net assets:
Beginning of period		4,136,165,232			4,085,245,087			—

End of period	$	3,783,413,925		$	4,136,165,232		$	218,716,848

Accumulated undistributed (distributions in excess of) net investment income	$	(27,272,676	)	$	(67,074,142	)	$	830,243


46		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Opportunistic Income Fund						U.S. Treasury Fund
	Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018			Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	21,020,130		$	55,173,815		$	19,470,136		$	24,320,611
Net realized gain (loss)		14,292,002			(3,342,915	)		(709,175	)		(1,278,414	)
Change in net unrealized appreciation (depreciation)		(14,670,136	)		10,426,708			1,256,117			(1,139,646	)


Net increase (decrease) in net assets from operations		20,641,996			62,257,608			20,017,078			21,902,551

Distributions to shareholders from:
Net investment income
Core Class		—			—			(19,470,136	)		(24,320,611	)
Class VI		(8,575,128	)		(32,473,748	)		—			—

Total distributions from net investment income		(8,575,128	)		(32,473,748	)		(19,470,136	)		(24,320,611	)

Net share transactions (Note 9):
Core Class		—			—			(1,496,069,163	)		(339,573,514	)
Class VI		(136,292,026	)		(336,644,785	)		—			—

Increase (decrease) in net assets resulting from net share transactions		(136,292,026	)		(336,644,785	)		(1,496,069,163	)		(339,573,514	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class VI		1,172,551			1,921,360			—			—

Increase in net assets resulting from purchase premiums and redemption fees		1,172,551			1,921,360			—			—

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(135,119,475	)		(334,723,425	)		(1,496,069,163	)		(339,573,514	)

Total increase (decrease) in net assets		(123,052,607	)		(304,939,565	)		(1,495,522,221	)		(341,991,574	)

Net assets:
Beginning of period		1,205,954,269			1,510,893,834			2,324,705,565			2,666,697,139

End of period	$	1,082,901,662		$	1,205,954,269		$	829,183,344		$	2,324,705,565

Accumulated undistributed (distributions in excess of) net investment income	$	19,474,044		$	7,029,042		$	—		$	—


		See accompanying notes to the financial statements.		47

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

ASSET ALLOCATION BOND FUND


	Class III Shares																								Class VI Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014				Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	21.95			$	22.15			$	22.16			$	26.36			$	24.57			$	24.43			$	22.02			$	22.23			$	22.21			$	26.40			$	24.60			$	24.46

Income (loss) from investment operations:
Net investment income (loss)^(a)^†			0.39				0.33				0.18				0.01				0.38				0.00	^(b)			0.40				0.36				0.21				0.06				0.22				0.03
Net realized and unrealized gain (loss)			0.12				(0.31	)			(0.19	)			(2.58	)			2.48				0.17				0.12				(0.33	)			(0.19	)			(2.61	)			2.68				0.16

Total from investment operations			0.51				0.02				(0.01	)			(2.57	)			2.86				0.17				0.52				0.03				0.02				(2.55	)			2.90				0.19

Less distributions to shareholders:
From net investment income			(0.18	)			(0.22	)			—				(1.63	)			(0.67	)			(0.03	)			(0.18	)			(0.24	)			—				(1.64	)			(0.70	)			(0.05	)
From net realized gains			—				—				—				—				(0.40	)			—				—				—				—				—				(0.40	)			—

Total distributions			(0.18	)			(0.22	)			—				(1.63	)			(1.07	)			(0.03	)			(0.18	)			(0.24	)			—				(1.64	)			(1.10	)			(0.05	)

Net asset value, end of period		$	22.28			$	21.95			$	22.15			$	22.16			$	26.36			$	24.57			$	22.36			$	22.02			$	22.23			$	22.21			$	26.40			$	24.60

Total Return^(c)			2.33	%**			0.07	%			(0.05	)%			(9.88	)%			11.92	%			0.72	%			2.38	%**			0.12	%			0.09	%			(9.79	)%			12.05	%			0.79	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	83,097			$	207,008			$	282,272			$	352,828			$	421,910			$	260,775			$	349,451			$	1,019,135			$	1,209,721			$	1,888,505			$	4,652,197			$	2,849,433
Net operating expenses to average daily net assets			0.41	%*^(e)			0.41	%			0.41	%^(e)			0.40	%^(e)			0.40	%^(e)			0.40	%^(d)(e)			0.31	%*^(e)			0.31	%			0.31	%^(e)			0.31	%^(e)			0.31	%^(e)			0.31	%^(d)(e)
Interest and/or dividend expenses to average daily net assets			—				0.00	%^(f)(g)			0.00	%^(f)(g)			0.02	%^(f)			0.01	%^(f)			0.00	%^(f)(g)			—				0.00	%^(f)(g)			0.00	%^(f)(g)			0.02	%^(f)			0.01	%^(f)			0.00	%^(f)(g)
Total net expenses to average daily net assets			0.41	%*^(e)			0.41	%			0.41	%^(e)			0.42	%^(e)			0.41	%^(e)			0.40	%^(e)			0.31	%*^(e)			0.31	%			0.31	%^(e)			0.33	%^(e)			0.32	%^(e)			0.31	%^(e)
Net investment income (loss) to average daily net assets^(a)			3.47	%*			1.50	%			0.81	%			0.03	%			1.49	%			0.01	%			3.63	%*			1.59	%			0.94	%			0.27	%			0.84	%			0.13	%
Portfolio turnover rate			42	%**^(h)			89	%			130	%^(h)			177	%			177	%			32	%			42	%**^(h)			89	%			130	%^(h)			177	%			177	%			32	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.02	%			0.02	%			0.03	%			0.02	%			0.02	%			0.03	%*			0.02	%			0.02	%			0.03	%			0.02	%			0.02	%

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

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

^(c)

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

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

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

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

^(g)	Ratio is less than 0.01%.

^(h)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the year ended February 28, 2017, including transactions in USTF, was 57% and 126%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


48		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CORE PLUS BOND FUND


	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)				Six Months Ended August 31, 2018 (Unaudited)				2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)
Net asset value, beginning of period		$	20.93			$	21.10			$	21.39			$	23.43			$	22.35			$	22.23			$	20.98			$	21.15			$	21.45			$	23.49			$	22.41			$	22.29

Income (loss) from investment operations:
Net investment income (loss)^(b)^†			0.17				0.41				0.26				0.24				0.21				0.21				0.17				0.46				0.24				0.27				0.21				0.21
Net realized and unrealized gain (loss)			0.21				(0.06	)			0.25				(1.14	)			1.83				0.24				0.21				(0.10	)			0.29				(1.17	)			1.83				0.27

Total from investment operations			0.38				0.35				0.51				(0.90	)			2.04				0.45				0.38				0.36				0.53				(0.90	)			2.04				0.48

Less distributions to shareholders:
From net investment income			(0.09	)			(0.52	)			(0.80	)			(1.14	)			(0.96	)			(0.33	)			(0.08	)			(0.53	)			(0.83	)			(1.14	)			(0.96	)			(0.36	)

Total distributions			(0.09	)			(0.52	)			(0.80	)			(1.14	)			(0.96	)			(0.33	)			(0.08	)			(0.53	)			(0.83	)			(1.14	)			(0.96	)			(0.36	)

Net asset value, end of period		$	21.22			$	20.93			$	21.10			$	21.39			$	23.43			$	22.35			$	21.28			$	20.98			$	21.15			$	21.45			$	23.49			$	22.41

Total Return^(c)			1.80	%**			1.61	%			2.44	%			(3.93	)%			9.25	%			2.15	%			1.84	%**			1.68	%			2.55	%			(3.91	)%			9.32	%			2.15	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	43,442			$	34,641			$	22,172			$	52,187			$	51,045			$	48,632			$	698,868			$	920,637			$	566,433			$	215,060			$	191,054			$	191,571
Net operating expenses to average daily net assets^(d)			0.29	%*			0.29	%			0.35	%			0.35	%			0.37	%			0.38	%			0.24	%*			0.24	%			0.30	%			0.30	%			0.32	%			0.33	%
Interest and/or dividend expenses to average daily net assets^(e)			0.00	%^(f)*			0.00	%^(f)			0.00	%^(f)			0.01	%			0.00	%^(f)			0.00	%^(f)			0.00	%^(f)*			0.00	%^(f)			0.00	%^(f)			0.01	%			0.00	%^(f)			0.00	%^(f)
Total net expenses to average daily net assets^(d)			0.29	%*			0.29	%			0.35	%			0.36	%			0.37	%			0.38	%			0.24	%*			0.24	%			0.30	%			0.31	%			0.32	%			0.33	%
Net investment income (loss) to average daily net assets^(b)			1.63	%*			1.91	%			1.21	%			1.14	%			0.89	%			0.95	%			1.61	%*			2.14	%			1.10	%			1.17	%			0.94	%			0.99	%
Portfolio turnover rate			100	%^(g)**			198	%^(g)			216	%^(g)			21	%			128	%			87	%			100	%^(g)**			198	%^(g)			216	%^(g)			21	%			128	%			87	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:^(h)			0.15	%*			0.14	%			0.30	%			0.21	%			0.15	%			0.12	%			0.15	%*			0.14	%			0.26	%			0.21	%			0.15	%			0.12	%

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

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

^(c)

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

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

^(f)	Ratio is less than 0.01%.

^(g)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 118%, 221% and 325%, respectively, of the average value of its portfolio.

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

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		49

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND


	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)				Six Months Ended August 31, 2018 (Unaudited)				2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)
Net asset value, beginning of period		$	28.62			$	28.99			$	26.01			$	28.47			$	29.31			$	31.02			$	28.57			$	28.95			$	25.98			$	28.44			$	29.28			$	30.99

Income (loss) from investment operations:
Net investment income (loss)^(b)^†			0.65				1.36				1.94				1.53				1.77	^(c)			1.80				0.65				1.39				1.95				1.53				1.80	^(c)			1.80
Net realized and unrealized gain (loss)			(2.00	)			0.32				3.01	^(d)			(2.04	)			(0.03	)			(1.77	)			(1.99	)			0.29				3.01	^(d)			(2.01	)			(0.06	)			(1.74	)

Total from investment operations			(1.35	)			1.68				4.95				(0.51	)			1.74				0.03				(1.34	)			1.68				4.96				(0.48	)			1.74				0.06

Less distributions to shareholders:
From net investment income			(0.38	)			(2.05	)			(1.97	)			(1.95	)			(2.58	)			(1.74	)			(0.38	)			(2.06	)			(1.99	)			(1.98	)			(2.58	)			(1.77	)

Total distributions			(0.38	)			(2.05	)			(1.97	)			(1.95	)			(2.58	)			(1.74	)			(0.38	)			(2.06	)			(1.99	)			(1.98	)			(2.58	)			(1.77	)

Net asset value, end of period		$	26.89			$	28.62			$	28.99			$	26.01			$	28.47			$	29.31			$	26.85			$	28.57			$	28.95			$	25.98			$	28.44			$	29.28

Total Return^(e)			(4.75	)%**			5.81	%			19.47	%			(1.77	)%			6.03	%			0.27	%			(4.71	)%**			5.83	%			19.50	%			(1.73	)%			6.07	%			0.33	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,223,580			$	1,273,188			$	1,067,086			$	827,667			$	746,182			$	582,639			$	2,559,834			$	2,862,977			$	3,018,159			$	3,099,809			$	3,262,104			$	2,465,331
Net operating expenses to average daily net assets^(f)			0.53	%*			0.53	%			0.54	%			0.54	%			0.56	%			0.56	%^(g)			0.48	%*			0.48	%			0.49	%			0.49	%			0.51	%			0.51	%^(g)
Interest and/or dividend expenses to average daily net assets^(h)			0.01	%			0.00	%⁽ⁱ⁾			—				0.00	%⁽ⁱ⁾			—				—				0.01	%			0.00	%⁽ⁱ⁾			—				0.00	%⁽ⁱ⁾			—				—
Total net expenses to average daily net assets^(f)			0.54	%*			0.53	%			0.54	%			0.54	%			0.56	%			0.56	%^(g)			0.49	%*			0.48	%			0.49	%			0.49	%			0.51	%			0.51	%^(g)
Net investment income (loss) to average daily net assets^(b)			4.59	%*			4.57	%			6.76	%			5.58	%			5.86	%^(j)			5.99	%			4.63	%*			4.67	%			6.81	%			5.60	%			5.93	%^(j)			6.02	%
Portfolio turnover rate			9	%^(k)**			34	%^(k)			21	%^(k)			20	%			18	%			27	%			9	%^(k)**			34	%^(k)			21	%^(k)			20	%			18	%			27	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:^(l)			0.00	%*⁽ⁱ⁾			0.00	%⁽ⁱ⁾			0.00	%⁽ⁱ⁾			0.00	%⁽ⁱ⁾			0.00	%⁽ⁱ⁾			—				0.00	%*⁽ⁱ⁾			0.00	%⁽ⁱ⁾			0.00	%⁽ⁱ⁾			0.00	%⁽ⁱ⁾			0.00	%⁽ⁱ⁾			—
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.03			$	0.04	^(a)		$	0.04	^(a)		$	0.06	^(a)		$	0.05	^(a)		$	0.01			$	0.03			$	0.04	^(a)		$	0.04	^(a)		$	0.06	^(a)		$	0.05	^(a)

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

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

^(c)

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

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

^(e)

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

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

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

⁽ⁱ⁾	Ratio is less than 0.01%.

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

^(k)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 9%, 33% and 23%, respectively, of the average value of its portfolio.

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

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


50		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

HIGH YIELD FUND


	Class VI Shares
	Period from June 25, 2018 (commencement of operations) through August 31, 2018 (Unaudited)
Net asset value, beginning of period		$	20.00

Income (loss) from investment operations:
Net investment income (loss)^(a)^†			0.08
Net realized and unrealized gain (loss)			0.32

Total from investment operations			0.40

Net asset value, end of period		$	20.40

Total Return^(b)			2.00	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	218,717
Net operating expenses to average daily net assets^(c)			0.51	%*
Interest and/or dividend expenses to average daily net assets^(d)			0.05	%*
Total net expenses to average daily net assets^(c)			0.56	%*
Net investment income (loss) to average daily net assets^(a)			2.09	%*
Portfolio turnover rate^(e)			17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.36	%*

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

^(b)

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

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

^(e)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018, including transactions in USTF, was 32% of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		51

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND


	Class VI Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015^(a)				2014^(a)(b)
Net asset value, beginning of period		$	26.41			$	25.78			$	24.57			$	24.80			$	24.22			$	24.22

Income (loss) from investment operations:
Net investment income (loss)^(c)^†			0.50				1.15				0.96				0.53				0.54				0.84
Net realized and unrealized gain (loss)			0.03				0.18				0.89				(0.34	)			0.42				0.14

Total from investment operations			0.53				1.33				1.85				0.19				0.96				0.98

Less distributions to shareholders:
From net investment income			(0.23	)			(0.70	)			(0.64	)			(0.42	)			(0.38	)			(0.56	)
From net realized gains			—				—				—				—				—				(0.42	)

Total distributions			(0.23	)			(0.70	)			(0.64	)			(0.42	)			(0.38	)			(0.98	)

Net asset value, end of period		$	26.71			$	26.41			$	25.78			$	24.57	^(d)		$	24.80			$	24.22

Total Return^(e)			2.00	%**			5.18	%			7.62	%			0.77	%			3.98	%			4.27	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,082,902			$	1,205,954			$	1,510,894			$	1,648,019			$	1,790,805			$	2,111,080
Net operating expenses to average daily net assets^(f)			0.47	%*			0.47	%			0.33	%			0.31	%			0.31	%			0.31	%^(g)
Interest and/or dividend expenses to average daily net assets⁽ⁱ⁾			0.00	%*^(h)			0.00	%^(h)			0.00	%^(h)			0.00	%^(h)			0.00	%^(h)			—
Total net expenses to average daily net assets^(f)			0.47	%*			0.47	%			0.33	%			0.31	%			0.31	%			0.31	%^(g)
Net investment income (loss) to average daily net assets^(c)			3.72	%*			4.39	%			3.82	%			2.13	%			2.18	%			3.51	%
Portfolio turnover rate			48	%**^(j)			152	%^(j)			66	%^(j)			66	%			37	%			30	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%			0.03	%			0.04	%			0.03	%			0.03	%			0.02	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):^†		$	0.03			$	0.04			$	0.03			$	0.04			$	0.03			$	0.05

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

^(b)

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

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

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

^(e)

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

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

^(h)	Ratio is less than 0.01%.

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

^(j)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 57%, 175% and 75%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


52		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. TREASURY FUND


	Core Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	24.97			$	25.00			$	25.00			$	25.00			$	25.00			$	25.00

Income (loss) from investment operations:
Net investment income (loss)^†			0.23				0.26				0.12				0.04				0.01				0.02
Net realized and unrealized gain (loss)			0.01				(0.03	)			0.01				0.00				0.00	^(a)			0.01

Total from investment operations			0.24				0.23				0.13				0.04				0.01				0.03

Less distributions to shareholders:
From net investment income			(0.23	)			(0.26	)			(0.12	)			(0.03	)			(0.01	)			(0.02	)
From net realized gains			—				—				(0.01	)			(0.01	)			(0.00	)^(b)			(0.01	)

Total distributions			(0.23	)			(0.26	)			(0.13	)			(0.04	)			(0.01	)			(0.03	)

Net asset value, end of period		$	24.98			$	24.97			$	25.00			$	25.00			$	25.00			$	25.00

Total Return^(c)			1.00	%**			0.96	%			0.54	%			0.19	%			0.06	%			0.11	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	829,183			$	2,324,706			$	2,666,697			$	4,033,504			$	2,243,931			$	1,909,864
Net expenses to average daily net assets			0.00	%^(d)*			0.00	%^(d)			0.00	%^(d)			0.00	%^(d)			0.00	%^(d)			0.00	%^(d)(e)
Net investment income (loss) to average daily net assets			1.85	%*			1.06	%			0.47	%			0.16	%			0.05	%			0.08	%
Portfolio turnover rate^(f)			0	%**			0	%			0	%			0	%			0	%			0	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.09	%*			0.09	%			0.10	%			0.10	%			0.10	%			0.10	%

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

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

^(c)

^(d)	Ratio is less than 0.01%.

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

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

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		53

GMO Trust Funds

Notes to Financial Statements

August 31, 2018 (Unaudited)

1.	Organization

Each of Asset Allocation Bond Fund, Core Plus Bond Fund, Emerging Country Debt Fund, High Yield Fund (commenced operations on June 25, 2018), Opportunistic Income Fund and U.S. Treasury Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

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

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

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



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

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

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

2.	Significant accounting policies

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

Portfolio valuation

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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 or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2018, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets 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 August 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 valued using prices for which no alternative pricing source was available. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 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%			3%
Emerging Country Debt Fund		1%	†		3%
Opportunistic Income Fund		1%	‡		11%
High Yield Fund		—			—
U.S. Treasury Fund		—			—

†

Includes the Republic of Albania Par Bond, due 08/31/25 which represents 1.0% 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 August 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, 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 August 31, 2018:



Description	Level 1		Level 2			Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	29,000,503	$	344,726,153		$	—	$	373,726,656
U.S. Government Agency		32,990,857		—			—		32,990,857

TOTAL DEBT OBLIGATIONS		61,991,360		344,726,153			—		406,717,513

Mutual Funds		21,380,716		—			—		21,380,716
Short-Term Investments		1,516,027		15,139,938			—		16,655,965

Total Investments		84,888,103		359,866,091			—		444,754,194

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		1,401,890			—		1,401,890
Swap Contracts
Interest Rate Risk		—		1,393,506			—		1,393,506

Total	$	84,888,103	$	362,661,487		$	—	$	447,549,590


Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(1,592,903	)	$	—	$	(1,592,903	)
Swap Contracts
Interest Rate Risk		—		(1,162,900	)		—		(1,162,900	)

Total	$	—	$	(2,755,803	)	$	—	$	(2,755,803	)


Core Plus Bond Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	22,352,281		$	—	$	22,352,281
U.S. Government		221,960,856		—			—		221,960,856
U.S. Government Agency		—		119,369,200			—		119,369,200

TOTAL DEBT OBLIGATIONS		221,960,856		141,721,481			—		363,682,337

Mutual Funds		330,989,270		—			—		330,989,270
Short-Term Investments		3,349,336		149,976,381			—		153,325,717

Total Investments		556,299,462		291,697,862			—		847,997,324

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1			Level 2			Level 3			Total
Core Plus Bond Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	3,639,627		$	—		$	3,639,627
Swap Contracts
Interest Rate Risk		—			3,310,129			—			3,310,129

Total	$	556,299,462		$	298,647,618		$	—		$	854,947,080


Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(3,123,863	)	$	—		$	(3,123,863	)
Futures Contracts
Interest Rate Risk		(164,626	)		—			—			(164,626	)
Swap Contracts
Interest Rate Risk		—			(2,672,313	)		—			(2,672,313	)

Total	$	(164,626	)	$	(5,796,176	)	$	—		$	(5,960,802	)


Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	43,232,627		$	—		$	43,232,627
Corporate Debt		—			5,530,373			26,456,738			31,987,111
Foreign Government Agency		—			723,586,093			131,093,111			854,679,204
Foreign Government Obligations		—			1,744,741,656			119,648,802			1,864,390,458
U.S. Government		490,572,252			76,288,589			—			566,860,841

TOTAL DEBT OBLIGATIONS		490,572,252			2,593,379,338			277,198,651			3,361,150,241

Loan Assignments		—			—			8,244,656			8,244,656
Loan Participations		—			—			50,837,131			50,837,131
Mutual Funds		96,381,706			—			—			96,381,706
Rights/Warrants		—			27,261,111			3,648,061			30,909,172
Short-Term Investments		199,272,570			—			—			199,272,570

Total Investments		786,226,528			2,620,640,449			339,928,499			3,746,795,476

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			725,596			—			725,596
Options
Credit Risk		—			—			131,894			131,894
Swap Contracts
Credit Risk		—			23,842,924			—			23,842,924
Interest Rate Risk		—			8,557,154			—			8,557,154

Total	$	786,226,528		$	2,653,766,123		$	340,060,393		$	3,780,053,044


Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(170,564	)	$	—		$	(170,564	)
Options
Credit Risk		—			—			(3,200,781	)		(3,200,781	)
Swap Contracts
Credit Risk		—			(21,610,400	)		—			(21,610,400	)
Interest Rate Risk		—			(1,461,779	)		—			(1,461,779	)

Total	$	—		$	(23,242,743	)	$	(3,200,781	)	$	(26,443,524	)

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1			Level 2			Level 3		Total
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—		$	54,803,817		$	—	$	54,803,817
U.S. Government		36,051,017			—			—		36,051,017
U.S. Government Agency		74,322,816			—			—		74,322,816

TOTAL DEBT OBLIGATIONS		110,373,833			54,803,817			—		165,177,650

Mutual Funds		1,316,876			—			—		1,316,876
Short-Term Investments		57,470			46,742,639			—		46,800,109

Total Investments		111,748,179			101,546,456			—		213,294,635

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			251,719			—		251,719
Futures Contracts
Interest Rate Risk		25,666			—			—		25,666
Swap Contracts
Credit Risk		—			5,794,651			—		5,794,651
Interest Rate Risk		—			295,012			—		295,012

Total	$	111,773,845		$	107,887,838		$	—	$	219,661,683


Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(37,492	)	$	—	$	(37,492	)

Total	$	—		$	(37,492	)	$	—	$	(37,492	)


Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	916,122,182		$	35,665,610	$	951,787,792
U.S. Government		2,800,409			—			—		2,800,409
U.S. Government Agency		—			—			15,891,462		15,891,462

TOTAL DEBT OBLIGATIONS		2,800,409			916,122,182			51,557,072		970,479,663

Mutual Funds		48,776,146			—			—		48,776,146
Short-Term Investments		7,129,966			29,978,268			—		37,108,234
Purchased Options		—			260,612			—		260,612

Total Investments		58,706,521			946,361,062			51,557,072		1,056,624,655

Derivatives^
Futures Contracts
Interest Rate Risk		56,636			—			—		56,636
Swap Contracts
Credit Risk		—			28,553,429			—		28,553,429
Interest Rate Risk		—			3,415,647			—		3,415,647

Total	$	58,763,157		$	978,330,138		$	51,557,072	$	1,088,650,367

Liability Valuation Inputs
Derivatives^
Futures Contracts
Interest Rate Risk	$	(4,442	)	$	—		$	—	$	(4,442	)
Written Options
Credit Risk		—			(52,410	)		—		(52,410	)
Swap Contracts
Credit Risk		—			(7,706,062	)		—		(7,706,062	)
Interest Rate Risk		—			(418,941	)		—		(418,941	)

Total	$	(4,442	)	$	(8,177,413	)	$	—	$	(8,181,855	)

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1		Level 2		Level 3		Total
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	800,659,758	$	47,000,628	$	—	$	847,660,386

Total Investments		800,659,758		47,000,628		—		847,660,386

Total	$	800,659,758	$	47,000,628	$	—	$	847,660,386

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 August 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 August 31, 2018			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2018
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	26,126,080		$	—	$	—		$	(711	)	$	—	$	331,369		$	—	$	—	$	26,456,738		$	331,369
Foreign Government Agency		134,381,263			—		—			788,504			—		(4,076,656	)		—		—		131,093,111			(4,076,656	)
Foreign Government Obligations		123,199,974			—		(3,206,336	)		2,257,459			—		(2,602,295	)		—		—		119,648,802			(2,602,295	)

Total Debt Obligations		283,707,317			—		(3,206,336	)		3,045,252			—		(6,347,582	)		—		—		277,198,651			(6,347,582	)

Loan Assignments		1,110,398			7,300,000		(224,630	)		7,443			—		51,445			—		—		8,244,656			51,445
Loan Participations		59,670,207			—		(5,496,530	)		1,061,483			—		(4,398,029	)		—		—		50,837,131			(4,398,029	)
Rights/Warrants		6,474,227			—		—			—			—		(2,826,166	)		—		—		3,648,061			(2,826,166	)

Total Investments		350,962,149			7,300,000		(8,927,496	)		4,114,178			—		(13,520,332	)		—		—		339,928,499			(13,520,332	)

Derivatives
Options		(912,233	)		—		(70,000	)		—			1,124,194		(3,210,848	)		—		—		(3,068,887	)		(1,751,774	)

Total	$	350,049,916		$	7,300,000	$	(8,997,496	)#	$	4,114,178		$	1,124,194	$	(16,731,180	)	$	—	$	—	$	336,859,612		$	(15,272,106	)

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



	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 August 31, 2018		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2018
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities	$	37,555,550	$	—	$	(2,019,705	)	$	91,828	$	—	$	37,937	$	—	$	—	$	35,665,610	$	37,937
U.S. Government Agency		17,123,540		—		(1,318,639	)		16,997		—		69,564		—		—		15,891,462		69,564

Total	$	54,679,090	$	—	$	(3,338,344	)##	$	108,825	$	—	$	107,501	$	—	$	—	$	51,557,072	$	107,501

†

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 $8,927,495 of proceeds received from principal paydowns.

Includes $3,338,344 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 August 31, 2018 were as follows:



Fund Name	Level 3 securities and derivatives
Asset Allocation Bond Fund		—
Core Plus Bond Fund		2%
Emerging Country Debt Fund		9%
High Yield Fund		—
Opportunistic Income Fund		5%
U.S. Treasury Fund		—

Cash

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

Due to/from broker

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

Foreign currency translation

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

Indexed investments

Each Fund may invest in various transactions and instruments that are designed to track the performance of an index (including, but not limited to, securities indices and credit default indices). Indexed securities are securities the redemption values and/or coupons of

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

which are indexed to a specific instrument, group of instruments, index, or other statistic. Indexed securities typically, but not always, are debt securities or deposits whose value at maturity or coupon rate is determined by reference to other securities, securities or inflation indices, currencies, precious metals or other commodities, or other financial indicators. For example, the maturity value of gold-indexed securities depends on the price of gold and, therefore, their price tends to rise and fall with gold prices.

Loan assignments and participations

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

Repurchase agreements

The Funds may enter into repurchase agreements with banks and brokers. Under a repurchase agreement a Fund acquires a security for a relatively short period for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and the value of the securities subject to the repurchase agreement is insufficient, the Fund’s recovery of cash from the seller may be delayed and, even if the Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. As of August 31, 2018, the Funds listed below had entered into repurchase agreements. The value of related collateral for each broker listed below exceeds the value of the repurchase agreements at period end. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.



Fund Name	Counterparty		Gross Value		Net Value (with related collateral)		Weighted Average Maturity (days)
Opportunistic Income Fund		Barclays Bank plc		$29,978,268		$30,581,994		4.0
U.S. Treasury Fund		Barclays Bank plc		$47,000,628		$47,947,163		4.0

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. As of August 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		$36,933,066		$35,548,608

As of August 31, 2018, Emerging Country Debt Fund had investments in reverse repurchase agreements with JP Morgan Securities, Inc. with a gross value of $36,933,066. The value of related collateral on reverse repurchase agreements exceeded the value at period end. As of August 31, 2018, the reverse repurchase agreements held by Emerging Country Debt Fund had open maturity dates.

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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

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



			August 31, 2018

			Remaining Contractual Maturity of the Agreements

	Overnight and Continuous		Up to 30 days		Between 30-90 days		Greater Than 90 days		Demand		Total
Emerging Country Debt Fund
Reverse Repurchase Agreements
Non-U.S. Government Debt Obligations	$	—	$	—	$	—	$	—	$	36,933,066	$	36,933,066

Total borrowings	$	—	$	—	$	—	$	—	$	36,933,066	$	36,933,066

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

Taxes and distributions

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

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

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the period ended August 31, 2018, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations.

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

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

As of February 28, 2018, certain Funds elected to defer to March 1, 2018 post-October capital losses. The Funds’ loss deferrals are as follows:



Fund Name	Post-October Capital Losses ($)
Asset Allocation Bond Fund		(1,850,864)
Core Plus Bond Fund		(5,029,797)
Emerging Country Debt Fund		(980,792)
High Yield Fund		N/A
Opportunistic Income Fund		(1,668,698)
U.S. Treasury Fund		(586,886)

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2018, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:



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

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

As of August 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		449,115,206		254,523		(4,615,535)		(4,361,012)		53,190
Core Plus Bond Fund		857,481,228		4,827,620		(14,311,524)		(9,483,904)		968,725
Emerging Country Debt Fund		4,119,824,523		215,171,756		(588,200,803)		(373,029,047)		(22,693,045)
High Yield Fund		212,669,038		921,606		(296,009)		625,597		823,391
Opportunistic Income Fund		1,044,637,825		29,885,632		(17,898,802)		11,986,830		(7,896,934)
U.S. Treasury Fund		847,611,357		115,526		(66,497)		49,029		—

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

Security transactions and related investment income

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

Expenses and class allocations

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

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

Purchases and redemptions of Fund shares

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

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

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

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

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

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

As of August 31, 2018, the premium on cash purchases and the fee on cash redemptions were as follows:



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

⁽¹⁾

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

Recently-issued accounting guidance

In March 2017, the Financial Accounting Standards Board (“FASB”) issued an amendment to U.S. GAAP, which amends the required amortization period for purchased callable debt securities that have been purchased at a premium. The scope of the amendment is limited to debt securities that have an explicit non-contingent call feature at a fixed price on a preset date or dates. The amendment requires that the aforementioned premium on such debt securities shall be amortized through the next call date, whereas current U.S. GAAP requires amortization through the maturity date of the security. This amendment does not apply to debt securities purchased at a discount and is effective for fiscal years beginning after December 15, 2018. GMO is currently evaluating the impact, if any, of this guidance on the Fund’s financial statements and disclosures.

3.	Investment and other risks

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

Asset Allocation Bond Fund

Core Plus Bond Fund

Emerging Country Debt Fund

High Yield Fund

Opportunistic Income Fund

U.S. Treasury Fund

Commodities Risk

Counterparty Risk

Credit Risk

Currency Risk

Derivatives and Short Sales Risk

Focused Investment Risk

Fund of Funds Risk

Futures Contracts Risk

Illiquidity Risk

Large Shareholder Risk

Leveraging Risk

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

Asset Allocation Bond Fund

Core Plus Bond Fund

Emerging Country Debt Fund

High Yield Fund

Opportunistic Income Fund

U.S. Treasury Fund

Management and Operational Risk

Market Disruption and Geopolitical Risk

Market Risk – Asset-Backed Securities

Market Risk – Equities

Market Risk – Fixed Income

Non-Diversified Funds

Non-U.S. Investment Risk

Small Company Risk

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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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 with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result (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.”

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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.”

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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 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.”

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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

Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) have adopted similar requirements, which affect a Fund when it enters into a derivatives transaction with a counterparty subject to those requirements. Because these 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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.

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

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

• FUTURES CONTRACTS RISK. The risk of loss to a Fund resulting from its use of futures contracts (or “futures”) 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 will 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

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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 Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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 in 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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. Considerable uncertainty exists over 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 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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, the U.S. Federal Reserve recently has increased interest rates and continued economic recovery and the Federal Reserve’s conclusion of its quantitative easing program increase the likelihood that interest rates will increase in the United States and throughout the financial system. A substantial increase in interest rates 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 within the meaning of the 1940 Act.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only in U.S. securities. 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).

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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 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 (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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

4.	Derivative financial instruments

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

The Funds may use derivatives to gain long investment exposure to securities or other assets. In particular, the Funds may use swaps, 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

For Funds that held derivatives during the period ended August 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	High Yield Fund	Opportunistic Income Fund
Forward currency contracts
Adjust currency exchange rate risk	X	X	X
Adjust exposure to foreign currencies	X	X	X	X	X
Futures contracts
Adjust exposure to certain markets
Adjust interest rate exposure		X		X	X
Maintain the diversity and liquidity of the portfolio		X		X	X
Options (Purchased)
Adjust currency exchange rate risk
Adjust exposure to foreign currencies
Adjust interest rate exposure					X
Achieve exposure to a reference entity’s credit					X
Adjust exposure to equity markets
Provide a measure of protection against default loss					X
Options (Written)
Achieve exposure to a reference entity’s credit					X
Adjust currency exchange rate risk
Adjust exposure to foreign currencies
Adjust interest rate exposure					X
Maintain the diversity and liquidity of the portfolio
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	X
Adjust exposure to certain markets				X	X
Adjust interest rate exposure	X	X	X		X
Provide a measure of protection against default loss			X	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

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

Forward currency contracts

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

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

Futures contracts

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

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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

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

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

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, 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 in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.

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

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

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

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

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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

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

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

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

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

Rights and warrants

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

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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2018 and the Statements of Operations for the period ended August 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	$	—	$	—	$	1,401,890		$	—		$	—	$	1,401,890
Swap Contracts, at value¤		—		—		—			1,393,506			—		1,393,506

Total	$		$		$	1,401,890		$	1,393,506		$		$	2,795,396

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

Total subject to Master Agreements	$	—	$	—	$	1,401,890		$	1,393,506		$	—	$	2,795,396

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	(1,592,903	)	$	—		$	—	$	(1,592,903	)
Swap Contracts, at value¤		—		—		—			(1,162,900	)		—		(1,162,900	)

Total	$	—	$	—	$	(1,592,903	)	$	(1,162,900	)	$	—	$	(2,755,803	)

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

Total subject to Master Agreements	$	—	$	—	$	(1,592,903	)	$	(1,162,900	)	$	—	$	(2,755,803	)

Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—	$	1,184,981		$	—		$	—	$	1,184,981
Swap Contracts		—		—		—			666,232			—		666,232

Total	$	—	$	—	$	1,184,981		$	666,232		$	—	$	1,851,213

Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—	$	—	$	1,446,179		$	—		$	—	$	1,446,179
Swap Contracts		—		—		—			1,505,460			—		1,505,460

Total	$	—	$	—	$	1,446,179		$	1,505,460		$	—	$	2,951,639


Core Plus Bond Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—	$	3,639,627		$	—		$	—	$	3,639,627
Swap Contracts, at value¤		—		—		—			3,310,129			—		3,310,129

Total	$	—	$	—	$	3,639,627		$	3,310,129		$	—	$	6,949,756

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

Total subject to Master Agreements	$	—	$	—	$	3,639,627		$	3,310,129		$	—	$	6,949,756

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	(3,123,863	)	$	—		$	—	$	(3,123,863	)
Unrealized Depreciation on Futures Contracts¤		—		—		—			(164,626	)		—		(164,626	)
Swap Contracts, at value¤		—		—		—			(2,672,313	)		—		(2,672,313	)

Total	$	—	$	—	$	(3,123,863	)	$	(2,836,939	)	$	—	$	(5,960,802	)

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

Total subject to Master Agreements	$	—	$	—	$	(3,123,863	)	$	(2,836,939	)	$	—	$	(5,960,802	)

Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—	$	1,719,992		$	—		$	—	$	1,719,992
Futures Contracts		—		—		—			1,264,909			—		1,264,909
Swap Contracts		—		—		—			1,089,740			—		1,089,740

Total	$	—	$	—	$	1,719,992		$	2,354,649		$	—	$	4,074,641

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



	Credit Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Core Plus Bond Fund (Continued)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	—		$	9,352,266		$	—		$	—	$	9,352,266
Futures Contracts		—			—			—			(435,317	)		—		(435,317	)
Swap Contracts		—			—			—			2,913,646			—		2,913,646

Total	$	—		$	—		$	9,352,266		$	2,478,329		$	—	$	11,830,595


Emerging Country Debt Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—		$	—		$	—		$	—		$	30,909,172	$	30,909,172
Unrealized Appreciation on Forward Currency Contracts		—			—			725,596			—			—		725,596
Options, at value		131,894			—			—			—			—		131,894
Swap Contracts, at value¤		23,842,924			—			—			8,557,154			—		32,400,078

Total	$	23,974,818		$	—		$	725,596		$	8,557,154		$	30,909,172	$	64,166,740

Derivatives not subject to Master Agreements	$	—		$	—		$	—		$	—		$	30,909,172	$	30,909,172

Total subject to Master Agreements	$	23,974,818		$	—		$	725,596		$	8,557,154		$	—	$	33,257,568

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	(170,564	)	$	—		$	—	$	(170,564	)
Options, at value		(3,200,781	)		—			—			—			—		(3,200,781	)
Swap Contracts, at value¤		(21,610,400	)		—			—			(1,461,779	)		—		(23,072,179	)

Total	$	(24,811,181	)	$	—		$	(170,564	)	$	(1,461,779	)	$	—	$	(26,443,524	)

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

Total subject to Master Agreements	$	(24,811,181	)	$	—		$	(170,564	)	$	(1,461,779	)	$	—	$	(26,443,524	)

Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—		$	7,902,011		$	—		$	—	$	7,902,011
Options		70,000			—			—			—			—		70,000
Swap Contracts		3,515,410			—			—			3,886,487			—		7,401,897

Total	$	3,585,410		$	—		$	7,902,011		$	3,886,487		$	—	$	15,373,908

Change in Net Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—		$	(20,972,817	)	$	—		$	—		$	—	$	(20,972,817	)
Forward Currency Contracts		—			—			(1,402,074	)		—			—		(1,402,074	)
Options		(3,210,846	)		—			—			—			—		(3,210,846	)
Swap Contracts		1,238,904			—			—			18,287,191			—		19,526,095

Total	$	(1,971,942	)	$	(20,972,817	)	$	(1,402,074	)	$	18,287,191		$	—	$	(6,059,642	)


High Yield Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	251,719		$	—		$	—	$	251,719
Unrealized Appreciation on Futures Contracts¤		—			—			—			25,666			—		25,666
Swap Contracts, at value¤		5,794,651			—			—			295,012			—		6,089,663

Total	$	5,794,651		$	—		$	251,719		$	320,678		$	—	$	6,367,048

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

Total subject to Master Agreements	$	5,794,651		$	—		$	251,719		$	320,678		$	—	$	6,367,048

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	(37,492	)	$	—		$	—	$	(37,492	)

Total	$	—		$	—		$	(37,492	)	$	—		$	—	$	(37,492	)

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

Total subject to Master Agreements	$	—		$	—		$	(37,492	)	$	—		$	—	$	(37,492	)

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



	Credit Contracts			Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
High Yield Fund (Continued)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—	$	108,242		$	—		$	—	$	108,242
Futures Contracts		—			—		—			22,520			—		22,520
Swap Contracts		759,732			—		—			749,376			—		1,509,108

Total	$	759,732		$	—	$	108,242		$	771,896		$	—	$	1,639,870

Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	—	$	214,227		$	—		$	—	$	214,227
Futures Contracts		—			—		—			25,666			—		25,666
Swap Contracts		570,846			—		—			295,012			—		865,858

Total	$	570,846		$	—	$	214,227		$	320,678		$	—	$	1,105,751


Opportunistic Income Fund
Asset Derivatives
Investments, at value (purchased options)	$	260,612		$	—	$	—		$	—		$	—	$	260,612
Unrealized Appreciation on Futures Contracts¤		—			—		—			56,636			—		56,636
Swap Contracts, at value¤		28,553,429			—		—			3,415,647			—		31,969,076

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

Total subject to Master Agreements	$	28,814,041		$	—	$	—		$	3,472,283		$	—	$	32,286,324

Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—		$	—	$	—		$	(4,442	)	$	—	$	(4,442	)
Written Options, at value		(52,410	)		—		—			—			—		(52,410	)
Swap Contracts, at value¤		(7,706,062	)		—		—			(418,941	)		—		(8,125,003	)

Total	$	(7,758,472	)	$	—	$	—		$	(423,383	)	$		$	(8,181,855	)

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

Total subject to Master Agreements	$	(7,758,472	)	$	—	$	—		$	(423,383	)	$	—	$	(8,181,855	)

Net Realized Gain (Loss) on
Investments (purchased options)	$	(876,784	)	$	—	$	—		$	—		$	—	$	(876,784	)
Forward Currency Contracts		—			—		(5,155	)		—			—		(5,155	)
Futures Contracts		—			—		—			604,530			—		604,530
Written Options		583,963			—		—			—			—		583,963
Swap Contracts		(361,054	)		—		—			860,531			—		499,477

Total	$	(653,875	)	$	—	$	(5,155	)	$	1,465,061		$	—	$	806,031

Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	226,941		$	—	$	—		$	—		$	—	$	226,941
Forward Currency Contracts		—			—		17,898			—			—		17,898
Futures Contracts		—			—		—			17,161			—		17,161
Written Options		(152,176	)		—		—			—			—		(152,176	)
Swap Contracts		(3,338,493	)		—		—			(863,801	)		—		(4,202,294	)

Total	$	(3,263,728	)	$	—	$	17,898		$	(846,640	)	$	—	$	(4,092,470	)

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

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

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2018, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2018:

Asset Allocation Bond Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	8,472	$	—		$	—		$	8,472
Barclays Bank plc		284,837		—			284,837			—
Goldman Sachs International		95,160		(44,316	)		(11,329	)		39,515
JPMorgan Chase Bank, N.A.		505,632		(69,407	)		(436,225	)		—	*
Morgan Stanley & Co. International PLC		507,789		—			507,789			—

Total	$	1,401,890	$	(113,723	)	$	345,072		$	47,987



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank plc	$	512,525	$	(227,688	)	$	(284,837	)	$	—	*
Goldman Sachs International		11,329		—			11,329			—
JPMorgan Chase Bank, N.A.		436,225		—			436,225			—
Morgan Stanley & Co. International PLC		632,824		(125,035	)		(507,789	)		—	*

Total	$	1,592,903	$	(352,723	)	$	(345,072	)	$	—

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

Core Plus Bond Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	39,184	$	—		$	—		$	39,184
Barclays Bank plc		462,208		—			462,208			—
Goldman Sachs International		188,769		—			(186,185	)		2,584
JPMorgan Chase Bank, N.A.		1,404,318		(599,322	)		(804,996	)		—	*
Morgan Stanley & Co. International PLC		1,545,148		(475,526	)		(1,069,622	)		—	*

Total	$	3,639,627	$	(1,074,848	)	$	(1,598,595	)	$	41,768



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank plc	$	1,063,060	$	(600,852	)	$	(462,208	)	$	—	*
Goldman Sachs International		186,185		—			186,185			—
JPMorgan Chase Bank, N.A.		804,996		—			804,996			—
Morgan Stanley & Co. International PLC		1,069,622		—			1,069,622			—

Total	$	3,123,863	$	(600,852	)	$	1,598,595		$	—

Emerging Country Debt Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Deutsche Bank AG	$	4,232,728	$	—		$	4,232,728		$	—
Goldman Sachs International		2,431,945		—			2,431,945			—
JPMorgan Chase Bank, N.A.		10,085,854		—			10,085,854			—
Morgan Stanley & Co. International PLC		338,289		(35,000	)		—			303,289

Total	$	17,088,816	$	(35,000	)	$	16,750,527		$	303,289



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/ Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	711,759	$	(698,482	)	$	—		$	13,277
Barclays Bank plc		495,462		(495,462	)		—			—	*
Deutsche Bank AG		8,776,884		(3,365,686	)		(4,232,728	)		1,178,470
Goldman Sachs International		3,652,284		(567,766	)		(2,431,945	)		652,573
JPMorgan Chase Bank, N.A.		12,455,347		(2,369,493	)		(10,085,854	)		—	*

Total	$	26,091,736	$	(7,496,889	)	$	(16,750,527	)	$	1,844,320

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

High Yield Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	98,263	$	—		$	—		$	98,263
Barclays Bank plc		127,828		(127,828	)		—			—	*
Citibank N.A.		196,749		(30,000	)		—			166,749
Goldman Sachs International		289,454		(251,962	)		(37,492	)		—	*

Total	$	712,294	$	(409,790	)	$	(37,492	)	$	265,012



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Goldman Sachs International	$	37,492	$	—		$	37,492		$	—

Total	$	37,492	$	—		$	37,492		$	—

Opportunistic Income Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	5,851,383	$	(5,305,007	)	$	(546,376	)	$	—	*
Barclays Bank plc		31,934		—			31,934			—
Citigroup Global Markets Inc.		376,128		(236,704	)		(139,424	)		—	*
Deutsche Bank AG		694,973		(302,869	)		(392,104	)		—	*
Goldman Sachs International		3,321,497		(2,364,058	)		(957,439	)		—	*
JPMorgan Chase Bank, N.A.		11,986,868		(8,715,853	)		(2,333,597	)		937,418
Morgan Stanley Capital Services LLC		6,234,537		(5,525,461	)		(709,076	)		—	*

Total	$	28,497,320	$	(22,449,952	)	$	(5,046,082	)	$	937,418



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	546,376	$	—		$	546,376		$	—
Barclays Bank plc		1,142,786		(1,110,852	)		(31,934	)		—	*
Citibank N.A.		28,490		(28,490	)		—			—	*
Citigroup Global Markets Inc.		139,424		—			139,424			—
Credit Suisse International		46,305		—			—			46,305
Deutsche Bank AG		392,104		—			392,104			—
Goldman Sachs International		957,439		—			957,439			—
JPMorgan Chase Bank, N.A.		2,333,597		—			2,333,597			—
Morgan Stanley Capital Services LLC		709,076		—			709,076			—

Total	$	6,295,597	$	(1,139,342	)	$	5,046,082		$	46,305

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

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts), market values (rights and/or warrants), and principal amounts or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2018:



Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)		Options (Principal)		Rights and/or Warrants ($)
Asset Allocation Bond Fund		181,145,907		—		522,706,349		—		—
Core Plus Bond Fund		425,475,109		126,921,917		910,759,689		—		—
Emerging Country Debt Fund		110,302,663		—		1,447,933,900		287,209,667		39,754,209
High Yield Fund		46,833,328		90,022,935		146,103,578		—		—
Opportunistic Income Fund		752,892		289,304,906		536,426,727		494,741,187		—

5.	Fees and other transactions with affiliates

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

Asset Allocation Bond Fund

Core Plus Bond Fund

Emerging Country Debt Fund

High Yield Fund

Opportunistic Income Fund

U.S. Treasury Fund

Management Fee

0.25%

0.35%

0.40%^(a)

0.08%^(b)

^(a)

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

^(b)

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

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



Fund Name	Class III			Class IV			Class V		Class VI
Asset Allocation Bond Fund		0.15%								0.055%
Core Plus Bond Fund		0.15%			0.10%
Emerging Country Debt Fund		0.15%			0.10%
High Yield Fund		0.15%	*		0.10%	*		0.085%*		0.055%
Opportunistic Income Fund		0.15%	*							0.055%

Class is offered but has no shareholders as of August 31, 2018.

For each Fund, other than Emerging Country Debt Fund and High Yield Fund, GMO has contractually agreed to reimburse each Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO. GMO has contractually agreed to reimburse High Yield Fund for the portion of its “Specified Operating Expenses” that exceeds 0.10% of the Fund’s average net assets (“Expense Threshold Amount”).

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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

For High Yield Fund, GMO is permitted to recover from the Fund, on a class-by-class basis, as applicable, the “Specified Operating Expenses” GMO has borne or reimbursed (whether through reduction of its fees or otherwise) to the extent that the Funds’ “Specified Operating Expenses” later fall below the Expense Threshold Amount or the lower expense limit in effect when GMO seeks to recover the expenses. A Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. The amount GMO is entitled to recover may not cause a Fund to exceed the Expense Threshold Amount or the lower expense limit in effect when GMO seeks recovery.

For the period ended August 31, 2018, GMO did not recoup any previously recorded waivers and/or reimbursements from High Yield Fund.

On August 31, 2018, the waivers and/or reimbursements subject to possible future recoupment are as follows:



	Expiring the year ending February 28, 2019		Expiring the year ending February 29, 2020		Expiring the year ending February 28, 2021
High Yield Fund, Class VI		$—		$—		$144,175

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

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

These contractual waivers and reimbursements will continue through at least June 30, 2019 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.

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

The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2018 is shown in the table below and is included in the Statements of Operations.



Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Asset Allocation Bond Fund		12,952		1,246
Core Plus Bond Fund		10,290		940
Emerging Country Debt Fund		45,441		4,255
High Yield Fund		942		82
Opportunistic Income Fund		13,131		1,270
U.S. Treasury Fund		24,781		2,148

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2018 these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:



Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Indirect Interest Expense		Total Indirect Expenses
Asset Allocation Bond Fund		< 0.001%		0.000%		0.000%		< 0.001%
Core Plus Bond Fund		0.106%		0.017%		0.001%		0.124%
Emerging Country Debt Fund		0.002%		0.000%		0.000%		0.002%
High Yield Fund		< 0.001%		0.000%		0.000%		< 0.001%
Opportunistic Income Fund		< 0.001%		0.000%		0.000%		< 0.001%
U.S. Treasury Fund		0.000%		0.000%		0.000%		0.000%

The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 2018, the Funds did not engage in these transactions.

6.	Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the period ended August 31, 2018 are noted in the table below:



Fund Name	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Asset Allocation Bond Fund		320,530,271		127,296,375		971,393,623		105,900,000
Core Plus Bond Fund		804,037,153		192,709,480		969,211,118		254,044,756
Emerging Country Debt Fund		58,803,335		241,068,495		78,595,445		225,169,825
High Yield Fund		109,487,380		105,884,483		—		49,710,304
Opportunistic Income Fund		292,361,719		325,258,262		331,674,043		441,444,035
U.S. Treasury Fund		—		—		—		—

Included in the table above are cost of purchases and proceeds from sales of securities for in-kind transactions, in accordance with U.S. GAAP for the period ended August 31, 2018. In-kind transactions are noted in the table below:



Fund Name	Purchases ($)		Sales ($)
High Yield Fund		210,796,589*		—
U.S. Treasury Fund		—		1,017,970,052**

Amount represents contribution of assets by sole shareholder to launch High Yield Fund on June 25, 2018.

The redemption in-kind was redeemed by an affiliate.

For the period ended August 31, 2018, the Funds had the following net realized gains/(losses) attributed to redemption in-kind transactions:



Fund Name	Net realized gains/(losses) attributed to redemption in-kind transactions ($)
U.S. Treasury Fund		$(67,064)

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

7.	Guarantees

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

8.	Principal shareholders and related parties as of August 31, 2018



Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund			Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund			Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers			Percentage of the Fund’s shares held by accounts for which GMO has investment discretion
Asset Allocation Bond Fund		2	‡		72.74	%		< 0.01	%		99.98%
Core Plus Bond Fund		3	#		70.33	%		< 0.01	%		98.03%
Emerging Country Debt Fund		—			—			0.16	%		17.93%
High Yield Fund		2	‡		96.46	%		—			100.00%
Opportunistic Income Fund		3	§		85.34	%		0.63	%		98.97%
U.S. Treasury Fund		2	#		26.56	%		0.42	%		92.00%

‡

One of the shareholders is another fund of the Trust.

Two of the shareholders are other funds of the Trust.

Three of the shareholders are other funds of the Trust.

9.	Share transactions

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



	Six Months Ended August 31, 2018 (Unaudited)						Year Ended February 28, 2018

	Shares			Amount			Shares			Amount
Asset Allocation Bond Fund
Class III:
Shares sold		254,508		$	5,606,697			1,573,475		$	34,917,836
Shares issued to shareholders in reinvestment of distributions		65,557			1,443,569			91,336			2,024,013
Shares repurchased		(6,021,941	)		(133,682,962	)		(4,973,988	)		(110,702,677	)

Net increase (decrease)		(5,701,876	)	$	(126,632,696	)		(3,309,177	)	$	(73,760,828	)

Class VI:
Shares sold		196,736		$	4,365,538			2,580,795		$	57,553,648
Shares issued to shareholders in reinvestment of distributions		243,367			5,375,974			470,101			10,450,335
Shares repurchased		(31,096,021	)		(687,382,676	)		(11,188,462	)		(249,507,549	)

Net increase (decrease)		(30,655,918	)	$	(677,641,164	)		(8,137,566	)	$	(181,503,566	)

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



	Six Months Ended August 31, 2018 (Unaudited)						Year Ended February 28, 2018

	Shares			Amount			Shares			Amount
Core Plus Bond Fund
Class III:#
Shares sold		446,727		$	9,349,844			1,511,400		$	31,905,214
Shares issued to shareholders in reinvestment of distributions		8,268			174,777			15,651			332,939
Shares repurchased		(63,078	)		(1,334,821	)		(922,673	)		(19,856,258	)

Net increase (decrease)		391,917		$	8,189,800			604,378		$	12,381,895

Class IV:#
Shares sold		9,197,186		$	192,901,009			23,678,705		$	510,328,333
Shares issued to shareholders in reinvestment of distributions		139,474			2,955,446			1,076,119			22,940,052
Shares repurchased		(20,381,554	)		(429,478,028	)		(7,650,117	)		(163,862,356	)

Net increase (decrease)		(11,044,894	)	$	(233,621,573	)		17,104,707		$	369,406,029


Emerging Country Debt Fund
Class III:
Shares sold		1,435,583		$	39,827,655			11,880,407	^(a)	$	347,049,633	^(a)
Shares issued to shareholders in reinvestment of distributions		543,203			14,905,500			2,305,305			66,786,479
Shares repurchased		(973,147	)		(26,857,784	)		(6,501,002	)		(193,461,462	)
Purchase premiums		—			135,321			—			245,786
Redemption fees		—			502,193			—			782,548

Net increase (decrease)		1,005,639		$	28,512,885			7,684,710		$	221,402,984

Class IV:
Shares sold		3,700,771		$	100,955,303			22,750,109	^(b)	$	673,666,225	^(b)
Shares issued to shareholders in reinvestment of distributions		1,153,964			31,618,617			6,058,977			175,314,884
Shares repurchased		(9,733,306	)		(266,797,034	)		(32,863,719	)		(967,610,732	)
Purchase premiums		—			289,457			—			638,653
Redemption fees		—			1,065,418			—			2,240,267

Net increase (decrease)		(4,878,571	)	$	(132,868,239	)		(4,054,633	)	$	(115,750,703	)


High Yield Fund
Class VI:*
Shares sold		24,418,519	^(c)	$	489,555,915	^(c)
Shares repurchased		(13,697,402	)		(275,136,064	)

Net increase (decrease)		10,721,117		$	214,419,851


Opportunistic Income Fund
Class VI:
Shares sold		3,162,405		$	84,106,425			5,326,894		$	139,877,903
Shares issued to shareholders in reinvestment of distributions		259,216			6,879,585			1,013,058			26,556,559
Shares repurchased		(8,540,372	)		(227,278,036	)		(19,292,435	)		(503,079,247	)
Purchase premiums		—			300,590			—			234,774
Redemption fees		—			871,961			—			1,686,586

Net increase (decrease)		(5,118,751	)	$	(135,119,475	)		(12,952,483	)	$	(334,723,425	)

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



	Six Months Ended August 31, 2018 (Unaudited)						Year Ended February 28, 2018

	Shares			Amount			Shares			Amount
U.S. Treasury Fund
Core Class:
Shares sold		135,653,776		$	3,388,126,231			328,805,953		$	8,215,411,179
Shares issued to shareholders in reinvestment of distributions		596,748			14,905,641			793,804			19,832,371
Shares repurchased		(196,143,011	)^(d)		(4,899,101,035	)^(d)		(343,182,979	)		(8,574,817,064	)

Net increase (decrease)		(59,892,487	)	$	(1,496,069,163	)		(13,583,222	)	$	(339,573,514	)

The period under the heading “Six Months Ended August 31, 2018 (Unaudited)” represents the period from June 25, 2018 (commencement of operations) through August 31, 2018.

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

^(a)

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

^(b)

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

^(c)

10,546,955 shares and $210,939,097 were a contribution of assets by sole shareholder to launch High Yield Fund on June 25, 2018.

^(d)

40,751,403 shares and $1,017,970,052 were redeemed in-kind by an affiliate.

10.

Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended August 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	$	—	$	127,296,375	$	105,900,000	$	237,627		$ (15,659	)	$	—		$	21,380,716


Core Plus Bond Fund
GMO Emerging Country Debt Fund, Class IV	$	50,741,626	$	—	$	8,000,000	$	566,358	$	(261,785	)	$	(2,702,970	)	$	39,776,871
GMO Opportunistic Income Fund, Class VI		193,785,692		—		33,000,000		1,389,828		1,010,318			1,021,173			162,817,183
GMO U.S. Treasury Fund		18,513,042		176,550,000		177,990,000		197,568		(11,189	)		7,414			17,069,267

Totals	$	263,040,360	$	176,550,000	$	218,990,000	$	2,153,754	$	737,344		$	(1,674,383	)	$	219,663,321


Emerging Country Debt Fund
GMO Opportunistic Income Fund, Class VI	$	15,001,189	$	—	$	—	$	129,507	$	—		$	170,404		$	15,171,593
GMO U.S. Treasury Fund		81,177,603		—		—		776,667		—			32,510			81,210,113

Totals	$	96,178,792	$	—	$	—	$	906,174	$	—		$	202,914		$	96,381,706


High Yield Fund
GMO U.S. Treasury Fund	$	—	$	24,516,876	$	23,200,000	$	17,539	$	—		$	—		$	1,316,876


Opportunistic Income Fund
GMO U.S. Treasury Fund	$	58,387,949	$	111,870,000	$	121,465,000	$	383,902	$	(40,186	)	$	23,383		$	48,776,146

The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2018 through August 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.

GMO Trust Funds

Board Review of Investment Management Agreements

August 31, 2018 (Unaudited)

GMO Asset Allocation Bond Fund

Approval of renewal of management agreement for GMO Asset Allocation Bond Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management agreement of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 17, 2018, the Trustees discussed in great detail with representatives of the Manager the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the strategies used by the Manager in managing other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

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

The Trustees also considered the non-investment management services the Manager provides to the Fund, including but not limited to valuation, legal and compliance, accounting and operational services.

The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that charge advisory fees, the Manager offsets against the fees the Fund pays to the Manager the management fees, shareholder servicing fees and most other expenses of those underlying GMO funds.

The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

In their deliberations, the Trustees considered the factors they individually deemed relevant in light of the legal advice furnished to them, with each Trustee weighting specific factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Core Plus Bond Fund

Approval of renewal of management agreementfor GMO Core Plus Bond Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

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

100

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

GMO Emerging Country Debt Fund

Approval of renewal of management agreement for GMO Emerging Country Debt Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

101

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

GMO High Yield Fund

Approval of initial management agreement for GMO High Yield Fund (the “Fund”). At a meeting on March 8, 2018, the Trustees of GMO Trust (the “Trust”) approved the management agreement between the Trust, on behalf of the Fund, and Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) for an initial two-year term commencing April 13, 2018. In approving the initial management agreement, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

At meetings on November 30, 2017 and March 8, 2018, the Trustees discussed materials provided by the Manager for purposes of considering the Manager’s proposal to establish the Fund as a new series of the Trust and a proposed management agreement between the Trust, on behalf of the Fund, and the Manager. During these meetings, the Trustees met with members of the investment division of the Manager that was expected to be primarily responsible for the investment management of the Fund, as well as a member of the Manager’s Asset Allocation Team, the investment division primarily responsible for the investment management of GMO funds that might in the future invest in the Fund.

102

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

Since the Fund had not yet commenced operations, the Trustees were unable to consider its investment performance. The Trustees did, however, consider the performance of an investment sleeve within GMO Benchmark-Free Allocation Fund that used an investment strategy substantially similar to the strategy the Manager intended to pursue for the Fund.

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

The Trustees also reviewed the fees to be paid to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered a comparison furnished to them by the Manager of the management fees to be paid by the Fund as compared to the management fees of other GMO funds and of funds managed by other managers determined by the Manager to have similar investment characteristics. The Trustees also considered the shareholder servicing fees to be charged by the Manager to different share classes of the Fund in light of the services to be provided by the Manager and the comparable fees charged by other GMO fixed-income funds.

The Trustees also noted that the non-portfolio management-related services to be provided by the Manager to the Fund including, but not limited to valuation, legal and compliance, board governance, accounting and operational services, were the same as the services provided by the Manager under its current management contracts with other GMO funds.

Since the Fund had not yet commenced operations, the Trustees were unable to review information regarding the Manager’s profitability with respect to the Fund. The Trustees did, however, consider how the proposed fees compared to fees paid by other GMO funds and took note of various “fallout benefits” to the Manager that would result from its management of the Fund. As the Fund had not yet commenced operations, the Trustees did not consider possible economies of scale to the Manager associated with managing the Fund.

The Trustees considered the fact that Fund shares are expected to be principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the Manager’s other departments, such as legal and compliance) and the resources the Manager would employ in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources and other matters concerning the Manager’s business and organization and the nature and quality of its services to be provided to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s initial management agreement, that the fees to be paid by the Fund to the Manager were reasonable.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Trustees who are not “interested persons” of the Trust voting separately, and then all Trustees voting together, approved the Fund’s initial management agreement.

GMO Opportunistic Income Fund

Approval of renewal of management agreement for GMO Opportunistic Income Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

103

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

GMO U.S. Treasury Fund

Approval of renewal of management agreement for GMO U.S. Treasury Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the

104

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

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

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

105

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2018 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2018.

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2018 through August 31, 2018.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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


	Actual						Hypothetical
	Beginning Account Value March 1, 2018		Ending Account Value August 31, 2018		Expenses Paid During the Period*		Beginning Account Value March 1, 2018		Ending Account Value August 31, 2018		Expenses Paid During the Period*		Annualized Expense Ratio
Asset Allocation Bond Fund
Class III		$1,000.00		$1,023.30		$2.09		$1,000.00		$1,023.14		$2.09		0.41%
Class VI		$1,000.00		$1,023.80		$1.58		$1,000.00		$1,023.64		$1.58		0.31%
Core Plus Bond Fund
Class III		$1,000.00		$1,018.00		$2.09		$1,000.00		$1,023.14		$2.09		0.41%
Class IV		$1,000.00		$1,018.40		$1.83		$1,000.00		$1,023.39		$1.84		0.36%
Emerging Country Debt Fund
Class III		$1,000.00		$ 952.50		$2.66		$1,000.00		$1,022.48		$2.75		0.54%
Class IV		$1,000.00		$ 952.90		$2.41		$1,000.00		$1,022.74		$2.50		0.49%
High Yield Fund**
Class VI		$1,000.00		$1,020.00		$1.04		$1,000.00		$1,022.38		$2.85		0.56%
Opportunistic Income Fund
Class VI		$1,000.00		$1,020.00		$2.39		$1,000.00		$1,022.84		$2.40		0.47%
U.S. Treasury Fund
Core		$1,000.00		$1,010.00		$0.00		$1,000.00		$1,025.21		$0.00		0.00%

Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2018, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

For the period June 25, 2018 (commencement of operations) through August 31, 2018, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2018, multiplied by the average account value over the period, multiplied by 67 days in the period, divided by 365 days in the year.

106

GMO Trust

Semiannual Report

August 31, 2018

Climate Change Fund

Emerging Domestic Opportunities Fund

Emerging Markets Fund

Foreign Small Companies Fund

International Equity Fund

International Large/Mid Cap Equity Fund

Quality Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities Fund

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

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

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

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

TABLE OF CONTENTS


Climate Change Fund
Investment Concentration Summary			1
Schedule of Investments			2
Emerging Domestic Opportunities Fund
Investment Concentration Summary			5
Schedule of Investments			6
Emerging Markets Fund
Investment Concentration Summary			9
Schedule of Investments			10
Foreign Small Companies Fund
Investment Concentration Summary			18
Schedule of Investments			19
International Equity Fund
Investment Concentration Summary			23
Schedule of Investments			24
International Large/Mid Cap Equity Fund
Investment Concentration Summary			29
Schedule of Investments			30
Quality Fund
Investment Concentration Summary			33
Schedule of Investments			34
Resources Fund
Investment Concentration Summary			36
Schedule of Investments			37
Risk Premium Fund
Investment Concentration Summary			40
Schedule of Investments			41
Tax-Managed International Equities Fund
Investment Concentration Summary			43
Schedule of Investments			44
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
Investment Concentration Summary			50
Schedule of Investments			51
Portfolio, Counterparty and Currency Abbreviations			55
Fund Financial Statements:
Statements of Assets and Liabilities			56
Statements of Operations			62
Statements of Changes in Net Assets			65
Financial Highlights			71
Notes to Financial Statements			88
Board Review of Investment Management Agreements			144
Fund Expenses			158

GMO Climate Change Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		94.2	%
Preferred Stocks		3.6
Mutual Funds		1.9
Short-Term Investments		0.3
Other		0.0	^

		100.0	%


Country Summary¤	% of Investments
United States		28.8	%
Japan		9.2
France		7.5
Norway		6.2
China		5.3
Russia		4.9
Germany		4.6
Denmark		4.5
Chile		3.6
Spain		3.0
United Kingdom		2.8
Italy		2.4
Poland		2.0
Australia		1.7
Netherlands		1.7
Other Developed		1.6	‡
Canada		1.6
Israel		1.6
Brazil		1.5
South Korea		1.5
Other Emerging		1.4	†
Sweden		1.0
Pakistan		0.9
Ukraine		0.7

		100.0	%


Industry Group Summary	% of Equity Investments^#
Clean Energy		41.5	%
Agriculture		20.9
Energy Efficiency		16.0
Copper		9.0
Smart Grid		6.6
Water		6.0

		100.0	%

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

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

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

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

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

^	Rounds to 0.0%.

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		COMMON STOCKS — 94.2%

		Argentina — 1.0%
	107,853	Adecoagro SA ^*		863,903


		Australia — 1.7%
	392,362	Neometals Ltd		83,273
	83,606	OZ Minerals Ltd		543,593
	53,371	Quintis Ltd ^* (a)		—
	144,469	Sandfire Resources NL		736,668
	54,840	Tassal Group Ltd		175,311

		Total Australia		1,538,845


		Austria — 0.2%
	21,804	Zumtobel Group AG ^*		175,196


		Brazil — 1.5%
	69,300	Cosan SA		592,090
	56,100	Duratex SA		133,050
	91,000	Sao Martinho SA		423,375
	13,300	SLC Agricola SA		215,511

		Total Brazil		1,364,026


		Canada — 1.6%
	20,763	Canadian Solar Inc ^*		298,157
	289,871	Capstone Mining Corp ^*		184,362
	17,062	Nutrien Ltd		958,871

		Total Canada		1,441,390


		China — 5.3%
	3,875,000	Century Sunshine Group Holdings Ltd ^*		113,621
	509,000	Chaowei Power Holdings Ltd		245,713
	726,000	China Datang Corp Renewable Power Co Ltd – Class H		110,277
	658,000	China High Speed Transmission Equipment Group Co Ltd		731,964
	1,645,000	China Singyes Solar Technologies Holdings Ltd		520,035
	780,000	China Suntien Green Energy Corp Ltd – Class H		236,892
	1,052,000	Huaneng Renewables Corp Ltd – Class H		336,698
	350,000	Tianneng Power International Ltd		435,040
	376,000	Wasion Holdings Ltd		189,762
	734,000	Xinjiang Goldwind Science & Technology Co Ltd – Class H		786,546
	2,246,000	Xinyi Solar Holdings Ltd		669,909
	140,914	Zhengzhou Yutong Bus Co Ltd – Class A		312,869

		Total China		4,689,326


		Denmark — 4.5%
	57,328	Vestas Wind Systems A/S		4,020,894


		Finland — 0.2%
	15,815	Kemira Oyj		209,687


Shares		Description	Value ($)
		France — 7.5%
	15,537	Albioma SA		346,873
	67,911	Electricite de France SA		1,111,608
	7,226	Nexans SA		230,724
	11,680	Schneider Electric SE		949,174
	76,375	Suez		1,105,376
	23,305	Valeo SA		1,057,733
	65,766	Veolia Environnement SA		1,385,371
	6,838	Vilmorin & Cie SA		474,395

		Total France		6,661,254


		Germany — 4.6%
	11,326	CENTROTEC Sustainable AG		168,552
	29,193	CropEnergies AG		156,360
	46,048	E.ON SE		491,590
	13,378	K+S AG (Registered)		304,326
	35,979	Nordex SE ^*		372,622
	2,066	OSRAM Licht AG		92,731
	100,454	PNE AG		330,542
	38,933	Senvion SA ^*		317,452
	14,245	Siemens AG (Registered)		1,849,056

		Total Germany		4,083,231


		Israel — 1.6%
	236,049	Israel Chemicals Ltd		1,379,270


		Italy — 2.4%
	9,748	CNH Industrial NV		116,637
	209,636	Enel SPA		1,036,428
	21,087	Prysmian SPA		543,798
	77,920	Terna Rete Elettrica Nazionale SPA		409,330

		Total Italy		2,106,193


		Japan — 9.2%
	4,100	Central Japan Railway Co		823,186
	6,000	East Japan Railway Co		542,535
	23,300	Ebara Corp		796,282
	132,000	GS Yuasa Corp		650,729
	116,700	Hitachi Zosen Corp		501,813
	41,000	Kubota Corp		640,858
	10,500	Kurita Water Industries Ltd		311,669
	4,700	Odelic Co Ltd		183,718
	6,300	Organo Corp		177,569
	39,400	Osaki Electric Co Ltd		289,418
	87,800	Panasonic Corp		1,045,920
	38,500	Sumitomo Forestry Co Ltd		621,874
	37,400	Takuma Co Ltd		460,762
	8,300	West Japan Railway Co		556,543
	27,400	Yokogawa Electric Corp		561,795

		Total Japan		8,164,671


2		See accompanying notes to the financial statements.

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Netherlands — 1.7%
	28,777	Arcadis NV		510,891
	23,539	SIF Holding NV		463,480
	18,100	Signify NV		510,213

		Total Netherlands		1,484,584


		Norway — 6.1%
	120,938	Austevoll Seafood ASA		1,591,354
	11,322	Bakkafrost P/F		645,914
	25,320	Grieg Seafood ASA		291,297
	28,011	Marine Harvest ASA		604,973
	19,829	Salmar ASA		954,691
	29,843	Yara International ASA		1,373,175

		Total Norway		5,461,404


		Pakistan — 0.9%
	534,500	Engro Fertilizers Ltd		340,099
	327,000	Fauji Fertilizer Co Ltd		257,718
	19,140	Millat Tractors Ltd		193,402

		Total Pakistan		791,219


		Poland — 1.9%
	70,581	KGHM Polska Miedz SA ^*		1,726,781


		Portugal — 1.0%
	221,429	EDP – Energias de Portugal SA		864,622


		Russia — 4.8%
	129,260	MMC Norilsk Nickel PJSC ADR		2,145,115
	66,867	PhosAgro PJSC GDR (Registered)		886,033
	124,517	Ros Agro Plc GDR (Registered)		1,274,483

		Total Russia		4,305,631


		South Africa — 0.1%
	13,387	Tongaat Hulett Ltd		72,025


		South Korea — 1.5%
	3,922	LG Chem Ltd		1,288,376


		Spain — 3.0%
	6,318	Acciona SA		555,757
	34,007	Endesa SA		760,850
	15,951	Fomento de Construcciones y Contratas SA ^*		222,909
	151,511	Iberdrola SA		1,125,792

		Total Spain		2,665,308


		Sweden — 1.0%
	11,941	Holmen AB		307,378
	53,268	Svenska Cellulosa AB SCA – Class B		620,104

		Total Sweden		927,482


Shares		Description	Value ($)
		Switzerland — 0.2%
	239	Gurit Holding AG		203,781


		Taiwan — 0.2%
	45,000	Delta Electronics Inc		180,441


		Thailand — 0.1%
	177,500	SPCG PCL		112,820


		Ukraine — 0.7%
	43,428	Kernel Holding SA		579,102


		United Kingdom — 2.8%
	47,381	Antofagasta Plc		496,317
	21,298	Go-Ahead Group Plc		463,606
	64,822	National Grid Plc		681,542
	74,108	Polypipe Group Plc		356,091
	227,686	Stagecoach Group Plc		480,759

		Total United Kingdom		2,478,315


		United States — 26.9%
	4,500	AGCO Corp.		268,470
	22,600	Albemarle Corp.		2,158,752
	25,200	BorgWarner, Inc.		1,103,004
	23,400	Darling Ingredients, Inc. ^*		462,852
	3,600	Deere & Co.		517,680
	10,500	Delphi Technologies Plc		369,915
	15,400	Eaton Corp Plc		1,280,356
	1,900	Emerson Electric Co.		145,787
	8,800	EnerSys		730,312
	25,600	Exelon Corp.		1,118,976
	49,600	First Solar, Inc. ^*		2,583,168
	292,951	Freeport-McMoRan, Inc.		4,115,962
	5,000	Mosaic Co. (The)		156,350
	8,600	Owens Corning		486,932
	40,300	PG&E Corp. ^*		1,861,054
	1,900	PotlatchDeltic Corp. (REIT)		91,770
	2,800	Rayonier, Inc. (REIT)		97,524
	26,100	Renewable Energy Group, Inc. ^*		703,395
	7,400	Rexnord Corp. ^*		214,822
	22,300	Shiloh Industries, Inc. ^*		200,254
	99,500	SolarEdge Technologies, Inc. ^*		4,771,025
	4,600	TE Connectivity Ltd.		421,728

		Total United States		23,860,088


		TOTAL COMMON STOCKS (COST $86,142,258)		83,699,865


		See accompanying notes to the financial statements.		3

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		PREFERRED STOCKS^(b) — 3.6%

		Chile — 3.6%
	75,800	Sociedad Quimica y Minera de Chile SA Sponsored ADR		3,229,838


		TOTAL PREFERRED STOCKS (COST $3,792,984)		3,229,838


		MUTUAL FUNDS — 1.9%

		United States — 1.9%
		Affiliated Issuers — 1.9%
	66,660	GMO U.S. Treasury Fund		1,665,159


		TOTAL MUTUAL FUNDS (COST $1,665,159)		1,665,159


		SHORT-TERM INVESTMENTS — 0.3%

		Money Market Fund — 0.3%
	253,712	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87%^(c)		253,712


		TOTAL SHORT-TERM INVESTMENTS (COST $253,712)		253,712


		TOTAL INVESTMENTS — 100.0% (Cost $91,854,113)		88,848,574
		Other Assets and Liabilities (net) — 0.0%		28,514


		TOTAL NET ASSETS — 100.0%		$88,877,088

Notes to Schedule of Investments:

*	Non-income producing security.

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

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

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


4		See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		70.9	%
Investment Funds		18.4
Mutual Funds		3.5
Short-Term Investments		3.3
Preferred Stocks		2.4
Debt Obligations		1.1
Forward Currency Contracts		0.0	^
Futures Contracts		0.0	^
Swap Contracts		(0.1	)
Other		0.5

		100.0	%


Country Summary¤	% of Investments
China		18.6	%
India		17.5
Taiwan		14.5
United States		11.7	*
Thailand		6.9
United Kingdom		6.5	*
Brazil		5.3
Hong Kong		4.4
Philippines		3.2
Switzerland		2.6
Mexico		2.1
France		2.0
Indonesia		1.1
Russia		1.1
Peru		0.7
Belgium		0.6
South Korea		0.6
South Africa		0.6

		100.0	%


Industry Group Summary	% of Equity Investments^#
Banks		30.0	%
Software & Services		13.5
Household & Personal Products		13.5
Insurance		9.8
Food, Beverage & Tobacco		9.0
Diversified Financials		5.2
Capital Goods		4.6
Consumer Durables & Apparel		3.5
Real Estate		2.5
Materials		1.9
Food & Staples Retailing		1.8
Transportation		1.7
Media		0.9
Consumer Services		0.8
Telecommunication Services		0.5
Energy		0.4
Automobiles & Components		0.4

		100.0	%

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

*	Includes companies that derive more than 50% of their revenues or profits from emerging markets.

^	Rounds to 0.0%.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		COMMON STOCKS — 70.9%

		Belgium — 0.6%
	99,400	Anheuser-Busch InBev SA Sponsored ADR		9,267,062


		Brazil — 2.0%
	2,734,239	Banco BTG Pactual SA		13,761,484
	1,135,000	Localiza Rent a Car SA		5,999,496
	1,633,158	LPS Brasil Consultoria de Imoveis SA ^*		1,178,828
	3,265,100	Rumo SA ^*		11,407,128

		Total Brazil		32,346,936


		China — 15.6%
	457,776	Alibaba Group Holding Ltd Sponsored ADR ^*		80,115,378
	1,028,379	Anhui Conch Cement Co Ltd – Class H		6,273,552
	36,886,004	China Construction Bank Corp – Class H		32,486,838
	5,232,766	China International Capital Corp Ltd – Class H		9,591,666
	1,290,098	Haitian International Holdings Ltd		2,589,018
	711,819	Huayu Automotive Systems Co Ltd – Class A		2,133,391
	97,994	Kweichow Moutai Co Ltd – Class A		9,462,244
	556,738	Midea Group Co Ltd – Class A		3,393,457
	621,410	Minth Group Ltd		2,548,282
	66,120	New Oriental Education & Technology Group Inc Sponsored ADR		5,197,032
	1,051,905	Ping An Insurance Group Co of China Ltd – Class H		10,146,510
	136,668	TAL Education Group ADR ^*		4,045,373
	1,841,884	Tencent Holdings Ltd		79,177,313
	3,620,274	Weichai Power Co Ltd – Class H		3,839,528

		Total China		250,999,582


		France — 1.9%
	130,717	L’Oreal SA		31,294,420


		Hong Kong — 4.2%
	7,847,241	AIA Group Ltd		67,755,077


		India — 16.8%
	1,335,735	Action Construction Equipment Ltd		2,558,207
	499,595	Amber Enterprises India Ltd ^{* (a) (b)}		6,920,854
	482,227	Asian Granito India Ltd		1,596,392
	355,440	Asian Paints Ltd		6,888,526
	546,076	Axis Bank Ltd ^*		5,006,555
	60,971	Bajaj Finserv Ltd		5,816,343
	551,221	Bombay Burmah Trading Co		14,500,031
	44,027	Britannia Industries Ltd		4,191,838
	333,007	CCL Products India Ltd		1,365,830
	1,201,247	CMI Ltd ^(b)		3,030,642
	632,608	Dabur India Ltd		4,269,528
	339,751	Dixon Technologies India Ltd ^{(a) (b)}		14,389,774
	10,683,040	Gayatri Highways Ltd ^*		316,306


Shares		Description	Value ($)
		India — continued
	11,052,457	Gayatri Projects Ltd ^{* (c)}		32,473,377
	1,487,940	HDFC Bank Ltd		43,451,185
	580,572	Hindustan Unilever Ltd		14,551,214
	1,977,361	ICICI Bank Ltd		9,537,219
	862,961	IndusInd Bank Ltd		23,248,354
	1,382,793	Kotak Mahindra Bank Ltd		25,116,964
	1,608,076	Mahindra & Mahindra Financial Services Ltd		11,104,961
	976,854	Marico Ltd		5,108,317
	3,821,923	MEP Infrastructure Developers Ltd		2,749,440
	1,503,690	Sangam India Ltd		1,762,788
	1,040,279	Srikalahasthi Pipes Ltd		3,255,776
	611,689	Sun TV Network Ltd		6,632,667
	474,860	TCNS Clothing Co Ltd ^*		4,539,294
	784,579	Titan Co Ltd		9,895,276
	86,624	UltraTech Cement Ltd		5,458,011

		Total India		269,735,669


		Indonesia — 1.1%
	6,386,264	Bank Central Asia Tbk PT		10,756,280
	27,141,400	Telekomunikasi Indonesia Persero Tbk PT		6,446,708

		Total Indonesia		17,202,988


		Mexico — 1.0%
	2,281,107	Grupo Financiero Banorte SAB de CV – Class O		15,558,606


		Peru — 0.7%
	49,682	Credicorp Ltd		10,831,670


		Philippines — 3.1%
	5,488,982	Bank of the Philippine Islands		9,627,409
	5,213,872	BDO Unibank Inc		12,693,926
	9,025,466	Concepcion Industrial Corp		7,762,009
	823,089	Philippine Seven Corp		1,690,067
	14,830,140	Puregold Price Club Inc		12,759,864
	9,819,848	Semirara Mining & Power Corp		5,326,392

		Total Philippines		49,859,667


		Russia — 1.1%
	1,567,987	Sberbank of Russia Sponsored ADR		17,075,814


		South Africa — 0.5%
	1,784,767	FirstRand Ltd		8,586,130


		South Korea — 0.5%
	227,431	Shinhan Financial Group Co Ltd		8,932,802


		Switzerland — 2.5%
	483,538	Nestle SA (Registered)		40,533,572


6		See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Taiwan — 7.9%
	18,730,000	Cathay Financial Holding Co Ltd		32,103,405
	55,885,000	CTBC Financial Holding Co Ltd		39,300,812
	27,832,245	E.Sun Financial Holding Co Ltd		20,484,203
	10,991,000	Fubon Financial Holding Co Ltd		18,222,542
	6,767,366	Uni-President Enterprises Corp		17,124,069

		Total Taiwan		127,235,031


		Thailand — 4.3%
	3,265,000	Bangkok Bank Pcl NVDR		20,449,975
	3,392,578	CP ALL Pcl (Foreign Registered)		6,997,626
	51,064,124	Land & Houses Pcl (Foreign Registered)		17,634,367
	100,911,662	Quality Houses Pcl (Foreign Registered)		10,669,027
	3,924,812	Tisco Financial Group Pcl (Foreign Registered)		9,836,157
	2,968,323	Workpoint Entertainment Pcl (Foreign Registered)		3,650,439

		Total Thailand		69,237,591


		United Kingdom — 6.2%
	212,793	British American Tobacco Plc		10,290,085
	1,573,687	Unilever Plc		89,676,133

		Total United Kingdom		99,966,218


		United States — 0.9%
	215,966	Colgate-Palmolive Co.		14,342,302


		TOTAL COMMON STOCKS (COST $1,204,065,217)		1,140,761,137


		PREFERRED STOCKS^(d) — 2.4%

		Brazil — 2.4%
	1,132,200	Banco Bradesco SA		7,888,791
	3,005,100	Itau Unibanco Holding SA		31,186,462

		Total Brazil		39,075,253


		TOTAL PREFERRED STOCKS (COST $54,811,297)		39,075,253


		INVESTMENT FUNDS — 18.4%

		Brazil — 0.7%
	319,508	iShares MSCI Brazil Capped ETF		10,368,035


		China — 2.1%
	689,600	Hang Seng Investment Index Funds Series – Hang Seng CEI ETF		9,846,832
	576,200	iShares China Large-Cap ETF		24,425,118

		Total China		34,271,950


		Mexico — 1.0%
	321,800	iShares MSCI Mexico Capped ETF		16,199,412


Shares/ Par Value†		Description	Value ($)
		Taiwan — 6.0%
	2,531,993	iShares MSCI Taiwan Capped ETF		96,038,494


		Thailand — 2.3%
	80,389,901	Digital Telecommunication Infrastructure Fund		36,827,694


		United States — 6.3%
	2,362,669	iShares MSCI Emerging Markets ETF		101,996,421


		TOTAL INVESTMENT FUNDS (COST $298,554,355)		295,702,006


		DEBT OBLIGATIONS — 1.1%

		Brazil — 1.1%
	17,632,000	Itau Unibanco Holding SA, Reg. S, 5.65%, due 03/19/22		17,630,237


		TOTAL DEBT OBLIGATIONS (COST $17,885,634)		17,630,237


		MUTUAL FUNDS — 3.5%

		United States — 3.5%
		Affiliated Issuers — 3.5%
	2,236,018	GMO U.S. Treasury Fund		55,855,727


		TOTAL MUTUAL FUNDS (COST $55,855,727)		55,855,727


		SHORT-TERM INVESTMENTS — 3.3%

		Money Market Fund — 3.1%
	49,960,540	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% ^(e)		49,960,540


		U.S. Government — 0.2%
	4,000,000	U.S. Treasury Bill, 2.10%, due 01/03/19 ^{(f) (g)}		3,971,464


		TOTAL SHORT-TERM INVESTMENTS (COST $53,935,197)		53,932,004


		TOTAL INVESTMENTS — 99.6% (Cost $1,685,107,427)		1,602,956,364
		Other Assets and Liabilities (net) — 0.4%		6,193,345


		TOTAL NET ASSETS — 100.0%		$1,609,149,709


		See accompanying notes to the financial statements.		7

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

Additional information on each restricted security is as follows:


Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of August 31, 2018
Amber Enterprises India Ltd	12/11/2017	$	6,214,810	0.43%	$	6,920,854
Dixon Technologies India Ltd	8/04/2017		9,417,811	0.89%		14,389,774

					$	21,310,628

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

Forward Currency Contracts



Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appre- ciation (Depre- ciation) ($)
01/24/2019	MSCI	PHP	1,999,356,086	USD	38,279,841		1,371,680
02/20/2019	MSCI	PHP	1,020,320,426	USD	19,069,628		269,367
01/22/2019	MSCI	THB	2,788,249,378	USD	83,847,242		(1,714,274	)
01/24/2019	MSCI	USD	31,122,291	PHP	1,664,115,700		(402,676	)

						$	(475,903	)

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
139	Mini MSCI Emerging Markets	September 2018	$	7,331,555	$	(512,178	)

+	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	9,465,489		04/12/2019		Monthly		—		(331,768	)		(331,768	)
Total return on MSCI Daily TR Gross Emerging Markets Philippines USD	1 Month LIBOR	GS		USD	10,909,506		06/20/2019		Monthly		—		(583,583	)		(583,583	)

										$	—	$	(915,351	)	$	(915,351	)

Notes to Schedule of Investments:

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

*	Non-income producing security.

(a)	The security is restricted as to resale.

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

(c)	Affiliated company (Note 10).

(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 August 31, 2018.

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

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


8		See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		92.5	%
Preferred Stocks		2.4
Mutual Funds		2.3
Investment Funds		2.1
Short-Term Investments		0.1
Swap Contracts		0.0	^
Futures Contracts		(0.5	)
Other		1.1

		100.0	%


Country Summary¤	% of Investments
Taiwan		19.5	%
China		18.3
Russia		13.5
United States		10.8	*
South Korea		6.7
Thailand		5.4
South Africa		4.4
Turkey		4.1
India		3.5
Mexico		2.8
Indonesia		2.5
Poland		2.2
Brazil		2.1
Qatar		1.2
Philippines		1.0
United Arab Emirates		0.7
United Kingdom		0.6
Colombia		0.2
Czech Republic		0.1
Pakistan		0.1
Malaysia		0.1
Chile		0.1
Peru		0.1
Sri Lanka		0.0	^
Egypt		0.0	^

		100.0	%


Industry Group Summary	% of Equity Investments^#
Banks		17.1	%
Energy		14.2
Materials		7.8
Technology Hardware & Equipment		7.5
Real Estate		6.1
Semiconductors & Semiconductor Equipment		6.1
Telecommunication Services		5.6
Diversified Financials		5.0
Software & Services		3.9
Insurance		3.9
Capital Goods		3.8
Food, Beverage & Tobacco		3.3
Utilities		2.7
Consumer Durables & Apparel		2.2
Food & Staples Retailing		1.9
Transportation		1.9
Retailing		1.7
Consumer Services		1.4
Automobiles & Components		1.2
Household & Personal Products		0.9
Health Care Equipment & Services		0.7
Pharmaceuticals, Biotechnology & Life Sciences		0.7
Media		0.3
Commercial & Professional Services		0.1

		100.0	%

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

*	Includes companies that derive more than 50% of their revenues or profits from emerging markets.

^	Rounds to 0.0%.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		COMMON STOCKS — 92.5%

		Brazil — 1.8%
	3,181,000	Ambev SA ADR		14,791,650
	868,046	Banco BTG Pactual SA		4,368,894
	421,800	BB Seguridade Participacoes SA		2,535,087
	389,000	Cia de Saneamento Basico do Estado de Sao Paulo		2,330,313
	455,600	Cia de Saneamento Basico do Estado de Sao Paulo ADR		2,738,156
	1,538,500	Cielo SA		5,703,604
	208,200	Cosan SA		1,778,832
	236,700	Equatorial Energia SA		3,312,440
	417,900	Estacio Participacoes SA		2,312,604
	1,173,400	Kroton Educacional SA		2,944,231
	338,200	Localiza Rent a Car SA		1,787,691
	1,628,205	LPS Brasil Consultoria de Imoveis SA ^*		1,175,253
	488,300	Petrobras Distribuidora SA		2,371,308
	173,300	QGEP Participacoes SA		519,079
	66,700	Qualicorp Consultoria e Corretora de Seguros SA		258,082
	938,735	Rumo SA ^*		3,279,615
	175,400	Smiles Fidelidade SA		2,235,401
	1,352,751	Transmissora Alianca de Energia Eletrica SA		6,675,578
	538,500	Ultrapar Participacoes SA		5,443,040
	228,600	Ultrapar Participacoes SA Sponsored ADR		2,336,292

		Total Brazil		68,897,150


		Chile — 0.1%
	1,769,109	AES Gener SA		444,320
	150,418	Inversiones La Construccion SA		2,452,539

		Total Chile		2,896,859


		China — 19.7%
	4,426,000	361 Degrees International Ltd		1,270,283
	75,286,290	Agricultural Bank of China Ltd – Class H		36,481,940
	5,163,946	Aier Eye Hospital Group Co Ltd – Class A		23,724,823
	658,759	Aisino Corp – Class A		2,740,811
	118,526	Alibaba Group Holding Ltd Sponsored ADR ^*		20,743,235
	1,031,400	Anhui Conch Cement Co Ltd – Class H		6,291,981
	774,000	Anhui Expressway Co Ltd – Class H		448,942
	80,864,682	Bank of China Ltd – Class H		36,337,134
	1,896,000	Baoye Group Co Ltd – Class H ^*		1,119,397
	1,572,819	Cangzhou Mingzhu Plastic Co Ltd – Class A		1,077,482
	576,300	Changyou.com Ltd ADR		7,774,287
	6,994,560	China Communications Services Corp Ltd – Class H		5,794,930
	118,430,606	China Construction Bank Corp – Class H		104,306,118
	1,167,300	China International Capital Corp Ltd – Class H		2,139,662
	2,127,368	China International Travel Service Corp Ltd – Class A		19,745,371
	21,803,000	China Machinery Engineering Corp – Class H		10,617,349
	3,064,837	China Mobile Ltd		28,826,375


Shares		Description	Value ($)
		China — continued
	148,200	China Mobile Ltd Sponsored ADR		7,112,118
	4,942,000	China Overseas Land & Investment Ltd		15,663,795
	29,000	China Petroleum & Chemical Corp ADR		2,879,990
	9,138,536	China Petroleum & Chemical Corp – Class A		9,166,134
	24,350,000	China Petroleum & Chemical Corp – Class H		24,500,640
	4,166,000	China Resources Land Ltd		14,532,057
	1,228,544	China Shenhua Energy Co Ltd – Class A		3,334,599
	7,278,000	China Shenhua Energy Co Ltd – Class H		16,255,417
	885,100	China Vanke Co Ltd – Class H		3,070,767
	3,508,310	China Yangtze Power Co Ltd – Class A		8,136,707
	1,199,406	Chongqing Department Store Co Ltd – Class A		5,045,128
	2,881,000	Country Garden Holdings Co Ltd		4,294,987
	430,114	Country Garden Services Holdings Co Ltd ^*		726,652
	6,984,766	Daqin Railway Co Ltd – Class A		8,830,968
	633,269	Dashang Co Ltd – Class A		2,657,660
	3,056,981	Fangda Special Steel Technology Co Ltd – Class A		4,971,359
	1,919,256	Gree Electric Appliances Inc of Zhuhai – Class A ^*		10,965,814
	9,584,000	Guangdong Investment Ltd		17,014,279
	292,300	Haitian International Holdings Ltd		586,599
	557,922	Hangzhou Robam Appliances Co Ltd – Class A		1,800,464
	3,599,534	Heilan Home Co Ltd – Class A		5,260,227
	1,534,836	Henan Shuanghui Investment & Development Co Ltd – Class A		5,228,794
	10,248,000	Hua Han Health Industry Holdings Ltd ^{* (a)}		678,957
	10,213,000	Huabao International Holdings Ltd		6,018,104
	187,212	Huayu Automotive Systems Co Ltd – Class A		561,093
	1,194,074	Huolinhe Opencut Coal Industry Corp Ltd of Inner Mongolia – Class A		1,491,992
	84,359,947	Industrial & Commercial Bank of China Ltd – Class H		62,308,055
	23,531	Kweichow Moutai Co Ltd – Class A		2,272,140
	137,228	Kweichow Moutai Co Ltd – Class A		13,250,657
	2,322,000	Logan Property Holdings Co Ltd		2,905,268
	773,500	Longfor Properties Co Ltd		2,151,510
	144,957	Midea Group Co Ltd – Class A		883,549
	1,168,555	Midea Group Co Ltd – Class A		7,122,635
	162,090	Minth Group Ltd		664,700
	19,600	New Oriental Education & Technology Group Inc Sponsored ADR		1,540,560
	12,369,000	PICC Property & Casualty Co Ltd – Class H		13,946,858
	267,000	Ping An Insurance Group Co of China Ltd – Class H		2,575,440
	5,152,400	Qingling Motors Co Ltd – Class H		1,405,415
	2,227,600	SAIC Motor Corp Ltd – Class A		9,522,766
	6,529,720	Shanghai Smi Holding Co Ltd – Class A		5,481,968
	3,344,000	Shenzhen Investment Ltd		1,095,728
	871,500	Shimao Property Holdings Ltd		2,602,623
	11,025,850	Suning Universal Co Ltd – Class A		5,459,602
	40,400	TAL Education Group ADR ^*		1,195,840
	1,757,865	Tencent Holdings Ltd		75,565,576


10		See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		China — continued
	300,800	Tencent Holdings Ltd ADR		12,976,512
	923,000	Weichai Power Co Ltd – Class H		978,900
	6,669,900	Yangzijiang Shipbuilding Holdings Ltd		5,201,103
	10,352,000	Zhejiang Expressway Co Ltd – Class H ^*		8,219,034
	500,573	Zhejiang Supor Cookware Co Ltd – Class A		3,674,824
	2,088,421	Zhejiang Weixing New Building Materials Co Ltd – Class A		5,181,388

		Total China		738,408,072


		Colombia — 0.2%
	2,802,331	Ecopetrol SA		3,146,257
	135,300	Ecopetrol SA Sponsored ADR		3,057,780

		Total Colombia		6,204,037


		Czech Republic — 0.2%
	483,861	Moneta Money Bank AS		1,691,269
	6,261	Philip Morris CR AS		4,197,115

		Total Czech Republic		5,888,384


		Egypt — 0.0%
	1,581,356	Global Telecom Holding SAE ^*		376,942


		India — 3.8%
	23,510	ACC Ltd		545,456
	317,300	Action Construction Equipment Ltd		607,695
	125,042	Asian Granito India Ltd		413,946
	91,677	Asian Paints Ltd		1,776,726
	1,070,235	Aurobindo Pharma Ltd		10,770,002
	140,821	Axis Bank Ltd ^*		1,291,080
	14,189	Bajaj Finserv Ltd		1,353,563
	122,465	Bombay Burmah Trading Co		3,221,478
	11,222	Britannia Industries Ltd		1,068,454
	74,792	CCL Products India Ltd		306,760
	293,346	CMI Ltd		740,086
	161,246	Dabur India Ltd		1,088,264
	574,247	Divi’s Laboratories Ltd		10,611,165
	38,430	Dixon Technologies India Ltd		1,627,660
	16,772,852	Gayatri Highways Ltd ^{* (b)}		496,614
	16,772,852	Gayatri Projects Ltd ^{* (b)}		49,280,549
	385,897	HDFC Bank Ltd		11,269,058
	146,940	Hindustan Unilever Ltd		3,682,843
	518,191	ICICI Bank Ltd		2,499,342
	753,918	IDFC Bank Ltd		507,571
	219,342	IndusInd Bank Ltd		5,909,121
	3,013,682	Jai Balaji Industries Ltd ^*		396,241
	1,322,083	Kiri Industries Ltd ^*		10,557,537
	349,068	Kotak Mahindra Bank Ltd		6,340,449
	432,592	Mahindra & Mahindra Financial Services Ltd		2,987,370
	250,395	Marico Ltd		1,309,404
	917,800	MEP Infrastructure Developers Ltd		660,253
	765,633	Power Finance Corp Ltd		912,840


Shares		Description	Value ($)
		India — continued
	528,333	Sangam India Ltd		619,369
	253,494	Srikalahasthi Pipes Ltd		793,364
	176,187	Sun TV Network Ltd		1,910,431
	180,790	Tata Motors Ltd – Class A ^*		362,901
	239,116	Titan Co Ltd		3,015,781
	21,600	UltraTech Cement Ltd		1,360,974
	1,706,236	Vakrangee Ltd		927,922

		Total India		141,222,269


		Indonesia — 2.7%
	45,024,200	Adaro Energy Tbk PT		5,708,652
	8,877,300	Astra International Tbk PT		4,372,209
	6,089,500	Bank Central Asia Tbk PT		10,256,445
	14,906,200	Bank Mandiri Persero Tbk PT		6,945,349
	7,593,200	Bank Negara Indonesia Persero Tbk PT		4,022,190
	92,101,000	Bank Pembangunan Daerah Jawa Timur Tbk PT		4,188,941
	127,885,600	Bank Rakyat Indonesia Persero Tbk PT		27,631,785
	14,648,000	Bukit Asam Tbk PT		4,028,392
	5,280,100	Bumi Serpong Damai Tbk PT ^*		430,680
	610,800	Delta Dunia Makmur Tbk PT ^*		28,637
	6,293,991	Indo Tambangraya Megah Tbk PT		12,094,308
	1,797,200	Link Net Tbk PT		524,838
	810,200	Matahari Department Store Tbk PT		412,712
	359,900	Medco Energi Internasional Tbk PT ^*		21,261
	83,219,300	Modernland Realty Tbk PT		1,436,603
	168,492,900	Panin Financial Tbk PT ^*		2,335,448
	3,611,400	PP Persero Tbk PT		466,289
	5,468,700	Ramayana Lestari Sentosa Tbk PT		471,601
	41,760,900	Surya Semesta Internusa Tbk PT		1,378,351
	33,315,700	Telekomunikasi Indonesia Persero Tbk PT		7,913,247
	40,972	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		969,807
	1,764,700	United Tractors Tbk PT		4,122,620
	20,147,800	Waskita Beton Precast Tbk PT		533,892
	2,807,800	XL Axiata Tbk PT ^*		606,014

		Total Indonesia		100,900,271


		Malaysia — 0.1%
	4,911,988	KSL Holdings Berhad ^*		1,015,019
	21,400	Petron Malaysia Refining & Marketing Bhd		44,180
	2,890,200	Sapura Energy Berhad ^*		237,304
	3,472,967	UOA Development Berhad		2,051,141
	2,230,100	YTL Power International Berhad		618,214

		Total Malaysia		3,965,858


		Mexico — 3.0%
	731,930	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand – Class B		1,159,656
	4,217,100	Cemex SAB de CV CPO ^*		2,988,683
	1,085,600	Cemex SAB de CV Sponsored ADR ^*		7,696,904


		See accompanying notes to the financial statements.		11

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Mexico — continued
	20,700	Concentradora Fibra Danhos SA de CV (REIT)		34,303
	2,553,000	Corp Inmobiliaria Vesta SAB de CV		3,614,642
	519,000	Credito Real SAB de CV SOFOM ER		671,255
	1,466,000	Fibra Uno Administracion SA de CV (REIT)		1,918,321
	662,900	Fomento Economico Mexicano SAB de CV		6,349,600
	121,200	Fomento Economico Mexicano SAB de CV Sponsored ADR		11,620,656
	2,763,100	Gentera SAB de CV		2,804,282
	917,800	Grupo Aeroportuario del Centro Norte SAB de CV		6,033,237
	11,300	Grupo Aeroportuario del Centro Norte SAB de CV ADR		595,623
	20,900	Grupo Aeroportuario del Pacifico SAB de CV ADR		2,159,179
	218,700	Grupo Aeroportuario del Pacifico SAB de CV – Class B		2,259,775
	9,600	Grupo Aeroportuario del Sureste SAB de CV ADR		1,800,864
	73,750	Grupo Aeroportuario del Sureste SAB de CV – Class B		1,382,992
	2,079,600	Grupo Financiero Banorte SAB de CV – Class O		14,184,199
	153,900	Grupo Financiero Inbursa SAB de CV – Class O		244,883
	779,000	Grupo Lala SAB de CV		828,938
	1,728,400	Grupo Mexico SAB de CV – Series B		5,058,026
	27,200	Industrias Bachoco SAB de CV – Series B		132,133
	1,252,000	Kimberly-Clark de Mexico SAB de CV – Class A		2,203,832
	13,000	Megacable Holdings SAB de CV CPO		61,274
	688,900	Mexichem SAB de CV		2,324,669
	315,670	Promotora y Operadora de Infraestructura SAB de CV		3,354,931
	9,900	Rassini SAB de CV		37,273
	543,500	Unifin Financiera SAB de CV SOFOM ENR		1,386,540
	11,278,300	Wal-Mart de Mexico SAB de CV		31,228,174

		Total Mexico		114,134,844


		Pakistan — 0.1%
	504,200	Engro Corp Ltd		1,336,144
	1,725,000	Engro Fertilizers Ltd		1,097,605
	1,221,700	Oil & Gas Development Co Ltd		1,496,036
	285,250	Pakistan Oilfields Ltd		1,478,031

		Total Pakistan		5,407,816


		Peru — 0.1%
	13,000	Credicorp Ltd		2,834,260


		Philippines — 1.0%
	1,379,433	Bank of the Philippine Islands		2,419,459
	1,211,034	BDO Unibank Inc		2,948,438
	8,932,000	Belle Corp		514,553
	1,523,810	Concepcion Industrial Corp		1,310,495


Shares		Description	Value ($)
		Philippines — continued
	2,524,800	DMCI Holdings Inc		604,712
	1,587,500	Eagle Cement Corp		482,141
	2,748,677	First Gen Corp		874,217
	60,760	GT Capital Holdings Inc		995,849
	8,672,100	LT Group Inc		2,789,242
	1,229,850	Manila Electric Co		8,587,152
	7,115,000	Manila Water Co Inc		3,247,625
	20,677,000	Megaworld Corp		1,775,728
	12,133,000	Metro Pacific Investments Corp		1,237,768
	18,042,966	Nickel Asia Corp		1,833,309
	4,380,775	Petron Corp		742,403
	1,326,965	Pilipinas Shell Petroleum Corp		1,426,989
	3,996,538	Puregold Price Club Inc		3,438,624
	6,630,000	Semirara Mining & Power Corp		3,596,184

		Total Philippines		38,824,888


		Poland — 2.4%
	232,159	Bank Millennium SA ^*		563,458
	359,019	Bank Polska Kasa Opieki SA		11,312,145
	9,417	Bank Zachodni WBK SA		957,323
	78,078	Budimex SA		2,399,358
	100,668	CD Projekt SA ^*		5,608,497
	1,755	Dino Polska SA ^*		43,128
	28,308	Grupa Lotos SA		532,204
	68,297	KRUK SA		3,811,414
	1,192	LPP SA		2,969,251
	671,083	Polski Koncern Naftowy ORLEN SA		17,790,613
	7,809,765	Polskie Gornictwo Naftowe i Gazownictwo SA ^*		12,234,607
	828,549	Powszechna Kasa Oszczednosci Bank Polski SA		9,441,421
	1,521,722	Powszechny Zaklad Ubezpieczen SA		18,325,687
	21,869	Stalprodukt SA		2,734,130
	51,809	Warsaw Stock Exchange		578,611

		Total Poland		89,301,847


		Qatar — 1.3%
	909,394	Barwa Real Estate Co		8,992,361
	251,370	Doha Bank QPSC		1,773,979
	156,718	Masraf Al Rayan QSC		1,623,163
	36,401	Ooredoo QPSC		731,379
	35,383	Qatar Electricity & Water Co QSC		1,858,593
	288,376	Qatar Gas Transport Co Ltd Nakilat		1,385,264
	210,512	Qatar Insurance Co SAQ		2,128,772
	63,708	Qatar International Islamic Bank QSC		980,409
	43,481	Qatar Islamic Bank SAQ		1,672,124
	564,866	Qatar National Bank QPSC		27,620,808
	27,944	Qatar National Cement Co QSC		440,477
	237,288	United Development Co QSC		905,571

		Total Qatar		50,112,900


12		See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Russia — 14.1%
	5,660,800	Aeroflot PJSC		9,696,435
	16,802,000	Alrosa PJSC		25,273,099
	13,861	Etalon Group Plc GDR		32,292
	523,850	Gazprom Neft PJSC		2,608,576
	4,516	Gazprom Neft PJSC Sponsored ADR		111,320
	16,978,392	Gazprom PJSC Sponsored ADR		74,889,819
	785,069	Globaltrans Investment Plc Sponsored GDR (Registered)		8,641,605
	118,764,000	Inter RAO UES PJSC		7,118,251
	1,047,683	LUKOIL PJSC Sponsored ADR		72,397,622
	717,027	M.Video PJSC ^*		4,605,735
	2,932,900	Magnitogorsk Iron & Steel OJSC		2,111,442
	5,587	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		53,349
	1,977,307	MMC Norilsk Nickel PJSC ADR		32,814,112
	4,191,715	Mobile TeleSystems PJSC Sponsored ADR		32,485,791
	12,195,717	Moscow Exchange MICEX-RTS PJSC		17,714,126
	323,250	Novatek PJSC		5,195,810
	334,258	Novatek PJSC Sponsered GDR (Registered)		55,896,612
	1,584,950	Novolipetsk Steel PJSC		3,888,993
	908,781	Novolipetsk Steel PJSC GDR		22,070,860
	50,881	Polyus PJSC		3,301,678
	176,056	Polyus PJSC GDR (Registered)		5,706,464
	570,715	QIWI Plc Sponsored ADR ^*		8,104,153
	21,440	Raspadskaya OJSC ^*		31,651
	8,118,075	Rostelecom PJSC		8,137,262
	33,228	Rostelecom PJSC Sponsored ADR		199,762
	16,500	Safmar Financial Investment		196,195
	3,294,690	Sberbank of Russia PJSC		8,856,049
	4,681,680	Sberbank of Russia Sponsored ADR		50,984,797
	49,860	Severstal PJSC		803,362
	788,544	Severstal PJSC GDR (Registered)		12,688,626
	2,878,707	Surgutneftegas OJSC Sponsored ADR		11,981,803
	827,420	Tatneft PJSC		9,617,477
	373,731	Tatneft PJSC Sponsored ADR		25,912,896
	226,235	TCS Group Holding Plc GDR (Registered)		4,164,689
	7,524	TMK PJSC GDR (Registered)		31,686
	16,747,000	Unipro PJSC		662,467

		Total Russia		528,986,866


		South Africa — 4.7%
	271,282	Absa Group Ltd		3,000,416
	6,075	AECI Ltd		43,019
	510,548	Alviva Holdings Ltd		632,241
	40,145	Astral Foods Ltd		707,018
	1,012,841	AVI Ltd		7,992,009
	217,873	Barloworld Ltd		1,853,016
	140,940	BID Corp Ltd		3,007,223
	285,827	Brait SE ^*		725,964
	38,782	Capitec Bank Holdings Ltd		2,648,594
	611,067	Clicks Group Ltd		8,439,449


Shares		Description	Value ($)
		South Africa — continued
	418,056	Coronation Fund Managers Ltd		1,637,715
	229,912	Discovery Ltd		2,739,562
	63,541	Distell Group Holdings Ltd ^*		527,412
	867,972	Exxaro Resources Ltd		8,797,818
	2,490,384	FirstRand Ltd		11,980,702
	259,689	Foschini Group Ltd (The)		3,085,219
	5,176,049	Growthpoint Properties Ltd (REIT)		8,960,486
	29,881	Hyprop Investments Ltd (REIT)		207,418
	216,059	Imperial Holdings Ltd		3,027,420
	128,946	JSE Ltd		1,420,893
	329,630	Kumba Iron Ore Ltd		5,942,265
	1,013,121	Lewis Group Ltd		1,951,400
	340,553	Liberty Holdings Ltd		2,694,328
	555,094	Metair Investments Ltd		660,010
	121,935	Mondi Ltd		3,402,244
	1,074,651	Mr Price Group Ltd		16,474,438
	290,782	MTN Group Ltd		1,760,610
	91,724	Nedbank Group Ltd		1,735,030
	3,721,399	Old Mutual Ltd ^*		7,698,573
	402,894	Rand Merchant Investment Holdings Ltd		1,119,956
	205,378	Reinet Investments SCA		3,976,735
	1,948,183	RMB Holdings Ltd		11,181,153
	1,137,457	Sanlam Ltd		6,139,026
	279,307	Sappi Ltd		1,907,729
	125,094	Sasol Ltd		4,899,848
	18,500	Sasol Ltd Sponsored ADR		726,310
	304,621	Shoprite Holdings Ltd		4,228,760
	742,409	Sibanye Gold Ltd ^*		429,497
	197,091	SPAR Group Ltd (The)		2,749,582
	220,444	Standard Bank Group Ltd		2,794,010
	8,794,688	Steinhoff International Holdings NV ^*		1,676,281
	222,227	Tiger Brands Ltd		4,326,345
	2,249,108	Truworths International Ltd		13,163,273
	201,908	Wilson Bayly Holmes-Ovcon Ltd		2,059,064

		Total South Africa		175,130,061


		South Korea — 5.5%
	2,217,118	BNK Financial Group Inc		16,618,449
	8,626	Celltrion Pharm Inc ^*		621,042
	6,777	Cuckoo Holdings Co Ltd		1,071,508
	170,225	Daou Data Corp		1,773,610
	338,594	Daou Technology Inc		6,902,202
	412,451	DB Insurance Co Ltd		23,713,426
	13,124	Dong Ah Tire & Rubber Co Ltd		418,047
	1,626,839	Dongwon Development Co Ltd		6,113,801
	234,189	Grand Korea Leisure Co Ltd		5,079,611
	13,804	GS Home Shopping Inc		2,571,534
	2,765	Hankook Shell Oil Co Ltd		841,774
	698,815	Hankook Tire Worldwide Co Ltd		11,425,818
	14,845	Hanwha Aerospace Co Ltd ^*		333,341
	5,862	HLB Inc ^*		547,330


		See accompanying notes to the financial statements.		13

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		South Korea — continued
	45,819	Hyundai Home Shopping Network Corp		4,670,880
	486,003	Hyundai Hy Communications & Network Co Ltd		1,786,025
	473,650	Hyundai Marine & Fire Insurance Co Ltd		15,823,833
	53,484	Hyundai Mobis Co Ltd		10,762,819
	9,577	Hyundai Wia Corp		366,836
	67,809	iMarketKorea Inc		426,282
	561,278	Kangwon Land Inc		14,600,275
	693,792	Korea Asset In Trust Co Ltd 9 (REIT)		3,371,957
	23,836	Korea Zinc Co Ltd		8,678,118
	273,001	KT Skylife Co Ltd		3,261,598
	269,151	KT&G Corp		24,414,102
	210,245	Kyobo Securities Co Ltd		1,851,064
	132,605	LF Corp		3,163,258
	48,514	Maeil Holdings Co Ltd		620,876
	152,407	Meritz Financial Group Inc		1,683,334
	35,592	Meritz Fire & Marine Insurance Co Ltd		583,490
	39,220	Samsung Card Co Ltd		1,241,689
	14,427	Samsung Electronics Co Ltd GDR		15,405,802
	42,753	Samsung Engineering Co Ltd ^*		646,682
	15,647	Samsung Fire & Marine Insurance Co Ltd		3,724,717
	58,643	Shinhan Financial Group Co Ltd		2,303,320
	45,363	Sindoh Co Ltd		2,090,747
	31,520	SK Innovation Co Ltd		5,464,384
	98,870	SK Networks Co Ltd		397,768
	3,551	ViroMed Co Ltd ^*		756,624

		Total South Korea		206,127,973


		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd ^{* (b)}		834,693


		Taiwan — 20.3%
	11,453,000	AcBel Polytech Inc		7,550,784
	1,252,000	Actron Technology Corp		4,079,641
	1,505,532	Advantech Co Ltd		10,251,471
	11,408,740	AmTRAN Technology Co Ltd ^*		4,791,895
	1,605,000	Asia Pacific Telecom Co Ltd ^*		382,627
	3,277,620	Asustek Computer Inc		27,930,807
	175,200	Aurora Corp		621,660
	3,663,000	Catcher Technology Co Ltd		44,888,353
	18,768,000	Cathay Financial Holding Co Ltd		32,168,538
	8,248,740	Chailease Holding Co Ltd		28,062,815
	119,000	Chaun-Choung Technology Corp		371,629
	281,254	Chicony Electronics Co Ltd		591,937
	259,089	Chicony Power Technology Co Ltd		372,883
	3,469,100	Chin-Poon Industrial Co Ltd		4,288,716
	799,000	China Motor Corp		670,834
	9,984,259	Chunghwa Telecom Co Ltd		35,288,236
	138,121	Chunghwa Telecom Co Ltd Sponsored ADR		4,860,478
	317,000	Cleanaway Co Ltd		1,873,140
	4,786,400	Coretronic Corp		9,004,834


Shares		Description	Value ($)
		Taiwan — continued
	66,579,720	CTBC Financial Holding Co Ltd		46,821,814
	2,587,000	CTCI Corp		3,963,219
	1,870,000	Dynapack International Technology Corp		2,441,663
	13,129,189	E.Sun Financial Holding Co Ltd		9,662,927
	159,500	Elite Advanced Laser Corp		385,684
	469,000	Everlight Electronics Co Ltd		485,376
	7,911,084	Far EasTone Telecommunications Co Ltd		18,870,176
	3,564,000	Farglory Land Development Co Ltd		3,655,328
	699,000	FLEXium Interconnect Inc		2,249,858
	1,581,000	Formosa Chemicals & Fibre Corp		6,335,752
	2,154,000	Formosa Petrochemical Corp		8,844,969
	3,442,000	Formosa Plastics Corp		12,617,963
	3,162,303	Formosan Rubber Group Inc		1,467,689
	11,024,075	Foxconn Technology Co Ltd		28,028,406
	24,804,200	Fubon Financial Holding Co Ltd		41,124,155
	5,839,200	Gigabyte Technology Co Ltd		9,963,299
	357,000	Greatek Electronics Inc		607,731
	1,599,700	Green Seal Holding Ltd		1,809,701
	7,642,754	Highwealth Construction Corp		12,416,458
	1,500,000	Holtek Semiconductor Inc		4,138,295
	2,351,000	Huaku Development Co Ltd		4,987,740
	3,248,900	IEI Integration Corp		4,020,879
	3,668,700	Inventec Corp		3,292,821
	235,000	King’s Town Bank Co Ltd		236,412
	195,000	Kung Long Batteries Industrial Co Ltd		917,892
	539,785	Makalot Industrial Co Ltd		2,798,740
	523,000	Mercuries Life Insurance Co Ltd		271,608
	176,000	Merida Industry Co Ltd		845,313
	4,938,810	Novatek Microelectronics Corp		24,216,425
	263,853	OptoTech Corp		196,111
	5,220,000	Pou Chen Corp		5,755,570
	1,211,000	Quanta Storage Inc		1,021,053
	11,076,870	Radiant Opto-Electronics Corp		24,330,494
	4,884,720	Realtek Semiconductor Corp		23,707,253
	947,000	Rechi Precision Co Ltd		925,867
	2,025,151	Ruentex Development Co Ltd		2,280,539
	7,368,000	Ruentex Industries Ltd		15,115,457
	811,000	Sercomm Corp		1,425,691
	1,947,068	Simplo Technology Co Ltd		14,269,392
	303,000	Sinbon Electronics Co Ltd		860,104
	2,184,200	Sitronix Technology Corp		6,889,594
	2,951,000	Syncmold Enterprise Corp		5,635,868
	580,000	Taiwan Mobile Co Ltd		2,020,933
	476,000	Taiwan PCB Techvest Co Ltd		448,234
	8,122,000	Taiwan Semiconductor Manufacturing Co Ltd		68,051,710
	1,340,010	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		58,424,436
	3,357,269	Taiwan Surface Mounting Technology Corp		3,611,238
	379,000	Test Research Inc		665,287
	326,000	Tong Hsing Electronic Industries Ltd		897,720
	424,981	Topco Scientific Co Ltd		1,079,676


14		See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Taiwan — continued
	1,149,000	Transcend Information Inc		2,779,994
	1,716,160	Tripod Technology Corp		5,297,601
	1,905,000	TXC Corp		2,212,079
	5,658,812	Uni-President Enterprises Corp		14,318,996
	5,201,000	United Integrated Services Co Ltd		10,497,479
	3,216,000	Waterland Financial Holdings Co Ltd		1,110,129
	284,214	Wistron NeWeb Corp		634,846
	5,939,000	Yuanta Financial Holding Co Ltd		3,009,199
	167,000	Yulon Finance Corp		560,265
	3,873,670	Yungtay Engineering Co Ltd		5,907,450
	275,000	Zeng Hsing Industrial Co Ltd		1,280,040

		Total Taiwan		760,749,876


		Thailand — 5.6%
	2,312,500	Advanced Info Service Pcl (Foreign Registered)		14,274,632
	5,220,200	Amata Corp Pcl (Foreign Registered)		3,398,972
	2,245,200	AP Thailand Pcl (Foreign Registered)		645,003
	590,700	Bangkok Bank Pcl (Foreign Registered) ^(c)		3,753,932
	1,618,700	Bangkok Bank Pcl NVDR		10,138,553
	8,027,500	Central Pattana Pcl (Foreign Registered)		20,232,877
	872,700	CP ALL Pcl (Foreign Registered)		1,800,055
	1,077,000	Delta Electronics Thailand Pcl (Foreign Registered)		2,295,379
	3,790,701	Glow Energy Pcl (Foreign Registered)		10,886,357
	2,744,200	Hana Microelectronics Pcl (Foreign Registered)		3,231,754
	5,672,900	Intouch Holdings Pcl (Foreign Registered) ^(c)		9,838,457
	5,201,400	Intouch Holdings Pcl NVDR ^(c)		8,822,036
	840,900	KCE Electronics Pcl		1,164,446
	48,236,700	Land & Houses Pcl (Foreign Registered)		16,657,951
	15,769,750	LPN Development Pcl (Foreign Registered)		4,771,866
	3,025,300	MC Group Pcl (Foreign Registered)		1,210,924
	2,484,500	Platinum Group Pcl (The)		596,130
	4,105,800	Pruksa Holding Pcl (Foreign Registered)		2,533,744
	1,021,400	PTT Exploration & Production Pcl (Foreign Registered)		4,450,266
	5,950,200	PTT Global Chemical Pcl (Foreign Registered)		14,871,529
	10,393,000	PTT Pcl (Foreign Registered)		16,686,397
	52,431,592	Quality Houses Pcl (Foreign Registered)		5,543,403
	5,095,202	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		8,134,124
	30,340,823	Sansiri Pcl (Foreign Registered)		1,493,282
	8,279,800	Siamgas & Petrochemicals Pcl (Foreign Registered)		3,037,177
	24,922,100	Star Petroleum Refining Pcl (Foreign Registered)		11,348,442
	2,275,600	STP & I Pcl (Foreign Registered) ^*		321,384
	5,390,175	Supalai Pcl (Foreign Registered)		3,985,590
	3,476,800	Thai Oil Pcl (Foreign Registered)		8,952,802
	142,900	Thai Vegetable Oil Pcl (Foreign Registered)		128,819
	870,500	Tisco Financial Group Pcl (Foreign Registered)		2,181,601


Shares		Description	Value ($)
		Thailand — continued
	28,005,650	TTW Pcl (Foreign Registered)		10,608,660
	669,700	Workpoint Entertainment Pcl (Foreign Registered)		823,596

		Total Thailand		208,820,140


		Turkey — 4.4%
	1,831,223	Adana Cimento Sanayii TAS – Class C		394,434
	1,181,263	Akbank Turk AS		1,039,220
	325,642	Aksa Akrilik Kimya Sanayii AS		554,567
	556,662	Alarko Holding AS		405,792
	3,591,836	Albaraka Turk Katilim Bankas AS		689,996
	634,355	Aselsan Elektronik Sanayi Ve Ticaret AS		2,503,184
	356,823	Aygaz AS		651,563
	1,194,507	BIM Birlesik Magazalar AS		13,306,328
	4,119,907	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		2,327,999
	63,672,567	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		17,831,606
	105,143	Enerjisa Enerji AS		83,213
	4,898,523	Enka Insaat ve Sanayi AS		3,831,993
	14,015,132	Eregli Demir ve Celik Fabrikalari TAS		25,306,491
	228,649	Ford Otomotiv Sanayi AS		2,332,073
	5,194,966	Haci Omer Sabanci Holding AS		5,644,797
	8,213,630	Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim AS ^*		6,110,557
	3,402,129	Is Gayrimenkul Yatirim Ortakligi AS (REIT)		482,392
	65,006	Mavi Giyim Sanayi Ve Ticaret AS – Class B		250,770
	173,402	Otokar Otomotiv Ve Savunma Sanayi AS		1,884,900
	17,775,348	Soda Sanayii AS		21,943,546
	847,137	TAV Havalimanlari Holding AS		4,262,244
	1,812,109	Tekfen Holding AS		5,661,282
	407,420	Tofas Turk Otomobil Fabrikasi AS		1,424,579
	1,469,612	Trakya Cam Sanayii AS		969,945
	956,882	Tupras Turkiye Petrol Rafineriler AS		17,204,570
	644,466	Turk Telekomunikasyon AS^*		359,080
	76,596	Turk Traktor ve Ziraat Makineleri AS		531,367
	2,898,100	Turkcell Iletisim Hizmetleri AS		4,664,177
	12,122,795	Turkiye Garanti Bankasi AS		11,015,722
	7,594,630	Turkiye Halk Bankasi AS		7,107,094
	2,720,379	Turkiye Is Bankasi – Class C		1,656,487
	21,659,210	Turkiye Sinai Kalkinma Bankasi AS		2,512,167
	1,812,649	Turkiye Vakiflar Bankasi TAO – Class D		958,098

		Total Turkey		165,902,233


		United Arab Emirates — 0.8%
	284,027	Abu Dhabi Commercial Bank PJSC		548,935
	6,550,402	Air Arabia PJSC		1,801,016
	3,500,178	Aldar Properties PJSC		1,837,639
	12,945,725	DAMAC Properties Dubai Co PJSC		7,397,484
	3,717,796	Dana Gas PJSC		1,122,272
	80,966	DP World Ltd		1,731,735


		See accompanying notes to the financial statements.		15

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		United Arab Emirates — continued
	1,357,672	Dubai Investments PJSC		735,147
	794,823	Dubai Islamic Bank PJSC		1,107,555
	4,024,325	DXB Entertainments PJSC ^*		378,936
	497,984	Emaar Development PJSC ^*		716,855
	2,503,796	Emaar Properties PJSC		3,412,171
	939,591	Emirates Telecommunications Group Co PJSC		4,332,971
	288,555	First Abu Dhabi Bank PJSC		1,162,651
	14,291,786	RAK Properties PJSC		2,412,778

		Total United Arab Emirates		28,698,145


		United Kingdom — 0.6%
	409,901	Unilever Plc		23,358,099


		TOTAL COMMON STOCKS (COST $3,471,742,515)		3,467,984,483


		PREFERRED STOCKS^(d) — 2.4%

		Brazil — 0.4%
	336,900	Banco Bradesco SA		2,347,406
	1,477,600	Companhia Energetica de Minas Gerais		2,706,267
	903,640	Itau Unibanco Holding SA		9,377,836

		Total Brazil		14,431,509


		Colombia — 0.0%
	584,788	Grupo Aval Acciones y Valores SA		230,371


		Russia — 0.3%
	195,603	Bashneft PJSC		4,903,223
	3,944	Transneft PJSC		8,336,436

		Total Russia		13,239,659


		South Korea — 1.7%
	1,747,590	Samsung Electronics Co Ltd		62,268,870


		Taiwan — 0.0%
	605,412	CTBC Financial Holding Co Ltd		1,224,107


		TOTAL PREFERRED STOCKS (COST $79,520,833)		91,394,516


Shares		Description	Value ($)
		INVESTMENT FUNDS — 2.1%

		Russia — 0.0%
	3,214,692	NCH Eagle Fund LP ^{* (e) (f)}		99,022


		Thailand — 0.2%
	20,378,500	Digital Telecommunication Infrastructure Fund		9,335,665


		United States — 1.9%
	1,627,307	iShares MSCI Emerging Markets ETF		70,250,843


		TOTAL INVESTMENT FUNDS (COST $82,620,125)		79,685,530


		MUTUAL FUNDS — 2.3%

		United States — 2.3%
		Affiliated Issuers — 2.3%
	3,383,053	GMO U.S. Treasury Fund		84,508,659


		TOTAL MUTUAL FUNDS (COST $84,508,659)		84,508,659


		SHORT-TERM INVESTMENTS — 0.1%

		Money Market Fund — 0.1%
	5,016,432	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% ^(g)		5,016,432

		Total Money Market Funds		5,016,432


		TOTAL SHORT-TERM INVESTMENTS (COST $5,016,432)		5,016,432


		TOTAL INVESTMENTS — 99.4% (Cost $3,723,408,564)		3,728,589,620
		Other Assets and Liabilities (net) — 0.6%		21,178,396


		TOTAL NET ASSETS — 100.0%		$3,749,768,016

Additional information on each restricted security is as follows:


Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of August 31, 2018
NCH Eagle Fund LP	4/6/09	$	5,452,004	0.00%	$	99,022


16		See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

A summary of outstanding financial instruments at August 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	September 2018	$	280,603,400	$	(20,827,310	)

+	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	21,860,777		09/27/2018	At Maturity	$	—	$	770,262	$	770,262

								$	—	$	770,262	$	770,262

Notes to Schedule of Investments:

*	Non-income producing security.

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

(b)	Affiliated company (Note 10).

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

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

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

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

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


		See accompanying notes to the financial statements.		17

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		96.2	%
Mutual Funds		3.1
Short-Term Investments		0.2
Preferred Stocks		0.2
Futures Contracts		0.0	^
Other		0.3

		100.0	%


Country Summary¤	% of Investments
Japan		23.8	%
United Kingdom		13.9
South Korea		6.8
Germany		5.8
Canada		5.6
Switzerland		5.2
France		5.1
Australia		3.1
United States		3.0
Taiwan		2.6
Sweden		2.6
Italy		2.6
India		2.1
Singapore		2.1
China		2.1
Spain		2.1
European Union		1.9
Hong Kong		1.8
Malaysia		1.6
Austria		1.2
Belgium		1.1
Finland		1.1
Other Emerging		1.1	†
Norway		1.0
Other Developed		0.7	‡

		100.0	%


Industry Group Summary	% of Equity Investments^#
Capital Goods		17.1	%
Materials		11.7
Consumer Durables & Apparel		7.3
Technology Hardware & Equipment		7.1
Transportation		5.8
Pharmaceuticals, Biotechnology & Life Sciences		5.7
Software & Services		5.5
Real Estate		5.5
Automobiles & Components		5.2
Food, Beverage & Tobacco		5.1
Diversified Financials		4.9
Retailing		3.5
Energy		2.9
Household & Personal Products		2.5
Media		2.1
Health Care Equipment & Services		1.9
Insurance		1.8
Commercial & Professional Services		1.5
Semiconductors & Semiconductor Equipment		1.3
Utilities		0.8
Consumer Services		0.5
Food & Staples Retailing		0.3
Banks		0.0	^

		100.0	%

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

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

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

^	Rounds to 0.0%.

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		COMMON STOCKS — 96.2%

		Australia — 3.2%
	14,433	Australian Pharmaceutical Industries Ltd		19,152
	3,653	Brickworks Ltd		45,970
	35,442	Codan Ltd		79,392
	1,941	Costa Group Holdings Ltd		10,104
	5,140	Folkestone Education Trust (REIT)		10,190
	164,024	GDI Property Group (REIT)		149,676
	3,404	IDP Education Ltd		26,630
	14,469	Mineral Resources Ltd		157,609
	15,087	Nine Entertainment Co Holdings Ltd		26,214
	25,546	Sandfire Resources NL		130,263

		Total Australia		655,200


		Austria — 1.3%
	9,238	FACC AG		233,170
	1,476	S IMMO AG		31,014

		Total Austria		264,184


		Belgium — 1.1%
	51,060	AGFA-Gevaert NV^*		224,223
	97	Barco NV		13,348

		Total Belgium		237,571


		Brazil — 0.3%
	3,100	Estacio Participacoes SA		17,155
	1,800	Mahle-Metal Leve SA		11,150
	7,900	Via Varejo SA		32,778

		Total Brazil		61,083


		Canada — 5.7%
	10,590	BRP Inc Sub Voting		552,790
	1,800	Canaccord Genuity Group Inc		9,724
	14,000	Canfor Corp ^*		322,805
	3,400	Canfor Pulp Products Inc		71,309
	2,800	Cogeco Inc		133,177
	8,200	Martinrea International Inc		88,723
	300	Wajax Corp		6,365

		Total Canada		1,184,893


		China — 2.1%
	16,000	Central China Real Estate Ltd		6,691
	577,000	Powerlong Real Estate Holdings Ltd		295,101
	77,000	Road King Infrastructure Ltd		130,826
	4,000	Tianneng Power International Ltd		4,972

		Total China		437,590


		Finland — 1.1%
	27,172	Finnair Oyj		237,031


Shares		Description	Value ($)
		France — 5.2%
	997	Alten SA		103,237
	235	Aubay		11,302
	14,525	Coface SA		136,275
	6,624	Gaztransport Et Technigaz SA		453,202
	1,474	Kaufman & Broad SA		77,622
	13,335	Metropole Television SA		264,018
	163	Trigano SA		23,891
	299	Worldline SA ^*		18,250

		Total France		1,087,797


		Germany — 5.7%
	60	Amadeus Fire AG		6,917
	4,696	Bauer AG		87,450
	13,683	Deutsche Lufthansa AG (Registered)		357,503
	5,335	Elmos Semiconductor AG		137,809
	13,607	Wacker Neuson SE		376,191
	9,512	Wuestenrot & Wuerttembergische AG		219,725

		Total Germany		1,185,595


		Hong Kong — 1.8%
	116,000	Johnson Electric Holdings Ltd		340,133
	250,000	Singamas Container Holdings Ltd		32,202

		Total Hong Kong		372,335


		India — 2.1%
	6,591	Larsen & Toubro Infotech Ltd		166,160
	1,682	Mindtree Ltd		26,499
	2,998	Mphasis Ltd		53,516
	4,641	NIIT Technologies Ltd		92,223
	85,932	PTC India Ltd		101,603
	948	Sonata Software Ltd		4,714

		Total India		444,715


		Indonesia — 0.1%
	10,300	Indo Tambangraya Megah Tbk PT		19,792


		Italy — 2.6%
	14,541	ASTM SPA		296,782
	5,377	La Doria SPA		61,701
	400	Massimo Zanetti Beverage Group SPA		3,139
	242	SAES Getters SPA		5,816
	12,535	Societa Iniziative Autostradali e Servizi SPA		174,747

		Total Italy		542,185


		Japan — 24.1%
	7,900	Arakawa Chemical Industries Ltd		120,202
	3,800	Arisawa Manufacturing Co Ltd		36,067
	100	Azbil Corp		4,358
	1,000	Dai-ichi Seiko Co Ltd		15,024
	200	Daito Pharmaceutical Co Ltd		5,731


		See accompanying notes to the financial statements.		19

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Japan — continued
	500	Daitron Co Ltd		8,896
	1,200	Daiwabo Holdings Co Ltd		71,561
	9,400	Denka Co Ltd		321,659
	1,000	DKS Co Ltd		6,620
	1,200	DTS Corp		49,181
	1,200	ESPEC Corp		24,565
	9,400	Fancl Corp		482,873
	200	Fujibo Holdings Inc		5,615
	5,700	Fujitsu Frontech Ltd		62,994
	5,200	Fuyo General Lease Co Ltd		312,142
	200	Hagiwara Electric Holdings Co Ltd		5,985
	300	Hakuto Co Ltd		4,397
	200	Hamakyorex Co Ltd		6,720
	2,000	Haseko Corp		25,910
	600	Horiba Ltd		37,155
	11,700	House Foods Group Inc		346,875
	700	Innotech Corp		8,657
	15,700	Ishihara Sangyo Kaisha Ltd ^*		233,684
	200	Kaga Electronics Co Ltd		3,873
	1,300	Kanematsu Corp		19,279
	200	Kato Sangyo Co Ltd		6,495
	5,500	Keihin Corp		115,579
	19,200	Kyosan Electric Manufacturing Co Ltd		112,381
	1,300	Marubun Corp		10,165
	200	Maruwa Co Ltd		14,934
	200	Mitsui Sugar Co Ltd		5,451
	1,800	Nippon Systemware Co Ltd		33,378
	8,100	Nisshinbo Holdings Inc		90,823
	200	NuFlare Technology Inc		11,117
	53,000	Prima Meat Packers Ltd		263,098
	4,200	Rion Co Ltd		88,881
	14,400	Rohto Pharmaceutical Co Ltd		460,020
	300	Sanyo Denki Co Ltd		15,998
	300	Shindengen Electric Manufacturing Co Ltd		15,085
	24,000	Showa Corp		382,300
	41,300	Sojitz Corp		143,718
	3,600	T-Gaia Corp		94,738
	1,000	Takasago Thermal Engineering Co Ltd		17,672
	1,100	Tamura Corp		7,960
	19,200	Tatsuta Electric Wire and Cable Co Ltd		104,810
	1,200	Tokyo Seimitsu Co Ltd		37,289
	4,500	Tokyu Construction Co Ltd		41,346
	10,500	TS Tech Co Ltd		396,175
	12,200	Ube Industries Ltd		310,422
	200	Wacoal Holdings Corp		5,918
	600	Yokowo Co Ltd		8,274
	200	Zeon Corp		2,144

		Total Japan		5,016,194


		Malaysia — 1.6%
	188,600	Padini Holdings Berhad		274,468


Shares		Description	Value ($)
		Malaysia — continued
	66,600	Supermax Corp Berhad		54,353

		Total Malaysia		328,821


		Norway — 1.0%
	6,122	Austevoll Seafood ASA		80,556
	187	Entra ASA		2,711
	1,214	Grieg Seafood ASA		13,967
	3,813	Kongsberg Automotive ASA ^*		4,436
	61,366	Kvaerner ASA ^*		113,459

		Total Norway		215,129


		Poland — 0.2%
	2,659	Asseco Poland SA		32,942


		Portugal — 0.8%
	10,394	Navigator Co SA (The)		51,937
	2,540	Semapa-Sociedade de Investimento e Gestao		52,525
	51,764	Sonae SGPS SA		55,069

		Total Portugal		159,531


		Singapore — 2.1%
	7,700	China Sunsine Chemical Holdings Ltd		6,681
	112,800	UMS Holdings Ltd		61,356
	336,600	Yanlord Land Group Ltd		372,984

		Total Singapore		441,021


		South Africa — 0.5%
	2,009	Astral Foods Ltd		35,382
	20,150	Blue Label Telecoms Ltd		9,816
	12,490	Metair Investments Ltd		14,851
	3,022	Reunert Ltd		15,654
	3,235	Wilson Bayly Holmes-Ovcon Ltd		32,991

		Total South Africa		108,694


		South Korea — 6.9%
	874	Chong Kun Dang Pharmaceutical Corp		85,159
	156	Cuckoo Holdings Co Ltd		24,665
	1,899	Daihan Pharmaceutical Co Ltd		81,359
	2,360	DongKook Pharmaceutical Co Ltd		146,971
	1,418	Dongwha Pharm Co Ltd		14,765
	12,914	Dongwon Development Co Ltd		48,532
	580	Green Cross Holdings Corp		15,961
	133	GS Home Shopping Inc		24,776
	343	HwaSung Industrial Co Ltd		4,450
	4,040	Hyundai Corp		103,970
	319	KC Co Ltd		6,247
	968	Korea United Pharm Inc		24,854
	1,310	Korean Reinsurance Co		12,244
	15,927	Kwang Dong Pharmaceutical Co Ltd		107,586
	528	Kwangju Bank Co Ltd		5,359


20		See accompanying notes to the financial statements.

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		South Korea — continued
	9,331	Kyungdong Pharm Co Ltd		108,585
	7,498	LF Corp		178,863
	4,315	LOTTE Himart Co Ltd		277,403
	391	Nice Information & Telecommunication Inc		8,096
	1,752	Samjin Pharmaceutical Co Ltd		86,724
	19,728	Seohan Co Ltd		37,899
	3,347	Seoyon E-Hwa Co Ltd		18,250
	391	SL Corp		7,060
	194	Spigen Korea Co Ltd		9,063

		Total South Korea		1,438,841


		Spain — 2.1%
	45,066	Ence Energia y Celulosa SA		422,677
	652	Papeles y Cartones de Europa SA		12,623

		Total Spain		435,300


		Sweden — 2.6%
	1,826	Fabege AB		24,400
	6,871	Granges AB		80,486
	3,459	Kindred Group Plc SDR		42,538
	13,352	Klovern AB – B Shares		18,297
	1,421	KNOW IT AB		28,378
	1,235	Mr. Green & Co AB ^*		5,724
	7,091	Nobina AB		52,289
	3,300	Nolato AB – B Shares		233,136
	850	Oriflame Holding AG		24,732
	4,850	Resurs Holding AB		35,435

		Total Sweden		545,415


		Switzerland — 5.3%
	2,728	ALSO Holding AG (Registered) ^*		324,646
	768	BKW AG		54,477
	3,231	Bobst Group SA (Registered)		276,816
	324	Georg Fischer AG (Registered)		424,084
	11	LEM Holding SA (Registered)		13,988
	119	Zehnder Group AG – Class RG		5,633

		Total Switzerland		1,099,644


		Taiwan — 2.6%
	207,000	Coretronic Corp		389,437
	14,000	Gigabyte Technology Co Ltd		23,888
	76,000	Wah Lee Industrial Corp		137,156

		Total Taiwan		550,481


		Turkey — 0.0%
	7,850	Selcuk Ecza Deposu Ticaret ve Sanayi AS		3,730


		United Kingdom — 14.1%
	23,791	Computacenter Plc		418,323
	12,213	Games Workshop Group Plc		564,439


Shares		Description	Value ($)
		United Kingdom — continued
	20,001	IG Group Holdings Plc		234,865
	20,121	Morgan Sindall Group Plc		383,457
	19,241	Plus500 Ltd		384,398
	2,289	Safestore Holdings Plc (REIT)		15,782
	5,845	Softcat Plc		64,420
	60,647	SThree Plc		277,419
	78,268	Stock Spirits Group Plc		195,983
	48,305	Vesuvius Plc		389,156

		Total United Kingdom		2,928,242


		TOTAL COMMON STOCKS (COST $20,394,677)		20,033,956


		PREFERRED STOCKS ^(a) — 0.2%

		Germany — 0.2%
	447	Sixt SE		37,353


		TOTAL PREFERRED STOCKS (COST $35,748)		37,353


		MUTUAL FUNDS — 3.1%

		United States — 3.1%
		Affiliated Issuers — 3.1%
	25,594	GMO U.S. Treasury Fund		639,328


		TOTAL MUTUAL FUNDS (COST $639,328)		639,328


		SHORT-TERM INVESTMENTS — 0.2%

		Money Market Fund — 0.2%
	45,712	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% ^(b)		45,712


		TOTAL SHORT-TERM INVESTMENTS (COST $45,712)		45,712


		TOTAL INVESTMENTS — 99.7% (Cost $21,115,465)		20,756,349
		Other Assets and Liabilities (net) — 0.3%		62,025


		TOTAL NET ASSETS — 100.0%		$20,818,374


		See accompanying notes to the financial statements.		21

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

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

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
4	Mini MSCI EAFE	September 2018	$	391,760	$	(4,801	)

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Notes to Schedule of Investments:

*	Non-income producing security.

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

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


22		See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		98.3	%
Preferred Stocks		0.6
Mutual Funds		0.6
Short-Term Investments		0.2
Futures Contracts		0.0	^
Other		0.3

		100.0	%


Country Summary¤	% of Investments
Japan		27.9	%
United Kingdom		15.6
Germany		12.4
France		8.0
Sweden		5.8
Switzerland		5.2
Australia		4.9
Italy		4.7
Other Developed		3.8	‡
Norway		3.8
Hong Kong		3.4
Netherlands		2.8
Denmark		1.7

		100.0	%


Industry Group Summary	% of Equity Investments^#
Capital Goods		14.0	%
Pharmaceuticals, Biotechnology & Life Sciences		12.6
Materials		11.5
Automobiles & Components		8.2
Banks		7.6
Food, Beverage & Tobacco		6.5
Technology Hardware & Equipment		5.1
Consumer Durables & Apparel		5.0
Insurance		4.7
Diversified Financials		4.3
Energy		2.9
Semiconductors & Semiconductor Equipment		2.8
Transportation		2.7
Household & Personal Products		2.5
Telecommunication Services		2.4
Software & Services		1.8
Utilities		1.2
Real Estate		1.2
Retailing		1.1
Commercial & Professional Services		0.7
Consumer Services		0.5
Media		0.3
Food & Staples Retailing		0.2
Health Care Equipment & Services		0.2

		100.0	%

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

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

^	Rounds to 0.0%.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		COMMON STOCKS — 98.3%

		Australia — 4.9%
	281,212	Abacus Property Group (REIT)		705,255
	53,956	Altium Ltd		1,089,978
	184,450	Appen Ltd		2,037,961
	564,515	Caltex Australia Ltd		12,267,071
	1,938,303	Costa Group Holdings Ltd		10,090,190
	112,623	Credit Corp Group Ltd		1,869,487
	160,897	Crown Resorts Ltd		1,645,395
	245,236	CSL Ltd		40,203,110
	2,493,489	CSR Ltd		7,730,346
	4,338,670	Downer EDI Ltd		24,137,201
	110,271	Elders Ltd		528,927
	543,852	Macquarie Group Ltd		50,868,224
	740,772	Metcash Ltd		1,474,991
	1,547,774	Mineral Resources Ltd		16,859,728
	2,676	Monadelphous Group Ltd		27,666
	3,016,700	Nine Entertainment Co Holdings Ltd		5,241,595
	1,713,099	OZ Minerals Ltd		11,138,295
	509,074	Pact Group Holdings Ltd		1,507,768
	162,922	Qantas Airways Ltd		754,224
	557,202	Sandfire Resources NL		2,841,252
	1,030,174	Shopping Centres Australasia Property Group (REIT)		1,788,211
	345,301	Sigma Healthcare Ltd		141,635
	252,701	Southern Cross Media Group Ltd		251,607
	319,432	Tassal Group Ltd		1,021,151
	17,335	Virtus Health Ltd		72,547

		Total Australia		196,293,815


		Austria — 0.8%
	69,286	Oesterreichische Post AG		3,061,649
	393,728	OMV AG		20,874,269
	183,920	voestalpine AG		8,266,892

		Total Austria		32,202,810


		Belgium — 0.5%
	538,793	AGFA-Gevaert NV ^*		2,366,041
	1,001	Barco NV		137,743
	40,732	D’ieteren SA/NV		1,806,172
	6,577	Elia System Operator SA/NV		410,780
	129,378	KBC Group NV		9,198,746
	79,421	Orange Belgium SA		1,200,501
	60,701	UCB SA		5,556,529

		Total Belgium		20,676,512


		Denmark — 1.7%
	417,927	Novo Nordisk A/S Sponsored ADR		20,549,471
	753,240	Novo Nordisk A/S – Class B		37,079,113
	11,091	Per Aarsleff Holding A/S		442,295
	3,090	Rockwool International A/S – Class B		1,342,707


Shares		Description	Value ($)
		Denmark — continued
	74,784	Royal Unibrew A/S		6,444,633
	7,566	Schouw & Co AB		598,218
	9,210	SimCorp A/S		872,361

		Total Denmark		67,328,798


		Finland — 0.2%
	40,363	DNA Oyj		858,825
	9,776	Neste Oyj		848,778
	23,933	Tieto Oyj		776,817
	152,223	UPM-Kymmene Oyj		5,871,922

		Total Finland		8,356,342


		France — 7.9%
	18,695	AXA SA		471,129
	822,598	BNP Paribas SA		48,428,770
	114,196	Christian Dior SE		49,270,394
	618,691	CNP Assurances		14,299,660
	15,143	IPSOS		480,012
	237,634	L’Oreal SA		56,890,979
	208,823	Metropole Television SA		4,134,466
	195,296	Sanofi		16,770,723
	233,828	Sanofi ADR		10,019,530
	74,811	SCOR SE		3,024,251
	777,512	Societe Generale SA		31,837,007
	1,788,022	STMicroelectronics NV – NY Shares		36,994,175
	2,093,439	STMicroelectronics NV		43,193,054

		Total France		315,814,150


		Germany — 11.7%
	114,812	ADVA Optical Networking SE ^*		919,255
	494,023	Allianz SE (Registered)		105,296,944
	131,681	BASF SE		12,168,053
	114,966	Bayer AG (Registered)		10,729,123
	946,197	Bayerische Motoren Werke AG		91,598,235
	71,737	Bechtle AG		7,471,236
	5,166	Cewe Stiftung & Co KGAA		474,955
	317,337	Covestro AG		27,018,522
	1,331,483	Daimler AG (Registered Shares)		86,107,435
	2,490,576	Deutsche Lufthansa AG (Registered)		65,072,672
	402,663	Deutsche Pfandbriefbank AG		5,894,704
	8,615	Diebold Nixdorf AG		571,328
	43,776	Henkel AG & Co KGaA		4,884,780
	6,074	Indus Holding AG		391,304
	50,576	Jenoptik AG		1,989,746
	1,899	Koenig & Bauer AG		131,717
	49,705	Leoni AG		2,144,444
	188,953	RHOEN-KLINIKUM AG		4,961,950
	19,485	Siltronic AG		2,824,742
	105,206	Software AG		5,188,042
	45,692	Talanx AG		1,725,387


24		See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Germany — continued
	173,865	Volkswagen AG		27,986,842

		Total Germany		465,551,416


		Hong Kong — 3.4%
	6,161,073	BOC Hong Kong Holdings Ltd		30,089,408
	2,523,640	Champion (REIT)		1,856,177
	2,067,814	Dah Sing Banking Group Ltd		4,265,078
	411,515	Dah Sing Financial Holdings Ltd		2,559,506
	4,603,096	Esprit Holdings Ltd ^*		1,091,418
	291,645	Fortune Real Estate Investment Trust		349,349
	3,809,645	Global Brands Group Holding Ltd ^*		184,657
	2,171,001	Hysan Development Co Ltd		11,140,074
	4,988,469	I-CABLE Communications Ltd ^*		56,583
	2,395,913	Kerry Properties Ltd		9,086,076
	803,257	Luk Fook Holdings International Ltd		2,795,100
	1,419,647	Pacific Textiles Holdings Ltd		1,076,457
	9,434,916	SJM Holdings Ltd		10,682,322
	1,336,673	SmarTone Telecommunications Holdings Ltd		1,352,501
	381,680	Television Broadcasts Ltd		1,133,618
	47,968,920	WH Group Ltd		36,227,540
	2,404,477	Wharf Holdings Ltd (The)		6,866,592
	599,310	Wharf Real Estate Investment Co Ltd		3,976,329
	1,137,045	Wheelock & Co Ltd		7,139,606
	740,122	Xinyi Automobile Glass Hong Kong Enterprises Ltd ^*		180,155
	1,776,297	Yue Yuen Industrial Holdings Ltd		4,924,320

		Total Hong Kong		137,032,866


		Ireland — 0.2%
	52,811	ICON Plc ^*		7,869,895


		Israel — 0.2%
	707,790	Bank Leumi Le-Israel BM		4,754,463
	1,390,486	Israel Discount Bank Ltd – Class A		4,859,562

		Total Israel		9,614,025


		Italy — 4.7%
	68,883	De’ Longhi SPA		2,252,115
	6,475,585	Enel SPA		32,014,899
	99,551	ERG SPA		2,062,043
	669,237	EXOR NV		43,546,650
	4,553,824	Fiat Chrysler Automobiles NV ^*		77,915,929
	16,211	Fiat Chrysler Automobiles NV ^*		274,449
	860,308	Hera SPA		2,699,001
	1,952,528	Iren SPA		4,579,424
	45,129	La Doria SPA		517,855
	259,151	Mediobanca Banca di Credito Finanziario SPA		2,413,117
	206,405	Poste Italiane SPA		1,589,992
	153,652	Recordati SPA		5,382,728
	8,580	Reply SPA		567,627


Shares		Description	Value ($)
		Italy — continued
	1,457,711	Societa Cattolica di Assicurazioni SC		11,830,479

		Total Italy		187,646,308


		Japan — 27.8%
	17,213	ADEKA Corp		284,635
	123,314	Alpine Electronics Inc		2,738,003
	73,353	AOKI Holdings Inc		989,389
	3,394,376	Asahi Kasei Corp		49,739,575
	2,006,550	Astellas Pharma Inc		34,018,246
	111,927	Autobacs Seven Co Ltd		1,901,152
	1,741,921	Brother Industries Ltd		35,734,324
	644,304	Canon Inc		20,673,520
	45,636	Cawachi Ltd		871,313
	3,900	Central Japan Railway Co		783,030
	188,457	CKD Corp		2,783,575
	10,946	Computer Engineering & Consulting Ltd		239,261
	251,633	Cosmo Energy Holdings Co Ltd		9,271,597
	25,934	Daikyo Inc		530,134
	62,319	Daiwabo Holdings Co Ltd		3,716,325
	709,162	DCM Holdings Co Ltd		6,477,016
	249,909	Denka Co Ltd		8,551,647
	81,385	Dexerials Corp		894,559
	61,878	Doutor Nichires Holdings Co Ltd		1,088,434
	15,183	DTS Corp		622,262
	6,621	Ehime Bank Ltd (The)		73,017
	331,696	Fancl Corp		17,039,056
	1,687,225	Fuji Electric Co Ltd		13,591,263
	5,928,957	Fujitsu Ltd		43,351,459
	13,418	Fuji Oil Holdings Inc		407,888
	30,189	Fuyo General Lease Co Ltd		1,812,162
	148,912	Geo Holdings Corp		2,165,826
	20,435	Gunze Ltd		1,068,488
	52,300	Hakuhodo DY Holdings Inc		882,391
	244,367	Hanwa Co Ltd		8,237,605
	19,400	Hitachi High-Technologies Corp		761,099
	13,041,391	Hitachi Ltd		85,128,557
	2,031	Hokuetsu Bank Ltd (The)		40,911
	26,600	Honda Motor Co Ltd		787,977
	11,300	Horiba Ltd		699,748
	255,849	House Foods Group Inc		7,585,267
	5,701,968	ITOCHU Corp		99,635,339
	17,051	Itochu Techno-Solutions Corp		377,167
	161,711	Kanematsu Corp		2,398,232
	29,300	KDDI Corp		774,687
	132,317	Keihin Corp		2,780,569
	1,500	Keyence Corp		849,162
	9,975	Kobayashi Pharmaceutical Co Ltd		715,811
	53,669	Kohnan Shoji Co Ltd		1,237,583
	13,171	Kokuyo Co Ltd		228,485
	37,295	Kose Corp		6,876,579
	50,667	Mandom Corp		1,521,926


		See accompanying notes to the financial statements.		25

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Japan — continued
	5,773,212	Marubeni Corp		47,302,554
	2,119	Maruwa Co Ltd		158,224
	9,448,156	Mitsubishi Chemical Holdings Corp		84,653,041
	728,316	Mitsubishi Corp		20,769,426
	2,480,387	Mitsubishi Electric Corp		33,483,919
	716,841	Mitsubishi Gas Chemical Co Inc		14,901,604
	226,607	Mitsubishi Tanabe Pharma Corp		3,779,575
	1,279,033	Mitsui & Co Ltd		21,307,127
	344,314	Mitsui Chemicals Inc		8,898,848
	3,178	Mitsui Sugar Co Ltd		86,612
	80,150	Modec Inc		2,425,719
	76,266	Namura Shipbuilding Co Ltd		342,344
	376,472	NET One Systems Co Ltd		8,719,615
	303,914	Nichias Corp		3,950,765
	111,309	Nippo Corp		2,065,929
	2,039,544	Nippon Telegraph & Telephone Corp		90,741,292
	68,233	Nippon Signal Co Ltd		699,447
	104,512	Nishi-Nippon Financial Holdings Inc		1,215,541
	88,887	Nisshin Seifun Group Inc		1,777,832
	83,680	Nisshinbo Holdings Inc		938,279
	31,300	NTT DOCOMO Inc		811,162
	707	NuFlare Technology Inc		39,298
	134,392	Okinawa Electric Power Co (The)		2,701,095
	235,946	Pola Orbis Holdings Inc		8,315,160
	94,802	Press Kogyo Co Ltd		496,443
	1,219,980	Prima Meat Packers Ltd		6,056,115
	139,600	Resona Holdings Inc		791,842
	199,486	Rohto Pharmaceutical Co Ltd		6,372,749
	37,957	San-A Co Ltd		1,770,284
	6,003	Sankyu Inc		318,407
	100,187	Seiko Holdings Corp		2,801,419
	1,235,828	Sekisui Chemical Co Ltd		21,469,023
	53,200	Showa Corp		847,432
	33,455	Softbank Technology Corp		738,979
	11,724,287	Sojitz Corp		40,798,939
	8,910,063	Sumitomo Chemical Co Ltd		50,571,861
	52,700	Sumitomo Dainippon Pharma Co Ltd		1,121,409
	66,227	Sumitomo Forestry Co Ltd		1,069,736
	234,005	Sumitomo Heavy Industries Ltd		7,613,855
	27,200	Suntory Beverage & Food Ltd		1,114,132
	142,203	T-Gaia Corp		3,742,236
	156,350	Tokyo Electron Ltd		26,618,548
	43,361	Tokyo Seimitsu Co Ltd		1,347,423
	151,295	Tokyu Construction Co Ltd		1,390,114
	1,126,904	Tosoh Corp		17,681,394
	48,637	Towa Pharmaceutical Co Ltd		3,385,641
	1,019,254	Toyota Tsusho Corp		34,723,643
	27,982	TPR Co Ltd		656,327
	228,267	TS Tech Co Ltd		8,612,722
	76,619	TSI Holdings Co Ltd		507,962
	422,116	Ube Industries Ltd		10,740,488


Shares		Description	Value ($)
		Japan — continued
	6,003	UKC Holdings Corp		132,246
	197,814	Valor Holdings Co Ltd		4,196,379
	23,304	Warabeya Nichiyo Holdings Co Ltd		458,509
	26,746	Yahagi Construction Co Ltd		199,467
	547,363	Zeon Corp		5,867,430

		Total Japan		1,107,233,813


		Malta — 0.0%
	15,858,986	BGP Holdings Plc ^{* (a)}		—


		Netherlands — 2.7%
	77,343	ASR Nederland NV		3,697,707
	91,694	BinckBank NV		591,807
	16,849	Corbion NV		529,779
	171,411	Heineken Holding NV		16,354,915
	6,431,127	ING Groep NV		87,359,018
	31,461	Koninklijke Ahold Delhaize NV		766,371

		Total Netherlands		109,299,597


		New Zealand — 0.1%
	481,967	Air New Zealand Ltd		1,052,189
	208,052	Chorus Ltd		636,030

		Total New Zealand		1,688,219


		Norway — 3.7%
	33,335	Aker ASA – A Shares		2,611,733
	10,483	Austevoll Seafood ASA		137,940
	157,490	Bakkafrost P/F		8,984,724
	437,753	BW LPG Ltd^*		1,707,782
	2,877,863	DNB ASA		58,506,982
	2,399,926	Equinor ASA		61,558,590
	303,618	Leroy Seafood Group ASA		2,308,739
	52,097	Salmar ASA		2,508,271
	10,853	SpareBank 1 Nord Norge		84,892
	1,203,318	Storebrand ASA		10,652,929

		Total Norway		149,062,582


		Portugal — 0.1%
	130,405	Altri SGPS SA		1,202,551
	291,299	CTT-Correios de Portugal SA		1,132,521
	156,727	Navigator Co SA (The)		783,139
	639,463	REN-Redes Energeticas Nacionais SGPS SA		1,811,204

		Total Portugal		4,929,415


		Singapore — 0.4%
	237,535	DBS Group Holdings Ltd		4,318,155
	1,208,946	Mapletree North Asia Commercial Trust (REIT)		1,021,617
	681,886	Venture Corp Ltd		9,002,425
	81,474	Yanlord Land Group Ltd		90,280

		Total Singapore		14,432,477


26		See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Spain — 0.7%
	439,475	Ebro Foods SA		9,456,523
	330,696	Ence Energia y Celulosa SA		3,101,624
	1,769,921	International Consolidated Airlines Group SA		15,886,639
	492,850	Unicaja Banco SA		771,071

		Total Spain		29,215,857


		Sweden — 5.8%
	187,013	Atlas Copco AB – A Shares		5,331,291
	294,522	Epiroc AB – Class A ^*		3,059,500
	5,748	Granges AB		67,331
	308,414	Kindred Group Plc SDR		3,792,835
	52,970	Klovern AB – B Shares		72,589
	101,687	Oriflame Holding AG		2,958,699
	2,955,839	Sandvik AB		51,740,876
	374,746	SAS AB ^*		829,682
	101,246	Securitas AB – B Shares		1,801,842
	50,275	SKF AB – B Shares		966,413
	3,643,925	Svenska Cellulosa AB SCA – Class B		42,419,710
	29,328	Swedish Orphan Biovitrum AB^*		934,632
	490,329	Swedish Match AB		26,212,269
	5,216,803	Volvo AB – B Shares		89,869,310
	94,381	Wihlborgs Fastigheter AB		1,138,351

		Total Sweden		231,195,330


		Switzerland — 5.2%
	51,443	Ascom Holding AG (Registered)		1,014,244
	6,111	Autoneum Holding AG		1,452,148
	1,566	Banque Cantonale Vaudoise (Registered)		1,173,482
	5,028	BKW AG		356,654
	303	Bobst Group SA (Registered)		25,960
	13,954	Bucher Industries AG (Registered)		4,889,322
	3,009	Emmi AG (Registered)		2,298,591
	15,301	Galenica AG ^*		907,275
	250,496	GAM Holding AG ^*		1,934,406
	20,698	Georg Fischer AG (Registered)		27,091,633
	10,879	Implenia AG (Registered)		692,823
	8,453	Kardex AG (Registered) ^*		1,515,047
	4,802	Komax Holding AG (Registered)		1,611,669
	453,393	Logitech International SA (Registered)		22,362,480
	270,392	Novartis AG (Registered)		22,432,291
	41,399	Roche Holding AG		10,379,721
	96,993	Roche Holding AG		24,049,760
	351,880	Sika AG (Registered)		52,115,577
	274,704	Swiss Re AG		24,715,213
	1,448	Valora Holding AG (Registered) ^*		419,805
	53,896	Vontobel Holding AG (Registered)		3,845,774
	4,556	Zehnder Group AG – Class RG		215,675

		Total Switzerland		205,499,550


Shares		Description	Value ($)
		United Kingdom — 15.6%
	2,947,306	3i Group Plc		34,318,928
	275,233	Ashtead Group Plc		8,445,960
	1,415,066	AstraZeneca Plc		106,800,345
	331,507	Bellway Plc		12,558,881
	665,385	Berkeley Group Holdings Plc (The)		31,473,468
	197,953	Bovis Homes Group Plc		2,893,030
	1,314,640	British American Tobacco Plc		63,572,378
	679,748	Cairn Energy Plc ^*		2,110,215
	904,161	Coca-Cola HBC AG ^*		30,958,559
	3,780,523	Debenhams Plc		641,761
	57,199	Diageo Plc Sponsored ADR		7,974,113
	40,126	easyJet Plc		794,917
	1,316,673	Electrocomponents Plc		12,691,378
	3,064,322	Ferrexpo Plc		6,185,609
	72,590	Fevertree Drinks Plc		3,509,380
	6,564,594	Firstgroup Plc ^*		7,576,734
	363,350	Galliford Try Plc		4,582,327
	5,996,209	GlaxoSmithKline Plc		121,440,441
	117,113	Halfords Group Plc		500,771
	17,200	HSBC Holdings Plc Sponsored ADR		756,972
	294,196	Hunting Plc ^*		3,186,743
	1,148,371	IG Group Holdings Plc		13,484,914
	911,779	Inchcape Plc		8,190,951
	2,271,486	Indivior Plc ^*		7,986,030
	32,426	Intermediate Capital Group Plc		442,075
	1,996,658	Legal & General Group Plc		6,598,236
	356,328	National Express Group Plc		1,832,059
	171,024	Next Plc		12,210,935
	419,548	Nomad Foods Ltd ^*		8,747,576
	2,029,114	Persimmon Plc		64,194,967
	744,267	Plus500 Ltd		14,869,036
	218,521	QinetiQ Group Plc		769,520
	1,044,964	Royal Mail Plc		6,076,692
	61,871	Savills Plc		642,460
	171,300	Spectris Plc		5,237,020
	39,179	TUI AG		723,181
	313,257	Vesuvius Plc		2,523,667
	806,134	William Hill Plc		2,693,416

		Total United Kingdom		620,195,645


		TOTAL COMMON STOCKS (COST $3,746,997,683)		3,921,139,422


		PREFERRED STOCKS^(b) — 0.6%

		Germany — 0.6%
	12,419	Bayerische Motoren Werke AG		1,041,423
	143,742	Jungheinrich AG		5,183,491
	115,318	Volkswagen AG		18,850,775

		Total Germany		25,075,689


		TOTAL PREFERRED STOCKS (COST $22,817,543)		25,075,689


		See accompanying notes to the financial statements.		27

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		MUTUAL FUNDS — 0.6%

		United States — 0.6%
		Affiliated Issuers — 0.6%
	894,473	GMO U.S. Treasury Fund		22,343,940


		TOTAL MUTUAL FUNDS (COST $22,343,940)		22,343,940


		SHORT-TERM INVESTMENTS — 0.2%

		Money Market Fund — 0.2%
	9,905,611	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% ^(c)		9,905,611


		TOTAL SHORT-TERM INVESTMENTS (COST $9,905,611)		9,905,611


		TOTAL INVESTMENTS — 99.7% (Cost $3,802,064,777)		3,978,464,662
		Other Assets and Liabilities (net) — 0.3%		11,536,457


		TOTAL NET ASSETS — 100.0%		$3,990,001,119

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

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
124	Mini MSCI EAFE	September 2018	$	12,144,560	$	(323,533	)

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Notes to Schedule of Investments:

*	Non-income producing security.

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

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

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


28		See accompanying notes to the financial statements.

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		93.6	%
Mutual Funds		2.5
Preferred Stocks		1.5
Short-Term Investments		0.4
Futures Contracts		0.0	^
Other		2.0

		100.0	%


Country Summary¤	% of Investments
Japan		27.1	%
United Kingdom		16.0
Germany		9.9
France		8.8
Hong Kong		5.8
Switzerland		5.6
Italy		4.2
Sweden		4.0
Netherlands		3.7
Australia		3.5
United States		2.5
Other Developed		2.3	‡
Austria		1.9
Finland		1.8
European Union		1.5
Denmark		1.4

		100.0	%


Industry Group Summary	% of Equity Investments^#
Capital Goods		13.2	%
Pharmaceuticals, Biotechnology & Life Sciences		12.8
Materials		12.2
Automobiles & Components		8.0
Banks		7.2
Food, Beverage & Tobacco		7.0
Consumer Durables & Apparel		6.8
Technology Hardware & Equipment		5.9
Diversified Financials		5.4
Real Estate		4.6
Insurance		3.6
Energy		2.8
Transportation		2.5
Telecommunication Services		2.3
Household & Personal Products		2.0
Semiconductors & Semiconductor Equipment		1.7
Software & Services		1.0
Consumer Services		0.3
Utilities		0.3
Commercial & Professional Services		0.2
Retailing		0.2
Media		0.0	^

		100.0	%

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

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

^	Rounds to 0.0%.

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		COMMON STOCKS — 93.6%

		Australia — 3.5%
	6,941	Caltex Australia Ltd		150,830
	7,780	Downer EDI Ltd		43,282
	5,949	Fairfax Media Ltd		3,780
	3,637	Macquarie Group Ltd		340,180
	6,387	Mineral Resources Ltd		69,573
	3,309	Westpac Banking Corp		67,960

		Total Australia		675,605


		Austria — 1.9%
	6,976	OMV AG		369,846
	85	voestalpine AG		3,821

		Total Austria		373,667


		Belgium — 0.0%
	361	bpost SA		5,471


		Denmark — 1.4%
	1,500	Novo Nordisk A/S Sponsored ADR		73,755
	3,969	Novo Nordisk A/S – Class B		195,379

		Total Denmark		269,134


		Finland — 1.8%
	9,138	UPM – Kymmene Oyj		352,494


		France — 8.7%
	4,915	AXA SA		123,862
	7,464	BNP Paribas SA		439,428
	548	Christian Dior SE		236,437
	1,526	L’Oreal SA		365,333
	800	Sanofi ADR		34,280
	818	SCOR SE		33,068
	4,240	Societe Generale SA		173,616
	13,100	STMicroelectronics NV – NY Shares		271,039
	1,016	STMicroelectronics NV		20,963

		Total France		1,698,026


		Germany — 8.3%
	2,383	Allianz SE (Registered)		507,917
	4,392	Bayerische Motoren Werke AG		425,175
	3,686	Daimler AG (Registered Shares)		238,375
	11,919	Deutsche Lufthansa AG (Registered)		311,414
	773	Volkswagen AG		124,429

		Total Germany		1,607,310


		Hong Kong — 5.8%
	6,000	BOC Hong Kong Holdings Ltd		29,303
	54,000	SJM Holdings Ltd		61,139
	257,000	WH Group Ltd		194,094
	62,000	Wharf Holdings Ltd (The)		177,057


Shares		Description	Value ($)
		Hong Kong — continued
	61,000	Wharf Real Estate Investment Co Ltd		404,725
	41,000	Wheelock & Co Ltd		257,443

		Total Hong Kong		1,123,761


		Ireland — 0.6%
	800	ICON Plc ^*		119,216


		Israel — 0.0%
	400	Teva Pharmaceutical Industries Ltd Sponsored ADR ^*		9,164


		Italy — 4.2%
	293	ASTM SPA		5,980
	10,069	Enel SPA		49,781
	5,405	EXOR NV		351,698
	23,500	Fiat Chrysler Automobiles NV ^*		402,085

		Total Italy		809,544


		Japan — 26.9%
	29,100	Asahi Kasei Corp		426,418
	11,300	Brother Industries Ltd		231,812
	7,100	Canon Inc		227,815
	26,000	Fujitsu Ltd		190,107
	60,000	Hitachi Ltd		391,654
	1,500	House Foods Group Inc		44,471
	26,600	ITOCHU Corp		464,804
	2,280	K’s Holdings Corp		27,599
	55,800	Marubeni Corp		457,195
	44,200	Mitsubishi Chemical Holdings Corp		396,021
	20,400	Mitsubishi Electric Corp		275,389
	6,200	Mitsubishi Gas Chemical Co Inc		128,885
	9,700	Nippon Telegraph & Telephone Corp		431,562
	2,300	Nisshinbo Holdings Inc		25,789
	6,600	Otsuka Holdings Co Ltd		309,639
	1,300	Rohto Pharmaceutical Co Ltd		41,530
	18,900	Sekisui Chemical Co Ltd		328,334
	63,300	Sojitz Corp		220,276
	38,000	Sumitomo Chemical Co Ltd		215,681
	100	Tokyo Electron Ltd		17,025
	10,700	Toyota Tsusho Corp		364,524

		Total Japan		5,216,530


		Malta — 0.0%
	15,998,662	BGP Holdings Plc ^{* (a)}		—


		Netherlands — 3.7%
	3,162	Heineken Holding NV		301,697
	30,187	ING Groep NV		410,054

		Total Netherlands		711,751


30		See accompanying notes to the financial statements.

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Norway — 0.9%
	8,883	DNB ASA		180,591


		Singapore — 0.7%
	800	DBS Group Holdings Ltd		14,543
	9,100	Venture Corp Ltd		120,141

		Total Singapore		134,684


		Sweden — 3.9%
	1,171	Epiroc AB – Class A ^*		12,164
	24,826	Svenska Cellulosa AB SCA – Class B		289,005
	749	Swedish Match AB		40,041
	24,348	Volvo AB – B Shares		419,440

		Total Sweden		760,650


		Switzerland — 5.5%
	16	Bucher Industries AG (Registered)		5,606
	152	Georg Fischer AG (Registered)		198,953
	1,762	Roche Holding AG		436,894
	272	Roche Holding AG		68,197
	2,414	Sika AG (Registered)		357,528

		Total Switzerland		1,067,178


		United Kingdom — 15.8%
	20,589	3i Group Plc		239,742
	7,242	AstraZeneca Plc		546,581
	6,485	Berkeley Group Holdings Plc (The)		306,748
	10,459	British American Tobacco Plc		505,768
	2,036	Coca-Cola HBC AG ^*		69,713
	11,507	Electrocomponents Plc		110,916
	8,042	Ferrexpo Plc		16,234
	26,239	GlaxoSmithKline Plc		531,415
	400	HSBC Holdings Plc Sponsored ADR		17,604
	3,673	IG Group Holdings Plc		43,131
	6,300	Nomad Foods Ltd ^*		131,355
	12,143	Persimmon Plc		384,167
	1,307	Plus500 Ltd		26,111
	24,773	Royal Mail Plc		144,060

		Total United Kingdom		3,073,545


		TOTAL COMMON STOCKS (COST $17,298,023)		18,188,321


Shares		Description	Value ($)
		PREFERRED STOCKS^(b) — 1.5%

		Germany — 1.5%
	4,657	Porsche Automobil Holding SE		294,645


		TOTAL PREFERRED STOCKS (COST $214,775)		294,645


		MUTUAL FUNDS — 2.5%

		United States — 2.5%
		Affiliated Issuers — 2.5%
	19,124	GMO U.S. Treasury Fund		477,713


		TOTAL MUTUAL FUNDS (COST $477,713)		477,713


		SHORT-TERM INVESTMENTS — 0.4%

		Money Market Fund — 0.4%
	69,503	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87%^(c)		69,503

		Total Money Market Funds		69,503


		TOTAL SHORT-TERM INVESTMENTS (COST $69,503)		69,503


		TOTAL INVESTMENTS — 98.0% (Cost $18,060,014)		19,030,182
		Other Assets and Liabilities (net) — 2.0%		394,742


		TOTAL NET ASSETS — 100.0%		$19,424,924

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

Futures Contracts

Number
of
Contracts +

Type

Expiration
Date

Notional
Amount ($)

Value/Net
Unrealized
Appreciation
(Depreciation)
($)

Buys

Mini MSCI EAFE

September 2018

293,820

218

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.


		See accompanying notes to the financial statements.		31

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

Notes to Schedule of Investments:

*	Non-income producing security.

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

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

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


32		See accompanying notes to the financial statements.

GMO Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		98.1	%
Short-Term Investments		1.4
Mutual Funds		0.7
Other		(0.2	)

		100.0	%


Country Summary¤	% of Investments
United States		83.4	%
United Kingdom		6.9
Switzerland		5.7
Taiwan		2.2
Germany		1.8

		100.0	%


Industry Group Summary	% of Equity Investments^#
Software & Services		29.5	%
Health Care Equipment & Services		13.2
Technology Hardware & Equipment		9.9
Pharmaceuticals, Biotechnology & Life Sciences		9.7
Semiconductors & Semiconductor Equipment		6.8
Food, Beverage & Tobacco		6.5
Banks		5.4
Capital Goods		5.0
Household & Personal Products		4.7
Food & Staples Retailing		3.2
Retailing		3.0
Diversified Financials		2.6
Consumer Services		0.4
Consumer Durables & Apparel		0.1

		100.0	%

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

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		COMMON STOCKS — 98.1%

		Banks — 5.3%
	3,368,046	US Bancorp		182,244,969
	3,338,662	Wells Fargo & Co.		195,244,954

		Total Banks		377,489,923


		Capital Goods — 4.9%
	562,653	3M Co.		118,674,771
	514,294	Honeywell International, Inc.		81,803,603
	1,156,887	United Technologies Corp.		152,362,018

		Total Capital Goods		352,840,392


		Consumer Durables & Apparel — 0.1%
	81,910	VF Corp.		7,546,368


		Consumer Services — 0.4%
	1,446,577	Compass Group Plc		31,146,619


		Diversified Financials — 2.5%
	1,720,146	American Express Co.		182,301,073


		Food & Staples Retailing — 3.1%
	951,973	Costco Wholesale Corp.		221,933,465


		Food, Beverage & Tobacco — 6.4%
	2,564,579	British American Tobacco Plc		124,015,994
	2,439,355	Coca-Cola Co. (The)		108,722,052
	1,394,849	Nestle SA (Registered)		116,926,101
	278,567	PepsiCo, Inc.		31,202,290
	975,007	Philip Morris International, Inc.		75,943,295

		Total Food, Beverage & Tobacco		456,809,732


		Health Care Equipment & Services — 13.0%
	1,458,247	Abbott Laboratories		97,469,229
	690,520	Anthem, Inc.		182,801,360
	361,600	Becton Dickinson and Co.		94,692,192
	2,337,670	Medtronic Plc		225,374,765
	293,016	Stryker Corp.		49,645,701
	1,036,803	UnitedHealth Group, Inc.		278,340,133

		Total Health Care Equipment & Services		928,323,380


		Household & Personal Products — 4.6%
	1,729,340	Reckitt Benckiser Group Plc		147,309,007
	3,231,325	Unilever Plc		184,136,192

		Total Household & Personal Products		331,445,199


		Pharmaceuticals, Biotechnology & Life Sciences — 9.5%
	1,675,508	Johnson & Johnson		225,674,173
	2,149,241	Merck & Co., Inc.		147,416,440
	1,493,136	Novartis AG (Registered)		123,873,714


Shares/ Par Value†		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — continued
	471,912	Pfizer, Inc.		19,593,786
	664,540	Roche Holding AG		164,775,064

		Total Pharmaceuticals, Biotechnology & Life Sciences		681,333,177


		Retailing — 3.0%
	1,921,050	TJX Cos, Inc. (The)		211,257,869


		Semiconductors & Semiconductor Equipment — 6.7%
	2,878,210	QUALCOMM, Inc.		197,761,809
	18,359,790	Taiwan Semiconductor Manufacturing Co Ltd		153,830,965
	1,131,581	Texas Instruments, Inc.		127,189,705

		Total Semiconductors & Semiconductor Equipment		478,782,479


		Software & Services — 28.9%
	1,413,062	Accenture Plc – Class A		238,906,392
	176,055	Alphabet, Inc. – Class A ^*		216,864,549
	201,923	Alphabet, Inc. – Class C ^*		245,980,580
	2,171,758	Cognizant Technology Solutions Corp. – Class A		170,330,980
	635,972	Facebook, Inc. – Class A ^*		111,759,360
	349,852	Mastercard, Inc. – Class A		75,414,097
	3,634,015	Microsoft Corp.		408,208,905
	7,189,545	Oracle Corp.		349,268,096
	1,072,629	SAP SE		128,766,730
	873,139	Teradata Corp. ^*		36,209,074
	625,808	Visa, Inc. – Class A		91,924,937

		Total Software & Services		2,073,633,700


		Technology Hardware & Equipment — 9.7%
	528,265	Amphenol Corp. – Class A		49,963,304
	2,011,290	Apple, Inc.		457,829,943
	3,999,564	Cisco Systems, Inc.		191,059,172

		Total Technology Hardware & Equipment		698,852,419


		TOTAL COMMON STOCKS (COST $4,527,040,959)		7,033,695,795


		MUTUAL FUNDS — 0.7%

		Affiliated Issuers — 0.7%
	2,045,410	GMO U.S. Treasury Fund		51,094,345


		TOTAL MUTUAL FUNDS (COST $51,089,904)		51,094,345


34		See accompanying notes to the financial statements.

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares/ Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.4%

		Money Market Funds — 0.2%
	13,188,942	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% ^(a)		13,188,942


		U.S. Government — 1.2%
	5,000,000	U.S. Treasury Bill, 2.01%, due 11/29/18 ^(b)		4,975,365
	63,000,000	U.S. Treasury Bill, 2.05%, due 12/20/18 ^(b)		62,610,052
	22,000,000	U.S. Treasury Bill, 2.21%, due 02/21/19 ^(b)		21,770,925


		TOTAL U.S. GOVERNMENT (COST $89,349,096)		89,356,342


		TOTAL SHORT-TERM INVESTMENTS (COST $102,538,038)		102,545,284


		TOTAL INVESTMENTS — 100.2% (Cost $4,680,668,901)		7,187,335,424
		Other Assets and Liabilities (net) — (0.2%)		(16,543,271	)


		TOTAL NET ASSETS — 100.0%		$7,170,792,153

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 August 31, 2018.

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


		See accompanying notes to the financial statements.		35

GMO Resources Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		88.7	%
Preferred Stocks		8.5
Mutual Funds		2.4
Short-Term Investments		0.2
Rights/Warrants		0.0	^
Other		0.2

		100.0	%


Country Summary¤	% of Investments
United States		16.3	%
Russia		14.2
United Kingdom		13.8
Norway		8.1
Japan		5.4
Australia		4.7
France		4.6
Other Emerging		4.5	†
Brazil		4.4
Other Developed		3.3	‡
Chile		3.2
Israel		2.5
China		2.3
Sweden		2.3
Thailand		2.2
Denmark		2.0
Poland		1.9
Spain		1.8
South Africa		1.5
Argentina		1.0

		100.0	%


Industry Group Summary	% of Equity Investments^#
Energy		39.0	%
Industrial Metals		38.6
Agriculture		18.7
Water		3.7

		100.0	%

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

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

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

^	Rounds to 0.0%.

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		COMMON STOCKS — 88.7%

		Argentina — 1.0%
	578,300	Adecoagro SA ^*		4,632,183


		Australia — 4.6%
	1,047,536	Ausdrill Ltd		1,218,337
	233,874	Beach Energy Ltd		326,905
	424,574	Mineral Resources Ltd		4,624,837
	157,262	Nufarm Ltd		774,233
	244,343	OZ Minerals Ltd		1,588,679
	794,939	Sandfire Resources NL		4,053,507
	2,245,927	South32 Ltd		5,617,359
	94,962	Woodside Petroleum Ltd		2,519,356

		Total Australia		20,723,213


		Austria — 0.7%
	57,249	OMV AG		3,035,169


		Brazil — 1.0%
	342,400	Cosan SA Industria e Comercio		2,925,418
	302,357	Sao Martinho SA		1,406,709

		Total Brazil		4,332,127


		Canada — 0.9%
	86,500	Canadian Solar Inc ^*		1,242,140
	21,531	Nutrien Ltd		1,219,300
	30,140	Nutrien Ltd		1,693,845

		Total Canada		4,155,285


		China — 2.3%
	2,222,000	China High Speed Transmission Equipment Group Co Ltd		2,471,768
	1,535,000	China Singyes Solar Technologies Holdings Ltd		485,260
	1,071,914	Inner Mongolia Eerduosi Resourses Co Ltd – Class A		1,359,382
	1,297,100	Shenzhen Zhongjin Lingnan Nonfemet Co Ltd		878,082
	3,284,200	Xinjiang Goldwind Science & Technology Co Ltd – Class H		3,519,313
	5,062,000	Xinyi Solar Holdings Ltd		1,509,831

		Total China		10,223,636


		Colombia — 0.8%
	3,125,056	Ecopetrol SA		3,508,590


		Denmark — 2.0%
	129,074	Vestas Wind Systems A/S		9,053,042


		Finland — 0.2%
	49,394	Kemira Oyj		654,902


		France — 4.6%
	218,120	Suez		3,156,851


Shares		Description	Value ($)
		France — continued
	181,580	TOTAL SA		11,386,484
	177,406	Veolia Environnement SA		3,737,085
	33,592	Vilmorin & Cie SA		2,330,489

		Total France		20,610,909


		Germany — 0.7%
	55,676	CropEnergies AG		298,205
	34,359	K+S AG (Registered)		781,606
	69,356	Nordex SE ^*		718,295
	370,435	PNE Wind AG		1,218,910
	32,938	Senvion SA ^*		268,570

		Total Germany		3,285,586


		Hungary — 0.6%
	247,117	MOL Hungarian Oil & Gas Plc		2,521,762


		India — 0.5%
	954,634	Oil & Natural Gas Corp Ltd ^*		2,422,556


		Israel — 2.5%
	1,132,173	Israel Chemicals Ltd		6,615,459
	12,847	Israel Corp Ltd (The)		3,865,254
	12,876	Jerusalem Oil Exploration ^*		720,476

		Total Israel		11,201,189


		Italy — 0.4%
	325,959	Saipem SPA ^*		1,743,179


		Japan — 5.4%
	98,200	Ebara Corp		3,356,002
	289,600	Hitachi Zosen Corp		1,245,289
	145,600	Kubota Corp		2,275,826
	106,400	Kumiai Chemical Industry Co Ltd		906,896
	24,900	Kurita Water Industries Ltd		739,101
	232,300	Mitsubishi Materials Corp		6,281,410
	29,300	Modec Inc		886,757
	37,700	Nittetsu Mining Co Ltd		1,736,064
	14,400	Organo Corp		405,871
	76,300	Shinko Plantech Co Ltd		714,028
	235,800	Sumitomo Forestry Co Ltd		3,808,776
	127,200	Takuma Co Ltd		1,567,084

		Total Japan		23,923,104


		Netherlands — 0.3%
	62,531	SBM Offshore NV		1,011,686
	19,601	SIF Holding NV		385,942

		Total Netherlands		1,397,628


		Norway — 8.1%
	560,801	Austevoll Seafood ASA		7,379,260
	48,908	Bakkafrost P/F		2,790,176


		See accompanying notes to the financial statements.		37

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Norway — continued
	187,275	BW Offshore Ltd ^*		1,335,600
	250,243	Equinor ASA		6,418,784
	182,713	Grieg Seafood ASA		2,102,043
	72,515	Marine Harvest ASA		1,566,157
	131,624	Ocean Yield ASA		1,001,874
	178,032	Odfjell Drilling Ltd ^*		791,828
	84,843	Salmar ASA		4,084,866
	202,347	Subsea 7 SA		2,750,977
	24,260	TGS NOPEC Geophysical Co ASA		920,053
	109,802	Yara International ASA		5,052,354

		Total Norway		36,193,972


		Pakistan — 0.8%
	2,562,500	Engro Fertilizers Ltd		1,630,501
	559,500	Fauji Fertilizer Co Ltd		440,958
	46,120	Millat Tractors Ltd		466,025
	798,400	Oil & Gas Development Co Ltd		977,683

		Total Pakistan		3,515,167


		Poland — 1.9%
	268,834	KGHM Polska Miedz SA ^*		6,577,089
	1,228,635	Polskie Gornictwo Naftowe i Gazownictwo SA		1,924,753

		Total Poland		8,501,842


		Qatar — 0.1%
	93,117	Gulf International Services QSC ^*		443,339


		Russia — 12.2%
	1,636,830	Gazprom Neft PJSC		8,150,798
	161,479	LUKOIL PJSC Sponsored ADR		11,158,619
	581,535	MMC Norilsk Nickel PJSC ADR		9,650,780
	31,880	Novatek PJSC Sponsered GDR (Registered)		5,331,163
	315,037	PhosAgro PJSC GDR (Registered)		4,174,453
	575,419	Ros Agro Plc GDR (Registered)		5,889,651
	610,322	Rosneft PJSC GDR (Registered)		3,887,373
	82,111	Tatneft PJSC Sponsored ADR		5,693,223
	98,620	TMK PJSC GDR (Registered)		415,327

		Total Russia		54,351,387


		Singapore — 0.1%
	3,529,686	Ezion Holdings Ltd ^*		190,370
	2,725,600	Ezra Holdings Ltd ^{* (a)}		—

		Total Singapore		190,370


		South Africa — 1.5%
	179,383	African Rainbow Minerals Ltd		1,536,506
	135,497	Sasol Ltd		5,307,327

		Total South Africa		6,843,833


Shares		Description	Value ($)
		South Korea — 0.8%
	8,464	Korea Zinc Co Ltd		3,081,540
	647	Young Poong Corp		421,936

		Total South Korea		3,503,476


		Spain — 1.8%
	60,768	Fomento de Construcciones y Contratas SA ^*		849,210
	335,203	Repsol SA		6,446,919
	17,785	Tecnicas Reunidas SA		601,500

		Total Spain		7,897,629


		Sweden — 2.2%
	235,989	Boliden AB		6,179,788
	65,762	Holmen AB – B Shares		1,692,805
	180,547	Svenska Cellulosa AB SCA – Class B		2,101,786

		Total Sweden		9,974,379


		Switzerland — 0.1%
	436	Gurit Holding AG		371,751


		Thailand — 2.2%
	2,153,900	Esso Thailand Pcl (Foreign Registered)		1,039,930
	703,164	PTT Exploration & Production Pcl (Foreign Registered)		3,063,704
	3,559,010	PTT Pcl (Foreign Registered)		5,714,140

		Total Thailand		9,817,774


		Turkey — 0.2%
	911,938	Koza Anadolu Metal Madencilik Isletmeleri AS^*		801,467
	29,469	Turk Traktor ve Ziraat Makineleri AS		204,434

		Total Turkey		1,005,901


		Ukraine — 0.7%
	230,957	Kernel Holding SA		3,079,756


		United Kingdom — 13.7%
	794,687	Anglo American Plc		15,958,244
	64,659	Antofagasta Plc		677,304
	627,931	BHP Billiton Plc		13,434,298
	347,921	BP Plc		2,477,602
	180,807	Central Asia Metals Plc		503,622
	1,573,441	EnQuest Plc ^*		881,038
	313,844	Glencore Plc ^*		1,278,623
	85,178	John Wood Group Plc		793,668
	290,453	Petrofac Ltd		2,476,857
	199,668	Polypipe Group Plc		959,409
	528,296	Premier Oil Plc ^*		850,338
	425,613	Rio Tinto Plc		20,213,373
	25,528	Royal Dutch Shell Plc A Shares (London)		830,524

		Total United Kingdom		61,334,900


38		See accompanying notes to the financial statements.

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		United States — 13.8%
	22,200	AGCO Corp.		1,324,452
	74,600	Albemarle Corp.		7,125,792
	33,300	American Vanguard Corp.		729,270
	34,000	C&J Energy Services, Inc. ^*		712,300
	270,902	Chesapeake Energy Corp. ^*		1,200,096
	16,800	Deere & Co.		2,415,840
	438,508	Denbury Resources, Inc. ^*		2,442,489
	145,584	Ensco Plc – Class A		995,795
	92,900	First Solar, Inc. ^*		4,838,232
	1,700,354	Freeport-McMoRan, Inc.		23,889,974
	23,100	Mosaic Co. (The)		722,337
	118,500	Noble Corp Plc ^*		722,850
	98,600	Renewable Energy Group, Inc. ^*		2,657,270
	27,600	Rexnord Corp. ^*		801,228
	98,300	Rowan Cos Plc – Class A ^*		1,380,132
	204,555	SolarEdge Technologies, Inc. ^*		9,808,412

		Total United States		61,766,469


		TOTAL COMMON STOCKS (COST $347,182,776)		396,216,005


		PREFERRED STOCKS ^(b) — 8.5%

		Brazil — 3.4%
	1,986,899	Bradespar SA		15,156,258


		Chile — 3.1%
	328,912	Sociedad Quimica y Minera de Chile SA Sponsored ADR		14,014,940


		Russia — 2.0%
	58,073	Bashneft PJSC		1,455,728
	8,633,884	Surgutneftegas OJSC		4,791,590
	357,301	Tatneft PJSC		2,786,876

		Total Russia		9,034,194


		TOTAL PREFERRED STOCKS (COST $28,876,553)		38,205,392


		RIGHTS/WARRANTS — 0.0%

		Australia — 0.0%
	491,800	Ausdrill Ltd, Expires 09/05/18		51,265


		Singapore — 0.0%
	2,117,812	Ezion Holdings Ltd, Expires 04/16/23 ^{* (c)}		—


		TOTAL RIGHTS/WARRANTS (COST $0)		51,265


Shares		Description	Value ($)
		MUTUAL FUNDS — 2.4%

		United States — 2.4%
		Affiliated Issuers — 2.4%
	425,964	GMO U.S. Treasury Fund		10,640,570


		TOTAL MUTUAL FUNDS (COST $10,638,444)		10,640,570


		SHORT-TERM INVESTMENTS — 0.2%

		Money Market Fund — 0.2%
	751,939	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% ^(d)		751,939


		TOTAL SHORT-TERM INVESTMENTS (COST $751,939)		751,939


		TOTAL INVESTMENTS — 99.8% (Cost $387,449,712)		445,865,171
		Other Assets and Liabilities (net) — 0.2%		1,068,606


		TOTAL NET ASSETS — 100.0%		$446,933,777

Notes to Schedule of Investments:

*	Non-income producing security.

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

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

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

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


		See accompanying notes to the financial statements.		39

GMO Risk Premium Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Short-Term Investments		53.9	%
Debt Obligations		46.4
Written Options		(0.6	)
Other		0.3

		100.0	%

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

GMO Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value† / Shares		Description	Value ($)

		DEBT OBLIGATIONS — 46.4%

		U.S. Government — 39.0%
	85,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.12%, due 04/30/20 ^(a)		85,012,417
	91,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.13%, due 07/31/20		90,989,568
	25,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.14%, due 10/31/19		25,015,426

		Total U.S. Government		201,017,411


		U.S. Government Agency — 7.4%
	8,000,000	Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR - 0.11%, 1.96%, due 04/22/19		7,998,917
	10,000,000	Federal Home Loan Banks, Variable Rate 3 mo. USD LIBOR - 0.16%, 2.17%, due 06/12/19		10,005,357
	20,000,000	Federal Home Loan Banks, Variable Rate 3 mo. USD LIBOR - 0.24%, 2.10%, due 04/13/20		19,987,531

		Total U.S. Government Agency		37,991,805


		TOTAL DEBT OBLIGATIONS (COST $238,978,475)		239,009,216


		SHORT-TERM INVESTMENTS — 53.9%

		Money Market Funds — 0.4%
	1,731,761	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% ^(b)		1,731,761

		Total Money Market Funds		1,731,761


Par Value†		Description	Value ($)
		U.S. Government — 53.5%
	4,800,000	U.S. Treasury Bill, 1.96%, due 11/15/18 ^(c)		4,780,464
	1,500,000	U.S. Treasury Bill, 1.99%, due 11/23/18 ^(c)		1,493,150
	47,400,000	U.S. Treasury Bill, 2.05%, due 12/20/18 ^{(a) (c)}		47,106,611
	45,950,000	U.S. Treasury Note, 1.25%, due 12/31/18		45,813,210
	62,350,000	U.S. Treasury Note, 1.25%, due 01/31/19 ^(a)		62,096,703
	70,000,000	U.S. Treasury Note, 1.38%, due 02/28/19		69,693,750
	45,000,000	U.S. Treasury Note, 1.00%, due 03/15/19		44,702,930

		Total U.S. Government		275,686,818


		TOTAL SHORT-TERM INVESTMENTS (COST $277,442,192)		277,418,579


		TOTAL INVESTMENTS — 100.3% (Cost $516,420,667)		516,427,795
		Other Assets and Liabilities (net) — (0.3%)		(1,429,836	)


		TOTAL NET ASSETS — 100.0%		$514,997,959

A summary of outstanding financial instruments at August 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		7,550.00		09/21/18		536		GBP	39,837,771		(1,005,641	)
FTSE 100 Index	MSLC		7,575.00		09/21/18		169		GBP	12,560,790		(386,687	)
FTSE 100 Index	MSLC		7,600.00		09/21/18		97		GBP	7,209,447		(247,252	)
S&P 500 Index	MSLC		2,900.00		09/07/18		743		USD	215,582,936		(891,600	)
S&P 500 Index	MSLC		2,895.00		09/04/18		378		USD	109,677,456		(105,840	)
S&P 500 Index	MSLC		2,915.00		09/05/18		371		USD	107,646,392		(534,240	)

					TOTAL INDEX OPTIONS - PUTS (Premiums $4,083,175)							(3,171,260	)


		See accompanying notes to the financial statements.		41

GMO Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

Notes to Schedule of Investments:

The rates shown on variable rate notes are the current interest rates at August 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 (Note 4).

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

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


42		See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		95.6	%
Preferred Stocks		2.0
Mutual Funds		1.9
Short-Term Investments		0.2
Rights/Warrants		0.0	^
Futures Contracts		0.0	^
Other		0.3

		100.0	%


Country Summary¤	% of Investments
Japan		24.3	%
United Kingdom		14.2
Germany		9.8
France		7.1
Sweden		5.1
Other Emerging		4.7	†
Italy		4.5
Switzerland		4.5
Australia		3.8
Other Developed		3.6	‡
Hong Kong		3.6
China		3.2
United States		2.2
Canada		1.7
Austria		1.6
South Korea		1.6
Netherlands		1.5
European Union		1.5
Norway		1.4
Colombia		0.1

		100.0	%


Industry Group Summary	% of Equity Investments^#
Capital Goods		13.4	%
Materials		11.9
Banks		9.0
Pharmaceuticals, Biotechnology & Life Sciences		8.9
Automobiles & Components		7.7
Food, Beverage & Tobacco		7.2
Technology Hardware & Equipment		4.9
Insurance		4.7
Consumer Durables & Apparel		4.4
Semiconductors & Semiconductor Equipment		4.3
Telecommunication Services		3.8
Energy		3.6
Diversified Financials		3.5
Real Estate		3.1
Transportation		2.1
Household & Personal Products		1.6
Utilities		1.5
Retailing		1.4
Software & Services		1.3
Consumer Services		0.7
Food & Staples Retailing		0.4
Health Care Equipment & Services		0.4
Media		0.1
Commercial & Professional Services		0.1

		100.0	%

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

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

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

^	Rounds to 0.0%.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		COMMON STOCKS — 95.6%

		Australia — 3.8%
	674	Altium Ltd		13,615
	25,843	BlueScope Steel Ltd		321,665
	9,216	Caltex Australia Ltd		200,266
	621	CIMIC Group Ltd		22,025
	21,619	Costa Group Holdings Ltd		112,542
	3,449	CSL Ltd		565,417
	22,500	CSR Ltd		69,755
	6,153	Genworth Mortgage Insurance Australia Ltd		11,694
	353	LendLease Group		5,206
	2,911	Macquarie Group Ltd		272,275
	6,658	Mineral Resources Ltd		72,525
	6,804	Nine Entertainment Co Holdings Ltd		11,822
	19,984	OZ Minerals Ltd		129,933
	1,760	Primary Health Care Ltd		3,524
	5,908	Sandfire Resources NL		30,126
	47,548	South32 Ltd		118,924
	2,999	WorleyParsons Ltd		44,346

		Total Australia		2,005,660


		Austria — 1.6%
	7,048	OMV AG		373,664
	6,409	Raiffeisen Bank International AG		182,443
	6,732	voestalpine AG		302,592

		Total Austria		858,699


		Belgium — 0.3%
	2,430	Ageas		125,827
	4,294	AGFA-Gevaert NV ^*		18,857
	32	UCB SA		2,929

		Total Belgium		147,613


		Brazil — 0.5%
	1,600	Banco do Brasil SA		11,824
	900	Banco Santander Brasil SA		7,645
	3,300	Cia de Saneamento Basico do Estado de Sao Paulo		19,769
	33,500	JBS SA		77,312
	2,500	Kroton Educacional SA		6,273
	5,400	Petrobras Distribuidora SA		26,224
	10,182	Vale SA		134,040

		Total Brazil		283,087


		Canada — 1.7%
	1,700	Bank of Montreal		139,332
	1,400	BRP Inc Sub Voting		73,079
	100	Canadian Imperial Bank of Commerce		9,372
	100	Canadian Imperial Bank of Commerce		9,368
	500	Canfor Corp ^*		11,529
	800	Magna International Inc		43,316
	3,100	Magna International Inc		167,772


Shares		Description	Value ($)
		Canada — continued
	200	National Bank of Canada		10,009
	2,700	Royal Bank of Canada		214,469
	200	Royal Bank of Canada		15,904
	3,100	Sun Life Financial Inc		123,194
	1,000	TFI International Inc		37,119
	500	Toronto-Dominion Bank (The)		30,134
	100	West Fraser Timber Co Ltd		6,634

		Total Canada		891,231


		China — 3.2%
	8,000	Agile Group Holdings Ltd		13,085
	249,000	Agricultural Bank of China Ltd – Class H		120,660
	2,000	Anhui Conch Cement Co Ltd – Class H		12,201
	10,000	ANTA Sports Products Ltd		54,532
	300	Baidu Inc Sponsored ADR ^*		67,944
	36,000	Bank of Communications Co Ltd – Class H		26,016
	18,000	Beijing Capital International Airport Co Ltd – Class H		19,187
	66,000	China CITIC Bank Corp Ltd – Class H		41,236
	88,000	China Communications Services Corp Ltd – Class H		72,907
	14,000	China Evergrande Group ^*		50,315
	78,200	China National Building Material Co Ltd – Class H		73,275
	102,000	China Petroleum & Chemical Corp – Class H		102,631
	35,500	China Railway Construction Corp Ltd – Class H		42,945
	44,000	China Resources Cement Holdings Ltd		51,455
	5,000	China Resources Pharmaceutical Group Ltd		8,001
	31,000	China Shenhua Energy Co Ltd – Class H		69,239
	234,000	China Telecom Corp Ltd – Class H		110,051
	300	China Yuchai International Ltd		6,033
	18,000	Chongqing Rural Commercial Bank Co Ltd – Class H		9,709
	11,000	Country Garden Holdings Co Ltd		16,399
	46,000	Dongfeng Motor Group Co Ltd – Class H		51,422
	40,000	Geely Automobile Holdings Ltd		85,163
	28,800	Guangzhou R&F Properties Co Ltd – Class H		58,201
	7,000	Haier Electronics Group Co Ltd ^*		18,255
	20,000	Harbin Electric Co Ltd – Class H		6,292
	20,000	Huabao International Holdings Ltd		11,785
	18,000	Kingboard Holdings Ltd		64,078
	18,000	Kingboard Laminates Holdings Ltd		17,018
	18,000	Lee & Man Paper Manufacturing Ltd		17,271
	6,000	Lonking Holdings Ltd		2,066
	13,000	People’s Insurance Co Group of China Ltd (The) – Class H		5,639
	80,000	Postal Savings Bank of China Co Ltd – Class H		47,154
	14,100	Shanghai Pharmaceuticals Holding Co Ltd – Class H		37,038
	16,000	Shenzhen Expressway Co Ltd – Class H		15,524
	32,000	Shimao Property Holdings Ltd		95,564
	28,500	Sino Biopharmaceutical Ltd		36,121
	23,000	Sinopec Engineering Group Co Ltd – Class H		23,985
	5,500	Sinotruk Hong Kong Ltd		8,214


44		See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		China — continued
	34,000	TravelSky Technology Ltd – Class H		87,302
	31,000	Weichai Power Co Ltd – Class H		32,877

		Total China		1,688,790


		Colombia — 0.1%
	2,700	Ecopetrol SA Sponsored ADR		61,020


		Denmark — 0.5%
	700	Novo Nordisk A/S Sponsored ADR		34,419
	3,210	Novo Nordisk A/S – Class B		158,016
	592	Royal Unibrew A/S		51,017

		Total Denmark		243,452


		Finland — 0.9%
	12,720	UPM-Kymmene Oyj		490,667


		France — 7.2%
	9,407	Air France-KLM ^*		90,311
	3,723	AXA SA		93,823
	4,352	BNP Paribas SA		256,215
	1,342	Christian Dior SE		579,012
	411	Cie Generale des Etablissements Michelin		48,645
	1,101	CNP Assurances		25,447
	2,933	Derichebourg SA		16,426
	665	Jacquet Metal Service		19,430
	2,455	L’Oreal SA		587,742
	19	LVMH Moet Hennessy Louis Vuitton SE		6,661
	8,643	Peugeot SA		238,152
	4,232	Renault SA		365,522
	4,442	Sanofi		381,449
	1,000	Sanofi ADR		42,850
	9,700	STMicroelectronics NV – NY Shares		200,693
	38,588	STMicroelectronics NV		796,170
	195	TOTAL SA		12,228

		Total France		3,760,776


		Germany — 8.7%
	5,768	Allianz SE (Registered)		1,229,402
	192	BASF SE		17,742
	6,964	Bayer AG (Registered)		649,910
	6,555	Bayerische Motoren Werke AG		634,568
	787	Covestro AG		67,006
	3,568	Daimler AG (Registered Shares)		230,744
	29,200	Deutsche Lufthansa AG (Registered)		762,925
	5,282	Duerr AG		243,366
	806	Elmos Semiconductor AG		20,820
	3,652	Freenet AG		97,100
	174	Hannover Rueck SE		23,896
	131	Henkel AG & Co KGaA		14,618
	160	Isra Vision AG		11,135
	3,945	Leoni AG		170,201


Shares		Description	Value ($)
		Germany — continued
	543	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		116,981
	591	Siltronic AG		85,677
	125	Uniper SE		3,820
	873	Volkswagen AG		140,526
	1,594	Wacker Neuson SE		44,069

		Total Germany		4,564,506


		Greece — 0.0%
	559	Mytilineos Holdings SA		5,595


		Hong Kong — 3.7%
	84,000	BOC Hong Kong Holdings Ltd		410,239
	11,200	Dah Sing Banking Group Ltd		23,101
	8,000	Kerry Properties Ltd		30,339
	43,000	Link (REIT)		428,595
	2,000	Minth Group Ltd		8,202
	624,000	WH Group Ltd		471,263
	43,000	Wharf Holdings Ltd (The)		122,797
	43,000	Wharf Real Estate Investment Co Ltd		285,298
	22,000	Wheelock & Co Ltd		138,140

		Total Hong Kong		1,917,974


		Hungary — 0.2%
	2,708	MOL Hungarian Oil & Gas Plc		27,634
	900	OTP Bank Plc		33,112
	1,681	Richter Gedeon Nyrt		33,009

		Total Hungary		93,755


		India — 0.8%
	388	Bata India Ltd		5,933
	589	Cadila Healthcare Ltd		3,360
	5,291	Firstsource Solutions Ltd		5,626
	6,013	HCL Technologies Ltd		88,588
	538	Hero MotoCorp Ltd		24,754
	11,445	Hindalco Industries Ltd		38,520
	980	Hindustan Petroleum Corp Ltd		3,517
	512	Indiabulls Housing Finance Ltd		9,112
	1,056	Indian Oil Corp Ltd		2,323
	1,126	Just Dial Ltd ^*		8,880
	2,139	Karnataka Bank Ltd (The)		3,606
	1,182	Mahindra & Mahindra Ltd		16,109
	537	Maruti Suzuki India Ltd		68,974
	139	Merck Ltd		6,865
	517	NIIT Technologies Ltd		10,274
	3,486	NMDC Ltd		5,483
	2,833	PTC India Ltd		3,350
	1,398	Reliance Industries Ltd		24,461
	3,365	Rural Electrification Corp Ltd		5,693
	4,026	Syndicate Bank ^*		2,284
	3,907	Tech Mahindra Ltd		42,223


		See accompanying notes to the financial statements.		45

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		India — continued
	469	UPL Ltd		4,724
	7,571	Vedanta Ltd		24,439
	2,526	Wipro Ltd		10,700
	700	Yes Bank Ltd		3,394
	1,066	Zee Entertainment Enterprises Ltd		7,524

		Total India		430,716


		Ireland — 0.5%
	6,190	Smurfit Kappa Group Plc		252,797


		Italy — 4.6%
	11,005	Arnoldo Mondadori Editore SPA ^*		16,819
	429	Datalogic SPA		16,007
	139	El.En. SPA		4,480
	130,904	Enel SPA		647,181
	9,589	EXOR NV		623,948
	43,100	Fiat Chrysler Automobiles NV ^*		737,441
	12,706	Fiat Chrysler Automobiles NV ^*		215,110
	1,145	Poste Italiane SPA		8,820
	391	Prima Industrie SPA		14,707
	12,969	Societa Cattolica di Assicurazioni SC		105,254

		Total Italy		2,389,767


		Japan — 24.7%
	600	Acom Co Ltd		2,449
	900	Arakawa Chemical Industries Ltd		13,694
	5,900	Asahi Group Holdings Ltd		266,428
	41,600	Asahi Kasei Corp		609,587
	19,600	Astellas Pharma Inc		332,291
	22,200	Brother Industries Ltd		455,418
	3,500	Canon Inc		112,303
	100	Central Japan Railway Co		20,078
	1,900	CKD Corp		28,064
	200	Dai-ichi Seiko Co Ltd		3,005
	1,600	Daito Trust Construction Co Ltd		239,815
	1,800	Daiwa House Industry Co Ltd		54,835
	1,600	Fancl Corp		82,191
	6,000	Fuji Electric Co Ltd		48,332
	2,600	Hanwa Co Ltd		87,646
	29,800	Haseko Corp		386,055
	150,000	Hitachi Ltd		979,135
	300	Horiba Ltd		18,577
	400	House Foods Group Inc		11,859
	2,500	Idemitsu Kosan Co Ltd		126,183
	59,600	ITOCHU Corp		1,041,441
	1,400	Juki Corp		16,446
	11,640	K’s Holdings Corp		140,899
	1,400	Kamei Corp		17,413
	22,900	KDDI Corp		605,472
	500	Keihin Corp		10,507
	100	Keyence Corp		56,611


Shares		Description	Value ($)
		Japan — continued
	500	Kirin Holdings Co Ltd		12,356
	1,100	Kitz Corp		9,636
	200	Kose Corp		36,877
	500	Mandom Corp		15,019
	65,600	Marubeni Corp		537,491
	5,300	Medipal Holdings Corp		106,890
	107,600	Mitsubishi Chemical Holdings Corp		964,068
	11,600	Mitsubishi Corp		330,798
	26,700	Mitsubishi Electric Corp		360,436
	3,100	Mitsubishi Gas Chemical Co Inc		64,442
	300	Modec Inc		9,079
	300	Nagase & Co Ltd		5,001
	6,600	NET One Systems Co Ltd		152,865
	3,400	Nexon Co Ltd ^*		42,670
	2,000	Nichias Corp		25,999
	400	Nihon Unisys Ltd		9,765
	22,200	Nippon Telegraph & Telephone Corp		987,700
	400	Nisshin Oillio Group Ltd (The)		10,814
	600	NTT DOCOMO Inc		15,549
	400	Pola Orbis Holdings Inc		14,097
	7,000	Prima Meat Packers Ltd		34,749
	1,200	Rohm Co Ltd		108,416
	1,300	Rohto Pharmaceutical Co Ltd		41,530
	600	Showa Corp		9,557
	3,000	Showa Denko KK		142,491
	127,500	Sojitz Corp		443,683
	90,000	Sumitomo Chemical Co Ltd		510,823
	14,000	Sumitomo Corp		227,024
	300	Suntory Beverage & Food Ltd		12,288
	220	Suzuken Co Ltd		9,990
	500	T-Gaia Corp		13,158
	100	TDK Corp		11,216
	4,100	Tokyo Electron Ltd		698,024
	32,200	Tosoh Corp		505,226
	14,900	Toyota Tsusho Corp		507,609
	7,660	USS Co Ltd		144,290
	400	Yamazaki Baking Co Ltd		7,782

		Total Japan		12,906,142


		Malaysia — 0.0%
	7,200	Top Glove Corp Berhad		19,508


		Malta — 0.0%
	1,718,063	BGP Holdings Plc ^{* (a)}		—


		Mexico — 0.4%
	6,400	Arca Continental SAB de CV		39,579
	330	Gruma SAB de CV – Class B		4,175
	6,300	OHL Mexico SAB de CV		9,493
	49,400	Wal-Mart de Mexico SAB de CV		136,782

		Total Mexico		190,029


46		See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Netherlands — 1.5%
	757	Heineken Holding NV		72,228
	54,184	ING Groep NV		736,024

		Total Netherlands		808,252


		New Zealand — 0.0%
	5,242	Spark New Zealand Ltd		13,840


		Norway — 1.5%
	133	Aker ASA – A Shares		10,420
	159	Bakkafrost P/F		9,071
	12,050	DNB ASA		244,977
	14,481	Equinor ASA		371,441
	1,419	Leroy Seafood Group ASA		10,790
	228	Salmar ASA		10,977
	2,652	SpareBank 1 SR Bank ASA		29,924
	706	Storebrand ASA		6,250
	5,161	Subsea 7 SA		70,166

		Total Norway		764,016


		Poland — 0.0%
	100	KGHM Polska Miedz SA ^*		2,447


		Portugal — 0.0%
	19,283	Sonae SGPS SA		20,514


		Russia — 0.3%
	6,717	Gazprom PJSC Sponsored ADR		29,628
	72,000	Inter RAO UES PJSC		4,315
	398	LUKOIL PJSC Sponsored ADR		27,503
	341,000	RusHydro PJSC		3,220
	5,791	Sberbank of Russia Sponsored ADR		63,066

		Total Russia		127,732


		Singapore — 0.9%
	19,400	DBS Group Holdings Ltd		352,673
	6,200	Venture Corp Ltd		81,854
	37,400	Yanlord Land Group Ltd		41,443

		Total Singapore		475,970


		South Africa — 0.8%
	7,452	Absa Group Ltd		82,420
	366	Astral Foods Ltd		6,446
	4,867	Barloworld Ltd		41,394
	3,080	Bidvest Group Ltd (The)		45,262
	2,006	Clicks Group Ltd		27,705
	1,413	Imperial Holdings Ltd		19,799
	125	Kumba Iron Ore Ltd		2,253
	1,232	Liberty Holdings Ltd		9,747
	1,988	Mondi Ltd		55,470
	25	Naspers Ltd – N Shares		5,551
	2,079	Nedbank Group Ltd		39,326


Shares		Description	Value ($)
		South Africa — continued
	2,621	Raubex Group Ltd		3,895
	6,809	Standard Bank Group Ltd		86,301

		Total South Africa		425,569


		South Korea — 1.3%
	47	Chong Kun Dang Pharmaceutical Corp		4,580
	41	Coway Co Ltd		3,365
	52	DB Insurance Co Ltd		2,990
	153	E-MART Inc		29,478
	1,864	Hana Financial Group Inc		71,477
	128	Hankook Tire Co Ltd		5,364
	648	Hanwha Life Insurance Co Ltd		2,823
	58	Hyundai Department Store Co Ltd		5,187
	625	Hyundai Marine & Fire Insurance Co Ltd		20,880
	4,987	Industrial Bank of Korea		66,756
	1,518	KB Financial Group Inc		70,186
	114	Kia Motors Corp		3,283
	47	Korea Investment Holdings Co Ltd		3,008
	39	KT&G Corp		3,538
	57	LG Corp		3,662
	1,060	LG Electronics Inc		73,079
	80	LOTTE Himart Co Ltd		5,143
	14	Lotte Shopping Co Ltd		2,263
	783	Meritz Fire & Marine Insurance Co Ltd		12,836
	75	NHN Entertainment Corp ^*		4,062
	1,221	Shinhan Financial Group Co Ltd		47,957
	119	Shinsegae Inc		34,694
	52	SK Holdings Co Ltd		12,290
	1,312	SK Hynix Inc		97,849
	1,600	SK Telecom Co Ltd Sponsored ADR		41,616
	3,340	Woori Bank ^*		48,922

		Total South Korea		677,288


		Spain — 0.6%
	1,514	Amadeus IT Group SA		140,398
	614	Ferrovial SA		13,258
	2,769	Grifols SA		81,415
	5,669	International Consolidated Airlines Group SA		50,885

		Total Spain		285,956


		Sweden — 5.1%
	7,676	Atlas Copco AB – A Shares		218,824
	1,915	Atlas Copco AB – B Shares		50,647
	1,647	Bufab AB		19,379
	10,456	Epiroc AB – Class A ^*		108,617
	909	Epiroc AB – Class B ^*		8,693
	1,492	Kindred Group Plc SDR		18,349
	917	Oriflame Holding AG		26,681
	32,842	Sandvik AB		574,887
	836	SKF AB – B Shares		16,070
	27,815	Svenska Cellulosa AB SCA – Class B		323,801


		See accompanying notes to the financial statements.		47

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Sweden — continued
	433	Swedish Orphan Biovitrum AB^*		13,799
	4,755	Swedish Match AB		254,195
	2,991	Volvo AB – A Shares		51,587
	58,205	Volvo AB – B Shares		1,002,691

		Total Sweden		2,688,220


		Switzerland — 4.5%
	698	ALSO Holding AG (Registered) ^*		83,066
	656	Baloise Holding AG (Registered)		100,815
	44	Bell Food Group AG (Registered)		13,672
	327	BKW AG		23,195
	690	Bobst Group SA (Registered)		59,116
	32	Comet Holding AG (Registered) ^*		3,177
	227	Georg Fischer AG (Registered)		297,121
	137	Idorsia Ltd ^*		3,464
	2,750	Logitech International SA (Registered)		135,637
	6,937	Nestle SA (Registered)		581,508
	588	Novartis AG (Registered)		48,782
	255	Orior AG		22,550
	696	Roche Holding AG – Genusschein		172,576
	247	Roche Holding AG		61,929
	2,700	Sika AG (Registered)		399,886
	322	Swatch Group AG (The) (Registered)		26,074
	943	Swiss Life Holding AG (Registered) ^*		341,567

		Total Switzerland		2,374,135


		Taiwan — 0.8%
	8,093	ASE Technology Holding Co Ltd		19,915
	4,000	Asustek Computer Inc		34,087
	22,428	Chang Hwa Commercial Bank Ltd ^*		13,955
	2,020	Chicony Power Technology Co Ltd		2,907
	5,000	Formosa Chemicals & Fibre Corp		20,037
	4,000	Formosa Plastics Corp		14,663
	2,000	Fubon Financial Holding Co Ltd		3,316
	8,000	Gigabyte Technology Co Ltd		13,650
	22,200	Hon Hai Precision Industry Co Ltd		58,320
	62,000	Inventec Corp		55,648
	4,000	Micro-Star International Co Ltd		13,827
	4,000	Mitac Holdings Corp ^*		4,626
	5,000	Nan Ya Plastics Corp		13,914
	9,000	Novatek Microelectronics Corp		44,130
	2,000	Phison Electronics Corp		16,557
	9,000	Pou Chen Corp		9,923
	7,000	Radiant Opto-Electronics Corp		15,376
	11,000	Sunplus Technology Co Ltd		5,018
	2,304	Topco Scientific Co Ltd		5,853
	2,000	Uni-President Enterprises Corp		5,061
	109,000	United Microelectronics Corp		61,786
	7,000	Walsin Lihwa Corp		4,953
	7,000	Yuanta Financial Holding Co Ltd		3,547

		Total Taiwan		441,069


Shares		Description	Value ($)
		Thailand — 0.3%
	10,000	Amata Corp Pcl NVDR		6,511
	17,900	GFPT Pcl NVDR		8,096
	15,400	Indorama Ventures Pcl NVDR		28,247
	6,200	PTT Exploration & Production Pcl NVDR		27,014
	2,800	PTT Global Chemical Pcl NVDR		6,998
	27,200	PTT Pcl NVDR		43,671
	6,600	Supalai Pcl NVDR		4,880
	9,200	Thai Airways International Pcl NVDR ^*		3,682

		Total Thailand		129,099


		Turkey — 0.2%
	19,508	KOC Holding AS		44,581
	32,221	Turkiye Is Bankasi – Class C		19,620
	22,954	Turkiye Sise ve Cam Fabrikalari AS		21,577

		Total Turkey		85,778


		United Kingdom — 14.4%
	48,521	3i Group Plc		564,987
	2,452	Ashtead Group Plc		75,243
	11,366	AstraZeneca Plc		857,835
	735	Bellway Plc		27,845
	5,601	Berkeley Group Holdings Plc (The)		264,934
	861	Bovis Homes Group Plc		12,583
	14,691	British American Tobacco Plc		710,416
	9,658	Coca-Cola HBC AG ^*		330,691
	13,484	Diageo Plc		471,596
	13,532	Electrocomponents Plc		130,435
	29,374	Ferrexpo Plc		59,294
	223	Fevertree Drinks Plc		10,781
	50,198	GlaxoSmithKline Plc		1,016,653
	100,290	HSBC Holdings Plc		872,920
	8,669	IG Group Holdings Plc		101,797
	19,452	Inchcape Plc		174,747
	13,143	Legal & General Group Plc		43,433
	2,013	Man Group Plc		4,492
	1,218	Morgan Sindall Group Plc		23,212
	2,013	Next Plc		143,726
	2,800	Nomad Foods Ltd ^*		58,380
	22,669	Persimmon Plc		717,178
	8,397	Plus500 Ltd		167,756
	834	QinetiQ Group Plc		2,937
	7,369	Royal Dutch Shell Plc A Shares (London)		239,742
	7,428	Royal Mail Plc		43,195
	7,290	RPS Group Plc		22,215
	295	Spectris Plc		9,019
	10,383	Spirent Communications Plc		15,940
	100,605	Thomas Cook Group Plc		109,306
	13,083	TUI AG		241,491


48		See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		United Kingdom — continued
	1,528	William Hill Plc		5,105

		Total United Kingdom		7,529,884


		TOTAL COMMON STOCKS (COST $35,716,148)		50,051,553


		PREFERRED STOCKS^(b) — 2.0%

		Brazil — 0.4%
	15,133	Banco Bradesco SA		105,442
	7,900	Bradespar SA		60,262
	500	Braskem SA – Class A		7,268
	7,600	Centrais Eletricas Brasileiras SA – Class B ^*		33,773
	2,700	Cia Energetica de Sao Paulo – Class B		11,070
	6,219	Itausa – Investimentos Itau SA		14,642

		Total Brazil		232,457


		Germany — 1.3%
	1,142	Bayerische Motoren Werke AG		95,765
	133	Henkel AG & Co KGaA		16,976
	2,994	Porsche Automobil Holding SE		189,428
	2,144	Volkswagen AG		350,475

		Total Germany		652,644


		South Korea — 0.3%
	97	Hyundai Motor Co		6,825
	263	Hyundai Motor Co 2nd Preference		20,222
	142	LG Electronics Inc		3,953
	3,850	Samsung Electronics Co Ltd		137,181

		Total South Korea		168,181


		TOTAL PREFERRED STOCKS (COST $753,406)		1,053,282


		RIGHTS/WARRANTS — 0.0%

		Thailand — 0.0%
	1,650	Supalai Pcl, Expires 10/19/18 ^*		1,003


		TOTAL RIGHTS/WARRANTS (COST $0)		1,003


Shares		Description	Value ($)
		MUTUAL FUNDS — 1.9%

		United States — 1.9%
		Affiliated Issuers — 1.9%
	40,111	GMO U.S. Treasury Fund		1,001,983


		TOTAL MUTUAL FUNDS (COST $1,001,906)		1,001,983


		SHORT-TERM INVESTMENTS — 0.2%

		Money Market Fund — 0.2%
	105,298	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% ^(c)		105,298


		TOTAL SHORT-TERM INVESTMENTS (COST $105,298)		105,298


		TOTAL INVESTMENTS — 99.7% (Cost $37,576,758)		52,213,119
		Other Assets and Liabilities (net) — 0.3%		150,187


		TOTAL NET ASSETS — 100.0%		$52,363,306

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

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
8	Mini MSCI EAFE	September 2018		783,520		(17,979	)
3	Mini MSCI Emerging Markets	September 2018		158,235		(2,906	)

			$	941,755	$	(20,885	)

+	Buys - Fund is long the futures contract.

Sales

- Fund is short the futures contract.

Notes to Schedule of Investments:

*	Non-income producing security.

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

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

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


		See accompanying notes to the financial statements.		49

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

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		99.4	%
Mutual Funds		0.9
Short-Term Investments		0.1
Other		(0.4	)

		100.0	%


Industry Group Summary	% of Equity Investments^#
Pharmaceuticals, Biotechnology & Life Sciences		12.1	%
Software & Services		10.7
Capital Goods		10.1
Technology Hardware & Equipment		9.5
Semiconductors & Semiconductor Equipment		6.5
Retailing		5.2
Health Care Equipment & Services		5.1
Insurance		4.9
Consumer Durables & Apparel		4.1
Materials		4.0
Automobiles & Components		3.9
Diversified Financials		3.3
Banks		3.0
Energy		2.9
Real Estate		2.8
Household & Personal Products		2.5
Food, Beverage & Tobacco		2.3
Commercial & Professional Services		2.1
Media		2.0
Telecommunication Services		1.1
Consumer Services		1.1
Food & Staples Retailing		0.4
Utilities		0.2
Transportation		0.2

		100.0	%

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

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

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		COMMON STOCKS — 99.4%

		Automobiles & Components — 3.8%
	85,070	American Axle & Manufacturing Holdings, Inc. ^*		1,506,590
	71,800	Aptiv Plc		6,319,118
	90,345	BorgWarner, Inc.		3,954,400
	17,061	Cooper-Standard Holding, Inc. ^*		2,361,754
	134,844	Dana, Inc.		2,638,897
	322,516	General Motors Co.		11,626,702
	86,500	Gentex Corp.		2,022,370
	36,509	Lear Corp.		5,921,760
	61,421	Modine Manufacturing Co. ^*		1,034,944
	35,730	Stoneridge, Inc. ^*		1,069,399
	20,283	Tower International, Inc.		685,565

		Total Automobiles & Components		39,141,499


		Banks — 3.0%
	3,519	American National Bankshares, Inc.		144,807
	162,654	Citizens Financial Group, Inc.		6,694,839
	3,744	CNB Financial Corp.		115,427
	4,361	Federal Agricultural Mortgage Corp. – Class C		336,102
	115,473	Fifth Third Bancorp		3,398,370
	2,723	First Bancorp, Inc.		79,729
	4,637	German American Bancorp, Inc.		174,305
	83,593	JPMorgan Chase & Co.		9,578,086
	48,661	Popular, Inc.		2,449,595
	317,567	Regions Financial Corp.		6,179,854
	64,068	TCF Financial Corp.		1,624,124
	4,084	Territorial Bancorp, Inc.		122,030

		Total Banks		30,897,268


		Capital Goods — 10.0%
	23,820	Applied Industrial Technologies, Inc.		1,835,331
	102,555	Caterpillar, Inc.		14,239,762
	13,300	Crane Co.		1,214,024
	69,426	Cummins, Inc.		9,844,607
	39,968	Deere & Co.		5,747,398
	138,130	Emerson Electric Co.		10,598,715
	29,094	Federal Signal Corp.		757,317
	24,548	Fortive Corp.		2,061,541
	159,375	Honeywell International, Inc.		25,350,188
	34,964	Ingersoll-Rand Plc		3,541,504
	46,124	ITT, Inc.		2,726,390
	72,140	Meritor, Inc. ^*		1,562,552
	33,696	Moog, Inc. – Class A		2,658,951
	43,131	Oshkosh Corp.		3,030,384
	16,459	Parker-Hannifin Corp.		2,890,200
	24,804	SPX Corp. ^*		843,088
	20,023	Teledyne Technologies, Inc. ^*		4,750,657
	85,891	Textron, Inc.		5,929,056
	40,579	Timken Co. (The)		1,974,168
	28,396	Universal Forest Products, Inc.		1,063,714

		Total Capital Goods		102,619,547


Shares		Description	Value ($)
		Commercial & Professional Services — 2.1%
	122,899	ACCO Brands Corp.		1,523,948
	35,009	Brady Corp. – Class A		1,416,114
	30,406	Deluxe Corp.		1,800,643
	27,046	FTI Consulting, Inc. ^*		2,061,446
	12,506	Heidrick & Struggles International, Inc.		552,765
	40,604	Herman Miller, Inc.		1,555,133
	9,307	ICF International, Inc.		759,917
	19,880	Insperity, Inc.		2,382,618
	21,268	Kforce, Inc.		894,319
	41,004	Knoll, Inc.		965,234
	18,200	Korn/Ferry International		1,221,766
	19,425	ManpowerGroup, Inc.		1,820,705
	10,500	MSA Safety, Inc.		1,061,445
	14,800	Resources Connection, Inc.		244,940
	41,036	Robert Half International, Inc.		3,208,195

		Total Commercial & Professional Services		21,469,188


		Consumer Durables & Apparel — 4.1%
	29,945	Acushnet Holdings Corp.		810,012
	5,360	Bassett Furniture Industries, Inc.		125,156
	58,954	Brunswick Corp.		3,915,725
	77,499	Callaway Golf Co.		1,767,752
	25,096	Columbia Sportswear Co.		2,276,207
	5,530	Culp, Inc.		140,186
	13,600	Deckers Outdoor Corp. ^*		1,657,024
	67,936	DR Horton, Inc.		3,023,831
	3,569	Flexsteel Industries, Inc.		127,342
	69,187	Garmin Ltd.		4,714,402
	13,000	Helen of Troy Ltd. ^*		1,546,350
	5,360	Johnson Outdoors, Inc. – Class A		542,861
	41,790	La-Z-Boy, Inc.		1,389,517
	18,971	Movado Group, Inc.		808,165
	907	NVR, Inc. ^*		2,420,284
	8,000	Oxford Industries, Inc.		744,720
	45,766	PVH Corp.		6,551,861
	7,900	Rocky Brands, Inc.		238,185
	73,574	VF Corp.		6,778,373
	52,119	Wolverine World Wide, Inc.		2,042,022

		Total Consumer Durables & Apparel		41,619,975


		Consumer Services — 1.0%
	33,926	Adtalem Global Education, Inc. ^*		1,623,359
	5,125	American Public Education, Inc. ^*		178,094
	47,384	Bloomin’ Brands, Inc.		914,511
	21,300	Carrols Restaurant Group, Inc. ^*		336,540
	3,148	Graham Holdings Co. – Class B		1,771,222
	13,302	Grand Canyon Education, Inc. ^*		1,584,801
	26,800	K12, Inc. ^*		443,808
	22,339	Regis Corp. ^*		477,831
	78,330	Service Corp. International		3,286,727

		Total Consumer Services		10,616,893


		See accompanying notes to the financial statements.		51

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

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Diversified Financials — 3.2%
	59,614	Ameriprise Financial, Inc.		8,462,804
	57,300	Capital One Financial Corp.		5,677,857
	67,291	ETRADE Financial Corp. ^		3,960,748
	35,730	Enova International, Inc. ^*		1,186,236
	44,415	Legg Mason, Inc.		1,385,748
	39,293	Raymond James Financial, Inc.		3,655,821
	102,109	State Street Corp.		8,874,293

		Total Diversified Financials		33,203,507


		Energy — 2.9%
	63,400	Anadarko Petroleum Corp.		4,082,960
	298,086	Denbury Resources, Inc. ^*		1,660,339
	347,617	Marathon Oil Corp.		7,477,242
	79,327	Murphy Oil Corp.		2,445,651
	117,204	Phillips 66		13,889,846

		Total Energy		29,556,038


		Food & Staples Retailing — 0.4%
	29,700	Performance Food Group Co. ^*		983,070
	83,880	US Foods Holding Corp. ^*		2,733,649

		Total Food & Staples Retailing		3,716,719


		Food, Beverage & Tobacco — 2.3%
	216,570	Archer-Daniels-Midland Co.		10,915,128
	68,920	Conagra Brands, Inc.		2,532,810
	81,007	PepsiCo, Inc.		9,073,594
	16,600	Universal Corp.		992,680

		Total Food, Beverage & Tobacco		23,514,212


		Health Care Equipment & Services — 5.1%
	27,770	Anthem, Inc.		7,351,552
	263,417	Baxter International, Inc.		19,590,322
	165,121	Danaher Corp.		17,096,628
	64,578	McKesson Corp.		8,314,418

		Total Health Care Equipment & Services		52,352,920


		Household & Personal Products — 2.5%
	106,047	Estee Lauder Cos, Inc. (The) – Class A		14,859,306
	16,164	Inter Parfums, Inc.		1,055,509
	111,017	Procter & Gamble Co. (The)		9,208,860

		Total Household & Personal Products		25,123,675


		Insurance — 4.9%
	223,388	Aflac, Inc.		10,329,461
	113,702	Allstate Corp. (The)		11,435,010
	64,398	Fidelity National Financial, Inc.		2,582,360
	41,904	First American Financial Corp.		2,382,661
	46,413	Lincoln National Corp.		3,043,765
	142,280	Old Republic International Corp.		3,155,770
	220,507	Progressive Corp. (The)		14,890,838


Shares		Description	Value ($)
		Insurance — continued
	15,738	Reinsurance Group of America, Inc.		2,248,173

		Total Insurance		50,068,038


		Materials — 4.0%
	49,949	Avery Dennison Corp.		5,253,636
	33,348	Boise Cascade Co.		1,457,307
	31,959	Cabot Corp.		2,074,778
	32,300	Celanese Corp.		3,773,609
	68,227	Eastman Chemical Co.		6,620,066
	168,192	Huntsman Corp.		5,128,174
	70,779	LyondellBasell Industries NV – Class A		7,982,456
	15,951	Materion Corp.		1,017,674
	18,500	Mercer International, Inc.		327,450
	24,400	PolyOne Corp.		1,031,144
	40,100	Reliance Steel & Aluminum Co.		3,524,389
	37,431	Trinseo SA		2,887,802

		Total Materials		41,078,485


		Media — 2.0%
	24,900	AMC Networks, Inc. – Class A ^*		1,563,969
	24,106	CBS Corp. – Class B NVDR		1,278,100
	84,560	Gannett Co., Inc.		869,277
	16,504	John Wiley & Sons, Inc. – Class A		1,065,333
	12,200	Marcus Corp. (The)		495,320
	36,400	New Media Investment Group, Inc.		578,760
	208,652	News Corp. – Class A		2,727,082
	101,650	News Corp. – Class B		1,382,440
	52,589	Omnicom Group, Inc.		3,645,470
	19,482	Scholastic Corp.		819,023
	115,885	TEGNA, Inc.		1,348,901
	43,600	Tribune Media Co. – Class A		1,608,404
	115,600	Viacom, Inc. – Class B		3,384,768

		Total Media		20,766,847


		Pharmaceuticals, Biotechnology & Life Sciences — 12.0%
	103,153	AbbVie, Inc.		9,900,625
	67,100	Amgen, Inc.		13,407,251
	55,597	Bruker Corp.		1,978,141
	281,059	Eli Lilly & Co.		29,693,883
	60,092	Johnson & Johnson		8,093,792
	412,131	Merck & Co., Inc.		28,268,065
	756,638	Pfizer, Inc.		31,415,610

		Total Pharmaceuticals, Biotechnology & Life Sciences		122,757,367


		Real Estate — 2.8%
	85,921	Apple Hospitality REIT, Inc.		1,516,505
	161,149	CBRE Group, Inc. – Class A ^*		7,865,683
	63,293	CoreCivic, Inc. (REIT)		1,638,656
	24,200	Hersha Hospitality Trust (REIT)		571,120
	246,581	Host Hotels & Resorts, Inc. (REIT)		5,308,889


52		See accompanying notes to the financial statements.

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

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Real Estate — continued
	24,688	Jones Lang LaSalle, Inc.		3,765,414
	82,955	Piedmont Office Realty Trust, Inc. – Class A (REIT)		1,645,827
	27,393	PotlatchDeltic Corp. (REIT)		1,323,082
	37,400	Rayonier, Inc. (REIT)		1,302,642
	79,600	Sunstone Hotel Investors, Inc. (REIT)		1,335,688
	104,960	Xenia Hotels & Resorts, Inc. (REIT)		2,546,329

		Total Real Estate		28,819,835


		Retailing — 5.2%
	500	Amazon.com, Inc. ^*		1,006,355
	106,593	American Eagle Outfitters, Inc.		2,767,154
	14,900	Asbury Automotive Group, Inc. ^*		1,110,050
	69,240	Best Buy Co., Inc.		5,508,734
	32,400	Dick’s Sporting Goods, Inc.		1,213,056
	49,681	Foot Locker, Inc.		2,449,273
	98,817	Gap Inc. (The)		2,999,096
	16,589	Group 1 Automotive, Inc.		1,278,846
	118,163	Kohl’s Corp.		9,347,875
	40,400	Liberty TripAdvisor Holdings, Inc. – Class A ^*		640,340
	118,303	Macy’s, Inc.		4,323,975
	17,000	Penske Automotive Group, Inc.		894,710
	256,968	Qurate Retail, Inc.^*		5,342,365
	15,653	Shutterfly, Inc.^*		1,215,925
	20,400	Sonic Automotive, Inc. – Class A		438,600
	45,938	Tailored Brands, Inc.		1,081,380
	79,400	TJX Cos., Inc. (The)		8,731,618
	51,893	Urban Outfitters, Inc. ^*		2,411,987

		Total Retailing		52,761,339


		Semiconductors & Semiconductor Equipment — 6.5%
	189,428	Applied Materials, Inc.		8,149,193
	12,251	Cabot Microelectronics Corp.		1,381,055
	474,400	Intel Corp.		22,975,192
	60,442	KLA-Tencor Corp.		7,023,965
	45,054	Kulicke & Soffa Industries, Inc.		1,161,943
	52,404	Maxim Integrated Products, Inc.		3,168,870
	362,796	Micron Technology, Inc. ^*		19,054,046
	140,281	ON Semiconductor Corp. ^*		2,993,596
	20,700	Rudolph Technologies, Inc. ^*		575,460

		Total Semiconductors & Semiconductor Equipment		66,483,320


		Software & Services — 10.6%
	114,900	Activision Blizzard, Inc.		8,284,290
	62,730	Adobe Systems, Inc. ^*		16,529,982
	1,000	Alphabet, Inc. – Class C ^*		1,218,190
	50,577	Amdocs Ltd.		3,301,667
	44,400	Booz Allen Hamilton Holding Corp. – Class A		2,271,504
	130,813	CA, Inc.		5,729,609
	6,300	CACI International, Inc. – Class A ^*		1,228,500


Shares		Description	Value ($)
		Software & Services — continued
	87,205	Cadence Design Systems, Inc. ^*		4,102,123
	43,727	Citrix Systems, Inc. ^*		4,985,753
	25,030	CSG Systems International, Inc.		934,870
	308,055	eBay, Inc. ^*		10,661,784
	15,344	IAC/InterActiveCorp ^*		3,025,837
	52,095	Intuit, Inc.		11,433,290
	98,175	Mastercard, Inc. – Class A		21,162,603
	34,953	Microsoft Corp.		3,926,270
	33,348	Progress Software Corp.		1,364,934
	19,710	Sykes Enterprises, Inc. ^*		596,030
	71,219	Synopsys, Inc. ^*		7,274,309
	27,200	XO Group, Inc. ^*		817,632

		Total Software & Services		108,849,177


		Technology Hardware & Equipment — 9.5%
	58,455	Apple, Inc.		13,306,112
	42,933	Arrow Electronics, Inc. ^*		3,328,595
	51,978	Avnet, Inc.		2,515,735
	605,614	Hewlett Packard Enterprise Co.		10,010,799
	980,940	HP, Inc.		24,180,171
	22,020	Insight Enterprises, Inc. ^*		1,214,183
	26,700	Keysight Technologies, Inc. ^*		1,732,563
	35,307	Motorola Solutions, Inc.		4,532,007
	112,795	NetApp, Inc.		9,791,734
	81,583	Seagate Technology Plc		4,367,954
	174,503	TE Connectivity Ltd.		15,998,435
	80,222	Vishay Intertechnology, Inc.		1,909,284
	62,014	Western Digital Corp.		3,921,765

		Total Technology Hardware & Equipment		96,809,337


		Telecommunication Services — 1.1%
	83,271	Telephone & Data Systems, Inc.		2,501,461
	166,800	Verizon Communications, Inc.		9,068,916

		Total Telecommunication Services		11,570,377


		Transportation — 0.2%
	17,865	Landstar System, Inc.		2,068,767


		Utilities — 0.2%
	104,000	Vistra Energy Corp.^*		2,448,160


		TOTAL COMMON STOCKS (COST $910,261,616)		1,018,312,490


		MUTUAL FUNDS — 0.9%

		Affiliated Issuers — 0.9%
	363,175	GMO U.S. Treasury Fund		9,072,109


		TOTAL MUTUAL FUNDS (COST $9,072,109)		9,072,109


		See accompanying notes to the financial statements.		53

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

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.1%

		Money Market Funds — 0.1%
	1,255,731	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% ^(a)		1,255,731


		TOTAL SHORT-TERM INVESTMENTS (COST $1,255,731)		1,255,731


		TOTAL INVESTMENTS — 100.4% (Cost $920,589,456)		1,028,640,330
		Other Assets and Liabilities (net) — (0.4%)		(4,522,993	)


		TOTAL NET ASSETS — 100.0%		$1,024,117,337

Notes to Schedule of Investments:

*	Non-income producing security.

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


54		See accompanying notes to the financial statements.

GMO Trust Funds

Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

Portfolio Abbreviations:

ADR - American Depositary Receipt

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

ETF - Exchange-Traded Fund

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

GDR - Global Depository Receipt

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depository Receipt

OJSC - Open Joint-Stock Company

OTC - Over-the-Counter

PJSC- Private Joint-Stock Company

QPSC - Qatari Public Shareholding Company

REIT - Real Estate Investment Trust

SDR - Swedish Depositary Reciept

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

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

Counterparty Abbreviations:

GS - Goldman Sachs International

MSCI - Morgan Stanley & Co. International PLC

MSLC - Morgan Stanley & Co. LLC

Currency Abbreviations:

GBP - British Pound

PHP - Philippine Peso

THB - Thai Bhat

USD - United States Dollar


		See accompanying notes to the financial statements.		55

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2018 (Unaudited)


	Climate Change Fund		Emerging Domestic Opportunities Fund		Emerging Markets Fund		Foreign Small Companies Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	1,665,159	$	91,359,746	$	135,120,515	$	639,328
Investments in unaffiliated issuers, at value (Note 2)^(b)		87,183,415		1,511,596,618		3,593,469,105		20,117,021
Foreign currency, at value (Note 2)^(c)		14,769		882,860		21,703,219		10,694
Cash		1		30		1,623,798		—
Receivable for investments sold		—		8,963,998		8,121,724		—
Receivable for Fund shares sold		—		29,760		123,266		—
Dividend withholding tax receivable		16,828		38,538		19,389		226,676
Dividends and interest receivable		86,674		7,614,983		9,197,062		46,061
Unrealized appreciation on open forward currency contracts (Note 4)		—		1,641,047		—		—
Receivable for variation margin on open futures contracts (Note 4)		—		43,090		1,649,200		—
Due from broker (Note 2)		—		—		15,216,000		25,968
Receivable for open OTC swap contracts (Note 4)		—		—		770,262		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		34,420		26,445		455,871		17,201
Miscellaneous receivable		—		240		130,156		—

Total assets		89,001,266		1,622,197,355		3,787,599,567		21,082,949

Liabilities:
Payable for investments purchased		5,583		8,145,994		15,548,834		926
Payable for Fund shares repurchased		—		—		16,393,793		—
Accrued foreign capital gains tax payable (Note 2)		3,535		—		783,515		—
Payable to affiliate for (Note 5):
Management fee		44,914		1,034,794		2,395,178		10,478
Shareholder service fee		11,228		184,145		258,471		2,621
Payable to agents unaffiliated with GMO		11		396		840		6
Payable for variation margin on open futures contracts (Note 4)		—		—		—		2,820
Unrealized depreciation on open forward currency contracts (Note 4)		—		2,116,950		—		—
Miscellaneous payable		—		—		926,314		—
Payable for open OTC swap contracts (Note 4)		—		915,351		—		—
Payable for reverse repurchase agreements (Note 2)		—		—		40		—
Payable to Trustees and related expenses		307		7,353		14,820		1,540
Accrued expenses		58,600		642,663		1,509,746		246,184

Total liabilities		124,178		13,047,646		37,831,551		264,575

Net assets	$	88,877,088	$	1,609,149,709	$	3,749,768,016	$	20,818,374

^(a) Cost of investments – affiliated issuers:	$	1,665,159	$	69,959,396	$	103,114,726	$	639,328
^(b) Cost of investments – unaffiliated issuers:	$	90,188,954	$	1,615,148,031	$	3,620,293,838	$	20,476,137
^(c) Cost of foreign currency:	$	14,746	$	887,217	$	21,646,193	$	10,686


56		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)


	Climate Change Fund			Emerging Domestic Opportunities Fund			Emerging Markets Fund			Foreign Small Companies Fund
Net assets consist of:
Paid-in capital	$	90,467,120		$	1,675,811,516		$	5,027,964,918		$	21,629,666
Accumulated undistributed (distributions in excess of) net investment income		830,528			2,857,657			81,028,889			(761,756	)
Accumulated net realized gain (loss)		588,688			14,916,159			(1,343,763,221	)		361,824
Net unrealized appreciation (depreciation)		(3,009,248	)		(84,435,623	)		(15,462,570	)		(411,360	)

	$	88,877,088		$	1,609,149,709		$	3,749,768,016		$	20,818,374

Net assets attributable to:
Class II	$	—		$	488,374,530		$	362,509,163		$	—

Class III	$	88,877,088		$	138,734,015		$	297,410,202		$	20,818,374

Class IV	$	—		$	207,587,867		$	88,926,018		$	—

Class V	$	—		$	774,453,297		$	152,210,047		$	—

Class VI	$	—		$	—		$	2,848,712,586		$	—

Shares outstanding:
Class II		—			22,299,025			11,219,534			—

Class III		3,898,670			6,332,594			9,178,865			1,716,604

Class IV		—			9,466,959			2,769,610			—

Class V		—			35,351,262			4,755,047			—

Class VI		—			—			88,768,337			—

Net asset value per share:
Class II	$	—		$	21.90		$	32.31		$	—

Class III	$	22.80		$	21.91		$	32.40		$	12.13

Class IV	$	—		$	21.93		$	32.11		$	—

Class V	$	—		$	21.91		$	32.01		$	—

Class VI	$	—		$	—		$	32.09		$	—


		See accompanying notes to the financial statements.		57

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)


	International Equity Fund		International Large/Mid Cap Equity Fund		Quality Fund		Resources Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	22,343,940	$	477,713	$	51,094,345	$	10,640,570
Investments in unaffiliated issuers, at value (Note 2)^(b)		3,956,120,722		18,552,469		7,136,241,079		435,224,601
Foreign currency, at value (Note 2)^(c)		925,121		448,150		17		43,427
Cash		8		—		205		28
Receivable for investments sold		18		—		40,698,585		—
Receivable for Fund shares sold		373,602		7,728		3,313,885		—
Dividend withholding tax receivable		6,145,066		203,802		2,183,850		40,213
Dividends and interest receivable		6,214,201		42,850		11,136,196		1,363,203
Due from broker (Note 2)		632,276		15,631		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		111,232		12,441		94,144		—

Total assets		3,992,866,186		19,760,784		7,244,762,306		447,312,042

Liabilities:
Payable for investments purchased		—		—		—		7,245
Payable for Fund shares repurchased		30,044		—		70,756,392		—
Accrued foreign capital gains tax payable (Note 2)		—		—		—		11,021
Payable for recoupment of past waived and/or reimbursement fees (Note 5)		—		—		—		6,599
Payable to affiliate for (Note 5):
Management fee		1,699,968		6,676		1,994,257		187,181
Shareholder service fee		332,130		2,639		643,174		42,263
Payable to agents unaffiliated with GMO		870		13		1,390		66
Payable for variation margin on open futures contracts (Note 4)		87,420		2,115		—		—
Payable to Trustees and related expenses		16,025		368		25,174		689
Accrued expenses		698,610		324,049		549,766		123,201

Total liabilities		2,865,067		335,860		73,970,153		378,265

Net assets	$	3,990,001,119	$	19,424,924	$	7,170,792,153	$	446,933,777

^(a) Cost of investments – affiliated issuers:	$	22,343,940	$	477,713	$	51,089,904	$	10,638,444
^(b) Cost of investments – unaffiliated issuers:	$	3,779,720,837	$	17,582,301	$	4,629,578,997	$	376,811,268
^(c) Cost of foreign currency:	$	929,380	$	450,973	$	16	$	43,683


58		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)


	International Equity Fund			International Large/Mid Cap Equity Fund			Quality Fund		Resources Fund
Net assets consist of:
Paid-in capital	$	4,818,446,332		$	18,710,844		$	3,959,914,008	$	426,851,806
Accumulated undistributed (distributions in excess of) net investment income		54,161,844			(1,240,721	)		50,856,044		(4,227,833	)
Accumulated net realized gain (loss)		(1,058,046,896	)		1,156,722			653,368,735		(34,085,409	)
Net unrealized appreciation (depreciation)		175,439,839			798,079			2,506,653,366		58,395,213

	$	3,990,001,119		$	19,424,924		$	7,170,792,153	$	446,933,777

Net assets attributable to:
Class II	$	20,851,709		$	—		$	—	$	—

Class III	$	467,095,862		$	19,424,924		$	3,199,674,120	$	119,927,347

Class IV	$	3,502,053,548		$	—		$	1,179,485,157	$	327,006,430

Class V	$	—		$	—		$	168,316,284	$	—

Class VI	$	—		$	—		$	2,623,316,592	$	—

Shares outstanding:
Class II		946,449			—			—		—

Class III		20,942,188			889,001			120,749,595		5,937,620

Class IV		157,292,511			—			44,437,723		16,243,699

Class V		—			—			6,340,738		—

Class VI		—			—			98,981,887		—

Net asset value per share:
Class II	$	22.03		$	—		$	—	$	—

Class III	$	22.30		$	21.85		$	26.50	$	20.20

Class IV	$	22.26		$	—		$	26.54	$	20.13

Class V	$	—		$	—		$	26.55	$	—

Class VI	$	—		$	—		$	26.50	$	—


		See accompanying notes to the financial statements.		59

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)


	Risk Premium Fund		Tax-Managed International Equities Fund		U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	—	$	1,001,983	$	9,072,109
Investments in unaffiliated issuers, at value (Note 2)^(b)		516,427,795		51,211,136		1,019,568,221
Foreign currency, at value (Note 2)^(c)		—		26,846		—
Cash		34		—		120,001
Receivable for investments sold		851,973		19,680		—
Dividend withholding tax receivable		—		81,587		—
Dividends and interest receivable		857,857		92,032		1,902,948
Receivable for variation margin on open futures contracts (Note 4)		—		930		—
Due from broker (Note 2)		322,879		55,431		295,008
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		9,381		19,793		27,061

Total assets		518,469,919		52,509,418		1,030,985,348

Liabilities:
Payable for Fund shares repurchased		—		—		6,372,786
Accrued foreign capital gains tax payable (Note 2)		—		3,479		—
Payable to affiliate for (Note 5):
Management fee		198,058		22,327		269,943
Shareholder service fee		25,839		6,698		57,519
Payable to agents unaffiliated with GMO		23		12		233
Payable for variation margin on open futures contracts (Note 4)		—		5,640		2,696
Written options outstanding, at value (Note 4)^(d)		3,171,260		—		—
Payable to Trustees and related expenses		250		410		4,329
Accrued expenses		76,530		107,546		160,505

Total liabilities		3,471,960		146,112		6,868,011

Net assets	$	514,997,959	$	52,363,306	$	1,024,117,337

^(a) Cost of investments – affiliated issuers:	$	—	$	1,001,906	$	9,072,109
^(b) Cost of investments – unaffiliated issuers:	$	516,420,667	$	36,574,852	$	911,517,347
^(c) Cost of foreign currency:	$	—	$	27,045	$	—
^(d) Premiums on written options:	$	4,083,175	$	—	$	—


60		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)


	Risk Premium Fund		Tax-Managed International Equities Fund			U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
Net assets consist of:
Paid-in capital	$	496,465,837	$	48,723,720		$	846,300,604
Accumulated undistributed (distributions in excess of) net investment income		1,696,766		354,723			8,056,166
Accumulated net realized gain (loss)		15,916,313		(11,305,926	)		61,709,693
Net unrealized appreciation (depreciation)		919,043		14,590,789			108,050,874

	$	514,997,959	$	52,363,306		$	1,024,117,337

Net assets attributable to:
Class III	$	20,372,446	$	52,363,306		$	81,047,158

Class IV	$	—	$	—		$	38,064,179

Class V	$	—	$	—		$	61,864,018

Class VI	$	494,625,513	$	—		$	843,141,982

Shares outstanding:
Class III		722,761		3,450,082			5,434,621

Class IV		—		—			2,550,002

Class V		—		—			4,166,356

Class VI		17,448,971		—			56,939,582

Net asset value per share:
Class III	$	28.19	$	15.18		$	14.91

Class IV	$	—	$	—		$	14.93

Class V	$	—	$	—		$	14.85

Class VI	$	28.35	$	—		$	14.81


		See accompanying notes to the financial statements.		61

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2018 (Unaudited)


	Climate Change Fund			Emerging Domestic Opportunities Fund			Emerging Markets Fund			Foreign Small Companies Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)^(a)	$	1,027,185		$	24,658,284		$	120,888,128		$	625,472
Interest		325			338,975			1,509,554			6,284
Dividends from affiliated issuers (Note 10)		22,745			1,065,696			637,499			8,601

Total investment income		1,050,255			26,062,955			123,035,181			640,357

Expenses:
Management fee (Note 5)		201,436			7,803,856			16,577,839			122,598
Shareholder service fee – Class II (Note 5)		—			650,266			444,279			—
Shareholder service fee – Class III (Note 5)		50,359			101,842			248,375			25,554
Shareholder service fee – Class IV (Note 5)		—			143,001			112,747			3,397	^*
Shareholder service fee – Class V (Note 5)		—			459,725			73,255			—
Shareholder service fee – Class VI (Note 5)		—			—			907,109			—
Audit and tax fees		36,742			73,066			136,014			85,868
Fees related to tax refunds received (Note 2)		—			—			—			45,000
Custodian, fund accounting agent and transfer agent fees		39,803			786,673			1,673,656			57,794
Legal fees		4,284			17,976			34,814			3,966
Registration fees		2,555			3,784			26,644			1,852
Trustees’ fees and related expenses (Note 5)		383			26,615			55,844			1,608
Miscellaneous		6,458			12,565			29,197			12,280

Total expenses		342,020			10,079,369			20,319,773			359,917
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(99,042	)		(111,231	)		(3,044,441	)		(114,599	)

Net expenses		242,978			9,968,138			17,275,332			245,318

Net investment income (loss)		807,277			16,094,817			105,759,849			395,039

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(b)		709,034			27,002,253			153,832,826			8,654,489
Investments in affiliated issuers		1,564			1,567,434			17,367			(68	)
Futures contracts		—			(16,688,997	)		5,417,937			56,936
Swap contracts		—			11,620,600			(1,933,685	)		—
Forward currency contracts		—			1,448,654			—			—
Foreign currency and foreign currency related transactions		18,361			(2,537,746	)		(5,204,337	)		18,455

Net realized gain (loss)		728,959			22,412,198	**		152,130,108			8,729,812

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(c)		(4,489,595	)		(368,801,181	)		(739,284,056	)		(11,946,627	)
Investments in affiliated issuers		300			(6,858,984	)		(6,187,086	)		—
Futures contracts		—			624,073			(38,650,166	)		28,047
Swap contracts		—			(915,351	)		334,321			—
Forward currency contracts		—			(2,831,675	)		—			—
Foreign currency and foreign currency related transactions		(778	)		(403,362	)		621			(56,287	)

Net change in unrealized appreciation (depreciation)		(4,490,073	)		(379,186,480	)		(783,786,366	)		(11,974,867	)

Net realized and unrealized gain (loss)		(3,761,114	)		(356,774,282	)		(631,656,258	)		(3,245,055	)

Net increase (decrease) in net assets resulting from operations	$	(2,953,837	)	$	(340,679,465	)	$	(525,896,409	)	$	(2,850,016	)

^(a) Withholding tax:	$	141,524		$	2,795,660		$	16,538,859		$	56,689
^(b) Foreign capital gains tax on net realized gain (loss):	$	22		$	682,286		$	1,355,480		$	—
^(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	3,535		$	(277,504	)	$	(1,177,816	)	$	—
* Class IV liquidated on May 2, 2018.
** For the details related to in-kind redemption realized gain (loss) please refer to Note 6.


62		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2018 (Unaudited) — (Continued)


	International Equity Fund			International Large/Mid Cap Equity Fund			Quality Fund			Resources Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)^(a)	$	108,149,590		$	1,782,673		$	74,977,522		$	8,315,299
Interest		48,505			8,440			1,045,885			11,556
Dividends from affiliated issuers (Note 10)		496,061			9,235			507,894			88,516

Total investment income		108,694,156			1,800,348			76,531,301			8,415,371

Expenses:
Management fee (Note 5)		11,521,028			94,331			12,485,280			987,127
Shareholder service fee – Class II (Note 5)		24,106			—			—			—
Shareholder service fee – Class III (Note 5)		361,315			37,037			2,505,729			57,164
Shareholder service fee – Class IV (Note 5)		1,847,135			119	*		496,395			159,316
Shareholder service fee – Class V (Note 5)		—			—			69,689			—
Shareholder service fee – Class VI (Note 5)		—			—			857,004			—
Audit and tax fees		93,620			128,391			58,347			53,572
Fees related to tax refunds received (Note 2)		—			70,000			—			—
Custodian, fund accounting agent and transfer agent fees		513,681			45,869			505,832			91,108
Legal fees		33,978			3,500			53,144			4,587
Registration fees		16,407			8,710			12,141			1,341
Trustees’ fees and related expenses (Note 5)		56,331			789			89,927			4,057
Recoupment of past waived and/or reimbursed fees (Note 5)		—			—			—			53,546
Miscellaneous		29,588			9,116			20,006			6,436

Total expenses		14,497,189			397,862			17,153,494			1,418,254
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(639,095	)		(92,529	)		(622,932	)		—

Net expenses		13,858,094			305,333			16,530,562			1,418,254

Net investment income (loss)		94,836,062			1,495,015			60,000,739			6,997,117

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(b)		201,049,825			7,147,536			737,301,397			14,182,257
Investments in affiliated issuers		(806	)		(4,142	)		(22,597	)		2,131
Futures contracts		1,598,326			(44,252	)		—			—
Foreign currency and foreign currency related transactions		(575,456	)		6,118			(336,842	)		5,728

Net realized gain (loss)		202,071,889	**		7,105,260			736,941,958	**		14,190,116

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(c)		(573,495,426	)		(11,588,153	)		(119,111,075	)		(31,965,976	)
Investments in affiliated issuers		15,646			726			24,902			3,930
Futures contracts		(318,157	)		24,622			—			—
Foreign currency and foreign currency related transactions		(998,578	)		(94,450	)		(56,126	)		(17,839	)

Net change in unrealized appreciation (depreciation)		(574,796,515	)		(11,657,255	)		(119,142,299	)		(31,979,885	)

Net realized and unrealized gain (loss)		(372,724,626	)		(4,551,995	)		617,799,659			(17,789,769	)

Net increase (decrease) in net assets resulting from operations	$	(277,888,564	)	$	(3,056,980	)	$	677,800,398		$	(10,792,652	)

^(a) Withholding tax:	$	13,355,664		$	162,096		$	2,333,786		$	784,296
^(b) Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	—		$	—
^(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	—		$	—		$	11,021
* Class IV liquidated on May 2, 2018.
** For the details related to in-kind redemption realized gain (loss) please refer to Note 6.


		See accompanying notes to the financial statements.		63

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2018 (Unaudited) — (Continued)


	Risk Premium Fund			Tax-Managed International Equities Fund			U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)^(a)	$	11,056		$	1,255,230		$	11,746,058
Interest		2,673,269			347			1,115
Dividends from affiliated issuers (Note 10)		—			9,503			86,242

Total investment income		2,684,325			1,265,080			11,833,415

Expenses:
Management fee (Note 5)		623,600			142,389			1,893,413
Shareholder service fee – Class III (Note 5)		7,207			42,717			58,936
Shareholder service fee – Class IV (Note 5)		—			—			18,412
Shareholder service fee – Class V (Note 5)		—			—			27,561
Shareholder service fee – Class VI (Note 5)		73,575			—			286,358
Audit and tax fees		26,966			69,257			34,969
Custodian, fund accounting agent and transfer agent fees		17,209			51,174			107,591
Legal fees		670			3,396			10,062
Registration fees		1,621			1,983			10,877
Trustees’ fees and related expenses (Note 5)		1,966			763			15,079
Miscellaneous		13,135			21,500	*		6,923

Total expenses		765,949			333,179			2,470,181
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(59,430	)		(119,016	)		(165,879	)

Net expenses		706,519			214,163			2,304,302

Net investment income (loss)		1,977,806			1,050,917			9,529,113

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(b)		(122,167	)		4,333,726			98,566,458
Investments in affiliated issuers		—			(331	)		(889	)
Futures contracts		—			(66,891	)		296,689
Written options		20,185,755			—			—
Foreign currency and foreign currency related transactions		4,864			4,247			—

Net realized gain (loss)		20,068,452			4,270,751			98,862,258	**

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(c)		177,174			(9,570,854	)		(49,979,211	)
Investments in affiliated issuers		—			504			2,988
Futures contracts		—			25,864			(74,241	)
Written options		484,900			—			—
Foreign currency and foreign currency related transactions		—			(20,521	)		—

Net change in unrealized appreciation (depreciation)		662,074			(9,565,007	)		(50,050,464	)

Net realized and unrealized gain (loss)		20,730,526			(5,294,256	)		48,811,794

Net increase (decrease) in net assets resulting from operations	$	22,708,332		$	(4,243,339	)	$	58,340,907

^(a) Withholding tax:	$	—		$	146,673		$	3,485
^(b) Foreign capital gains tax on net realized gain (loss):	$	—		$	204		$	—
^(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	(5,664	)	$	—
* Includes $17,519 of pricing related fees.
** For the details related to in-kind redemption realized gain (loss) please refer to Note 6.


64		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets


	Climate Change Fund						Emerging Domestic Opportunities Fund
	Six Months Ended August 31, 2018 (Unaudited)			Period from April 5, 2017 (commencement of operations) through February 28, 2018			Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	807,277		$	167,335		$	16,094,817		$	23,919,255
Net realized gain (loss)		728,959			1,128,320			22,412,198			415,071,691
Change in net unrealized appreciation (depreciation)		(4,490,073	)		1,480,825			(379,186,480	)		136,074,872


Net increase (decrease) in net assets from operations		(2,953,837	)		2,776,480			(340,679,465	)		575,065,818

Distributions to shareholders from:
Net investment income
Class II		—			—			(11,989	)		(8,577,224	)
Class III		(100,304	)		(176,067	)		(14,148	)		(1,697,769	)
Class IV		—			—			(27,075	)		(4,239,894	)
Class V		—			—			(98,673	)		(16,995,140	)
Class VI		—			—			—			—	*

Total distributions from net investment income		(100,304	)		(176,067	)		(151,885	)		(31,510,027	)

Net realized gains
Class II		—			—			(54,666,816	)		—
Class III		(645,226	)		(491,078	)		(15,482,732	)		—
Class IV		—			—			(28,490,240	)		—
Class V		—			—			(103,830,685	)		—

Total distributions from net realized gains		(645,226	)		(491,078	)		(202,470,473	)		—

Net share transactions (Note 9):
Class II		—			—			(62,088,911	)		(60,122,470	)
Class III		65,882,370			24,584,750			54,695,886			(39,709,374	)
Class IV		—			—			(21,562,813	)		(119,146,650	)
Class V		—			—			(225,018,254	)		61,706,976
Class VI		—			—			—			(16,244,932	)*

Increase (decrease) in net assets resulting from net share transactions		65,882,370			24,584,750			(253,974,092	)		(173,516,450	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class II		—			—			903,488			617,648
Class III		—			—			237,969			118,506
Class IV		—			—			458,040			312,031
Class V		—			—			1,524,273			1,095,122
Class VI		—			—			—			2,117	*

Increase in net assets resulting from purchase premiums and redemption fees		—			—			3,123,770			2,145,424


Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		65,882,370			24,584,750			(250,850,322	)		(171,371,026	)

Total increase (decrease) in net assets		62,183,003			26,694,085			(794,152,145	)		372,184,765

Net assets:
Beginning of period		26,694,085			—			2,403,301,854			2,031,117,089

End of period	$	88,877,088		$	26,694,085		$	1,609,149,709		$	2,403,301,854

Accumulatedundistributed (distributions in excess of) net investment income	$	830,528		$	123,555		$	2,857,657		$	(13,085,275	)

* Class VI liquidated on March 29, 2017.


		See accompanying notes to the financial statements.		65

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Emerging Markets Fund						Foreign Small Companies Fund
	Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018			Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	105,759,849		$	120,564,814		$	395,039		$	12,365,256
Net realized gain (loss)		152,130,108			633,257,899			8,729,812			152,983,283
Change in net unrealized appreciation (depreciation)		(783,786,366	)		362,984,717			(11,974,867	)		(55,110,759	)


Net increase (decrease) in net assets from operations		(525,896,409	)		1,116,807,430			(2,850,016	)		110,237,780

Distributions to shareholders from:
Net investment income
Class II		(559,145	)		(11,956,275	)		—			—
Class III		(491,220	)		(5,490,308	)		(500,282	)		(3,824,869	)
Class IV		(103,306	)		(14,250,088	)		—	*		(9,440,862	)
Class V		(336,961	)		(4,213,667	)		—			—
Class VI		(6,032,853	)		(100,502,683	)		—			—

Total distributions from net investment income		(7,523,485	)		(136,413,021	)		(500,282	)		(13,265,731	)

Net realized gains
Class III		—			—			(6,786,050	)		(13,747,999	)
Class IV		—			—			(4,785,668	)*		(32,945,889	)

Total distributions from net realized gains		—			—			(11,571,718	)		(46,693,888	)

Net share transactions (Note 9):
Class II		(69,149,457	)		(111,903,150	)		—			—
Class III		(53,465,498	)		42,508,224			(26,191,430	)		(209,670,456	)
Class IV		(365,097,799	)		(225,782,751	)		(83,615,656	)*		(514,884,481	)
Class V		1,459,503			33,512,592			—			—
Class VI		(339,965,322	)		(650,491,952	)		—			—

Increase (decrease) in net assets resulting from net share transactions		(826,218,573	)		(912,157,037	)		(109,807,086	)		(724,554,937	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class II		679,950			1,611,194			—			—
Class III		552,041			737,313			502,997			398,979
Class IV		267,836			2,193,709			111,351	*		830,322
Class V		297,557			479,079			—			—
Class VI		5,572,062			11,838,878			—			—

Increase in net assets resulting from purchase premiums and redemption fees		7,369,446			16,860,173			614,348			1,229,301


Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(818,849,127	)		(895,296,864	)		(109,192,738	)		(723,325,636	)

Total increase (decrease) in net assets		(1,352,269,021	)		85,097,545			(124,114,754	)		(673,047,475	)

Net assets:
Beginning of period		5,102,037,037			5,016,939,492			144,933,128			817,980,603

End of period	$	3,749,768,016		$	5,102,037,037		$	20,818,374		$	144,933,128

Accumulated undistributed (distributions in excess of) net investment income	$	81,028,889		$	(17,207,475	)	$	(761,756	)	$	(656,513	)

* Class IV liquidated on May 2, 2018.


66		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	International Equity Fund						International Large/Mid Cap Equity Fund
	Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018			Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	94,836,062		$	136,645,091		$	1,495,015		$	3,484,528
Net realized gain (loss)		202,071,889			333,135,160			7,105,260			13,685,525
Change in net unrealized appreciation (depreciation)		(574,796,515	)		611,006,576			(11,657,255	)		5,607,263


Net increase (decrease) in net assets from operations		(277,888,564	)		1,080,786,827			(3,056,980	)		22,777,316

Distributions to shareholders from:
Net investment income
Class II		(127,773	)		(592,109	)		—			—
Class III		(2,974,721	)		(15,748,937	)		(1,280,278	)		(520,210	)
Class IV		(23,752,827	)		(157,085,524	)		—			(3,905,515	)

Total distributions from net investment income		(26,855,321	)		(173,426,570	)		(1,280,278	)		(4,425,725	)

Net realized gains
Class III		—			—			(6,061,300	)		(391,628	)
Class IV		—			—			(7,293	)*		(9,849,041	)

Total distributions from net realized gains		—			—			(6,068,593	)		(10,240,669	)

Net share transactions (Note 9):
Class II		(1,374,741	)		11,254,887			—			—
Class III		14,620,062			(340,134,465	)		(51,304,726	)		41,540,025
Class IV		(786,185,281	)		(1,324,181,462	)		(759,212	)*		(152,989,906	)
Class VI		—			—			—			(616,556	)**

Increase (decrease) in net assets resulting from net share transactions		(772,939,960	)		(1,653,061,040	)		(52,063,938	)		(112,066,437	)

Total increase (decrease) in net assets		(1,077,683,845	)		(745,700,783	)		(62,469,789	)		(103,955,515	)

Net assets:
Beginning of period		5,067,684,964			5,813,385,747			81,894,713			185,850,228

End of period	$	3,990,001,119		$	5,067,684,964		$	19,424,924		$	81,894,713

Accumulated undistributed (distributions in excess of) net investment income	$	54,161,844		$	(13,818,897	)	$	(1,240,721	)	$	(1,455,458	)

* Class IV liquidated on May 2, 2018.
** Class VI liquidated on March 29, 2017.


		See accompanying notes to the financial statements.		67

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Quality Fund						Resources Fund
	Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018			Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	60,000,739		$	128,619,753		$	6,997,117		$	4,986,637
Net realized gain (loss)		736,941,958			713,188,332			14,190,116			12,979,215
Change in net unrealized appreciation (depreciation)		(119,142,299	)		922,881,868			(31,979,885	)		42,871,047


Net increase (decrease) in net assets from operations		677,800,398			1,764,689,953			(10,792,652	)		60,836,899

Distributions to shareholders from:
Net investment income
Class III		(9,648,385	)		(56,641,958	)		(1,210,304	)		(880,349	)
Class IV		(2,589,123	)		(15,493,213	)		(3,958,941	)		(10,056,534	)
Class V		(531,314	)		(4,742,268	)		—			—
Class VI		(8,282,287	)		(59,448,671	)		—			—

Total distributions from net investment income		(21,051,109	)		(136,326,110	)		(5,169,245	)		(10,936,883	)

Net realized gains
Class III		(127,597,321	)		(219,320,323	)		—			—
Class IV		(32,388,457	)		(58,604,732	)		—			—
Class V		(6,404,746	)		(16,385,208	)		—			—
Class VI		(98,407,812	)		(218,783,386	)		—			—

Total distributions from net realized gains		(264,798,336	)		(513,093,649	)		—			—

Net share transactions (Note 9):
Class III		(491,714,569	)		(524,533,540	)		69,453,590			27,821,128
Class IV		164,022,512			(403,819,622	)		42,877,778			59,123,014
Class V		2,748,338			(369,399,954	)		—			—
Class VI		(1,096,280,666	)		(249,653,450	)		—			—

Increase (decrease) in net assets resulting from net share transactions		(1,421,224,385	)		(1,547,406,566	)		112,331,368			86,944,142

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			65,215			60,364
Class IV		—			—			265,521			507,680

Increase in net assets resulting from purchase premiums and redemption fees		—			—			330,736			568,044


Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(1,421,224,385	)		(1,547,406,566	)		112,662,104			87,512,186

Total increase (decrease) in net assets		(1,029,273,432	)		(432,136,372	)		96,700,207			137,412,202

Net assets:
Beginning of period		8,200,065,585			8,632,201,957			350,233,570			212,821,368

End of period	$	7,170,792,153		$	8,200,065,585		$	446,933,777		$	350,233,570

Accumulated undistributed (distributions in excess of) net investment income	$	50,856,044		$	11,906,414		$	(4,227,833	)	$	(6,055,705	)


68		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Risk Premium Fund						Tax-Managed International Equities Fund
	Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018			Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,977,806		$	703,236		$	1,050,917		$	2,489,190
Net realized gain (loss)		20,068,452			9,097,108			4,270,751			17,588,975
Change in net unrealized appreciation (depreciation)		662,074			(427,540	)		(9,565,007	)		4,161,943


Net increase (decrease) in net assets from operations		22,708,332			9,372,804			(4,243,339	)		24,240,108

Distributions to shareholders from:
Net investment income
Class III		(12,004	)		(7,176	)		(170,302	)		(3,315,762	)
Class VI		(488,192	)		(463,232	)		—			—

Total distributions from net investment income		(500,196	)		(470,408	)		(170,302	)		(3,315,762	)

Net realized gains
Class III		—			(717,032	)		(1,772,940	)		—
Class VI		—			(23,541,333	)		—			—

Total distributions from net realized gains		—			(24,258,365	)		(1,772,940	)		—

Net share transactions (Note 9):
Class III		16,130,706			(1,182,676	)		(10,231,845	)		(67,875,263	)
Class VI		330,972,666			1,739,919			—			—

Increase (decrease) in net assets resulting from net share transactions		347,103,372			557,243			(10,231,845	)		(67,875,263	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		365			1,406			—			—
Class VI		14,488			45,191			—			—

Increase in net assets resulting from purchase premiums and redemption fees		14,853			46,597			—			—


Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		347,118,225			603,840			(10,231,845	)		(67,875,263	)

Total increase (decrease) in net assets		369,326,361			(14,752,129	)		(16,418,426	)		(46,950,917	)

Net assets:
Beginning of period		145,671,598			160,423,727			68,781,732			115,732,649

End of period	$	514,997,959		$	145,671,598		$	52,363,306		$	68,781,732

Accumulated undistributed (distributions in excess of) net investment income	$	1,696,766		$	219,156		$	354,723		$	(525,892	)


		See accompanying notes to the financial statements.		69

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
	Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	9,529,113		$	29,498,514
Net realized gain (loss)		98,862,258			190,117,350
Change in net unrealized appreciation (depreciation)		(50,050,464	)		(18,454,310	)


Net increase (decrease) in net assets from operations		58,340,907			201,161,554

Distributions to shareholders from:
Net investment income
Class III		(304,223	)		(1,071,935	)
Class IV		(153,095	)		(426,461	)
Class V		(270,988	)		(2,144,892	)
Class VI		(3,711,164	)		(24,505,927	)

Total distributions from net investment income		(4,439,470	)		(28,149,215	)

Net realized gains
Class III		(5,831,017	)		(6,499,591	)
Class IV		(2,776,836	)		(2,930,389	)
Class V		(4,999,533	)		(12,130,947	)
Class VI		(66,800,944	)		(123,226,362	)

Total distributions from net realized gains		(80,408,330	)		(144,787,289	)

Net share transactions (Note 9):
Class III		6,006,081			(32,682,528	)
Class IV		3,118,523			18,607,196
Class V		3,360,595			(106,801,014	)
Class VI		(335,577,315	)		(294,652,578	)

Increase (decrease) in net assets resulting from net share transactions		(323,092,116	)		(415,528,924	)

Total increase (decrease) in net assets		(349,599,009	)		(387,303,874	)

Net assets:
Beginning of period		1,373,716,346			1,761,020,220

End of period	$	1,024,117,337		$	1,373,716,346

Accumulated undistributed (distributions in excess of) net investment income	$	8,056,166		$	2,966,523


70		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CLIMATE CHANGE FUND


	Class III Shares
	Six Months Ended August 31, 2018 (Unaudited)				Period from April 5, 2017 (commencement of operations) through February 28, 2018
Net asset value, beginning of period		$	23.81			$	20.00

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.29				0.23
Net realized and unrealized gain (loss)			(1.09	)			4.41

Total from investment operations			(0.80	)			4.64

Less distributions to shareholders:
From net investment income			(0.03	)			(0.22	)
From net realized gains			(0.18	)			(0.61	)

Total distributions			(0.21	)			(0.83	)

Net asset value, end of period		$	22.80			$	23.81

Total Return^(b)			(3.40	)%**			23.28	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	88,877			$	26,694
Net expenses to average daily net assets^(c)			0.72	%*			0.78	%*
Net investment income (loss) to average daily net assets^(a)			2.40	%*			1.09	%*
Portfolio turnover rate^(d)			18	%**			44	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.30	%*			0.73	%*

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

^(b)

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

^(d)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the periods ended August 31, 2018 and February 28, 2018, including transactions in USTF, was 102%, 174%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		71

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND


	Class II Shares																								Class III Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014				Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	28.86			$	22.64			$	19.36			$	23.99			$	22.55			$	24.60			$	28.86			$	22.64			$	19.35			$	23.98			$	22.54			$	24.59

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.19				0.25				0.25				0.34				0.28				0.26				0.22				0.27				0.27				0.36				0.29				0.30
Net realized and unrealized gain (loss)			(4.41	)			6.33				3.68				(4.60	)			1.55				(1.22	)			(4.43	)			6.32				3.68				(4.60	)			1.55				(1.24	)

Total from investment operations			(4.22	)			6.58				3.93				(4.26	)			1.83				(0.96	)			(4.21	)			6.59				3.95				(4.24	)			1.84				(0.94	)

Less distributions to shareholders:
From net investment income			(0.00	)^(b)			(0.36	)			(0.65	)			(0.37	)			(0.23	)			(0.30	)			(0.00	)^(b)			(0.37	)			(0.66	)			(0.39	)			(0.24	)			(0.32	)
From net realized gains			(2.74	)			—				—				—				(0.16	)			(0.79	)			(2.74	)			—				—				—				(0.16	)			(0.79	)

Total distributions			(2.74	)			(0.36	)			(0.65	)			(0.37	)			(0.39	)			(1.09	)			(2.74	)			(0.37	)			(0.66	)			(0.39	)			(0.40	)			(1.11	)

Net asset value, end of period		$	21.90			$	28.86			$	22.64			$	19.36			$	23.99			$	22.55			$	21.91			$	28.86			$	22.64			$	19.35			$	23.98			$	22.54

Total Return^(c)			(15.05	)%**			29.10	%			20.62	%			(17.91	)%			8.18	%			(4.01	)%			(15.00	)%**			29.17	%			20.73	%			(17.86	)%			8.23	%			(3.95	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	488,375			$	700,211			$	603,565			$	556,539			$	738,035			$	621,278			$	138,734			$	121,511			$	129,068			$	242,740			$	336,488			$	384,757
Net expenses to average daily net assets^(d)			1.05	%*			1.06	%			1.06	%			1.07	%			1.07	%			1.07	%^(e)			0.98	%*			0.99	%			0.99	%			1.00	%			1.00	%			1.00	%^(e)
Net investment income (loss) to average daily net assets^(a)			1.42	%*			0.96	%			1.12	%			1.51	%			1.21	%			1.09	%			1.66	%*			1.05	%			1.26	%			1.61	%			1.26	%			1.23	%
Portfolio turnover rate			120	%^(f)**			201	%^(f)			227	%^(f)			250	%			204	%			274	%			120	%^(f)**			201	%^(f)			227	%^(f)			250	%			204	%			274	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.02	%			0.04	%			0.04	%			0.03	%			0.03	%			0.01	%*			0.02	%			0.05	%			0.04	%			0.03	%			0.03	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.04			$	0.03			$	0.02			$	0.04			$	0.03			$	0.10			$	0.05			$	0.02			$	0.02			$	0.03			$	0.03			$	0.09

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

^(b)	Distributions from net investment income were less than $0.01 per share.

^(c)

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

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

^(f)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 135%, 254% and 271%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


72		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND (continued)


	Class IV Shares																								Class V Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,																Period from November 29, 2013 (commencement of operations) through February 28, 2014
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014				Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015
Net asset value, beginning of period		$	28.88			$	22.65			$	19.36			$	24.00			$	22.56			$	24.60			$	28.85			$	22.62			$	19.35			$	23.98			$	22.54			$	24.52

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.21				0.27				0.29				0.36				0.30				0.31				0.21				0.29				0.23				0.37				0.31				0.01
Net realized and unrealized gain (loss)			(4.42	)			6.34				3.67				(4.60	)			1.56				(1.23	)			(4.41	)			6.33				3.73				(4.59	)			1.55				(1.20	)

Total from investment operations			(4.21	)			6.61				3.96				(4.24	)			1.86				(0.92	)			(4.20	)			6.62				3.96				(4.22	)			1.86				(1.19	)

Less distributions to shareholders:
From net investment income			(0.00	)^(b)			(0.38	)			(0.67	)			(0.40	)			(0.26	)			(0.33	)			(0.00	)^(b)			(0.39	)			(0.69	)			(0.41	)			(0.26	)			(0.34	)
From net realized gains			(2.74	)			—				—				—				(0.16	)			(0.79	)			(2.74	)			—				—				—				(0.16	)			(0.45	)

Total distributions			(2.74	)			(0.38	)			(0.67	)			(0.40	)			(0.42	)			(1.12	)			(2.74	)			(0.39	)			(0.69	)			(0.41	)			(0.42	)			(0.79	)

Net asset value, end of period		$	21.93			$	28.88			$	22.65			$	19.36			$	24.00			$	22.56			$	21.91			$	28.85			$	22.62			$	19.35			$	23.98			$	22.54

Total Return^(c)			(14.99	)%**			29.24	%			20.80	%			(17.84	)%			8.29	%			(3.88	)%			(14.97	)%**			29.31	%			20.78	%			(17.79	)%			8.32	%			(4.95	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	207,588			$	300,730			$	335,225			$	745,300			$	686,589			$	659,592			$	774,453			$	1,280,851			$	948,052			$	322,379			$	255,379			$	235,753
Net expenses to average daily net assets^(d)			0.93	%*			0.94	%			0.95	%			0.96	%			0.95	%			0.95	%^(e)			0.91	%*			0.92	%			0.93	%			0.94	%			0.93	%			0.94	%^(e)*
Net investment income (loss) to average daily net assets^(a)			1.58	%*			1.05	%			1.34	%			1.61	%			1.29	%			1.29	%			1.59	%*			1.09	%			1.04	%			1.65	%			1.32	%			0.09	%
Portfolio turnover rate			120	%^(f)**			201	%^(f)			227	%^(f)			250	%			204	%			274	%			120	%^(f)**			201	%^(f)			227	%^(f)			250	%			204	%			274	%**††
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets:			0.01	%*			0.02	%			0.04	%			0.04	%			0.03	%			0.03	%			0.01	%*			0.02	%			0.05	%			0.04	%			0.03	%			0.06	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.04			$	0.02			$	0.03			$	0.03			$	0.03			$	0.10			$	0.04			$	0.03			$	0.03			$	0.04			$	0.03			$	0.02

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

^(b)	Distributions from net investment income were less than $0.01 per share.

^(c)

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

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

^(f)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 135%, 254% and 271%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

††	Calculation represents portfolio turnover of the Fund for the year ended February 28, 2014.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		73

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND


	Class II Shares																								Class III Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)				Six Months Ended August 31, 2018 (Unaudited)				2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)
Net asset value, beginning of period		$	36.42			$	29.98			$	22.80			$	30.48			$	30.60			$	35.22			$	36.51			$	30.05			$	22.83			$	30.57			$	30.69			$	35.31

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.81				0.75				0.57				0.72				0.84				0.75				0.82				0.72				0.57				0.66				0.81				0.81
Net realized and unrealized gain (loss)			(4.87	)			6.58				7.22				(7.59	)			0.00	^(c)			(4.56	)			(4.88	)			6.64				7.27				(7.56	)			0.06				(4.62	)

Total from investment operations			(4.06	)			7.33				7.79				(6.87	)			0.84				(3.81	)			(4.06	)			7.36				7.84				(6.90	)			0.87				(3.81	)

Less distributions to shareholders:
From net investment income			(0.05	)			(0.89	)			(0.61	)			(0.81	)			(0.96	)			(0.81	)			(0.05	)			(0.90	)			(0.62	)			(0.84	)			(0.99	)			(0.81	)

Total distributions			(0.05	)			(0.89	)			(0.61	)			(0.81	)			(0.96	)			(0.81	)			(0.05	)			(0.90	)			(0.62	)			(0.84	)			(0.99	)			(0.81	)

Net asset value, end of period		$	32.31			$	36.42			$	29.98			$	22.80			$	30.48			$	30.60			$	32.40			$	36.51			$	30.05			$	22.83			$	30.57			$	30.69

Total Return^(d)			(11.15	)%**			24.66	%			34.47	%			(22.76	)%			2.84	%			(10.92	)%			(11.11	)%**			24.71	%			34.67	%			(22.80	)%			2.91	%			(10.87	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	362,509			$	479,640			$	498,564			$	532,366			$	1,000,299			$	1,308,100			$	297,410			$	390,827			$	301,786			$	189,907			$	283,712			$	447,963
Net expenses to average daily net assets^(e)			0.93	%*			0.96	%			1.07	%			1.09	%			1.07	%			1.06	%^(f)			0.88	%*			0.91	%			1.01	%			1.04	%			1.02	%			1.01	%^(f)
Net investment income (loss) to average daily net assets^(b)			4.73	%*			2.25	%			2.08	%			2.57	%			2.66	%			2.33	%			4.73	%*			2.14	%			2.07	%			2.45	%			2.55	%			2.45	%
Portfolio turnover rate			52	%^(g)**			87	%^(g)			62	%^(g)			104	%			94	%			98	%			52	%^(g)**			87	%^(g)			62	%^(g)			104	%			94	%			98	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.13	%*			0.13	%			0.04	%			0.03	%			0.03	%			0.03	%			0.11	%*			0.11	%			0.03	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.06			$	0.11			$	0.09	^(a)		$	0.10	^(a)		$	0.11	^(a)		$	0.10	^(a)		$	0.06			$	0.11			$	0.09	^(a)		$	0.10	^(a)		$	0.11	^(a)		$	0.11	^(a)

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

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

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

^(d)

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

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

^(g)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 69%, 117% and 80%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


74		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)


	Class IV Shares																								Class V Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)				Six Months Ended August 31, 2018 (Unaudited)				2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)
Net asset value, beginning of period		$	36.16			$	29.78			$	22.65			$	30.30			$	30.45			$	35.04			$	36.07			$	29.70			$	22.59			$	30.24			$	30.39			$	34.98

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.61				0.83				0.53				0.69				0.84				0.84				0.86				0.77				0.61				0.72				0.87				0.78
Net realized and unrealized gain (loss)			(4.62	)			6.47				7.24				(7.50	)			0.00	^(c)			(4.59	)			(4.86	)			6.53				7.15				(7.50	)			0.00	^(c)			(4.50	)

Total from investment operations			(4.01	)			7.30				7.77				(6.81	)			0.84				(3.75	)			(4.00	)			7.30				7.76				(6.78	)			0.87				(3.72	)

Less distributions to shareholders:
From net investment income			(0.04	)			(0.92	)			(0.64	)			(0.84	)			(0.99	)			(0.84	)			(0.06	)			(0.93	)			(0.65	)			(0.87	)			(1.02	)			(0.87	)

Total distributions			(0.04	)			(0.92	)			(0.64	)			(0.84	)			(0.99	)			(0.84	)			(0.06	)			(0.93	)			(0.65	)			(0.87	)			(1.02	)			(0.87	)

Net asset value, end of period		$	32.11			$	36.16			$	29.78			$	22.65			$	30.30			$	30.45			$	32.01			$	36.07			$	29.70			$	22.59			$	30.24			$	30.39

Total Return^(d)			(11.10	)%**			24.74	%			34.61	%			(22.69	)%			2.88	%			(10.81	)%			(11.08	)%**			24.83	%			34.67	%			(22.67	)%			2.93	%			(10.74	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	88,926			$	485,104			$	582,311			$	268,085			$	837,963			$	748,429			$	152,210			$	170,962			$	110,257			$	269,570			$	170,125			$	406,384
Net expenses to average daily net assets^(e)			0.82	%*			0.87	%			0.96	%			0.99	%			0.97	%			0.96	%^(f)			0.78	%*			0.81	%			0.91	%			0.94	%			0.92	%			0.91	%^(f)
Net investment income (loss) to average daily net assets^(b)			3.55	%*			2.50	%			1.92	%			2.55	%			2.64	%			2.57	%			5.06	%*			2.29	%			2.24	%			2.69	%			2.77	%			2.39	%
Portfolio turnover rate			52	%^(g)**			87	%^(g)			62	%^(g)			104	%			94	%			98	%			52	%^(g)**			87	%^(g)			62	%^(g)			104	%			94	%			98	%
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets:			0.11	%*			0.11	%			0.03	%			0.01	%			0.01	%			0.01	%			0.14	%*			0.14	%			0.06	%			0.04	%			0.04	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.04			$	0.11			$	0.09	^(a)		$	0.10	^(a)		$	0.11	^(a)		$	0.10	^(a)		$	0.06			$	0.11			$	0.08	^(a)		$	0.10	^(a)		$	0.10	^(a)		$	0.10	^(a)

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

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

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

^(d)

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

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

^(g)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 69%, 117% and 80%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		75

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)


	Class VI Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)
Net asset value, beginning of period		$	36.16			$	29.77			$	22.62			$	30.30			$	30.45			$	35.04

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.83				0.78				0.63				0.69				0.90				0.78
Net realized and unrealized gain (loss)			(4.83	)			6.56				7.17				(7.50	)			(0.03	)^(c)			(4.47	)

Total from investment operations			(4.00	)			7.34				7.80				(6.81	)			0.87				(3.69	)

Less distributions to shareholders:
From net investment income			(0.07	)			(0.95	)			(0.65	)			(0.87	)			(1.02	)			(0.90	)

Total distributions			(0.07	)			(0.95	)			(0.65	)			(0.87	)			(1.02	)			(0.90	)

Net asset value, end of period		$	32.09			$	36.16			$	29.77			$	22.62			$	30.30			$	30.45

Total Return^(d)			(11.08	)%**			24.90	%			34.83	%			(22.71	)%			2.96	%			(10.69	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,848,713			$	3,575,505			$	3,524,022			$	3,661,271			$	5,194,557			$	5,220,293
Net expenses to average daily net assets^(e)			0.75	%*			0.78	%			0.89	%			0.91	%			0.89	%			0.88	%^(f)
Net investment income (loss) to average daily net assets^(b)			4.86	%*			2.36	%			2.32	%			2.61	%			2.79	%			2.43	%
Portfolio turnover rate			52	%^(g)**			87	%^(g)			62	%^(g)			104	%			94	%			98	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.14	%*			0.14	%			0.06	%			0.04	%			0.04	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.06			$	0.11			$	0.08	^(a)		$	0.09	^(a)		$	0.11	^(a)		$	0.10	^(a)

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

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

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

^(d)

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

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

^(g)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 69%, 117% and 80%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


76		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

FOREIGN SMALL COMPANIES FUND


	Class III Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	14.27			$	14.41			$	12.94			$	15.31			$	17.29			$	14.40

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.14				0.41				0.26				0.26				0.20				0.27
Net realized and unrealized gain (loss)			(0.53	)			2.93				1.56				(1.86	)			(1.34	)			3.62

Total from investment operations			(0.39	)			3.34				1.82				(1.60	)			(1.14	)			3.89

Less distributions to shareholders:
From net investment income			(0.11	)			(0.35	)			(0.35	)			(0.28	)			(0.23	)			(0.48	)
From net realized gains			(1.64	)			(3.13	)			—				(0.49	)			(0.61	)			(0.52	)

Total distributions			(1.75	)			(3.48	)			(0.35	)			(0.77	)			(0.84	)			(1.00	)

Net asset value, end of period		$	12.13			$	14.27			$	14.41			$	12.94			$	15.31			$	17.29

Total Return^(b)			(2.95	)%^(c)**			23.52	%			14.25	%			(10.82	)%			(6.34	)%			27.54	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	20,818			$	55,169			$	246,852			$	316,303			$	353,778			$	236,393
Net expenses to average daily net assets^(d)			1.29	%*			0.52	%			0.86	%			0.86	%			0.85	%			0.86	%^(e)
Net investment income (loss) to average daily net assets^(a)			2.19	%*			2.67	%			1.84	%			1.73	%			1.26	%			1.73	%
Portfolio turnover rate			16	%^(f)**			106	%^(f)			49	%^(f)			60	%			58	%			57	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.62	%*			0.44	%			0.07	%			0.07	%			0.07	%			0.07	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.19			$	0.04			$	0.02			$	0.01			$	0.01			$	0.00	^(g)

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

^(b)

^(c)	Refunds of taxes withheld by certain countries and any related interest received during the period had a positive impact to total return, adding 1.26%.

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

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

^(f)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 32%, 128% and 51%, respectively, of the average value of its portfolio.

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

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		77

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND


	Class II Shares																								Class III Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014				Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	23.63			$	20.18			$	18.17			$	23.43			$	26.16			$	20.94			$	23.92			$	20.41			$	18.38			$	23.70			$	26.44			$	21.16

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.44				0.41				0.70				0.57				0.66				0.80				0.46				0.61				0.63				0.59				0.69				0.86
Net realized and unrealized gain (loss)			(1.90	)			3.78				2.07				(5.19	)			(1.42	)			4.88				(1.94	)			3.64				2.19				(5.25	)			(1.45	)			4.90

Total from investment operations			(1.46	)			4.19				2.77				(4.62	)			(0.76	)			5.68				(1.48	)			4.25				2.82				(4.66	)			(0.76	)			5.76

Less distributions to shareholders:
From net investment income			(0.14	)			(0.74	)			(0.76	)			(0.64	)			(1.07	)			(0.46	)			(0.14	)			(0.74	)			(0.79	)			(0.66	)			(1.08	)			(0.48	)
From net realized gains			—				—				—				—				(0.90	)			—				—				—				—				—				(0.90	)			—

Total distributions			(0.14	)			(0.74	)			(0.76	)			(0.64	)			(1.97	)			(0.46	)			(0.14	)			(0.74	)			(0.79	)			(0.66	)			(1.98	)			(0.48	)

Net asset value, end of period		$	22.03			$	23.63			$	20.18			$	18.17			$	23.43			$	26.16			$	22.30			$	23.92			$	20.41			$	18.38			$	23.70			$	26.44

Total Return^(b)			(6.20	)%**			20.85	%			15.45	%			(19.99	)%			(2.55	)%			27.41	%			(6.18	)%**			20.96	%			15.53	%			(19.95	)%			(2.50	)%			27.53	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	20,852			$	23,736			$	10,302			$	81,206			$	118,737			$	139,401			$	467,096			$	485,782			$	731,060			$	1,043,305			$	1,523,128			$	1,555,509
Net expenses to average daily net assets^(c)			0.72	%*			0.72	%			0.72	%			0.72	%			0.72	%			0.72	%^(d)			0.65	%*			0.65	%			0.65	%			0.65	%			0.65	%			0.65	%^(d)
Net investment income (loss) to average daily net assets^(a)			3.84	%*			1.77	%			3.62	%			2.65	%			2.63	%			3.47	%			3.91	%*			2.68	%			3.16	%			2.70	%			2.73	%			3.62	%
Portfolio turnover rate			21	%^(e)**			45	%^(e)			27	%^(e)			75	%			70	%			48	%			21	%^(e)**			45	%^(e)			27	%^(e)			75	%			70	%			48	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.04	%			0.04	%			0.04	%			0.04	%			0.04	%			0.03	%*			0.04	%			0.04	%			0.04	%			0.04	%			0.04	%

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

^(b)

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

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

^(e)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 26%, 61% and 50%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


78		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND (continued)


	Class IV Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	23.87			$	20.38			$	18.36			$	23.66			$	26.41			$	21.14

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.48				0.56				0.63				0.62				0.67				0.89
Net realized and unrealized gain (loss)			(1.94	)			3.69				2.19				(5.25	)			(1.42	)			4.88

Total from investment operations			(1.46	)			4.25				2.82				(4.63	)			(0.75	)			5.77

Less distributions to shareholders:
From net investment income			(0.15	)			(0.76	)			(0.80	)			(0.67	)			(1.10	)			(0.50	)
From net realized gains			—				—				—				—				(0.90	)			—

Total distributions			(0.15	)			(0.76	)			(0.80	)			(0.67	)			(2.00	)			(0.50	)

Net asset value, end of period		$	22.26			$	23.87			$	20.38			$	18.36			$	23.66			$	26.41

Total Return^(b)			(6.13	)%**			20.98	%			15.57	%			(19.85	)%			(2.47	)%			27.60	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,502,054			$	4,558,167			$	5,072,024			$	7,051,400			$	11,374,017			$	11,926,293
Net expenses to average daily net assets^(c)			0.59	%*			0.59	%			0.59	%			0.59	%			0.59	%			0.59	%^(d)
Net investment income (loss) to average daily net assets^(a)			4.14	%*			2.45	%			3.19	%			2.80	%			2.66	%			3.74	%
Portfolio turnover rate			21	%^(e)**			45	%^(e)			27	%^(e)			75	%			70	%			48	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.04	%			0.04	%			0.04	%			0.04	%			0.04	%

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

^(b)

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

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

^(e)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 26%, 61% and 50%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		79

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL LARGE/MID CAP EQUITY FUND


	Class III Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	26.33			$	25.44			$	23.46			$	30.16			$	35.20			$	28.96

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.74				1.01				0.96				0.81				0.92				1.18
Net realized and unrealized gain (loss)			(1.98	)			4.06				2.40				(6.71	)			(2.19	)			6.56

Total from investment operations			(1.24	)			5.07				3.36				(5.90	)			(1.27	)			7.74

Less distributions to shareholders:
From net investment income			(0.55	)			(0.90	)			(1.38	)			(0.80	)			(1.46	)			(1.50	)
From net realized gains			(2.69	)			(3.28	)			—				—				(2.31	)			—

Total distributions			(3.24	)			(4.18	)			(1.38	)			(0.80	)			(3.77	)			(1.50	)

Net asset value, end of period		$	21.85			$	26.33			$	25.44			$	23.46			$	30.16			$	35.20

Total Return^(b)			(4.97	)%^(c)**			20.64	%			14.70	%			(19.82	)%			(3.33	)%			27.30	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	19,425			$	81,119			$	39,141			$	459,614			$	592,365			$	598,840
Net expenses to average daily net assets^(d)			1.23	%*			0.60	%			0.54	%			0.53	%			0.53	%			0.53	%^(e)
Net investment income (loss) to average daily net assets^(a)			6.03	%*			3.81	%			3.84	%			2.90	%			2.80	%			3.70	%
Portfolio turnover rate			18	%^(f)**			47	%^(f)			26	%^(f)			88	%			82	%			54	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.37	%*			0.28	%			0.08	%			0.06	%			0.07	%			0.06	%

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

^(b)

^(c)	Refunds of taxes withheld by certain countries and any related interest received during the period had a positive impact to total return, adding 2.22%.

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

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

^(f)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 69%, 128% and 51%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


80		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY FUND


	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014				Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	25.13			$	22.05			$	18.99			$	22.98			$	25.08			$	23.81			$	25.17			$	22.08			$	19.01			$	23.01			$	25.10			$	23.83

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.19				0.36				0.35				0.38				0.42				0.51				0.20				0.37				0.36				0.39				0.43				0.53
Net realized and unrealized gain (loss)			2.26				4.70				3.44				(1.04	)			2.91				3.70				2.25				4.70				3.45				(1.05	)			2.92				3.70

Total from investment operations			2.45				5.06				3.79				(0.66	)			3.33				4.21				2.45				5.07				3.81				(0.66	)			3.35				4.23

Less distributions to shareholders:
From net investment income			(0.08	)			(0.41	)			(0.35	)			(0.42	)			(0.49	)			(0.53	)			(0.08	)			(0.41	)			(0.36	)			(0.43	)			(0.50	)			(0.55	)
From net realized gains			(1.00	)			(1.57	)			(0.38	)			(2.91	)			(4.94	)			(2.41	)			(1.00	)			(1.57	)			(0.38	)			(2.91	)			(4.94	)			(2.41	)

Total distributions			(1.08	)			(1.98	)			(0.73	)			(3.33	)			(5.43	)			(2.94	)			(1.08	)			(1.98	)			(0.74	)			(3.34	)			(5.44	)			(2.96	)

Net asset value, end of period		$	26.50			$	25.13			$	22.05			$	18.99			$	22.98			$	25.08			$	26.54			$	25.17			$	22.08			$	19.01			$	23.01			$	25.10

Total Return^(b)			9.97	%**			23.32	%			20.25	%			(2.89	)%			14.73	%			18.38	%			9.98	%**			23.37	%			20.33	%			(2.88	)%			14.81	%			18.43	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,199,674			$	3,524,103			$	3,587,627			$	3,968,156			$	5,336,063			$	5,747,512			$	1,179,485			$	957,900			$	1,222,874			$	1,294,033			$	2,201,876			$	2,134,444
Net expenses to average daily net assets^(c)			0.48	%*			0.48	%			0.48	%			0.48	%			0.48	%			0.48	%^(d)			0.44	%*			0.44	%			0.44	%			0.44	%			0.44	%			0.44	%^(d)
Net investment income (loss) to average daily net assets^(a)			1.53	%*			1.48	%			1.72	%			1.79	%			1.71	%			2.04	%			1.59	%*			1.53	%			1.76	%			1.83	%			1.77	%			2.07	%
Portfolio turnover rate			10	%**^(e)			10	%^(e)			29	%^(e)			37	%			60	%			48	%			10	%**^(e)			10	%^(e)			29	%^(e)			37	%			60	%			48	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.02	%			0.02	%			0.02	%			0.02	%			0.01	%			0.02	%*			0.02	%			0.02	%			0.02	%			0.02	%			0.01	%

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

^(b)

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

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

^(e)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 11%, 23% and 48%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		81

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY FUND (continued)


	Class V Shares																								Class VI Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014				Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	25.17			$	22.08			$	19.01			$	23.01			$	25.10			$	23.82			$	25.13			$	22.05			$	18.99			$	22.99			$	25.09			$	23.82

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.20				0.41				0.36				0.39				0.44				0.56				0.21				0.38				0.36				0.40				0.45				0.54
Net realized and unrealized gain (loss)			2.26				4.66				3.46				(1.05	)			2.92				3.68				2.24				4.70				3.46				(1.04	)			2.90				3.70

Total from investment operations			2.46				5.07				3.82				(0.66	)			3.36				4.24				2.45				5.08				3.82				(0.64	)			3.35				4.24

Less distributions to shareholders:
From net investment income			(0.08	)			(0.41	)			(0.37	)			(0.43	)			(0.51	)			(0.55	)			(0.08	)			(0.43	)			(0.38	)			(0.45	)			(0.51	)			(0.56	)
From net realized gains			(1.00	)			(1.57	)			(0.38	)			(2.91	)			(4.94	)			(2.41	)			(1.00	)			(1.57	)			(0.38	)			(2.91	)			(4.94	)			(2.41	)

Total distributions			(1.08	)			(1.98	)			(0.75	)			(3.34	)			(5.45	)			(2.96	)			(1.08	)			(2.00	)			(0.76	)			(3.36	)			(5.45	)			(2.97	)

Net asset value, end of period		$	26.55			$	25.17			$	22.08			$	19.01			$	23.01			$	25.10			$	26.50			$	25.13			$	22.05			$	18.99			$	22.99			$	25.09

Total Return^(b)			10.03	%**			23.38	%			20.39	%			(2.89	)%			14.86	%			18.49	%			10.01	%**			23.43	%			20.39	%			(2.83	)%			14.83	%			18.50	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	168,316			$	156,086			$	462,677			$	277,186			$	267,809			$	653,307			$	2,623,317			$	3,561,976			$	3,359,025			$	1,732,420			$	2,496,930			$	3,675,950
Net expenses to average daily net assets^(c)			0.42	%*			0.42	%			0.42	%			0.42	%			0.42	%			0.42	%^(d)			0.39	%*			0.39	%			0.39	%			0.39	%			0.39	%			0.39	%^(d)
Net investment income (loss) to average daily net assets^(a)			1.60	%*			1.74	%			1.72	%			1.85	%			1.81	%			2.22	%			1.64	%*			1.57	%			1.73	%			1.88	%			1.83	%			2.13	%
Portfolio turnover rate			10	%**^(e)			10	%^(e)			29	%^(e)			37	%			60	%			48	%			10	%**^(e)			10	%^(e)			29	%^(e)			37	%			60	%			48	%
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets:			0.02	%*			0.02	%			0.02	%			0.02	%			0.02	%			0.01	%			0.02	%*			0.02	%			0.02	%			0.02	%			0.02	%			0.01	%

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

^(b)

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

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

^(e)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 11%, 23% and 48%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


82		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RESOURCES FUND


	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014				Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014^(a)
Net asset value, beginning of period		$	20.88			$	17.31			$	11.74			$	16.33			$	21.88			$	21.59			$	20.81			$	17.25			$	11.71			$	16.28			$	21.86			$	21.40

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.36				0.33				0.30				0.47				0.87				0.51				0.38				0.38				0.34				0.46				0.75				0.45
Net realized and unrealized gain (loss)			(0.79	)			4.02				5.75				(4.67	)			(3.77	)			0.45				(0.81	)			3.97				5.68				(4.63	)			(3.65	)			0.70

Total from investment operations			(0.43	)			4.35				6.05				(4.20	)			(2.90	)			0.96				(0.43	)			4.35				6.02				(4.17	)			(2.90	)			1.15

Less distributions to shareholders:
From net investment income			(0.25	)			(0.78	)			(0.48	)			(0.39	)			(1.03	)			(0.40	)			(0.25	)			(0.79	)			(0.48	)			(0.40	)			(1.06	)			(0.42	)
From net realized gains			—				—				—				—				(1.62	)			(0.27	)			—				—				—				—				(1.62	)			(0.27	)

Total distributions			(0.25	)			(0.78	)			(0.48	)			(0.39	)			(2.65	)			(0.67	)			(0.25	)			(0.79	)			(0.48	)			(0.40	)			(2.68	)			(0.69	)

Net asset value, end of period		$	20.20			$	20.88			$	17.31			$	11.74			$	16.33			$	21.88			$	20.13			$	20.81			$	17.25			$	11.71			$	16.28			$	21.86

Total Return^(c)			(2.11	)%**			26.00	%			51.75	%			(25.76	)%			(12.81	)%			4.54	%			(2.13	)%**			26.12	%			51.72	%			(25.68	)%			(12.82	)%			5.48	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	119,927			$	54,037			$	22,562			$	13,864			$	23,734			$	81,646			$	327,006			$	296,196			$	190,260			$	170,919			$	119,308			$	138,358
Net expenses to average daily net assets^(d)			0.75	%^(e)*			0.76	%^(e)			0.77	%			0.77	%			0.76	%			0.75	%^(f)			0.71	%^(e)*			0.71	%^(e)			0.72	%			0.72	%			0.71	%			0.70	%*^(f)
Net investment income (loss) to average daily net assets^(b)			3.41	%*			1.77	%			1.99	%			3.36	%			4.01	%			2.36	%			3.58	%*			2.04	%			2.26	%			3.31	%			3.58	%			2.23	%*
Portfolio turnover rate			23	%**^(g)			48	%^(g)			29	%^(g)			130	%			126	%			40	%			23	%^(g)**			48	%^(g)			29	%^(g)			130	%			126	%			40	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			—				0.06	%^(d)			0.10	%			0.10	%			0.08	%			0.10	%			—				0.06	%^(d)			0.10	%			0.11	%			0.09	%			0.11	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02			$	0.05			$	0.02			$	0.03			$	0.07			$	0.06			$	0.02			$	0.04			$	0.02			$	0.02			$	0.03			$	0.03

^(a)	Period from March 20, 2013 (commencement of operations) through February 28, 2014.

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

^(c)

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

^(e)	Includes recoupment of past reimbursed and/or waived fees (Note 5).

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

^(g)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 48%, 85% and 40%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		83

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RISK PREMIUM FUND


	Class III Shares																								Class VI Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)				Six Months Ended August 31, 2018 (Unaudited)				2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)
Net asset value, beginning of period		$	26.74			$	29.93			$	26.91			$	29.73			$	31.74			$	31.59			$	26.88			$	30.07			$	27.00			$	29.82			$	31.80			$	31.59

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.19				0.10				(0.05	)			(0.12	)			(0.18	)			(0.18	)			0.20				0.14				(0.02	)			(0.12	)			(0.15	)			(0.15	)
Net realized and unrealized gain (loss)			1.35				1.78				5.22				(0.30	)			1.02				2.13				1.37				1.78				5.24				(0.30	)			1.02				2.16

Total from investment operations			1.54				1.88				5.17				(0.42	)			0.84				1.95				1.57				1.92				5.22				(0.42	)			0.87				2.01

Less distributions to shareholders:
From net investment income			(0.09	)			(0.06	)			—				—				—				—				(0.10	)			(0.10	)			—				—				—				—
From net realized gains			—				(5.01	)			(2.15	)			(2.40	)			(2.85	)			(1.80	)			—				(5.01	)			(2.15	)			(2.40	)			(2.85	)			(1.80	)

Total distributions			(0.09	)			(5.07	)			(2.15	)			(2.40	)			(2.85	)			(1.80	)			(0.10	)			(5.11	)			(2.15	)			(2.40	)			(2.85	)			(1.80	)

Net asset value, end of period		$	28.19			$	26.74			$	29.93			$	26.91			$	29.73			$	31.74			$	28.35			$	26.88			$	30.07			$	27.00			$	29.82			$	31.80

Total Return^(c)			5.78	%**			6.09	%			19.50	%			(1.66	)%			3.19	%			6.42	%			5.87	%**			6.17	%			19.62	%			(1.65	)%			3.29	%			6.61	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	20,372			$	3,434			$	5,049			$	6,807			$	4,832			$	7,489			$	494,626			$	142,238			$	155,375			$	223,854			$	432,465			$	730,196
Net expenses to average daily net assets			0.60	%*			0.60	%			0.61	%			0.60	%			0.61	%^(d)			0.60	%^(d)(e)			0.51	%*			0.51	%			0.51	%			0.51	%			0.51	%^(d)			0.51	%^(d)(e)
Net investment income (loss) to average daily net assets^(b)			1.37	%*			0.34	%			(0.16	)%			(0.45	)%			(0.58	)%			(0.57	)%			1.43	%*			0.47	%			(0.07	)%			(0.37	)%			(0.49	)%			(0.48	)%
Portfolio turnover rate			26	%**			0	%			0	%			0	%			112	%			0	%			26	%**			0	%			0	%			0	%			112	%			0	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.08	%			0.06	%			0.05	%			0.04	%			0.05	%			0.04	%*			0.08	%			0.06	%			0.05	%			0.03	%			0.05	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	^(f)		$	0.01			$	0.02	^(a)		$	0.08	^(a)		$	0.14	^(a)		$	0.01	^(a)		$	0.00	^(f)		$	0.01			$	0.02	^(a)		$	0.07	^(a)		$	0.13	^(a)		$	0.01	^(a)

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

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

^(c)

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

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

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

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


84		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

TAX-MANAGED INTERNATIONAL EQUITIES FUND


	Class III Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	17.00			$	14.28			$	12.92			$	16.80			$	18.03			$	14.56

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.30				0.38				0.41				0.40				0.47				0.57
Net realized and unrealized gain (loss)			(1.55	)			2.84				1.50				(3.82	)			(1.05	)			3.37

Total from investment operations			(1.25	)			3.22				1.91				(3.42	)			(0.58	)			3.94

Less distributions to shareholders:
From net investment income			(0.04	)			(0.50	)			(0.55	)			(0.46	)			(0.65	)			(0.47	)
From net realized gains			(0.53	)			—				—				—				—				—

Total distributions			(0.57	)			(0.50	)			(0.55	)			(0.46	)			(0.65	)			(0.47	)

Net asset value, end of period		$	15.18			$	17.00			$	14.28			$	12.92			$	16.80			$	18.03

Total Return^(b)			(7.44	)%**			22.70	%			15.05	%			(20.63	)%			(3.10	)%			27.37	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	52,363			$	68,782			$	115,733			$	215,977			$	427,048			$	485,665
Net expenses to average daily net assets^(c)			0.75	%*			0.70	%			0.68	%			0.66	%			0.66	%			0.66	%
Net investment income (loss) to average daily net assets^(a)			3.69	%*			2.35	%			2.95	%			2.59	%			2.71	%			3.54	%
Portfolio turnover rate			12	%^(d)**			43	%^(d)			47	%^(d)			79	%			69	%			49	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.42	%*			0.34	%			0.23	%			0.14	%			0.12	%			0.10	%

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

^(b)

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

^(d)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 28%, 80% and 54%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		85

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. EQUITY FUND (FORMERLY U.S. EQUITY ALLOCATION FUND)


	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014				Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	15.41			$	15.14			$	13.79			$	16.61			$	17.27			$	14.51			$	15.42			$	15.16			$	13.76			$	16.58			$	17.24			$	14.48

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.11				0.27				0.27				0.24				0.28				0.28				0.12				0.30				0.25				0.25				0.29				0.29
Net realized and unrealized gain (loss)			0.63				1.73				2.89				(1.20	)			1.66				2.77				0.64				1.70				2.92				(1.20	)			1.66				2.77

Total from investment operations			0.74				2.00				3.16				(0.96	)			1.94				3.05				0.76				2.00				3.17				(0.95	)			1.95				3.06

Less distributions to shareholders:
From net investment income			(0.06	)			(0.28	)			(0.34	)			(0.26	)			(0.31	)			(0.29	)			(0.07	)			(0.29	)			(0.30	)			(0.27	)			(0.32	)			(0.30	)
From net realized gains			(1.18	)			(1.45	)			(1.47	)			(1.60	)			(2.29	)			—				(1.18	)			(1.45	)			(1.47	)			(1.60	)			(2.29	)			—

Total distributions			(1.24	)			(1.73	)			(1.81	)			(1.86	)			(2.60	)			(0.29	)			(1.25	)			(1.74	)			(1.77	)			(1.87	)			(2.61	)			(0.30	)

Net asset value, end of period		$	14.91			$	15.41			$	15.14			$	13.79			$	16.61			$	17.27			$	14.93			$	15.42			$	15.16			$	13.76			$	16.58			$	17.24

Total Return^(b)			5.06	%**			13.76	%			23.59	%			(6.17	)%			12.18	%			21.11	%			5.15	%**			13.74	%			23.69	%			(6.10	)%			12.27	%			21.21	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	81,047			$	77,297			$	109,726			$	194,615			$	286,934			$	488,982			$	38,064			$	36,025			$	16,707			$	513,751			$	431,841			$	288,782
Net expenses to average daily net assets^(c)			0.46	%*			0.46	%			0.46	%			0.46	%			0.46	%			0.46	%^(d)			0.41	%*			0.41	%			0.41	%			0.41	%			0.41	%			0.41	%^(d)
Net investment income (loss) to average daily net assets^(a)			1.46	%*			1.78	%			1.80	%			1.57	%			1.59	%			1.71	%			1.51	%*			1.94	%			1.73	%			1.65	%			1.63	%			1.75	%
Portfolio turnover rate			47	%**^(e)			79	%^(e)			66	%^(e)			89	%			67	%			74	%			47	%**^(e)			79	%^(e)			66	%^(e)			89	%			67	%			74	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%			0.03	%*			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%

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

^(b)

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

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

^(e)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 55%, 100% and 91%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


86		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. EQUITY FUND (FORMERLY U.S. EQUITY ALLOCATION FUND) (continued)


	Class V Shares																				Class VI Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28, 2018				Period from August 9, 2016 through February 28, 2017				Period from March 1, 2014 through July 30, 2014^(a)				Period from January 21, 2014 (commencement of operations) through February 28, 2014				Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28, 2018				Period from August 9, 2016 through February 28, 2017				Period from March 1, 2014 through July 30, 2014^(a)								Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	15.35			$	15.09			$	14.95			$	17.24			$	17.17			$	15.31			$	15.06			$	13.73			$	16.54			$	17.21			$	14.47

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.12				0.29				0.16				0.12				0.04				0.12				0.29				0.27				0.26				0.30				0.30
Net realized and unrealized gain (loss)			0.62				1.71				1.50				0.90				0.03				0.63				1.71				2.89				(1.19	)			1.65				2.74

Total from investment operations			0.74				2.00				1.66				1.02				0.07				0.75				2.00				3.16				(0.93	)			1.95				3.04

Less distributions to shareholders:
From net investment income			(0.06	)			(0.29	)			(0.19	)			(0.04	)			—				(0.07	)			(0.30	)			(0.36	)			(0.28	)			(0.33	)			(0.30	)
From net realized gains			(1.18	)			(1.45	)			(1.33	)			(0.43	)			—				(1.18	)			(1.45	)			(1.47	)			(1.60	)			(2.29	)			—

Total distributions			(1.24	)			(1.74	)			(1.52	)			(0.47	)			—				(1.25	)			(1.75	)			(1.83	)			(1.88	)			(2.62	)			(0.30	)

Net asset value, end of period		$	14.85			$	15.35			$	15.09			$	17.79			$	17.24			$	14.81			$	15.31			$	15.06			$	13.73			$	16.54			$	17.21

Total Return^(c)			5.10	%**			13.84	%			11.37	%**			5.88	%**			0.39	%**			5.13	%**			13.84	%			23.68	%			(6.02	)%			12.28	%			21.14	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	61,864			$	60,386			$	164,652			$	220,333			$	259,581			$	843,142			$	1,200,008			$	1,469,935			$	3,838,628			$	6,031,361			$	7,082,304
Net expenses to average daily net assets^(e)			0.40	%			0.40	%			0.40	%*			0.40	%*			0.40	%*^(d)			0.37	%*			0.37	%			0.37	%			0.37	%			0.37	%			0.37	%^(d)
Net investment income (loss) to average daily net assets^(b)			1.53	%*			1.88	%			1.93	%*			1.69	%*			1.97	%*			1.57	%*			1.88	%			1.87	%			1.68	%			1.70	%			1.85	%
Portfolio turnover rate			47	%**^(f)			79	%^(f)			66	%^(f)**			34	%**^(g)			74	%**			47	%**^(f)			79	%^(f)			66	%^(f)			89	%			67	%			74	%
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets:			0.03	%*			0.02	%			0.02	%*			0.02	%*			0.01	%*			0.03	%*			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%

^(a)	The class was inactive from July 31, 2014 to August 8, 2016.

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

^(c)

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

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

^(f)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018, the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 55%, 100% and 91%, respectively, of the average value of its portfolio.

^(g)	Calculation represents portfolio turnover of the fund for the period ended July 30, 2014.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		87

GMO Trust Funds

Notes to Financial Statements

August 31, 2018 (Unaudited)

1.	Organization

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

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO. The Funds may also invest in other GMO Funds (“underlying funds”). The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.

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



Fund Name	Benchmark	Investment Objective
Climate Change Fund	Not Applicable	High total return
Emerging Domestic Opportunities Fund	Not Applicable	Total Return
Emerging Markets Fund	S&P/IFCI Composite Index	Total return in excess of benchmark
Foreign Small Companies Fund	S&P Developed ex-U.S. Small Cap Index	Total return in excess of benchmark
International Equity Fund	Not Applicable	High total return
International Large/Mid Cap Equity Fund	Not Applicable	High total return
Quality Fund	Not Applicable	Total return
Resources Fund	Not Applicable	Total return
Risk Premium Fund	Not Applicable	Total return
Tax-Managed International Equities Fund	Not Applicable	High after-tax total return
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)	Not Applicable	High total return

International Large/Mid Cap Equity Fund currently limits subscriptions.

2.	Significant accounting policies

Portfolio valuation

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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 or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2018, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

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

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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%	§		65%
Emerging Domestic Opportunities Fund		—			66%
Emerging Markets Fund		< 1%			87%
Foreign Small Companies Fund		—			91%
International Equity Fund		0%	§		95%
International Large/Mid Cap Equity Fund		0%	§		90%
Quality Fund		—			16%
Resources Fund		0%	§		78%
Risk Premium Fund		—			(1)%
Tax-Managed International Equities Fund		0%	§		93%
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 August 31, 2018.

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

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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index 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 August 31, 2018:



Description	Level 1		Level 2		Level 3			Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	863,903	$	—	$	—		$	863,903
Australia		—		1,538,845		0	§		1,538,845
Austria		—		175,196		—			175,196
Brazil		—		1,364,026		—			1,364,026
Canada		1,441,390		—		—			1,441,390
China		—		4,689,326		—			4,689,326
Denmark		—		4,020,894		—			4,020,894
Finland		—		209,687		—			209,687
France		—		6,661,254		—			6,661,254
Germany		—		4,083,231		—			4,083,231
Israel		—		1,379,270		—			1,379,270
Italy		—		2,106,193		—			2,106,193
Japan		—		8,164,671		—			8,164,671
Netherlands		—		1,484,584		—			1,484,584
Norway		—		5,461,404		—			5,461,404
Pakistan		—		791,219		—			791,219
Poland		—		1,726,781		—			1,726,781
Portugal		—		864,622		—			864,622
Russia		—		4,305,631		—			4,305,631
South Africa		—		72,025		—			72,025
South Korea		—		1,288,376		—			1,288,376
Spain		—		2,665,308		—			2,665,308
Sweden		—		927,482		—			927,482
Switzerland		—		203,781		—			203,781
Taiwan		—		180,441		—			180,441
Thailand		—		112,820		—			112,820
Ukraine		—		579,102		—			579,102
United Kingdom		—		2,478,315		—			2,478,315
United States		23,860,088		—		—			23,860,088

TOTAL COMMON STOCKS		26,165,381		57,534,484		0	§		83,699,865

Preferred Stocks
Chile		3,229,838		—		—			3,229,838

TOTAL PREFERRED STOCKS		3,229,838		—		—			3,229,838

MUTUAL FUNDS
United States		1,665,159		—		—			1,665,159

TOTAL MUTUAL FUNDS		1,665,159		—		—			1,665,159

Short-Term Investments		253,712		—		—			253,712

Total Investments		31,314,090		57,534,484		0	§		88,848,574

Total	$	31,314,090	$	57,534,484	$	0	§	$	88,848,574

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1		Level 2		Level 3		Total
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Belgium	$	9,267,062	$	—	$	—	$	9,267,062
Brazil		—		32,346,936		—		32,346,936
China		89,357,783		161,641,799		—		250,999,582
France		—		31,294,420		—		31,294,420
Hong Kong		—		67,755,077		—		67,755,077
India		—		248,425,041		21,310,628		269,735,669
Indonesia		—		17,202,988		—		17,202,988
Mexico		15,558,606		—		—		15,558,606
Peru		10,831,670		—		—		10,831,670
Philippines		—		49,859,667		—		49,859,667
Russia		—		17,075,814		—		17,075,814
South Africa		—		8,586,130		—		8,586,130
South Korea		—		8,932,802		—		8,932,802
Switzerland		—		40,533,572		—		40,533,572
Taiwan		—		127,235,031		—		127,235,031
Thailand		—		69,237,591		—		69,237,591
United Kingdom		—		99,966,218		—		99,966,218
United States		14,342,302		—		—		14,342,302

TOTAL COMMON STOCKS		139,357,423		980,093,086		21,310,628		1,140,761,137

Preferred Stocks
Brazil		—		39,075,253		—		39,075,253

TOTAL PREFERRED STOCKS		—		39,075,253		—		39,075,253

Investment Funds
Brazil		10,368,035		—		—		10,368,035
China		24,425,118		9,846,832		—		34,271,950
Mexico		16,199,412		—		—		16,199,412
Taiwan		96,038,494		—		—		96,038,494
Thailand		—		36,827,694		—		36,827,694
United States		101,996,421		—		—		101,996,421

TOTAL INVESTMENT FUNDS		249,027,480		46,674,526		—		295,702,006

Debt Obligations
Brazil		—		17,630,237		—		17,630,237

TOTAL DEBT OBLIGATIONS		—		17,630,237		—		17,630,237

Mutual Funds
United States		55,855,727		—		—		55,855,727

TOTAL MUTUAL FUNDS		55,855,727		—		—		55,855,727

Short-Term Investments		53,932,004		—		—		53,932,004

Total Investments		498,172,634		1,083,473,102		21,310,628		1,602,956,364

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		1,641,047		—		1,641,047

Total	$	498,172,634	$	1,085,114,149	$	21,310,628	$	1,604,597,411

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1			Level 2			Level 3		Total
Emerging Domestic Opportunities Fund (continued)
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(2,116,950	)	$	—	$	(2,116,950	)
Futures Contracts
Equity Risk		(512,178	)		—			—		(512,178	)
Swap Contracts
Equity Risk		—			(915,351	)		—		(915,351	)

Total	$	(512,178	)	$	(3,032,301	)	$	—	$	(3,544,479	)


Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	19,866,098		$	49,031,052		$	—	$	68,897,150
Chile		—			2,896,859			—		2,896,859
China		54,222,542			683,506,573			678,957		738,408,072
Colombia		6,204,037			—			—		6,204,037
Czech Republic		—			5,888,384			—		5,888,384
Egypt		—			376,942			—		376,942
India		—			141,222,269			—		141,222,269
Indonesia		969,807			99,930,464			—		100,900,271
Malaysia		—			3,965,858			—		3,965,858
Mexico		114,134,844			—			—		114,134,844
Pakistan		—			5,407,816			—		5,407,816
Peru		2,834,260			—			—		2,834,260
Philippines		—			38,824,888			—		38,824,888
Poland		—			89,301,847			—		89,301,847
Qatar		—			50,112,900			—		50,112,900
Russia		40,589,944			488,396,922			—		528,986,866
South Africa		726,310			174,403,751			—		175,130,061
South Korea		—			206,127,973			—		206,127,973
Sri Lanka		—			834,693			—		834,693
Taiwan		63,284,914			697,464,962			—		760,749,876
Thailand		—			208,820,140			—		208,820,140
Turkey		—			165,902,233			—		165,902,233
United Arab Emirates		—			28,698,145			—		28,698,145
United Kingdom		—			23,358,099			—		23,358,099

TOTAL COMMON STOCKS		302,832,756			3,164,472,770			678,957		3,467,984,483

Preferred Stocks
Brazil		—			14,431,509			—		14,431,509
Colombia		230,371			—			—		230,371
Russia		—			13,239,659			—		13,239,659
South Korea		—			62,268,870			—		62,268,870
Taiwan		—			1,224,107			—		1,224,107

TOTAL PREFERRED STOCKS		230,371			91,164,145			—		91,394,516

Investment Funds
Russia		—			—			99,022		99,022
Thailand		—			9,335,665			—		9,335,665
United States		70,250,843			—			—		70,250,843

TOTAL INVESTMENT FUNDS		70,250,843			9,335,665			99,022		79,685,530

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1			Level 2		Level 3		Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	84,508,659		$	—	$	—	$	84,508,659

TOTAL MUTUAL FUNDS		84,508,659			—		—		84,508,659

Short-Term Investments		5,016,432			—		—		5,016,432

Total Investments		462,839,061			3,264,972,580		777,979		3,728,589,620

Derivatives^
Swap Contracts
Equity Risk		—			770,262		—		770,262

Total	$	462,839,061		$	3,265,742,842	$	777,979	$	3,729,359,882

Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(20,827,310	)	$	—	$	—	$	(20,827,310	)


Foreign Small Companies Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	655,200	$	—	$	655,200
Austria		—			264,184		—		264,184
Belgium		—			237,571		—		237,571
Brazil		—			61,083		—		61,083
Canada		1,184,893			—		—		1,184,893
China		—			437,590		—		437,590
Finland		—			237,031		—		237,031
France		—			1,087,797		—		1,087,797
Germany		—			1,185,595		—		1,185,595
Hong Kong		—			372,335		—		372,335
India		—			444,715		—		444,715
Indonesia		—			19,792		—		19,792
Italy		—			542,185		—		542,185
Japan		—			5,016,194		—		5,016,194
Malaysia		—			328,821		—		328,821
Norway		—			215,129		—		215,129
Poland		—			32,942		—		32,942
Portugal		—			159,531		—		159,531
Singapore		—			441,021		—		441,021
South Africa		—			108,694		—		108,694
South Korea		—			1,438,841		—		1,438,841
Spain		—			435,300		—		435,300
Sweden		—			545,415		—		545,415
Switzerland		—			1,099,644		—		1,099,644
Taiwan		—			550,481		—		550,481
Turkey		—			3,730		—		3,730
United Kingdom		—			2,928,242		—		2,928,242

TOTAL COMMON STOCKS		1,184,893			18,849,063		—		20,033,956

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1			Level 2		Level 3			Total
Foreign Small Companies Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Germany	$	—		$	37,353	$	—		$	37,353

TOTAL PREFERRED STOCKS		—			37,353		—			37,353

Mutual Funds
United States		639,328			—		—			639,328

TOTAL MUTUAL FUNDS		639,328			—		—			639,328

Short-Term Investments		45,712			—		—			45,712

Total Investments		1,869,933			18,886,416		—			20,756,349

Total	$	1,869,933		$	18,886,416	$	—		$	20,756,349

Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(4,801	)	$	—	$	—		$	(4,801	)


International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	196,293,815	$	—		$	196,293,815
Austria		—			32,202,810		—			32,202,810
Belgium		—			20,676,512		—			20,676,512
Denmark		20,549,471			46,779,327		—			67,328,798
Finland		—			8,356,342		—			8,356,342
France		47,013,705			268,800,445		—			315,814,150
Germany		—			465,551,416		—			465,551,416
Hong Kong		—			137,032,866		—			137,032,866
Ireland		7,869,895			—		—			7,869,895
Israel		—			9,614,025		—			9,614,025
Italy		77,915,929			109,730,379		—			187,646,308
Japan		—			1,107,233,813		—			1,107,233,813
Malta		—			—		0	§		0	§
Netherlands		—			109,299,597		—			109,299,597
New Zealand		—			1,688,219		—			1,688,219
Norway		—			149,062,582		—			149,062,582
Portugal		—			4,929,415		—			4,929,415
Singapore		—			14,432,477		—			14,432,477
Spain		—			29,215,857		—			29,215,857
Sweden		—			231,195,330		—			231,195,330
Switzerland		—			205,499,550		—			205,499,550
United Kingdom		17,478,661			602,716,984		—			620,195,645

TOTAL COMMON STOCKS		170,827,661			3,750,311,761		0	§		3,921,139,422

Preferred Stocks
Germany		—			25,075,689		—			25,075,689

TOTAL PREFERRED STOCKS		—			25,075,689		—			25,075,689

Mutual Funds
United States		22,343,940			—		—			22,343,940

TOTAL MUTUAL FUNDS		22,343,940			—		—			22,343,940

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1			Level 2		Level 3			Total
International Equity Fund (continued)
Asset Valuation Inputs (continued)
Short-Term Investments	$	9,905,611		$	—	$	—		$	9,905,611

Total Investments		203,077,212			3,775,387,450		0	§		3,978,464,662

Total	$	203,077,212		$	3,775,387,450	$	0	§	$	3,978,464,662

Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(323,533	)	$	—	$	—		$	(323,533	)


International Large/Mid Cap Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	675,605	$	—		$	675,605
Austria		—			373,667		—			373,667
Belgium		—			5,471		—			5,471
Denmark		73,755			195,379		—			269,134
Finland		—			352,494		—			352,494
France		305,319			1,392,707		—			1,698,026
Germany		—			1,607,310		—			1,607,310
Hong Kong		—			1,123,761		—			1,123,761
Ireland		119,216			—		—			119,216
Israel		9,164			—		—			9,164
Italy		402,085			407,459		—			809,544
Japan		—			5,216,530		—			5,216,530
Malta		—			—		0	§		0	§
Netherlands		—			711,751		—			711,751
Norway		—			180,591		—			180,591
Singapore		—			134,684		—			134,684
Sweden		—			760,650		—			760,650
Switzerland		—			1,067,178		—			1,067,178
United Kingdom		148,959			2,924,586		—			3,073,545

TOTAL COMMON STOCKS		1,058,498			17,129,823		0	§		18,188,321

Preferred Stocks
Germany		—			294,645		—			294,645

TOTAL PREFERRED STOCKS		—			294,645		—			294,645

MUTUAL FUNDS
United States		477,713			—		—			477,713

TOTAL MUTUAL FUNDS		477,713			—		—			477,713

Short-Term Investments		69,503			—		—			69,503

Total Investments		1,605,714			17,424,468		0	§		19,030,182

Derivatives^
Futures Contracts
Equity Risk		218			—		—			218

Total	$	1,605,932		$	17,424,468	$	0	§	$	19,030,400

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1		Level 2		Level 3			Total
Quality Fund
Asset Valuation Inputs
Common Stocks
Germany	$	—	$	128,766,730	$	—		$	128,766,730
Switzerland		—		405,574,879		—			405,574,879
Taiwan		—		153,830,965		—			153,830,965
United Kingdom		—		486,607,812		—			486,607,812
United States		5,858,915,409		—		—			5,858,915,409

TOTAL COMMON STOCKS		5,858,915,409		1,174,780,386		—			7,033,695,795

Mutual Funds
United States		51,094,345		—		—			51,094,345

TOTAL MUTUAL FUNDS		51,094,345		—		—			51,094,345

Short-Term Investments		102,545,284		—		—			102,545,284

Total Investments		6,012,555,038		1,174,780,386		—			7,187,335,424

Total	$	6,012,555,038	$	1,174,780,386	$	—		$	7,187,335,424


Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	4,632,183	$	—	$	—		$	4,632,183
Australia		—		20,723,213		—			20,723,213
Austria		—		3,035,169		—			3,035,169
Brazil		—		4,332,127		—			4,332,127
Canada		4,155,285		—		—			4,155,285
China		—		10,223,636		—			10,223,636
Colombia		3,508,590		—		—			3,508,590
Denmark		—		9,053,042		—			9,053,042
Finland		—		654,902		—			654,902
France		—		20,610,909		—			20,610,909
Germany		—		3,285,586		—			3,285,586
Hungary		—		2,521,762		—			2,521,762
India		—		2,422,556		—			2,422,556
Israel		—		11,201,189		—			11,201,189
Italy		—		1,743,179		—			1,743,179
Japan		—		23,923,104		—			23,923,104
Netherlands		—		1,397,628		—			1,397,628
Norway		—		36,193,972		—			36,193,972
Pakistan		—		3,515,167		—			3,515,167
Poland		—		8,501,842		—			8,501,842
Qatar		—		443,339		—			443,339
Russia		—		54,351,387		—			54,351,387
Singapore		—		190,370		0	§		190,370
South Africa		—		6,843,833		—			6,843,833
South Korea		—		3,503,476		—			3,503,476
Spain		—		7,897,629		—			7,897,629
Sweden		—		9,974,379		—			9,974,379
Switzerland		—		371,751		—			371,751
Thailand		—		9,817,774		—			9,817,774
Turkey		—		1,005,901		—			1,005,901
Ukraine		—		3,079,756		—			3,079,756

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1			Level 2			Level 3			Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
United Kingdom	$	—		$	61,334,900		$	—		$	61,334,900
United States		61,766,469			—			—			61,766,469

TOTAL COMMON STOCKS		74,062,527			322,153,478			0	§		396,216,005

Preferred Stocks
Brazil		—			15,156,258			—			15,156,258
Chile		14,014,940			—			—			14,014,940
Russia		—			9,034,194			—			9,034,194

TOTAL PREFERRED STOCKS		14,014,940			24,190,452			—			38,205,392

Rights/Warrants
Australia		—			51,265			—			51,265
Singapore		—			—			0	§		0	§

TOTAL RIGHTS/WARRANTS		—			51,265			0	§		51,265

Mutual Funds
United States		10,640,570			—			—			10,640,570

TOTAL MUTUAL FUNDS		10,640,570			—			—			10,640,570

Short-Term Investments		751,939			—			—			751,939

Total Investments		99,469,976			346,395,195			0	§		445,865,171

Total	$	99,469,976		$	346,395,195		$	0	§	$	445,865,171


Risk Premium Fund
Asset Valuation Inputs
Debt Obligations
United States	$	239,009,216		$	—		$	—		$	239,009,216

TOTAL DEBT OBLIGATIONS		239,009,216			—			—			239,009,216

Short-Term Investments		277,418,579			—			—			277,418,579

Total Investments		516,427,795			—			—			516,427,795

Total	$	516,427,795		$	—		$	—		$	516,427,795

Liability Valuation Inputs
Derivatives^
Written Options
Equity Risk	$	(1,531,680	)	$	(1,639,580	)	$	—		$	(3,171,260	)


Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	2,005,660		$	—		$	2,005,660
Austria		—			858,699			—			858,699
Belgium		—			147,613			—			147,613
Brazil		—			283,087			—			283,087
Canada		891,231			—			—			891,231
China		73,977			1,614,813			—			1,688,790

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1		Level 2		Level 3			Total
Tax-Managed International Equities Fund (continued)
Asset Valuation Inputs (continued)
Colombia	$	61,020	$	—	$	—		$	61,020
Denmark		34,419		209,033		—			243,452
Finland		—		490,667		—			490,667
France		243,543		3,517,233		—			3,760,776
Germany		—		4,564,506		—			4,564,506
Greece		—		5,595		—			5,595
Hong Kong		—		1,917,974		—			1,917,974
Hungary		—		93,755		—			93,755
India		—		430,716		—			430,716
Ireland		—		252,797		—			252,797
Italy		737,441		1,652,326		—			2,389,767
Japan		—		12,906,142		—			12,906,142
Malaysia		—		19,508		—			19,508
Malta		—		—		0	§		0	§
Mexico		190,029		—		—			190,029
Netherlands		—		808,252		—			808,252
New Zealand		—		13,840		—			13,840
Norway		—		764,016		—			764,016
Poland		—		2,447		—			2,447
Portugal		—		20,514		—			20,514
Russia		—		127,732		—			127,732
Singapore		—		475,970		—			475,970
South Africa		—		425,569		—			425,569
South Korea		41,616		635,672		—			677,288
Spain		—		285,956		—			285,956
Sweden		—		2,688,220		—			2,688,220
Switzerland		—		2,374,135		—			2,374,135
Taiwan		—		441,069		—			441,069
Thailand		—		129,099		—			129,099
Turkey		—		85,778		—			85,778
United Kingdom		58,380		7,471,504		—			7,529,884

TOTAL COMMON STOCKS		2,331,656		47,719,897		0	§		50,051,553

Preferred Stocks
Brazil		—		232,457		—			232,457
Germany		—		652,644		—			652,644
South Korea		—		168,181		—			168,181

TOTAL PREFERRED STOCKS		—		1,053,282		—			1,053,282

Rights/Warrants
Thailand		1,003		—		—			1,003

TOTAL RIGHTS/WARRANTS		1,003		—		—			1,003

Mutual Funds
United States		1,001,983		—		—			1,001,983

TOTAL MUTUAL FUNDS		1,001,983		—		—			1,001,983

Short-Term Investments		105,298		—		—			105,298

Total Investments		3,439,940		48,773,179		0	§		52,213,119

Total	$	3,439,940	$	48,773,179	$	0	§	$	52,213,119

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1			Level 2		Level 3		Total
Tax-Managed International Equities Fund (continued)
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(20,885	)	$	—	$	—	$	(20,885	)


U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
Asset Valuation Inputs
Common Stocks	$	1,018,312,490		$	—	$	—	$	1,018,312,490
Mutual Funds		9,072,109			—		—		9,072,109
Short-Term Investments		1,255,731			—		—		1,255,731

Total Investments		1,028,640,330			—		—		1,028,640,330

Total	$	1,028,640,330		$	—	$	—	$	1,028,640,330

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 August 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’ Notes to Financial Statements.

For all Funds for the period ended August 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 August 31, 2018			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 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	$	—	$	—	$	—	$	—	$	(5,823,180	)	$	—	$	(316,306	)‡	$	21,310,628		$	(4,991,589	)

Total	$	27,450,114	$	—	$	—	$	—	$	—	$	(5,823,180	)	$	—	$	(316,306	)	$	21,310,628		$	(4,991,589	)

100

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



	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 August 31, 2018			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2018
Emerging Markets Fund
Common Stocks
China	$	680,939	$	—	$	—		$	—	$	—	$	(1,982	)	$	—	$	—		$	678,957		$	(1,982	)
India		1,802,252		—		—			—		—		(1,305,638	)		—		(496,614	)‡		—			—

Total	$	2,483,191	$	—	$	—		$	—	$	—	$	(1,307,620	)	$	—	$	(496,614	)	$	678,957		$	(1,982	)

Investment Funds
India	$	98,736	$	—	$	(289,993	)	$	—	$	289,993	$	(98,736	)	$	—	$	—		$	—		$	—
Russia		2,704,993		—		(2,217,163	)		—		—	$	(388,808	)		—		—			99,022			(388,808	)

Total Investment Funds	$	2,803,729	$	—	$	(2,507,156	)	$	—	$	289,993	$	(487,544	)	$	—	$	—		$	99,022		$	(388,808	)

Total	$	5,286,920	$	—	$	(2,507,156	)	$	—	$	289,993	$	(1,795,164	)	$	—	$	(496,614	)	$	777,979		$	(390,790	)


Resources Fund
Common Stocks
Singapore	$	197,420	$	—	$	—		$	—	$	—	$	(7,050	)	$	—	$	(190,370	)‡	$	0	§	$	(7,050	)

Total	$	197,420	$	—	$	—		$	—	$	—	$	(7,050	)	$	—	$	(190,370	)	$	0	§	$	(7,050	)


Tax-Managed International Equities Fund
Rights/Warrants
Brazil	$	1,369	$	—	$	0		$	—	$	0	$	(1,369	)	$	—	$	—		$	—		$	—

Total	$	1,369	$	—	$	0		$	—	$	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.

‡

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

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

101

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



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		0%	§
Risk Premium Fund		—
Tax-Managed International Equities Fund		0%	§
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)		—

Includes Dixon Technologies India Ltd, which represents 0.89% of the Fund’s total net assets and is valued using the exchange last traded price and is restricted from sale until September 14, 2018.

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

Cash

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

Due to/from broker

Foreign currency translation

Taxes and distributions

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

102

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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

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

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

As of February 28, 2018, certain Funds elected to defer to March 1, 2018 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:



Fund Name	Late-Year Ordinary Loss Deferral ($)		Post-October Capital Losses ($)
Climate Change Fund		—		—
Emerging Domestic Opportunities Fund		(2,255,504)		—
Emerging Markets Fund		(3,555,452)		—
Foreign Small Companies Fund		—		—
International Equity Fund		—		—
International Large/Mid Cap Equity Fund		—		—
Quality Fund		—		—
Resources Fund		—		(74,843)
Risk Premium Fund		—		(3,798,674)
Tax-Managed International Equities Fund		—		—
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)		—		—

103

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2018, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:



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

Fund Name	No Expiration Date		No Expiration Date
Climate Change Fund		—		—
Emerging Domestic Opportunities Fund		—		—
Emerging Markets Fund		(128,012,850)		(1,321,484,489)
Foreign Small Companies Fund		—		—
International Equity Fund		(692,086,892)		(425,794,508)
International Large/Mid Cap Equity Fund		—		—
Quality Fund		—		—
Resources Fund		(20,440,224)		(24,899,575)
Risk Premium Fund		—		—
Tax-Managed International Equities Fund		(15,390,229)		—
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)		—		—


	Total Investments								Outstanding Financial Instruments

Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Climate Change Fund		91,965,273		2,941,355		(6,058,054)		(3,116,699)		—
Emerging Domestic Opportunities Fund		1,724,389,763		54,440,496		(175,873,895)		(121,433,399)		(1,903,432)
Emerging Markets Fund		3,769,577,233		342,006,251		(382,993,864)		(40,987,613)		(20,057,048)
Foreign Small Companies Fund		21,293,934		1,848,693		(2,386,278)		(537,585)		(4,801)
International Equity Fund		3,823,310,236		384,838,215		(229,683,789)		155,154,426		(323,533)
International Large/Mid Cap Equity Fund		18,478,776		1,615,106		(1,063,700)		551,406		218
Quality Fund		4,689,812,376		2,514,712,432		(17,189,384)		2,497,523,048		—
Resources Fund		400,982,923		60,697,843		(15,815,595)		44,882,248		—
Risk Premium Fund		516,420,667		51,620		(44,492)		7,128		911,915
Tax-Managed International Equities Fund		38,071,842		15,080,451		(939,174)		14,141,277		(20,885)
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)		921,649,177		126,361,287		(19,370,134)		106,991,153		—

104

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws and tax legislation/initiatives currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.

Security transactions and related investment income

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

Expenses and class allocations

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian and fund accounting agent except for Emerging Markets Fund’s holdings in Indian assets, for which Brown Brothers Harriman & Co. (“BBH”) serves as custodian. Prior to November 3, 2017, BBH served as the Funds’ custodian and fund accounting agent except for Climate Change Fund, Quality Fund, U.S. Equity Allocation Fund and Risk Premium Fund. State Street serves as the transfer agent for all Funds. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations. Any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

105

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

As of August 31, 2018, the premium on cash purchases and the fee on cash redemptions were as follows:



	Climate Change Fund	Emerging Domestic Opportunities Fund	Emerging Markets Fund	Foreign Small Companies Fund	International Equity Fund	International Large/Mid Cap Equity Fund	Quality Fund	Resources Fund	Risk Premium Fund^(a)	Tax-Managed International Equities Fund	U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
Purchase Premium	—	0.80%	0.80%	0.50%	—	—	—	0.30%	—	—	—
Redemption Fee	—	0.80%	0.80%	0.50%	—	—	—	0.30%	—	—	—

^(a)

Prior to May 18, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.15% of the amount invested or redeemed.

Recently-issued accounting guidance

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 0.10% of the Fund’s total net assets as of August 31, 2018 and is included within miscellaneous payable within the Statements of Assets and Liabilities. The effect of this claim on the value of the restricted assets, and all matters relating to EMF’s response to these allegations, are subject to the supervision and control of GMO Trust’s Board of Trustees. Any costs in respect of this matter will be borne by EMF.

106

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

3.	Investment and other risks

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

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

Counterparty Risk

Credit Risk

Currency Risk

Derivatives and Short Sales Risk

Focused Investment Risk

Fund of Funds Risk

Illiquidity Risk

Large Shareholder Risk

Leveraging Risk

Management and Operational Risk

Market Disruption and Geopolitical Risk

Market Risk – Equities

Market Risk – Fixed Income

Merger Arbitrage Risk

Non-Diversified Funds

Non-U.S. Investment Risk

Small Company Risk

107

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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).

108

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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.

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.

109

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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.”

• 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.

110

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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

111

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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.

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.

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.

112

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

• 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.

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

113

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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.

114

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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

115

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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.

• 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 changes in tax legislation and regulation.

116

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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 in 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. Considerable uncertainty exists over 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 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.

117

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

• 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.

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.

118

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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

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

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 Domestic Opportunities Fund

•

Emerging Markets 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.

119

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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.

• 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.

120

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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

4.	Derivative financial instruments

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.

121

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

For Funds that held derivatives during the period ended August 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

Futures contracts

Adjust exposure to certain securities markets

Maintain the diversity and liquidity of the portfolio

Options (Written)

Substitute for direct equity investment

Swap contracts

Substitute for direct equity investment

Achieve returns comparable to holding and lending a direct equity position

Rights and/or warrants

Received as a result of corporate actions

Forward currency contracts

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

122

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

Futures contracts

Options

Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using industry models and inputs provided by primary pricing sources.

123

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

Swap contracts

124

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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.

Rights and warrants

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2018 and the Statements of Operations for the period ended August 31, 2018^:



	Credit Contracts		Equity Contracts		Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Climate Change Fund
Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	8	$	—	$	—	$	—	$	8

Total	$	—	$	8	$	—	$	—	$	—	$	8


Emerging Domestic Opportunities Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—	$	1,641,047	$	—	$	—	$	1,641,047

Total	$	—	$	—	$	1,641,047	$	—	$	—	$	1,641,047

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

Total subject to Master Agreements	$	—	$	—	$	1,641,047	$	—	$	—	$	1,641,047

125

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Emerging Domestic Opportunities Fund (continued)
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(2,116,950	)	$	—	$	—	$	(2,116,950	)
Unrealized Depreciation on Futures Contracts¤		—		(512,178	)		—			—		—		(512,178	)
Swap Contracts, at value¤		—		(915,351	)		—			—		—		(915,351	)

Total	$	—	$	(1,427,529	)	$	(2,116,950	)	$	—	$	—	$	(3,544,479	)

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

Total subject to Master Agreements	$	—	$	(1,427,529	)	$	(2,116,950	)	$	—	$	—	$	(3,544,479	)

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	2,156,918		$	—		$	—	$	—	$	2,156,918
Investments (fully funded total return swaps)		—		8,328,170			—			—		—		8,328,170
Forward Currency Contracts		—		—			1,448,654			—		—		1,448,654
Futures Contracts		—		(16,688,997	)		—			—		—		(16,688,997	)
Swap Contracts		—		3,292,430			—			—		—		3,292,430

Total	$	—	$	(2,911,479	)	$	1,448,654		$	—	$	—	$	(1,462,825	)

Change in Net Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	(1,789,923	)	$	—		$	—	$	—	$	(1,789,923	)
Investments (fully funded total return swaps)¤		—		(9,632,908	)		—			—		—		(9,632,908	)
Forward Currency Contracts		—		—			(2,831,675	)		—		—		(2,831,675	)
Futures Contracts		—		624,073			—			—		—		624,073
Swap Contracts		—		(915,351	)		—			—		—		(915,351	)

Total	$	—	$	(11,714,109	)	$	(2,831,675	)	$	—	$	—	$	(14,545,784	)


Emerging Markets Fund
Asset Derivatives
Swap Contracts, at value¤	$	—	$	770,262		$	—		$	—	$	—	$	770,262

Total	$	—	$	770,262		$	—		$	—	$	—	$	770,262

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

Total subject to Master Agreements	$	—	$	770,262		$	—		$	—	$	—	$	770,262


Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—	$	(20,827,310	)	$	—		$	—	$	—	$	(20,827,310	)

Total	$	—	$	(20,827,310	)	$	—		$	—	$	—	$	(20,827,310	)

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

Total subject to Master Agreements	$	—	$	(20,827,310	)	$	—		$	—	$	—	$	(20,827,310	)

Net Realized Gain (Loss) on
Futures Contracts	$	—	$	5,417,937		$	—		$	—	$	—	$	5,417,937
Swap Contracts		—		(1,933,685	)		—			—		—		(1,933,685	)

Total	$	—	$	3,484,252		$	—		$	—	$	—	$	3,484,252

Change in Net Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	(423,736	)	$	—		$	—	$	—	$	(423,736	)
Futures Contracts		—		(38,650,166	)		—			—		—		(38,650,166	)
Swap Contracts		—		334,321			—			—		—		334,321

Total	$	—	$	(38,739,581	)	$	—		$	—	$	—	$	(38,739,581	)

126

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Foreign Small Companies Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—	$	(4,801	)	$	—	$	—	$	—	$	(4,801	)

Total	$	—	$	(4,801	)	$	—	$	—	$	—	$	(4,801	)

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

Total subject to Master Agreements	$	—	$	(4,801	)	$	—	$	—	$	—	$	(4,801	)

Net Realized Gain (Loss) on
Futures Contracts	$	—	$	56,936		$	—	$	—	$	—	$	56,936

Total	$	—	$	56,936		$	—	$	—	$	—	$	56,936

Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	28,047		$	—	$	—	$	—	$	28,047

Total	$	—	$	28,047		$	—	$	—	$	—	$	28,047


International Equity Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—	$	(323,533	)	$	—	$	—	$	—	$	(323,533	)

Total	$	—	$	(323,533	)	$	—	$	—	$	—	$	(323,533	)

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

Total subject to Master Agreements	$	—	$	(323,533	)	$	—	$	—	$	—	$	(323,533	)

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	624,176		$	—	$	—	$	—	$	624,176
Futures Contracts		—		1,598,326			—		—		—		1,598,326

Total	$	—	$	2,222,502		$	—	$	—	$	—	$	2,222,502

Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	(318,157	)	$	—	$	—	$	—	$	(318,157	)

Total	$	—	$	(318,157	)	$	—	$	—	$	—	$	(318,157	)


International Large/Mid Cap Equity Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	—	$	218		$	—	$	—	$	—	$	218

Total	$	—	$	218		$	—	$	—	$	—	$	218

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

Total subject to Master Agreements	$	—	$	218		$	—	$	—	$	—	$	218

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	3,964		$	—	$	—	$	—	$	3,964
Futures Contracts		—		(44,252	)		—		—		—		(44,252	)

Total	$	—	$	(40,288	)	$	—	$	—	$	—	$	(40,288	)

Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	24,622		$	—	$	—	$	—	$	24,622

Total	$	—	$	24,622		$	—	$	—	$	—	$	24,622

127

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Resources Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	51,265		$	—	$	—	$	—	$	51,265

Total	$	—	$	51,265		$	—	$	—	$	—	$	51,265

Derivatives not subject to Master Agreements	$	—	$	51,265		$	—	$	—	$	—	$	51,265

Total subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	9,123		$	—	$	—	$	—	$	9,123

Total	$	—	$	9,123		$	—	$	—	$	—	$	9,123

Change in Net Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	51,265		$	—	$	—	$	—	$	51,265

Total	$	—	$	51,265		$	—	$	—	$	—	$	51,265


Risk Premium Fund
Liability Derivatives
Written Options, at value	$	—	$	(3,171,260	)	$	—	$	—	$	—	$	(3,171,260	)

Total	$	—	$	(3,171,260	)	$	—	$	—	$	—	$	(3,171,260	)

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

Total subject to Master Agreements	$	—	$	(3,171,260	)	$	—	$	—	$	—	$	(3,171,260	)

Net Realized Gain (Loss) on
Written Options	$	—	$	20,185,755		$	—	$	—	$	—	$	20,185,755

Total	$	—	$	20,185,755		$	—	$	—	$	—	$	20,185,755

Change in Net Appreciation (Depreciation) on
Written Options	$	—	$	484,900		$	—	$	—	$	—	$	484,900

Total	$	—	$	484,900		$	—	$	—	$	—	$	484,900


Tax-Managed International Equities Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	1,003		$	—	$	—	$	—	$	1,003

Total	$	—	$	1,003		$	—	$	—	$	—	$	1,003

Derivatives not subject to Master Agreements	$	—	$	1,003		$	—	$	—	$	—	$	1,003

Total subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—

Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—	$	(20,885	)	$	—	$	—	$	—	$	(20,885	)

Total	$	—	$	(20,885	)	$	—	$	—	$	—	$	(20,885	)

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

Total subject to Master Agreements	$	—	$	(20,885	)	$	—	$	—	$	—	$	(20,885	)

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	2,404		$	—	$	—	$	—	$	2,404
Futures Contracts		—		(66,891	)		—		—		—		(66,891	)

Total	$	—	$	(64,487	)	$	—	$	—	$	—	$	(64,487	)

128

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Tax-Managed International Equities Fund (continued)
Change in Net Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	(1,376	)	$	—	$	—	$	—	$	(1,376	)
Futures Contracts		—		25,864			—		—		—		25,864

Total	$	—	$	24,488		$	—	$	—	$	—	$	24,488

U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	296,689		$	—	$	—	$	—	$	296,689

Total	$	—	$	296,689		$	—	$	—	$	—	$	296,689

Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	(74,241	)	$	—	$	—	$	—	$	(74,241	)

Total	$	—	$	(74,241	)	$	—	$	—	$	—	$	(74,241	)

129

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

Emerging Domestic Opportunities Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Morgan Stanley & Co. International PLC	$	1,641,047	$	—		$	1,641,047		$	—

Total	$	1,641,047	$	—		$	1,641,047		$	—



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Goldman Sachs International	$	915,351	$	(729,596	)	$	—		$	185,755
Morgan Stanley & Co. International PLC		2,116,950		(475,903	)		(1,641,047	)		—	*

Total	$	3,032,301	$	(1,205,499	)	$	(1,641,047	)	$	185,755

Emerging Markets Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Assets
Morgan Stanley & Co. International PLC	$	770,262	$	(410,000	)	$	—	$	360,262

Total	$	770,262	$	(410,000	)	$	—	$	360,262

Risk Premium Fund



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Morgan Stanley & Co. LLC	$	3,171,260	$	(3,171,260	)	$	—	$	—	*

Total	$	3,171,260	$	(3,171,260	)	$	—	$	—

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

130

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts), market values (rights and/ or warrants) and number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2018:



Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)			Options (Contracts)		Rights and/or Warrants ($)
Climate Change Fund		—		—		—			—		4,343	*
Emerging Domestic Opportunities Fund		149,915,848		107,608,105		41,579,308	**		—		1,296,437
Emerging Markets Fund		—		295,978,200		23,860,744	**		—		99,537
Foreign Small Companies Fund		—		498,380		—			—		—
International Equity Fund		—		34,052,673		—			—		93,117
International Large/Mid Cap Equity Fund		—		697,622		—			—		608
Resources Fund		—		—		—			—		25,002
Risk Premium Fund		—		—		—			1,928		—
Tax-Managed International Equities Fund		—		875,927		—			—		1,288
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)		—		2,717,663		—			—		—

During the period ended August 31, 2018, the Fund did not hold this investment type at any month-end; therefore, the average amount outstanding was calculated using daily outstanding absolute values.

Includes fully funded total return swap average derivative activity for the period ended August 31, 2018.

5.	Fees and other transactions with affiliates

Climate
Change
Fund

Emerging
Domestic
Opportunities
Fund

Emerging
Markets
Fund

Foreign
Small
Companies
Fund

International
Equity Fund

International
Large/Mid
Cap Equity
Fund

Quality
Fund

Resources
Fund

Risk
Premium
Fund

Tax-Managed
International
Equities Fund

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

Management Fee

0.60%^(a)

0.75%

0.75%^(b)

0.60%^(c)

0.50%

0.38%

0.33%

0.50%

0.45%

0.50%

0.31%

^(a)

GMO has voluntarily agreed to reduce its annual management fee by 0.15% through December 31, 2018.

^(b)

GMO has contractually agreed to reduce, through at least June 30, 2019, its annual management fee to an annual rate of 0.65% of the fund’s average daily net asset value.

^(c)

Prior to June 30, 2017, the management fee was 0.70%. For the period from May 1, 2017 through July 31, 2017, GMO waived its management fee.

131

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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



Fund Name	Class II		Class III		Class IV			Class V			Class VI
Climate Change Fund				0.15%		0.10%	*		0.085%	*		0.055%	*
Emerging Domestic Opportunities Fund		0.22%		0.15%		0.105%			0.085%			0.055%	*
Emerging Markets Fund		0.22%		0.15%		0.105%			0.085%			0.055%
Foreign Small Companies Fund				0.15%		0.10%	*
International Equity Fund		0.22%		0.15%		0.09%
International Large/Mid Cap Equity Fund				0.15%		0.09%	*					0.055%	*
Quality Fund				0.15%		0.105%			0.085%			0.055%
Resources Fund				0.15%		0.10%			0.085%	*		0.055%	*
Risk Premium Fund				0.15%		0.10%	*		0.085%	*		0.055%
Tax-Managed International Equities Fund				0.15%
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)				0.15%		0.10%			0.085%			0.055%

Class is offered but has no shareholders as of August 31, 2018.

For each Fund, other than Climate Change Fund and Resources Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). For Climate Change Fund and Resources Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.10% of the Fund’s average daily net assets (“Expense Threshold Amount”). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO.

Subject to the exclusions noted below, “Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses. In the case of Emerging Markets Fund, “Specified Operating Expenses” does not include custody expenses, and in the case of Emerging Domestic Opportunities Fund, “Specified Operating Expenses” only includes custody expenses to the extent that they exceed 0.10% of the Fund’s average daily net assets.

For Climate Change Fund and Resources Fund, GMO is permitted to recover from the Fund, on a class-by-class basis, as applicable, the “Specified Operating Expenses” GMO has borne or reimbursed (whether through reduction of its fees or otherwise) to the extent that the Funds’ “Specified Operating Expenses” later fall below the Expense Threshold Amount or the lower expense limit in effect when GMO seeks to recover the expenses. A Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. The amount GMO is entitled to recover may not cause a Fund to exceed the Expense Threshold Amount or the lower expense limit in effect when GMO seeks recovery.

For the six month period ended August 31, 2018, GMO recouped the following previously recorded waivers and/or reimbursements.



	Recoupment Amount ($)
Resources Fund		53,546

132

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

On August 31, 2018, the waivers and/or reimbursements subject to possible future recoupment are as follows:



	Expiring year ending February 28, 2019		Expiring year ending February 29, 2020		Expiring year ending February 28, 2021
Climate Change Fund, Class III		—		—		$60,800
Resources Fund, Class III		—		—		—
Resources Fund, Class IV		—		—		$14,937

In addition, for Emerging Markets Fund only, GMO has contractually agreed to waive the shareholder service fees charged to holders of each class of shares of the Fund to the extent necessary to prevent the shareholder service fees borne by each class of shares of the Fund from exceeding the percentage of the class’s average daily net assets as follows: 0.20% for Class II shares, 0.15% for Class III shares, 0.10% of Class IV shares, 0.05% for Class V shares, and 0.02% for Class VI shares.



Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Climate Change Fund		383		18
Emerging Domestic Opportunities Fund		26,615		2,515
Emerging Markets Fund		55,844		5,107
Foreign Small Companies Fund		1,608		144
International Equity Fund		56,331		5,290
International Large/Mid Cap Equity Fund		789		20
Quality Fund		89,927		8,406
Resources Fund		4,057		374
Risk Premium Fund		1,966		171
Tax-Managed International Equities Fund		763		20
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)		15,079		1,449

133

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Indirect Interest Expense		Total Indirect Expenses
Climate Change Fund		< 0.001%		0.000%		0.000%		< 0.001%
Emerging Domestic Opportunities Fund		< 0.001%		0.000%		0.000%		< 0.001%
Emerging Markets Fund		< 0.001%		0.000%		0.000%		< 0.001%
Foreign Small Companies Fund		< 0.001%		0.000%		0.000%		< 0.001%
International Equity Fund		< 0.001%		0.000%		0.000%		< 0.001%
International Large/Mid Cap Equity Fund		< 0.001%		0.000%		0.000%		< 0.001%
Quality Fund		< 0.001%		0.000%		0.000%		< 0.001%
Resources Fund		< 0.001%		0.000%		0.000%		< 0.001%
Risk Premium Fund		0.000%		0.000%		0.000%		0.000%
Tax-Managed International Equities Fund		< 0.001%		0.000%		0.000%		< 0.001%
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)		< 0.001%		0.000%		0.000%		< 0.001%

6.	Purchases and sales of securities



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

Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Climate Change Fund		—		130,377,758		—		64,748,169
Emerging Domestic Opportunities Fund		—		2,677,084,861		—		3,010,554,891
Emerging Markets Fund		—		2,994,003,396		—		3,731,093,071
Foreign Small Companies Fund		—		15,524,132		—		133,296,539
International Equity Fund		—		1,191,775,814		—		1,888,173,840
International Large/Mid Cap Equity Fund		—		36,052,410		—		93,794,820
Quality Fund		—		835,428,637		—		2,415,053,685
Resources Fund		—		298,323,610		—		184,321,193
Risk Premium Fund		195,974,014		—		31,850,281		—
Tax-Managed International Equities Fund		—		15,700,293		—		26,815,783
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)		—		653,067,305		—		810,539,536

134

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

Included in the table above are cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, in accordance with U.S. GAAP for the period ended August 31, 2018. In-kind transactions are noted in the table below:



Fund Name	Purchases ($)		Sales ($)
Emerging Domestic Opportunities Fund		—		69,588,804
International Equity Fund		—		580,193,344
Quality Fund		—		186,934,301
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)		—		232,339,705

For the period ended August 31, 2018, the Funds had the following net realized gains/(losses) attributed to redemption in-kind transactions:



Fund Name	Net realized gains/(losses) attributed to redemption in-kind transactions ($)
Emerging Domestic Opportunities Fund		4,338,176
International Equity Fund		128,714,535
Quality Fund		73,748,233
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)		35,493,518

7.	Guarantees

135

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

8.	Principal shareholders and related parties as of August 31, 2018



Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund			Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund		Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers		Percentage of the Fund’s shares held by accounts for which GMO has investment discretion
Climate Change Fund		2			46.89%		20.09%		—
Emerging Domestic Opportunities Fund		—			—		2.01%		—
Emerging Markets Fund		3	¥		36.20%		0.37%		68.91%
Foreign Small Companies Fund		1			77.55%		0.23%		—
International Equity Fund		4	§		62.05%		0.01%		90.49%
International Large/Mid Cap Equity Fund		1			88.66%		—		—
Quality Fund		—			—		0.27%		15.17%
Resources Fund		1	‡		14.17%		4.82%		14.17%
Risk Premium Fund		3	¥		95.37%		0.09%		99.81%
Tax-Managed International Equities Fund		4			68.14%		0.15%		—
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)		3	#		64.67%		0.04%		97.51%

Two of the shareholders are other funds of the Trust.

Three of the shareholders are other funds of the Trust.

Four of the shareholders are other funds of the Trust.

‡

One of the shareholders is another fund managed by GMO.

9.	Share transactions

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



	Six Months Ended August 31, 2018 (Unaudited)						Year Ended February 28, 2018

	Shares			Amount			Shares			Amount
Climate Change Fund
Class III:*
Shares sold		2,745,405		$	65,139,655			1,093,126		$	23,929,134
Shares issued to shareholders in reinvestment of distributions		31,904			742,715			28,235			655,616

Net increase (decrease)		2,777,309		$	65,882,370			1,121,361		$	24,584,750


Emerging Domestic Opportunities Fund
Class II:
Shares sold		1,403,923		$	39,825,156			1,817,724		$	49,043,727
Shares issued to shareholders in reinvestment of distributions		2,329,884			53,354,353			272,286			7,617,993
Shares repurchased		(5,695,986	)		(155,268,420	)		(4,486,864	)		(116,784,190	)
Purchase premiums		—			28,182			—			74,964
Redemption fees		—			875,306			—			542,684

Net increase (decrease)		(1,962,179	)	$	(61,185,423	)		(2,396,854	)	$	(59,504,822	)

136

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



	Six Months Ended August 31, 2018 (Unaudited)						Year Ended February 28, 2018

	Shares			Amount			Shares			Amount
Emerging Domestic Opportunities Fund (continued)
Class III:
Shares sold		2,424,051		$	65,256,647			—		$	—
Shares issued to shareholders in reinvestment of distributions		417,466			9,559,964			60,784			1,697,769
Shares repurchased		(718,854	)		(20,120,725	)		(1,551,984	)		(41,407,143	)
Purchase premiums		—			6,784			—			14,320
Redemption fees		—			231,185			—			104,186

Net increase (decrease)		2,122,663		$	54,933,855			(1,491,200	)	$	(39,590,868	)

Class IV:
Shares sold		—		$	—			—		$	—
Shares issued to shareholders in reinvestment of distributions		1,244,211			28,517,315			151,953			4,239,893
Shares repurchased		(2,190,732	)		(50,080,128	)		(4,539,880	)		(123,386,543	)
Purchase premiums		—			13,628			—			37,899
Redemption fees		—			444,412			—			274,132

Net increase (decrease)		(946,521	)	$	(21,104,773	)		(4,387,927	)	$	(118,834,619	)

Class V:
Shares sold		1,820,723		$	41,577,280			2,321,991		$	57,701,679
Shares issued to shareholders in reinvestment of distributions		4,536,048			103,875,493			598,836			16,696,891
Shares repurchased		(15,409,292	)^(a)		(370,471,027	)^(a)		(422,783	)		(12,691,594	)
Purchase premiums		—			51,127			—			132,470
Redemption fees		—			1,473,146			—			962,652

Net increase (decrease)		(9,052,521	)	$	(223,493,981	)		2,498,044		$	62,802,098

Class VI:^‡
Shares sold								546,851		$	12,564,071
Shares issued to shareholders in reinvestment of distributions								—			—
Shares repurchased								(1,215,116	)		(28,809,003	)
Purchase premiums								—			48
Redemption fees								—			2,069

Net increase (decrease)								(668,265	)	$	(16,242,815	)


Emerging Markets Fund
Class II:
Shares sold		382,834		$	12,777,308			2,144,525		$	76,615,465
Shares issued to shareholders in reinvestment of distributions		14,201			468,615			298,236			10,137,847
Shares repurchased		(2,348,742	)		(82,395,380	)		(5,901,364	)		(198,656,462	)
Purchase premiums		—			31,745			—			412,144
Redemption fees		—			648,205			—			1,199,050

Net increase (decrease)		(1,951,707	)	$	(68,469,507	)		(3,458,603	)	$	(110,291,956	)

Class III:
Shares sold		15,971		$	548,072			5,262,213		$	189,034,182
Shares issued to shareholders in reinvestment of distributions		9,820			324,942			160,773			5,490,307
Shares repurchased		(1,550,530	)		(54,338,512	)		(4,761,245	)		(152,016,265	)
Purchase premiums		—			26,110			—			163,459
Redemption fees		—			525,931			—			573,854

Net increase (decrease)		(1,524,739	)	$	(52,913,457	)		661,741		$	43,245,537

137

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



	Six Months Ended August 31, 2018 (Unaudited)						Year Ended February 28, 2018

	Shares			Amount			Shares			Amount
Emerging Markets Fund (continued)
Class IV:
Shares sold		—		$	—			12,287,373		$	414,505,112
Shares issued to shareholders in reinvestment of distributions		—			—			200,918			6,727,048
Shares repurchased		(10,644,250	)		(365,097,799	)		(18,629,708	)		(647,014,911	)
Purchase premiums		—			23,230			—			616,336
Redemption fees		—			244,606			—			1,577,373

Net increase (decrease)		(10,644,250	)	$	(364,829,963	)		(6,141,417	)	$	(223,589,042	)

Class V:
Shares sold		516,683		$	17,513,705			913,530		$	29,688,750
Shares issued to shareholders in reinvestment of distributions		10,311			336,961			124,905			4,213,667
Shares repurchased		(512,064	)		(16,391,163	)		(10,910	)		(389,825	)
Purchase premiums		—			13,742			—			124,417
Redemption fees		—			283,815			—			354,662

Net increase (decrease)		14,930		$	1,757,060			1,027,525		$	33,991,671

Class VI:
Shares sold		12,862,348		$	437,841,910			14,003,693		$	460,981,387
Shares issued to shareholders in reinvestment of distributions		182,383			5,974,874			2,950,428			99,601,307
Shares repurchased		(23,167,070	)		(783,782,106	)		(36,424,149	)		(1,211,074,646	)
Purchase premiums		—			258,349			—			2,981,424
Redemption fees		—			5,313,713			—			8,857,454

Net increase (decrease)		(10,122,339	)	$	(334,393,260	)		(19,470,028	)	$	(638,653,074	)


Foreign Small Companies Fund
Class III:
Shares sold		278,363		$	3,698,515			1,205,904		$	18,448,098
Shares issued to shareholders in reinvestment of distributions		565,882			7,279,296			1,155,505			17,572,868
Shares repurchased		(2,992,472	)		(37,169,241	)		(15,628,838	)^(b)		(245,691,422	)^(b)
Purchase premiums		—			2,500			—			1,984
Redemption fees		—			500,497			—			396,995

Net increase (decrease)		(2,148,227	)	$	(25,688,433	)		(13,267,429	)	$	(209,271,477	)

Class IV:^‡‡
Shares sold		—		$	—			4,509,349		$	70,616,166
Shares issued to shareholders in reinvestment of distributions		357,739			4,785,668			2,798,225			42,386,751
Shares repurchased		(6,662,855	)		(88,401,324	)		(40,727,929	)^(c)		(627,887,398	)^(c)
Purchase premiums		—			—			—			5,741
Redemption fees		—			111,351			—			824,581

Net increase (decrease)		(6,305,116	)	$	(83,504,305	)		(33,420,355	)	$	(514,054,159	)


International Equity Fund
Class II:
Shares sold		2,557		$	57,696			489,231		$	11,146,918
Shares issued to shareholders in reinvestment of distributions		3,474			77,458			15,844			367,095
Shares repurchased		(64,179	)		(1,509,895	)		(11,060	)		(259,126	)

Net increase (decrease)		(58,148	)	$	(1,374,741	)		494,015		$	11,254,887

138

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



	Six Months Ended August 31, 2018 (Unaudited)						Year Ended February 28, 2018

	Shares			Amount			Shares			Amount
International Equity Fund (continued)
Class III:
Shares sold		1,183,775		$	27,155,977			5,618,387		$	134,845,293
Shares issued to shareholders in reinvestment of distributions		131,741			2,974,721			676,948			15,748,936
Shares repurchased		(682,668	)		(15,510,636	)		(21,799,987	)		(490,728,694	)

Net increase (decrease)		632,848		$	14,620,062			(15,504,652	)	$	(340,134,465	)

Class IV:
Shares sold		3,778,448		$	86,694,851			8,188,636		$	186,191,569
Shares issued to shareholders in reinvestment of distributions		1,053,700			23,750,403			6,749,246			156,837,529
Shares repurchased		(38,471,833	)^(d)		(896,630,535	)^(d)		(72,887,892	)		(1,667,210,560	)

Net increase (decrease)		(33,639,685	)	$	(786,185,281	)		(57,950,010	)	$	(1,324,181,462	)


International Large/Mid Cap Equity Fund
Class III:
Shares sold		33,809		$	857,442			2,952,020		$	78,517,708
Shares issued to shareholders in reinvestment of distributions		323,566			7,341,579			19,019			497,829
Shares repurchased		(2,549,691	)		(59,503,747	)		(1,428,325	)		(37,475,512	)

Net increase (decrease)		(2,192,316	)	$	(51,304,726	)		1,542,714		$	41,540,025

Class IV:^‡‡
Shares sold		—		$	—			25,357		$	667,693
Shares issued to shareholders in reinvestment of distributions		286			7,293			524,624			13,754,556
Shares repurchased		(29,812	)		(766,505	)		(6,273,065	)		(167,412,155	)

Net increase (decrease)		(29,526	)	$	(759,212	)		(5,723,084	)	$	(152,989,906	)

Class VI:^‡
Shares issued to shareholders in reinvestment of distributions								—		$	—
Shares repurchased								(23,527	)		(616,556	)

Net increase (decrease)								(23,527	)	$	(616,556	)


Quality Fund
Class III:
Shares sold		4,999,255		$	127,675,060			9,569,371		$	233,792,192
Shares issued to shareholders in reinvestment of distributions		4,915,586			122,594,705			9,710,900			236,338,887
Shares repurchased		(29,386,790	)		(741,984,334	)		(41,778,688	)		(994,664,619	)

Net increase (decrease)		(19,471,949	)	$	(491,714,569	)		(22,498,417	)	$	(524,533,540	)

Class IV:
Shares sold		10,469,920		$	266,668,875			2,687,351		$	65,544,766
Shares issued to shareholders in reinvestment of distributions		1,400,223			34,977,580			3,024,905			73,674,810
Shares repurchased		(5,487,538	)		(137,623,943	)		(23,049,188	)		(543,039,198	)

Net increase (decrease)		6,382,605		$	164,022,512			(17,336,932	)	$	(403,819,622	)

Class V:
Shares sold		239,817		$	5,820,348			15,240,672		$	355,202,520
Shares issued to shareholders in reinvestment of distributions		277,665			6,936,060			753,632			18,275,903
Shares repurchased		(377,095	)		(10,008,070	)		(30,753,264	)		(742,878,377	)

Net increase (decrease)		140,387		$	2,748,338			(14,758,960	)	$	(369,399,954	)

139

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



	Six Months Ended August 31, 2018 (Unaudited)						Year Ended February 28, 2018

	Shares			Amount			Shares			Amount
Quality Fund (continued)
Class VI:
Shares sold		2,258,052		$	56,219,211			29,403,277		$	709,386,725
Shares issued to shareholders in reinvestment of distributions		4,267,320			106,426,965			11,410,443			277,711,590
Shares repurchased		(49,268,309	)^(e)		(1,258,926,842	)^(e)		(51,435,726	)		(1,236,751,765	)

Net increase (decrease)		(42,742,937	)	$	(1,096,280,666	)		(10,622,006	)	$	(249,653,450	)


Resources Fund
Class III:
Shares sold		3,362,415		$	69,698,482			1,468,960		$	30,964,916
Shares issued to shareholders in reinvestment of distributions		56,304			1,180,123			48,976			868,248
Shares repurchased		(68,504	)		(1,425,015	)		(234,190	)		(4,012,036	)
Purchase premiums		—			64,593			—			43,889
Redemption fees		—			622			—			16,475

Net increase (decrease)		3,350,215		$	69,518,805			1,283,746		$	27,881,492

Class IV:
Shares sold		1,869,732		$	39,919,557			5,366,277		$	102,162,843
Shares issued to shareholders in reinvestment of distributions		189,479			3,958,221			549,915			9,781,398
Shares repurchased		(46,839	)		(1,000,000	)		(2,712,619	)		(52,821,227	)
Purchase premiums		—			262,056			—			351,383
Redemption fees		—			3,465			—			156,297

Net increase (decrease)		2,012,372		$	43,143,299			3,203,573		$	59,630,694


Risk Premium Fund
Class III:
Shares sold		594,623		$	16,138,183			—		$	—
Shares issued to shareholders in reinvestment of distributions		439			12,004			25,484			724,208
Shares repurchased		(719	)		(19,481	)		(65,778	)		(1,906,884	)
Purchase premiums		—			1			—			122
Redemption fees		—			364			—			1,284

Net increase (decrease)		594,343		$	16,131,071			(40,294	)	$	(1,181,270	)

Class VI:
Shares sold		16,009,368		$	436,903,057			122,003		$	3,443,846
Shares issued to shareholders in reinvestment of distributions		17,752			488,192			845,070			24,004,565
Shares repurchased		(3,868,755	)		(106,418,583	)		(844,262	)		(25,708,492	)
Purchase premiums		—			27			—			5,052
Redemption fees		—			14,461			—			40,139

Net increase (decrease)		12,158,365		$	330,987,154			122,811		$	1,785,110


Tax-Managed International Equities Fund
Class III:
Shares sold		—		$	—			34,844		$	588,984
Shares issued to shareholders in reinvestment of distributions		87,480			1,364,580			118,562			1,953,043
Shares repurchased		(682,577	)		(11,596,425	)		(4,210,695	)		(70,417,290	)

Net increase (decrease)		(595,097	)	$	(10,231,845	)		(4,057,289	)	$	(67,875,263	)

140

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



	Six Months Ended August 31, 2018 (Unaudited)						Year Ended February 28, 2018

	Shares			Amount			Shares			Amount
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
Class III:
Shares sold		84,910		$	1,237,983			1,426,974		$	22,200,337
Shares issued to shareholders in reinvestment of distributions		422,457			6,125,631			503,101			7,560,282
Shares repurchased		(88,781	)		(1,357,533	)		(4,161,819	)		(62,443,147	)

Net increase (decrease)		418,586		$	6,006,081			(2,231,744	)	$	(32,682,528	)

Class IV:
Shares sold		12,309		$	188,592			4,181,151		$	64,392,213
Shares issued to shareholders in reinvestment of distributions		201,925			2,929,931			221,349			3,311,107
Shares repurchased		—			—			(3,169,071	)		(49,096,124	)

Net increase (decrease)		214,234		$	3,118,523			1,233,429		$	18,607,196

Class V:
Shares sold		292,730		$	4,423,147			—		$	—
Shares issued to shareholders in reinvestment of distributions		365,248			5,270,521			953,644			14,275,839
Shares repurchased		(426,470	)		(6,333,073	)		(7,929,615	)		(121,076,853	)

Net increase (decrease)		231,508		$	3,360,595			(6,975,971	)	$	(106,801,014	)

Class VI:
Shares sold		491,745		$	7,216,011			3,148,627		$	46,726,515
Shares issued to shareholders in reinvestment of distributions		4,899,200			70,499,485			9,856,724			147,659,798
Shares repurchased		(26,844,454	)^(f)		(413,292,811	)^(f)		(32,244,150	)		(489,038,891	)

Net increase (decrease)		(21,453,509	)	$	(335,577,315	)		(19,238,799	)	$	(294,652,578	)

The period under the heading “Year Ended February 28, 2018” represents the period from April 5, 2017 (commencement of operations) through February 28, 2018.

^‡

Class VI liquidated on March 29, 2017.

^‡‡

Class IV liquidated on May 2, 2018.

^(a)

2,739,717 shares and $69,588,804 were redeemed in-kind by affiliates.

^(b)

2,421,878 shares and $37,805,522 were redeemed in-kind by affiliates.

^(c)

32,418,183 shares and $503,881,179 were redeemed in-kind by affiliates.

^(d)

24,923,605 shares and $580,193,344 were redeemed in-kind by affiliates.

^(e)

7,279,373 shares and $186,934,301 were redeemed in-kind by affiliates.

^(f)

14,819,129 shares and $232,339,705 were redeemed in-kind by affiliates.

10.

Investments in affiliated companies and other Funds of the Trust



Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Net Realized Gain (Loss)		Net Increase/ Decrease in Unrealized Appreciation/ Depreciation		Value, end of period
Climate Change Fund
GMO U.S. Treasury Fund	$	751,549	$	54,807,746	$	53,896,000	$	22,745	$	1,564	$	300	$	1,665,159

141

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



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
Emerging Domestic Opportunities Fund
CMI Ltd	$	4,657,808	$	—	$	15,696	$	—	$	(5,059	)	$	(1,606,411	)	$	3,030,642
Gayatri Highways Ltd		1,147,898		—		—		—		—			(831,592	)		—	#
Gayatri Projects Ltd		34,529,636		3,618,675		1,861,829		—		1,562,974			(5,376,079	)		32,473,377
GMO U.S. Treasury Fund		130,824,583		426,065,696		501,090,000		1,065,696		9,519			45,929			55,855,727

Totals	$	171,159,925	$	429,684,371	$	502,967,525	$	1,065,696	$	1,567,434		$	(7,768,153	)	$	91,359,746


Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	788,630	$	—	$	—	$	—	$	—		$	46,063		$	834,693
Gayatri Highways Ltd		1,802,252		—		—		—		—			(1,305,638	)		496,614
Gayatri Projects Ltd		54,213,078		—		—		—		—			(4,932,529	)		49,280,549
GMO U.S. Treasury Fund		97,620,412		790,625,862		803,760,000		637,499		17,367			5,018			84,508,659

Totals	$	154,424,372	$	790,625,862	$	803,760,000	$	637,499	$	17,367		$	(6,187,086	)	$	135,120,515


Foreign Small Companies Fund
GMO U.S. Treasury Fund	$	1,595,796	$	7,748,600	$	8,705,000	$	8,601	$	(68	)	$	—		$	639,328


International Equity Fund
GMO U.S. Treasury Fund	$	61,069,100	$	240,760,000	$	279,500,000	$	496,061	$	(806	)	$	15,646		$	22,343,940


International Large/Mid Cap Equity Fund
GMO U.S. Treasury Fund	$	1,181,128	$	27,000,001	$	27,700,000	$	9,235	$	(4,142	)	$	726		$	477,713


Quality Fund
GMO U.S. Treasury Fund	$	51,092,040	$	76,000,000	$	76,000,000	$	507,894	$	(22,597	)	$	24,902		$	51,094,345


Resources Fund
GMO U.S. Treasury Fund	$	6,504,509	$	101,680,000	$	97,550,000	$	88,516	$	2,131		$	3,930		$	10,640,570


Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	1,066,810	$	8,830,000	$	8,895,000	$	9,503	$	(331	)	$	504		$	1,001,983


U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
GMO U.S. Treasury Fund	$	7,460,010	$	91,300,000	$	89,690,000	$	86,242	$	(889	)	$	2,988		$	9,072,109

No longer an affiliated at period end.

142

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

11.

Subsequent Events

Effective October 1, 2018, Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) has agreed to irrevocably reduce GMO Risk Premium Fund’s (the “Fund”) management fee to an annual rate of 0.25% of the Fund’s average daily net assets (a reduction of 0.20%).

GMO has contractually agreed to waive its fees and/or reimburse GMO Climate Change Fund (the “Fund”) to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares: 0.77% for Class III shares; 0.72% for Class IV shares; 0.705% for Class V shares; and 0.675% for Class VI shares (each, an “Expense Cap”). Fees and expenses of the “non-interested” Trustees and legal counsel and independent compliance consultant to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), taxes, litigation and indemnification expenses, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business, are excluded from the Expense Cap. GMO also has contractually agreed to waive or reduce the Fund’s management fees and shareholder service fees to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust. Management fees and shareholder service fees will not be waived below zero. The reimbursement and waiver arrangements described above, including the Expense Cap, will remain in effect through September 25, 2019, and may not be terminated prior to such date without the action or consent of the Trust’s Board of Trustees.

GMO International Large/Mid Cap Equity Fund is scheduled to liquidate on October 31, 2018.

143

GMO Trust Funds

Board Review of Investment Management Agreements

August 31, 2018 (Unaudited)

GMO Climate Change Fund

Approval of renewal of management agreement for GMO Climate Change Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

144

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

GMO Emerging Domestic Opportunities Fund

Approval of renewal of management agreement and sub-advisory agreement for GMO Emerging Domestic Opportunities Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”), and the sub-advisory agreement among the Manager, GMO Singapore Pte. Limited (“GMO Singapore”), and the Trust, on behalf of the Fund.

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and sub-advisory agreement and met both privately and with representatives of the Manager. In deciding whether to approve the management and sub-advisory agreements of the Fund, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

145

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management and sub-advisory agreements were reasonable.

GMO Emerging Markets Fund

Approval of renewal of management agreement and sub-advisory agreement for GMO Emerging Markets Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”), and the sub-advisory agreement among the Manager, GMO Singapore Pte. Limited (“GMO Singapore”), and the Trust, on behalf of the Fund.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

146

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management and sub-advisory agreements were reasonable.

GMO Foreign Small Companies Fund

Approval of renewal of management agreement for GMO Foreign Small Companies Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

147

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

148

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

GMO International Equity Fund

Approval of renewal of management agreement for GMO International Equity Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

149

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

GMO International Large/Mid Cap Equity Fund

Approval of renewal of management agreement for GMO International Large/Mid Cap Equity Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

150

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

GMO Quality Fund

Approval of renewal of management agreement for GMO Quality Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

151

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

accounts. The Trustees noted the differences in the services provided by the Manager to the Fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

GMO Resources Fund

Approval of renewal of management agreement for GMO Resources Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

152

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

GMO Risk Premium Fund

Approval of renewal of management agreement for GMO Risk Premium Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

153

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

Manager, which they received before and at a meeting of the Trustees on June 7, 2018. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

GMO Tax-Managed International Equities Fund

Approval of renewal of management agreement for GMO Tax-Managed International Equities Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

154

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

155

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

GMO U.S. Equity Fund

Approval of renewal of management agreement for GMO U.S. Equity Fund (formerly, GMO U.S. Equity Allocation Fund) (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

156

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee. The Trustees also considered possible alternative fee arrangements.

The Trustees also considered the experience and sophistication of the Manager and its personnel (including, among others, management and investment management personnel, and legal and compliance personnel). The Trustees considered recent personnel changes at the Manager. The Trustees also considered the resources the Manager employed in managing the Fund, the Manager’s organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

157

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2018 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2018.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2018 through August 31, 2018.

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual						Hypothetical
	Beginning Account Value March 1, 2018		Ending Account Value August 31, 2018		Expenses Paid During the Period*		Beginning Account Value March 1, 2018		Ending Account Value August 31, 2018		Expenses Paid During the Period*		Annualized Expense Ratio
Climate Change Fund
Class III		$1,000.00		$966.00		$3.57		$1,000.00		$1,021.58		$3.67		0.72%
Emerging Domestic Opportunities Fund
Class II		$1,000.00		$849.50		$4.89		$1,000.00		$1,019.91		$5.35		1.05%
Class III		$1,000.00		$850.00		$4.57		$1,000.00		$1,020.27		$4.99		0.98%
Class IV		$1,000.00		$850.10		$4.34		$1,000.00		$1,020.52		$4.74		0.93%
Class V		$1,000.00		$850.30		$4.24		$1,000.00		$1,020.62		$4.63		0.91%
Emerging Markets Fund
Class II		$1,000.00		$888.50		$4.43		$1,000.00		$1,020.52		$4.74		0.93%
Class III		$1,000.00		$888.90		$4.19		$1,000.00		$1,020.77		$4.48		0.88%
Class IV		$1,000.00		$889.00		$3.90		$1,000.00		$1,021.07		$4.18		0.82%
Class V		$1,000.00		$889.20		$3.71		$1,000.00		$1,021.27		$3.97		0.78%
Class VI		$1,000.00		$889.20		$3.57		$1,000.00		$1,021.42		$3.82		0.75%
Foreign Small Companies Fund
Class III		$1,000.00		$970.50		$6.41		$1,000.00		$1,018.70		$6.56		1.29%
International Equity Fund
Class II		$1,000.00		$938.00		$3.52		$1,000.00		$1,021.58		$3.67		0.72%
Class III		$1,000.00		$938.20		$3.18		$1,000.00		$1,021.93		$3.31		0.65%
Class IV		$1,000.00		$938.70		$2.88		$1,000.00		$1,022.23		$3.01		0.59%
International Large/Mid Cap Equity Fund
Class III		$1,000.00		$950.30		$6.05		$1,000.00		$1,019.00		$6.26		1.23%

158

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses — (Continued)

August 31, 2018 (Unaudited)


	Actual						Hypothetical
	Beginning Account Value March 1, 2018		Ending Account Value August 31, 2018		Expenses Paid During the Period*		Beginning Account Value March 1, 2018		Ending Account Value August 31, 2018		Expenses Paid During the Period*		Annualized Expense Ratio
Quality Fund
Class III		$1,000.00		$1,099.70		$2.54		$1,000.00		$1,022.79		$2.45		0.48%
Class IV		$1,000.00		$1,099.80		$2.33		$1,000.00		$1,022.99		$2.24		0.44%
Class V		$1,000.00		$1,100.30		$2.22		$1,000.00		$1,023.09		$2.14		0.42%
Class VI		$1,000.00		$1,100.10		$2.06		$1,000.00		$1,023.24		$1.99		0.39%
Resources Fund
Class III		$1,000.00		$978.90		$3.74		$1,000.00		$1,021.42		$3.82		0.75%
Class IV		$1,000.00		$978.70		$3.54		$1,000.00		$1,021.63		$3.62		0.71%
Risk Premium Fund
Class III		$1,000.00		$1,057.80		$3.11		$1,000.00		$1,022.18		$3.06		0.60%
Class VI		$1,000.00		$1,058.70		$2.65		$1,000.00		$1,022.64		$2.60		0.51%
Tax-Managed International Equities Fund
Class III		$1,000.00		$925.60		$3.64		$1,000.00		$1,021.42		$3.82		0.75%
U.S. Equity Fund (formerly U.S. Equity Allocation Fund)
Class III		$1,000.00		$1,050.60		$2.38		$1,000.00		$1,022.89		$2.35		0.46%
Class IV		$1,000.00		$1,051.50		$2.12		$1,000.00		$1,023.14		$2.09		0.41%
Class V		$1,000.00		$1,051.00		$2.07		$1,000.00		$1,023.19		$2.04		0.40%
Class VI		$1,000.00		$1,051.30		$1.91		$1,000.00		$1,023.34		$1.89		0.37%

159

GMO Trust

Semiannual Report

August 31, 2018

Alpha Only Fund

Benchmark-Free Allocation Fund

Benchmark-Free Fund

Global Asset Allocation Fund

Global Developed Equity Allocation Fund

Global Equity Allocation Fund

Implementation Fund

International Developed Equity Allocation Fund

International Equity Allocation Fund

SGM Major Markets Fund

Special Opportunities Fund

Strategic Opportunities Allocation Fund

www.gmo.com or on the Securities and Exchange Commission’s website at www.sec.gov.

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

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

TABLE OF CONTENTS


Alpha Only Fund
Investment Concentration Summary			1
Schedule of Investments			2
Benchmark-Free Allocation Fund
Investment Concentration Summary			11
Schedule of Investments			12
Benchmark-Free Fund
Investment Concentration Summary			13
Schedule of Investments			14
Global Asset Allocation Fund
Investment Concentration Summary			38
Schedule of Investments			39
Global Developed Equity Allocation Fund
Investment Concentration Summary			40
Schedule of Investments			41
Global Equity Allocation Fund
Investment Concentration Summary			42
Schedule of Investments			43
Implementation Fund
Investment Concentration Summary			44
Schedule of Investments			46
International Developed Equity Allocation Fund
Investment Concentration Summary			76
Schedule of Investments			77
International Equity Allocation Fund
Investment Concentration Summary			78
Schedule of Investments			79
SGM Major Markets Fund
Investment Concentration Summary			80
Schedule of Investments			81
Special Opportunities Fund
Investment Concentration Summary			84
Schedule of Investments			85
Strategic Opportunities Allocation Fund
Investment Concentration Summary			86
Schedule of Investments			87
Portfolio, Counterparty and Currency Abbreviations			95
Fund Financial Statements:
Statements of Assets and Liabilities			96
Statements of Operations			102
Statements of Changes in Net Assets			105
Financial Highlights			111
Notes to Financial Statements			124
Board Review of Investment Management Agreements			187
Fund Expenses			202

GMO Alpha Only Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		88.0	%
Short-Term Investments		6.5
Mutual Funds		6.3
Preferred Stocks		1.0
Forward Currency Contracts		0.3
Rights/Warrants		0.0	^
Futures Contracts		(3.6	)
Other		1.5

		100.0	%

In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation, in the case of forward currency contracts, rather than notional amounts. The Fund’s investment program involves having both long and short investment exposures. The additional short exposures that the Fund has to future contracts based on notional amounts are (89.3)% of net assets.

^	Rounds to 0.0%.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		COMMON STOCKS— 88.0%

		Australia — 0.9%
	9,534	AusNet Services		11,300
	2,998	Australia & New Zealand Banking Group Ltd		63,710
	2,064	Brickworks Ltd		25,973
	6,771	Caltex Australia Ltd		147,136
	340	CIMIC Group Ltd		12,059
	1,954	Crown Resorts Ltd		19,982
	7,034	CSR Ltd		21,807
	5,206	GPT Group (The) (REIT)		19,365
	16,536	Insurance Australia Group Ltd		91,899
	5,758	Mineral Resources Ltd		62,721
	52,317	Mirvac Group (REIT)		91,660
	10,897	Nine Entertainment Co Holdings Ltd		18,934
	7,145	Sandfire Resources NL		36,433
	129,686	Scentre Group (REIT)		383,953
	4,839	Westpac Banking Corp		99,383

		Total Australia		1,106,315


		Austria — 0.3%
	4,498	OMV AG		238,470
	1,003	Vienna Insurance Group AG Wiener Versicherung Gruppe		27,353
	1,729	voestalpine AG		77,716
	951	Zumtobel Group AG ^*		7,641

		Total Austria		351,180


		Belgium — 0.1%
	3,708	AGFA-Gevaert NV ^*		16,283
	168	Barco NV		23,118
	682	KBC Group NV		48,490

		Total Belgium		87,891


		Brazil — 2.2%
	45,239	Banco Bradesco SA		278,891
	19,600	Banco do Brasil SA		144,843
	89,400	Banco Santander Brasil SA		759,431
	12,800	Centrais Eletricas Brasileiras SA ^*		49,716
	65,200	Cia de Saneamento Basico do Estado de Sao Paulo		390,582
	4,400	Cia de Saneamento Basico do Estado de Sao Paulo ADR		26,444
	10,100	Cia de Saneamento de Minas Gerais-COPASA		103,849
	295,200	JBS SA		681,270
	3,800	Mahle-Metal Leve SA		23,538
	5,600	MRV Engenharia e Participacoes SA		17,873
	5,154	Sul America SA		29,066
	16,900	Via Varejo SA		70,121

		Total Brazil		2,575,624


Shares		Description	Value ($)
		Chile — 0.0%
	1,237	Cia Cervecerias Unidas SA		16,307


		China — 12.1%
	442,000	Agile Group Holdings Ltd		722,926
	2,367,000	Agricultural Bank of China Ltd – Class H		1,146,992
	56,000	BAIC Motor Corp Ltd – Class H		47,116
	1,020,000	Bank of China Ltd – Class H		458,344
	679,000	Bank of Communications Co Ltd – Class H		490,699
	133,000	China Cinda Asset Management Co Ltd – Class H		34,425
	971,000	China CITIC Bank Corp Ltd – Class H		606,669
	408,000	China Communications Services Corp Ltd – Class H		338,024
	479,000	China Construction Bank Corp – Class H		421,873
	4,000	China Everbright Ltd		7,011
	566,000	China Huarong Asset Management Co Ltd – Class H		117,661
	91,000	China Lesso Group Holdings Ltd		52,516
	35,000	China Lilang Ltd		38,822
	400	China Mobile Ltd Sponsored ADR		19,196
	1,504,000	China Petroleum & Chemical Corp – Class H		1,513,304
	62,000	China Pioneer Pharma Holdings Ltd		15,407
	637,000	China Railway Construction Corp Ltd – Class H		770,596
	327,000	China Railway Group Ltd – Class H		282,619
	182,500	China Resources Pharmaceutical Group Ltd		292,053
	52,000	China SCE Group Holdings Ltd		23,343
	338,000	China Shenhua Energy Co Ltd – Class H		754,923
	54,000	China Shineway Pharmaceutical Group Ltd		76,311
	2,126,000	China Telecom Corp Ltd – Class H		999,863
	52,000	China Travel International Investment Hong Kong Ltd		16,907
	6,200	China Vanke Co Ltd – Class H		21,510
	1,200	China Yuchai International Ltd		24,132
	466,000	Chongqing Rural Commercial Bank Co Ltd – Class H		251,351
	99,000	Dah Chong Hong Holdings Ltd		43,055
	626,000	Dongfeng Motor Group Co Ltd – Class H		699,791
	21,000	Far East Horizon Ltd		19,877
	272,400	Guangzhou R&F Properties Co Ltd – Class H		550,487
	250,000	Haier Electronics Group Co Ltd ^*		651,963
	16,000	Harbin Electric Co Ltd – Class H		5,034
	66,000	Hua Hong Semiconductor Ltd		180,206
	107,000	Kingboard Holdings Ltd		380,909
	114,000	Kingboard Laminates Holdings Ltd		107,781
	16,000	Lee & Man Paper Manufacturing Ltd		15,352
	565,000	Lonking Holdings Ltd		194,530
	43,000	Nexteer Automotive Group Ltd		72,530
	84,000	People’s Insurance Co Group of China Ltd (The) – Class H		36,437


2		See accompanying notes to the financial statements.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		China — continued
	335,000	Postal Savings Bank of China Co Ltd – Class H		197,456
	21,000	Road King Infrastructure Ltd		35,680
	19,000	Shandong Chenming Paper Holdings Ltd – Class H		13,208
	52,000	Shanghai Industrial Holdings Ltd		123,987
	18,800	Shanghai Pharmaceuticals Holding Co Ltd – Class H		49,384
	282,500	Shimao Property Holdings Ltd		843,650
	17,000	Sinotruk Hong Kong Ltd		25,390
	78,000	Tianneng Power International Ltd		96,952
	17,000	Uni-President China Holdings Ltd		16,752
	341,000	Weichai Power Co Ltd – Class H		361,652
	63,500	XTEP International Holdings Ltd		42,427
	156,000	Yuzhou Properties Co Ltd		83,014
	4,000	Zhejiang Expressway Co Ltd – Class H		3,176

		Total China		14,395,273


		Colombia — 0.0%
	10,111	Ecopetrol SA		11,352


		Czech Republic — 0.0%
	4,446	Moneta Money Bank AS		15,540


		Denmark — 0.0%
	94	Schouw & Co AB		7,432


		Egypt — 0.0%
	15,874	Talaat Moustafa Group		10,410


		Finland — 0.4%
	3,665	Fortum Oyj		92,764
	337	Kesko Oyj – B Shares		19,631
	336	Metso Oyj		11,800
	682	Neste Oyj		59,213
	518	Orion Oyj – Class B		19,050
	4,248	Stora Enso Oyj – R Shares		79,064
	4,918	UPM-Kymmene Oyj		189,709

		Total Finland		471,231


		France — 1.5%
	181	ArcelorMittal		5,459
	1,546	AXA SA		38,960
	1,891	BNP Paribas SA		111,329
	157	Casino Guichard Perrachon SA		5,001
	4,026	CNP Assurances		93,052
	2,131	Coface SA		19,993
	22	Covivio (REIT)		2,301
	8,640	Credit Agricole SA		118,217
	374	Kaufman & Broad SA		19,695


Shares		Description	Value ($)
		France — continued
	1,382	Metropole Television SA		27,362
	13,240	Natixis SA		88,549
	1,438	Neopost SA		38,597
	430	Nexity SA		26,278
	940	Orange SA		15,218
	716	Peugeot SA		19,729
	1,069	Rallye SA		11,098
	1,659	Renault SA		143,289
	10,584	Sanofi		908,884
	500	Sanofi ADR		21,425
	1,877	Societe Generale SA		76,858
	205	TOTAL SA		12,855
	1,020	Unibail-Rodamco-Westfield ^*		10,653
	75	Wendel SA		11,105

		Total France		1,825,907


		Germany — 3.2%
	2,553	Allianz SE (Registered)		544,151
	231	Axel Springer SE		16,782
	4,456	BASF SE		411,759
	7,490	Bayerische Motoren Werke AG		725,082
	226	Covestro AG		19,242
	5,683	Daimler AG (Registered Shares)		367,521
	15,859	Deutsche Lufthansa AG (Registered)		414,357
	5,520	Deutsche Pfandbriefbank AG		80,809
	735	Evonik Industries AG		27,391
	7,900	SAP AG		948,378
	591	Software AG		29,144
	1,216	Volkswagen AG		195,738

		Total Germany		3,780,354


		Greece — 0.0%
	6,562	FF Group ^{* (a)}		36,561


		Hong Kong — 0.5%
	28,000	BOC Hong Kong Holdings Ltd		136,746
	6,000	Cathay Pacific Airways Ltd		8,945
	23,000	CK Asset Holdings Ltd		164,030
	12,000	First Pacific Co Ltd		5,462
	800	Hang Seng Bank Ltd		21,703
	14,000	HK Electric Investments & HK Electric Investments Ltd – Class SS		14,160
	14,500	Kerry Properties Ltd		54,989
	96,000	Li & Fung Ltd		27,284
	8,000	NWS Holdings Ltd		14,259
	4,000	PCCW Ltd		2,126
	38,000	SJM Holdings Ltd		43,024
	13,000	Wharf Real Estate Investment Co Ltd		86,253
	4,000	Yue Yuen Industrial Holdings Ltd		11,089

		Total Hong Kong		590,070


		See accompanying notes to the financial statements.		3

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Hungary — 0.0%
	26,274	Magyar Telekom Telecommunications Plc		38,513
	1,102	MOL Hungarian Oil & Gas Plc		11,245

		Total Hungary		49,758


		India — 3.1%
	996	Balkrishna Industries Ltd		19,075
	955	Divi’s Laboratories Ltd		17,647
	29,389	Firstsource Solutions Ltd		31,250
	359	Grasim Industries Ltd		5,429
	24,655	HCL Technologies Ltd		363,235
	3,707	Hero MotoCorp Ltd		170,561
	2,840	Hexaware Technologies Ltd		17,576
	608	Ipca Laboratories Ltd		6,606
	23,177	ITC Ltd		104,551
	1,960	Jubilant Life Sciences Ltd ^*		19,918
	17,728	Karnataka Bank Ltd (The)		29,891
	4,488	KPIT Technologies Ltd		19,192
	4,493	Larsen & Toubro Infotech Ltd		113,269
	30,547	Mahindra & Mahindra Ltd		416,316
	6,522	Mindtree Ltd		102,752
	10,246	Mphasis Ltd		182,896
	8,672	NIIT Technologies Ltd		172,325
	179,801	Oil & Natural Gas Corp Ltd		456,277
	188,731	Power Finance Corp Ltd		225,018
	57,507	PTC India Ltd		67,994
	32,188	Reliance Capital Ltd		213,803
	2,862	Reliance Home Finance Ltd ^*		2,644
	223,854	Rural Electrification Corp Ltd		378,742
	46,598	Tata Global Beverages Ltd		154,559
	1,362	Tata Motors Ltd ^*		5,116
	37,357	Tata Steel Ltd		316,881
	12,321	Tech Mahindra Ltd		133,154

		Total India		3,746,677


		Indonesia — 0.2%
	71,200	Adaro Energy Tbk PT		9,028
	8,700	Bank Negara Indonesia Persero Tbk PT		4,609
	9,400	Gudang Garam Tbk PT		46,592
	62,700	Indo Tambangraya Megah Tbk PT		120,482
	83,600	Media Nusantara Citra Tbk PT		5,138
	62,600	XL Axiata Tbk PT ^*		13,511

		Total Indonesia		199,360


		Ireland — 0.0%
	820	Bank of Ireland Group Plc		6,718


		Israel — 0.1%
	80	Azrieli Group Ltd		4,155
	11,347	Bank Leumi Le-Israel BM		76,222
	10,565	Bezeq The Israeli Telecommunication Corp Ltd		12,626


Shares		Description	Value ($)
		Israel — continued
	1,075	First International Bank of Israel Ltd		24,901
	2,738	Harel Insurance Investments & Financial Services Ltd		22,352
	2,729	Israel Chemicals Ltd		15,946
	687	Teva Pharmaceutical Industries Ltd ^*		15,762

		Total Israel		171,964


		Italy — 1.2%
	39,704	A2A SPA		68,249
	792	ASTM SPA		16,165
	6,300	Enav SPA		31,147
	32,727	Enel SPA		161,800
	1,572	ERG SPA		32,561
	5,599	EXOR NV		364,322
	13,900	Fiat Chrysler Automobiles NV ^*		237,829
	14,171	FinecoBank Banca Fineco SPA		168,932
	29,841	Iren SPA		69,989
	2,711	Mediobanca Banca di Credito Finanziario SPA		25,244
	22,292	Poste Italiane SPA		171,721
	8,179	Societa Cattolica di Assicurazioni SC		66,379
	2,705	Societa Iniziative Autostradali e Servizi SPA		37,710
	55,090	Telecom Italia SPA-RSP		30,663

		Total Italy		1,482,711


		Japan — 7.0%
	900	Aeon Co Ltd		19,490
	600	AEON Financial Service Co Ltd		12,272
	900	AGC Inc		36,004
	4,900	Aisin Seiki Co Ltd		226,639
	1,300	Alfresa Holdings Corp		32,586
	29,500	Asahi Kasei Corp		432,279
	21,800	Canon Inc		699,488
	200	Central Japan Railway Co		40,155
	900	Chugoku Bank Ltd (The)		9,843
	1,500	Chugoku Electric Power Co Inc (The)		18,727
	100	Daiichi Sankyo Co Ltd		3,903
	500	Daiwa House Industry Co Ltd		15,232
	800	DIC Corp		28,392
	400	Eisai Co Ltd		36,223
	14,000	Fuji Electric Co Ltd		112,775
	2,200	FUJIFILM Holdings Corp		92,924
	4,000	Fukuoka Financial Group Inc		22,427
	2,300	Gree Inc		11,645
	6,100	Hachijuni Bank Ltd (The)		27,260
	400	Hakuhodo DY Holdings Inc		6,749
	105	Hirose Electric Co Ltd		12,478
	4,200	Hiroshima Bank Ltd (The)		29,379
	600	Hisamitsu Pharmaceutical Co Inc		43,830
	35,000	Hitachi Ltd		228,465


4		See accompanying notes to the financial statements.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Japan — continued
	900	Hokuriku Electric Power Co ^*		8,835
	15,100	Honda Motor Co Ltd		447,310
	1,200	Ibiden Co Ltd		17,409
	1,800	Isuzu Motors Ltd		25,987
	36,100	ITOCHU Corp		630,806
	4	Japan Prime Realty Investment Corp (REIT)		14,470
	1,700	JFE Holdings Inc		37,160
	5,300	JXTG Holdings Inc		37,317
	500	Kamigumi Co Ltd		10,146
	3,000	Kaneka Corp		27,381
	9,800	KDDI Corp		259,110
	5,200	Kirin Holdings Co Ltd		128,504
	500	Kitz Corp		4,380
	2,100	Konica Minolta Inc		21,356
	1,400	Kurita Water Industries Ltd		41,556
	500	Kyowa Hakko Kirin Co Ltd		8,869
	900	Kyushu Financial Group Inc		4,378
	19,200	Marubeni Corp		157,314
	300	Maruichi Steel Tube Ltd		9,194
	9,980	Mebuki Financial Group Inc		35,372
	50,400	Mitsubishi Chemical Holdings Corp		451,571
	10,200	Mitsubishi Corp		290,874
	26,900	Mitsubishi Electric Corp		363,136
	1,500	Mitsubishi Gas Chemical Co Inc		31,182
	7,900	Mitsubishi Tanabe Pharma Corp		131,764
	4,900	Mitsubishi UFJ Financial Group Inc		29,619
	3,800	Mitsubishi UFJ Lease & Finance Co Ltd		21,367
	3,900	Mitsui & Co Ltd		64,969
	1,200	Mitsui Mining & Smelting Co Ltd		34,377
	4,300	NEC Corp		118,718
	2,100	NET One Systems Co Ltd		48,639
	1,000	Nichiha Corp		28,078
	16,600	Nippon Telegraph & Telephone Corp		738,550
	1,200	Nippon Flour Mills Co Ltd		20,072
	3,400	Nisshin Seifun Group Inc		68,003
	500	NOK Corp		9,547
	2,100	Nomura Real Estate Holdings Inc		45,491
	140	Nomura Research Institute Ltd		6,961
	2,200	NTT DOCOMO Inc		57,015
	2,000	Oji Holdings Corp		13,689
	3,500	Resona Holdings Inc		19,853
	100	Rohm Co Ltd		9,035
	200	Sankyo Co Ltd		7,656
	2,900	SBI Holdings Inc		79,938
	3,400	Seiko Epson Corp		58,108
	2,500	Sekisui Chemical Co Ltd		43,430
	1,000	Shinsei Bank Ltd		15,370
	4,700	Showa Denko KK		223,236
	2,400	Showa Shell Sekiyu KK		48,411
	21,100	Sojitz Corp		73,425


Shares		Description	Value ($)
		Japan — continued
	38,000	Sumitomo Chemical Co Ltd		215,681
	4,400	Sumitomo Corp		71,350
	2,200	Sumitomo Dainippon Pharma Co Ltd		46,814
	200	Sumitomo Heavy Industries Ltd		6,507
	7,300	Sumitomo Mitsui Financial Group Inc		286,988
	1,250	Suzuken Co Ltd		56,763
	100	Taisho Pharmaceutical Holdings Co Ltd		10,839
	1,900	Takeda Pharmaceutical Co Ltd		79,156
	800	Tocalo Co Ltd		9,249
	1,200	Tohoku Electric Power Co Inc		15,020
	400	Tokio Marine Holdings Inc		18,849
	4,300	Tokyo Electric Power Co Holdings Inc ^*		19,877
	300	Tokyo Electron Ltd		51,075
	100	Toyoda Gosei Co Ltd		2,495
	3,600	Toyota Tsusho Corp		122,644
	200	Trend Micro Inc		12,576
	600	USS Co Ltd		11,302
	1,000	Yamaguchi Financial Group Inc		11,000
	1,000	Yokohama Rubber Co Ltd (The)		21,006

		Total Japan		8,347,294


		Malaysia — 0.4%
	11,600	AirAsia Berhad		9,694
	16,800	Alliance Financial Group Berhad		16,866
	3,300	AMMB Holdings Berhad		3,286
	4,000	Berjaya Sports Toto Berhad		2,151
	3,800	Hong Leong Financial Group Berhad		18,110
	32,375	IOI Properties Group Berhad ^*		13,785
	115,200	Petronas Chemicals Group Berhad		264,808
	13,341	RHB Bank Berhad		17,517
	12,300	RHB Capital Berhad ^{* (a)}		—
	71,900	Supermax Corp Berhad		58,679
	7,800	UMW Holdings Berhad		11,304
	8,600	Westports Holdings Berhad		7,766

		Total Malaysia		423,966


		Mexico — 1.0%
	1,900	OHL Mexico SAB de CV		2,863
	408,400	Wal-Mart de Mexico SAB de CV		1,130,808

		Total Mexico		1,133,671


		Netherlands — 0.9%
	453	ASR Nederland NV		21,657
	53,797	ING Groep NV		730,767
	7,953	Koninklijke Ahold Delhaize NV		193,730
	457	Koninklijke Philips NV		20,420
	2,783	Signify NV		78,449

		Total Netherlands		1,045,023


		See accompanying notes to the financial statements.		5

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		New Zealand — 0.0%
	3,835	Contact Energy Ltd		14,081
	6,852	Meridian Energy Ltd		14,695

		Total New Zealand		28,776


		Norway — 1.0%
	889	Aker ASA – A Shares		69,651
	2,486	Austevoll Seafood ASA		32,712
	22,587	DNB ASA		459,194
	16,911	Equinor ASA		433,771
	1,069	Gjensidige Forsikring ASA		17,870
	2,174	Norsk Hydro ASA		11,987
	3,762	Storebrand ASA		33,305
	7,349	Subsea 7 SA		99,912

		Total Norway		1,158,402


		Philippines — 0.1%
	555	Globe Telecom Inc		21,971
	8,480	International Container Terminal Services Inc		14,856
	188,000	Megaworld Corp		16,145
	27,300	Robinsons Land Corp		10,883

		Total Philippines		63,855


		Poland — 0.1%
	2,301	Asseco Poland SA		28,507
	510	Bank Handlowy w Warszawie SA		9,360
	45,966	Energa SA		103,970
	747	Grupa Azoty SA		7,660
	1,738	PGE Polska Grupa Energetyczna SA ^*		4,217

		Total Poland		153,714


		Portugal — 0.0%
	41,678	Sonae SGPS SA		44,339


		Qatar — 0.0%
	1,134	Barwa Real Estate Co		11,213


		Russia — 0.5%
	97,553	Gazprom PJSC Sponsored ADR		430,296
	1,404	LUKOIL PJSC Sponsored ADR		97,020
	2,826	Sistema PJSC Sponsered GDR (Registered)		6,829

		Total Russia		534,145


		Singapore — 0.2%
	800	City Developments Ltd		5,410
	18,700	Golden Agri-Resources Ltd		3,882
	27,900	Hutchison Port Holdings Trust – Class U		6,835
	7,900	Oversea-Chinese Banking Corp Ltd		65,017
	5,600	Singapore Press Holdings Ltd		11,429
	12,900	Suntec Real Estate Investment Trust		17,574


Shares		Description	Value ($)
		Singapore — continued
	2,700	United Overseas Bank Ltd		53,213
	2,600	UOL Group Ltd		13,088
	38,400	Yangzijiang Shipbuilding Holdings Ltd		29,944

		Total Singapore		206,392


		South Africa — 2.9%
	83,786	Absa Group Ltd		926,685
	587	Anglo American Platinum Ltd		17,191
	392	Barloworld Ltd		3,334
	4,578	Imperial Holdings Ltd		64,147
	34,552	Liberty Holdings Ltd		273,362
	21,583	Metair Investments Ltd		25,662
	170,032	MMI Holdings Ltd ^*		198,287
	758	Mondi Ltd		21,150
	37,418	Nedbank Group Ltd		707,790
	1,117	Omnia Holdings Ltd		9,880
	16,044	Reunert Ltd		83,110
	77,732	Standard Bank Group Ltd		985,212
	11,888	Telkom SA SOC Ltd		40,677
	7,412	Wilson Bayly Holmes-Ovcon Ltd		75,588

		Total South Africa		3,432,075


		South Korea — 3.5%
	1,933	BNK Financial Group Inc		14,489
	293	CJ ENM Co Ltd		66,291
	185	Daelim Industrial Co Ltd		13,610
	2,890	DGB Financial Group Inc		26,607
	442	E-MART Inc		85,160
	88	GS Holdings Corp		4,198
	90	GS Home Shopping Inc		16,766
	5,915	Hana Financial Group Inc		226,815
	1,091	Hankook Tire Co Ltd		45,721
	29,980	Hanwha Life Insurance Co Ltd		130,613
	4,946	Hyundai Marine & Fire Insurance Co Ltd		165,237
	60,510	Industrial Bank of Korea		809,990
	7,284	Kia Motors Corp		209,764
	173	Korea Investment Holdings Co Ltd		11,073
	2,511	Korea United Pharm Inc		64,471
	4,781	Korean Reinsurance Co		44,686
	87	KT Corp		2,259
	142	Kumho Petrochemical Co Ltd		13,002
	6,057	Kwang Dong Pharmaceutical Co Ltd		40,915
	1,828	LF Corp		43,606
	8,566	LG Corp		550,304
	2,643	LOTTE Himart Co Ltd		169,914
	313	LS Corp		18,883
	474	NH Investment & Securities Co Ltd		5,724
	1,163	Samjin Pharmaceutical Co Ltd		57,568
	4,764	Samsung Electronics Co Ltd		207,094
	13,800	Shinhan Financial Group Co Ltd		542,022


6		See accompanying notes to the financial statements.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		South Korea — continued
	497	SK Holdings Co Ltd		117,466
	17,700	SK Telecom Co Ltd Sponsored ADR		460,377
	1,345	Woori Bank		19,701

		Total South Korea		4,184,326


		Spain — 0.5%
	21,259	Banco Santander SA		105,640
	10,968	Endesa SA		245,391
	21,924	International Consolidated Airlines Group SA		196,788
	5,010	Repsol SA		96,357

		Total Spain		644,176


		Sweden — 1.2%
	7,549	Alfa Laval AB		202,364
	1,559	Granges AB		18,262
	1,803	Hemfosa Fastigheter AB		24,529
	602	ICA Gruppen AB		18,337
	598	Loomis AB – Class B		19,246
	2,931	Nordea Bank AB		31,673
	629	Oriflame Holding AG		18,301
	6,684	Resurs Holding AB		48,834
	8,158	Sandvik AB		142,803
	3,604	SKF AB – B Shares		69,278
	4,256	SSAB AB – Series A		18,550
	25,752	Svenska Cellulosa AB SCA – Class B		299,784
	13,311	Swedbank AB – A Shares		309,938
	12,738	Volvo AB – B Shares		219,436

		Total Sweden		1,441,335


		Switzerland — 3.1%
	456	BKW AG		32,346
	139	Bucher Industries AG (Registered)		48,704
	40	Inficon Holding AG (Registered) ^*		20,351
	8,934	Nestle SA (Registered)		748,911
	17,913	Novartis AG (Registered)		1,486,100
	92	Pargesa Holding SA		7,466
	4,985	Roche Holding AG		1,236,049
	366	Swiss Re AG		32,929
	424	Zurich Insurance Group AG		129,078

		Total Switzerland		3,741,934


		Taiwan — 5.8%
	70,000	Asia Vital Components Co Ltd		66,736
	66,000	Asustek Computer Inc		562,430
	9,000	Cathay Financial Holding Co Ltd		15,426
	8,520	Chang Hwa Commercial Bank Ltd ^*		5,301
	44,000	China Airlines Ltd		13,488
	16,775	China Life Insurance Co Ltd		16,697
	43,000	Coretronic Corp		80,897
	63,000	CTBC Financial Holding Co Ltd		44,304


Shares		Description	Value ($)
		Taiwan — continued
	11,000	Elan Microelectronics Corp		19,437
	35,277	Eva Airways Corp		17,920
	25,000	Far Eastern New Century Corp		29,119
	50,000	Formosa Chemicals & Fibre Corp		200,372
	92,000	Formosa Plastics Corp		337,261
	3,000	Formosa Taffeta Co Ltd		3,492
	30,000	Fubon Financial Holding Co Ltd		49,739
	136,000	Gigabyte Technology Co Ltd		232,054
	263,000	Grand Pacific Petrochemical		253,644
	57,000	Holtek Semiconductor Inc		157,255
	342,525	Hon Hai Precision Industry Co Ltd		899,826
	6,721	Hua Nan Financial Holdings Co Ltd – Class C		3,940
	8,000	Inventec Corp		7,180
	56,000	Lite-On Semiconductor Corp		63,886
	1,000	Lotes Co Ltd		7,648
	11,000	Micro-Star International Co Ltd		38,025
	155,000	Mitac Holdings Corp ^*		179,277
	337,000	Nan Ya Plastics Corp		937,805
	91,000	Novatek Microelectronics Corp		446,200
	28,000	Phison Electronics Corp		231,801
	376,000	Pou Chen Corp		414,577
	2,000	Primax Electronics Ltd		3,716
	143,000	Radiant Opto-Electronics Corp		314,101
	24,000	Shin Kong Financial Holding Co Ltd		9,493
	9,000	Simplo Technology Co Ltd		65,958
	13,248	SinoPac Financial Holdings Co Ltd		4,856
	7,000	Sitronix Technology Corp		22,080
	112,350	Synnex Technology International Corp		150,373
	33,063	Taiwan Business Bank		11,954
	12,000	Taiwan Fertilizer Co Ltd		16,546
	20,131	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		877,712
	3,000	Transcend Information Inc		7,258
	25,000	Uni-President Enterprises Corp		63,260
	12,000	United Integrated Services Co Ltd		24,220
	29,000	Walsin Lihwa Corp		20,519
	7,000	WPG Holdings Ltd		8,866
	95,000	Yuanta Financial Holding Co Ltd		48,135

		Total Taiwan		6,984,784


		Thailand — 1.8%
	28,100	Com7 Pcl (Foreign Registered)		16,495
	2,800	Glow Energy Pcl (Foreign Registered)		8,041
	227,400	Indorama Ventures Pcl (Foreign Registered)		417,095
	21,000	Krung Thai Bank Pcl (Foreign Registered)		12,454
	365,300	PTT Global Chemical Pcl (Foreign Registered)		913,006
	443,800	PTT Pcl (Foreign Registered)		712,540
	236,600	Quality Houses Pcl (Foreign Registered)		25,015
	54,500	Thanachart Capital Pcl (Foreign Registered)		89,529

		Total Thailand		2,194,175


		See accompanying notes to the financial statements.		7

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Turkey — 0.7%
	175,125	KOC Holding AS		400,209
	1,778	TAV Havalimanlari Holding AS		8,946
	475,181	Turkiye Is Bankasi – Class C		289,346
	15,179	Turkiye Sise ve Cam Fabrikalari AS		14,268
	143,796	Turkiye Vakiflar Bankasi TAO – Class D		76,005

		Total Turkey		788,774


		United Arab Emirates — 0.0%
	7,875	Abu Dhabi Commercial Bank PJSC		15,220
	4,957	Emaar Malls PJSC		2,698

		Total United Arab Emirates		17,918


		United Kingdom — 6.6%
	24,450	3i Group Plc		284,700
	5,386	888 Holdings Plc		16,307
	734	Antofagasta Plc		7,689
	2,100	AstraZeneca Plc Sponsored ADR		80,514
	531	AstraZeneca Plc		40,077
	7,736	Barratt Developments Plc		54,426
	3,185	Bellway Plc		120,661
	1,850	Berkeley Group Holdings Plc (The)		87,507
	152	BHP Billiton Plc		3,252
	500	BP Plc Sponsored ADR		21,440
	14,806	British American Tobacco Plc		715,977
	400	British American Tobacco Plc Sponsored ADR		19,352
	2,117	Britvic Plc		22,402
	9,151	Cobham Plc ^*		14,790
	9,654	Direct Line Insurance Group Plc		41,474
	1,788	easyJet Plc		35,421
	4,185	Electrocomponents Plc		40,339
	2,862	Evraz Plc		18,508
	12,309	Ferrexpo Plc		24,847
	654	Galliford Try Plc		8,248
	22,500	GlaxoSmithKline Plc Sponsored ADR		911,250
	4,999	Grainger Plc		19,938
	1,658	Hammerson Plc (REIT)		10,154
	45,789	HSBC Holdings Plc		398,546
	2,600	HSBC Holdings Plc Sponsored ADR		114,426
	8,754	IG Group Holdings Plc		102,795
	528	Imperial Brands Plc		18,812
	4,773	Intu Properties Plc (REIT)		9,779
	5,193	Investec Plc		34,160
	6,818	J Sainsbury Plc		28,700
	1,649	Land Securities Group Plc (REIT)		19,628
	170,328	Legal & General Group Plc		562,873
	599,897	Lloyds Banking Group Plc		462,112
	1,227	Meggitt Plc		8,574
	1,812	Mondi Plc		50,494
	2,990	Northgate Plc		15,890


Shares		Description	Value ($)
		United Kingdom — Continued
	11,204	Persimmon Plc		354,460
	3,866	Plus500 Ltd		77,235
	15,832	QinetiQ Group Plc		55,752
	10,256	Quilter Plc		18,727
	11,472	Reckitt Benckiser Group Plc		977,210
	2,867	Royal Dutch Shell Plc A Shares (London)		93,275
	206	Royal Dutch Shell Plc B Shares (London)		6,819
	11,628	Royal Dutch Shell Plc – Class A		378,182
	1,200	Royal Dutch Shell Plc – Class A Sponsored ADR		78,276
	900	Royal Dutch Shell Plc – Class B Sponsored ADR		60,642
	21,905	Royal Mail Plc		127,382
	1,785	Savills Plc		18,535
	5,923	Segro Plc (REIT)		50,641
	2,321	Spectris Plc		70,958
	5,174	TUI AG		95,504
	14,068	Unilever Plc		801,661
	1,767	Vedanta Resources Plc		19,195
	5,365	Vesuvius Plc		43,222
	26,154	William Hill Plc		87,385

		Total United Kingdom		7,841,123


		United States — 24.9%
	3,111	3M Co.		656,172
	7,371	Abbott Laboratories		492,678
	6,400	Accenture Plc – Class A		1,082,048
	1,800	Alphabet, Inc. – Class C ^*		2,192,742
	8,729	American Express Co.		925,099
	3,100	Amphenol Corp. – Class A		293,198
	3,569	Anthem, Inc.		944,821
	10,475	Apple, Inc.		2,384,424
	1,779	Becton Dickinson and Co.		465,867
	20,851	Cisco Systems, Inc.		996,052
	12,367	Coca-Cola Co. (The)		551,197
	10,266	Cognizant Technology Solutions Corp. – Class A		805,162
	4,814	Costco Wholesale Corp.		1,122,288
	3,522	Facebook, Inc. – Class A ^*		618,921
	2,600	Honeywell International, Inc.		413,556
	8,400	Johnson & Johnson		1,131,396
	1,563	Mastercard, Inc. – Class A		336,920
	11,667	Medtronic Plc		1,124,816
	13,611	Merck & Co., Inc.		933,579
	19,551	Microsoft Corp.		2,196,164
	36,182	Oracle Corp.		1,757,722
	1,766	PepsiCo, Inc.		197,810
	5,384	Philip Morris International, Inc.		419,360
	14,909	QUALCOMM, Inc.		1,024,397
	1,526	Stryker Corp.		258,550


8		See accompanying notes to the financial statements.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		United States — continued
	4,100	Teradata Corp. ^*		170,027
	6,381	Texas Instruments, Inc.		717,224
	9,016	TJX Cos., Inc. (The)		991,490
	5,292	UnitedHealth Group, Inc.		1,420,690
	5,889	United Technologies Corp.		775,581
	16,953	US Bancorp		917,327
	3,500	Visa, Inc. – Class A		514,115
	16,323	Wells Fargo & Co.		954,569

		Total United States		29,785,962


		TOTAL COMMON STOCKS (COST $104,171,004)		105,146,007


		PREFERRED STOCKS^(b) — 1.0%

		Brazil — 0.2%
	11,368	Banco Bradesco SA		79,209
	2,400	Banco Bradesco SA ADR		16,656
	18,800	Banco do Estado do Rio Grande do Sul SA – Class B		67,619
	1,140	Itau Unibanco Holding SA		11,831

		Total Brazil		175,315


		Colombia — 0.0%
	37,891	Grupo Aval Acciones y Valores SA		14,927


		Germany — 0.3%
	136	Draegerwerk AG & Co KGaA		10,977
	243	Sixt SE		20,306
	2,036	Volkswagen AG		332,820

		Total Germany		364,103


		Russia — 0.0%
	27,445	Surgutneftegas OJSC		15,231


		South Korea — 0.5%
	12,700	Samsung Electronics Co Ltd		452,517
	148	Samsung Electronics Co Ltd GDR		130,431

		Total South Korea		582,948


		TOTAL PREFERRED STOCKS (COST $1,064,876)		1,152,524


		RIGHTS/WARRANTS— 0.0%

		Thailand — 0.0%
	3,633	BTS Group Holdings Pcl (Foreign Registered), Expires 12/31/19 ^*		—


		TOTAL RIGHTS/WARRANTS (COST $0)		—


Shares		Description	Value ($)
		MUTUAL FUNDS— 6.3%

		United States — 6.3%
		Affiliated Issuers — 6.3%
	299,286	GMO U.S. Treasury Fund		7,476,175


		TOTAL MUTUAL FUNDS (COST $7,476,175)		7,476,175


		SHORT-TERM INVESTMENTS— 6.5%

		Money Market Fund — 0.2%
	257,226	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% ^(c)		257,226


		U.S. Government — 6.3%
	2,600,000	U.S. Treasury Bill, 1.13%, due 01/10/19^{(d) (e)}		2,580,170
	2,500,000	U.S. Treasury Bill, 1.96%, due 11/08/18^{(d) (e)}		2,490,792
	2,500,000	U.S. Treasury Bill, 1.96%, due 11/15/18^{(d) (e)}		2,489,825

		Total U.S. Government		7,560,787


		TOTAL SHORT-TERM INVESTMENTS (COST $7,817,314)		7,818,013


		TOTAL INVESTMENTS — 101.8% (Cost $120,529,369)		121,592,719
		Other Assets and Liabilities (net) — (1.8%)		(2,095,057	)


		TOTAL NET ASSETS — 100.0%		$119,497,662


		See accompanying notes to the financial statements.		9

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

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

Forward Currency Contracts



Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Un- realized Appre- ciation (Depre- ciation) ($)
10/15/2018	GS		AUD	25,764		USD	19,030	$	508
10/15/2018	MSCI		AUD	1,407,424		USD	1,041,652		29,843
10/15/2018	SSB		AUD	89,395		USD	66,185		1,918
10/12/2018	BOA		CHF	274,396		USD	277,701		(6,308	)
10/12/2018	MSCI		CHF	769,511		USD	780,576		(15,896	)
10/12/2018	SSB		CHF	9,485		USD	9,598		(220	)
09/19/2018	MSCI		EUR	8,402,469		USD	9,820,154		57,040
09/19/2018	SSB		EUR	371,682		USD	436,135		4,266
09/19/2018	BCLY		GBP	57,661		USD	75,814		1,018
09/19/2018	GS		GBP	302,239		USD	398,250		6,197
09/19/2018	JPM		GBP	3,287,927		USD	4,371,089		106,120
09/19/2018	SSB		GBP	19,765		USD	25,963		325
09/18/2018	BCLY		JPY	165,741,813		USD	1,497,043		4,053
09/18/2018	JPM		JPY	1,323,360,425		USD	12,067,687		146,958
09/18/2018	SSB		JPY	1,293,670		USD	11,696		42
10/12/2018	BOA		NOK	8,141,592		USD	1,013,984		41,717
10/12/2018	GS		NOK	865,660		USD	106,105		2,728
10/12/2018	BCLY		SEK	9,171,200		USD	1,054,825		49,070
10/12/2018	GS		SEK	106,552		USD	12,115		430
10/12/2018	SSB		SEK	2,539,796		USD	290,103		11,578
09/18/2018	GS		USD	354,167		JPY	38,973,700		(3,095	)
09/18/2018	JPM		USD	4,620,498		JPY	507,715,600		(47,035	)
09/19/2018	JPM		USD	474,708		EUR	404,200		(5,054	)

								$	386,203

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
735	S&P 500 E-Mini	September 2018	$	106,652,175	$	(4,276,176	)

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Notes to Schedule of Investments:

*	Non-income producing security.

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

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

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

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

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


10		See accompanying notes to the financial statements.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		52.3	%
Debt Obligations		38.9
Short-Term Investments		6.2
Preferred Stocks		0.8
Mutual Funds		0.3
Investment Funds		0.3
Swap Contracts		0.1
Forward Currency Contracts		0.1
Loan Participations		0.0	^
Purchased Options		0.0	^
Rights/Warrants		0.0	^
Loan Assignments		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Written/Credit Linked Options		(0.0	)^
Futures Contracts		(0.6	)
Securities Sold Short		(2.6	)
Other		4.2

		100.0	%


Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		11.6	%
Other Emerging		1.9	†
Canada		1.5
Other Developed		0.2	‡
Euro Region		0.0	^#
Japan		(1.2	)
United Kingdom		(3.4	)

		10.6	%


Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		8.7	%
China		6.1
Other Developed		5.5	‡
Taiwan		4.3
Japan		3.9
Other Emerging		3.3	†
United Kingdom		3.2
South Korea		2.3
Germany		2.3
Russia		2.2
South Africa		2.0
Brazil		1.3
India		1.3
Canada		1.3
Thailand		1.2
Switzerland		1.1
France		1.1

		51.1	%

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

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

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

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

^	Rounds to 0.0%.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		MUTUAL FUNDS— 100.0%

		Affiliated Issuers— 100.0%
	11,641,097	GMO Emerging Country Debt Fund, Class IV		312,563,466
	7,378,718	GMO High Yield Fund, Class VI		150,525,852
	732,425,047	GMO Implementation Fund		9,946,332,141
	21,167,843	GMO Opportunistic Income Fund, Class VI		565,393,078
	11,259,912	GMO Risk Premium Fund, Class VI		319,218,502
	29,398,146	GMO SGM Major Markets Fund, Class VI		941,622,617
	16,155,873	GMO Special Opportunities Fund, Class VI		316,816,668


		TOTAL MUTUAL FUNDS (COST $12,214,810,128)		12,552,472,324


		SHORT-TERM INVESTMENTS — 0.1%

		Money Market Funds— 0.1%
	7,583,551	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.88% ^(a)		7,583,551


		TOTAL SHORT-TERM INVESTMENTS (COST $7,583,551)		7,583,551


		TOTAL INVESTMENTS — 100.1% (Cost $12,222,393,679)		12,560,055,875
		Other Assets and Liabilities (net) — (0.1%)		(6,936,476	)


		TOTAL NET ASSETS — 100.0%		$12,553,119,399

Notes to Schedule of Investments:

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


12		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		54.8	%
Debt Obligations		33.8
Short-Term Investments		9.7
Preferred Stocks		1.1
Investment Funds		0.3
Swap Contracts		0.1
Forward Currency Contracts		0.1
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Purchased Options		0.0	^
Loan Assignments		0.0	^
Written/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Futures Contracts		(0.5	)
Securities Sold Short		(1.3	)
Other		1.9

		100.0	%


Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		12.7	%
Other Emerging		2.2	†
Euro Region		0.0	^#
Other Developed		(1.1	)‡

		13.8	%


Country/Region Summary¤	Equity Investments as a % of Total Net Assets
China		8.1	%
United States		6.3
Taiwan		5.1
Japan		4.7
Other Developed		4.3	‡
Other Emerging		3.6	†
United Kingdom		3.2
South Korea		3.2
Russia		2.5
Germany		2.1
India		2.0
South Africa		2.0
Brazil		1.5
Thailand		1.5
Canada		1.5
France		1.2
Switzerland		1.1
Sweden		1.0

		54.9	%

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

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

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

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

^	Rounds to 0.0%.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		COMMON STOCKS — 41.4%

		Australia — 0.8%
	7,764	Altium Ltd		156,843
	35,634	Australia & New Zealand Banking Group Ltd		757,250
	191,041	Beach Energy Ltd		267,034
	12,054	Brickworks Ltd		151,688
	228,449	Caltex Australia Ltd		4,964,262
	52,601	Charter Hall Group (REIT)		269,648
	40,010	Codan Ltd		89,625
	204,284	Costa Group Holdings Ltd		1,063,438
	8,241	Credit Corp Group Ltd		136,797
	34,164	Cromwell Property Group (REIT)		27,155
	7,022	Crown Resorts Ltd		71,810
	12,985	CSL Ltd		2,128,714
	215,016	CSR Ltd		666,595
	611,645	Downer EDI Ltd		3,402,747
	7,585	Elders Ltd		36,382
	15,707	Folkestone Education Trust (REIT)		31,138
	33,484	GDI Property Group (REIT)		30,555
	181,394	Genworth Mortgage Insurance Australia Ltd		344,758
	5,324	Lovisa Holdings Ltd		41,646
	92,187	Macquarie Group Ltd		8,622,546
	3,238	McMillan Shakespeare Ltd		41,655
	319,075	Metcash Ltd		635,327
	186,543	Mineral Resources Ltd		2,031,992
	33,169	Mirvac Group (REIT)		58,112
	3,161	Monadelphous Group Ltd		32,680
	242,495	Nine Entertainment Co Holdings Ltd		421,341
	171,413	OZ Minerals Ltd		1,114,500
	15,539	Pact Group Holdings Ltd		46,023
	148,096	Sandfire Resources NL		755,163
	381,954	Scentre Group (REIT)		1,130,826
	15,786	Shopping Centres Australasia Property Group (REIT)		27,402
	54,876	Sigma Healthcare Ltd		22,509
	5,731	St Barbara Ltd		16,173
	34,403	Stockland (REIT)		102,358
	13,028	Virtus Health Ltd		54,522
	25,340	WPP AUNZ Ltd		15,659

		Total Australia		29,766,873


		Austria — 0.2%
	1,657	FACC AG		41,823
	2,064	Oesterreichische Post AG		91,205
	101,346	OMV AG		5,373,059
	3,242	POLYTEC Holding AG		40,155
	5,220	S IMMO AG		109,684
	3,638	Vienna Insurance Group AG Wiener Versicherung Gruppe		99,213


Shares		Description	Value ($)
		Austria — continued
	27,310	voestalpine AG		1,227,538

		Total Austria		6,982,677


		Belgium — 0.1%
	22,610	AGFA-Gevaert NV ^*		99,289
	3,540	Barco NV		487,124
	1,729	D’ieteren SA		76,669
	8,507	KBC Group NV		604,846
	6,372	UCB SA		583,288

		Total Belgium		1,851,216


		Brazil — 1.1%
	167,000	Ambev SA ADR		776,550
	14,700	Banco Bradesco SA		90,623
	295,600	Banco BTG Pactual SA		1,487,761
	484,600	Banco do Brasil SA		3,581,169
	919,400	Banco Santander Brasil SA		7,810,081
	20,500	BB Seguridade Participacoes SA		123,208
	1,040,500	Cia de Saneamento Basico do Estado de Sao Paulo		6,233,140
	134,900	Cia de Saneamento Basico do Estado de Sao Paulo ADR		810,749
	38,500	Cia de Saneamento de Minas Gerais-COPASA		395,861
	37,700	Cielo SA		139,763
	13,200	Construtora Tenda SA ^*		95,603
	7,000	Cosan SA		59,807
	3,600	Embraer SA Sponsored ADR ^(a)		69,084
	10,500	Equatorial Energia SA		146,940
	296,800	Estacio Participacoes SA		1,642,452
	178,700	Grendene SA		314,132
	4,257,200	JBS SA		9,824,871
	110,000	Kroton Educacional SA		276,006
	27,200	Mahle-Metal Leve SA		168,485
	79,100	MRV Engenharia e Participacoes SA		252,461
	9,700	Multiplus SA		57,941
	651,740	Petrobras Distribuidora SA		3,165,014
	15,000	QGEP Participacoes SA		44,929
	1,850	Qualicorp Consultoria e Corretora de Seguros SA		7,158
	2,400	SLC Agricola SA		38,889
	7,900	Smiles Fidelidade SA		100,682
	36,000	Tim Participacoes SA		108,625
	43,000	Transmissora Alianca de Energia Eletrica SA		212,197
	18,500	Ultrapar Participacoes SA		186,994
	7,900	Ultrapar Participacoes SA Sponsored ADR		80,738
	155,900	Via Varejo SA		646,856

		Total Brazil		38,948,769


14		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Canada — 1.6%
	28,600	AGF Management Ltd – Class B		134,782
	17,200	Bank of Montreal		1,409,873
	34,300	Bank of Montreal ^(a) (b)		2,811,228
	24,000	Bank of Nova Scotia (The)		1,389,600
	38,900	Bank of Nova Scotia (The)		2,251,431
	11,600	Baytex Energy Corp ^*		34,684
	51,837	BRP Inc Sub Voting		2,705,852
	9,000	Canaccord Genuity Group Inc		48,621
	4,100	Canadian Imperial Bank of Commerce		384,088
	31,500	Canadian Imperial Bank of Commerce		2,952,069
	41,700	Canfor Corp ^*		961,497
	4,200	Canfor Pulp Products Inc		88,087
	1,200	Cascades Inc		12,202
	1,800	Celestica Inc ^*		22,138
	3,800	Cogeco Inc		180,740
	600	Constellation Software Inc		457,513
	6,200	Dollarama Inc		234,460
	21,300	Empire Co Ltd – A Shares		406,087
	600	George Weston Ltd		46,731
	1,400	Industrial Alliance Insurance & Financial Services Inc		58,038
	10,000	Interfor Corp ^*		172,107
	15,100	Labrador Iron Ore Royalty Corp		293,900
	26,400	Magna International Inc ^(b)		1,428,768
	47,200	Magna International Inc		2,555,672
	4,500	Martinrea International Inc		48,690
	5,700	Medical Facilities Corp		68,618
	7,900	Metro Inc		247,352
	31,700	National Bank of Canada		1,586,457
	6,800	Norbord Inc		258,765
	28,200	Rogers Sugar Inc		117,122
	201,400	Royal Bank of Canada		15,997,796
	50,700	Russel Metals Inc		1,108,407
	120,100	Sun Life Financial Inc ^(b)		4,772,774
	27,300	Sun Life Financial Inc		1,085,096
	13,400	TFI International Inc		497,392
	94,500	Toronto-Dominion Bank (The)		5,695,345
	69,500	Transcontinental Inc – Class A		1,693,031
	3,900	Valener Inc		59,919
	11,200	Wajax Corp		237,646
	48,600	West Fraser Timber Co Ltd		3,223,986
	9,400	ZCL Composites Inc		56,112

		Total Canada		57,794,676


		Chile — 0.0%
	42,485	AES Gener SA		10,670
	3,516	Inversiones La Construccion SA		57,328

		Total Chile		67,998


Shares		Description	Value ($)
		China — 5.8%
	88,000	361 Degrees International Ltd		25,256
	6,000	AAC Technologies Holdings Inc		66,685
	2,709,668	Agile Group Holdings Ltd		4,431,878
	36,013,000	Agricultural Bank of China Ltd – Class H		17,451,041
	106,300	Anhui Conch Cement Co Ltd – Class A		579,068
	133,500	Anhui Conch Cement Co Ltd – Class H		814,407
	36,000	Anhui Expressway Co Ltd – Class H		20,881
	17,000	ANTA Sports Products Ltd		92,705
	2,465,500	BAIC Motor Corp Ltd – Class H		2,074,373
	23,200	Baidu Inc Sponsored ADR ^* (b)		5,254,336
	2,973,000	Bank of China Ltd – Class H		1,335,939
	5,497,000	Bank of Communications Co Ltd – Class H		3,972,566
	44,000	Baoye Group Co Ltd – Class H ^*		25,978
	175,000	Cabbeen Fashion Ltd		56,434
	42,100	Cangzhou Mingzhu Plastic Co Ltd – Class A		28,841
	15,400	Changyou.com Ltd ADR		207,746
	3,776,000	China CITIC Bank Corp Ltd – Class H		2,359,201
	6,604,000	China Communications Services Corp Ltd – Class H		5,471,355
	454,600	China Construction Bank Corp – Class A		458,816
	2,866,000	China Construction Bank Corp – Class H		2,524,190
	1,381,000	China Everbright Bank Co Ltd – Class H		577,432
	2,154,000	China Greenfresh Group Co Ltd ^*		323,815
	1,114,000	China Huarong Asset Management Co Ltd – Class H		231,580
	3,279,000	China Lesso Group Holdings Ltd		1,892,304
	222,000	China Lilang Ltd		246,243
	2,850,000	China Machinery Engineering Corp – Class H		1,387,857
	90,000	China Medical System Holdings Ltd		149,170
	125,000	China Mobile Ltd		1,175,690
	4,134,900	China National Building Material Co Ltd – Class H		3,874,461
	174,000	China Overseas Land & Investment Ltd		551,497
	13,900	China Petroleum & Chemical Corp ADR		1,380,409
	492,800	China Petroleum & Chemical Corp – Class A		494,288
	18,344,000	China Petroleum & Chemical Corp – Class H		18,457,484
	162,000	China Pioneer Pharma Holdings Ltd		40,256
	8,601,000	China Railway Construction Corp Ltd – Class H		10,404,856
	2,521,042	China Railway Group Ltd – Class H		2,178,884
	430,000	China Resources Cement Holdings Ltd		502,857
	172,000	China Resources Land Ltd		599,979
	1,418,500	China Resources Pharmaceutical Group Ltd		2,270,009
	359,000	China SCE Group Holdings Ltd		161,158
	45,600	China Shenhua Energy Co Ltd – Class A		123,771
	1,473,000	China Shenhua Energy Co Ltd – Class H		3,289,946
	495,000	China Shineway Pharmaceutical Group Ltd		699,520


		See accompanying notes to the financial statements.		15

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		China — continued
	27,144,000	China Telecom Corp Ltd – Class H		12,765,892
	288,000	China Travel International Investment Hong Kong Ltd		93,638
	60,700	China Vanke Co Ltd – Class A		214,192
	139,900	China Vanke Co Ltd – Class H		485,369
	111,097	China Yangtze Power Co Ltd – Class A		257,664
	23,300	China Yuchai International Ltd		468,563
	38,100	Chongqing Department Store Co Ltd – Class A		160,262
	3,649,000	Chongqing Rural Commercial Bank Co Ltd – Class H		1,968,200
	82,000	CIFI Holdings Group Co Ltd		47,627
	45,000	CNOOC Ltd		79,847
	230,000	Country Garden Holdings Co Ltd		342,883
	25,517	Country Garden Services Holdings Co Ltd ^*		43,109
	100,000	Dah Chong Hong Holdings Ltd		43,490
	221,099	Daqin Railway Co Ltd – Class A		279,540
	20,100	Dashang Co Ltd – Class A		84,354
	6,160,000	Dongfeng Motor Group Co Ltd – Class H		6,886,122
	9,000	ENN Energy Holdings Ltd		82,045
	97,100	Fangda Special Steel Technology Co Ltd – Class A		157,907
	528,000	Geely Automobile Holdings Ltd		1,124,156
	99,700	Gree Electric Appliances Inc of Zhuhai – Class A ^*		569,643
	232,000	Guangdong Investment Ltd		411,865
	762,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		2,807,539
	4,705,079	Guangzhou R&F Properties Co Ltd – Class H		9,508,392
	2,373,000	Haier Electronics Group Co Ltd ^*		6,188,428
	24,000	Haitian International Holdings Ltd		48,164
	1,544,000	Harbin Electric Co Ltd – Class H		485,770
	114,300	Heilan Home Co Ltd – Class A		167,034
	51,200	Henan Shuanghui Investment & Development Co Ltd – Class A		174,425
	8,000	Hengan International Group Co Ltd		72,076
	558,000	Hua Hong Semiconductor Ltd		1,523,556
	2,842,000	Huabao International Holdings Ltd		1,674,675
	74,000	IGG Inc		89,492
	217,800	Industrial & Commercial Bank of China Ltd – Class A		173,713
	1,969,000	Industrial and Commercial Bank of China Ltd – Class H		1,454,299
	76,000	Jiangsu Expressway Co Ltd – Class H		96,118
	49,000	JNBY Design Ltd		83,493
	1,129,000	Kingboard Holdings Ltd		4,019,127
	956,500	Kingboard Laminates Holdings Ltd		904,322
	9,500	Legend Holdings Corp – Class H		29,418
	499,680	Livzon Pharmaceutical Group Inc – Class H		2,018,349
	92,400	Logan Property Holdings Co Ltd		115,610


Shares		Description	Value ($)
		China — continued
	78,500	Longfor Group Holdings Ltd		218,350
	7,152,000	Lonking Holdings Ltd		2,462,439
	7,500	Momo Inc Sponsored ADR ^*		347,175
	600	NetEase Inc ADR ^(a)		118,626
	19,000	Nine Dragons Paper Holdings Ltd		21,576
	136,000	People’s Insurance Co Group of China Ltd (The) – Class H		58,994
	360,000	PICC Property & Casualty Co Ltd – Class H		405,924
	8,418,000	Postal Savings Bank of China Co Ltd – Class H		4,961,741
	1,235,000	Powerlong Real Estate Holdings Ltd		631,630
	102,000	Qingling Motors Co Ltd – Class H		27,822
	278,000	Road King Infrastructure Ltd		472,332
	597,000	Shanghai Industrial Holdings Ltd		1,423,463
	1,510,200	Shanghai Pharmaceuticals Holding Co Ltd – Class H		3,966,994
	206,638	Shanghai SMI Holding Co Ltd – Class A		173,481
	38,000	Shenzhen Expressway Co Ltd – Class H		36,869
	152,000	Shenzhen Investment Ltd		49,806
	8,000	Shenzhou International Group Holdings Ltd.		105,077
	3,442,000	Shimao Property Holdings Ltd		10,279,093
	1,120,000	Sino Biopharmaceutical Ltd		1,419,498
	122,500	Sino-Ocean Group Holding Ltd		62,328
	1,638,000	Sinotruk Hong Kong Ltd		2,446,383
	2,046,000	SSY Group Ltd		1,903,659
	349,098	Suning Universal Co Ltd – Class A		172,861
	38,800	Tencent Holdings Ltd		1,667,901
	3,800	Tencent Holdings Ltd ADR		163,932
	267,500	Texhong Textile Group Ltd		460,349
	646,000	Tianjin Port Development Holdings Ltd ^*		75,765
	1,076,000	Tianneng Power International Ltd		1,337,438
	35,000	Times China Holdings Ltd		41,569
	1,749,000	TravelSky Technology Ltd – Class H		4,490,909
	179,000	Uni-President China Holdings Ltd		176,389
	3,089,000	Weichai Power Co Ltd – Class H		3,276,079
	523,000	Xinhua Winshare Publishing and Media Co Ltd – Class H		348,630
	2,006,000	Xtep International Holdings Ltd		1,340,300
	42,000	Yuexiu Transport Infrastructure Ltd		32,662
	5,945,000	Yuzhou Properties Co Ltd		3,163,563
	6,000	YY Inc ADR ^*		458,580
	306,000	Zhejiang Expressway Co Ltd – Class H		242,951
	66,286	Zhejiang Weixing New Building Materials Co Ltd – Class A		164,456

		Total China		205,673,124


		Colombia — 0.1%
	144,314	Almacenes Exito SA		751,381
	86,031	Ecopetrol SA		96,590


16		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Colombia — continued
	71,500	Ecopetrol SA Sponsored ADR		1,615,900

		Total Colombia		2,463,871


		Czech Republic — 0.0%
	15,021	Moneta Money Bank AS		52,504
	252	Philip Morris CR AS		168,930

		Total Czech Republic		221,434


		Denmark — 0.2%
	36,300	Novo Nordisk A/S Sponsored ADR		1,784,871
	109,852	Novo Nordisk A/S – Class B		5,407,592
	376	Rockwool International A/S – Class B		163,384
	9,927	Royal Unibrew A/S		855,476
	8,488	Scandinavian Tobacco Group A/S		139,736
	2,578	Schouw & Co AB		203,834
	536	SimCorp A/S		50,769
	3,592	Spar Nord Bank A/S		35,136

		Total Denmark		8,640,798


		Egypt — 0.0%
	37,976	Global Telecom Holding SAE ^*		9,052


		Finland — 0.3%
	2,441	Cramo Oyj		51,607
	4,644	DNA Oyj		98,813
	4,169	Finnair Oyj		36,368
	359	Kesko Oyj – B Shares		20,912
	9,849	Metsa Board Oyj		99,240
	39,545	Neste Oyj		3,433,401
	19,281	Stora Enso Oyj – R Shares		358,858
	2,487	Tieto Oyj		80,723
	122,894	UPM-Kymmene Oyj		4,740,571

		Total Finland		8,920,493


		France — 1.3%
	3,147	AKWEL		76,516
	7,526	Alten SA		779,303
	13,315	AXA SA		335,548
	94,725	BNP Paribas SA		5,576,740
	1,005	Bonduelle SCA		33,480
	17,283	Christian Dior SE		7,456,830
	95,650	CNP Assurances		2,210,736
	29,187	Coface SA		273,835
	42,523	Credit Agricole SA		581,823
	462	Dassault Systemes SE		74,974
	8,748	Derichebourg SA		48,993
	2,791	Eramet		239,118
	2,576	Gaztransport Et Technigaz SA		176,245
	655	Interparfums SA		30,374


Shares		Description	Value ($)
		France — continued
	1,220	Ipsen SA		217,408
	4,876	IPSOS ^(b)		154,562
	2,872	Jacquet Metal Service		83,913
	2,352	Kaufman & Broad SA		123,858
	33,628	L’Oreal SA		8,050,741
	2,254	Mersen SA		88,254
	10,993	Metropole Television SA		217,649
	94,349	Natixis SA		631,004
	430	Nexity SA		26,278
	7,715	Peugeot SA		212,582
	2,381	Rallye SA		24,719
	46,321	Sanofi		3,977,740
	36,800	Sanofi ADR ^(a)		1,576,880
	4,034	Schneider Electric SE		327,823
	22,080	SCOR SE		892,589
	27,897	Societe Generale SA		1,142,306
	322,900	STMicroelectronics NV – NY Shares (Registered)		6,680,801
	174,745	STMicroelectronics NV		3,605,441
	614	Vilmorin & Cie SA		42,597

		Total France		45,971,660


		Germany — 2.1%
	937	Aareal Bank AG		38,100
	55,416	Allianz SE (Registered)		11,811,465
	814	Amadeus Fire AG		93,838
	44,833	BASF SE		4,142,817
	4,182	Bayer AG (Registered)		390,282
	145,041	Bayerische Motoren Werke AG		14,040,944
	3,883	Cewe Stiftung & Co KGAA		356,997
	80,745	Covestro AG ^(b)		6,874,744
	194,909	Daimler AG (Registered Shares)		12,604,828
	462,371	Deutsche Lufthansa AG (Registered)		12,080,626
	34,496	Deutsche Pfandbriefbank AG		504,997
	2,222	Elmos Semiconductor AG		57,397
	7,135	Henkel AG & Co KGaA		796,165
	2,917	Isra Vision AG		203,004
	728	Koenig & Bauer AG		50,495
	1,419	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		305,701
	752	Rheinmetall AG		82,011
	4,149	RWE AG		105,231
	38,579	SAP AG		4,631,323
	805	Siltronic AG		116,701
	7,175	Software AG		353,822
	2,158	Takkt AG		37,646
	20,664	Talanx AG		780,299
	18,791	Volkswagen AG		3,024,765
	4,783	Wacker Neuson SE		132,235
	654	Washtec AG		63,493


		See accompanying notes to the financial statements.		17

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Germany — continued
	2,753	Wuestenrot & Wuerttembergische AG		63,594

		Total Germany		73,743,520


		Greece — 0.0%
	12,055	FF Group ^* (c)		67,166


		Hong Kong — 0.5%
	352,400	BOC Hong Kong Holdings Ltd		1,721,049
	751,400	Champion (REIT)		552,666
	38,000	CK Asset Holdings Ltd		271,006
	41,700	Dah Sing Banking Group Ltd		86,010
	2,800	Dah Sing Financial Holdings Ltd		17,415
	78,000	Fortune Real Estate Investment Trust		93,433
	8,100	Hang Seng Bank Ltd		219,746
	90,100	Hysan Development Co Ltd		462,331
	841,638	I-CABLE Communications Ltd ^*		9,547
	35,000	Johnson Electric Holdings Ltd		102,626
	221,800	Kerry Properties Ltd		841,137
	54,800	Luk Fook Holdings International Ltd		190,688
	1,739,900	SJM Holdings Ltd		1,969,935
	10,300	SmarTone Telecommunications Holdings Ltd		10,422
	7,669,500	WH Group Ltd		5,792,232
	689,100	Wharf Holdings Ltd (The)		1,967,899
	407,100	Wharf Real Estate Investment Co Ltd		2,701,046
	339,500	Wheelock & Co Ltd		2,131,751
	39,425	Xinyi Automobile Glass Hong Kong Enterprises Ltd ^*		9,596
	18,000	Xinyi Glass Holdings Ltd		22,502
	8,400	Yue Yuen Industrial Holdings Ltd		23,287

		Total Hong Kong		19,196,324


		Hungary — 0.0%
	733,294	Magyar Telekom Telecommunications Plc		1,074,870
	7,155	Richter Gedeon Nyrt		140,498

		Total Hungary		1,215,368


		India — 1.6%
	565	ACC Ltd		13,109
	23,117	Apollo Tyres Ltd		82,114
	31,638	Aurobindo Pharma Ltd		318,380
	2,476	Bajaj Auto Ltd		96,235
	13,132	Balmer Lawrie & Co Ltd		42,622
	137,242	Balrampur Chini Mills Ltd ^*		147,929
	22,023	Bata India Ltd		336,778
	11,377	Castrol India Ltd		25,518
	12,475	Divi’s Laboratories Ltd		230,518
	583,463	Firstsource Solutions Ltd		620,409
	7,479	Gujarat State Petronet Ltd		20,279
	873,986	HCL Technologies Ltd		12,876,195


Shares		Description	Value ($)
		India — continued
	46,273	Hero MotoCorp Ltd		2,129,048
	278,822	Hexaware Technologies Ltd		1,725,555
	66,933	Hindustan Unilever Ltd		1,677,581
	108,196	HT Media Ltd		84,219
	18,105	IDFC Bank Ltd		12,189
	319,360	ITC Ltd		1,440,632
	87,812	Jamna Auto Industries Ltd		100,819
	20,330	Jubilant Life Sciences Ltd ^*		206,601
	83,020	Just Dial Ltd ^*		654,736
	12,597	KPIT Technologies Ltd		53,870
	52,988	Larsen & Toubro Infotech Ltd		1,335,831
	2,258	Mahanagar Gas Ltd		27,490
	195,698	Mahindra & Mahindra Ltd		2,667,111
	53,299	Maruti Suzuki India Ltd		6,845,885
	11,280	Mastek Ltd		85,739
	3,014	Merck Ltd		148,850
	119,432	Mphasis Ltd		2,131,914
	306	MRF Ltd		319,106
	77,100	NHPC Ltd		27,631
	120,379	NIIT Technologies Ltd		2,392,105
	959,843	Oil & Natural Gas Corp Ltd		2,435,774
	10,626	Oil India Ltd		32,054
	400	Oracle Financial Services Software Ltd		23,603
	2,838	Pidilite Industries Ltd		46,781
	1,301	Piramal Enterprises Ltd		58,922
	607,485	Power Finance Corp Ltd		724,285
	739,608	PTC India Ltd		874,488
	20,493	Rajesh Exports Ltd		192,067
	400,527	Reliance Capital Ltd		2,660,423
	3,690	Repco Home Finance Ltd		28,303
	2,842,573	Rural Electrification Corp Ltd		4,809,390
	116,413	Sonata Software Ltd		578,896
	4,342	Tata Motors Ltd – Class A ^*		8,716
	116,736	Tech Mahindra Ltd		1,261,575
	40,975	Vakrangee Ltd		22,284
	70,349	VIP Industries Ltd		619,829
	322,015	Wipro Ltd		1,363,985
	118,333	Zee Entertainment Enterprises Ltd		835,192

		Total India		55,453,565


		Indonesia — 0.2%
	2,114,300	Adaro Energy Tbk PT		268,074
	134,000	Bank Central Asia Tbk PT		225,694
	423,000	Bank Mandiri Persero Tbk PT		197,091
	193,700	Bank Negara Indonesia Persero Tbk PT		102,605
	1,202,700	Bank Pembangunan Daerah Jawa Timur Tbk PT		54,701
	3,791,700	Bank Rakyat Indonesia Persero Tbk PT		819,259
	655,000	Bukit Asam Tbk PT		180,133
	165,100	Bumi Serpong Damai Tbk PT ^*		13,467


18		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Indonesia — continued
	2,551,400	Erajaya Swasembada Tbk PT		464,663
	38,100	Gudang Garam Tbk PT		188,848
	45,300	Indah Kiat Pulp & Paper Corp Tbk PT		58,775
	1,092,900	Indo Tambangraya Megah Tbk PT		2,100,077
	56,200	Link Net Tbk PT		16,412
	78,500	Matahari Department Store Tbk PT		39,987
	1,112,400	Mitra Pinasthika Mustika Tbk PT		74,026
	2,601,400	Modernland Realty Tbk PT		44,908
	6,154,600	Panin Financial Tbk PT ^*		85,308
	112,900	PP Persero Tbk PT		14,577
	965,000	Ramayana Lestari Sentosa Tbk PT		83,218
	1,305,400	Surya Semesta Internusa Tbk PT		43,086
	1,127,700	Telekomunikasi Indonesia Persero Tbk PT		267,855
	2,200	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		52,074
	60,200	United Tractors Tbk PT		140,637
	629,800	Waskita Beton Precast Tbk PT		16,689
	67,400	XL Axiata Tbk PT ^*		14,547

		Total Indonesia		5,566,711


		Ireland — 0.1%
	12,600	ICON Plc ^*		1,877,652


		Israel — 0.0%
	70,703	Bank Leumi Le-Israel BM		474,936
	8,692	Discount Investment Corp Ltd (Registered)		26,254
	5,220	First International Bank of Israel Ltd		120,915
	9,801	Harel Insurance Investments & Financial Services Ltd		80,013
	4,077	Nova Measuring Instruments Ltd ^*		122,619

		Total Israel		824,737


		Italy — 0.9%
	38,149	ACEA SPA		543,758
	9,853	ASTM SPA		201,100
	93,324	Cofide SPA		50,294
	6,272	El.En. SPA		202,172
	21,564	Enav SPA		106,610
	487,312	Enel SPA		2,409,241
	27,769	ERG SPA		575,191
	150,644	EXOR NV		9,802,270
	16,566	Falck Renewables SPA		39,231
	31,164	Fiat Chrysler Automobiles NV ^*		527,600
	624,000	Fiat Chrysler Automobiles NV ^*		10,676,640
	37,665	Fincantieri SPA		55,839
	5,940	FinecoBank Banca Fineco SPA		70,811
	46,897	Hera SPA		147,128
	439,595	Iren SPA		1,031,018
	8,260	La Doria SPA		94,783
	9,666	MARR SPA		271,622


Shares		Description	Value ($)
		Italy — continued
	12,147	Mediobanca Banca di Credito Finanziario SPA		113,108
	39,317	Poste Italiane SPA		302,869
	1,507	Prima Industrie SPA		56,684
	18,681	Recordati SPA		654,432
	682	Reply SPA		45,119
	26,638	Saras SPA		67,375
	209,443	Societa Cattolica di Assicurazioni SC		1,699,796
	21,964	Societa Iniziative Autostradali e Servizi SPA		306,194
	566,952	Telecom Italia SPA-RSP		315,569
	42,012	Unipol Gruppo SPA		173,463

		Total Italy		30,539,917


		Japan — 4.9%
	27,300	Aisin Seiki Co Ltd		1,262,705
	16,000	AOKI Holdings Inc ^(b)		215,809
	777,000	Asahi Kasei Corp ^(b)		11,385,789
	523,300	Astellas Pharma Inc ^(b)		8,871,819
	215,900	Brother Industries Ltd		4,429,042
	237,300	Canon Inc		7,614,149
	1,700	Capcom Co Ltd		39,623
	10,400	Cawachi Ltd		198,564
	500	Central Japan Railway Co		100,388
	27,200	CKD Corp		401,753
	32,900	Concordia Financial Group Ltd		157,874
	13,500	Cosmo Energy Holdings Co Ltd ^(b)		497,417
	7,100	Daiwabo Holdings Co Ltd		423,401
	1,200	DCM Holdings Co Ltd		10,960
	16,160	Denka Co Ltd		552,980
	11,500	DTS Corp		471,317
	8,200	Ehime Bank Ltd (The)		90,430
	1,500	Eisai Co Ltd		135,835
	9,500	Elecom Co Ltd		251,118
	3,900	Exedy Corp		122,610
	37,200	Fancl Corp		1,910,945
	216,000	Fuji Electric Co Ltd		1,739,965
	1,800	Fujicco Co Ltd		39,268
	8,200	FUJIFILM Holdings Corp		346,354
	355,000	Fujitsu Ltd		2,595,696
	14,000	Fukuoka Financial Group Inc		78,494
	1,900	Fuyo General Lease Co Ltd		114,052
	3,800	Hakuhodo DY Holdings Inc		64,113
	1,600	Hamakyorex Co Ltd		53,761
	32,060	Hanwa Co Ltd		1,080,742
	2,500	Heiwado Co Ltd		65,459
	1,700	Hisamitsu Pharmaceutical Co Inc		124,186
	1,846,000	Hitachi Ltd		12,049,889
	30,600	Honda Motor Co Ltd		906,470
	1,000	Horiba Ltd		61,925


		See accompanying notes to the financial statements.		19

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Japan — continued
	1,100	Hosokawa Micron Corp		66,573
	32,700	House Foods Group Inc		969,471
	5,200	Isuzu Motors Ltd		75,072
	874,400	ITOCHU Corp		15,279,135
	3,000	Japan Aviation Electronics Industry Ltd		54,902
	8,900	JSR Corp		172,643
	1,800	JTEKT Corp		25,196
	30,700	JXTG Holdings Inc		216,154
	1,100	Kaken Pharmaceutical Co Ltd		56,499
	97,400	Kanematsu Corp		1,444,477
	1,000	Kasai Kogyo Co Ltd		11,007
	600	Kato Sangyo Co Ltd		19,486
	28,200	KDDI Corp		745,603
	9,700	Keihin Corp		203,840
	300	Keyence Corp		169,832
	34,500	Kirin Holdings Co Ltd ^(b)		852,572
	16,000	Kitz Corp		140,154
	14,600	Konica Minolta Inc		148,478
	1,300	Kose Corp		239,698
	13,100	Kyowa Exeo Corp ^(b)		366,337
	6,000	Makino Milling Machine Co Ltd		55,379
	339,300	Marubeni Corp		2,780,039
	66,000	MCJ Co Ltd		596,663
	3,300	Medipal Holdings Corp		66,554
	1,616,000	Mitsubishi Chemical Holdings Corp		14,478,943
	47,900	Mitsubishi Corp		1,365,967
	663,000	Mitsubishi Electric Corp		8,950,151
	103,600	Mitsubishi Gas Chemical Co Inc ^(b)		2,153,624
	122,500	Mitsubishi Tanabe Pharma Corp		2,043,176
	21,700	Mitsui & Co Ltd		361,495
	32,300	Mitsui Chemicals Inc ^(b)		834,798
	6,000	Mitsui Sugar Co Ltd		163,521
	3,800	Mitsui Mining & Smelting Co Ltd		108,860
	300	Modec Inc		9,079
	600	Nachi-Fujikoshi Corp		29,108
	1,100	NEC Corp		30,370
	8,300	NET One Systems Co Ltd		192,240
	52,000	Nichias Corp ^(b)		675,980
	21,400	Nichiha Corp		600,872
	2,900	Nihon Unisys Ltd		70,798
	29,400	Nippo Corp		545,673
	347,100	Nippon Telegraph & Telephone Corp		15,442,816
	2,000	Nippon Flour Mills Co Ltd		33,453
	4,000	Nisshin Oillio Group Ltd (The)		108,135
	12,200	Nisshin Seifun Group Inc		244,013
	23,000	Nisshinbo Holdings Inc		257,892
	900	Nissin Corp		18,841
	4,800	Nomura Real Estate Holdings Inc		103,979
	500	Noritake Co Ltd		30,032
	5,900	Noritsu Koki Co Ltd		153,548


Shares		Description	Value ($)
		Japan — continued
	37,500	NTT DOCOMO Inc		971,839
	1,800	Okamura Corp		24,533
	15,100	Open House Co Ltd		882,652
	13,700	ORIX Corp		220,319
	9,800	Osaki Electric Co Ltd		71,987
	1,700	Otsuka Holdings Co Ltd		79,755
	80,800	Pola Orbis Holdings Inc		2,847,537
	2,300	Pressance Corp		35,191
	173,000	Prima Meat Packers Ltd		858,791
	5,500	Renesas Electronics Corp ^*		41,547
	6,500	Resona Holdings Inc		36,869
	1,900	Rion Co Ltd		40,208
	32,800	Rohto Pharmaceutical Co Ltd		1,047,824
	6,600	Roland DG Corp		154,876
	7,500	Seiko Holdings Corp		209,714
	157,300	Sekisui Chemical Co Ltd		2,732,643
	13,600	Showa Corp		216,637
	8,100	Showa Denko KK ^(b)		384,727
	1,495,300	Sojitz Corp		5,203,443
	1,217,000	Sumitomo Chemical Co Ltd ^(b)		6,907,466
	12,700	Sumitomo Dainippon Pharma Co Ltd ^(b)		270,245
	4,700	Sumitomo Forestry Co Ltd		75,917
	11,240	Sumitomo Heavy Industries Ltd		365,718
	15,500	Sumitomo Mitsui Financial Group Inc		609,358
	4,300	Sumitomo Mitsui Trust Holdings Inc		172,537
	2,300	Suntory Beverage & Food Ltd		94,210
	1,300	Suzuken Co Ltd		59,034
	200	T RAD Co Ltd		5,469
	23,900	T-Gaia Corp		628,956
	200	Taisho Pharmaceutical Holdings Co Ltd		21,678
	3,400	Takara Holdings Inc		33,704
	26,100	Takeda Pharmaceutical Co Ltd		1,087,356
	10,200	Tatsuta Electric Wire and Cable Co Ltd		55,680
	13,800	Tocalo Co Ltd		159,548
	500	Token Corp		35,389
	8,200	Tokio Marine Holdings Inc		386,399
	34,000	Tokyo Electron Ltd		5,788,491
	17,600	Tokyu Construction Co Ltd		161,711
	2,000	Toshiba Machine Co Ltd		9,377
	127,300	Tosoh Corp		1,997,368
	2,000	Toyo Suisan Kaisha Ltd		73,664
	101,100	Toyota Tsusho Corp		3,444,245
	8,500	TPR Co Ltd		199,370
	29,400	TS Tech Co Ltd		1,109,289
	9,800	UKC Holdings Corp		215,894
	1,600	Ushio Inc		21,096
	10,800	Wacoal Holdings Corp		319,581
	1,800	Yamazaki Baking Co Ltd		35,018
	500	Yellow Hat Ltd		13,918


20		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Japan — continued
	12,300	Yuasa Trading Co Ltd		428,957

		Total Japan		173,075,765


		Malaysia — 0.2%
	475,900	DRB-Hicom Berhad		262,103
	156,500	KSL Holdings Berhad ^*		32,339
	121,400	Malayan Flour Mills Berhad		34,768
	159,600	Padini Holdings Berhad		232,264
	10,500	Petronas Dagangan Berhad		69,321
	69,400	Sapura Energy Berhad ^*		5,698
	1,048,900	Supermax Corp Berhad		856,026
	31,500	Tenaga Nasional Berhad		120,082
	1,311,300	Top Glove Corp Berhad		3,552,905
	83,000	UOA Development Berhad		49,020
	53,600	YTL Power International Berhad		14,859

		Total Malaysia		5,229,385


		Mexico — 0.6%
	109,125	Arca Continental SAB de CV		674,847
	16,000	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand – Class B		25,350
	18,100	Becle SAB de CV		25,693
	136,929	Bolsa Mexicana de Valores SAB de CV		275,789
	168,800	Cemex SAB de CV ^*		119,629
	43,500	Cemex SAB de CV Sponsored ADR ^* (a)		308,415
	61,900	Corp Inmobiliaria Vesta SAB de CV		87,641
	3,700	El Puerto de Liverpool SAB de CV – Class C1		26,114
	55,000	Fibra Uno Administracion SA de CV (REIT)		71,970
	24,400	Fomento Economico Mexicano SAB de CV		233,716
	4,500	Fomento Economico Mexicano SAB de CV Sponsored ADR		431,460
	114,600	Gentera SAB de CV		116,308
	33,350	Grupo Aeroportuario del Centro Norte SAB de CV		219,229
	200	Grupo Aeroportuario del Centro Norte SAB de CV ADR		10,542
	800	Grupo Aeroportuario del Pacifico SAB de CV ADR		82,648
	8,200	Grupo Aeroportuario del Pacifico SAB de CV – Class B		84,729
	400	Grupo Aeroportuario del Sureste SAB de CV ADR		75,036
	2,785	Grupo Aeroportuario del Sureste SAB de CV – Class B		52,226
	14,500	Grupo Bimbo SAB de CV – Class A		30,275
	30,800	Grupo Financiero Banorte SAB de CV – Class O		210,076
	17,400	Grupo Financiero Inbursa SAB de CV – Class O		27,687


Shares		Description	Value ($)
		Mexico — continued
	148,142	Grupo Herdez SAB de CV		318,612
	18,700	Grupo Lala SAB de CV		19,899
	53,500	Grupo Mexico SAB de CV – Series B		156,563
	1,620	Industrias Penoles SAB de CV		27,445
	105,300	Megacable Holdings SAB de CV CPO		496,317
	26,500	Mexichem SAB de CV		89,423
	11,245	Promotora y Operadora de Infraestructura SAB de CV		119,511
	16,900	Unifin Financiera SAB de CV SOFOM ENR		43,114
	6,113,838	Wal-Mart de Mexico SAB de CV		16,928,437

		Total Mexico		21,388,701


		Netherlands — 0.4%
	20,799	ASR Nederland NV		994,384
	6,513	ForFarmers NV		72,838
	30,715	Heineken Holding NV		2,930,624
	470,729	ING Groep NV		6,394,280
	2,728	Koninklijke Ahold Delhaize NV		66,452
	2,545	Koninklijke Volkerwessels NV		54,676
	14,036	Signify NV ^(b)		395,654
	27,200	Wolters Kluwer NV		1,725,656

		Total Netherlands		12,634,564


		New Zealand — 0.0%
	676,416	Air New Zealand Ltd		1,476,693


		Norway — 0.7%
	7,063	Aker ASA – A Shares		553,373
	14,079	Aker Solutions ASA ^*		95,847
	38,955	Austevoll Seafood ASA		512,587
	27,356	Bakkafrost P/F		1,560,646
	2,589	Borregaard ASA		24,614
	469,929	DNB ASA		9,553,661
	2,317	Entra ASA		33,592
	300,557	Equinor ASA		7,709,348
	11,107	Grieg Seafood ASA		127,782
	42,773	Kvaerner ASA ^*		79,083
	66,481	Leroy Seafood Group ASA		505,528
	3,999	Marine Harvest ASA		86,369
	9,498	Salmar ASA		457,292
	5,489	Selvaag Bolig ASA		27,744
	24,304	SpareBank 1 Nord Norge		190,105
	10,671	SpareBank 1 SR Bank ASA		120,407
	122,489	Storebrand ASA		1,084,390
	89,740	Subsea 7 SA		1,220,046
	13,044	TGS NOPEC Geophysical Co ASA		494,689

		Total Norway		24,437,103


		See accompanying notes to the financial statements.		21

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Pakistan — 0.0%
	13,100	Engro Corp Ltd		34,715
	38,000	Engro Fertilizers Ltd		24,179
	37,600	Oil & Gas Development Co Ltd		46,043
	6,350	Pakistan Oilfields Ltd		32,903

		Total Pakistan		137,840


		Peru — 0.0%
	500	Credicorp Ltd		109,010


		Philippines — 0.0%
	279,000	Belle Corp		16,073
	78,900	DMCI Holdings Inc		18,897
	56,200	Eagle Cement Corp		17,069
	107,500	First Gen Corp		34,190
	1,890	GT Capital Holdings Inc		30,977
	31,400	Jollibee Foods Corp		169,192
	269,200	Lopez Holding Corp		23,660
	266,200	LT Group Inc		85,619
	42,600	Manila Electric Co		297,445
	169,800	Manila Water Co Inc		77,505
	492,000	Megaworld Corp		42,253
	377,000	Metro Pacific Investments Corp		38,460
	682,325	Nickel Asia Corp		69,330
	134,500	Petron Corp		22,793
	38,285	Pilipinas Shell Petroleum Corp		41,171
	19,720	Puregold Price Club Inc		16,967
	95,250	Semirara Mining & Power Corp		51,665

		Total Philippines		1,053,266


		Poland — 0.1%
	108,611	Asseco Poland SA		1,345,568
	7,207	Bank Millennium SA ^*		17,492
	11,945	Bank Polska Kasa Opieki SA		376,369
	607	Bank Zachodni WBK SA		61,707
	2,441	Budimex SA		75,013
	501	CCC SA		29,181
	2,863	CD Projekt SA ^*		159,506
	42,398	Cyfrowy Polsat SA ^*		257,115
	1,730	Dino Polska SA ^*		42,513
	221,733	Energa SA		501,536
	2,590	Grupa Lotos SA		48,693
	60,510	Impexmetal SA ^*		65,107
	2,120	KRUK SA		118,310
	52	LPP SA		129,531
	20,194	Polski Koncern Naftowy ORLEN SA		535,349
	211,860	Polskie Gornictwo Naftowe i Gazownictwo SA ^*		331,895
	28,536	Powszechna Kasa Oszczednosci Bank Polski SA		325,171
	45,054	Powszechny Zaklad Ubezpieczen SA		542,573


Shares		Description	Value ($)
		Poland — continued
	684	Stalprodukt SA		85,516
	1,608	Warsaw Stock Exchange		17,958

		Total Poland		5,066,103


		Portugal — 0.0%
	5,537	Altri SGPS SA		51,060
	11,994	Navigator Co SA (The)		59,932
	1,615	Semapa-Sociedade de Investimento e Gestao		33,397
	391,292	Sonae SGPS SA		416,275

		Total Portugal		560,664


		Qatar — 0.0%
	23,108	Barwa Real Estate Co		228,499
	7,847	Doha Bank QPSC		55,378
	4,865	Masraf Al Rayan QSC		50,388
	1,272	Qatar Electricity & Water Co QSC		66,815
	13,840	Qatar Gas Transport Co Ltd		66,483
	5,364	Qatar Insurance Co SAQ		54,243
	1,532	Qatar Islamic Bank SAQ		58,915
	12,331	Qatar National Bank QPSC		602,961
	874	Qatar National Cement Co QSC		13,777
	1,678	Qatar Navigation QSC		30,125

		Total Qatar		1,227,584


		Russia — 0.7%
	180,300	Aeroflot PJSC		308,837
	492,700	Alrosa PJSC		741,106
	1,327,000	ENEL RUSSIA PJSC		21,875
	21,000	Gazprom Neft PJSC		104,572
	1,381,973	Gazprom PJSC Sponsored ADR		6,095,731
	18,080	Globaltrans Investment Plc Sponsored GDR (Registered)		199,015
	3,853,000	Inter RAO UES PJSC		230,934
	69,622	LUKOIL PJSC Sponsored ADR		4,811,061
	14,840	M.Video PJSC ^*		95,323
	143,400	Magnitogorsk Iron & Steel OJSC		103,236
	4,588	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		43,810
	78,331	MMC Norilsk Nickel PJSC ADR		1,299,931
	131,400	Mobile TeleSystems PJSC Sponsored ADR		1,018,350
	349,700	Moscow Exchange MICEX-RTS PJSC		507,935
	12,810	Novatek PJSC		205,904
	8,843	Novatek PJSC Sponsered GDR (Registered)		1,478,779
	70,760	Novolipetsk Steel PJSC		173,624
	24,024	Novolipetsk Steel PJSC GDR		583,452
	3,740	PhosAgro PJSC GDR (Registered)		49,558
	1,116	Polyus PJSC		72,417
	5,687	Polyus PJSC GDR (Registered)		184,331
	16,000	QIWI Plc Sponsored ADR ^*		227,200


22		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Russia — continued
	13,680	Raspadskaya OJSC ^*		20,195
	349,700	Rostelecom PJSC		350,527
	1,611	Rostelecom PJSC Sponsored ADR		9,685
	1,470	Safmar Financial Investment		17,479
	109,000	Sberbank of Russia PJSC		292,989
	325,372	Sberbank of Russia Sponsored ADR		3,543,392
	5,900	Severstal PJSC		95,063
	23,869	Severstal PJSC GDR (Registered)		384,081
	121,700	Surgutneftegas PJSC		51,885
	8,454	Surgutneftegas PJSC Sponsored ADR		35,187
	37,760	Tatneft PJSC		438,902
	11,815	Tatneft PJSC Sponsored ADR		819,201
	6,125	TCS Group Holding Plc GDR (Registered)		112,753

		Total Russia		24,728,320


		Singapore — 0.1%
	13,900	China Aviation Oil Singapore Corp Ltd		15,784
	67,700	Frasers Centrepoint Trust (REIT)		113,406
	87,800	Japfa Ltd		42,896
	320,000	Mapletree North Asia Commercial Trust (REIT)		270,415
	13,300	Oversea-Chinese Banking Corp Ltd		109,458
	29,000	Parkway Life Real Estate Investment Trust		56,611
	54,600	UMS Holdings Ltd		29,699
	15,700	United Overseas Bank Ltd		309,423
	215,800	Venture Corp Ltd		2,849,044
	710,400	Yangzijiang Shipbuilding Holdings Ltd		553,961
	416,600	Yanlord Land Group Ltd		461,631

		Total Singapore		4,812,328


		South Africa — 1.4%
	832,507	Absa Group Ltd		9,207,641
	15,674	Alviva Holdings Ltd		19,410
	105,991	Astral Foods Ltd		1,866,673
	456,352	Aveng Ltd ^*		1,551
	33,124	AVI Ltd		261,371
	211,412	Barloworld Ltd		1,798,065
	5,681	BID Corp Ltd		121,215
	3,730	Bidvest Group Ltd (The)		54,814
	1,616,217	Blue Label Telecoms Ltd		787,362
	6,864	Brait SE ^*		17,434
	1,458	Capitec Bank Holdings Ltd		99,573
	21,774	Clicks Group Ltd		300,721
	12,978	Coronation Fund Managers Ltd		50,841
	13,581	Dis-Chem Pharmacies Ltd		31,276
	9,847	Discovery Ltd		117,334
	1,715	Distell Group Holdings Ltd ^*		14,235
	21,287	Emira Property Fund Ltd (REIT)		23,127
	26,584	Exxaro Resources Ltd		269,457
	105,101	FirstRand Ltd		505,618


Shares		Description	Value ($)
		South Africa — continued
	10,470	Foschini Group Ltd (The)		124,388
	172,917	Growthpoint Properties Ltd (REIT)		299,344
	4,953	Hyprop Investments Ltd (REIT)		34,381
	8,438	Imperial Holdings Ltd		118,233
	4,003	JSE Ltd		44,110
	108,906	Kumba Iron Ore Ltd		1,963,257
	23,626	Lewis Group Ltd		45,507
	349,146	Liberty Holdings Ltd		2,762,313
	6,434	Massmart Holdings Ltd		48,495
	1,434,339	Merafe Resources Ltd		147,340
	50,505	Metair Investments Ltd		60,051
	62,576	MMI Holdings Ltd		72,975
	77,391	Mondi Ltd		2,159,372
	143,436	Mr Price Group Ltd		2,198,879
	22,244	MTN Group Ltd		134,682
	373,979	Murray & Roberts Holdings Ltd		394,717
	471,619	Nedbank Group Ltd		8,921,036
	117,778	Old Mutual Ltd ^*		243,651
	23,293	Pepkor Holdings Ltd ^*		28,525
	12,507	Rand Merchant Investment Holdings Ltd		34,767
	128,729	Raubex Group Ltd		191,315
	91,304	Redefine Properties Ltd (REIT)		64,306
	7,079	Reinet Investments SCA		137,071
	6,583	Resilient Ltd (REIT)		25,519
	250,635	Reunert Ltd		1,298,324
	64,666	RMB Holdings Ltd		371,136
	48,338	Sanlam Ltd		260,887
	1,864	Santam Ltd		38,467
	12,163	Sappi Ltd		83,076
	6,688	Sasol Ltd		261,964
	1,000	Sasol Ltd Sponsored ADR		39,260
	11,742	Shoprite Holdings Ltd		163,003
	17,829	Sibanye Gold Ltd ^*		10,314
	7,102	SPAR Group Ltd (The)		99,079
	855,154	Standard Bank Group Ltd		10,838,622
	211,205	Steinhoff International Holdings NV ^*		40,256
	73,334	Telkom SA SOC Ltd		250,925
	8,193	Tiger Brands Ltd		159,502
	78,445	Truworths International Ltd		459,112
	9,546	Vodacom Group Ltd		82,098
	67,591	Wilson Bayly Holmes-Ovcon Ltd		689,295

		Total South Africa		50,947,272


		South Korea — 1.9%
	2,119	Aekyung Petrochemical Co Ltd		21,503
	52,802	BNK Financial Group Inc		395,778
	233	Celltrion Pharm Inc ^*		16,775
	6,956	Cheil Worldwide Inc		120,594
	6,029	Chong Kun Dang Pharmaceutical Corp		587,440
	750	CJ ENM Co Ltd		169,686


		See accompanying notes to the financial statements.		23

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		South Korea — continued
	11,089	Daou Data Corp		115,539
	9,695	Daou Technology Inc		197,632
	10,441	DB Insurance Co Ltd		600,294
	11,366	DGB Financial Group Inc		104,641
	21,573	Dongwha Pharm Co Ltd		224,636
	24,043	Dongwon Development Co Ltd		90,356
	2,002	E-MART Inc		385,723
	5,492	F&F Co Ltd		495,331
	3,573	Fila Korea Ltd		133,948
	5,858	Grand Korea Leisure Co Ltd		127,061
	7,087	Green Cross Holdings Corp		195,028
	2,378	GS Home Shopping Inc		442,995
	55,111	Hana Financial Group Inc		2,113,275
	4,346	Hankook Tire Co Ltd		182,130
	15,855	Hankook Tire Worldwide Co Ltd		259,234
	357	Hanwha Aerospace Co Ltd ^*		8,016
	158	HLB Inc ^*		14,752
	1,163	Huons Co Ltd		103,877
	1,388	Hyundai Department Store Co Ltd		124,136
	2,038	Hyundai Home Shopping Network Corp		207,758
	10,462	Hyundai Hy Communications & Network Co Ltd		38,447
	8,394	Hyundai Marine & Fire Insurance Co Ltd		280,429
	2,984	Hyundai Mobis Co Ltd		600,483
	230	Hyundai Wia Corp		8,810
	584,603	Industrial Bank of Korea		7,825,527
	51,763	JB Financial Group Co Ltd		288,834
	15,276	Kangwon Land Inc		397,368
	69,427	KB Financial Group Inc		3,209,995
	177,040	Kia Motors Corp		5,098,390
	15,538	Korea Asset In Trust Co Ltd (REIT)		75,518
	5,424	Korea United Pharm Inc		139,264
	627	Korea Zinc Co Ltd		228,276
	16,802	Korean Reinsurance Co		157,040
	7,637	KT Hitel Co Ltd ^*		38,363
	6,301	KT Skylife Co Ltd		75,279
	8,637	KT&G Corp		783,443
	25,588	Kwang Dong Pharmaceutical Co Ltd		172,845
	13,187	Kwangju Bank Co Ltd		133,843
	4,218	Kyobo Securities Co Ltd		37,137
	45,915	LF Corp		1,095,290
	60,145	LG Corp		3,863,887
	110,963	LG Electronics Inc		7,650,087
	33,829	LOTTE Himart Co Ltd		2,174,803
	1,509	LS Corp		91,039
	6,289	Meritz Financial Group Inc		69,462
	665	Meritz Fire & Marine Insurance Co Ltd		10,902
	1,145	S&T Motiv Co Ltd		33,128
	21,841	Samjin Pharmaceutical Co Ltd		1,081,130
	1,432	Samsung Card Co Ltd		45,337


Shares		Description	Value ($)
		South Korea — continued
	1,153	Samsung Engineering Co Ltd ^*		17,440
	535	Samsung Fire & Marine Insurance Co Ltd		127,355
	354	Samsung SDS Co Ltd		77,136
	6,821	Seoyon E-Hwa Co Ltd		37,193
	20,258	Shinhan Financial Group Co Ltd		795,673
	484	Shinsegae Inc		141,107
	818	Sindoh Co Ltd		37,701
	9,117	SK Holdings Co Ltd		2,154,808
	169,932	SK Hynix Inc		12,673,483
	1,165	SK Innovation Co Ltd		201,967
	2,374	SK Networks Co Ltd		9,551
	589	SK Telecom Co Ltd		138,682
	222,000	SK Telecom Co Ltd Sponsored ADR		5,774,220
	17,498	SL Corp		315,932
	379	Spigen Korea Co Ltd		17,705
	862	Unid Co Ltd		38,861
	96	ViroMed Co Ltd ^*		20,455
	180,474	Woori Bank		2,643,457

		Total South Korea		68,365,220


		Spain — 0.3%
	1,854	ACS Actividades de Construccion y Servicios SA		77,131
	20,280	Aena SME SA ^(b)		3,586,674
	12,339	Ebro Foods SA		265,508
	47,224	Ence Energia y Celulosa SA		442,917
	22,200	Endesa SA		496,688
	250,003	International Consolidated Airlines Group SA		2,244,003
	8,957	Naturgy Energy Group SA		240,414
	168,714	Repsol SA		3,244,856
	18,359	Unicaja Banco SA		28,723

		Total Spain		10,626,914


		Sweden — 1.0%
	24,547	Acando AB		96,312
	15,028	Alfa Laval AB		402,851
	11,765	Bufab AB		138,431
	6,544	Castellum AB		118,376
	30,489	Electrolux AB – Series B		680,319
	9,096	Epiroc AB – Class A ^*		94,489
	8,521	Granges AB		99,813
	6,557	Hemfosa Fastigheter AB		89,205
	8,412	KappAhl AB		32,043
	16,474	Kindred Group Plc SDR		202,595
	32,522	Klovern AB – B Shares		44,567
	4,438	KNOW IT AB		88,629
	3,251	Loomis AB – Class B		104,629
	37,752	Nobina AB		278,385
	2,270	Nolato AB – B Shares		160,370


24		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Sweden — continued
	30,357	Nordea Bank AB		328,041
	9,916	Oriflame Holding AG		288,517
	7,581	Peab AB		68,321
	28,394	Resurs Holding AB		207,452
	480,115	Sandvik AB		8,404,237
	2,387	SKF AB – B Shares		45,884
	30,614	SSAB AB – Series A		133,434
	698,230	Svenska Cellulosa AB – Class B		8,128,245
	43,283	Swedbank AB – A Shares		1,007,816
	29,731	Swedish Match AB ^(b)		1,589,376
	5,157	Tethys Oil AB		57,689
	10,437	Volvo AB – A Shares		180,012
	770,544	Volvo AB – B Shares		13,274,079
	2,445	Wihlborgs Fastigheter AB		29,490

		Total Sweden		36,373,607


		Switzerland — 1.1%
	3,840	ALSO Holding AG (Registered) ^*		456,979
	215	Autoneum Holding AG		51,090
	235	Bell Food Group AG (Registered)		73,021
	10,071	BKW AG		714,373
	4,729	Bobst Group SA (Registered)		405,158
	148	Bossard Holding AG (Registered) – A Shares		30,556
	2,008	Bucher Industries AG (Registered)		703,580
	467	Coltene Holding AG (Registered)		55,468
	377	Comet Holding AG (Registered) ^*		37,428
	32	Emmi AG (Registered)		24,445
	1,228	Galenica AG ^*		72,814
	55,875	GAM Holding AG ^*		431,484
	3,340	Georg Fischer AG (Registered)		4,371,729
	30	Gurit Holding AG		25,579
	851	Inficon Holding AG (Registered) ^*		432,960
	3,686	Kardex AG (Registered) ^*		660,649
	42	LEM Holding SA (Registered)		53,408
	2,800	Luxoft Holding Inc ^*		130,480
	41,557	Nestle SA (Registered)		3,483,601
	104,830	Novartis AG (Registered)		8,696,918
	2,393	Orior AG		211,614
	5,751	Roche Holding AG		1,441,914
	42,298	Roche Holding AG		10,487,940
	42,348	Sika AG (Registered) ^(b)		6,271,997
	4,635	Swiss Re AG		417,013
	736	Swissquote Group Holding SA		54,469
	1,604	Zehnder Group AG – Class RG		75,931
	1,522	Zurich Insurance Group AG		463,342

		Total Switzerland		40,335,940


		Taiwan — 2.7%
	298,000	AcBel Polytech Inc		196,467


Shares		Description	Value ($)
		Taiwan — continued
	32,000	Actron Technology Corp		104,272
	37,000	Advantech Co Ltd		251,940
	23,000	Alpha Networks Inc		13,212
	226,000	Ardentec Corp		280,738
	39,000	Asia Pacific Telecom Co Ltd ^*		9,297
	194,000	Asia Vital Components Co Ltd		184,955
	595,029	Asustek Computer Inc		5,070,643
	8,400	Aurora Corp		29,806
	123,000	Catcher Technology Co Ltd		1,507,307
	292,000	Cathay Financial Holding Co Ltd		500,491
	232,560	Chailease Holding Co Ltd		791,186
	9,150	Chicony Electronics Co Ltd		19,257
	9,155	Chicony Power Technology Co Ltd		13,176
	110,000	Chin-Poon Industrial Co Ltd		135,989
	306,000	China Motor Corp		256,915
	7,000	Chlitina Holding Ltd		62,646
	10,000	Chong Hong Construction Co Ltd		26,499
	350,000	Chunghwa Telecom Co Ltd		1,237,035
	600	Chunghwa Telecom Co Ltd Sponsored ADR		21,114
	7,000	Cleanaway Co Ltd		41,363
	1,200,000	Coretronic Corp		2,257,605
	1,122,000	CTBC Financial Holding Co Ltd		789,040
	60,000	CTCI Corp		91,918
	96,000	Cyberlink Corp		232,276
	58,000	Dynapack International Technology Corp		75,731
	61,000	Elan Microelectronics Corp		107,789
	206,000	Elitegroup Computer Systems Co Ltd ^*		107,003
	172,000	Far Eastern Department Stores Ltd		98,026
	182,000	Far Eastern New Century Corp		211,987
	192,000	Far EasTone Telecommunications Co Ltd		457,974
	97,000	Farglory Land Development Co Ltd		99,486
	56,000	Formosa Advanced Technologies Co Ltd		65,689
	323,000	Formosa Chemicals & Fibre Corp		1,294,401
	55,000	Formosa Petrochemical Corp		225,846
	340,000	Formosa Plastics Corp		1,246,400
	84,600	Formosan Rubber Group Inc		39,265
	435,000	Foxconn Technology Co Ltd		1,105,975
	4,260,000	Fubon Financial Holding Co Ltd		7,062,872
	1,951,000	Gigabyte Technology Co Ltd		3,328,948
	2,482,000	Grand Pacific Petrochemical		2,393,707
	1,420,000	Great Wall Enterprise Co Ltd ^*		1,932,513
	72,000	Greatek Electronics Inc		122,568
	43,000	Green Seal Holding Ltd		48,645
	219,000	Highwealth Construction Corp		355,789
	28,000	Holiday Entertainment Co Ltd		53,643
	757,000	Holtek Semiconductor Inc		2,088,460
	3,477,300	Hon Hai Precision Industry Co Ltd		9,134,993
	59,000	Huaku Development Co Ltd		125,171
	83,000	IEI Integration Corp		102,722


		See accompanying notes to the financial statements.		25

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Taiwan — continued
	27,000	International Games System Co Ltd		133,739
	2,501,000	Inventec Corp		2,244,758
	18,000	ITEQ Corp		38,868
	15,000	King’s Town Bank Co Ltd		15,090
	601,000	Lite-On Semiconductor Corp		685,630
	29,000	Makalot Industrial Co Ltd		150,363
	83,000	Mercuries Life Insurance Co Ltd		43,104
	8,000	Merida Industry Co Ltd		38,423
	1,651,000	Mitac Holdings Corp ^*		1,909,586
	2,659,000	Nan Ya Plastics Corp		7,399,480
	4,000	Nien Made Enterprise Co Ltd		31,024
	590,000	Novatek Microelectronics Corp		2,892,942
	1,045,105	OptoTech Corp		776,782
	2,052,000	Pegatron Corp		4,422,819
	177,000	Phison Electronics Corp		1,465,315
	3,951,000	Pou Chen Corp		4,356,371
	355,000	Quanta Computer Inc		610,782
	21,000	Quanta Storage Inc		17,706
	1,991,000	Radiant Opto-Electronics Corp		4,373,258
	152,000	Realtek Semiconductor Corp		737,709
	27,000	Rechi Precision Co Ltd		26,397
	111,000	Ruentex Development Co Ltd		124,998
	220,000	Ruentex Industries Ltd		451,330
	37,000	Sercomm Corp		65,044
	34,000	Sheng Yu Steel Co Ltd		23,833
	54,000	Shinkong Insurance Co Ltd		70,002
	25,000	Sigurd Microelectronics Corp		28,371
	62,800	Simplo Technology Co Ltd		460,240
	9,000	Sinbon Electronics Co Ltd		25,548
	31,050	Sinmag Equipment Corp		141,652
	53,000	Sitronix Technology Corp		167,177
	85,000	Soft-World International Corp		200,429
	47,000	Standard Chemical & Pharmaceutical Co Ltd		48,813
	1,214,000	Sunplus Technology Co Ltd		553,810
	190,000	Syncmold Enterprise Corp		362,865
	37,000	Synnex Technology International Corp		49,522
	32,700	TaiDoc Technology Corp		184,353
	501,000	Taiwan Semiconductor Co Ltd		1,198,950
	276,000	Taiwan Semiconductor Manufacturing Co Ltd		2,312,518
	129,542	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		5,648,031
	256,000	Taiwan Surface Mounting Technology Corp		275,366
	16,000	Test Research Inc		28,086
	32,000	Tong Hsing Electronic Industries Ltd		88,120
	187,470	TOPBI International Holdings Ltd		599,692
	145,485	Topco Scientific Co Ltd		369,609
	24,000	Transcend Information Inc		58,068
	70,000	Tripod Technology Corp		216,082


Shares		Description	Value ($)
		Taiwan — continued
	22,000	TXC Corp		25,546
	850,000	Uni-President Enterprises Corp		2,150,831
	162,000	United Integrated Services Co Ltd		326,974
	29,000	Wah Lee Industrial Corp		52,336
	100,000	Waterland Financial Holdings Co Ltd		34,519
	17,855	Wistron NeWeb Corp		39,882
	66,000	Youngtek Electronics Corp		100,816
	479,000	Yuanta Financial Holding Co Ltd		242,702
	10,000	Yulon Finance Corp		33,549
	102,000	Yungtay Engineering Co Ltd		155,553
	6,000	Zeng Hsing Industrial Co Ltd		27,928

		Total Taiwan		95,324,041


		Thailand — 0.8%
	172,200	Advanced Info Service Pcl NVDR		1,062,958
	183,600	Amata Corp Pcl NVDR		119,545
	285,500	AP Thailand Pcl NVDR		82,019
	14,700	Bangkok Bank Pcl (Foreign Registered) ^(d)		93,419
	14,700	Bangkok Bank Pcl NVDR		92,072
	87,200	Bangkok Dusit Medical Services Pcl NVDR		69,962
	127,700	Central Pattana Pcl NVDR		321,861
	633,400	Com7 PCL NVDR		371,810
	101,700	Glow Energy Pcl NVDR		292,068
	69,200	Hana Microelectronics Pcl NVDR		81,495
	1,178,500	Home Product Center PCL NVDR		525,596
	1,784,200	Indorama Ventures Pcl NVDR		3,272,563
	154,900	Intouch Holdings Pcl NVDR		262,724
	20,200	KCE Electronics Pcl (Foreign Registered)		27,972
	310,900	LPN Development Pcl NVDR		94,077
	86,200	MC Group Pcl NVDR		34,503
	91,300	Mega Lifesciences Pcl (Foreign Registered)		98,388
	386,000	Mega Lifesciences Pcl NVDR		415,966
	147,500	Pruksa Holding Pcl NVDR		91,024
	94,400	PTT Exploration & Production Pcl NVDR		411,303
	1,597,900	PTT Global Chemical Pcl NVDR		3,993,683
	1,675,000	PTT Pcl (Foreign Registered)		2,689,283
	2,769,400	PTT Pcl NVDR		4,446,447
	3,292,200	Quality Houses Pcl NVDR		348,072
	84,300	Ratchaburi Electricity Generating Holding Pcl NVDR		134,579
	1,067,500	Sansiri Pcl NVDR		52,539
	74,700	Siam Cement Pcl (The) (Foreign Registered)		1,031,933
	7,500	Siam Cement Pcl (The) NVDR		103,608
	433,200	Siamgas & Petrochemicals Pcl NVDR		158,920
	77,600	Somboon Advance Technology PCL		56,437
	778,700	Star Petroleum Refining Pcl NVDR		354,586
	251,400	Supalai Pcl NVDR		185,889
	9,192,200	Thai Beverage Pcl		4,149,138
	124,400	Thai Oil Pcl NVDR		320,331
	52,600	Thai Vegetable Oil Pcl NVDR		47,417


26		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Thailand — continued
	835,700	Thanachart Capital Pcl (Foreign Registered)		1,372,836
	430,400	Thanachart Capital Pcl NVDR		707,034
	62,600	Tipco Asphalt Pcl NVDR		29,272
	323,200	TTW Pcl NVDR		122,429

		Total Thailand		28,125,758


		Turkey — 0.4%
	6,659	Aksa Akrilik Kimya Sanayii AS		11,340
	112,180	Albaraka Turk Katilim Bankas AS		21,550
	32,414	Aselsan Elektronik Sanayi Ve Ticaret AS		127,907
	7,050	Aygaz AS		12,873
	28,990	BIM Birlesik Magazalar AS		322,937
	125,123	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		70,702
	1,862,002	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		521,457
	135,485	Enka Insaat ve Sanayi AS		105,987
	942,454	Eregli Demir ve Celik Fabrikalari TAS		1,701,747
	50,909	Ford Otomotiv Sanayi AS		519,239
	161,854	Haci Omer Sabanci Holding AS		175,869
	66,057	Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim AS ^*		49,143
	75,880	Is Gayrimenkul Yatirim Ortakligi AS (REIT)		10,759
	1,497,040	KOC Holding AS		3,421,144
	5,302	Otokar Otomotiv Ve Savunma Sanayi AS		57,633
	170,508	Petkim Petrokimya Holding AS		143,197
	83,295	Selcuk Ecza Deposu Ticaret ve Sanayi AS		39,575
	498,954	Soda Sanayii AS		615,955
	68,331	TAV Havalimanlari Holding AS		343,797
	63,592	Tekfen Holding AS		198,670
	41,543	Trakya Cam Sanayii AS		27,419
	25,562	Tupras Turkiye Petrol Rafineriler AS		459,600
	15,477	Turk Telekomunikasyon AS ^*		8,623
	1,260	Turk Traktor ve Ziraat Makineleri AS		8,741
	120,800	Turkcell Iletisim Hizmetleri AS		194,415
	418,759	Turkiye Garanti Bankasi AS		380,517
	199,782	Turkiye Halk Bankasi AS		186,957
	6,438,596	Turkiye Is Bankasi – Class C		3,920,575
	446,267	Turkiye Sinai Kalkinma Bankasi AS		51,761

		Total Turkey		13,710,089


		United Arab Emirates — 0.0%
	8,817	Abu Dhabi Commercial Bank PJSC		17,040
	198,902	Air Arabia PJSC		54,688
	163,883	Aldar Properties PJSC		86,041
	325,089	DAMAC Properties Dubai Co PJSC		185,763
	221,353	Dana Gas PJSC		66,819
	2,487	DP World Ltd		53,193
	41,680	Dubai Investments PJSC		22,569
	39,527	Dubai Islamic Bank PJSC		55,079


Shares		Description	Value ($)
		United Arab Emirates — continued
	96,645	DXB Entertainments PJSC ^*		9,100
	32,329	Emaar Development PJSC ^*		46,538
	104,946	Emaar Properties PJSC		143,020
	30,444	Emirates Telecommunications Group Co PJSC		140,394
	8,958	First Abu Dhabi Bank PJSC		36,094
	353,662	RAK Properties PJSC		59,706

		Total United Arab Emirates		976,044


		United Kingdom — 3.0%
	590,481	3i Group Plc		6,875,660
	15,949	Ashmore Group Plc		73,646
	28,555	Ashtead Group Plc		876,255
	134,483	AstraZeneca Plc		10,149,937
	1,278	AVEVA Group Plc		47,083
	121,797	Aviva Plc		766,275
	32,731	BAE Systems Plc		257,560
	37,171	Barratt Developments Plc		261,515
	2,757	Beazley Plc		21,300
	37,555	Bellway Plc		1,422,741
	110,021	Berkeley Group Holdings Plc (The)		5,204,118
	30,793	Bovis Homes Group Plc		450,031
	441,348	BP Plc		3,142,911
	242,870	British American Tobacco Plc		11,744,526
	7,600	British American Tobacco Plc Sponsored ADR		367,688
	12,614	Britvic Plc		133,479
	10,795	Central Asia Metals Plc		30,068
	13,892	Close Brothers Group Plc		288,227
	17,232	CMC Markets Plc		38,198
	130,034	Coca-Cola HBC AG ^*		4,452,377
	46,480	Computacenter Plc		817,270
	3,662	Costain Group Plc		20,228
	2,280	Cranswick Plc		95,529
	17,831	Dart Group Plc		226,388
	1,523	Derwent London Plc (REIT)		60,142
	2,300	Diageo Plc Sponsored ADR ^(a)		320,643
	26,906	Direct Line Insurance Group Plc		115,590
	57,274	EI Group Plc ^*		116,199
	248,360	Electrocomponents Plc		2,393,936
	486,757	Ferrexpo Plc		982,563
	6,547	Fevertree Drinks Plc		316,516
	1,309	Fidessa Group Plc		65,542
	113,770	Firstgroup Plc ^*		131,311
	47,720	Galliford Try Plc		601,813
	1,267	Games Workshop Group Plc		58,556
	185,435	GlaxoSmithKline Plc		3,755,591
	164,100	GlaxoSmithKline Plc Sponsored ADR		6,646,050
	16,508	Grainger Plc		65,840
	21,400	HSBC Holdings Plc Sponsored ADR		941,814


		See accompanying notes to the financial statements.		27

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		United Kingdom — continued
	15,342	Hunting Plc ^*		166,185
	183,402	IG Group Holdings Plc		2,153,625
	6,262	Imperial Brands Plc		223,112
	56,585	Inchcape Plc		508,330
	509,142	Indivior Plc ^*		1,790,028
	15,182	Intermediate Capital Group Plc		206,982
	33,162	J Sainsbury Plc		139,592
	19,655	John Laing Group Plc		80,504
	10,898	Jupiter Fund Management Plc		59,334
	16,565	Land Securities Group Plc (REIT)		197,175
	787,150	Legal & General Group Plc		2,601,247
	2,830,072	Lloyds Banking Group Plc		2,180,060
	21,385	Lookers Plc		29,203
	10,316	Morgan Advanced Materials Plc		45,513
	9,205	Morgan Sindall Group Plc		175,425
	4,327	Next Plc		308,943
	73,500	Nomad Foods Ltd ^*		1,532,475
	1,467	Northgate Plc		7,796
	23,094	Numis Corp Plc		126,767
	401,148	Persimmon Plc		12,691,097
	104,152	Plus500 Ltd		2,080,758
	5,228	Polypipe Group Plc		25,121
	238,122	QinetiQ Group Plc		838,545
	2,547	Quilter Plc		4,651
	57,976	Reckitt Benckiser Group Plc		4,938,524
	36,908	Redrow Plc		262,206
	27,508	Royal Dutch Shell Plc – Class A		894,653
	11,200	Royal Dutch Shell Plc – Class A Sponsored ADR		730,576
	11,700	Royal Dutch Shell Plc – Class B Sponsored ADR ^(a)		788,346
	124,055	Royal Mail Plc		721,407
	43,911	RPS Group Plc		133,809
	6,068	Safestore Holdings Plc (REIT)		41,838
	32,609	Segro Plc (REIT)		278,805
	15,305	Softcat Plc		168,682
	11,544	Spectris Plc		352,926
	13,760	SSP Group Plc		123,907
	44,119	Stock Spirits Group Plc		110,474
	14,528	Tate & Lyle Plc		126,466
	5,947	Telford Homes Plc		31,950
	18,257	TUI AG		336,995
	2,744	TUI AG		50,618
	71,883	Unilever Plc		4,096,234
	47,908	Vesuvius Plc		385,957
	4,348	Virgin Money Holdings UK Plc		21,554
	210,478	William Hill Plc		703,239

		Total United Kingdom		107,806,750


		United States — 4.2%
	15,373	3M Co. ^(a)		3,242,473


Shares		Description	Value ($)
		United States — continued
	37,974	Abbott Laboratories		2,538,182
	32,482	Accenture Plc – Class A		5,491,732
	9,325	Alphabet, Inc. – Class C ^*		11,359,622
	44,094	American Express Co.		4,673,082
	15,004	Amphenol Corp. – Class A ^(a)		1,419,078
	18,069	Anthem, Inc. ^(a)		4,783,406
	52,175	Apple, Inc.		11,876,595
	9,134	Becton Dickinson and Co. ^(a)		2,391,921
	105,384	Cisco Systems, Inc. ^(a)		5,034,194
	62,675	Coca-Cola Co. (The)		2,793,425
	52,317	Cognizant Technology Solutions Corp. – Class A		4,103,222
	24,167	Costco Wholesale Corp. ^(a)		5,634,053
	17,142	Facebook, Inc. – Class A ^*		3,012,364
	13,110	Honeywell International, Inc.		2,085,277
	44,026	Johnson & Johnson		5,929,862
	7,623	Mastercard, Inc. – Class A		1,643,214
	59,211	Medtronic Plc ^(a)		5,708,532
	66,339	Merck & Co., Inc.		4,550,192
	99,499	Microsoft Corp.		11,176,723
	184,859	Oracle Corp. ^(a)		8,980,450
	8,437	PepsiCo, Inc. ^(a)		945,028
	26,536	Philip Morris International, Inc.		2,066,889
	75,884	QUALCOMM, Inc. ^(a)		5,213,990
	7,670	Stryker Corp. ^(a)		1,299,528
	20,936	Teradata Corp. ^* (a) (b)		868,216
	32,002	Texas Instruments, Inc. ^(a)		3,597,025
	46,674	TJX Cos., Inc. (The) ^(b)		5,132,740
	27,114	UnitedHealth Group, Inc.		7,279,024
	29,569	United Technologies Corp.		3,894,237
	85,784	US Bancorp ^{(a) (b)}		4,641,772
	17,000	Visa, Inc. – Class A		2,497,130
	83,139	Wells Fargo & Co.		4,861,969

		Total United States		150,725,147


		TOTAL COMMON STOCKS (COST $1,434,776,409)		1,475,051,709


		PREFERRED STOCKS ^(e) — 0.8%

		Brazil — 0.2%
	116,500	Banco do Estado do Rio Grande do Sul SA – Class B		419,024
	610,200	Braskem SA – Class A		8,870,379
	29,300	Centrais Eletricas Brasileiras SA – Class B ^*		130,203
	13,000	Cia de Saneamento do Parana		27,129
	90,900	Cia Energetica de Minas Gerais		166,486
	9,700	Telefonica Brasil SA		95,307

		Total Brazil		9,708,528


28		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Colombia — 0.0%
	68,395	Grupo Aval Acciones y Valores SA		26,944


		Germany — 0.1%
	9,655	Bayerische Motoren Werke AG		809,641
	1,143	Draegerwerk AG & Co KGaA		92,255
	2,272	Sixt SE		189,858
	10,093	Volkswagen AG		1,649,880

		Total Germany		2,741,634


		Russia — 0.1%
	4,372	Bashneft PJSC		109,594
	1,020,600	Sberbank of Russia PJSC		2,421,610
	76,000	Surgutneftegas PJSC		42,178
	77	Transneft PJSC		162,755

		Total Russia		2,736,137


		South Korea — 0.4%
	967	Hyundai Motor Co 2nd Preference		74,353
	38,442	LG Electronics Inc		1,070,122
	316,358	Samsung Electronics Co Ltd		11,272,240
	1,079	Samsung Electronics Co Ltd GDR		950,912

		Total South Korea		13,367,627


		Sweden — 0.0%
	2,540	Akelius Residential Property AB		94,852


		Taiwan — 0.0%
	14,463	CTBC Financial Holding Co Ltd		29,243


		TOTAL PREFERRED STOCKS (COST $27,320,710)		28,704,965


		RIGHTS/WARRANTS — 0.0%

		Thailand — 0.0%
	48,800	Supalai Pcl Rights, Expires 10/19/18 ^*		29,670
	74,250	Supalai Public Co Rights, Expires 10/19/18 ^*		45,144

		Total Thailand		74,814


		TOTAL RIGHTS/WARRANTS (COST $60,200)		74,814


		INVESTMENT FUNDS — 0.1%

		United States — 0.1%
	40,181	iShares MSCI Emerging Markets ETF		1,734,614


		TOTAL INVESTMENT FUNDS (COST $1,772,002)		1,734,614


Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 21.1%

		United States — 21.1%
		Asset-Backed Securities — 3.6%
	309,795	AMMC CLO 21 Ltd., Series 17-21A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.20%, due 11/02/30		310,160
	1,302,000	AMMC CLO XI Ltd., Series 12-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 04/30/31		1,301,786
	1,048,955	AMMC CLO XII Ltd., Series 13-12A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 11/10/30		1,048,944
	424,827	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.29%, due 07/24/29		425,854
	725,116	AMMC CLO XIV Ltd., Series 14-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.29%, due 07/25/29		726,503
	158,974	Anchorage Capital CLO Ltd., Series 15-6A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.24%, due 07/15/30		159,169
	956,560	Apidos CLO XII, Series 13-12A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 04/15/31		955,044
	434,000	Apidos CLO XV, Series 13-15A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/20/31		433,994
	1,076,701	Apidos CLO XVI, Series 13-16A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.98%, 3.32%, due 01/19/25		1,077,267
	379,750	Ares XXXIIR CLO Ltd., Series 14-32RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.96%, due 05/15/30		379,747
	482,259	Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.91%, due 11/17/27		482,255
	325,500	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 07/26/31		325,477
	331,374	Avery Point III CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.45%, due 01/18/25		331,460
	563,017	Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.44%, due 04/25/26		563,170
	4,783,911	B&M CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.73%, 3.07%, due 04/16/26		4,768,741
	1,071,000	Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.50%, due 07/20/25		1,071,209
	309,795	Bain Capital Credit CLO, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.15%, due 07/20/30		309,765


		See accompanying notes to the financial statements.		29

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	190,219	Ballyrock CLO LLC, Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.18%, 3.50%, due 05/20/25		190,281
	347,200	Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.06%, due 04/15/30		347,189
	684,341	Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.57%, 2.63%, due 04/25/36		680,931
	268,489	Benefit Street Partners CLO III Ltd., Series 13-IIIA, Class X,, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.20%, due 07/20/29		268,665
	155,000	Black Diamond CLO Ltd., Series 17-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.34%, due 04/24/29		155,240
	698,317	BlueMountain CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.89%, 3.23%, due 10/29/25		697,970
	569,625	BlueMountain CLO Ltd., Series 15-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.90%, due 04/20/30		569,616
	379,750	BlueMountain CLO Ltd., Series 15-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/20/31		379,744
	399,402	Brookside Mill CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 01/17/28		399,397
	560,790	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.04%, due 07/15/31		560,782
	1,085,000	Carlyle Global Market Strategies CLO Ltd., Series 14-2RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.01%, due 05/15/31		1,084,990
	371,754	Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/22/30		371,671
	1,073,956	CBAM Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.04%, due 10/17/29		1,073,940
	344,905	CBAM Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.15%, due 07/20/30		344,949
	1,807,137	CBAM Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 01/15/31		1,807,112
	868,000	Cent CLO, Series C17A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 04/30/31		867,930
	774,487	CIFC Funding II Ltd., Series 13-2A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.98%, due 10/18/30		774,378
	347,200	CIFC Funding III Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.15%, due 07/20/30		347,374


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	994,605	CIFC Funding IV Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 10/24/30		994,910
	3,404,278	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35		1,157,455
	732,375	Crown Point CLO Ltd., Series 18-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/20/31		732,364
	263,408	CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.49%, due 01/16/26		263,480
	760,825	Dryden 30 Senior Loan Fund, Series 13-30A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.91%, due 11/15/28		760,819
	114,115	Dryden XXVIII Senior Loan Fund, Series 13-28A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.06%, due 08/15/30		114,126
	413,060	Elevation CLO Ltd., Series 14-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 10/15/29		413,054
	296,887	Galaxy XV CLO Ltd., Series 13-15A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 10/15/30		297,730
	1,070,172	Galaxy XX CLO Ltd., Series 15-20A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/20/31		1,069,863
	576,460	Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.92%, due 05/16/31		576,386
	5,381,653	GCO Education Loan Funding Master Trust-II, Series 07-1A, Class A6L, 144A, Variable Rate, 3 mo. LIBOR + 0.11%, 2.42%, due 11/25/26		5,361,784
	266,910	GCO Education Loan Funding Trust, Series 06-1, Class A9L, Variable Rate, 3 mo. LIBOR + 0.16%, 2.47%, due 05/25/26		265,675
	922,591	Goldentree Loan Management US CLO 2 Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 11/28/30		922,421
	570,675	Goldentree Loan Opportunities XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.93%, due 01/18/31		570,581
	578,284	Greywolf CLO V Ltd., Series 15-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 01/27/31		578,168
	165,232	Halcyon Loan Advisors Funding Ltd., Series 13-1X, Class A1, Reg. S, 3 mo. LIBOR + 1.15%, 3.49%, due 04/15/25		165,239
	248,305	Halcyon Loan Advisors Funding Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.49%, due 04/15/25		248,316


30		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,809,422	Halcyon Loan Advisors Funding Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.13%, 3.46%, due 04/18/26		1,809,797
	556,605	Highbridge Loan Management Ltd., Series 6A-2015, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 02/05/31		556,598
	206,530	Highbridge Loan Management Ltd., Series 3A-2014, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.13%, due 07/18/29		206,631
	258,163	Highbridge Loan Management Ltd., Series 13-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 10/20/29		258,158
	2,043,776	Higher Education Funding I, Series 05-1, Class A5, Variable Rate, 3 mo. LIBOR + 0.16%, 2.47%, due 02/25/32		2,041,569
	751,905	ICG US CLO Ltd., Series 14-2A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.89%, due 01/15/31		751,894
	516,325	Jamestown CLO X Ltd., Series 17-10A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.25%, due 07/17/29		516,911
	279,398	KeyCorp Student Loan Trust, Series 00-A, Class A2, Variable Rate, 3 mo. LIBOR + 0.32%, 2.63%, due 05/25/29		278,353
	323,576	KeyCorp Student Loan Trust, Series 06-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.31%, 2.65%, due 09/27/35		323,608
	1,247,390	KeyCorp Student Loan Trust, Series 99-B, Class CTFS, Variable Rate, 3 mo. LIBOR + 0.90%, 3.21%, due 11/25/36		1,249,006
	66,396	KeyCorp Student Loan Trust, Series 05-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.34%, 2.68%, due 06/27/38		66,391
	224,665	KeyCorp Student Loan Trust, Series 04-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.53%, 2.87%, due 01/27/42		224,750
	618,450	Kingsland VIII Ltd., Series 18-8A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.05%, due 04/20/31		618,440
	326,100	KKR CLO Ltd., Series 9, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.29%, due 07/15/30		326,500
	624,701	LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/20/31		624,691
	440,235	LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.30%, due 07/20/30		441,201
	288,422	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.31%, due 02/25/30		283,585


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	61,690	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.31%, due 09/25/30		61,624
	1,618,210	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 2.33%, due 06/25/37		1,595,716
	1,098,020	Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 04/19/30		1,097,879
	603,228	Magnetite IX Ltd., Series 14-9A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.34%, due 07/25/26		603,507
	1,898,750	Marathon CLO VI Ltd., Series 14-6A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.04%, due 05/13/28		1,898,731
	2,049,472	Montana Higher Education Student Assistance Corp., Series 12-1, Class A2, Variable Rate, 1 mo. LIBOR + 1.00%, 3.08%, due 05/20/30		2,067,441
	4,734,537	Montana Higher Education Student Assistance Corp., Series 05-1, Class B, Variable Rate, 3 mo. LIBOR + 0.12%, 2.44%, due 06/20/30		4,729,519
	201,519	Morgan Stanley Dean Witter Capital I Trust, Series 01-TOP3, Class E, 144A, Variable Rate, 7.86%, due 07/15/33		212,887
	619,590	Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 01/16/31		619,642
	2,836,000	Mountain View CLO Ltd., Series 14-1A, Class ARR, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.14%, due 10/15/26		2,830,810
	591,980	Mountain View CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 10/12/30		591,971
	6,723	National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.25%, 2.31%, due 03/27/28		6,721
	4,786,052	National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 2.29%, due 03/26/29		4,694,922
	1,276,618	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 2.30%, due 07/25/30		1,259,070
	92,301	Nationslink Funding Corp. Commercial Loan Pass Through Certificate, Series 99-LTL1, Class D, 144A, 6.45%, due 01/22/26		93,494
	296,056	Navient Private Education Loan Trust, Series 14-CTA, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.70%, 2.76%, due 09/16/24		296,395


		See accompanying notes to the financial statements.		31

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,139,250	Navient Student Loan Trust, Series 16-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 3.11%, due 06/25/65		1,150,591
	285,288	Neuberger Berman CLO XV, Series 13-15A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 10/15/29		285,248
	369,171	Neuberger Berman CLO XVII Ltd., Series 14-17A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.35%, due 04/22/29		369,737
	474,170	Newcastle CDO V Ltd., Series 04-5A, Class 3, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 2.20%, due 12/24/39		473,536
	1,870,276	Ocean Trails CLO IV, Series 13-4A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.24%, due 08/13/25		1,870,293
	247,380	Octagon Investment Partners XIV Ltd., Series 12-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.88%, 3.22%, due 07/15/19		247,394
	258,434	Octagon Investment Partners XV Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.14%, due 07/19/30		258,615
	704,264	Octagon Investment Partners XVII Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 01/25/31		704,254
	221,282	OFSI Fund V Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.19%, due 08/16/29		221,486
	2,165,683	OFSI Fund VI Ltd., Series 14-6A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 03/20/25		2,160,268
	326,100	OHA Credit Partners XIV Ltd., Series 17-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 01/21/30		326,046
	567,957	OZLM Funding Ltd., Series 13-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 10/22/30		567,876
	1,519,000	OZLM VI Ltd., Series 14-6A, Class XS, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.04%, due 04/17/31		1,518,977
	263,054	OZLM XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 10/30/30		263,121
	3,468,292	Palmer Square Loan Funding Ltd., Series 18-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 04/15/26		3,436,574
	1,017,730	Seneca Park CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.46%, due 07/17/26		1,017,802


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	516,325	Shackleton CLO Ltd., Series 13-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 07/15/30		516,318
	434,055	Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 3.48%, due 05/15/26		434,223
	1,764,619	SLC Student Loan Trust, Series 08-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 09/15/18		1,764,605
	1,807,758	SLM Private Credit Student Loan Trust, Series 07-A, Class A3, Variable Rate, 3 mo. LIBOR + 0.17%, 2.51%, due 12/15/26		1,807,286
	704,670	SLM Private Education Loan Trust, Series 14-A, Class A2B, 144A, Variable Rate, 1 mo. LIBOR + 1.15%, 3.21%, due 01/15/26		707,450
	208,791	SLM Private Education Loan Trust, Series 11-A, Class A2, 144A, 4.37%, due 04/17/28		209,299
	1,323,700	SLM Private Education Loan Trust, Series 11-B, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.25%, 4.31%, due 06/16/42		1,358,480
	2,219,654	SLM Private Education Loan Trust, Series 11-A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.50%, 4.56%, due 01/15/43		2,267,520
	2,107,973	SLM Private Education Loan Trust, Series 10-A, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + 3.25%, 5.31%, due 05/16/44		2,147,746
	942,071	SLM Private Education Loan Trust, Series 11-C, Class A2B, 144A, 4.54%, due 10/17/44		952,702
	1,951,677	SLM Student Loan Trust, Series 07-3, Class A3, Variable Rate, 3 mo. LIBOR + 0.04%, 2.38%, due 04/25/19		1,946,741
	5,789,888	SLM Student Loan Trust, Series 07-6, Class A4, Variable Rate, 3 mo. LIBOR + 0.38%, 2.72%, due 10/25/24		5,800,707
	590,294	South Carolina Student Loan Corp., Series 05, Class A3, Variable Rate, 3 mo. LIBOR + 0.14%, 2.44%, due 12/01/23		590,176
	376,658	South Carolina Student Loan Corp., Series 10-1, Class A2, Variable Rate, 3 mo. LIBOR + 1.00%, 3.34%, due 07/25/25		378,462
	726,120	Symphony CLO V Ltd., Series 07-5A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 01/15/24		726,358
	206,530	Telos CLO, Series 13-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.34%, due 07/17/19		206,724
	734,400	Telos CLO Ltd., Series 14-6A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.27%, 3.61%, due 01/17/27		734,624
	810,133	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 04/17/28		810,120


32		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	751,769	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 01/17/30		751,757
	128,844	THL Credit Wind River CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.25%, due 07/20/30		129,006
	557,631	THL Credit Wind River CLO Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.92%, due 11/20/30		557,628
	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		1,231,415
	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		1,605,728
	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
	600,428	Velocity Commercial Capital Loan Trust, Series 15-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 2.43%, 4.49%, due 06/25/45		604,412
	714,598	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 3.31%, due 05/25/47		719,178
	305,014	Venture VII CDO Ltd., Series 06-7A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 0.23%, 2.58%, due 01/20/22		304,411
	1,771,716	Voya CLO Ltd., Series 13-3A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 3.38%, due 01/18/26		1,772,036
	387,244	Voya CLO Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.15%, due 07/20/30		387,191
	929,385	Voya CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 10/15/30		929,372
	360,763	Voya CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 2.96%, due 04/18/31		360,757
	418,567	Westchester CLO Ltd., Series 07-1A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.19%, due 08/01/22		418,228
	1,224,000	WhiteHorse Ltd., Series 18-12A, Class X, Variable Rate, 3 mo. LIBOR + 0.75%, 3.18%, due 10/15/31		1,224,000
	4,264,286	WhiteHorse VIII Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.24%, due 05/01/26		4,261,416
	135,286	Ziggurat CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.24%, due 04/17/29		135,386

		Total Asset-Backed Securities		128,031,724


		U.S. Government — 16.5%
	57,898,592	U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23 ^(f)		57,551,804


Par Value†		Description	Value ($)
		United States — continued
		U.S. Government — continued
	26,200,498	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 ^(f)		25,385,576
	64,676,845	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 ^(f)		64,007,339
	92,062,642	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 ^(f)		89,005,875
	3,608,370	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 ^(f)		3,492,179
	59,083,252	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 ^(f)		57,436,922
	82,650,746	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 ^(f)		89,616,869
	63,592,600	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 ^(f)		74,086,207
	850,000	U.S. Treasury Note, 0.75%, due 10/31/18		848,300
	7,900,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.14%, due 10/31/19		7,904,874
	8,900,000	U.S. Treasury Note, Variable Rate, USBM + 0.00%, 2.09%, due 01/31/20 ^(b)		8,899,042
	15,750,000	U.S. Treasury Note, 2.25%, due 03/31/20 ^(b)		15,665,098
	18,000,000	U.S. Treasury Note, 2.38%, due 04/30/20		17,931,094
	22,000,000	U.S. Treasury Note, 2.50%, due 05/31/20		21,953,594
	12,000,000	U.S. Treasury Note, 2.50%, due 06/30/20		11,971,875
	9,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.13%, due 07/31/20		9,498,911
	15,000,000	U.S. Treasury Note, 2.63%, due 07/31/20		14,996,484
	20,200,000	U.S. Treasury Note, 2.63%, due 08/31/20		20,193,687

		Total U.S. Government		590,445,730


		U.S. Government Agency — 1.0%
	10,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR + 0.22%, 2.12%, due 11/09/18		10,503,053
	3,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.24%, 2.08%, due 03/06/19		3,000,173
	10,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.16%, 2.18%, due 02/07/20		10,501,691
	8,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.24%, 2.10%, due 04/13/20		7,995,012
	95,002	Government National Mortgage Association, Series 12-H15, Class FA, Variable Rate, 1 mo. LIBOR + 0.45%, 2.55%, due 05/20/62		95,103
	2,098,533	Government National Mortgage Association, Series 17-H12, Class FE, Variable Rate, 1 mo. LIBOR + 0.20%, 2.30%, due 06/20/66		2,095,051
	648,526	Government National Mortgage Association, Series 17-H05, Class FJ, Variable Rate, 1 mo. LIBOR + 0.27%, 2.37%, due 01/20/67		647,866


		See accompanying notes to the financial statements.		33

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares / Par Value†		Description	Value ($)
		United States — continued
		U.S. Government Agency — continued
	632,538	Government National Mortgage Association, Series 17-H13, Class FJ, Variable Rate, 1 mo. LIBOR + 0.20%, 2.30%, due 05/20/67		631,679

		Total U.S. Government Agency		35,469,628

		Total United States		753,947,082


		TOTAL DEBT OBLIGATIONS (COST $759,831,551)		753,947,082


		MUTUAL FUNDS — 31.2%

		United States — 31.2%
		Affiliated Issuers — 31.2%
	4,088,529	GMO Emerging Country Debt Fund, Class IV		109,777,006
	13,350,523	GMO Emerging Markets Fund, Class VI		428,418,296
	7,332,394	GMO Opportunistic Income Fund, Class VI		195,848,231
	4,081,954	GMO Risk Premium Fund, Class VI		115,723,391
	4,759,278	GMO SGM Major Markets Fund, Class VI		152,439,658
	5,686,502	GMO Special Opportunities Fund, Class VI		111,512,311


		TOTAL MUTUAL FUNDS (COST $1,053,663,365)		1,113,718,893


		SHORT-TERM INVESTMENTS — 6.1%

		Foreign Government Obligations — 2.4%
JPY	1,900,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/18/18		17,100,889
JPY	1,937,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/09/18		17,435,231
JPY	1,788,500,000	Japan Treasury Discount Bill, Zero Coupon, due 10/22/18		16,099,365
JPY	2,840,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/12/18		25,566,774
GBP	1,300,000	United Kingdom Treasury Bill, Zero Coupon, due 09/10/18		1,685,173
GBP	4,500,000	United Kingdom Treasury Bill, Zero Coupon, due 11/19/18		5,824,721


		TOTAL FOREIGN GOVERNMENT OBLIGATIONS (COST $83,868,810)		83,712,153


		Money Market Funds — 0.1%
	5,188,461	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% ^(g)		5,188,461


Par Value† / Shares			Description	Value ($)
			Repurchase Agreements — 3.2%
	115,734,491		Daiwa Capital Markets America Inc. Repurchase Agreement, dated 08/31/18, maturing on 09/04/18 with a maturity value of $115,759,695 and an effective yield of 1.96%, collateralized by a U.S. Treasury Note with maturity date 03/31/25 and a market value of $118,058,788.		115,734,491


			U.S. Government — 0.3%
	11,055,000		U.S. Treasury Note, 1.38%, due 11/30/18		11,035,321


			U.S. Government Agency — 0.1%
	2,000,000		Federal Home Loan Banks, Zero Coupon, due 09/10/18		1,999,354


			TOTAL SHORT-TERM INVESTMENTS (COST $217,835,399)		217,669,780


			TOTAL INVESTMENTS — 100.7% (Cost $3,495,259,636)		3,590,901,857


			SECURITIES SOLD SHORT — (1.3)%

			Common Stocks — (1.3)%
			Brazil — (0.1)%
	(91,500	)	Pagseguro Digital Ltd – Class A ^*		(2,643,435	)


			Canada — (0.2)%
	(26,000	)	Agnico Eagle Mines Ltd		(897,520	)
	(20,850	)	Algonquin Power & Utilities Corp		(215,798	)
	(148,200	)	Barrick Gold Corp		(1,544,244	)
	(36,500	)	Cameco Corp		(379,965	)
	(72,400	)	Enbridge Inc		(2,473,908	)

			Total Canada		(5,511,435	)


			Denmark — (0.0)%
	(43	)	AP Moller – Maersk A/S – Class A ^*		(62,092	)
	(714	)	AP Moller – Maersk A/S – Class B		(1,106,551	)

			Total Denmark		(1,168,643	)


			Finland — (0.0)%
	(6,760	)	Outokumpu Oyj		(39,707	)


			France — (0.1)%
	(7,271	)	Air Liquide SA		(915,070	)
	(19,442	)	DBV Technologies SA ^*		(863,009	)
	(835	)	Iliad SA		(107,795	)
	(1,407	)	Wendel SA		(208,320	)

			Total France		(2,094,194	)


			Germany — (0.2)%
	(390,351	)	Deutsche Bank AG (Registered)		(4,400,605	)


34		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares			Description	Value ($)
			Germany — continued
	(1,334	)	GEA Group AG		(50,671	)
	(74,353	)	thyssenkrupp AG		(1,718,100	)

			Total Germany		(6,169,376	)


			Israel — (0.0)%
	(5,300	)	CyberArk Software Ltd ^*		(399,726	)
	(7,100	)	Wix.com Ltd ^*		(788,810	)

			Total Israel		(1,188,536	)


			Italy — (0.2)%
	(205,172	)	BPER Banca		(906,184	)
	(88,178	)	Brembo SPA		(1,179,732	)
	(634,163	)	Saipem SPA ^*		(3,391,406	)

			Total Italy		(5,477,322	)


			Japan — (0.2)%
	(18,000	)	Acom Co Ltd		(73,475	)
	(48	)	Daiwa House Investment Corp (REIT)		(111,320	)
	(800	)	FP Corp		(45,047	)
	(2,800	)	Fujitsu General Ltd		(46,186	)
	(18,700	)	Hokkaido Electric Power Co Inc		(127,469	)
	(95	)	Hulic Reit Inc (REIT)		(139,611	)
	(143	)	Invincible Investment Corp (REIT)		(61,943	)
	(22,200	)	Isetan Mitsukoshi Holdings Ltd		(250,967	)
	(2,300	)	JGC Corp		(46,284	)
	(2,900	)	JINS Inc		(148,907	)
	(44,100	)	Kansai Paint Co Ltd		(871,584	)
	(16,900	)	Keikyu Corp		(292,024	)
	(7,600	)	Kenedix Inc		(48,930	)
	(1,100	)	Kintetsu Group Holdings Co Ltd		(43,146	)
	(89,700	)	Kyushu Electric Power Co Inc		(1,003,660	)
	(34,800	)	Mitsui OSK Lines Ltd		(934,793	)
	(3,400	)	Murata Manufacturing Co Ltd		(586,280	)
	(1,800	)	Nifco Inc		(49,381	)
	(8,400	)	Nippon Paint Holdings Co Ltd		(332,027	)
	(1,300	)	NOF Corp		(43,133	)
	(2,000	)	Nomura Real Estate Holdings Inc		(43,324	)
	(127,100	)	Orient Corp		(179,549	)
	(11,900	)	Rakuten Inc		(90,984	)
	(1,600	)	Royal Holdings Co Ltd		(39,660	)
	(3,200	)	Saizeriya Co Ltd		(64,112	)
	(1,000	)	Seria Co Ltd		(40,920	)
	(14,900	)	Seven Bank Ltd		(46,403	)
	(7,000	)	Shimano Inc		(1,080,099	)
	(2,300	)	Takasago Thermal Engineering Co Ltd		(40,645	)
	(4,600	)	Toyo Tire & Rubber Co Ltd		(75,410	)
	(2,000	)	UACJ Corp		(45,470	)
	(4,700	)	Yoshinoya Holdings Co Ltd		(79,151	)

			Total Japan		(7,081,894	)


Shares			Description	Value ($)
			Netherlands — (0.0)%
	(68,707	)	Altice NV ^*		(206,753	)
	(14,382	)	Boskalis Westminster		(411,565	)

			Total Netherlands		(618,318	)


			Singapore — (0.0)%
	(14,600	)	UOL Group Ltd		(73,496	)


			Spain — (0.2)%
	(613,203	)	Bankia SA		(2,297,109	)
	(48,427	)	Cellnex Telecom SA		(1,242,030	)
	(84,984	)	Ferrovial SA		(1,835,098	)
	(85,279	)	Merlin Properties Socimi SA (REIT)		(1,189,258	)
	(2,335	)	Neinor Homes SA ^*		(42,927	)

			Total Spain		(6,606,422	)


			Sweden — (0.0)%
	(2,059	)	Industrivarden AB – Class A		(45,218	)


			Switzerland — (0.1)%
	(112,848	)	Credit Suisse Group AG (Registered) ^*		(1,689,850	)
	(23,609	)	LafargeHolcim Ltd (Registered) ^*		(1,148,455	)

			Total Switzerland		(2,838,305	)


			United Kingdom — (0.1)%
	(90,078	)	AA Plc		(130,404	)
	(217,727	)	Cobham Plc ^*		(351,904	)
	(88,864	)	GVC Holdings Plc		(1,269,549	)
	(5,742	)	Just Eat Plc ^*		(57,173	)
	(494,565	)	Melrose Industries Plc		(1,431,364	)
	(1,531	)	Ted Baker Plc		(43,834	)
	(42,715	)	Travis Perkins Plc		(638,299	)

			Total United Kingdom		(3,922,527	)


			United States — (0.0)%
	(78,587	)	Altice USA, Inc. – Class A		(1,408,279	)


			TOTAL COMMON STOCKS (PROCEEDS $49,149,255)		(46,887,107	)


			TOTAL SECURITIES SOLD SHORT (PROCEEDS $49,149,255)		(46,887,107	)
			Other Assets and Liabilities (net) — 0.6%		22,309,281


			TOTAL NET ASSETS — 100.0%		$3,566,324,031


		See accompanying notes to the financial statements.		35

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

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

Forward Currency Contracts



Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Un- realized Appre- ciation (Depre- ciation) ($)
10/15/2018	GS		AUD	182,983		USD	135,154		3,606
10/15/2018	MSCI		AUD	5,141,220		USD	3,806,077		110,009
10/15/2018	SSB		AUD	634,348		USD	469,650		13,612
10/12/2018	BOA		CHF	881,191		USD	891,851		(20,214	)
10/12/2018	MSCI		CHF	2,892,468		USD	2,934,058		(59,749	)
10/12/2018	SSB		CHF	33,946		USD	34,349		(786	)
09/19/2018	MSCI		EUR	33,055,051		USD	38,650,183		242,397
09/19/2018	SSB		EUR	2,919,485		USD	3,422,836		30,587
09/10/2018	BCLY		GBP	1,300,000		USD	1,749,062		63,371
09/19/2018	BCLY		GBP	511,396		USD	672,393		9,030
09/19/2018	GS		GBP	4,355,462		USD	5,734,536		84,803
09/19/2018	JPM		GBP	11,883,324		USD	15,798,119		383,542
09/19/2018	SSB		GBP	91,895		USD	120,712		1,509
11/19/2018	JPM		GBP	4,500,000		USD	5,743,873		(108,871	)



Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Un- realized Appre- ciation (Depre- ciation) ($)
09/18/2018	BCLY		JPY	1,175,968,317		USD	10,621,790		28,758
09/18/2018	JPM		JPY	2,815,520,272		USD	25,682,141		320,151
09/18/2018	MSCI		JPY	1,900,000,000		USD	17,335,331		220,278
09/18/2018	SSB		JPY	17,071,267		USD	154,334		557
10/09/2018	MSCI		JPY	1,937,000,000		USD	17,622,227		147,200
10/22/2018	GS		JPY	1,788,500,000		USD	16,046,115		(104,490	)
11/13/2018	JPM		JPY	2,840,000,000		USD	25,782,602		96,227
10/12/2018	BOA		NOK	36,123,524		USD	4,498,233		184,372
10/12/2018	GS		NOK	6,330,208		USD	775,888		19,937
10/12/2018	BCLY		SEK	27,587,282		USD	3,172,949		147,605
10/12/2018	GS		SEK	783,753		USD	89,110		3,160
10/12/2018	SSB		SEK	17,814,181		USD	2,034,766		81,184
09/18/2018	BCLY		USD	1,040,089		JPY	113,597,600		(16,811	)
09/18/2018	GS		USD	705,678		JPY	77,665,400		(6,074	)
09/19/2018	JPM		USD	1,974,736		EUR	1,732,700		38,547
09/19/2018	MSCI		USD	1,726,041		EUR	1,469,600		(18,463	)
09/19/2018	MSCI		USD	886,239		GBP	669,300		(18,049	)

								$	1,876,935

Reverse Repurchase Agreements


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

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
120	Mini MSCI Emerging Markets	September 2018		6,329,400		(469,455	)

Sales
2,060	S&P 500 E-Mini	September 2018		298,916,300		(12,071,454	)

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.


36		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 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 ^(h)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	6,331,328	05/18/2020	Monthly		—		(428,917	)		(428,917	)
Total Return on Equity Basket ^(h)	1 Month Federal Funds Rate minus 0.75%	MORD	USD	219,971	05/18/2020	Monthly		—		(23,945	)		(23,945	)
Total Return on Equity Basket ^(h)	1 Month Federal Funds Rate minus 0.75%	MORD	USD	861,962	05/18/2020	Monthly		—		(86,079	)		(86,079	)
Total Return on Equity Basket ^(h)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	1,325,928	05/18/2020	Monthly		—		22,882			22,882
Total Return on Equity Basket ^(h)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	857,083	05/18/2020	Monthly		—		(62,322	)		(62,322	)
Total Return on Equity Basket ^(h)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	6,686,271	05/18/2020	Monthly		—		(11,047	)		(11,047	)
Total Return on Equity Basket ^(h)	1 Month Federal Funds Rate minus 1.75%	MORD	USD	1,880,032	05/18/2020	Monthly		—		(53,649	)		(53,649	)
Total Return on Equity Basket ^(h)	1 Month Federal Funds Rate minus 3.38%	MORD	USD	154,280	05/18/2020	Monthly		—		14,422			14,422

							$	—	$	(628,655	)	$	(628,655	)

Notes to Schedule of Investments:

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

*	Non-income producing security.

(a)	All or a portion of this security is out on loan (Note 2).

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

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

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

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

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

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

(h)	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.


		See accompanying notes to the financial statements.		37

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		56.9	%
Debt Obligations		30.1
Short-Term Investments		14.6
Mutual Funds		2.3
Preferred Stocks		0.6
Investment Funds		0.4
Swap Contracts		0.1
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Forward Currency Contracts		0.0	^
Purchased Options		0.0	^
Loan Assignments		0.0	^
Written/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Futures Contracts		(0.3	)
Other		(4.7	)

		100.0	%


Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		19.4	%
Other Emerging		2.1	†
Euro Region		0.0	^#
Other Developed		(0.5	)‡

		21.0	%


Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		14.5	%
Japan		6.0
Other Emerging		5.4	†
Taiwan		4.2
United Kingdom		4.1
China		4.0
Other Developed		3.2	‡
Germany		2.8
Russia		2.7
France		1.7
Switzerland		1.6
South Korea		1.5
Sweden		1.3
Thailand		1.2
Australia		1.1
Italy		1.0

		56.3	%

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

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

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

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

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

^	Rounds to 0.0%.

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%

		Affiliated Issuers— 100.0%
	3,250,240	GMO Alpha Only Fund, Class IV		65,752,355
	11,882,491	GMO Asset Allocation Bond Fund, Class VI		265,692,501
	15,591,767	GMO Core Plus Bond Fund, Class IV		331,792,810
	1,646,536	GMO Emerging Country Debt Fund, Class IV		44,209,497
	12,836,231	GMO Emerging Markets Fund, Class VI		411,914,641
	20,564,664	GMO International Equity Fund, Class IV		457,769,422
	1,160,142	GMO Opportunistic Income Fund, Class VI		30,987,404
	6,174,318	GMO Quality Fund, Class VI		163,619,435
	1,984,450	GMO Risk Premium Fund, Class VI		56,259,164
	2,063,930	GMO SGM Major Markets Fund, Class VI		66,107,674
	10,934,914	GMO U.S. Equity Fund, Class VI		161,946,076
	5,433,415	GMO U.S. Treasury Fund		135,726,701


		TOTAL MUTUAL FUNDS (COST $2,165,505,034)		2,191,777,680


		DEBT OBLIGATIONS — 0.0%

		Asset-Backed Securities— 0.0%
	30,275	ACE Securities Corp., Series 06-ASL1, Class A,Variable Rate, 1 mo. LIBOR + .28%, 2.34%, due 02/25/36 ^◆		16,100
	22,927	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .50%, 2.56%, due 10/25/34 ^◆		21,461
	19,476	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.31%, due 02/26/34 ^◆		18,412


		Total Asset-Backed Securities		55,973


		TOTAL DEBT OBLIGATIONS (COST $49,950)		55,973


		SHORT-TERM INVESTMENTS — 0.0%

		Money Market Funds— 0.0%
	315,238	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% ^(a)		315,238


		TOTAL SHORT-TERM INVESTMENTS (COST $315,238)		315,238


		TOTAL INVESTMENTS — 100.0% (Cost $2,165,870,222)		2,192,148,891
		Other Assets and Liabilities (net) — (0.0%)		(97,513	)


		TOTAL NET ASSETS — 100.0%		$2,192,051,378

Notes to Schedule of Investments:

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

◆	These securities are primarily backed by subprime mortgages.

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any,

please refer to page 95.


		See accompanying notes to the financial statements.		39

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		97.9	%
Short-Term Investments		1.4
Preferred Stocks		0.5
Investment Funds		0.2
Other		0.1
Swap Contracts		0.0	^
Futures Contracts		(0.1	)

		100.0	%


Country/Region Summary¤	% of Investments
United States		40.9	%
Japan		12.7
United Kingdom		8.7
Germany		6.0
Other Emerging		4.7	†
Switzerland		3.7
France		3.7
Taiwan		2.6
Sweden		2.6
Australia		2.2
China		2.2
Italy		2.1
Other Developed		2.0	‡
Norway		1.7
Hong Kong		1.6
Russia		1.4
Netherlands		1.2

		100	%

The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

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

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

^	Rounds to 0.0%.

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		MUTUAL FUNDS— 100.0%

		Affiliated Issuers— 100.0%
	1,388,882	GMO Emerging Markets Fund, Class VI		44,569,208
	9,350,529	GMO International Equity Fund, Class IV		208,142,765
	4,004,766	GMO Quality Fund, Class VI		106,126,304
	6,854,662	GMO U.S. Equity Fund, Class VI		101,517,540


		TOTAL MUTUAL FUNDS (COST $422,557,332)		460,355,817


		SHORT-TERM INVESTMENTS — 0.0%

		Money Market Funds— 0.0%
	121,679	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% ^(a)		121,679


		TOTAL SHORT-TERM INVESTMENTS (COST $121,679)		121,679


		TOTAL INVESTMENTS — 100.0% (Cost $422,679,011)		460,477,496
		Other Assets and Liabilities (net) — (0.0%)		(49,744	)


		TOTAL NET ASSETS — 100.0%		$460,427,752

Notes to Schedule of Investments:

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


		See accompanying notes to the financial statements.		41

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		96.9	%
Mutual Funds		1.1
Preferred Stocks		0.9
Investment Funds		0.5
Short-Term Investments		0.4
Swap Contracts		0.0	^
Futures Contracts		(0.1	)
Other		0.3

		100.0	%


Country/Region Summary¤	% of Investments
United States		32.1	%
Japan		10.7
United Kingdom		7.4
Taiwan		6.0
China		5.7
Germany		5.1
Other Emerging		4.5	†
Russia		3.7
France		3.1
Switzerland		3.0
Sweden		2.2
Korea		2.2
Australia		1.9
Italy		1.8
Other Developed		1.7	‡
Thailand		1.5
Norway		1.4
South Africa		1.3
Hong Kong		1.3
India		1.2
Turkey		1.1
Netherlands		1.1

		100.0	%

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

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

^	Rounds to 0.0%.

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		MUTUAL FUNDS— 100.0%

		Affiliated Issuers— 100.0%
	16,099,997	GMO Emerging Markets Fund, Class VI		516,648,904
	34,962,573	GMO International Equity Fund, Class IV		778,266,880
	13,629,897	GMO Quality Fund, Class VI		361,192,275
	24,127,786	GMO U.S. Equity Fund, Class VI		357,332,506


		TOTAL MUTUAL FUNDS (COST $1,952,524,582)		2,013,440,565


		SHORT-TERM INVESTMENTS — 0.0%

		Money Market Funds— 0.0%
	656,642	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% ^(a)		656,642


		TOTAL SHORT-TERM INVESTMENTS (COST $656,642)		656,642


		TOTAL INVESTMENTS — 100.0% (Cost $1,953,181,224)		2,014,097,207
		Other Assets and Liabilities (net) — (0.0%)		(167,643	)


		TOTAL NET ASSETS — 100.0%		$2,013,929,564

Notes to Schedule of Investments:

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any,

please refer to page 95.


		See accompanying notes to the financial statements.		43

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		63.7	%
Debt Obligations		30.9
Short-Term Investments		4.0
Preferred Stocks		1.0
Mutual Funds		0.4
Investment Funds		0.3
Forward Currency Contracts		0.1
Purchased Options		0.0	^
Rights/Warrants		0.0	^
Reverse Repurchase Agreements		0.0	^
Swap Contracts		0.0	^
Written Options		(0.0	)^
Futures Contracts		(0.6	)
Securities Sold Short		(3.3	)
Other		3.5

		100.0	%


Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		13.5	%
Other Developed		0.3	‡
Other Emerging		0.0	^†
Euro Region		0.0	^§
United Kingdom		(3.4	)

		10.4	%


Country/Region Summary¤	Equity Investments % of Total Net Assets
United States		9.1	%
China		7.7
Taiwan		5.4
Japan		5.0
Other Developed		4.8	‡
United Kingdom		3.8
South Korea		3.0
Other Emerging		2.9	†
Germany		2.8
Russia		2.7
South Africa		2.5
Brazil		1.7
Canada		1.6
India		1.6
Thailand		1.5
France		1.4
Switzerland		1.4
Mexico		1.2
Sweden		1.1
Australia		1.0

		62.2	%


Industry Group Summary	% of Equity Investments^#
Banks		12.2	%
Materials		8.2
Capital Goods		7.7
Energy		7.6
Technology Hardware & Equipment		7.3
Software & Services		6.4
Pharmaceuticals, Biotechnology & Life Sciences		5.9
Food, Beverage & Tobacco		4.9
Semiconductors & Semiconductor Equipment		4.9
Automobiles & Components		4.3
Real Estate		3.8
Telecommunication Services		3.6
Diversified Financials		3.5
Health Care Equipment & Services		3.2
Consumer Durables & Apparel		3.2
Insurance		2.9
Utilities		2.1
Food & Staples Retailing		1.8
Transportation		1.7
Retailing		1.6
Household & Personal Products		1.5
Media		0.8
Consumer Services		0.4
Commercial & Professional Services		0.4
Commercial Services & Supplies		0.1

		100.0	%

(a)	GMO Implementation SPC Ltd. is a 100% owned subsidiary of GMO Implementation Fund. As such, the holdings of GMO Implementation SPC Ltd. have been included with GMO Implementation Fund.

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

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

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

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

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

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary^(a) — (Continued)

August 31, 2018 (Unaudited)

^	Rounds to 0.0%.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		COMMON STOCKS — 63.7%

		Australia — 1.0%
	36,784	Abacus Property Group (REIT)		92,251
	22,945	Altium Ltd		463,518
	25,734	Appen Ltd		284,331
	148,173	Australia & New Zealand Banking Group Ltd		3,148,791
	95,610	Australian Pharmaceutical Industries Ltd		126,873
	936,820	Beach Energy Ltd		1,309,472
	38,445	Brickworks Ltd		483,793
	909,496	Caltex Australia Ltd		19,763,606
	199,698	Charter Hall Group (REIT)		1,023,708
	112,691	Codan Ltd		252,435
	718,992	Costa Group Holdings Ltd		3,742,844
	56,000	Credit Corp Group Ltd		929,573
	783,981	Cromwell Property Group (REIT)		623,148
	58,963	Crown Resorts Ltd		602,978
	45,489	CSL Ltd		7,457,303
	139,470	CSR Ltd		432,387
	1,556,055	Downer EDI Ltd		8,656,757
	41,300	Elders Ltd		198,100
	70,481	Folkestone Education Trust (REIT)		139,725
	115,427	GDI Property Group (REIT)		105,330
	502,436	Genworth Mortgage Insurance Australia Ltd		954,933
	13,892	Goodman Group (REIT)		106,999
	108,734	GWA Group Ltd		235,473
	32,120	IDP Education Ltd		251,277
	150,395	Insurance Australia Group Ltd		835,826
	292,275	Macquarie Group Ltd (REIT)		27,337,419
	25,797	McMillan Shakespeare Ltd		331,867
	387,487	Metcash Ltd		771,546
	538,526	Mineral Resources Ltd		5,866,103
	22,547	Monadelphous Group Ltd		233,101
	89,649	Monash IVF Group Ltd		78,384
	2,359,171	Nine Entertainment Co Holdings Ltd		4,099,121
	170,289	NRW Holdings Ltd ^*		257,906
	543,468	OZ Minerals Ltd		3,533,542
	41,963	Qantas Airways Ltd		194,262
	305,367	Sandfire Resources NL		1,557,110
	1,636,186	Scentre Group (REIT)		4,844,150
	54,850	St Barbara Ltd		154,785
	298,897	Tassal Group Ltd		955,506
	50,166	Virtus Health Ltd		209,945

		Total Australia		102,646,178


		Austria — 0.3%
	43,489	FACC AG		1,097,674
	378,429	OMV AG		20,063,162
	23,033	POLYTEC Holding AG		285,284


Shares		Description	Value ($)
		Austria — continued
	14,552	S IMMO AG		305,770
	18,674	Vienna Insurance Group AG Wiener Versicherung Gruppe		509,266
	106,216	voestalpine AG		4,774,229

		Total Austria		27,035,385


		Belgium — 0.1%
	300,759	AGFA-Gevaert NV ^*		1,320,745
	9,177	Barco NV		1,262,806
	44,599	KBC Group NV		3,170,979
	31,712	UCB SA		2,902,895

		Total Belgium		8,657,425


		Brazil — 1.5%
	2,328,900	Ambev SA ADR		10,829,385
	127,240	Banco Bradesco SA		784,414
	803,200	Banco BTG Pactual SA		4,042,523
	1,800,200	Banco do Brasil SA		13,303,386
	1,906,000	Banco Santander Brasil SA		16,191,009
	354,400	BB Seguridade Participacoes SA		2,130,002
	569,700	Centrais Eletricas Brasileiras SA ^*		2,212,726
	2,697,600	Cia de Saneamento Basico do Estado de Sao Paulo		16,160,035
	648,100	Cia de Saneamento Basico do Estado de Sao Paulo ADR		3,895,081
	161,900	Cia de Saneamento de Minas Gerais-COPASA		1,664,671
	605,100	Cielo SA		2,243,257
	38,900	Construtora Tenda SA ^*		281,739
	99,500	Cosan SA		850,114
	179,700	Equatorial Energia SA		2,514,768
	1,061,800	Estacio Participacoes SA		5,875,862
	531,900	Grendene SA		935,014
	7,300	Guararapes Confeccoes SA		188,275
	13,371,600	JBS SA		30,859,306
	1,132,800	Kroton Educacional SA		2,842,360
	39,100	Mahle-Metal Leve SA		242,197
	312,900	MRV Engenharia e Participacoes SA		998,674
	1,975,507	Oi SA		6,558,683
	2,090,700	Petrobras Distribuidora SA		10,152,966
	222,700	QGEP Participacoes SA		667,045
	26,200	Qualicorp Consultoria e Corretora de Seguros SA		101,375
	143,300	Smiles Fidelidade SA		1,826,300
	148,600	Tim Participacoes SA		448,379
	788,200	Transmissora Alianca de Energia Eletrica SA		3,889,622
	519,100	Ultrapar Participacoes SA		5,246,949
	112,900	Ultrapar Participacoes SA Sponsored ADR		1,153,838


46		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Brazil — continued
	533,000	Via Varejo SA		2,211,510

		Total Brazil		151,301,465


		Canada — 1.8%
	139,500	AGF Management Ltd – Class B		657,414
	899,200	Alignvest Acquisition II Corp – Class A ^*		6,704,380
	8,800	ATS Automation Tooling Systems Inc ^*		149,162
	93,500	Bank of Montreal		7,664,134
	101,100	Bank of Montreal ^(b)		8,286,156
	32,400	Bank of Nova Scotia (The)		1,875,228
	72,300	Bank of Nova Scotia (The)		4,186,170
	97,100	Bird Construction Inc		573,671
	121,248	BRP Inc Sub Voting		6,329,053
	133,400	Canadian Imperial Bank of Commerce		12,501,778
	12,300	Canadian Imperial Bank of Commerce		1,152,264
	150,200	Canfor Corp ^*		3,463,232
	6,900	Canfor Pulp Products Inc		144,715
	11,800	Cogeco Inc		561,246
	5,400	Constellation Software Inc		4,117,614
	67,600	Empire Co Ltd – A Shares		1,288,803
	43,100	Finning International Inc		1,001,703
	3,600	George Weston Ltd		280,386
	9,500	Industrial Alliance Insurance & Financial Services Inc		393,831
	12,400	Interfor Corp ^*		213,413
	19,400	Labrador Iron Ore Royalty Corp		377,594
	182,000	Magna International Inc		9,854,498
	131,100	Magna International Inc		7,095,132
	86,700	Metro Inc		2,714,607
	13,500	Morguard North American Residential (REIT)		169,655
	36,200	National Bank of Canada		1,811,664
	13,300	Norbord Inc		506,113
	5,800	Power Corp of Canada		130,000
	10,500	Rocky Mountain Dealerships Inc		83,920
	501,000	Rogers Sugar Inc		2,080,782
	22,800	Royal Bank of Canada ^(b)		1,813,056
	570,800	Royal Bank of Canada		45,340,328
	79,900	Russel Metals Inc		1,746,779
	315,500	Sun Life Financial Inc		12,537,970
	73,200	Sun Life Financial Inc		2,909,490
	38,000	TFI International Inc		1,410,513
	344,600	Toronto-Dominion Bank (The)		20,768,421
	79,400	Transat AT Inc ^*		556,713
	198,720	Transcontinental Inc – Class A		4,840,850
	6,300	Wajax Corp		133,676
	166,700	West Fraser Timber Co Ltd		11,058,405

		Total Canada		189,484,519


Shares		Description	Value ($)
		Chile — 0.0%
	608,693	AES Gener SA		152,876
	10,540,667	Enel Chile SA		1,030,614

		Total Chile		1,183,490


		China — 8.1%
	5,254,000	361 Degrees International Ltd		1,507,923
	88,000	AAC Technologies Holdings Inc		978,046
	11,019,000	Agile Group Holdings Ltd		18,022,451
	2,403,000	Agricultural Bank of China Ltd – Class A		1,278,370
	119,264,000	Agricultural Bank of China Ltd – Class H		57,792,489
	1,369,719	Anhui Conch Cement Co Ltd – Class A		7,461,532
	2,728,500	Anhui Conch Cement Co Ltd – Class H		16,645,018
	139,000	ANTA Sports Products Ltd		758,000
	3,452,500	BAIC Motor Corp Ltd – Class H		2,904,795
	79,900	Baidu Inc Sponsored ADR ^*		18,095,752
	51,801,000	Bank of China Ltd – Class H		23,277,157
	15,371,000	Bank of Communications Co Ltd – Class H		11,108,297
	1,412,600	Cangzhou Mingzhu Plastic Co Ltd – Class A		967,722
	294,600	Changyou.com Ltd ADR		3,974,154
	11,759,000	China CITIC Bank Corp Ltd – Class H		7,346,885
	18,974,000	China Communications Services Corp Ltd – Class H		15,719,789
	12,961,080	China Construction Bank Corp – Class A		13,081,274
	39,058,000	China Construction Bank – Class H		34,399,793
	2,448,000	China Everbright Bank Co Ltd – Class H		1,023,573
	6,149,000	China Greenfresh Group Co Ltd ^*		924,390
	9,318,000	China Huarong Asset Management Co Ltd – Class H		1,937,038
	10,236,000	China Lesso Group Holdings Ltd		5,907,174
	553,000	China Lilang Ltd		613,390
	11,351,000	China Machinery Engineering Corp – Class H		5,527,566
	261,000	China Medical System Holdings Ltd		432,594
	1,796,000	China Mobile Ltd		16,892,308
	10,584,600	China National Building Material Co Ltd – Class H		9,917,924
	2,748,000	China Overseas Land & Investment Ltd		8,709,856
	23,925	China Petroleum & Chemical Corp ADR		2,375,992
	9,474,946	China Petroleum & Chemical Corp – Class A		9,503,560
	66,600,000	China Petroleum & Chemical Corp – Class H		67,012,018


		See accompanying notes to the financial statements.		47

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		China — continued
	26,663,200	China Railway Construction Corp Ltd – Class H		32,255,173
	2,648,000	China Railway Group Ltd – Class H		2,288,612
	4,864,000	China Resources Cement Holdings Ltd		5,688,126
	2,130,000	China Resources Land Ltd		7,429,976
	5,431,000	China Resources Pharmaceutical Group Ltd		8,691,166
	1,846,000	China SCE Group Holdings Ltd		828,684
	1,001,457	China Shenhua Energy Co Ltd – Class A		2,718,224
	4,452,500	China Shenhua Energy Co Ltd – Class H		9,944,661
	1,552,000	China Shineway Pharmaceutical Group Ltd		2,193,243
	77,810,000	China Telecom Corp Ltd – Class H		36,594,240
	1,124,000	China Travel International Investment Hong Kong Ltd		365,449
	727,593	China Vanke Co Ltd – Class A		2,567,455
	562,200	China Vanke Co Ltd – Class H		1,950,497
	2,000,002	China Yangtze Power Co Ltd – Class A		4,638,538
	21,900	China Yuchai International Ltd		440,409
	785,166	Chongqing Department Store Co Ltd – Class A		3,302,687
	9,269,069	Chongqing Rural Commercial Bank Co Ltd – Class H		4,999,557
	932,000	CIFI Holdings Group Co Ltd		541,324
	3,174,000	Country Garden Holdings Co Ltd		4,731,790
	170,827	Country Garden Services Holdings Co Ltd ^*		288,602
	385,000	Dah Chong Hong Holdings Ltd		167,437
	3,842,892	Daqin Railway Co Ltd – Class A		4,858,639
	318,900	Dashang Co Ltd – Class A		1,338,338
	16,788,000	Dongfeng Motor Group Co Ltd – Class H		18,766,919
	69,000	ENN Energy Holdings Ltd		629,015
	1,539,200	Fangda Special Steel Technology Co Ltd – Class A		2,503,096
	8,587,000	Geely Automobile Holdings Ltd		18,282,437
	1,286,900	Gree Electric Appliances Inc of Zhuhai – Class A ^*		7,352,800
	4,454,000	Guangdong Investment Ltd		7,907,095
	2,078,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		7,656,255
	12,435,600	Guangzhou R&F Properties Co Ltd – Class H		25,130,833
	5,336,000	Haier Electronics Group Co Ltd ^*		13,915,488
	321,000	Haitian International Holdings Ltd		644,195
	4,353,700	Harbin Electric Co Ltd – Class H		1,369,752
	1,812,400	Heilan Home Co Ltd – Class A		2,648,575
	927,299	Henan Shuanghui Investment & Development Co Ltd – Class A		3,159,071


Shares		Description	Value ($)
		China — continued
	67,500	Hengan International Group Co Ltd		608,145
	921,000	Hi Sun Technology China Ltd ^*		137,600
	1,010,000	Hua Hong Semiconductor Ltd		2,757,692
	11,246,000	Huabao International Holdings Ltd		6,626,809
	217,000	IGG Inc		262,429
	2,836,146	Industrial & Commercial Bank of China Ltd – Class A		2,262,051
	26,682,000	Industrial and Commercial Bank of China Ltd – Class H		19,707,261
	738,000	Jiangsu Expressway Co Ltd – Class H		933,358
	221,000	JNBY Design Ltd		376,571
	822,000	Ju Teng International Holdings Ltd		154,985
	3,452,500	Kingboard Holdings Ltd		12,290,553
	2,286,000	Kingboard Laminates Holdings Ltd		2,161,297
	1,349,530	Livzon Pharmaceutical Group Inc – Class H		5,451,135
	1,206,000	Logan Property Holdings Co Ltd		1,508,938
	1,400,500	Longfor Group Holdings Ltd		3,895,527
	16,459,000	Lonking Holdings Ltd		5,666,845
	447,900	Offshore Oil Engineering Co Ltd – Class A		394,069
	5,127,000	PICC Property & Casualty Co Ltd – Class H		5,781,028
	17,969,000	Postal Savings Bank of China Co Ltd – Class H		10,591,294
	2,431,000	Powerlong Real Estate Holdings Ltd		1,243,314
	1,973,000	Shanghai Industrial Holdings Ltd		4,704,343
	4,944,400	Shanghai Pharmaceuticals Holding Co Ltd – Class H		12,987,951
	3,284,568	Shanghai SMI Holding Co Ltd – Class A		2,757,530
	126,160	Shenzhen Expressway Co Ltd – Class A		155,280
	1,504,000	Shenzhen Expressway Co Ltd – Class H		1,459,234
	28,000	Shenzhou International Group Holdings Ltd		367,770
	10,939,576	Shimao Property Holdings Ltd		32,669,645
	2,701,500	Sino Biopharmaceutical Ltd		3,423,905
	2,811,000	Sinotruk Hong Kong Ltd		4,198,279
	4,808,000	SSY Group Ltd		4,473,505
	5,546,231	Suning Universal Co Ltd – Class A		2,746,293
	563,000	Tencent Holdings Ltd		24,201,756
	71,400	Tencent Holdings Ltd ADR		3,080,196
	1,631,000	Texhong Textile Group Ltd		2,806,838
	654,000	Tianjin Development Holdings Ltd ^*		246,025
	914,000	Tianjin Port Development Holdings Ltd ^*		107,198
	3,930,000	Tianneng Power International Ltd		4,884,882
	321,000	Times China Holdings Ltd		381,246
	5,025,000	TravelSky Technology Ltd – Class H		12,902,698
	1,016,000	Uni-President China Holdings Ltd		1,001,181


48		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		China — continued
	9,373,000	Weichai Power Co Ltd – Class H		9,940,656
	2,429,000	XTEP International Holdings Ltd		1,622,926
	2,908,000	Yadea Group Holdings Ltd		1,085,627
	8,989,000	Yuzhou Properties Co Ltd		4,783,392
	45,400	YY Inc ADR ^*		3,469,922
	3,878,000	Zhejiang Expressway Co Ltd – Class H		3,078,962
	1,051,472	Zhejiang Weixing New Building Materials Co Ltd – Class A		2,608,710
	122,000	Zhongsheng Group Holdings Ltd		267,895

		Total China		844,109,934


		Colombia — 0.1%
	405,978	Almacenes Exito SA		2,113,754
	1,361,849	Ecopetrol SA		1,528,987
	350,679	Ecopetrol SA Sponsored ADR		7,925,345

		Total Colombia		11,568,086


		Czech Republic — 0.0%
	59,876	CEZ AS		1,517,824
	222,250	Moneta Money Bank AS		776,844

		Total Czech Republic		2,294,668


		Denmark — 0.2%
	106,500	Novo Nordisk A/S Sponsored ADR		5,236,605
	332,780	Novo Nordisk A/S – Class B		16,381,482
	796	Rockwool International A/S – Class B		345,888
	26,518	Royal Unibrew A/S		2,285,232
	22,029	Scandinavian Tobacco Group A/S		362,658
	1,897	Schouw & Co AB		149,989
	22,545	Spar Nord Bank A/S		220,529

		Total Denmark		24,982,383


		Egypt — 0.0%
	544,093	Global Telecom Holding SAE ^*		129,694


		Finland — 0.3%
	12,286	DNA Oyj		261,416
	23,971	Finnair Oyj		209,108
	3,986	Kemira Oyj		52,849
	36,224	Metsa Board Oyj		364,999
	150,247	Neste Oyj		13,044,838
	8,911	Sanoma Oyj		92,462
	79,744	Stora Enso Oyj – R Shares		1,484,196
	11,675	Tieto Oyj		378,947
	422,354	UPM-Kymmene Oyj		16,292,082

		Total Finland		32,180,897


		France — 1.4%
	2,966	Alten SA		307,124
	1,504	Amundi SA		108,463


Shares		Description	Value ($)
		France — continued
	25,783	ArcelorMittal		777,643
	31,106	AXA SA		783,895
	386,057	BNP Paribas SA		22,728,314
	51,386	Christian Dior SE		22,170,728
	279,087	CNP Assurances		6,450,472
	51,734	Coface SA ^*		485,373
	133,585	Credit Agricole SA		1,827,782
	1,372	Dassault Systemes SE		222,650
	37,919	Derichebourg SA		212,364
	5,509	Eramet		471,982
	14,611	Gaztransport Et Technigaz SA		999,658
	2,642	Interparfums SA		122,515
	1,574	Ipsen SA		280,492
	6,965	Kaufman & Broad SA		366,781
	100,863	L’Oreal SA		24,147,196
	11,479	Mersen SA		449,454
	46,875	Metropole Television SA		928,073
	281,324	Natixis SA		1,881,490
	5,374	Neopost SA		144,241
	1,370	Nexity SA		83,723
	42,253	Peugeot SA		1,164,255
	12,761	Rallye SA		132,481
	12,989	Renault SA		1,121,872
	165,970	Sanofi		14,252,401
	59,900	Sanofi ADR		2,566,715
	14,406	Schneider Electric SA		1,170,702
	58,511	SCOR SE		2,365,320
	167,176	Societe Generale SA		6,845,404
	795,100	STMicroelectronics NV – NY Shares (Registered)		16,450,619
	706,342	STMicroelectronics NV		14,573,660
	2,506	Ubisoft Entertainment SA ^*		269,991
	3,168	Vilmorin & Cie SA		219,784

		Total France		147,083,617


		Germany — 2.8%
	2,387	Aareal Bank AG		97,060
	210,649	Allianz SE (Registered)		44,898,104
	1,646	Amadeus Fire AG		189,750
	249,408	BASF SE		23,046,680
	12,091	Bauer AG		225,161
	14,535	Bayer AG (Registered)		1,356,469
	477,115	Bayerische Motoren Werke AG		46,187,942
	1,429	Cewe Stiftung & Co KGAA		131,380
	234,927	Covestro AG		20,002,018
	552,876	Daimler AG (Registered Shares)		35,754,669
	1,491,289	Deutsche Lufthansa AG (Registered)		38,963,742
	134,259	Deutsche Pfandbriefbank AG ^* (a)		1,965,458
	4,362	Eckert & Ziegler AG		238,956
	18,903	Elmos Semiconductor AG		488,284


		See accompanying notes to the financial statements.		49

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Germany — continued
	2,718	Gesco AG		95,797
	29,472	Henkel AG & Co KGaA		3,288,657
	4,845	Isra Vision AG		337,180
	14,995	Kloeckner & Co SE		158,800
	8,436	Leoni AG		363,958
	174,500	Linde AG-Tender		39,730,425
	2,835	OHB SE		119,435
	6,687	Salzgitter AG		302,853
	183,547	SAP SE		22,034,410
	798	Siltronic AG		115,686
	1,545	Sixt SE		198,459
	15,568	Software AG		767,708
	5,517	STADA Arzneimittel AG		519,656
	7,406	Takkt AG		129,195
	43,863	Talanx AG ^*		1,656,322
	52,260	Volkswagen AG		8,412,230
	42,119	Wacker Neuson SE		1,164,460
	31,622	Wuestenrot & Wuerttembergische AG		730,460

		Total Germany		293,671,364


		Greece — 0.0%
	17,677	JUMBO SA		264,218
	124,640	Public Power Corp SA ^*		241,710

		Total Greece		505,928


		Hong Kong — 0.5%
	1,407,000	BOC Hong Kong Holdings Ltd		6,871,498
	241,500	CK Asset Holdings Ltd		1,722,313
	520,000	Dah Sing Banking Group Ltd		1,072,553
	319,200	Dah Sing Financial Holdings Ltd		1,985,333
	86,500	HKBN Ltd		128,514
	140,000	Hysan Development Co Ltd		718,383
	2,520,213	I-CABLE Communications Ltd ^*		28,586
	271,000	Johnson Electric Holdings Ltd		794,621
	1,100,500	Kerry Properties Ltd		4,173,451
	170,000	Luk Fook Holdings International Ltd		591,550
	536,000	Singamas Container Holdings Ltd		69,041
	5,244,000	SJM Holdings Ltd		5,937,318
	16,408,500	WH Group Ltd		12,392,182
	1,950,000	Wharf Holdings Ltd (The)		5,568,718
	1,189,000	Wharf Real Estate Investment Co Ltd		7,888,831
	1,109,000	Wheelock & Co Ltd		6,963,509
	160,500	Xinyi Automobile Glass Hong Kong Enterprises Ltd ^*		39,068

		Total Hong Kong		56,945,469


		Hungary — 0.0%
	2,257,270	Magyar Telekom Telecommunications Plc		3,308,730


Shares		Description	Value ($)
		Hungary — continued
	60,455	Richter Gedeon Nyrt		1,187,117

		Total Hungary		4,495,847


		India — 1.6%
	8,089	ACC Ltd		187,673
	124,149	Apollo Tyres Ltd		440,989
	426,783	Aurobindo Pharma Ltd		4,294,808
	460,769	Balrampur Chini Mills Ltd		496,648
	81,154	Bata India Ltd		1,241,016
	224,796	Castrol India Ltd		504,203
	353,952	Chambal Fertilizers and Chemicals Ltd		828,224
	211,718	Divi’s Laboratories Ltd		3,912,210
	1,665,930	Firstsource Solutions Ltd		1,771,421
	2,368,269	HCL Technologies Ltd		34,891,055
	139,506	Hero MotoCorp Ltd		6,418,752
	945,148	Hexaware Technologies Ltd		5,849,269
	52,696	Hindustan Unilever Ltd		1,320,751
	259,399	IDFC Bank Ltd		174,639
	37,652	Ipca Laboratories Ltd		409,078
	961,829	ITC Ltd		4,338,807
	258,625	Jamna Auto Industries Ltd		296,934
	1,523,344	Jaypee Infratech Ltd ^*		78,686
	68,095	Jubilant Life Sciences Ltd		692,007
	264,237	Just Dial Ltd ^*		2,083,900
	265,044	KPIT Technologies Ltd		1,133,426
	159,442	Larsen & Toubro Infotech Ltd		4,019,544
	38,577	Mahanagar Gas Ltd		469,662
	701,364	Mahindra & Mahindra Ltd		9,558,684
	30,314	Maruti Suzuki India Ltd		3,893,622
	36,733	Mastek Ltd		279,207
	7,531	Merck Ltd		371,928
	457,902	Mphasis Ltd		8,173,754
	976	MRF Ltd		1,017,800
	1,337,409	NHPC Ltd		479,302
	368,736	NIIT Technologies Ltd		7,327,319
	19,326	Nucleus Software Exports Ltd		123,713
	3,829,260	Oil & Natural Gas Corp Ltd		9,717,436
	199,634	Oil India Ltd		602,212
	58,704	Pidilite Industries Ltd		967,673
	4,473,302	Power Finance Corp Ltd		5,333,378
	1,932,887	PTC India Ltd		2,285,382
	60,355	Rajesh Exports Ltd		565,666
	24,601	Raymond Ltd		292,621
	1,135,724	Reliance Capital Ltd		7,543,827
	8,247,301	Rural Electrification Corp Ltd		13,953,727
	276,615	Sonata Software Ltd		1,375,544
	130,455	Steel Authority of India Ltd ^*		147,983
	822,544	Tata Global Beverages Ltd		2,728,268
	62,204	Tata Motors Ltd – Class A ^*		124,862
	18,022	Tata Steel Ltd		152,872


50		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		India — continued
	701,055	Tech Mahindra Ltd		7,576,357
	45,968	TV Today Network Ltd		293,222
	587,060	Vakrangee Ltd		319,268
	53,318	VIP Industries Ltd		469,772
	1,792,239	Wipro Ltd		7,591,532
	295,573	Zee Entertainment Enterprises Ltd		2,086,148
	17,704	Zensar Technologies Ltd		419,831
	68,926	Zuari Agro Chemicals Ltd		309,424

		Total India		171,936,036


		Indonesia — 0.5%
	31,743,100	Adaro Energy Tbk PT		4,024,732
	2,230,800	Bank Central Asia Tbk PT		3,757,300
	6,878,700	Bank Mandiri Persero Tbk PT		3,205,040
	3,330,700	Bank Negara Indonesia Persero Tbk PT		1,764,303
	15,990,400	Bank Pembangunan Daerah Jawa Timur Tbk PT		727,276
	57,522,900	Bank Rakyat Indonesia Persero Tbk PT		12,428,768
	8,955,500	Bukit Asam Tbk PT		2,462,880
	2,465,200	Bumi Serpong Damai Tbk PT ^*		201,078
	5,203,200	Erajaya Swasembada Tbk PT		947,610
	2,540,600	Gajah Tunggal Tbk PT		109,557
	85,400	Gudang Garam Tbk PT		423,296
	3,495,500	Harum Energy Tbk PT		607,670
	721,200	Indah Kiat Pulp & Paper Corp Tbk PT		935,738
	4,969,100	Indo Tambangraya Megah Tbk PT		9,548,445
	2,283,500	Indofood Sukses Makmur Tbk PT		988,278
	839,100	Link Net Tbk PT		245,043
	1,210,400	Matahari Department Store Tbk PT		616,572
	38,853,900	Modernland Realty Tbk PT		670,730
	28,601,800	Panin Financial Tbk PT ^*		396,444
	1,686,100	PP Persero Tbk PT		217,702
	2,553,300	Ramayana Lestari Sentosa Tbk PT		220,187
	19,497,600	Surya Semesta Internusa Tbk PT		643,533
	16,548,900	Telekomunikasi Indonesia Persero Tbk PT		3,930,745
	44,500	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		1,053,315
	957,400	United Tractors Tbk PT		2,236,639
	9,406,700	Waskita Beton Precast Tbk PT		249,266
	966,100	XL Axiata Tbk PT ^*		208,516

		Total Indonesia		52,820,663


		Ireland — 0.1%
	31,300	ICON Plc ^* (a)		4,664,326
	1,290	Smurfit Kappa Group Plc		52,683

		Total Ireland		4,717,009


Shares		Description	Value ($)
		Israel — 0.4%
	273,732	Bank Leumi Le-Israel BM		1,838,750
	33,881	Discount Investment Corp Ltd (Registered)		102,336
	26,548	First International Bank of Israel Ltd		614,956
	107,914	Frutarom Industries Ltd		11,002,800
	56,101	Harel Insurance Investments & Financial Services Ltd		457,994
	29,471	Nova Measuring Instruments Ltd ^*		886,363
	366,910	Orbotech Ltd ^*		23,474,902
	7,112	SodaStream International Ltd ^*		1,008,886

		Total Israel		39,386,987


		Italy — 1.0%
	178,721	Arnoldo Mondadori Editore SPA ^*		273,139
	45,260	ASTM SPA		923,757
	25,038	Carraro SpA		68,926
	22,770	Credito Emiliano SPA		143,517
	3,708	El.En. SPA		119,524
	107,703	Enav SPA		532,472
	3,734,753	Enel SPA		18,464,392
	75,832	ERG SPA		1,570,741
	483,524	EXOR NV		31,462,472
	356,697	Falck Renewables SPA		844,717
	140,282	Fiat Chrysler Automobiles NV ^*		2,374,945
	1,816,224	Fiat Chrysler Automobiles NV ^*		31,075,593
	97,206	Fincantieri SPA ^*		144,110
	97,315	FinecoBank Banca Fineco SPA		1,160,090
	211,180	Hera SPA		662,524
	154,487	IMMSI SPA ^*		75,624
	1,289,607	Iren SPA		3,024,621
	31,456	La Doria SPA		360,957
	52,980	Mediobanca Banca di Credito Finanziario SPA		493,330
	75,953	Piaggio & C SPA		164,558
	226,659	Poste Italiane SPA		1,746,015
	13,622	Prima Industrie SPA		512,377
	21,065	Recordati SPA		737,948
	4,804	Reply SPA		317,818
	4,202	Sabaf SPA		67,356
	43,168	Saras SPA		109,184
	541,362	Societa Cattolica di Assicurazioni SC		4,393,581
	89,709	Societa Iniziative Autostradali e Servizi SPA		1,250,609
	1,357,900	Telecom Italia SPA ^*		864,738
	1,711,000	Telecom Italia SPA-RSP		952,351
	153,539	Unipol Gruppo SPA		633,947

		Total Italy		105,525,933


		Japan — 5.5%
	108,600	Aisin Seiki Co Ltd		5,023,067


		See accompanying notes to the financial statements.		51

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Japan — continued
	65,200	AOKI Holdings Inc		879,421
	11,800	Asahi Diamond Industrial Co Ltd		87,182
	2,006,600	Asahi Kasei Corp		29,403,764
	1,546,400	Astellas Pharma Inc		26,217,047
	10,200	Bank of the Ryukyus Ltd		121,100
	10,300	Belluna Co Ltd		113,339
	586,700	Brother Industries Ltd		12,035,751
	1,046,300	Canon Inc		33,572,202
	1,900	Central Japan Railway Co		381,476
	2,600	Chukyo Bank Ltd (The)		54,031
	64,400	CKD Corp		951,210
	22,800	Concordia Financial Group Ltd		109,408
	6,600	Dai-ichi Seiko Co Ltd		99,161
	12,800	Daiwabo Holdings Co Ltd		763,314
	82,100	DCM Holdings Co Ltd		749,847
	56,600	Denka Co Ltd		1,936,798
	4,300	Duskin Co Ltd		103,432
	105,700	Fancl Corp		5,429,756
	791,000	Fuji Electric Co Ltd		6,371,817
	7,800	Fuji Media Holdings Inc		133,994
	6,600	Fuji Pharma Co Ltd		105,749
	51,800	FUJIFILM Holdings Corp ^(a)		2,187,944
	1,732,000	Fujitsu Ltd		12,664,070
	1,200	Fuji Oil Holdings Inc		36,478
	8,300	Fuji Soft Inc		408,455
	90,000	Fukuoka Financial Group Inc		504,606
	6,900	Fuyo General Lease Co Ltd		414,188
	3,400	Gree Inc		17,214
	14,600	Hakuhodo DY Holdings Inc		246,327
	10,600	Hamakyorex Co Ltd		356,169
	5,600	Hanwa Co Ltd		188,776
	8,600	Heiwado Co Ltd		225,179
	6,000	Hisamitsu Pharmaceutical Co Inc		438,303
	700	Hitachi High-Technologies Corp		27,462
	5,741,000	Hitachi Ltd		37,474,764
	6,800	Hochiki Corp		100,659
	201,000	Honda Motor Co Ltd		5,954,263
	2,900	Horiba Ltd		179,581
	4,200	Hosokawa Micron Corp		254,186
	83,500	House Foods Group Inc ^(a)		2,475,561
	19,200	Idemitsu Kosan Co Ltd		969,085
	41,700	Isuzu Motors Ltd		602,022
	2,744,000	ITOCHU Corp		47,948,247
	3,300	JSP Corp		83,400
	52,900	JSR Corp		1,026,158
	29,700	JTEKT Corp		415,739
	7,000	Juki Corp		82,232
	149,200	JXTG Holdings Inc		1,050,496
	6,200	Kaken Pharmaceutical Co Ltd		318,446
	7,700	Kamei Corp		95,772


Shares		Description	Value ($)
		Japan — continued
	258,400	Kanematsu Corp		3,832,165
	7,200	Kato Sangyo Co Ltd		233,826
	109,100	KDDI Corp		2,884,586
	59,000	Keihin Corp ^(a)		1,239,852
	188,000	Kirin Holdings Co Ltd		4,645,902
	109,500	Kitz Corp		959,177
	12,600	Konica Minolta Inc		128,139
	35,700	Kose Corp		6,582,487
	20,800	Kyosan Electric Manufacturing Co Ltd		121,746
	12,500	Kyowa Exeo Corp		349,558
	23,800	Leopalace21 Corp		126,218
	4,000	Makino Milling Machine Co Ltd		36,919
	9,000	Mandom Corp		270,340
	2,553,800	Marubeni Corp		20,924,446
	82,200	MCJ Co Ltd		743,117
	15,804	Medipal Holdings Corp		318,733
	4,554,700	Mitsubishi Chemical Holdings Corp		40,808,937
	382,000	Mitsubishi Corp		10,893,514
	1,887,500	Mitsubishi Electric Corp		25,480,256
	299,100	Mitsubishi Gas Chemical Co Inc		6,217,654
	503,500	Mitsubishi Tanabe Pharma Corp ^(a)		8,397,869
	147,900	Mitsui Chemicals Inc		3,822,498
	11,900	Mitsui Mining & Smelting Co Ltd		340,905
	43,000	Modec Inc		1,301,384
	4,200	NEC Corp		115,957
	131,800	NET One Systems Co Ltd		3,052,671
	158,000	Nichias Corp		2,053,939
	32,000	Nichiha Corp		898,501
	97,100	Nippo Corp		1,802,205
	5,000	Nippon Soda Co Ltd		28,503
	1,130,400	Nippon Telegraph & Telephone Corp		50,292,593
	6,900	Nippon Valqua Industries Ltd		201,307
	7,600	Nippon Flour Mills Co Ltd		127,123
	32,300	Nisshin Oillio Group Ltd (The)		873,192
	57,900	Nisshin Seifun Group Inc		1,158,060
	59,600	Nisshinbo Holdings Inc		668,277
	43,900	Nomura Real Estate Holdings Inc		950,973
	3,500	Noritake Co Ltd		210,225
	36,400	NSK Ltd		412,617
	228,200	NTT DOCOMO Inc		5,913,967
	11,800	Osaki Electric Co Ltd		86,679
	8,200	Otsuka Holdings Co Ltd		384,703
	83,900	Pola Orbis Holdings Inc		2,956,786
	309,000	Prima Meat Packers Ltd		1,533,910
	29,200	Resona Holdings Inc ^(a)		165,629
	18,000	Rohm Co Ltd		1,626,235
	70,100	Rohto Pharmaceutical Co Ltd		2,239,404
	6,200	Sakata INX Corp		82,426
	9,700	SBI Holdings Inc		267,378
	3,800	Seiko Epson Corp		64,944


52		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Japan — continued
	532,200	Sekisui Chemical Co Ltd		9,245,472
	10,500	Shin-Etsu Polymer Co Ltd		88,249
	9,200	Shiseido Co Ltd		647,683
	79,800	Showa Corp		1,271,149
	37,100	Showa Denko KK		1,762,143
	4,639,700	Sojitz Corp		16,145,531
	62,900	Sony Corp		3,576,659
	1,500	Starzen Co Ltd		62,671
	114,000	Sumitomo Bakelite Co Ltd		1,124,268
	4,133,000	Sumitomo Chemical Co Ltd		23,458,140
	22,500	Sumitomo Corp		364,861
	71,700	Sumitomo Dainippon Pharma Co Ltd		1,525,712
	94,300	Sumitomo Mitsui Financial Group Inc		3,707,257
	3,700	Sumitomo Mitsui Trust Holdings Inc		148,462
	2,000	Suntory Beverage & Food Ltd		81,921
	19,300	T-Gaia Corp		507,902
	5,000	Taikisha Ltd		161,147
	139,900	Takeda Pharmaceutical Co Ltd		5,828,397
	93,200	Tatsuta Electric Wire and Cable Co Ltd		508,765
	2,537	TIS Inc		122,202
	52,300	Tocalo Co Ltd		604,664
	10,600	Tochigi Bank Ltd (The)		35,374
	7,600	Token Corp		537,906
	32,000	Tokio Marine Holdings Inc		1,507,897
	600	Tokyo Century Corp		33,157
	106,300	Tokyo Electron Ltd ^(a)		18,097,548
	12,600	Tokyo Gas Co Ltd ^(a)		298,334
	3,900	Tokyo Seimitsu Co Ltd		121,191
	104,700	Tokyu Construction Co Ltd		961,994
	321,200	Tosoh Corp		5,039,705
	3,800	Toyo Ink SC Holdings Co Ltd		97,231
	14,900	Toyo Suisan Kaisha Ltd		548,798
	409,400	Toyota Tsusho Corp		13,947,318
	105,000	TS Tech Co Ltd		3,961,746
	17,000	Unipres Corp		330,473
	5,900	Vital KSK Holdings Inc		67,047
	28,000	Wacoal Holdings Corp		828,543
	29,700	Warabeya Nichiyo Holdings Co Ltd		584,351
	5,700	Yamazen Corp		63,455
	12,100	Zeon Corp		129,705

		Total Japan		578,352,108


		Malaysia — 0.2%
	1,383,100	DRB-Hicom Berhad		761,744
	1,915,800	KSL Holdings Berhad ^*		395,883
	154,400	Padini Holdings Berhad		224,697
	796,300	Petronas Chemicals Group Berhad		1,830,441
	159,000	Petronas Dagangan Berhad		1,049,710
	75,960	PPB Group Bhd		310,336
	994,400	Sapura Energy Berhad ^*		81,647


Shares		Description	Value ($)
		Malaysia — continued
	2,486,000	Supermax Corp Berhad		2,028,869
	355,400	Ta Ann Holdings Berhad		237,569
	421,400	Tenaga Nasional Berhad		1,606,429
	3,016,200	Top Glove Corp Berhad		8,172,251
	767,300	YTL Power International Berhad		212,706

		Total Malaysia		16,912,282


		Mexico — 1.2%
	869,262	Arca Continental SAB de CV		5,375,659
	315,492	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand – Class B		499,860
	275,400	Becle SAB de CV		390,932
	1,460,246	Bolsa Mexicana de Valores SAB de CV		2,941,090
	3,204,700	Cemex SAB de CV ^*		2,271,189
	812,500	Cemex SAB de CV Sponsored ADR ^* (b)		5,760,625
	1,363,200	Corp Inmobiliaria Vesta SAB de CV		1,930,075
	117,000	Credito Real SAB de CV SOFOM ER		151,323
	1,179,700	Fibra Uno Administracion SA de CV (REIT)		1,543,686
	546,200	Fomento Economico Mexicano SAB de CV		5,231,787
	98,900	Fomento Economico Mexicano SAB de CV Sponsored ADR		9,482,532
	1,514,100	Gentera SAB de CV		1,536,667
	640,200	Grupo Aeroportuario del Centro Norte SAB de CV		4,208,410
	13,900	Grupo Aeroportuario del Centro Norte SAB de CV ADR ^(a)		732,669
	16,000	Grupo Aeroportuario del Pacifico SAB de CV ADR		1,652,960
	167,200	Grupo Aeroportuario del Pacifico SAB de CV – Class B		1,727,638
	7,600	Grupo Aeroportuario del Sureste SAB de CV ADR		1,425,684
	59,030	Grupo Aeroportuario del Sureste SAB de CV – Class B		1,106,956
	666,500	Grupo Financiero Banorte SAB de CV – Class O		4,545,955
	226,200	Grupo Financiero Inbursa SAB de CV – Class O		359,926
	247,513	Grupo Herdez SAB de CV		532,331
	268,000	Grupo Lala SAB de CV		285,180
	883,200	Grupo Mexico SAB de CV – Series B		2,584,615
	261,900	Megacable Holdings SAB de CV CPO		1,234,430
	599,900	Mexichem SAB de CV		2,024,342
	227,290	Promotora y Operadora de Infraestructura SAB de CV		2,415,631
	249,600	Unifin Financiera SAB de CV SOFOM ENR		636,762


		See accompanying notes to the financial statements.		53

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Mexico — continued
	23,421,250	Wal-Mart de Mexico SAB de CV		64,850,453

		Total Mexico		127,439,367


		Netherlands — 0.8%
	67,714	ASR Nederland NV ^(a)		3,237,352
	51,709	ForFarmers NV		578,283
	115,269	Gemalto NV ^*		6,695,438
	72,332	Heineken Holding NV		6,901,446
	1,647,624	ING Groep NV		22,380,963
	75,774	Koninklijke Ahold Delhaize NV ^(a)		1,845,808
	2	Koninklijke DSM NV		210
	353,300	NXP Semiconductors NV ^* (c)		32,906,362
	46,638	Signify NV		1,314,658
	1,528	Vastned Retail NV (REIT)		62,967
	95,971	Wolters Kluwer NV		6,088,711

		Total Netherlands		82,012,198


		New Zealand — 0.0%
	1,303,125	Air New Zealand Ltd		2,844,871


		Norway — 0.7%
	22,321	Aker ASA – A Shares		1,748,807
	121,320	Aker Solutions ASA ^*		825,920
	17,716	Atea ASA ^*		262,504
	157,766	Austevoll Seafood ASA		2,075,953
	60,234	Bakkafrost P/F		3,436,319
	162,657	BW LPG Ltd ^*		634,565
	996,706	DNB ASA		20,263,043
	10,211	Entra ASA		148,041
	1,158,242	Equinor ASA		29,709,143
	13,894	Grieg Seafood ASA		159,845
	384,556	Kongsberg Automotive ASA ^*		447,419
	172,400	Kvaerner ASA ^*		318,749
	177,370	Leroy Seafood Group ASA		1,348,737
	30,617	Salmar ASA		1,474,091
	24,632	Selvaag Bolig ASA		124,503
	23,706	SpareBank 1 Nord Norge		185,428
	45,694	SpareBank 1 SR Bank ASA		515,591
	488,467	Storebrand ASA		4,324,380
	178,907	Subsea 7 SA		2,432,302
	46,872	TGS NOPEC Geophysical Co ASA		1,777,605

		Total Norway		72,212,945


		Pakistan — 0.0%
	736,500	Engro Fertilizers Ltd		468,630
	455,100	Oil & Gas Development Co Ltd		557,294
	117,350	Pakistan Oilfields Ltd		608,052

		Total Pakistan		1,633,976


Shares		Description	Value ($)
		Philippines — 0.1%
	4,171,000	Belle Corp		240,282
	1,179,200	DMCI Holdings Inc		282,429
	839,500	Eagle Cement Corp		254,966
	27,910	GT Capital Holdings Inc		457,441
	157,030	Jollibee Foods Corp		846,123
	4,214,400	LT Group Inc		1,355,494
	631,090	Manila Electric Co		4,406,444
	1,217,700	Manila Water Co Inc		555,816
	14,546,000	Megaworld Corp		1,249,202
	5,573,000	Metro Pacific Investments Corp		568,539
	8,548,084	Nickel Asia Corp		868,553
	2,216,325	Petron Corp		375,597
	351,200	Pilipinas Shell Petroleum Corp		377,673
	294,670	Puregold Price Club Inc		253,534
	1,422,725	Semirara Mining & Power Corp		771,702

		Total Philippines		12,863,795


		Poland — 0.7%
	352,822	Asseco Poland SA		4,371,068
	106,637	Bank Millennium SA ^*		258,812
	282,385	Bank Polska Kasa Opieki SA		8,897,524
	6,608	Bank Zachodni WBK SA		671,762
	36,454	Budimex SA		1,120,241
	7,698	CCC SA		448,370
	75,629	CD Projekt SA ^*		4,213,504
	176,992	Cyfrowy Polsat SA ^*		1,073,337
	26,119	Dino Polska SA ^*		641,857
	355,602	Enea SA ^*		818,459
	1,209,434	Energa SA		2,735,607
	38,562	Grupa Lotos SA		724,985
	31,371	KRUK SA		1,750,704
	773	LPP SA		1,925,529
	231,790	PGE Polska Grupa Energetyczna SA ^*		562,472
	420,455	Polski Koncern Naftowy ORLEN SA		11,146,389
	4,114,347	Polskie Gornictwo Naftowe i Gazownictwo SA ^*		6,445,446
	637,239	Powszechna Kasa Oszczednosci Bank Polski SA		7,261,419
	999,743	Powszechny Zaklad Ubezpieczen SA		12,039,635
	10,210	Stalprodukt SA		1,276,486
	2,472,919	Tauron Polska Energia SA ^*		1,336,417
	23,797	Warsaw Stock Exchange		265,769

		Total Poland		69,985,792


		Portugal — 0.0%
	16,934	Altri SGPS SA		156,160
	62,829	Mota-Engil SGPS SA ^*		195,106
	144,533	Navigator Co SA (The)		722,208
	1,112,143	Sonae SGPS SA		1,183,151

		Total Portugal		2,256,625


54		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Qatar — 0.3%
	367,475	Barwa Real Estate Co		3,633,703
	88,110	Doha Bank QPSC		621,814
	71,985	Masraf Al Rayan QSC		745,564
	24,950	Qatar Electricity & Water Co QSC		1,310,570
	203,607	Qatar Gas Transport Co Ltd		978,061
	102,103	Qatar Insurance Co SAQ		1,032,502
	33,541	Qatar Islamic Bank SAQ		1,289,867
	314,589	Qatar National Bank QPSC		15,382,768
	13,048	Qatar National Cement Co QSC		205,674
	28,093	Qatar Navigation QSC		504,351

		Total Qatar		25,704,874


		Russia — 2.6%
	2,361,900	Aeroflot PJSC		4,045,720
	6,325,700	Alrosa PJSC		9,514,941
	131,620	Gazprom Neft PJSC		655,418
	321,830	Gazprom PJSC		716,210
	10,684,448	Gazprom PJSC Sponsored ADR		47,127,925
	293,961	Globaltrans Investment Plc Sponsored GDR (Registered)		3,235,760
	38,712,000	Inter RAO UES PJSC		2,320,246
	717,108	LUKOIL PJSC Sponsored ADR		49,554,030
	248,750	M.Video PJSC ^*		1,597,815
	105,668	Magnit PJSC Sponsored GDR (Registered)		1,563,224
	784,100	Magnitogorsk Iron & Steel OJSC		564,486
	16,193	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		154,624
	506,881	MMC Norilsk Nickel PJSC ADR		8,411,870
	1,661,600	Mobile TeleSystems PJSC Sponsored ADR		12,877,400
	5,313,680	Moscow Exchange MICEX-RTS PJSC		7,718,053
	173,530	Novatek PJSC		2,789,262
	144,512	Novatek PJSC Sponsered GDR (Registered)		24,166,157
	1,291,120	Novolipetsk Steel PJSC		3,168,022
	305,505	Novolipetsk Steel PJSC GDR		7,419,563
	91,187	PhosAgro PJSC GDR (Registered)		1,208,289
	17,320	Polyus PJSC		1,123,898
	92,559	Polyus PJSC GDR (Registered)		3,000,095
	218,817	QIWI Plc Sponsored ADR ^*		3,107,201
	4,563,885	Rostelecom PJSC		4,574,672
	7,939	Rostelecom PJSC Sponsored ADR		47,728
	5,520	Safmar Financial Investment		65,636
	1,561,000	Sberbank of Russia PJSC		4,195,931
	2,832,100	Sberbank of Russia Sponsored ADR		30,842,356
	43,340	Severstal PJSC		698,310
	280,582	Severstal PJSC GDR (Registered)		4,514,904
	1,448,200	Surgutneftegas OJSC		617,413
	2,323,711	Surgutneftegas PJSC Sponsored ADR		9,671,790


Shares		Description	Value ($)
		Russia — continued
	552,420	Tatneft PJSC		6,421,027
	241,330	Tatneft PJSC Sponsored ADR		16,732,782
	66,668	TCS Group Holding Plc GDR (Registered)		1,227,270

		Total Russia		275,650,028


		Singapore — 0.1%
	303,400	Oversea-Chinese Banking Corp Ltd		2,496,960
	605,200	Sino Grandness Food Industry Group Ltd ^*		88,174
	63,800	United Overseas Bank Ltd		1,257,402
	292,400	Venture Corp Ltd		3,860,336
	6,840,600	Yangzijiang Shipbuilding Holdings Ltd		5,334,213
	1,115,300	Yanlord Land Group Ltd		1,235,855

		Total Singapore		14,272,940


		South Africa — 2.5%
	3,403,961	Absa Group Ltd		37,648,273
	1,494,532	African Phoenix Investments Ltd ^*		60,015
	248,111	Alviva Holdings Ltd		307,250
	70,136	Aspen Pharmacare Holdings Ltd		1,390,326
	259,967	Astral Foods Ltd		4,578,439
	730,043	AVI Ltd		5,760,540
	800,123	Barloworld Ltd		6,805,068
	99,686	Bid Corp Ltd		2,126,991
	75,818	Bidvest Group Ltd (The)		1,114,181
	3,816,558	Blue Label Telecoms Ltd		1,859,288
	98,344	Brait SE ^*		249,781
	34,590	Capitec Bank Holdings Ltd		2,362,304
	509,701	Clicks Group Ltd		7,039,482
	192,024	Coronation Fund Managers Ltd		752,245
	207,103	Dis-Chem Pharmacies Ltd		476,939
	181,013	Discovery Ltd		2,156,896
	24,400	Distell Group Holdings Ltd ^*		202,528
	1,056,337	Emira Property Fund Ltd (REIT)		1,147,621
	422,401	Exxaro Resources Ltd		4,281,483
	1,740,858	FirstRand Ltd		8,374,894
	220,470	Foschini Group Ltd (The)		2,619,280
	3,398,234	Growthpoint Properties Ltd (REIT)		5,882,832
	187,479	Hyprop Investments Ltd (REIT)		1,301,379
	353,253	Imperial Holdings Ltd		4,949,782
	59,228	JSE Ltd		652,650
	505,204	Kumba Iron Ore Ltd		9,107,351
	522,500	Lewis Group Ltd		1,006,402
	980,956	Liberty Holdings Ltd		7,760,957
	97,359	Massmart Holdings Ltd		733,818
	269,759	Metair Investments Ltd		320,745
	246,867	MMI Holdings Ltd		287,891
	300,088	Mondi Ltd		8,373,090
	882,747	Mr Price Group Ltd		13,532,543


		See accompanying notes to the financial statements.		55

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		South Africa — continued
	308,511	MTN Group Ltd		1,867,954
	952,078	Murray & Roberts Holdings Ltd		1,004,874
	1,288,886	Nedbank Group Ltd		24,380,269
	1,871,397	Old Mutual Ltd ^*		3,871,417
	67,008	Omnia Holdings Ltd		592,697
	185,060	Rand Merchant Investment Holdings Ltd		514,426
	1,856,867	Redefine Properties Ltd (REIT)		1,307,813
	166,062	Reinet Investments SCA		3,215,459
	100,093	Resilient REIT Ltd		388,016
	668,086	Reunert Ltd		3,460,777
	1,170,851	RMB Holdings Ltd		6,719,833
	1,667,230	SA Corporate Real Estate Ltd (REIT)		496,776
	908,209	Sanlam Ltd		4,901,740
	39,167	Santam Ltd		808,281
	199,975	Sappi Ltd		1,365,874
	110,328	Sasol Ltd		4,321,474
	13,800	Sasol Ltd Sponsored ADR		541,788
	243,032	Shoprite Holdings Ltd		3,373,779
	255,439	Sibanye Gold Ltd ^*		147,776
	166,666	SPAR Group Ltd (The)		2,325,128
	2,549,100	Standard Bank Group Ltd		32,308,486
	3,025,964	Steinhoff International Holdings NV ^*		576,753
	163,562	Telkom SA SOC Ltd		559,656
	172,169	Tiger Brands Ltd		3,351,809
	1,384,921	Truworths International Ltd		8,105,477
	432,734	Tsogo Sun Holdings Ltd		619,002
	178,222	Vodacom Group Ltd		1,532,755
	214,768	Wilson Bayly Holmes-Ovcon Ltd		2,190,211

		Total South Africa		260,073,564


		South Korea — 2.5%
	71,974	Aekyung Petrochemical Co Ltd		730,355
	769,992	BNK Financial Group Inc		5,771,489
	3,310	Celltrion Pharm Inc ^*		238,308
	24,501	Cheil Worldwide Inc		424,765
	19,747	Chong Kun Dang Pharmaceutical Corp		1,924,062
	2,413	CJ ENM Co Ltd		545,937
	2,072	Crown Haitai Holdings Co Ltd		26,144
	348	Dae Han Flour Mills Co Ltd		55,462
	55,165	Daeduck Electronics Co		413,220
	4,156	Daihan Pharmaceutical Co Ltd		178,056
	58,765	Daishin Securities Co Ltd		643,928
	79,434	Daou Data Corp		827,640
	156,009	Daou Technology Inc		3,180,227
	153,929	DB Insurance Co Ltd		8,849,982
	13,203	DGB Financial Group Inc		121,553
	2,789	DongKook Pharmaceutical Co Ltd		173,687
	29,060	Dongsuh Cos Inc		591,258
	74,571	Dongwha Pharm Co Ltd		776,497


Shares		Description	Value ($)
		South Korea — continued
	519,194	Dongwon Development Co Ltd		1,951,176
	17,913	E-MART Inc		3,451,280
	25,053	F&F Co Ltd		2,259,564
	12,079	Fila Korea Ltd		452,829
	2,331	GOLFZON Co Ltd		84,269
	87,842	Grand Korea Leisure Co Ltd		1,905,312
	24,639	Green Cross Holdings Corp		678,043
	6,148	GS Home Shopping Inc		1,145,305
	138,495	Hana Financial Group Inc		5,310,702
	18,269	Hankook Tire Co Ltd		765,609
	165,854	Hankook Tire Worldwide Co Ltd		2,711,759
	5,922	Hansol Paper Co Ltd		110,038
	5,108	Hanwha Aerospace Co Ltd ^*		114,699
	8,387	Harim Holdings Co Ltd		80,216
	2,250	HLB Inc ^*		210,081
	7,021	Huons Co Ltd		627,102
	6,743	Hyundai Corp		173,531
	5,599	Hyundai Department Store Co Ltd		500,746
	44,491	Hyundai Greenfood Co Ltd		521,676
	29,329	Hyundai Home Shopping Network Corp		2,989,857
	202,138	Hyundai Hy Communications & Network Co Ltd		742,842
	144,949	Hyundai Marine & Fire Insurance Co Ltd		4,842,497
	38,193	Hyundai Mobis Co Ltd		7,685,744
	3,295	Hyundai Wia Corp		126,211
	1,463,115	Industrial Bank of Korea		19,585,336
	411,059	JB Financial Group Co Ltd		2,293,682
	2,015	Kangnam Jevisco Co Ltd		48,765
	221,749	Kangwon Land Inc		5,768,258
	198,271	KB Financial Group Inc		9,167,167
	426,937	Kia Motors Corp		12,294,912
	184,556	Korea Asset In Trust Co Ltd (REIT)		896,976
	6,493	Korea Zinc Co Ltd		2,363,946
	99,845	Korean Reinsurance Co		933,199
	9,500	KT Corp Sponsored ADR		131,195
	67,372	KT Hitel Co Ltd ^*		338,434
	72,297	KT Skylife Co Ltd		863,747
	132,665	KT&G Corp		12,033,754
	105,630	Kwang Dong Pharmaceutical Co Ltd		713,524
	87,280	Kyobo Securities Co Ltd		768,441
	34,866	Kyungdong Pharm Co Ltd		405,737
	180,038	LF Corp		4,294,760
	202,258	LG Corp		12,993,633
	319,279	LG Electronics Inc		22,011,952
	128,971	LOTTE Himart Co Ltd		8,291,305
	6,431	LS Corp		387,985
	25,123	Maeil Holdings Co Ltd		321,521
	31,307	Meritz Fire & Marine Insurance Co Ltd		513,243


56		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		South Korea — continued
	20,094	NHN KCP Corp ^*		266,071
	1,279	Ottogi Corp		832,834
	22,493	S&T Motiv Co Ltd		650,779
	71,503	Samjin Pharmaceutical Co Ltd		3,539,399
	29,592	Samsung Card Co Ltd		936,870
	16,407	Samsung Engineering Co Ltd ^*		248,172
	11,356	Samsung SDS Co Ltd		2,474,462
	74,706	Seohan Co Ltd		143,515
	11,140	Shinhan Financial Group Co Ltd		437,545
	1,815	Shinsegae Inc		529,152
	20,485	Sindoh Co Ltd		944,138
	38,268	SK Holdings Co Ltd		9,044,663
	470,184	SK Hynix Inc		35,066,196
	12,854	SK Innovation Co Ltd		2,228,401
	34,018	SK Networks Co Ltd		136,859
	685,141	SK Telecom Co Ltd Sponsored ADR		17,820,517
	79,037	SL Corp		1,427,041
	6,563	Spigen Korea Co Ltd		306,586
	180	Taekwang Industrial Co Ltd		260,161
	17,739	Tongyang Life Insurance Co Ltd		104,693
	2,447	Unid Co Ltd		110,315
	1,363	ViroMed Co Ltd ^*		290,419
	84,258	Woori Bank		1,234,152

		Total South Korea		261,368,070


		Spain — 0.6%
	10,910	Aena SME SA		1,929,518
	1,221,384	Atlantica Yield Plc		25,203,259
	43,406	Ebro Foods SA		934,000
	284,698	Ence Energia y Celulosa SA		2,670,205
	31,430	Faes Farma SA		137,110
	2,093,770	International Consolidated Airlines Group SA		18,793,476
	38,539	Naturgy Energy Group SA		1,034,421
	6,003	Papeles y Cartones de Europa SA		116,217
	442,056	Repsol SA		8,502,010
	80,007	Unicaja Banco SA		125,172

		Total Spain		59,445,388


		Sweden — 1.1%
	53,593	Alfa Laval AB ^(a)		1,436,653
	52,786	Atlas Copco AB – A Shares		1,504,802
	10,344	Bufab AB		121,711
	118,492	Electrolux AB – Series B		2,643,980
	139,599	Epiroc AB – Class A ^*		1,450,157
	36,123	Granges AB		423,138
	44,036	Hemfosa Fastigheter AB		599,092
	231,797	Kindred Group Plc SDR		2,850,609
	145,182	Klovern AB – B Shares		198,954
	4,772	Loomis AB – Class B		153,580


Shares		Description	Value ($)
		Sweden — continued
	17,891	Mr. Green & Co AB ^*		82,914
	41,964	Nobina AB		309,444
	8,270	Nolato AB – B Shares		584,254
	48,633	Oriflame Holding AG		1,415,033
	102,671	Resurs Holding AB		750,133
	1,166,940	Sandvik AB		20,426,856
	133,066	SAS AB ^*		294,606
	18,487	Skandinaviska Enskilda Banken AB		197,358
	41,734	SKF AB – B Shares		802,233
	148,578	SSAB AB – Series A		647,589
	2,102,555	Svenska Cellulosa AB SCA – Class B		24,476,292
	228,914	Swedbank AB – A Shares		5,330,111
	8,379	Swedish Orphan Biovitrum AB ^*		267,024
	129,877	Swedish Match AB		6,943,034
	39,741	Volvo AB – A Shares		685,433
	2,407,187	Volvo AB – B Shares		41,468,354

		Total Sweden		116,063,344


		Switzerland — 1.5%
	12,612	ALSO Holding AG (Registered) ^*		1,500,892
	4,534	Ascom Holding AG (Registered)		89,392
	23,654	BKW AG		1,677,865
	9,609	Bobst Group SA (Registered)		823,252
	1,186	Bossard Holding AG (Registered) – A Shares		244,865
	5,616	Bucher Industries AG (Registered)		1,967,782
	3,648	Galenica AG ^*		216,309
	136,303	GAM Holding AG ^*		1,052,573
	11,274	Georg Fischer AG (Registered)		14,756,550
	390	Gurit Holding AG		332,529
	464	Helvetia Holding AG (Registered)		278,447
	2,133	Inficon Holding AG (Registered) ^*		1,085,199
	9,168	Kardex AG (Registered) ^*		1,643,198
	16,729	Lonza Group AG (Registered) ^*		5,384,663
	195,420	Nestle SA (Registered)		16,381,485
	424,837	Novartis AG (Registered)		35,245,374
	8,573	Orior AG		758,114
	147,265	Roche Holding AG		36,514,882
	15,909	Roche Holding AG		3,988,767
	156,020	Sika AG (Registered)		23,107,515
	61,977	Swiss Re AG		5,576,092
	1,962	Zehnder Group AG – Class RG		92,879
	7,960	Zurich Insurance Group AG		2,423,259

		Total Switzerland		155,141,883


		Taiwan — 5.4%
	302,000	Ability Enterprise Co Ltd		143,001
	940,000	AcBel Polytech Inc		619,727
	170,000	Actron Technology Corp		553,945
	488,000	Advantech Co Ltd		3,322,890


		See accompanying notes to the financial statements.		57

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Taiwan — continued
	1,934,000	Alpha Networks Inc		1,110,939
	225,000	Altek Corp		231,244
	607,000	AmTRAN Technology Co Ltd ^*		254,952
	400,000	Arcadyan Technology Corp		783,109
	552,000	Asia Pacific Telecom Co Ltd ^*		131,595
	813,000	Asia Vital Components Co Ltd		775,094
	4,750,799	Asustek Computer Inc		40,484,757
	1,970,000	Catcher Technology Co Ltd		24,141,429
	3,975,000	Cathay Financial Holding Co Ltd		6,813,189
	3,468,000	Chailease Holding Co Ltd		11,798,389
	259,000	Chaun-Choung Technology Corp		808,840
	333,660	Chicony Electronics Co Ltd		702,233
	464,310	Chicony Power Technology Co Ltd		668,238
	1,159,000	Chin-Poon Industrial Co Ltd		1,432,828
	566,000	China Motor Corp		475,209
	206,000	Chlitina Holding Ltd		1,843,590
	254,000	Chong Hong Construction Co Ltd		673,068
	4,847,000	Chunghwa Telecom Co Ltd		17,131,174
	59,100	Chunghwa Telecom Co Ltd Sponsored ADR		2,079,729
	122,000	Cleanaway Co Ltd		720,893
	3,373,000	Coretronic Corp		6,345,751
	20,473,000	CTBC Financial Holding Co Ltd		14,397,522
	744,000	CTCI Corp		1,139,789
	50,000	Cyberlink Corp		120,977
	61,000	Depo Auto Parts Ind Co Ltd		149,929
	102,000	Dynapack International Technology Corp		133,182
	1,053,000	Elan Microelectronics Corp		1,860,692
	96,800	Elite Advanced Laser Corp		234,070
	642,000	Elitegroup Computer Systems Co Ltd ^*		333,476
	612,000	Everlight Electronics Co Ltd		633,369
	505,000	Far Eastern Department Stores Ltd		287,810
	829,000	Far Eastern New Century Corp		965,588
	3,231,000	Far EasTone Telecommunications Co Ltd		7,706,850
	461,000	Farglory Land Development Co Ltd		472,813
	177,000	Feng TAY Enterprise Co Ltd		1,073,558
	1,676,000	Formosa Chemicals & Fibre Corp		6,716,458
	941,000	Formosa Petrochemical Corp		3,864,028
	2,535,000	Formosa Plastics Corp		9,293,009
	6,937,000	Foxconn Technology Co Ltd		17,637,131
	11,963,000	Fubon Financial Holding Co Ltd		19,834,071
	317,000	Gemtek Technology Corp		235,904
	7,644,000	Gigabyte Technology Co Ltd		13,042,790
	8,844,000	Grand Pacific Petrochemical		8,529,390
	20,000	Grape King Bio Ltd		141,504
	3,069,000	Great Wall Enterprise Co Ltd		4,176,677
	442,000	Greatek Electronics Inc		752,429
	771,000	Green Seal Holding Ltd		872,213


Shares		Description	Value ($)
		Taiwan — continued
	3,270,000	Highwealth Construction Corp		5,312,459
	155,000	Hiroca Holdings Ltd		464,173
	2,074,000	Holtek Semiconductor Inc		5,721,883
	11,637,663	Hon Hai Precision Industry Co Ltd		30,572,562
	598,000	Huaku Development Co Ltd		1,268,681
	667,000	IEI Integration Corp ^*		825,487
	2,096,000	Innolux Corp		781,484
	85,000	International Games System Co Ltd		421,029
	5,788,000	Inventec Corp		5,194,986
	107,000	Iron Force Industrial Co Ltd		290,860
	555,000	ITEQ Corp		1,198,442
	47,000	King Slide Works Co Ltd		598,303
	430,000	Kinik Co		917,109
	125,000	Kung Long Batteries Industrial Co Ltd		588,392
	75,000	Lion Travel Service Co Ltd		227,259
	1,888,000	Lite-On Semiconductor Corp		2,153,860
	238,000	Makalot Industrial Co Ltd		1,234,010
	26,000	MediaTek Inc		213,001
	3,955,776	Mercuries Life Insurance Co Ltd ^*		2,054,344
	151,000	Merida Industry Co Ltd		725,240
	597,000	Micro-Star International Co Ltd		2,063,726
	3,299,000	Mitac Holdings Corp		3,815,702
	7,178,000	Nan Ya Plastics Corp		19,974,978
	324,000	Nanya Technology Corp		736,529
	4,325,000	Novatek Microelectronics Corp		21,206,736
	74,000	Nuvoton Technology Corp		135,309
	92,000	On-Bright Electronics Inc		634,848
	3,373,445	OptoTech Corp		2,507,338
	7,379,000	Pegatron Corp		15,904,474
	677,000	Phison Electronics Corp		5,604,622
	13,594,566	Pou Chen Corp		14,989,364
	257,808	Powertech Technology Inc		764,739
	4,149,000	Quanta Computer Inc		7,138,403
	810,000	Quanta Storage Inc		682,950
	10,322,020	Radiant Opto-Electronics Corp		22,672,456
	2,334,000	Realtek Semiconductor Corp		11,327,717
	590,000	Rechi Precision Co Ltd		576,834
	905,400	Ruentex Development Co Ltd		1,019,578
	2,816,000	Ruentex Industries Ltd		5,777,026
	502,000	Sercomm Corp		882,487
	672,000	Sheng Yu Steel Co Ltd		471,057
	268,000	Shin Zu Shing Co Ltd		779,967
	67,000	Sigurd Microelectronics Corp		76,035
	901,400	Simplo Technology Co Ltd		6,606,051
	365,000	Sinbon Electronics Co Ltd		1,036,100
	551,000	Sitronix Technology Corp		1,738,012
	416,000	Soft-World International Corp		980,921
	141,000	Standard Chemical & Pharmaceutical Co Ltd		146,438
	2,755,000	Sunplus Technology Co Ltd		1,256,793


58		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Taiwan — continued
	853,000	Syncmold Enterprise Corp		1,629,073
	313,000	Synnex Technology International Corp		418,930
	126,000	TaiDoc Technology Corp		710,351
	2,015,000	Taiwan Semiconductor Co Ltd		4,822,124
	4,345,000	Taiwan Semiconductor Manufacturing Co Ltd		36,405,402
	886,823	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		38,665,483
	843,000	Taiwan Surface Mounting Technology Corp		906,771
	665,000	Teco Electric and Machinery Co Ltd		487,088
	353,000	Tong Hsing Electronic Industries Ltd		972,071
	534,000	TOPBI International Holdings Ltd		1,708,195
	1,000,188	Topco Scientific Co Ltd		2,541,005
	560,000	Transcend Information Inc		1,354,914
	1,065,000	Tripod Technology Corp		3,287,540
	668,000	TXC Corp		775,679
	3,167,000	Uni-President Enterprises Corp		8,013,742
	2,077,000	United Integrated Services Co Ltd		4,192,129
	587,000	United Microelectronics Corp		332,737
	176,000	Wah Lee Industrial Corp		317,625
	694,000	Walsin Lihwa Corp		491,039
	1,477,000	Waterland Financial Holdings Co Ltd		509,845
	154,798	Wistron NeWeb Corp		345,771
	660,000	Youngtek Electronics Corp		1,008,160
	2,244,000	Yuanta Financial Holding Co Ltd		1,137,000
	148,000	Yulon Finance Corp		496,523

		Total Taiwan		562,450,993


		Thailand — 1.5%
	1,629,800	Advanced Info Service Pcl (Foreign Registered)		10,060,452
	1,595,300	Amata Corp Pcl (Foreign Registered)		1,038,730
	3,194,000	AP Thailand Pcl (Foreign Registered)		917,575
	2,620,700	AP Thailand Pcl NVDR		752,876
	151,500	Bangkok Bank Pcl (Foreign Registered) ^(d)		962,791
	2,307,400	Central Pattana Pcl (Foreign Registered)		5,815,676
	317,800	Central Pattana Pcl NVDR		800,997
	1,058,200	Com7 PCL NVDR		621,171
	511,200	Delta Electronics Thailand Pcl (Foreign Registered)		1,089,506
	759,800	Glow Energy Pcl (Foreign Registered)		2,182,038
	564,100	Glow Energy Pcl NVDR		1,620,014
	1,243,000	Hana Microelectronics Pcl (Foreign Registered)		1,463,840
	6,688,500	Home Product Center PCL NVDR		2,982,984
	5,081,600	Indorama Ventures Pcl NVDR		9,320,623
	3,195,800	Intouch Holdings Pcl NVDR		5,420,361


Shares		Description	Value ($)
		Thailand — continued
	289,300	KCE Electronics Pcl (Foreign Registered)		400,612
	5,220,500	LPN Development Pcl (Foreign Registered)		1,579,703
	567,500	LPN Development Pcl NVDR		171,723
	464,800	MC Group Pcl (Foreign Registered)		186,044
	922,900	MC Group Pcl NVDR		369,405
	400,500	Mega Lifesciences Pcl (Foreign Registered)		431,592
	540,500	Mega Lifesciences Pcl NVDR		582,460
	418,800	Pruksa Holding Pcl (Foreign Registered)		258,447
	1,757,100	Pruksa Holding Pcl NVDR		1,084,330
	715,100	PTT Exploration & Production Pcl (Foreign Registered)		3,115,709
	150,400	PTT Exploration & Production Pcl NVDR		655,297
	1,315,300	PTT Global Chemical Pcl (Foreign Registered)		3,287,372
	5,717,800	PTT Global Chemical Pcl NVDR		14,290,681
	14,330,000	PTT Pcl (Foreign Registered)		23,007,416
	6,867,100	PTT Pcl NVDR		11,025,563
	8,215,100	Quality Houses Pcl (Foreign Registered)		868,553
	12,413,700	Quality Houses Pcl NVDR		1,312,455
	794,400	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		1,268,202
	772,200	Ratchaburi Electricity Generating Holding Pcl NVDR		1,232,761
	31,718,900	Sansiri Pcl (Foreign Registered)		1,561,107
	3,137,400	SC Asset Corp Pcl (Foreign Registered)		339,455
	961,500	Siam Cement Pcl (The) (Foreign Registered)		13,282,510
	9,771,000	Star Petroleum Refining Pcl NVDR		4,449,287
	2,530,300	Star Petroleum Refining Pcl (Foreign Registered)		1,152,189
	1,658,625	Supalai Pcl (Foreign Registered)		1,226,416
	2,061,000	Supalai Pcl NVDR		1,523,938
	26,821,300	Thai Beverage Pcl		12,106,489
	286,700	Thai Oil Pcl (Foreign Registered)		738,256
	1,315,400	Thai Oil Pcl NVDR		3,387,168
	532,100	Thai Vegetable Oil Pcl (Foreign Registered)		479,667
	101,900	Thai Vegetable Oil Pcl NVDR		91,859
	4,448,000	Thanachart Capital Pcl (Foreign Registered)		7,306,898
	104,800	Thanachart Capital Pcl NVDR		172,159
	1,638,600	TTW Pcl (Foreign Registered)		620,709
	2,462,500	TTW Pcl NVDR		932,805

		Total Thailand		159,548,871


		See accompanying notes to the financial statements.		59

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Turkey — 1.0%
	178,389	Aksa Akrilik Kimya Sanayii AS		303,796
	1,145,291	Albaraka Turk Katilim Bankas AS		220,012
	648,953	Aselsan Elektronik Sanayi Ve Ticaret AS		2,560,788
	134,724	Aygaz AS		246,007
	443,434	BIM Birlesik Magazalar AS		4,939,677
	1,723,159	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		973,690
	29,869,903	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		8,365,115
	736,522	Enka Insaat ve Sanayi AS		576,163
	6,750,926	Eregli Demir ve Celik Fabrikalari TAS		12,189,842
	206,994	Ford Otomotiv Sanayi AS		2,111,206
	2,601,295	Haci Omer Sabanci Holding AS		2,826,541
	1,004,059	Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim AS ^*		746,973
	1,280,685	Is Gayrimenkul Yatirim Ortakligi AS (REIT)		181,590
	3,826,541	KOC Holding AS		8,744,688
	26,658	Otokar Otomotiv Ve Savunma Sanayi AS		289,776
	3,344,628	Petkim Petrokimya Holding AS		2,808,910
	8,281,939	Soda Sanayii AS		10,223,997
	487,060	TAV Havalimanlari Holding AS		2,450,570
	583,638	Tekfen Holding AS		1,823,367
	613,247	Trakya Cam Sanayii AS		404,744
	351,450	Tupras Turkiye Petrol Rafineriler AS		6,319,009
	590,247	Turk Hava Yollari AO ^*		1,465,866
	221,740	Turk Telekomunikasyon AS ^*		123,548
	24,292	Turk Traktor ve Ziraat Makineleri AS		168,520
	2,612,559	Turkcell Iletisim Hizmetleri AS		4,204,630
	77,800	Turkcell Iletisim Hizmetleri AS ADR		316,646
	5,565,331	Turkiye Garanti Bankasi AS		5,057,096
	2,787,574	Turkiye Halk Bankasi AS		2,608,626
	19,477,520	Turkiye Is Bankasi – Class C		11,860,205
	6,823,744	Turkiye Sinai Kalkinma Bankasi AS		791,459
	1,142,382	Turkiye Sise ve Cam Fabrikalari AS		1,073,842
	3,826,651	Turkiye Vakiflar Bankasi TAO – Class D		2,022,624

		Total Turkey		98,999,523


		United Arab Emirates — 0.1%
	130,461	Abu Dhabi Commercial Bank PJSC		252,140
	3,059,356	Air Arabia PJSC		841,162
	2,419,381	Aldar Properties PJSC		1,270,207
	2,221,090	DAMAC Properties Dubai Co PJSC		1,269,182
	3,307,412	Dana Gas PJSC		998,391
	39,348	DP World Ltd		841,592
	659,788	Dubai Investments PJSC		357,259
	537,228	Dubai Islamic Bank PJSC		748,606
	1,384,638	DXB Entertainments PJSC ^*		130,379


Shares		Description	Value ($)
		United Arab Emirates — continued
	483,056	Emaar Development PJSC ^*		695,366
	1,960,740	Emaar Properties PJSC		2,672,095
	460,241	Emirates Telecommunications Group Co PJSC		2,122,424
	132,541	First Abu Dhabi Bank PJSC		534,037
	1,390,617	RAK Properties PJSC		234,768

		Total United Arab Emirates		12,967,608


		United Kingdom — 3.9%
	1,715,924	3i Group Plc		19,980,508
	31,563	888 Holdings Plc		95,563
	50,460	Ashmore Group Plc		233,004
	90,250	Ashtead Group Plc		2,769,464
	492,932	AstraZeneca Plc		37,203,429
	2,247	AVEVA Group Plc		82,782
	463,489	Aviva Plc		2,916,000
	149,436	BAE Systems Plc		1,175,909
	42,321	Beazley Plc		326,970
	144,413	Bellway Plc		5,470,972
	285,279	Berkeley Group Holdings Plc (The)		13,494,021
	104,868	Bovis Homes Group Plc		1,532,618
	734,598	British American Tobacco Plc		35,523,141
	39,000	British American Tobacco Plc Sponsored ADR		1,886,820
	70,625	Britvic Plc		747,338
	38,180	Central Asia Metals Plc		106,347
	61,407	Close Brothers Group Plc		1,274,056
	63,063	CMC Markets Plc		139,792
	446,923	Coca-Cola HBC AG ^*		15,302,686
	63,451	Computacenter Plc		1,115,675
	41,600	Dart Group Plc		528,166
	20,800	Diageo Plc Sponsored ADR ^(b)		2,899,728
	10,335	easyJet Plc		204,742
	284,793	EI Group Plc ^*		577,797
	768,957	Electrocomponents Plc		7,411,957
	1,436,413	Ferrexpo Plc		2,899,529
	21,405	Fevertree Drinks Plc		1,034,830
	84,871	Galliford Try Plc		1,070,336
	8,328	Games Workshop Group Plc		384,889
	4,607	GlaxoSmithKline Plc		93,305
	811,300	GlaxoSmithKline Plc Sponsored ADR		32,857,650
	33,940	Grafton Group Plc		338,303
	75,152	Grainger Plc		299,736
	10,527	Hostelworld Group Plc		35,625
	82,500	HSBC Holdings Plc Sponsored ADR		3,630,825
	824,290	IG Group Holdings Plc		9,679,345
	384,890	Inchcape Plc		3,457,653
	868,166	Indivior Plc ^*		3,052,275
	18,116	Intermediate Capital Group Plc		246,982
	29,216	International Personal Finance Plc		83,290
	20,177	J Sainsbury Plc		84,933


60		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		United Kingdom — continued
	88,201	John Laing Group Plc		361,260
	52,058	Jupiter Fund Management Plc		283,428
	69,405	Land Securities Group Plc (REIT)		826,136
	3,378,904	Legal & General Group Plc		11,166,061
	10,140,136	Lloyds Banking Group Plc		7,811,145
	138,383	McBride Plc		234,002
	56,323	Morgan Sindall Group Plc		1,073,379
	42,620	N Brown Group Plc		83,503
	24,078	Next Plc		1,719,144
	287,100	Nomad Foods Ltd ^*		5,986,035
	5,700	Northgate Plc		30,292
	45,016	Numis Corp Plc		247,101
	48,907	Paragon Banking Group Plc		295,703
	1,196,075	Persimmon Plc		37,840,159
	325,072	Plus500 Ltd		6,494,319
	662,225	QinetiQ Group Plc		2,332,020
	9,029	Quilter Plc		16,486
	262,341	Reckitt Benckiser Group Plc		22,346,787
	162,878	Redrow Plc		1,157,136
	132,791	Royal Dutch Shell Plc – Class A		4,318,811
	44,700	Royal Dutch Shell Plc – Class A Sponsored ADR		2,915,781
	49,600	Royal Dutch Shell Plc – Class B Sponsored ADR ^(b)		3,342,048
	567,966	Royal Mail Plc		3,302,846
	49,770	RPS Group Plc		151,663
	32,336	Safestore Holdings Plc (REIT)		222,955
	42,546	Savills Plc		441,792
	6,363	Schroders Plc		254,217
	176,039	Segro Plc (REIT)		1,505,125
	274,400	Shire Plc ADR		48,094,088
	6,021	Smiths Group Plc		126,063
	12,555	Softcat Plc		138,373
	93,216	Spectris Plc		2,849,819
	18,686	St Modwen Properties Plc		95,590
	203,686	Stock Spirits Group Plc		510,029
	174,349	Tate & Lyle Plc		1,517,700
	397,051	Taylor Wimpey Plc		863,706
	118,375	TUI AG		2,185,011
	12,871	UDG Healthcare Plc		123,097
	320,378	Unilever Plc		18,256,655
	356,410	Vesuvius Plc		2,871,318
	17,544	Virgin Money Holdings UK Plc		86,968
	547,022	William Hill Plc		1,827,684

		Total United Kingdom		408,554,426


		United States — 9.7%
	73,251	3M Co. ^(a)		15,450,101
	167,957	Abbott Laboratories ^(a)		11,226,246
	145,055	Accenture Plc – Class A		24,524,449
	250,900	Aetna, Inc.		50,247,743


Shares		Description	Value ($)
		United States — continued
	9,298	Allergan Plc ^(c)		1,782,519
	41,657	Alphabet, Inc. – Class C ^* (a)		50,746,141
	198,193	American Express Co.		21,004,494
	71,377	Amphenol Corp. – Class A ^(b)		6,750,837
	177,900	Andeavor ^(a)		27,181,341
	80,666	Anthem, Inc. ^(b)		21,354,710
	237,052	Apple, Inc. ^(b)		53,960,147
	155,349	Avista Corp. ^(b)		7,970,957
	41,381	Becton Dickinson and Co. ^(b)		10,836,442
	134,540	Bemis Co., Inc. ^(b)		6,630,131
	376,300	CA, Inc.		16,481,940
	242,600	Cars.com, Inc. ^{* (b)}		6,528,366
	477,071	Cisco Systems, Inc. ^(b)		22,789,682
	282,454	Coca-Cola Co. (The)		12,588,975
	233,031	Cognizant Technology Solutions Corp. – Class A		18,276,621
	15,426	Colgate-Palmolive Co. ^(a) (c)		1,024,441
	109,322	Costco Wholesale Corp.		25,486,238
	1,148,797	EveryWare Global, Inc. ^(e)		4,652,628
	150,100	Express Scripts Holding Co. ^*		13,211,802
	80,516	Facebook, Inc. – Class A ^*		14,149,077
	58,898	Honeywell International, Inc.		9,368,316
	190,135	Johnson & Johnson		25,609,283
	191,093	KLX, Inc. ^*		14,110,307
	533,476	LaSalle Hotel Properties (REIT)		18,730,342
	2	Lennar Corp. ^(b)		103
	5,800	Lumentum Holdings, Inc. ^{* (b)}		393,820
	83,200	Macquarie Infrastructure Corp. ^(b)		3,913,728
	36,224	Mastercard, Inc. – Class A		7,808,445
	266,848	Medtronic Plc		25,726,816
	315,808	Merck & Co., Inc.		21,661,271
	446,008	Microsoft Corp.		50,100,079
	478,785	NxStage Medical, Inc. ^*		13,568,767
	1,960,195	OneMarket Ltd. ^*		1,480,812
	824,561	Oracle Corp.		40,057,173
	40,310	PepsiCo, Inc. ^(b)		4,515,123
	126,089	Philip Morris International, Inc.		9,821,072
	458,100	Pinnacle Foods, Inc.		30,427,002
	339,599	QUALCOMM, Inc.		23,333,847
	405,400	Rockwell Collins, Inc.		55,114,130
	86,800	Sanchez Energy Corp. ^* (b)		228,284
	33,646	Stryker Corp. ^(a) (b)		5,700,642
	58,884	Tenet Healthcare Corp. ^* (b)		1,985,568
	94,631	Teradata Corp. ^* (a)		3,924,347
	16,007	Tesla, Inc. ^* (b) (c)		4,828,672
	144,872	Texas Instruments, Inc. ^(b)		16,283,613
	205,705	TJX Cos., Inc. (The)		22,621,379
	940,610	Twenty-First Century Fox, Inc. – Class B ^(c)		42,233,389
	119,077	UnitedHealth Group, Inc.		31,967,411
	133,927	United Technologies Corp.		17,638,186
	386,891	US Bancorp		20,934,672


		See accompanying notes to the financial statements.		61

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		United States — continued
	80,700	Visa, Inc. – Class A ^(a)		11,854,023
	373,235	Wells Fargo & Co.		21,826,783
	24,288	Williams Cos, Inc. (The) ^(c)		718,682
	90,956	XL Group Ltd.		5,219,965

		Total United States		1,008,562,080


		TOTAL COMMON STOCKS (COST $6,639,599,467)		6,657,980,528


		PREFERRED STOCKS ^(f) — 1.1%

		Brazil — 0.3%
	527,934	Banco Bradesco SA		3,678,468
	510,300	Banco do Estado do Rio Grande do Sul SA – Class B		1,835,431
	1,528,200	Braskem SA – Class A		22,215,198
	594,775	Centrais Eletricas Brasileiras SA – Class B ^*		2,643,055
	1,265,300	Cia Energetica de Minas Gerais		2,317,433
	4,939	Companhia Energetica de Minas Gerais Sponsored ADR		8,841

		Total Brazil		32,698,426


		Germany — 0.2%
	36,050	Bayerische Motoren Werke AG		3,023,053
	3,025	Draegerwerk AG & Co KGaA		244,156
	49,769	Henkel AG & Co KGaA		6,352,332
	21,599	RWE AG		450,793
	7,959	Sixt SE		665,088
	24,548	Volkswagen AG		4,012,806

		Total Germany		14,748,228


		Russia — 0.1%
	76,389	Bashneft PJSC		1,914,860
	3,650,500	Sberbank of Russia PJSC		8,661,656
	1,135,300	Surgutneftegas OJSC ^*		630,063
	1,230	Transneft PJSC		2,599,852

		Total Russia		13,806,431


		South Korea — 0.5%
	1,171	Hyundai Motor Co		82,396
	2,023	Hyundai Motor Co 2nd Preference		155,549
	96,668	LG Electronics Inc		2,690,977
	1,139,074	Samsung Electronics Co Ltd		40,586,665
	5,004	Samsung Electronics Co Ltd GDR		4,409,975

		Total South Korea		47,925,562


		Taiwan — 0.0%
	220,277	CTBC Financial Holding Co Ltd		445,387


		TOTAL PREFERRED STOCKS (COST $112,899,144)		109,624,034


Shares / Par Value†		Description	Value ($)
		RIGHTS/WARRANTS — 0.0%

		Brazil — 0.0%
	131,971	Oi SA ADR ^* (g)		436,824


		Canada — 0.0%
	449,600	Alignvest Acquisition II Corp ^* (e)		137,808


		Thailand — 0.0%
	174,750	Supalai Pcl ^*		106,246
	421,725	Supalai Public Co ^*		256,411

		Total Thailand		362,657


		United States — 0.0%
	2,616,810	Media General, Inc. CVR ^{* (e)}		130,841


		TOTAL RIGHTS/WARRANTS (COST $884,049)		1,068,130


		INVESTMENT FUNDS — 0.3%

		United States — 0.3%
	823,592	iShares MSCI Emerging Markets ETF		35,554,467


		TOTAL INVESTMENT FUNDS (COST $36,272,848)		35,554,467


		DEBT OBLIGATIONS — 30.9%

		Italy — 0.0%
		Corporate Debt — 0.0%
	1,243,000	Intesa Sanpaolo SPA, 144A, 3.88%, due 07/14/27		1,067,255
	3,977,000	Intesa Sanpaolo SPA, 144A, 4.38%, due 01/12/48		3,045,573

		Total Corporate Debt		4,112,828

		Total Italy		4,112,828


		Jamaica — 0.1%
		Corporate Debt — 0.1%
	2,530,000	Digicel Ltd, 144A, 6.00%, due 04/15/21		2,363,298
	4,679,000	Digicel Ltd, Reg. S, 6.75%, due 03/01/23		3,942,058

		Total Jamaica		6,305,356


		Japan — 3.5%
		Foreign Government Obligations — 3.5%
JPY	5,100,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/18/18		45,902,387
JPY	13,140,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/25/18		118,269,106
JPY	11,100,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/01/18		99,909,890
JPY	5,533,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/09/18		49,803,374
JPY	2,365,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/15/18		21,288,236


62		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		Japan — continued
		Foreign Government Obligations — continued
JPY	3,315,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/19/18		29,843,861

		Total Foreign Government Obligations		365,016,854

		Total Japan		365,016,854


		Luxembourg — 0.1%
		Bank Loans — 0.1%
	6,273,787	SkillSoft Corp., 1st Lien Term Loan, 6.83%, due 04/28/21 ^(e)		6,069,889


		Puerto Rico — 0.2%
		Asset-Backed Securities — 0.1%
	720,000	Government Development Bank for Puerto Rico, 4.70%, due 05/01/16		304,200
	20,000	Government Development Bank for Puerto Rico, 3.88%, due 02/01/17		8,250
	630,000	Government Development Bank for Puerto Rico, 4.15%, due 08/01/17		259,875
	790,000	Government Development Bank for Puerto Rico, 4.38%, due 02/01/19		327,850
	60,000	Government Development Bank for Puerto Rico, 4.50%, due 08/01/19		25,350
	69,000	Government Development Bank for Puerto Rico, 5.40%, due 08/01/19		29,153
	2,666,000	Government Development Bank for Puerto Rico, 5.50%, due 08/01/20		1,126,385
	1,315,000	Government Development Bank for Puerto Rico, 4.90%, due 08/01/21		555,587
	2,110,000	Government Development Bank for Puerto Rico, 5.00%, due 08/01/23		891,475
	240,000	Government Development Bank for Puerto Rico, 5.75%, due 08/01/25		103,200
	714,000	Government Development Bank for Puerto Rico, 5.75%, due 08/01/25		307,020
	2,529,600	Puerto Rico Commonwealth Government Employees Retirement System – Class A, 6.20%, due 07/01/42		828,444
	587,400	Puerto Rico Commonwealth Government Employees Retirement System – Class A, 6.20%, due 07/01/39		192,373

		Total Asset-Backed Securities		4,959,162


		Municipal Obligations — 0.1%
	3,197,940	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/44		3,046,038
	11,381,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/47		10,712,366
	1,000,000	Puerto Rico Public Buildings Authority, 5.00%, due 07/01/32 ^(h)		547,500
	1,500,000	Puerto Rico Public Buildings Authority, 5.25%, due 07/01/33 ^(h)		821,250

		Total Municipal Obligations		15,127,154

		Total Puerto Rico		20,086,316


Par Value†		Description	Value ($)
		Spain — 0.0%
		Bank Loans — 0.0%
	747,226	Abengoa S.A., Term Loan Escrow, 7.00%, due 03/31/21 ^(e)		792,059
	1,610,616	Abengoa S.A., NM Term Loan A, 7.00%, due 03/31/21 ^(e)		1,695,174
	588,378	ABG Orphan Holdco S.a r.l., Term Loan Escrow 2, 7.00%, due 03/31/21 ^(e)		623,681
	362,829	ABG Orphan Holdco S.a r.l., USD Facility 1A Escrow Tranche, 7.00%, due 03/31/21 ^(e)		384,599

		Total Bank Loans		3,495,513


		Corporate Debt — 0.0%
	693,668	ABG Orphan Holdco S.a r.l., 144A, 14.00%, due 02/28/21 ^(e)		735,287
	717,176	ABG Orphan Holdco S.a r.l., 144A, 14.00%, due 02/28/21 ^(e)		756,621

		Total Corporate Debt		1,491,908

		Total Spain		4,987,421


		United States — 27.0%
		Asset-Backed Securities — 3.7%
	3,020,551	AccessLex Institute, Series 07-1, Class A4, Variable Rate, 3 mo. LIBOR + 0.06%, 2.40%, due 01/25/23		2,965,900
	848,730	AMMC CLO 21 Ltd., Series 17-21A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.20%, due 11/02/30		849,729
	3,576,000	AMMC CLO XI Ltd., Series 12-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 04/30/31		3,575,414
	2,873,770	AMMC CLO XII Ltd., Series 13-12A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 11/10/30		2,873,738
	1,163,877	AMMC CLO XIII Ltd., Series 13-13A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.29%, due 07/24/29		1,166,691
	1,986,564	AMMC CLO XIV Ltd., Series 14-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.29%, due 07/25/29		1,990,364
	435,533	Anchorage Capital CLO Ltd., Series 15-6A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.24%, due 07/15/30		436,066
	1,135,362	Anchorage Capital CLO Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 10/13/30		1,135,344
	2,620,640	Apidos CLO XII, Series 13-12A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 04/15/31		2,616,486
	1,192,000	Apidos CLO XV, Series 13-15A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/20/31		1,191,982


		See accompanying notes to the financial statements.		63

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	3,261,771	Apidos CLO XVI, Series 13-16A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.98%, 3.32%, due 01/19/25		3,263,484
	1,043,000	Ares XXXIIR CLO Ltd., Series 14-32RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.96%, due 05/15/30		1,042,992
	1,321,220	Atlas Senior Loan Fund III Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.91%, due 11/17/27		1,321,209
	894,000	Atlas Senior Loan Fund XI Ltd., Series 18-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 07/26/31		893,937
	936,792	Avery Point III CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.45%, due 01/18/25		937,036
	1,546,351	Avery Point IV CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.44%, due 04/25/26		1,546,771
	13,139,221	B&M CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.73%, 3.07%, due 04/16/26		13,097,556
	3,244,500	Babson CLO Ltd., Series 14-IA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.50%, due 07/20/25		3,245,133
	848,730	Bain Capital Credit CLO, Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.15%, due 07/20/30		848,649
	522,445	Ballyrock CLO LLC, Series 13-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.18%, 3.50%, due 05/20/25		522,615
	953,600	Barings CLO Ltd., Series 18-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 3.06%, due 04/15/30		953,569
	1,879,573	Bayview Commercial Mortgage Pass-Through Trust, Series 06-SP1, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.57%, 2.63%, due 04/25/36		1,870,208
	735,566	Benefit Street Partners CLO III Ltd., Series 13-IIIA, Class X,, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.20%, due 07/20/29		736,048
	425,714	Black Diamond CLO Ltd., Series 17-IA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.34%, due 04/24/29		426,374
	1,913,146	BlueMountain CLO Ltd., Series 13-3A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.89%, 3.23%, due 10/29/25		1,912,195


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,564,500	BlueMountain CLO Ltd., Series 15-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.90%, due 04/20/30		1,564,477
	1,043,000	BlueMountain CLO Ltd., Series 15-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/20/31		1,042,984
	1,094,485	Brookside Mill CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 01/17/28		1,094,469
	1,540,234	Canyon Capital CLO Ltd., Series 16-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.04%, due 07/15/31		1,540,211
	2,980,000	Carlyle Global Market Strategies CLO Ltd., Series 14-2RA, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.01%, due 05/15/31		2,979,973
	1,018,476	Catamaran CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/22/30		1,018,248
	2,942,264	CBAM Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.04%, due 10/17/29		2,942,220
	944,919	CBAM Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.15%, due 07/20/30		945,039
	4,950,925	CBAM Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 01/15/31		4,950,856
	2,384,000	Cent CLO, Series C17A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 04/30/31		2,383,807
	10,000,000	Cent CLO 22 Ltd., Series 14-22A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.41%, 3.75%, due 11/07/26		10,011,300
	2,121,825	CIFC Funding II Ltd., Series 13-2A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.98%, due 10/18/30		2,121,526
	953,600	CIFC Funding III Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.15%, due 07/20/30		954,077
	2,724,870	CIFC Funding IV Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 10/24/30		2,725,707
	9,349,998	Crest G-Star LP, Series 01-1A, Class D, 144A, 9.00%, due 11/28/35		3,178,999
	2,011,500	Crown Point CLO Ltd., Series 18-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/20/31		2,011,470
	721,645	CVP Cascade CLO-1 Ltd., Series 13-CLO1, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.49%, due 01/16/26		721,843


64		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	2,084,675	Dryden 30 Senior Loan Fund, Series 13-30A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.91%, due 11/15/28		2,084,658
	312,710	Dryden XXVIII Senior Loan Fund, Series 13-28A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.06%, due 08/15/30		312,740
	1,131,640	Elevation CLO Ltd., Series 14-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 10/15/29		1,131,623
	813,366	Galaxy XV CLO Ltd., Series 13-15A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 10/15/30		815,675
	2,939,273	Galaxy XX CLO Ltd., Series 15-20A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/20/31		2,938,427
	1,583,274	Galaxy XXVII CLO Ltd., Series 18-27A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.92%, due 05/16/31		1,583,068
	14,759,538	GCO Education Loan Funding Master Trust-II, Series 07-1A, Class A6L, 144A, Variable Rate, 3 mo. LIBOR + 0.11%, 2.42%, due 11/25/26		14,705,046
	733,080	GCO Education Loan Funding Trust, Series 06-1, Class A9L, Variable Rate, 3 mo. LIBOR + 0.16%, 2.47%, due 05/25/26		729,687
	2,527,577	Goldentree Loan Management US CLO 2 Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 11/28/30		2,527,110
	1,563,450	Goldentree Loan Opportunities XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.93%, due 01/18/31		1,563,192
	1,584,296	Greywolf CLO V Ltd., Series 15-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 01/27/31		1,583,979
	680,269	Halcyon Loan Advisors Funding Ltd., Series 13-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 3.49%, due 04/15/25		680,298
	453,817	Halcyon Loan Advisors Funding Ltd., Series 13-1X, Class A1, Reg. S, 3 mo. LIBOR + 1.15%, 3.49%, due 04/15/25		453,837
	4,969,657	Halcyon Loan Advisors Funding Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.13%, 3.46%, due 04/18/26		4,970,685
	1,528,740	Highbridge Loan Management Ltd., Series 6A-2015, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 02/05/31		1,528,722


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	565,820	Highbridge Loan Management Ltd., Series 3A-2014, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.13%, due 07/18/29		566,097
	707,275	Highbridge Loan Management Ltd., Series 13-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 10/20/29		707,264
	5,613,321	Higher Education Funding I, Series 05-1, Class A5, Variable Rate, 3 mo. LIBOR + .16%, 2.47%, due 02/25/32		5,607,257
	2,065,140	ICG US CLO Ltd., Series 14-2A, Class XRR, 144A, Variable Rate, 3 mo. LIBOR + 0.55%, 2.89%, due 01/15/31		2,065,111
	1,414,550	Jamestown CLO X Ltd., Series 17-10A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.25%, due 07/17/29		1,416,154
	765,452	KeyCorp Student Loan Trust, Series 00-A, Class A2, Variable Rate, 3 mo. LIBOR + 0.32%, 2.63%, due 05/25/29		762,590
	886,485	KeyCorp Student Loan Trust, Series 06-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.31%, 2.65%, due 09/27/35		886,573
	3,417,412	KeyCorp Student Loan Trust, Series 99-B, Class CTFS, Variable Rate, 3 mo. LIBOR + 0.90%, 3.21%, due 11/25/36		3,421,839
	181,902	KeyCorp Student Loan Trust, Series 05-A, Class 2A4, Variable Rate, 3 mo. LIBOR + 0.34%, 2.68%, due 06/27/38		181,889
	615,502	KeyCorp Student Loan Trust, Series 04-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.53%, 2.87%, due 01/27/42		615,736
	1,698,600	Kingsland VIII Ltd., Series 18-8A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.05%, due 04/20/31		1,698,573
	893,400	KKR CLO Ltd., Series 9, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.29%, due 07/15/30		894,497
	1,711,461	LCM XVIII LP, Series 18A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 04/20/31		1,711,436
	1,206,090	LCM XXV Ltd., Series 25,A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.30%, due 07/20/30		1,208,736
	792,115	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 2.31%, due 02/25/30		778,831


		See accompanying notes to the financial statements.		65

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	169,010	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 05-2A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.31%, due 09/25/30		168,829
	4,444,484	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class 1A3, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 2.33%, due 06/25/37		4,382,704
	3,015,760	Madison Park Funding XIII Ltd., Series 14-13A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 04/19/30		3,015,374
	1,827,426	Magnetite IX Ltd., Series 14-9A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.34%, due 07/25/26		1,828,270
	5,215,000	Marathon CLO VI Ltd., Series 14-6A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.04%, due 05/13/28		5,214,948
	6,648,835	Montana Higher Education Student Assistance Corp., Series 12-1, Class A2, Variable Rate, 1 mo. LIBOR + 1.00%, 3.08%, due 05/20/30		6,707,129
	12,970,977	Montana Higher Education Student Assistance Corp., Series 05-1, Class B, Variable Rate, 3 mo. LIBOR + 0.12%, 2.44%, due 06/20/30		12,957,228
	552,093	Morgan Stanley Dean Witter Capital I Trust, Series 01-TOP3, Class E, 144A, Variable Rate, 7.86%, due 07/15/33		583,237
	1,697,460	Mountain View CLO LLC, Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 01/16/31		1,697,603
	12,762,000	Mountain View CLO Ltd., Series 14-1A, Class ARR, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.14%, due 10/15/26		12,738,646
	1,621,819	Mountain View CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 10/12/30		1,621,793
	18,472	National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.25%, 2.31%, due 03/27/28		18,469
	13,145,101	National Collegiate Student Loan Trust, Series 07-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.23%, 2.29%, due 03/26/29		12,894,809
	3,504,298	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + 0.24%, 2.30%, due 07/25/30		3,456,130


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	252,873	Nationslink Funding Corp. Commercial Loan Pass Through Certificate, Series 99-LTL1, Class D, 144A, 6.45%, due 01/22/26		256,141
	813,132	Navient Private Education Loan Trust, Series 14-CTA, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.70%, 2.76%, due 09/16/24		814,063
	3,129,000	Navient Student Loan Trust, Series 16-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 3.11%, due 06/25/65		3,160,149
	781,775	Neuberger Berman CLO XV, Series 13-15A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 10/15/29		781,666
	1,013,945	Neuberger Berman CLO XVII Ltd., Series 14-17A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.35%, due 04/22/29		1,015,500
	1,302,328	Newcastle CDO V Ltd., Series 04-5A, Class 3, 144A, Variable Rate, 3 mo. LIBOR + .90%, 2.20%, due 12/24/39		1,300,587
	16,108,527	Ocean Trails CLO IV, Series 13-4A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.24%, due 08/13/25		16,108,671
	679,440	Octagon Investment Partners XII Ltd., Series 12-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .88%, 3.22%, due 07/15/19		679,479
	708,020	Octagon Investment Partners XV Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.14%, due 07/19/30		708,516
	1,934,291	Octagon Investment Partners XVII Ltd., Series 13-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 01/25/31		1,934,264
	606,236	OFSI Fund V Ltd., Series 17-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.19%, due 08/16/29		606,793
	5,948,142	OFSI Fund VI Ltd., Series 14-6A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 03/20/25		5,933,272
	893,400	OHA Credit Partners XIV Ltd., Series 17-14A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.95%, due 01/21/30		893,251
	1,556,005	OZLM Funding Ltd., Series 13-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.65%, 3.00%, due 10/22/30		1,555,782
	4,172,000	OZLM VI Ltd., Series 14-6A, Class XS, 144A, Variable Rate, 3 mo. LIBOR + 0.70%, 3.04%, due 04/17/31		4,171,937


66		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	720,676	OZLM XI Ltd., Series 15-11A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 10/30/30		720,860
	9,525,815	Palmer Square Loan Funding Ltd., Series 18-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 04/15/26		9,438,701
	2,795,240	Seneca Park CLO Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.46%, due 07/17/26		2,795,438
	1,414,550	Shackleton CLO Ltd., Series 13-3A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 07/15/30		1,414,530
	1,192,151	Silvermore CLO Ltd., Series 14-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 3.48%, due 05/15/26		1,192,613
	4,835,464	SLC Student Loan Trust, Series 08-2, Class A3, Variable Rate, 3 mo. LIBOR + 0.65%, 2.99%, due 09/15/18		4,835,425
	4,895,465	SLM Private Credit Student Loan Trust, Series 07-A, Class A3, Variable Rate, 3 mo. LIBOR + .17%, 2.51%, due 12/15/26		4,894,185
	1,933,109	SLM Private Education Loan Trust, Series 14-A, Class A2B, 144A, Variable Rate, 1 mo. LIBOR + 1.15%, 3.21%, due 01/15/26		1,940,737
	572,395	SLM Private Education Loan Trust, Series 11-A, Class A2, 144A, 4.37%, due 04/17/28		573,785
	3,635,600	SLM Private Education Loan Trust, Series 11-B, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.25%, 4.31%, due 06/16/42		3,731,124
	6,081,076	SLM Private Education Loan Trust, Series 11-A, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.50%, 4.56%, due 01/15/43		6,212,213
	6,187,721	SLM Private Education Loan Trust, Series 10-A, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + 3.25%, 5.31%, due 05/16/44		6,304,469
	2,587,440	SLM Private Education Loan Trust, Series 11-C, Class A2B, 144A, 4.54%, due 10/17/44		2,616,638
	6,077,607	SLM Student Loan Trust, Series 07-3, Class A3, Variable Rate, 3 mo. LIBOR + 0.04%, 2.38%, due 04/25/19		6,062,235
	15,896,871	SLM Student Loan Trust, Series 07-6, Class A4, Variable Rate, 3 mo. LIBOR + .38%, 2.72%, due 10/25/24		15,926,575
	1,621,092	South Carolina Student Loan Corp., Series 2005, Class A3, Variable Rate, 3 mo. LIBOR + .14%, 2.44%, due 12/01/23		1,620,768


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	1,034,508	South Carolina Student Loan Corp., Series 10-1, Class A2, Variable Rate, 3 mo. LIBOR + 1.00%, 3.34%, due 07/25/25		1,039,463
	1,992,898	Symphony CLO V Ltd., Series 07-5A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 01/15/24		1,993,550
	565,820	Telos CLO, Series 13-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 3.34%, due 07/17/19		566,352
	2,224,800	Telos CLO Ltd., Series 14-6A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.27%, 3.61%, due 01/17/27		2,225,479
	2,225,067	Telos CLO Ltd., Series 14-5A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 04/17/28		2,225,031
	2,059,585	Telos CLO Ltd., Series 13-4A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.75%, 3.09%, due 01/17/30		2,059,552
	353,875	THL Credit Wind River CLO Ltd., Series 17-2A, Class X, 144A, Variable Rate, 3 mo. LIBOR + .90%, 3.25%, due 07/20/30		354,322
	1,527,714	THL Credit Wind River CLO Ltd., Series 17-4A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.92%, due 11/20/30		1,527,705
	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		3,382,134
	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		4,410,202
	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
	1,647,217	Velocity Commercial Capital Loan Trust, Series 15-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 2.43%, 4.49%, due 06/25/45		1,658,146
	3,558,820	Velocity Commercial Capital Loan Trust, Series 17-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 3.31%, due 05/25/47		3,581,629
	924,012	Venture VII CDO Ltd., Series 06-7A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 0.23%, 2.58%, due 01/20/22		922,186
	4,853,882	Voya CLO Ltd., Series 13-3A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 3.38%, due 01/18/26		4,854,760
	1,060,912	Voya CLO Ltd., Series 17-3A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.15%, due 07/20/30		1,060,769


		See accompanying notes to the financial statements.		67

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	2,546,190	Voya CLO Ltd., Series 13-1A, Class XR, 144A, Variable Rate, 3 mo. LIBOR + 0.60%, 2.94%, due 10/15/30		2,546,154
	990,850	Voya CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.63%, 2.96%, due 04/18/31		990,835
	1,792,571	Westchester CLO Ltd., Series 07-1A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 0.85%, 3.19%, due 08/01/22		1,791,122
	3,708,000	WhiteHorse Ltd., Series 18-12A, Class X, Variable Rate, 3 mo. LIBOR + 0.75%, 3.18%, due 10/15/31		3,708,000
	11,682,652	WhiteHorse VIII Ltd., Series 14-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.24%, due 05/01/26		11,674,790
	371,569	Ziggurat CLO Ltd., Series 14-1A, Class X, 144A, Variable Rate, 3 mo. LIBOR + 0.90%, 3.24%, due 04/17/29		371,845

		Total Asset-Backed Securities		387,147,469


		Bank Loans — 0.3%
	14,527,000	21st Century Oncology Holdings, Inc., Exit Term Loan, 3 mo. LIBOR + 6.13%, 8.47%, due 01/16/23 ^(e)		13,655,380
	2,803,755	Gibson Brands Inc., DIP Term Loan, 11.27%, due 05/01/19 ^(e)		2,719,643
	3,649,044	J.C. Penney Corporation, Inc., 2016 Term Loan B, 6.62%, due 06/23/23 ^(e)		3,357,120
	5,828,200	Murray Energy Corporation, 2018 Term Loan B2, 9.33%, due 10/17/22 ^(e)		5,478,508
	4,112,500	Quorum Health Corp., Term Loan B, 8.83%, due 04/29/22 ^(e)		4,163,906
	3,841,800	Sears Holding Corp., Incremental Term Loan, 9.58%, due 07/20/20 ^(e)		3,880,218

		Total Bank Loans		33,254,775


		Corporate Debt — 0.4%
	2,988,000	CHS/Community Health Systems, Inc., 6.88%, due 02/01/22		1,523,880
	2,191,000	CHS/Community Health Systems, Inc., 144A, 8.13%, due 06/30/24		1,802,097
	5,461,600	EP Energy LLC / Everest Acquisition Finance, Inc., 144A, 8.00%, due 02/15/25		3,946,006
	500,000	Frontier Communications Corp., 9.25%, due 07/01/21		472,500
	4,090,600	Frontier Communications Corp., 6.25%, due 09/15/21		3,620,181
	3,070,000	Frontier Communications Corp., 8.75%, due 04/15/22		2,471,350
	1,491,000	Frontier Communications Corp., 7.13%, due 01/15/23		1,015,744


Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	3,348,000	Frontier Communications Corp., 11.00%, due 09/15/25		2,561,220
	414,000	Frontier Communications Corp., 144A, 8.50%, due 04/01/26		389,491
	5,923,000	Gibson Brands, Inc., 144A, 8.88%, due 08/01/18 ^(h)		5,153,010
	4,802,588	iHeartCommunications, Inc., 14.00%, due 02/01/21 ^(h)		606,327
	1,899,000	Momentive Performance Materials, Inc., 4.69%, due 04/24/22		2,054,528
	9,517,000	Murray Energy Corp., 144A, 11.25%, due 04/15/21		6,757,070
	2,609,000	TRU Taj LLC / TRU Taj Finance, Inc., 144A, 11.00%, due 01/22/19 ^(e)		2,752,495
	10,573,000	TRU Taj LLC / TRU Taj Finance, Inc., 144A, 12.00%, due 08/15/21 ^(e)		7,401,100
	3,085,000	Westmoreland Coal Co., 144A, 8.75%, due 01/01/22		832,950

		Total Corporate Debt		43,359,949


		U.S. Government — 19.4%
	165,032,544	U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23 ⁽ⁱ⁾		164,044,069
	74,592,907	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 ⁽ⁱ⁾		72,272,823
	246,250,276	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 ⁽ⁱ⁾		243,701,201
	274,703,566	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 ⁽ⁱ⁾		265,582,550
	13,906,080	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 ⁽ⁱ⁾		13,458,297
	198,883,719	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 ⁽ⁱ⁾		193,341,907
	208,972,868	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 ⁽ⁱ⁾		226,585,906
	186,034,027	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 ⁽ⁱ⁾		216,732,064
	43,050,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.14%, due 10/31/19 ^(a)		43,076,563
	49,100,000	U.S. Treasury Note, Variable Rate, USBM + 0.00%, 2.09%, due 01/31/20 ^(a)		49,094,713
	43,750,000	U.S. Treasury Note, 2.25%, due 03/31/20 ^(a)		43,514,160
	145,250,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.12%, due 04/30/20 ^(a)		145,271,218
	78,000,000	U.S. Treasury Note, 2.38%, due 04/30/20		77,701,407
	54,000,000	U.S. Treasury Note, 2.50%, due 05/31/20 ^(a)		53,886,094


68		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		United States — continued
		U.S. Government — continued
	55,000,000	U.S. Treasury Note, 2.50%, due 06/30/20 ^(a)		54,871,094
	74,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.00%, 2.13%, due 07/31/20 ^(a)		74,491,460
	47,000,000	U.S. Treasury Note, 2.63%, due 07/31/20		46,988,984
	40,150,000	U.S. Treasury Note, 2.63%, due 08/31/20		40,137,453

		Total U.S. Government		2,024,751,963


		U.S. Government Agency — 3.2%
	28,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.22%, 2.12%, due 11/09/18		28,008,141
	10,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.22%, 2.12%, due 02/01/19		10,002,605
	64,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.24%, 2.07%, due 11/25/19		63,961,080
	62,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.14%, 2.20%, due 12/26/19		62,033,693
	28,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.16%, 2.18%, due 02/07/20		28,004,510
	24,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.21%, 2.13%, due 02/10/20		23,986,660
	42,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.24%, 2.10%, due 04/13/20		42,473,503
	64,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR - 0.21%, 2.10%, due 05/22/20		63,979,532
	260,927	Government National Mortgage Association, Series 12-H15, Class FA, Variable Rate, 1 mo. LIBOR + 0.45%, 2.55%, due 05/20/62		261,205
	5,763,713	Government National Mortgage Association, Series 17-12H, Class FE, Variable Rate, 1 mo. LIBOR + .20%, 2.30%, due 06/20/66		5,754,149
	1,781,204	Government National Mortgage Association, Series 17-H05, Class FJ, Variable Rate, 1 mo. LIBOR + 0.27%, 2.37%, due 01/20/67		1,779,393
	1,732,933	Government National Mortgage Association, Series 17-H13, Class FJ, Variable Rate, 1 mo. LIBOR + 0.20%, 2.30%, due 05/20/67		1,730,580

		Total U.S. Government Agency		331,975,051

		Total United States		2,820,489,207


		TOTAL DEBT OBLIGATIONS (COST $3,245,848,233)		3,227,067,871


Par Value†		Description	Value ($)
		MUTUAL FUNDS — 0.4%

		United States — 0.4%
	628,800	Altaba, Inc.* ^(b)		43,733,040


		TOTAL MUTUAL FUNDS (COST $36,597,904)		43,733,040


		SHORT-TERM INVESTMENTS — 4.0%

		Foreign Government Obligations — 1.4%
JPY	1,100,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/22/18		9,901,762
JPY	10,350,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/12/18 ^(a)		93,174,685
GBP	8,700,000	United Kingdom Treasury Bill, Zero Coupon, due 09/10/18		11,277,696
GBP	22,500,000	United Kingdom Treasury Bill, Zero Coupon, due 11/19/18		29,123,603


		TOTAL FOREIGN GOVERNMENT OBLIGATIONS (COST $143,593,198)		143,477,746


		Money Market Funds — 0.1%
	10,938,992	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% ^(j) (k)		10,938,992


		Repurchase Agreements — 1.4%
	149,999,882	Nomura Securities International Inc. Repurchase Agreement, dated 8/31/18, maturing on 9/04/18 with a maturity value of $150,032,382 and an effective yield of 1.95%, collateralized by a U.S. Treasury Note with maturity date 11/15/26 and a market value of $152,918,145.		149,999,882


		TOTAL REPURCHASE AGREEMENTS (COST $149,999,882)		149,999,882


		U.S. Government — 1.0%
	50,490,000	U.S. Treasury Bill, 1.91%, due 11/01/18 ^(j) (l)		50,326,497
	4,000,000	U.S. Treasury Note, 1.00%, due 11/30/18		3,989,351
	52,350,000	U.S. Treasury Note, 1.38%, due 11/30/18		52,256,811

		Total U.S. Government		106,572,659


		U.S. Government Agency — 0.1%
	5,500,000	Federal Home Loan Banks, Zero Coupon, due 09/10/18		5,498,223

		TOTAL U.S. GOVERNMENT AGENCY (COST $5,497,367)		5,498,223


		TOTAL SHORT-TERM INVESTMENTS (COST $416,640,811)		416,487,502


		See accompanying notes to the financial statements.		69

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)

PURCHASED OPTIONS — 0.0%


Description	Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Value ($)
Equity Options — Puts — 0.0%
Mondelez International, Inc.		35.00		09/21/18		3,100	USD	13,243,200	12,400
QUALCOMM, Inc.		50.00		09/21/18		1,200	USD	8,245,200	1,200
Twitter, Inc.		29.00		09/21/18		2,400	USD	8,443,200	14,400
Allergan Plc ^(c)		180.00		10/19/18		400	USD	7,668,400	77,200
NXP Semiconductors NV ^(c)		90.00		10/19/18		1,414	USD	13,169,996	332,290
Tesla, Inc. ^(c)		365.00		10/19/18		180	USD	5,429,880	1,179,000
Texas Instruments, Inc.		110.00		10/19/18		1,766	USD	19,849,840	393,818
Walt Disney Co. (The)		95.00		10/19/18		315	USD	3,528,630	4,095
Colgate-Palmolive Co. ^(c)		60.00		11/16/18		1,200	USD	7,969,200	54,000
Williams Cos, Inc. (The) ^(c)		26.00		11/16/18		2,000	USD	5,918,000	44,000
Twenty-First Century Fox, Inc. ^(c)^(g)		40.00		01/18/19		9,406	USD	42,703,240	799,510
Walt Disney Co. (The)		95.00		04/18/19		1,909	USD	21,384,618	263,442

Total Equity Options — Puts									3,175,355

TOTAL PURCHASED OPTIONS (COST $4,676,874)

3,175,355

TOTAL INVESTMENTS — 100.4%
(Cost $10,493,419,330)

10,494,690,927


Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (3.3)%

			Common Stocks — (3.3)%
			Brazil — (0.1)%
	(335,100	)	Pagseguro Digital Ltd – Class A ^*		(9,681,039	)


			Canada — (0.2)%
	(70,500	)	Agnico Eagle Mines Ltd		(2,433,660	)
	(102,650	)	Algonquin Power & Utilities Corp ^*		(1,062,428	)
	(617,600	)	Barrick Gold Corp		(6,435,392	)
	(110,900	)	Cameco Corp		(1,154,469	)
	(266,500	)	Enbridge Inc		(9,106,305	)

			Total Canada		(20,192,254	)


			China — (0.4)%
	(205,704	)	Alibaba Group Holding Ltd Sponsored ADR ^*		(36,000,257	)


			Denmark — (0.0)%
	(2,044	)	AP Moller – Maersk A/S – Class A		(2,951,578	)


			France — (0.1)%
	(62,754	)	DBV Technologies SA ^*		(2,785,582	)
	(23,091	)	Iliad SA ^*		(2,980,941	)
	(4,304	)	Wendel SA ^*		(637,249	)

			Total France		(6,403,772	)


			Germany — (0.2)%
	(1,196,151	)	Deutsche Bank AG (Registered)		(13,484,753	)


Shares			Description	Value ($)
			Germany — continued
	(371,655	)	thyssenkrupp AG		(8,587,959	)

			Total Germany		(22,072,712	)


			Israel — (0.0)%
	(21,100	)	CyberArk Software Ltd ^*		(1,591,362	)


			Italy — (0.2)%
	(45,768	)	Banco BPM SPA ^*		(103,233	)
	(413,476	)	Leonardo SPA ^*		(4,630,512	)
	(1,934,147	)	Saipem SPA ^*		(10,343,521	)

			Total Italy		(15,077,266	)


			Japan — (0.5)%
	(64,100	)	Acom Co Ltd		(261,653	)
	(52	)	Advance Residence Investment Corp (REIT)		(132,777	)
	(50,000	)	Chugoku Electric Power Co Inc (The)		(624,231	)
	(1,522	)	Daiwa House Investment Corp (REIT)		(3,529,769	)
	(3,100	)	FP Corp		(174,558	)
	(125	)	GLP J-Reit		(125,200	)
	(19,200	)	Hokkaido Electric Power Co Inc		(130,877	)
	(168	)	Hulic Reit Inc (REIT)		(246,892	)
	(1,479	)	Invincible Investment Corp (REIT)		(640,650	)
	(7,800	)	Japan Lifeline Co Ltd		(149,372	)
	(17,500	)	Kansai Paint Co Ltd		(345,867	)
	(4,900	)	KDDI Corp		(129,555	)
	(60,600	)	Keikyu Corp		(1,047,138	)


70		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares			Description	Value ($)
			Japan — continued
	(145,400	)	Kyushu Electric Power Co Inc		(1,626,891	)
	(2,500	)	Lawson Inc		(146,591	)
	(16,000	)	Makino Milling Machine Co Ltd		(147,676	)
	(122,900	)	Mitsui OSK Lines Ltd		(3,301,322	)
	(30,300	)	Murata Manufacturing Co Ltd		(5,224,791	)
	(6,400	)	Nifco Inc		(175,579	)
	(16,700	)	Nippon Paint Holdings Co Ltd		(660,101	)
	(109	)	Nomura Real Estate Master Fund Inc (REIT)		(151,852	)
	(406,400	)	Orient Corp		(574,105	)
	(4,900	)	Royal Holdings Co Ltd		(121,458	)
	(9,400	)	Saizeriya Co Ltd		(188,330	)
	(7,400	)	Seibu Holdings Inc		(133,264	)
	(49,100	)	Seven Bank Ltd		(152,912	)
	(25,900	)	Shimano Inc		(3,996,365	)
	(690,635	)	Takeda Pharmaceutical Co Ltd		(28,772,658	)
	(90	)	United Urban Investment Corp (REIT)		(142,015	)
	(979,360	)	Yahoo Japan Corp		(3,363,814	)
	(15,400	)	Yoshinoya Holdings Co Ltd		(259,348	)

			Total Japan		(56,677,611	)


			Netherlands — (0.0)%
	(433,628	)	Altice NV ^*		(1,304,877	)


			Singapore — (0.0)%
	(232,900	)	NetLink NBN Trust		(134,094	)
	(63,200	)	UOL Group Ltd		(318,148	)

			Total Singapore		(452,242	)


			Spain — (0.1)%
	(1,723,272	)	Bankia SA		(6,455,519	)
	(128,274	)	Cellnex Telecom SA		(3,289,903	)
	(171,909	)	Ferrovial SA		(3,712,110	)

			Total Spain		(13,457,532	)


Shares			Description	Value ($)
			Switzerland — (0.1)%
	(561,479	)	Credit Suisse Group AG (Registered)		(8,407,905	)
	(98,054	)	LafargeHolcim Ltd (Registered) ^*		(4,769,818	)

			Total Switzerland		(13,177,723	)


			United Kingdom — (0.1)%
	(77,059	)	Capita Plc		(148,690	)
	(2,124,934	)	Cobham Plc ^*		(3,434,448	)
	(300,904	)	GVC Holdings Plc		(4,298,842	)
	(2,202,087	)	Melrose Industries Plc		(6,373,253	)

			Total United Kingdom		(14,255,233	)


			United States — (1.3)%
	(180,519	)	Altice USA, Inc. – Class A		(3,234,900	)
	(36,535	)	Cigna Corp.		(6,881,002	)
	(297,620	)	Conagra Brands, Inc.		(10,937,535	)
	(214,192	)	CVS Health Corp.		(16,115,806	)
	(26,802	)	International Flavors & Fragrances, Inc.		(3,492,033	)
	(91,722	)	KLA-Tencor Corp.		(10,659,014	)
	(30	)	Lennar Corp. – A Shares		(1,265	)
	(282,268	)	Marathon Petroleum Corp.		(23,227,834	)
	(72	)	Marvell Technology Group Ltd.		(1,489	)
	(92,521	)	Oclaro, Inc. ^*		(882,650	)
	(268,546	)	Praxair, Inc.		(42,481,292	)
	(139,006	)	United Technologies Corp.		(18,307,090	)

			Total United States		(136,221,910	)

			TOTAL COMMON STOCKS (PROCEEDS $349,350,301)		(349,517,368	)


			TOTAL SECURITIES SOLD SHORT (PROCEEDS $349,350,301)		(349,517,368	)
			Other Assets and Liabilities (net) — 2.9%		306,742,750


			TOTAL NET ASSETS — 100.0%		$10,451,916,309

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

Forward Currency Contracts



Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
10/05/2018	JPM		AUD	6,240,000		USD	4,612,640		126,891
10/05/2018	MSCI		AUD	92,020,000		USD	67,561,084		1,410,664
10/15/2018	GS		AUD	760,174		USD	561,478		14,982
10/15/2018	MSCI		AUD	26,530,224		USD	19,638,044		565,234
10/15/2018	SSB		AUD	2,488,918		USD	1,842,712		53,407
09/05/2018	MSCI		BRL	63,953,694		USD	17,097,632		1,396,154
10/02/2018	MSCI		BRL	28,932,473		USD	7,007,647		(74,121	)



Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
09/04/2018	GS		CAD	41,069,768		USD	31,340,684		(130,403	)
09/11/2018	JPM		CAD	8,992,000		USD	6,946,859		55,645
10/12/2018	BOA		CHF	4,829,862		USD	4,888,121		(110,959	)
10/12/2018	MSCI		CHF	102,610,134		USD	104,060,028		(2,145,116	)
10/12/2018	SSB		CHF	185,307		USD	187,506		(4,293	)
09/19/2018	BCLY		EUR	2,730,000		USD	3,214,125		42,045
09/19/2018	GS		EUR	7,859,000		USD	9,182,399		50,760


		See accompanying notes to the financial statements.		71

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

Forward Currency Contracts — continued



Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
09/19/2018	MSCI		EUR	165,879,952		USD	193,930,478		1,188,927
09/19/2018	SSB		EUR	16,696,056		USD	19,567,094		167,379
09/10/2018	BCLY		GBP	8,700,000		USD	11,705,263		424,096
09/14/2018	JPM		GBP	37,800,000		USD	50,759,125		1,736,729
09/19/2018	BCLY		GBP	1,996,459		USD	2,624,982		35,254
09/19/2018	GS		GBP	18,058,350		USD	23,779,599		355,024
09/19/2018	JPM		GBP	60,685,470		USD	80,677,448		1,958,662
09/19/2018	SSB		GBP	470,822		USD	618,464		7,732
11/19/2018	JPM		GBP	22,500,000		USD	28,719,364		(544,353	)
09/07/2018	GS		JPY	1,057,519,452		USD	9,570,000		51,050
09/07/2018	MSCI		JPY	1,152,106,851		USD	10,460,000		89,649
09/18/2018	BCLY		JPY	4,859,218,327		USD	43,890,295		118,831
09/18/2018	GS		JPY	3,458,472		USD	31,232		78
09/18/2018	JPM		JPY	13,920,491,910		USD	126,905,718		1,511,000
09/18/2018	MSCI		JPY	5,100,000,000		USD	46,531,679		591,272
09/18/2018	SSB		JPY	86,550,104		USD	782,462		2,825
09/25/2018	MSCI		JPY	13,140,000,000		USD	120,150,325		1,725,959
10/01/2018	BCLY		JPY	11,100,000,000		USD	100,902,211		819,691
10/09/2018	MSCI		JPY	5,533,000,000		USD	50,337,524		420,475
10/15/2018	JPM		JPY	2,365,000,000		USD	21,149,554		(196,093	)
10/22/2018	GS		JPY	1,100,000,000		USD	9,869,011		(64,266	)
11/13/2018	JPM		JPY	10,350,000,000		USD	93,961,243		350,686
11/19/2018	JPM		JPY	3,315,000,000		USD	30,222,608		227,614
10/12/2018	BOA		NOK	144,724,782		USD	18,024,931		741,940
10/12/2018	GS		NOK	25,228,402		USD	3,092,260		79,492
09/05/2018	BCLY		NZD	24,230,000		USD	17,018,745		988,173
09/05/2018	JPM		NZD	2,080,000		USD	1,410,529		34,400
09/05/2018	MSCI		NZD	6,330,000		USD	4,308,875		120,946



Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
12/05/2018	MSCI		NZD	32,640,000		USD	21,628,733		29,208
10/12/2018	BCLY		SEK	136,414,718		USD	15,689,726		729,882
10/12/2018	GS		SEK	3,551,273		USD	403,769		14,320
10/12/2018	SSB		SEK	54,036,947		USD	6,172,273		246,341
09/04/2018	BCLY		USD	3,490,000		CAD	4,552,058		(1,833	)
09/04/2018	JPM		USD	2,870,000		CAD	3,774,197		22,105
09/04/2018	MSCI		USD	25,331,806		CAD	32,743,513		(240,992	)
09/05/2018	MSCI		USD	16,360,023		BRL	63,953,694		(658,524	)
09/05/2018	MSCI		USD	21,624,163		NZD	32,640,000		(29,535	)
09/07/2018	GS		USD	8,830,000		JPY	988,860,611		70,938
09/07/2018	JPM		USD	14,738,901		JPY	1,615,399,211		(198,360	)
09/07/2018	MSCI		USD	6,110,000		JPY	679,418,436		5,585
09/14/2018	BCLY		USD	2,351,962		GBP	1,790,000		(30,531	)
09/14/2018	GS		USD	19,841,965		GBP	15,250,000		(64,410	)
09/14/2018	JPM		USD	5,021,054		GBP	3,870,000		(2,094	)
09/14/2018	MSCI		USD	4,018,309		GBP	3,020,000		(101,705	)
09/18/2018	BCLY		USD	11,080,167		JPY	1,214,803,800		(137,307	)
09/19/2018	GS		USD	15,631,570		EUR	13,570,469		136,418
09/19/2018	JPM		USD	16,766,444		EUR	14,520,930		105,918
09/19/2018	MSCI		USD	11,550,281		GBP	8,712,251		(249,094	)
10/05/2018	BCLY		USD	1,342,747		AUD	1,820,000		(34,403	)
10/05/2018	JPM		USD	52,367,149		NOK	426,265,978		(1,476,646	)
10/12/2018	BOA		USD	1,700,000		CHF	1,677,244		36,007
11/05/2018	BCLY		USD	78,035,881		SEK	690,137,459		(2,202,517	)
12/03/2018	GS		USD	22,657,993		CAD	29,535,827		12,330

								$	10,175,163

Reverse Repurchase Agreements


Average balance outstanding	$	(6,858,847	)
Average interest rate		(1.40	)%
Maximum balance outstanding	$	(105,632,950	)

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
1,900	Mini MSCI Emerging Markets	September 2018		100,215,500	$	(7,438,336	)

Sales
9,305	S&P 500 E-Mini	September 2018		1,350,202,025	$	(54,588,163	)

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.


72		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

Written Options

Equity Options


Description	Exercise Price	Expiration Date		Number of Contracts			Notional Amount				Value ($)
Equity Options – Calls
Walt Disney Co. (The)	115.00		04/18/19		(1,561	)		USD	(6,151,300	)		(944,405	)
Equity Options – Puts
Twenty-First Century Fox, Inc. ^(c)	49.00		10/19/18		(1,370	)		USD	(17,486,322	)		(616,500	)

			TOTAL WRITTEN EQUITY OPTIONS (Premiums $1,184,920)									(1,560,905)

Swap Contracts

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	%		27.07%		N/A		12/20/2018		Quarterly		926,914		223,979		(702,935	)
Sears Roebuck Acceptance Corp.	GS	USD	1,365,000		0.00	%		60.50%		N/A		12/20/2018		At Maturity		—		42,770		42,770
Sears Roebuck Acceptance Corp.	GS	USD	6,000,000		5.00	%		27.02%		N/A		12/20/2019		Quarterly		960,000		1,128,166		168,166
Sears Roebuck Acceptance Corp.	MSCI	USD	685,000		0.00	%		60.50%		N/A		06/20/2021		Quarterly		—		78,514		78,514
Sears Roebuck Acceptance Corp.	MSCI	USD	685,000		0.00	%		60.50%		N/A		12/20/2021		At Maturity		—		82,002		82,002

															$	1,886,914	$	1,555,431	$	(331,483	)

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)

(2)	The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.


		See accompanying notes to the financial statements.		73

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 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) ($)
2.37%	3 Month NZD Bank Bill Rate	NZD	68,509,500		09/19/2023		Quarterly		—			(102,512	)		(102,512	)
2.41%	3 Month NZD Bank Bill Rate	NZD	68,509,500		09/19/2023		Quarterly		—			(180,505	)		(180,505	)
3 Month NZD Bank Bill Rate	2.37%	NZD	422,286,000		09/19/2023		Quarterly		4,881			618,703			613,822
3 Month NZD Bank Bill Rate	3.16%	NZD	28,006,000		09/19/2028		Quarterly		—			533,598			533,598
3 Month NZD Bank Bill Rate	3.02%	NZD	132,589,000		09/19/2028		Quarterly		(19,648	)		1,432,066			1,451,714
3 Month NZD Bank Bill Rate	2.91%	NZD	29,150,000		09/19/2028		Quarterly		—			128,500			128,500
3 Month NZD Bank Bill Rate	2.88%	NZD	29,150,000		09/19/2028		Quarterly		—			81,068			81,068
3 Month NZD Bank Bill Rate	2.93%	NZD	76,675,000		09/19/2028		Quarterly		126,397			427,120			300,723
3 Month NZD Bank Bill Rate	2.92%	NZD	36,927,000		09/19/2028		Quarterly		38,460			184,244			145,784
2.92%	3 Month USD LIBOR	USD	22,735,000		09/20/2028		Quarterly		—			7,395			7,395
2.94%	3 Month USD LIBOR	USD	21,219,000		09/20/2028		Quarterly		—			(29,375	)		(29,375	)
2.95%	3 Month USD LIBOR	USD	23,578,000		09/20/2028		Quarterly		—			(40,909	)		(40,909	)
3 Month CAD LIBOR	2.71%	CAD	105,101,000		09/20/2028		Semi-Annual		34,688			610,445			575,757
3 Month CAD LIBOR	2.74%	CAD	36,200,000		09/20/2028		Semi-Annual		—			274,825			274,825
3 Month CAD LIBOR	2.77%	CAD	26,400,000		09/20/2028		Semi-Annual		—			258,380			258,380
3 Month CAD LIBOR	2.76%	CAD	50,772,000		09/20/2028		Semi-Annual		—			460,340			460,340
3 Month CAD LIBOR	2.70%	CAD	17,694,000		09/20/2028		Semi-Annual		—			93,059			93,059
3 Month CAD LIBOR	2.61%	CAD	50,049,000		09/20/2028		Semi-Annual		—			(52,657	)		(52,657	)
3 Month USD LIBOR	3.04%	USD	37,458,000		09/20/2028		Quarterly		(7,340	)		385,188			392,528
3 Month USD LIBOR	2.98%	USD	4,734,000		09/20/2028		Quarterly		—			20,665			20,665
3 Month USD LIBOR	2.99%	USD	56,848,000		09/20/2028		Quarterly		—			175,835			175,835
3 Month USD LIBOR	2.96%	USD	40,754,000		09/20/2028		Quarterly		—			127,879			127,879
3 Month USD LIBOR	3.00%	USD	25,386,000		09/20/2028		Quarterly		—			174,248			174,248
3.02%	3 Month USD LIBOR	USD	10,034,000		09/20/2028		Quarterly		—			(81,189	)		(81,189	)
1.23%	3 Month SEK STIBOR	SEK	169,636,000		12/19/2028		Quarterly		—			(40,568	)		(40,568	)
3 Month SEK STIBOR	1.20%	SEK	98,380,000		12/19/2028		Quarterly		—			(2,235	)		(2,235	)
1.72%	6 Month GBP LIBOR	GBP	49,939,000		06/21/2028		Semi-Annual		4,591			59,425			54,834
2.76%	6 Month AUD BBSW	AUD	94,793,000		09/19/2028		Semi-Annual		(76,743	)		(418,642	)		(341,899	)
2.78%	6 Month AUD BBSW	AUD	56,647,000		09/19/2028		Semi-Annual		(60,039	)		(323,856	)		(263,817	)
2.84%	6 Month AUD BBSW	AUD	215,875,000		09/19/2028		Semi-Annual		13,244			(2,076,554	)		(2,089,798	)
2.85%	6 Month AUD BBSW	AUD	26,122,000		09/19/2028		Semi-Annual		—			(266,564	)		(266,564	)
2.88%	6 Month AUD BBSW	AUD	14,242,000		09/19/2028		Semi-Annual		—			(174,047	)		(174,047	)
2.88%	6 Month AUD BBSW	AUD	36,556,000		09/19/2028		Semi-Annual		—			(444,362	)		(444,362	)
0.93%	6 Month EURIBOR	EUR	11,804,000		09/20/2028		Semi-Annual		—			(66,236	)		(66,236	)
0.94%	6 Month EURIBOR	EUR	11,803,000		09/20/2028		Semi-Annual		—			(73,623	)		(73,623	)
1.01%	6 Month EURIBOR	EUR	12,497,000		09/20/2028		Semi-Annual		—			(176,149	)		(176,149	)
1.09%	6 Month EURIBOR	EUR	16,246,000		09/20/2028		Semi-Annual		—			(393,650	)		(393,650	)
1.58%	6 Month GBP LIBOR	GBP	81,459,000		09/20/2028		Semi-Annual		—			(322,674	)		(322,674	)
1.61%	6 Month GBP LIBOR	GBP	151,620,000		09/20/2028		Semi-Annual		—			(1,057,627	)		(1,057,627	)
6 Month CHF LIBOR	0.45%	CHF	37,710,000		09/20/2028		Semi-Annual		—			191,730			191,730
6 Month CHF LIBOR	0.44%	CHF	29,603,000		09/20/2028		Semi-Annual		—			116,703			116,703
6 Month EURIBOR	0.98%	EUR	25,356,000		09/20/2028		Semi-Annual		—			277,995			277,995
6 Month EURIBOR	1.00%	EUR	13,330,000		09/20/2028		Semi-Annual		—			186,373			186,373
6 Month EURIBOR	1.00%	EUR	29,782,000		09/20/2028		Semi-Annual		19,154			401,134			381,980
6 Month EURIBOR	0.96%	EUR	33,701,000		09/20/2028		Semi-Annual		—			296,568			296,568
6 Month EURIBOR	0.94	EUR	1,445,000		09/20/2028		Semi-Annual		—			9,178			9,178
2.77%	6 Month AUD BBSW	AUD	26,955,000		12/19/2028		Semi-Annual		—			(83,674	)		(83,674	)
2.83%	6 Month AUD BBSW	AUD	27,973,000		12/19/2028		Semi-Annual		—			(192,676	)		(192,676	)
6 Month EURIBOR	0.97%	EUR	16,098,000		12/20/2028		Semi-Annual		—			62,583			62,583

								$	77,645		$	994,963		$	917,318


74		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

OTC Total Return Swaps


Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket(m)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	21,710,774		05/18/2020		Monthly		—		(125,547	)		(125,547	)
Total Return on Equity Basket(m)	1 Month Federal Funds Rate minus 1.00%	MORD		USD	15,452,438		05/18/2020		Monthly		—		(1,170,848	)		(1,170,848	)
Total Return on Equity Basket(m)	1 Month Federal Funds Rate minus 0.75%	MORD		USD	706,578		05/18/2020		Monthly		—		(76,915	)		(76,915	)
Total Return on Equity Basket(m)	1 Month Federal Funds Rate minus 1.75%	MORD		USD	9,945,838		05/18/2020		Monthly		—		(268,259	)		(268,259	)
Total Return on Equity Basket(m)	1 Month Federal Funds Rate minus 0.75%	MORD		USD	1,930,189		05/18/2020		Monthly		—		(149,891	)		(149,891	)
Total Return on Equity Basket(m)	1 Month Federal Funds Rate minus 0.90%	MORD		USD	816,294		05/18/2020		Monthly		—		4,498			4,498
Total Return on Equity Basket(m)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	713,683		05/18/2020		Monthly		—		(51,895	)		(51,895	)

										$	—	$	(1,838,857	)	$	(1,838,857	)

Notes to Schedule of Investments:

†	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 (Note 4).

(b)	All or a portion of this security is out on loan (Note 2).

(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 using significant unobservable inputs (Note 2).

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

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

(h)	Security is in default.

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

(j)	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.

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

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

(m)	Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.


		See accompanying notes to the financial statements.		75

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		97.7	%
Preferred Stocks		0.8
Short-Term Investments		1.0
Investment Funds		0.2
Swap Contracts		0.0	^
Futures Contracts		(0.1	)
Other		0.4

		100.0	%


Country/Region Summary¤	% of Investments
Japan		25.1	%
United Kingdom		14.1
Germany		11.1
France		7.1
Sweden		5.2
Other Emerging		5.1	†
Switzerland		4.7
Australia		4.5
Italy		4.2
Norway		3.4
Hong Kong		3.1
Netherlands		2.5
Other Developed		2.4	‡
China		2.3
Taiwan		2.2
Denmark		1.5
Russia		1.5

		100.0	%

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

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

^	Rounds to 0.0%.

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%

		Affiliated Issuers— 100.0%
	1,994,003	GMO Emerging Markets Fund, Class VI		63,987,561
	25,654,645	GMO International Equity Fund, Class IV		571,072,393


		TOTAL MUTUAL FUNDS (COST $648,982,688)		635,059,954


		SHORT-TERM INVESTMENTS — 0.0%

		Money Market Funds— 0.0%
	241,796	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87%^(a)		241,796


		TOTAL SHORT-TERM INVESTMENTS (COST $241,796)		241,796


		TOTAL INVESTMENTS — 100.0% (Cost $649,224,484)		635,301,750
		Other Assets and Liabilities (net) — (0.0%)		(59,275	)


		TOTAL NET ASSETS — 100.0%		$635,242,475

Notes to Schedule of Investments:

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


		See accompanying notes to the financial statements.		77

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		96.2	%
Short-Term Investments		1.4
Preferred Stocks		1.3
Investment Funds		0.7
Swap Contracts		0.0	^
Futures Contracts		(0.2	)
Other		0.6

		100.0	%


Country/Region Summary¤	% of Investments
Japan		18.0	%
United Kingdom		10.3
Germany		8.0
China		7.7
Taiwan		7.5
France		5.1
Russia		4.9
Other Emerging		4.9	†
Sweden		3.8
Switzerland		3.4
Australia		3.2
Italy		3.0
Korea		2.9
Norway		2.4
Hong Kong		2.2
Thailand		2.1
South Africa		1.8
Netherlands		1.8
Other Developed		1.7	‡
India		1.6
Turkey		1.5
Mexico		1.1
Denmark		1.1

		100.0	%

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

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

^	Rounds to 0.0%.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)

		MUTUAL FUNDS — 100.0%

		Affiliated Issuers— 100.0%
	10,984,300	GMO Emerging Markets Fund, Class VI		352,486,183
	29,993,948	GMO International Equity Fund, Class IV		667,665,290


		TOTAL MUTUAL FUNDS (COST $1,028,871,672)		1,020,151,473


		SHORT-TERM INVESTMENTS — 0.0%

		Money Market Funds— 0.0%
	356,878	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% ^(a)		356,878


		TOTAL SHORT-TERM INVESTMENTS (COST $356,878)		356,878


		TOTAL INVESTMENTS — 100.0% (Cost $1,029,228,550)		1,020,508,351
		Other Assets and Liabilities (net) — (0.0%)		(62,735	)


		TOTAL NET ASSETS — 100.0%		$1,020,445,616

Notes to Schedule of Investments:

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


		See accompanying notes to the financial statements.		79

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary^(a)

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Debt Obligations		65.2	%
Short-Term Investments		35.8
Forward Currency Contracts		(0.5	)
Futures Contracts		(2.0	)#
Other		1.5

		100.0	%

(a)	GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO SGM Major Markets Fund. As such, the holdings of GMO Alternative Asset SPC Ltd. have been included with GMO SGM Major Markets Fund.

#	Some or all is comprised of commodity exposure. See Consolidated Schedule of Investments.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		DEBT OBLIGATIONS— 65.2%

		United States— 65.2%
		U.S. Government— 44.8%
	67,858,800	U.S. Treasury Note, 0.75%, due 10/31/18		67,723,085
	38,862,300	U.S. Treasury Note, 1.25%, due 11/30/18		38,781,696
	30,258,800	U.S. Treasury Note, 1.50%, due 12/31/18^(a)		30,192,716
	33,100,000	U.S. Treasury Note, 1.25%, due 01/31/19		32,965,531
	22,207,000	U.S. Treasury Note, 0.75%, due 02/15/19		22,058,664
	41,500,000	U.S. Treasury Note, 1.13%, due 05/31/19^(a)		41,117,422
	27,758,800	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.14%, due 10/31/19		27,775,928
	209,991,300	U.S. Treasury Note, Variable Rate, USBM + 0.00%, 2.09%, due 01/31/20^(b)		209,968,688
	227,697,400	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.12%, due 04/30/20^(b)		227,730,662
	70,258,800	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.13%, due 07/31/20^(a)		70,250,746

		Total U.S. Government		768,565,138


		U.S. Government Agency— 20.4%
	27,760,000	Federal Home Loan Banks, 0.88%, due 10/01/18		27,732,823
	29,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.25%, 2.09%, due 10/18/18		29,000,817
	13,880,000	Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – .09%, 1.98%, due 01/14/19		13,880,920
	55,520,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – .16%, 2.18%, due 01/28/19		55,548,963
	9,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.23%, 2.11%, due 02/13/19		9,000,769
	13,880,000	Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – .08%, 1.99%, due 04/26/19		13,880,723
	19,500,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.19%, 2.16%, due 05/10/19		19,506,638
	15,000,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.16%, 2.17%, due 06/12/19		15,008,036
	75,000,000	Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – 0.09%, 1.98%, due 07/12/19		74,993,262
	15,500,000	Federal Home Loan Banks, Variable Rate, 1 mo. USD LIBOR – 0.07%, 2.00%, due 01/23/20		15,494,024
	30,530,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – 0.16%, 2.18%, due 02/07/20		30,534,918


	Par Value† / Shares		Description	Value ($)
			United States — continued
			U.S. Government Agency— continued
		44,410,000	Federal Home Loan Banks, Variable Rate, 3 mo. USD LIBOR – .23%, 2.11%, due 05/04/20		44,384,861

			Total U.S. Government Agency		348,966,754

			Total United States		1,117,531,892


			TOTAL DEBT OBLIGATIONS (COST $1,117,596,937)		1,117,531,892


			SHORT-TERM INVESTMENTS— 35.8%

			Foreign Government Obligation— 1.0%
JPY		1,911,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/26/18		17,204,641

			Total Foreign Government Obligations		17,204,641


			Money Market Funds— 2.1%
		6,345,378	SSgA USD Liquidity Fund-Class S2 Shares ^(a)		6,345,378
		29,610,205	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 1.88% ^(c)		29,610,205

			Total Money Market Funds		35,955,583


			U.S. Government— 32.7%
		9,000,000	U.S. Treasury Bill, 1.84%, due 10/18/18^(a) (d)		8,978,220
		57,000,000	U.S. Treasury Bill, 1.88%, due 10/25/18^(a) (d)		56,839,307
		71,500,000	U.S. Treasury Bill, 1.96%, due 11/08/18^{(a) (b) (d)}		71,236,642
		11,686,400	U.S. Treasury Bill, 0.64%, due 09/06/18^(d)		11,685,175
		14,500,000	U.S. Treasury Bill, 1.34%, due 09/13/18^(a) (d)		14,493,085
		11,000,000	U.S. Treasury Bill, 1.55%, due 09/20/18^(a) (d)		10,990,662
		34,976,000	U.S. Treasury Bill, 1.65%, due 09/27/18^(d)		34,933,487
		71,284,700	U.S. Treasury Bill, 1.73%, due 10/04/18^(a) (d)		71,169,753
		136,573,100	U.S. Treasury Bill, 1.80%, due 10/11/18^(d)		136,297,631
		56,000,000	U.S. Treasury Bill, 2.10%, due 01/03/19^(a) (d)		55,600,498
		9,438,000	U.S. Treasury Bill, 2.18%, due 01/31/19^(d)		9,352,648
		23,872,500	U.S. Treasury Bill, 2.18%, due 02/07/19^(d)		23,646,338


		See accompanying notes to the financial statements.		81

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value†		Description	Value ($)
		U.S. Government — continued
	55,517,500	U.S. Treasury Note, 1.00%, due 11/30/18		55,369,707

		Total U.S. Government		560,593,153

		TOTAL SHORT-TERM INVESTMENTS (COST $613,677,979)		613,753,377

		TOTAL INVESTMENTS — 101.0% (Cost $1,731,274,916)		1,731,285,269
		Other Assets and Liabilities (net) — (1.0%)		(16,495,358	)


		TOTAL NET ASSETS — 100.0%		$1,714,789,911

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

Forward Currency Contracts



Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
09/19/2018	SSB		AUD	102,750,000		USD	75,897,829		2,032,504
10/16/2018	UBS		AUD	79,774,269		USD	58,004,270		653,543
10/22/2018	UBS		AUD	157,162,355		USD	114,111,657		1,122,009
11/16/2018	MSCI		AUD	70,000,000		USD	50,879,360		547,492
09/24/2018	MSCI		CHF	85,373,867		USD	85,768,832		(2,455,763	)
09/25/2018	UBS		CHF	57,000,000		USD	57,618,127		(1,290,301	)
10/22/2018	UBS		CHF	99,690,828		USD	101,005,925		(2,270,735	)
10/29/2018	DB		CHF	44,882,135		USD	45,869,710		(656,201	)
10/22/2018	UBS		EUR	124,456,632		USD	142,237,129		(2,745,264	)
11/20/2018	MSCI		EUR	110,000,000		USD	125,944,500		(2,486,926	)
09/20/2018	SSB		GBP	95,120,889		USD	121,216,829		(2,175,386	)
09/18/2018	JPM		JPY	300,000,000		USD	2,729,889		27,512
11/26/2018	BCLY		JPY	1,911,000,000		USD	17,315,760		16,126
09/17/2018	SSB		NZD	109,830,399		USD	74,327,173		1,663,605
09/11/2018	JPM		USD	1,745,917		CAD	2,275,578		(1,979	)
09/11/2018	MSCI		USD	27,486,095		CAD	35,952,915		67,200
09/18/2018	DB		USD	16,079,651		JPY	1,803,847,369		169,267
09/19/2018	JPM		USD	15,791,814		AUD	21,474,796		(353,928	)
09/19/2018	MSCI		USD	10,486,103		AUD	14,374,796		(152,293	)
09/24/2018	JPM		USD	2,069,799		CHF	2,000,000		(3,017	)
09/28/2018	UBS		USD	16,360,221		JPY	1,808,720,583		(55,553	)
10/09/2018	DB		USD	1,745,336		JPY	194,098,149		5,758
10/22/2018	MSCI		USD	60,855,453		JPY	6,717,346,597		(196,122	)
10/22/2018	SSB		USD	60,882,755		JPY	6,717,346,597		(223,425	)

								$	(8,761,877	)

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
837	Australian Government Bond 10 Yr.	September 2018		79,049,942		1,799,492
1,705	CAC40 10 Euro	September 2018		107,309,513		276,610
1,222	Crude Oil ^(a)	September 2018		85,295,600		3,282,046
17	DAX Index	September 2018		6,103,823		2,177
3,653	FTSE 100 Index	September 2018		353,289,421		(8,683,011	)
871	Hang Seng Index	September 2018		154,162,449		(1,896,827	)
5,076	Mini MSCI Emerging Markets	September 2018		267,733,620		(16,923,878	)
246	MSCI Singapore	September 2018		6,521,395		(71,363	)
776	SPI 200	September 2018		88,629,193		2,776,238
72	TOPIX	September 2018		11,246,641		(8,530	)
446	U.S. Treasury Note 10 Yr. (CBT)	December 2018		53,638,469		(45,975	)

			$	1,212,980,066	$	(19,493,021	)

Sales
1,309	Corn ^(a)	December 2018		23,889,250		2,222,803
13	Euro Bund	September 2018		2,469,540		(9,777	)
915	FTSE/JSE TOP 40	September 2018		32,587,520		(838,567	)
251	Japanese Government Bond 10 Yr. (OSE)	September 2018		340,399,161		595,948
2,955	S&P 500 E-Mini	September 2018		428,785,275		(17,462,549	)
70	Silver ^(a)	December 2018		5,094,950		78,056
1,014	UK Gilt Long Bond	December 2018		161,224,395		(64,458	)

			$	994,450,091	$	(15,478,544	)

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.


82		See accompanying notes to the financial statements.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

Notes to Schedule of Investments:

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

(a)	All or a portion of this security or derivative is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO SGM Major Markets Fund.

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

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

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


		See accompanying notes to the financial statements.		83

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary^(a)

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		73.6	%
Short-Term Investments		26.3
Written Options		(0.1	)
Other		0.2

		100.0	%


Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		1.2	%

		1.2	%


Country/Region Summary¤	Equity Investments % of Total Net Assets
United States		57.6	%
United Kingdom		7.2
Netherlands		4.8
Germany		4.0
Other Developed		0.0	‡

		73.6	%


Industry Group Summary	% of Equity Investments^#
Diversified Financials		27.3	%
Retailing		21.8
Automobiles & Components		10.0
Banks		9.8
Commercial & Professional Services		9.4
Software & Services		6.4
Capital Goods		5.5
Real Estate		5.2
Consumer Services		4.6
Energy		0.0	^

		100.0	%

(a)	GMO Special Opportunities SPC Ltd. is a 100% owned subsidiary of GMO Special Opportunities Fund. As such, the holdings of GMO Special Opportunities SPC Ltd. have been included with GMO Special Opportunities Fund.

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

The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

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

^	Rounds to 0.0%.

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		COMMON STOCKS — 73.6%

		Canada— 0.0%
	6,000,000	Jagercor Energy Corp ^{* (a) (b)}		45,977


		Germany— 4.0%
	302,500	Brenntag AG		18,234,282


		Netherlands— 4.8%
	325,000	InterXion Holding NV^*		21,427,250


		United Kingdom— 7.2%
	905,000	Metro Bank Plc^*		32,732,492


		United States— 57.6%
	710,000	Ally Financial, Inc.		19,084,800
	94,500	Berkshire Hathaway, Inc. – Class B^*		19,724,040
	223,800	Cimpress NV^*		31,332,000
	46,500	Credit Acceptance Corp.^*		21,237,015
	920,000	General Motors Co.		33,166,000
	498,772	Interactive Brokers Group, Inc. – Class A		31,003,668
	865,000	Redfin Corp. ^* (c)		17,135,650
	255,000	Shake Shack, Inc. – Class A^*		15,414,750
	536,066	Wayfair, Inc. – Class A^*		72,460,041

		Total United States		260,557,964


		TOTAL COMMON STOCKS (COST $216,949,506)		332,997,965


Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 26.3%

		Money Market Funds— 2.7%
	12,399,578	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% ^(d) (e)		12,399,578

		U.S. Government — 23.6%
	9,000,000	U.S. Treasury Bill, 1.84%, due 10/18/18^(f)		8,978,220
	46,000,000	U.S. Treasury Bill, 1.96%, due 11/08/18 ^(f) (g)		45,830,567
	52,000,000	U.S. Treasury Bill, 2.03%, due 12/13/18^(f)		51,700,277

		Total U.S. Government		106,509,064


		TOTAL SHORT-TERM INVESTMENTS (COST $118,902,976)		118,908,642


		TOTAL INVESTMENTS — 99.9% (Cost $335,852,482)		451,906,607
		Other Assets and Liabilities (net) — 0.1%		441,172


		TOTAL NET ASSETS — 100.0%		$452,347,779

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

Written Options

Equity Options


Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount			Value ($)
Equity Options — Puts
Redfin Corp.^(c)		17.50		11/16/18		(2,300	)		USD	4,556,300		(184,000	)
Redfin Corp.^(c)		19.00		09/21/18		(1,000	)		USD	1,981,000		(45,000	)

		TOTAL WRITTEN EQUITY OPTIONS – PUTS (Premiums $369,592)									$	(229,000	)

Notes to Schedule of Investments:

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

*	Non-income producing security.

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

(b)	Affiliated company (Note 10).

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

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

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

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

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


		See accompanying notes to the financial statements.		85

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2018 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		70.5	%
Debt Obligations		20.6
Short-Term Investments		9.6
Mutual Funds		1.6
Preferred Stocks		0.7
Investment Funds		0.5
Swap Contracts		0.1
Loan Participations		0.0	^
Rights/Warrants		0.0	^
Forward Currency Contracts		0.0	^
Purchased Options		0.0	^
Loan Assignments		0.0	^
Written/Credit Linked Options		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Futures Contracts		(0.1	)
Securities Sold Short		(2.2	)
Other		(1.3	)

		100.0	%


Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		14.3	%
Other Emerging		2.4	†
Euro Region		0.0	^#
Other Developed		(0.1	)‡

		16.6	%


Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		19.9	%
Japan		7.5
Other Emerging		5.2	†
United Kingdom		5.0
Taiwan		4.8
China		4.6
Germany		3.4
Russia		3.1
Other Developed		2.9	‡
France		2
Switzerland		1.8
South Korea		1.7
Sweden		1.6
Italy		1.3
Australia		1.3
Thailand		1.3
South Africa		1.1
Norway		1.0

		69.5	%

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

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

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

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

^	Rounds to 0.0%.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		COMMON STOCKS — 9.8%

		Australia— 0.1%
	11,400	Caltex Australia Ltd		247,725
	15,100	Costa Group Holdings Ltd		78,606
	29,870	Downer EDI Ltd		166,175
	2,400	Macquarie Group Ltd		224,480
	9,804	Mineral Resources Ltd		106,794
	65,069	Nine Entertainment Co Holdings Ltd		113,059
	15,300	OZ Minerals Ltd		99,478
	15,200	Sandfire Resources NL		77,507

		Total Australia		1,113,824


		Austria— 0.0%
	600	Oesterreichische Post AG		26,513
	4,007	OMV AG		212,439

		Total Austria		238,952


		Belgium— 0.0%
	4,800	AGFA-Gevaert NV ^*		21,079
	700	Orange Belgium SA		10,581

		Total Belgium		31,660


		Brazil— 0.2%
	132,900	Banco do Brasil SA		982,124
	39,300	Banco Santander Brasil SA		333,844
	72,100	Cia de Saneamento Basico do Estado de Sao Paulo		431,917
	12,700	Estacio Participacoes SA		70,280
	66,500	JBS SA		153,470
	22,600	Localiza Rent a Car SA		119,461
	16,700	Petrobras Distribuidora SA		81,100

		Total Brazil		2,172,196


		Canada— 0.3%
	9,400	Bank of Montreal		770,512
	300	Bank of Nova Scotia (The)		17,363
	1,900	BRP Inc Sub Voting		99,179
	3,100	Canadian Imperial Bank of Commerce		290,521
	800	Canfor Pulp Products Inc		16,779
	300	Constellation Software Inc		228,756
	4,800	Dollarama Inc		181,517
	4,600	Magna International Inc		249,070
	3,300	Royal Bank of Canada		262,129
	1,700	Sun Life Financial Inc		67,558
	9,900	Toronto-Dominion Bank (The)		596,655

		Total Canada		2,780,039


		China— 0.4%
	100,000	Agile Group Holdings Ltd		163,558
	2,411,000	Agricultural Bank of China Ltd – Class H		1,168,313
	85,500	BAIC Motor Corp Ltd – Class H		71,936
	36,000	China Communications Services Corp Ltd – Class H		29,826
	14,000	China Lilang Ltd		15,529


Shares		Description	Value ($)
		China — continued
	1,544,000	China Petroleum & Chemical Corp – Class H		1,553,552
	71,000	China Resources Pharmaceutical Group Ltd		113,620
	34,000	China Shineway Pharmaceutical Group Ltd		48,048
	120,000	Chongqing Rural Commercial Bank Co Ltd – Class H		64,726
	8,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		29,475
	165,200	Guangzhou R&F Properties Co Ltd – Class H		333,849
	26,000	Hua Hong Semiconductor Ltd		70,990
	7,000	JNBY Design Ltd		11,928
	23,000	Kingboard Holdings Ltd		81,878
	24,000	Powerlong Real Estate Holdings Ltd		12,274
	9,000	Shanghai Pharmaceuticals Holding Co Ltd – Class H		23,641
	101,000	Shimao Property Holdings Ltd		301,623
	44,000	SSY Group Ltd		40,939
	50,000	Tianneng Power International Ltd		62,149
	27,000	XTEP International Holdings Ltd		18,040
	4,600	YiChang HEC ChangJiang Pharmaceutical Co Ltd – Class H		21,094
	113,000	Yuzhou Properties Co Ltd		60,132

		Total China		4,297,120


		Denmark— 0.0%
	2,200	Novo Nordisk A/S Sponsored ADR		108,174
	4,900	Novo Nordisk A/S – Class B		241,208

		Total Denmark		349,382


		France— 0.2%
	1,240	Christian Dior SE		535,004
	5,500	CNP Assurances		127,120
	1,868	Coface SA		17,526
	200	L’Oreal SA		47,881
	2,700	Metropole Television SA		53,457
	1,200	Sanofi		103,048
	2,000	Sanofi ADR^(a)		85,700
	17,200	STMicroelectronics NV – NY Shares (Registered)		355,868
	19,000	STMicroelectronics NV		392,019

		Total France		1,717,623


		Germany— 0.3%
	5,481	Allianz SE (Registered)		1,168,230
	1,100	BASF SE		101,646
	6,490	Bayerische Motoren Werke AG		628,276
	228	Bechtle AG		23,746
	1,500	Covestro AG		127,712
	4,975	Daimler AG (Registered Shares)		321,735
	22,600	Deutsche Lufthansa AG (Registered)		590,483
	500	Deutsche Pfandbriefbank AG		7,319
	100	Henkel AG & Co KGaA		11,158
	400	Jenoptik AG		15,737
	1,600	RHOEN-KLINIKUM AG		42,016
	900	Software AG		44,382


		See accompanying notes to the financial statements.		87

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Germany — continued
	1,100	Volkswagen AG		177,066

		Total Germany		3,259,506


		Hong Kong— 0.1%
	22,600	Champion (REIT)		16,623
	1,900	CK Asset Holdings Ltd		13,550
	18,500	Dah Sing Banking Group Ltd		38,158
	3,600	Dah Sing Financial Holdings Ltd		22,391
	19,400	Hysan Development Co Ltd		99,547
	21,400	Kerry Properties Ltd		81,156
	7,200	Luk Fook Holdings International Ltd		25,054
	12,700	Pacific Textiles Holdings Ltd		9,630
	111,400	SJM Holdings Ltd		126,128
	348,600	WH Group Ltd		263,273
	26,900	Wharf Holdings Ltd (The)		76,820
	17,600	Wharf Real Estate Investment Co Ltd		116,773
	13,400	Wheelock & Co Ltd		84,140
	8,500	Yue Yuen Industrial Holdings Ltd		23,564

		Total Hong Kong		996,807


		India— 0.1%
	47,300	Infosys Ltd Sponsored ADR ^(a)		982,421


		Ireland— 0.0%
	300	ICON Plc ^*		44,706


		Italy— 0.2%
	53,300	Enel SPA		263,512
	16,043	EXOR NV		1,043,904
	39,800	Fiat Chrysler Automobiles NV ^* (b)		680,978
	4,900	Hera SPA		15,372
	31,625	Iren SPA		74,173
	13,000	Societa Cattolica di Assicurazioni SC		105,505

		Total Italy		2,183,444


		Japan— 1.0%
	1,100	Alpine Electronics Inc		24,424
	600	AOKI Holdings Inc		8,093
	36,900	Asahi Kasei Corp		540,715
	94,000	Astellas Pharma Inc		1,593,638
	15,700	Brother Industries Ltd		322,075
	4,400	Capcom Co Ltd		102,554
	1,100	Central Japan Railway Co		220,855
	1,600	CKD Corp		23,633
	1,400	Cosmo Energy Holdings Co Ltd		51,584
	900	Daiwabo Holdings Co Ltd		53,671
	2,600	Denka Co Ltd		88,970
	500	Denso Corp		24,091
	1,200	Fancl Corp		61,643
	14,000	Fuji Electric Co Ltd		112,776


Shares		Description	Value ($)
		Japan — continued
	2,900	Fuji Media Holdings Inc		49,818
	200	Fuyo General Lease Co Ltd		12,005
	1,300	Geo Holdings Corp		18,908
	3,700	Hakuhodo DY Holdings Inc		62,425
	2,100	Hanwa Co Ltd		70,791
	100,300	Hitachi Ltd ^(b)		654,715
	1,600	House Foods Group Inc		47,436
	53,500	ITOCHU Corp		934,851
	1,300	Kakaku.com Inc		24,005
	1,400	Kanematsu Corp		20,763
	800	Keihin Corp		16,812
	400	Kohnan Shoji Co Ltd		9,224
	1,700	Kose Corp		313,452
	400	Mandom Corp		12,015
	52,100	Marubeni Corp		426,879
	83,900	Mitsubishi Chemical Holdings Corp		751,722
	18,500	Mitsubishi Electric Corp		249,740
	6,400	Mitsubishi Gas Chemical Co Inc		133,042
	4,400	Mitsui Chemicals Inc		113,719
	700	Modec Inc		21,185
	3,300	NET One Systems Co Ltd		76,433
	2,700	Nichias Corp		35,099
	18,800	Nippon Telegraph & Telephone Corp ^(b)		836,430
	2,300	Nippon Television Holdings Inc		38,049
	900	Nishi-Nippon Financial Holdings Inc		10,468
	225	Okinawa Electric Power Co (The)		4,522
	1,900	Pola Orbis Holdings Inc		66,959
	10,900	Prima Meat Packers Ltd		54,109
	800	Rengo Co Ltd		6,864
	3,300	Rohto Pharmaceutical Co Ltd		105,421
	800	Seiko Holdings Corp		22,370
	13,500	Sekisui Chemical Co Ltd		234,524
	600	Showa Denko KK ^(b)		28,498
	5,500	SKY Perfect JSAT Holdings Inc		26,032
	106,000	Sojitz Corp		368,866
	80,900	Sumitomo Chemical Co Ltd		459,173
	1,100	Sumitomo Heavy Industries Ltd		35,791
	400	Sushiro Global Holdings Ltd ^*		22,736
	1,200	T-Gaia Corp		31,579
	1,800	Tokyo Electron Ltd		306,450
	1,800	Tosoh Corp		28,242
	400	Towa Pharmaceutical Co Ltd		27,844
	9,200	Toyota Tsusho Corp		313,423
	2,000	TS Tech Co Ltd		75,462
	3,700	Ube Industries Ltd		94,144
	1,700	Valor Holdings Co Ltd		36,063
	800	Yamaha Motor Co Ltd ^(b)		20,263
	4,900	Zeon Corp		52,525

		Total Japan		10,590,568


88		See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		Malaysia— 0.0%
	56,100	Top Glove Corp Berhad		152,000


		Malta— 0.0%
	125,500	BGP Holdings Plc ^* (c)		—


		Mexico— 0.0%
	4,100	Megacable Holdings SAB de CV CPO		19,325


		Netherlands— 0.0%
	1,300	Heineken Holding NV		124,038


		New Zealand— 0.0%
	4,300	Air New Zealand Ltd		9,387


		Norway— 0.1%
	533	Aker ASA – A Shares		41,760
	2,513	Austevoll Seafood ASA		33,067
	1,100	Bakkafrost P/F		62,755
	18,500	DNB ASA		376,105
	23,082	Equinor ASA		592,058
	6,839	Storebrand ASA		60,545

		Total Norway		1,166,290


		Poland— 0.0%
	3,912	Cyfrowy Polsat SA ^*		23,724


		Portugal— 0.0%
	1,100	Altri SGPS SA		10,144
	1,400	Navigator Co SA (The)		6,995

		Total Portugal		17,139


		Singapore— 0.0%
	3,300	Venture Corp Ltd		43,567


		South Africa— 0.1%
	49,002	Absa Group Ltd		541,969
	5,509	Bidvest Group Ltd (The)		80,957
	6,061	Foschini Group Ltd (The)		72,007
	3,798	Liberty Holdings Ltd		30,049
	9,418	Mr Price Group Ltd		144,378
	2,740	Reunert Ltd		14,194
	4,273	Standard Bank Group Ltd		54,158

		Total South Africa		937,712


		South Korea— 0.1%
	1,962	LG Corp		126,045
	4,442	LG Electronics Inc		306,243
	473	Samsung SDS Co Ltd		103,066
	4,784	SK Hynix Inc		356,790
	19,000	SK Telecom Co Ltd Sponsored ADR		494,190

		Total South Korea		1,386,334


Shares		Description	Value ($)
		Spain— 0.0%
	2,550	Ebro Foods SA		54,870
	900	Ence Energia y Celulosa SA		8,441
	8,800	International Consolidated Airlines Group SA		78,988

		Total Spain		142,299


		Sweden— 0.3%
	3,869	Granges AB		45,321
	1,000	Kindred Group Plc SDR		12,298
	427	Nolato AB – B Shares		30,166
	22,366	Sandvik AB		391,509
	98,646	Svenska Cellulosa AB SCA – Class B		1,148,359
	5,623	Swedish Match AB		300,597
	47,048	Volvo AB – B Shares		810,491
	800	Wihlborgs Fastigheter AB		9,649

		Total Sweden		2,748,390


		Switzerland— 0.0%
	100	Autoneum Holding AG		23,763
	270	BKW AG		19,152
	100	Bucher Industries AG (Registered)		35,039
	2,200	GAM Holding AG^*		16,989
	100	Georg Fischer AG (Registered)		130,890
	255	Novartis AG (Registered)		21,155
	396	Roche Holding AG		99,287
	400	Vontobel Holding AG (Registered)		28,542

		Total Switzerland		374,817


		Taiwan— 0.2%
	57,000	Gigabyte Technology Co Ltd		97,258
	184,000	Hon Hai Precision Industry Co Ltd		483,375
	270,000	Inventec Corp		242,337
	59,000	Micro-Star International Co Ltd		203,953
	87,000	Novatek Microelectronics Corp		426,586
	127,000	Pou Chen Corp		140,030
	44,000	Synnex Technology International Corp		58,891

		Total Taiwan		1,652,430


		Thailand— 0.0%
	56,500	Home Product Center PCL NVDR		25,198


		United Kingdom— 0.5%
	34,305	3i Group Plc		399,453
	36	AstraZeneca Plc		2,717
	1,417	Barratt Developments Plc		9,969
	1,264	Bellway Plc		47,886
	5,967	Berkeley Group Holdings Plc (The)		282,246
	11,739	British American Tobacco Plc		567,666
	8,108	Coca-Cola HBC AG ^*		277,619
	2,891	Computacenter Plc		50,833
	500	Diageo Plc Sponsored ADR^(a)		69,705


		See accompanying notes to the financial statements.		89

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		United Kingdom— continued
	9,245	Electrocomponents Plc		89,112
	27,481	Ferrexpo Plc		55,473
	35,096	Firstgroup Plc ^*		40,507
	3,258	Galliford Try Plc		41,088
	54,407	GlaxoSmithKline Plc		1,101,898
	1,100	GlaxoSmithKline Plc Sponsored ADR		44,550
	2,638	Hunting Plc ^*		28,575
	28,954	IG Group Holdings Plc		339,996
	8,176	Inchcape Plc		73,449
	20,370	Indivior Plc ^*		71,616
	3,195	National Express Group Plc		16,427
	157	Next Plc		11,210
	3,700	Nomad Foods Ltd ^*		77,145
	35,248	Persimmon Plc		1,115,139
	15,478	Plus500 Ltd		309,221
	2,251	Royal Mail Plc		13,090
	1,033	Spectris Plc		31,581
	2,809	Vesuvius Plc		22,630
	206	Victrex Plc		8,469

		Total United Kingdom		5,199,270


		United States— 5.6%
	3,100	AbbVie, Inc. ^(b)		297,538
	25,700	ACCO Brands Corp. ^(b)		318,680
	9,300	Activision Blizzard, Inc.		670,530
	3,900	Acushnet Holdings Corp. ^(a)		105,495
	7,600	Adobe Systems, Inc. ^* (b)		2,002,676
	1,600	Adtalem Global Education, Inc. ^* (a)		76,560
	200	Aflac, Inc.		9,248
	1,600	Allstate Corp. (The)		160,912
	500	Alphabet, Inc. – Class C ^*		609,095
	3,200	American Eagle Outfitters, Inc.		83,072
	400	American Express Co.		42,392
	200	American National Insurance Co.		25,668
	5,300	Ameriprise Financial, Inc. ^(a) (b)		752,388
	1,100	Andeavor ^(a)		168,069
	1,350	Apergy Corp. ^* (a)		61,047
	4,000	Apple Hospitality REIT, Inc. ^(a)		70,600
	600	Apple, Inc.		136,578
	800	Applied Industrial Technologies, Inc.		61,640
	2,000	Arrow Electronics, Inc. ^* (a)		155,060
	6,000	Avery Dennison Corp. ^(b)		631,080
	23,600	Baxter International, Inc.		1,755,132
	4,000	BGC Partners, Inc. – Class A ^(a)		49,680
	1,200	Boise Cascade Co. ^(a)		52,440
	4,200	BorgWarner, Inc.		183,834
	1,500	Brady Corp. – Class A		60,675
	1,500	Briggs & Stratton Corp. ^(b)		30,240
	7,600	Bristol-Myers Squibb Co.		460,180
	2,300	Bruker Corp.		81,834
	4,100	Brunswick Corp.		272,322
	4,500	CA, Inc.		197,100


Shares		Description	Value ($)
		United States — continued
	200	Cabot Microelectronics Corp. ^(a)		22,546
	6,300	Cadence Design Systems, Inc. ^*		296,352
	3,700	Callaway Golf Co.		84,397
	2,700	Caterpillar, Inc.		374,895
	13,000	CBRE Group, Inc. – Class A ^*		634,530
	300	Central Garden & Pet Co. ^*		11,910
	6,000	Citizens Financial Group, Inc.		246,960
	2,800	CNO Financial Group, Inc.		60,508
	3,200	Columbia Sportswear Co.		290,240
	1,000	Cooper-Standard Holding, Inc. ^*		138,430
	9,800	CoreCivic, Inc. (REIT)		253,722
	1,300	CSG Systems International, Inc. ^(a)		48,555
	2,200	Cummins, Inc. ^(a)		311,960
	2,700	Curo Group Holdings Corp. ^*		83,322
	43,500	Dana, Inc. ^(a)		851,295
	16,100	Danaher Corp. ^(b)		1,666,994
	900	Deluxe Corp. ^(a)		53,298
	1,900	ETRADE Financial Corp. ^		111,834
	1,900	Eastman Chemical Co. ^(a)		184,357
	2,600	eBay, Inc. ^*		89,986
	22,300	Eli Lilly & Co. ^(a) (b)		2,355,995
	400	EMCOR Group, Inc.		32,040
	7,300	Enova International, Inc. ^*		242,360
	12,700	Estee Lauder Cos, Inc. (The) – Class A		1,779,524
	700	Exterran Corp. ^* (b)		19,173
	300	Federal Agricultural Mortgage Corp. – Class C ^(a)		23,121
	2,600	Federated Investors, Inc. – Class B ^(a)		60,216
	7,200	Fidelity National Financial, Inc.		288,720
	6,700	First American Financial Corp. ^(b)		380,962
	10,300	Gannett Co., Inc. ^(a)		105,884
	5,200	Gap Inc. (The) ^(a)		157,820
	2,400	Garmin Ltd. ^(a)		163,536
	14,300	General Motors Co. ^(a)		515,515
	2,300	GEO Group, Inc. (The) (REIT)		58,351
	200	Graham Holdings Co. – Class B		112,530
	700	Grand Canyon Education, Inc. ^* (a)		83,398
	600	Group 1 Automotive, Inc.		46,254
	1,800	Heidrick & Struggles International, Inc.		79,560
	5,000	Herman Miller, Inc. ^(a)		191,500
	10,100	Hewlett Packard Enterprise Co.		166,953
	12,800	Honeywell International, Inc.		2,035,968
	10,300	Host Hotels & Resorts, Inc. (REIT) ^(a)		221,759
	74,200	HP, Inc.		1,829,030
	52,900	Huntsman Corp. ^(b)		1,612,921
	1,700	IAC/InterActiveCorp ^* (b)		335,240
	600	ICF International, Inc.		48,990
	1,000	Insight Enterprises, Inc. ^*		55,140
	600	Insperity, Inc.		71,910
	15,400	Intel Corp. ^(a)		745,822
	500	Inter Parfums, Inc.		32,650
	18,300	Interpublic Group of Cos., Inc. (The) ^(a)		427,305


90		See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares		Description	Value ($)
		United States— continued
	1,400	Intuit, Inc.		307,258
	1,700	ITT, Inc. ^(a)		100,487
	300	Johnson Outdoors, Inc. – Class A		30,384
	13,400	Johnson & Johnson ^(b)		1,804,846
	1,100	Jones Lang LaSalle, Inc.		167,772
	1,900	KB Home ^(a)		47,215
	1,800	KLA-Tencor Corp. ^(a)		209,178
	22,600	Kohl’s Corp.		1,787,886
	700	Koppers Holdings, Inc. ^*		24,815
	1,100	Kulicke & Soffa Industries, Inc.		28,369
	3,200	La-Z-Boy, Inc.		106,400
	4,500	Lear Corp.		729,900
	5,000	Legg Mason, Inc. ^(a)		156,000
	1,600	Louisiana-Pacific Corp.		46,656
	600	ManpowerGroup, Inc.		56,238
	10,000	Marathon Oil Corp.		215,100
	10,200	Mastercard, Inc. – Class A ^(b)		2,198,712
	400	Materion Corp.		25,520
	2,300	McKesson Corp. ^(a)		296,125
	900	MDC Holdings, Inc. ^(a)		28,530
	26,800	Merck & Co., Inc. ^(b)		1,838,212
	3,000	Meritor, Inc. ^*		64,980
	1,000	Michaels Cos , Inc. (The) ^* (b)		16,990
	37,700	Micron Technology, Inc. ^* (b)		1,980,004
	11,500	Modine Manufacturing Co. ^*		193,775
	1,800	Moog, Inc. – Class A		142,038
	6,500	Movado Group, Inc.		276,900
	3,700	Murphy Oil Corp. ^(b)		114,071
	3,800	NetApp, Inc. ^(a)		329,878
	2,000	Netflix, Inc. ^* (a)		735,360
	1,800	New York Times Co. (The) – Class A ^(a)		41,940
	1,200	Newpark Resources, Inc. ^*		12,600
	18,500	News Corp. – Class A ^(b)		241,795
	4,200	News Corp. – Class B		57,120
	5,600	Old Republic International Corp.		124,208
	8,700	Omnicom Group, Inc. ^(a)		603,084
	5,200	ON Semiconductor Corp. ^*		110,968
	1,600	Oshkosh Corp.		112,416
	900	Penn National Gaming, Inc. ^* (a)		31,014
	17,100	PepsiCo, Inc. ^(a)		1,915,371
	58,000	Pfizer, Inc. ^(a) (b)		2,408,160
	6,200	Phillips 66 ^(a)		734,762
	6,400	Piedmont Office Realty Trust, Inc. – Class A (REIT) ^(a)		126,976
	2,500	Popular, Inc.		125,850
	1,000	PotlatchDeltic Corp. (REIT) ^(a)		48,300
	11,800	Procter & Gamble Co. (The) ^(a)		978,810
	800	Progress Software Corp. ^(b)		32,744
	10,500	Progressive Corp. (The)		709,065
	10,900	PVH Corp. ^(b)		1,560,444
	9,100	Qurate Retail, Inc. ^* (a)		189,189
	2,300	Raymond James Financial, Inc. ^(a)		213,992


Shares		Description	Value ($)
		United States— continued
	800	Regional Management Corp. ^*		26,664
	11,800	Regions Financial Corp. ^(a)		229,628
	500	Reinsurance Group of America, Inc.^(b)		71,425
	1,100	Reliance Steel & Aluminum Co.		96,679
	700	Ryman Hospitality Properties, Inc. (REIT)		62,111
	1,500	Scholastic Corp.		63,060
	400	SEACOR Holdings, Inc. ^* (a)		20,580
	3,000	Seagate Technology Plc ^(a)		160,620
	3,100	Service Corp. International ^(a)		130,076
	6,800	Shutterfly, Inc. ^* (a)		528,224
	1,100	SPX Corp. ^*		37,389
	4,200	State Street Corp.		365,022
	6,100	Stoneridge, Inc. ^*		182,573
	900	Sykes Enterprises, Inc. ^*		27,216
	3,700	Synopsys, Inc. ^* (a)		377,918
	3,400	TCF Financial Corp.		86,190
	4,900	TE Connectivity Ltd. ^(b)		449,232
	700	Tech Data Corp. ^* (a)		50,925
	600	Teledyne Technologies, Inc. ^* (a)		142,356
	3,800	Telephone & Data Systems, Inc. ^(a)		114,152
	900	Tenneco, Inc. – Class A		38,511
	4,700	Timken Co. (The)		228,655
	1,600	Tower International, Inc.		54,080
	1,900	Trinseo SA		146,585
	2,400	Triple-S Management Corp. – Class B ^* (b)		52,248
	4,200	Twenty-First Century Fox, Inc.– Class A ^(a)		190,680
	500	United States Cellular Corp. ^* (a)		21,380
	1,200	Universal Corp. ^(a)		71,760
	1,100	Universal Forest Products, Inc.		41,206
	1,600	Urban Outfitters, Inc. ^*		74,368
	3,100	US Foods Holding Corp. ^*		101,029
	42,000	Verizon Communications, Inc. ^(b)		2,283,540
	2,400	Vishay Intertechnology, Inc. ^(a)		57,120
	600	Visteon Corp. ^* (a)		66,234
	2,800	Wolverine World Wide, Inc. ^(b)		109,704
	14,600	Xenia Hotels & Resorts, Inc. (REIT) ^(b)		354,196

		Total United States		61,229,746


		TOTAL COMMON STOCKS (COST $104,620,106)		106,009,914


		PREFERRED STOCKS ^(d) — 0.1%

		Germany— 0.1%
	4,264	Henkel AG & Co KGaA		544,241
	1,000	Volkswagen AG		163,468

		Total Germany		707,709


		TOTAL PREFERRED STOCKS (COST $747,568)		707,709


		See accompanying notes to the financial statements.		91

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 7.9%

		United States— 7.9%
		U.S. Government— 7.9%
	13,307,293	U.S. Treasury Inflation Indexed Bond, 0.63%, due 04/15/23 ^(e)		13,227,587
	4,639,450	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 ^(e)		4,495,148
	9,065,787	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 ^(e)		8,971,942
	13,779,615	U.S. Treasury Inflation Indexed Bond, 0.38%, due 01/15/27 ^(e)		13,322,089
	2,314,590	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/27 ^(e)		2,240,059
	2,557,911	U.S. Treasury Inflation Indexed Bond, 0.50%, due 01/15/28 ^(b) (e)		2,486,636
	14,806,099	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 ^(e)		16,054,014
	21,714,317	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 ^(e)		25,297,462

		Total U.S. Government		86,094,937

		Total United States		86,094,937


		TOTAL DEBT OBLIGATIONS (COST $86,602,731)		86,094,937


		MUTUAL FUNDS — 84.3%

		United States— 84.3%
		Affiliated Issuers— 84.3%
	5,388,046	GMO Core Plus Bond Fund, Class IV		114,657,625
	1,098,695	GMO Emerging Country Debt Fund, Class IV		29,499,968
	7,358,839	GMO Emerging Markets Fund, Class VI		236,145,133
	11,693,640	GMO International Equity Fund, Class IV		260,300,422
	1,141,493	GMO Opportunistic Income Fund, Class VI		30,489,283
	4,269,297	GMO Quality Fund, Class VI		113,136,378
	5,065,238	GMO U.S. Equity Fund, Class VI		75,016,179
	2,287,519	GMO U.S. Treasury Fund		57,142,212


		TOTAL MUTUAL FUNDS (COST $855,373,960)		916,387,200


		SHORT-TERM INVESTMENTS— 0.1%

		Money Market Funds— 0.1%
	1,195,166	State Street Institutional Treasury Money Market Fund-Premier Class, 1.87% ^(f)		1,195,166


		TOTAL SHORT-TERM INVESTMENTS (COST $1,195,166)		1,195,166


		TOTAL INVESTMENTS — 102.2% (Cost $1,048,539,531)		1,110,394,926


Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (2.2)%

			COMMON STOCKS — (2.2)%

			Brazil— (0.0)%
	(9,300	)	Pagseguro Digital Ltd – Class A^*		(268,677	)


			Canada— (0.1)%
	(7,500	)	Agnico Eagle Mines Ltd		(258,900	)
	(13,400	)	Cameco Corp		(139,494	)
	(26,600	)	Enbridge Inc		(908,922	)

			Total Canada		(1,307,316	)


			France— (0.0)%
	(7,029	)	DBV Technologies SA^*		(312,010	)
	(526	)	Iliad SA		(67,904	)
	(524	)	Wendel SA		(77,583	)

			Total France		(457,497	)


			Germany— (0.2)%
	(145,479	)	Deutsche Bank AG (Registered)		(1,640,051	)
	(784	)	GEA Group AG		(29,780	)

			Total Germany		(1,669,831	)


			Italy— (0.0)%
	(22,754	)	Saipem SPA^*		(121,685	)


			Japan— (0.1)%
	(171	)	AEON REIT Investment Corp		(183,877	)
	(29	)	Daiwa House Investment Corp (REIT)		(67,255	)
	(3,600	)	Kansai Paint Co Ltd		(71,150	)
	(12,700	)	Mitsui OSK Lines Ltd		(341,146	)
	(3,500	)	Murata Manufacturing Co Ltd		(603,524	)
	(1,900	)	Nippon Paint Holdings Co Ltd		(75,101	)
	(17,200	)	Orient Corp		(24,298	)

			Total Japan		(1,366,351	)


			Netherlands— (0.0)%
	(13,576	)	Altice NV – Class B ^*		(40,777	)


			Portugal— (0.0)%
	(30,526	)	CTT-Correios de Portugal SA		(118,680	)


			Spain— (0.1)%
	(203,674	)	Bankia SA		(762,980	)
	(3,581	)	Cellnex Telecom SA		(91,843	)

			Total Spain		(854,823	)


			Switzerland— (0.1)%
	(16,189	)	LafargeHolcim Ltd (Registered) ^*		(787,511	)


92		See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2018 (Unaudited)


Shares			Description	Value ($)
			United Kingdom— (0.0)%
	(11,257	)	Hochschild Mining Plc		(25,216	)
	(148,909	)	Melrose Industries Plc		(430,971	)

			Total United Kingdom		(456,187	)


			United States— (1.5)%
	(8,500	)	Acacia Communications, Inc. ^*		(346,544	)
	(63,300	)	Advanced Micro Devices, Inc. ^*		(1,593,261	)
	(1,000	)	Aerie Pharmaceuticals, Inc. ^*		(61,350	)
	(20,551	)	Altice USA, Inc. – Class A		(368,274	)
	(9,500	)	BioMarin Pharmaceutical, Inc. ^*		(949,810	)
	(5,500	)	Carvana Co. ^*		(356,070	)
	(4,100	)	Charter Communications, Inc. – Class A ^*		(1,272,640	)
	(2,100	)	Chipotle Mexican Grill, Inc. ^*		(997,878	)
	(20,400	)	Clovis Oncology, Inc. ^*		(729,300	)
	(26,500	)	Envision Healthcare Corp. ^*		(1,202,040	)


Shares			Description	Value ($)
			United States — continued
	(26,600	)	Incyte Corp. ^*		(1,966,006	)
	(117,300	)	Pandora Media, Inc. ^*		(1,083,852	)
	(42,400	)	Roku, Inc. ^*		(2,522,376	)
	(4,600	)	Shake Shack, Inc. ^*		(278,070	)
	(16,300	)	TESARO, Inc. ^*		(528,935	)
	(2,700	)	Tesla, Inc. ^*		(814,482	)
	(45,300	)	Under Armour, Inc. – Class A ^*		(926,385	)

			Total United States		(15,997,273	)


			TOTAL COMMON STOCKS (PROCEEDS $20,888,520)		(23,446,608	)


			TOTAL SECURITIES SOLD SHORT (PROCEEDS $20,888,520)		(23,446,608	)
			Other Assets and Liabilities (net) — (0.0%)		(20,124	)


			TOTAL NET ASSETS — 100.0%		$1,086,928,194

A summary of outstanding financial instruments at August 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	1,643,400	05/18/2020		Monthly		—		(30,085	)		(30,085	)
Total Return on Equity Basket ^(g)		1 Month Federal Funds Rate minus 2.38%	MORD		USD	40,204	05/18/2020		Monthly		—		(4,198	)		(4,198	)
Total Return on Equity Basket ^(g)		1 Month Federal Funds Rate minus 1.75%	MORD		USD	362,270	05/18/2020		Monthly		—		(14,493	)		(14,493	)
Total Return on Equity Basket ^(g)		1 Month Federal Funds Rate minus 1.00%	MORD		USD	160,147	05/18/2020		Monthly		—		(26,363	)		(26,363	)

										$	—	$	(75,139	)	$	(75,139	)


		See accompanying notes to the financial statements.		93

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

Notes to Schedule of Investments:

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

*	Non-income producing security.

(a)	All or a portion of this security is out on loan (Note 2).

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

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

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

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

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

(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.


94		See accompanying notes to the financial statements.

GMO Trust Funds

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2018 (Unaudited)

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act

of 1933. These securities may be resold in transactions exempt from registration,

normally to qualified institutional investors.

ADR - American Depositary Receipt

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

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

CDO - Collateralized Debt Obligation

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

CLO - Collateralized Loan Obligation

CMT - Constant Maturity Treasury

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

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

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

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

Assurance.

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

GDR - Global Depositary Receipt

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

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

OJSC - Open Joint-Stock Company

OTC - Over-the-Counter

PJSC - Private Joint-Stock Company

QPSC - Qatar Private 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 August 31,

2018, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

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

UBS - UBS Securities LLC

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar


		See accompanying notes to the financial statements.		95

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2018 (Unaudited)


	Alpha Only Fund		Benchmark-Free Allocation Fund		Benchmark- Free Fund		Global Asset Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	7,476,175	$	12,552,472,324	$	1,113,718,893	$	2,191,777,680
Investments in unaffiliated issuers, at value (Note 2)^(b)		114,116,544		7,583,551		2,477,182,964		371,211
Foreign currency, at value (Note 2)^(c)		86,807		—		692,699		—
Cash		—		—		230,452		12
Receivable for investments sold		119,503		57,982,217		1,205,181		444,755
Receivable for Fund shares sold		—		7,520,063		16,049,266		—
Dividend withholding tax receivable		85,431		—		952,774		—
Dividends and interest receivable		212,330		6,754		3,914,956		267,451
Unrealized appreciation on open forward currency contracts (Note 4)		463,811		—		2,230,442		—
Receivable for variation margin on open futures contracts (Note 4)		—		—		26,900		—
Due from broker (Note 2)		—		—		35		—
Receivable for open OTC swap contracts (Note 4)		—		—		37,304		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		77,769		1,615,309		73,627		8,104

Total assets		122,638,370		12,627,180,218		3,616,315,493		2,192,869,213

Liabilities:
Investments sold short, at value (Note 2)^(d)		—		—		46,887,107		—
Payable for investments purchased		17,663		59,989,325		1,260,022		266,976
Payable for Fund shares repurchased		2,826,884		5,517,628		—		446,895
Accrued foreign capital gains tax payable (Note 2)		—		—		195,073		—
Payable to affiliate for (Note 5):
Management fee		52,494		7,001,321		—		—
Supplemental support fee – Class MF		—		438,448		—		—
Shareholder service fee		10,812		843,860		—		—
Payable to agents unaffiliated with GMO		40		2,385		765		428
Payable for variation margin on open futures contracts (Note 4)		3,675		—		—		—
Unrealized depreciation on open forward currency contracts (Note 4)		77,608		—		353,507		—
Interest and dividend payable for short sales		—		—		54,987		—
Payable for open OTC swap contracts (Note 4)		—		—		665,959		—
Payable to Trustees and related expenses		782		39,224		13,927		6,721
Accrued expenses		150,750		228,628		560,115		96,815

Total liabilities		3,140,708		74,060,819		49,991,462		817,835

Net assets	$	119,497,662	$	12,553,119,399	$	3,566,324,031	$	2,192,051,378

^(a) Cost of investments – affiliated issuers:	$	7,476,175	$	12,214,810,128	$	1,053,663,365	$	2,165,505,034
^(b) Cost of investments – unaffiliated issuers:	$	113,053,194	$	7,583,551	$	2,441,596,271	$	365,188
^(c) Cost of foreign currency:	$	87,838	$	—	$	693,837	$	—
^(d) Proceeds from securities sold short:	$	—	$	—	$	49,149,255	$	—


96		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)


	Alpha Only Fund			Benchmark-Free Allocation Fund			Benchmark- Free Fund			Global Asset Allocation Fund
Net assets consist of:
Paid-in capital	$	495,164,334		$	12,373,892,179		$	3,680,136,670		$	2,410,680,951
Accumulated undistributed (distributions in excess of) net investment income		525,103			(10,650,835	)		49,327,308			6,853,906
Accumulated net realized gain (loss)		(373,326,529	)		(147,784,141	)		(249,551,027	)		(251,762,148	)
Net unrealized appreciation (depreciation)		(2,865,246	)		337,662,196			86,411,080			26,278,669

	$	119,497,662		$	12,553,119,399		$	3,566,324,031		$	2,192,051,378

Net assets attributable to:
Class III	$	7,237,380		$	4,834,185,866		$	3,566,324,031		$	2,192,051,378

Class IV	$	112,260,282		$	2,623,225,002		$	—		$	—

Class MF	$	—		$	5,095,708,531		$	—		$	—

Shares outstanding:
Class III		357,913			178,855,534			177,373,742			67,245,141

Class IV		5,548,707			97,057,262			—			—

Class MF		—			188,397,011			—			—

Net asset value per share:
Class III	$	20.22		$	27.03		$	20.11		$	32.60

Class IV	$	20.23		$	27.03		$	—		$	—

Class MF	$	—		$	27.05		$	—		$	—


		See accompanying notes to the financial statements.		97

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)


	Global Developed Equity Allocation Fund		Global Equity Allocation Fund		Consolidated Implementation Fund		International Developed Equity Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	460,355,817	$	2,013,440,565	$	—	$	635,059,954
Investments in unaffiliated issuers, at value (Note 2)^(b)		121,679		656,642		10,494,690,927		241,796
Foreign currency, at value (Note 2)^(c)		—		—		3,230,624		—
Cash		—		—		748,622		—
Receivable for investments sold		—		—		7,619,974		—
Receivable for Fund shares sold		—		—		62,596,322		32,286
Dividend withholding tax receivable		—		—		2,919,301		—
Dividends and interest receivable		208		1,076		18,292,581		431
Unrealized appreciation on open forward currency contracts (Note 4)		—		—		18,872,718		—
Receivable for variation margin on open futures contracts (Note 4)		—		—		542,475		—
Due from broker (Note 2)		—		—		219,272,794		—
Receivable for open OTC swap contracts (Note 4)		—		—		1,559,929		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		8,379		8,250		394,319		8,265
Miscellaneous receivable		—		—		5,121		—

Total assets		460,486,083		2,014,106,533		10,830,745,707		635,342,732

Liabilities:
Investments sold short, at value (Note 2)^(d)		—		—		349,517,368		—
Payable for investments purchased		—		—		12,436,264		—
Payable for Fund shares repurchased		2,342		76,381		—		44,866
Accrued foreign capital gains tax payable (Note 2)		—		—		729,583		—
Payable to agents unaffiliated with GMO		81		407		2,026		118
Payable for variation margin on open cleared swap contracts (Note 4)		—		—		2,080,895		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		—		8,697,555		—
Interest payable for open OTC swap contracts (Note 4)		—		—		97,648		—
Interest and dividend payable for short sales		—		—		487,970		—
Payable for open OTC swap contracts (Note 4)		—		—		1,843,355		—
Written options outstanding, at value (Note 4)^(e)		—		—		1,560,905		—
Payable to Trustees and related expenses		1,350		6,965		33,851		1,918
Accrued expenses		54,558		93,216		1,341,978		53,355

Total liabilities		58,331		176,969		378,829,398		100,257

Net assets	$	460,427,752	$	2,013,929,564	$	10,451,916,309	$	635,242,475

^(a) Cost of investments – affiliated issuers:	$	422,557,332	$	1,952,524,582	$	—	$	648,982,688
^(b) Cost of investments – unaffiliated issuers:	$	121,679	$	656,642	$	10,493,419,330	$	241,796
^(c) Cost of foreign currency:	$	—	$	—	$	3,235,918	$	—
^(d) Proceeds from securities sold short:	$	—	$	—	$	349,350,301	$	—
^(e) Premiums on written options:	$	—	$	—	$	1,184,920	$	—


98		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)


	Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund			International Developed Equity Allocation Fund
Net assets consist of:
Paid-in capital	$	508,054,410		$	2,174,681,454		$	10,853,230,679		$	804,251,009
Accumulated undistributed (distributions in excess of) net investment income		1,193,129			5,615,286			179,152,954			871,516
Accumulated net realized gain (loss)		(86,618,272	)		(227,283,159	)		(527,364,699	)		(155,957,316	)
Net unrealized appreciation (depreciation)		37,798,485			60,915,983			(53,102,625	)		(13,922,734	)

	$	460,427,752		$	2,013,929,564		$	10,451,916,309		$	635,242,475

Net assets attributable to:
Core Class	$	—		$	—		$	10,451,916,309		$	—

Class III	$	460,427,752		$	2,013,929,564		$	—		$	635,242,475

Shares outstanding:
Core Class		—			—			769,884,673			—

Class III		20,395,614			77,328,651			—			39,473,205

Net asset value per share:
Core Class	$	—		$	—		$	13.58		$	—

Class III	$	22.57		$	26.04		$	—		$	16.09


		See accompanying notes to the financial statements.		99

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)


	International Equity Allocation Fund		Consolidated SGM Major Markets Fund		Consolidated Special Opportunities Fund		Strategic Opportunities Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	1,020,151,473	$	—	$	45,977	$	916,387,200
Investments in unaffiliated issuers, at value (Note 2)^(b)		356,878		1,731,285,269		451,860,630		194,007,726
Foreign currency, at value (Note 2)^(c)		—		129,203		—		32,701
Cash		—		137		60,389		3
Receivable for investments sold		—		—		2,243,907		—
Receivable for Fund shares sold		—		6,543		—		—
Dividend withholding tax receivable		—		—		87,848		17,891
Dividends and interest receivable		440		2,227,287		68,435		433,049
Unrealized appreciation on open forward currency contracts (Note 4)		—		6,305,016		—		—
Receivable for variation margin on open futures contracts (Note 4)		—		1,579,358		—		—
Due from broker (Note 2)		—		1,004,721		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		7,583		72,879		—		21,552

Total assets		1,020,516,374		1,742,610,413		454,367,186		1,110,900,122

Liabilities:
Investments sold short, at value (Note 2)^(d)		—		—		—		23,446,608
Payable for investments purchased		—		3,005,943		1,073,871		109,604
Payable for Fund shares repurchased		5,522		89,579		—		202,162
Payable to affiliate for (Note 5):
Management fee		—		1,252,507		417,433		—
Shareholder service fee		—		83,942		20,872		—
Payable to agents unaffiliated with GMO		191		337		174		217
Payable for variation margin on open futures contracts (Note 4)		—		8,134,948		—		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		15,066,893		—		—
Interest and dividend payable for short sales		—		—		—		21,771
Payable for open OTC swap contracts (Note 4)		—		—		—		75,139
Written options outstanding, at value (Note 4)^(e)		—		—		229,000		—
Payable to Trustees and related expenses		3,327		4,205		3,749		3,542
Accrued expenses		61,718		182,148		274,308		112,885

Total liabilities		70,758		27,820,502		2,019,407		23,971,928

Net assets	$	1,020,445,616	$	1,714,789,911	$	452,347,779	$	1,086,928,194

^(a) Cost of investments – affiliated issuers:	$	1,028,871,672	$	—	$	317,181	$	855,373,960
^(b) Cost of investments – unaffiliated issuers:	$	356,878	$	1,731,274,916	$	335,535,301	$	193,165,571
^(c) Cost of foreign currency:	$	—	$	40	$	—	$	33,050
^(d) Proceeds from securities sold short:	$	—	$	—	$	—	$	20,888,520
^(e) Premiums on written options:	$	—	$	—	$	369,592	$	—


100		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2018 (Unaudited) — (Continued)


	International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Consolidated Special Opportunities Fund			Strategic Opportunities Allocation Fund
Net assets consist of:
Paid-in capital	$	1,136,530,407		$	1,735,371,796		$	347,111,453		$	1,028,909,160
Accumulated undistributed (distributions in excess of) net investment income		108,594			5,833,108			(2,536,523	)		5,208,206
Accumulated net realized gain (loss)		(107,473,186	)		17,178,933			(8,425,875	)		(6,410,681	)
Net unrealized appreciation (depreciation)		(8,720,199	)		(43,593,926	)		116,198,724			59,221,509

	$	1,020,445,616		$	1,714,789,911		$	452,347,779		$	1,086,928,194

Net assets attributable to:
Class III	$	1,020,445,616		$	30,679,090		$	—		$	1,086,928,194

Class IV	$	—		$	11,614,500		$	—		$	—

Class VI	$	—		$	1,672,496,321		$	452,347,779		$	—

Shares outstanding:
Class III		34,180,682			955,703			—			52,861,698

Class IV		—			362,932			—			—

Class VI		—			52,209,765			23,071,088			—

Net asset value per share:
Class III	$	29.85		$	32.10		$	—		$	20.56

Class IV	$	—		$	32.00		$	—		$	—

Class VI	$	—		$	32.03		$	19.61		$	—


		See accompanying notes to the financial statements.		101

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2018 (Unaudited)


	Alpha Only Fund			Benchmark-Free Allocation Fund			Benchmark- Free Fund			Global Asset Allocation Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	121,707		$	49,444,208		$	3,951,780		$	11,907,454
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)^(a)		2,984,458			53,442			36,994,712			2,603
Interest		87,549			3,178			18,567,889			4,864

Total investment income		3,193,714			49,500,828			59,514,381			11,914,921

Expenses:
Management fee (Note 5)		455,817			43,017,304			—			—
Shareholder service fee – Class III (Note 5)		5,744			3,759,338			—			—
Shareholder service fee – Class IV (Note 5)		87,334			1,372,689			—			—
Supplemental support fee – Class MF (Note 5)		—			2,739,132			—			—
Audit and tax fees		67,546			14,511			61,562			12,833
Custodian, fund accounting agent and transfer agent fees		114,809			47,730			762,977			31,228
Dividend expense on short sales		—			—			1,070,322			—
Legal fees		5,372			81,326			37,373			13,945
Registration fees		2,862			3,195			—			1,884
Trustees’ fees and related expenses (Note 5)		2,430			153,335			49,093			26,949
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			140,194			—
Miscellaneous		32,584			31,865			61,587			7,488

Total expenses		774,498			51,220,425			2,183,108			94,327
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(195,048	)		(161,920	)		(395,881	)		(64,812	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			(9,244,999	)		—			—
Indirectly incurred shareholder service fee waived or borne by GMO (Note 5)		—			(789,174	)		—			—

Net expenses		579,450			41,024,332			1,787,227			29,515

Net investment income (loss)		2,614,264			8,476,496			57,727,154			11,885,406

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(b)		26,417,976			—			83,843,849			—
Investments in affiliated issuers		10,202			86,863,740			46,076,031			(16,192,193	)
Realized gain distributions from affiliated issuers (Note 10)		—			154,325,296			60,618,195			19,824,531
Futures contracts		(9,469,476	)		—			(6,163,056	)		—
Swap contracts		—			—			1,276,686			—
Forward currency contracts		1,454,862			—			5,624,743			—
Foreign currency and foreign currency related transactions		(128,903	)		—			445,969			—

Net realized gain (loss)		18,284,661			241,189,036			191,722,417			3,632,338

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(c)		(34,722,064	)		—			(234,514,668	)		(1,873	)
Investments in affiliated issuers		793			(585,423,031	)		(154,048,159	)		(60,696,773	)
Investments in securities sold short		—			—			2,262,148			—
Futures contracts		1,041,661			—			(15,841,225	)		—
Swap contracts		—			—			(628,655	)		—
Forward currency contracts		248,399			—			5,163,444			—
Foreign currency and foreign currency related transactions		(28,468	)		—			(49,369	)		—

Net change in unrealized appreciation (depreciation)		(33,459,679	)		(585,423,031	)		(397,656,484	)		(60,698,646	)

Net realized and unrealized gain (loss)		(15,175,018	)		(344,233,995	)		(205,934,067	)		(57,066,308	)

Net increase (decrease) in net assets resulting from operations	$	(12,560,754	)	$	(335,757,499	)	$	(148,206,913	)	$	(45,180,902	)

^(a) Withholding tax:	$	290,870		$	—		$	4,606,209		$	—
^(b) Foreign capital gains tax on net realized gain (loss):	$	1,968		$	—		$	—		$	—
^(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	(2,118	)	$	—		$	195,073		$	—


102		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2018 (Unaudited) — (Continued)


	Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund			International Developed Equity Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)^(a)	$	1,518		$	6,974		$	151,374,405		$	2,401
Interest		3			15			73,419,892			202
Dividends from affiliated issuers (Note 10)		2,200,613			9,652,026			—			3,883,590

Total investment income		2,202,134			9,659,015			224,794,297			3,886,193

Expenses:
Audit and tax fees		13,707			12,510			151,360			12,515
Custodian, fund accounting agent and transfer agent fees		26,938			30,563			2,000,127			27,858
Dividend expense on short sales		—			—			6,816,959			—
Legal fees		2,546			11,953			128,162			3,366
Registration fees		1,560			1,655			—			1,571
Trustees’ fees and related expenses (Note 5)		5,428			25,786			129,901			7,554
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			471,189			—
Miscellaneous		4,564	*		8,642	*		121,904	*		4,324	*

Total expenses		54,743			91,109			9,819,602			57,188
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(48,783	)		(62,925	)		(2,220,194	)		(48,908	)

Net expenses		5,960			28,184			7,599,408			8,280

Net investment income (loss)		2,196,174			9,630,831			217,194,889			3,877,913

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(b)		—			—			34,227,748			—
Investments in affiliated issuers		1,519,207			(52,212	)		—			(448,843	)
Investments in securities sold short		—			—			170,715,452			—
Realized gain distributions from affiliated issuers (Note 10)		11,276,944			44,259,293			—			—
Futures contracts		—			—			(25,585,308	)		—
Written options		—			—			7,024,467			—
Swap contracts		—			—			7,085,008			—
Forward currency contracts		—			—			29,957,022			—
Foreign currency and foreign currency related transactions		—			—			(867,846	)		—

Net realized gain (loss)		12,796,151			44,207,081			222,556,543	**		(448,843	)

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(c)		—			—			(778,222,704	)		—
Investments in affiliated issuers		(18,854,719	)		(118,346,994	)		—			(48,177,236	)
Investments in securities sold short		—			—			8,700,464			—
Futures contracts		—			—			(82,711,582	)		—
Written options		—			—			(1,077,543	)		—
Swap contracts		—			—			4,068,713			—
Forward currency contracts		—			—			34,925,277			—
Foreign currency and foreign currency related transactions		—			—			(204,472	)		—

Net change in unrealized appreciation (depreciation)		(18,854,719	)		(118,346,994	)		(814,521,847	)		(48,177,236	)

Net realized and unrealized gain (loss)		(6,058,568	)		(74,139,913	)		(591,965,304	)		(48,626,079	)

Net increase (decrease) in net assets resulting from operations	$	(3,862,394	)	$	(64,509,082	)	$	(374,770,415	)	$	(44,748,166	)

^(a) Withholding tax:	$	—		$	—		$	18,774,721		$	—
^(b) Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	335,884		$	—
^(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	—		$	82,910		$	—
* Includes printing expenses:	$	3,396		$	4,903		$	9,877		$	3,126

**	For the details related to in-kind redemption realized gain (loss) please refer to Note 6.


		See accompanying notes to the financial statements.		103

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2018 (Unaudited) — (Continued)


	International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Consolidated Special Opportunities Fund			Strategic Opportunities Allocation Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	5,128,084		$	9,352,205		$	—		$	4,986,829
Interest		48			6,964,382			1,828,031			2,282,020
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)^(a)		2,427			177,293			2,194,641			1,123,252

Total investment income		5,130,559			16,493,880			4,022,672			8,392,101

Expenses:
Management fee (Note 5)		—			7,790,023			4,367,987			—
Shareholder service fee – Class III (Note 5)		—			22,126			—			—
Shareholder service fee – Class IV (Note 5)		—			6,021			—			—
Shareholder service fee – Class VI (Note 5)		—			492,636			218,399			—
Audit and tax fees		12,517			45,768			61,501			14,281
Custodian, fund accounting agent and transfer agent fees		27,264			153,304			68,767			52,072
Dividend expense on short sales		—			—			—			178,403
Legal fees		5,896			24,861			15,626			6,566
Registration fees		2,319			34,972			1,882			1,465
Trustees’ fees and related expenses (Note 5)		12,730			20,811			11,268			14,298
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			—			85,149
Miscellaneous		5,079			32,523			18,607			11,824

Total expenses		65,805			8,623,045			4,764,037			364,058
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(51,829	)		(276,553	)		—			(84,565	)

Net expenses		13,976			8,346,492			4,764,037			279,493

Net investment income (loss)		5,116,583			8,147,388			(741,365	)		8,112,608

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		—			(254,004	)		184,213,297			(1,787,622	)
Investments in affiliated issuers		64,743			(781,391	)		—			4,674,505
Realized gain distributions from affiliated issuers (Note 10)		—			—			—			10,845,672
Futures contracts		—			(20,146,381	)		(1,169,451	)		—
Written options		—			—			102,658			—
Swap contracts		—			—			—			171,660
Forward currency contracts		—			53,008,241			(195,350	)		—
Foreign currency and foreign currency related transactions		—			1,868,707			(11,211	)		1,512

Net realized gain (loss)		64,743			33,695,172			182,939,943			13,905,727

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		—			881,693			(126,538,231	)		1,859,787
Investments in affiliated issuers		(92,603,361	)		1,206,230			(24,160	)		(54,127,491	)
Investments in securities sold short		—			—			—			(2,558,088	)
Futures contracts		—			(6,526,002	)		1,067,000			—
Written options		—			—			140,592			—
Swap contracts		—			—			—			(75,139	)
Forward currency contracts		—			(20,389,403	)		(4,181	)		—
Foreign currency and foreign currency related transactions		—			(44,706	)		(3,699	)		(659	)

Net change in unrealized appreciation (depreciation)		(92,603,361	)		(24,872,188	)		(125,362,679	)		(54,901,590	)

Net realized and unrealized gain (loss)		(92,538,618	)		8,822,984			57,577,264			(40,995,863	)

Net increase (decrease) in net assets resulting from operations	$	(87,422,035	)	$	16,970,372		$	56,835,899		$	(32,883,255	)

^(a) Withholding tax:	$	—		$	—		$	57,933		$	95,163


104		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets


	Alpha Only Fund						Benchmark-Free Allocation Fund
	Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018			Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,614,264		$	4,191,623		$	8,476,496		$	276,830,059
Net realized gain (loss)		18,284,661			(6,145,710	)		241,189,036			249,711,675
Change in net unrealized appreciation (depreciation)		(33,459,679	)		13,893,648			(585,423,031	)		808,309,413


Net increase (decrease) in net assets from operations		(12,560,754	)		11,939,561			(335,757,499	)		1,334,851,147

Distributions to shareholders from:
Net investment income
Class III		(27,835	)		(104,020	)		(5,248,770	)		(113,187,765	)
Class IV		(772,269	)		(2,679,412	)		(3,468,288	)		(73,419,032	)
Class MF		—			—			(6,832,480	)		(136,226,196	)

Total distributions from net investment income		(800,104	)		(2,783,432	)		(15,549,538	)		(322,832,993	)

Net share transactions (Note 9):
Class III		(24,308	)		(387,767	)		(194,794,071	)		(463,077,586	)
Class IV		(97,448,569	)		(12,270,377	)		(60,854,172	)		(125,243,907	)
Class MF		—			—			(380,652,123	)		(658,879,382	)

Increase (decrease) in net assets resulting from net share transactions		(97,472,877	)		(12,658,144	)		(636,300,366	)		(1,247,200,875	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			207,255			1,805,688
Class IV		—			—			112,191			1,055,758
Class MF		—			—			227,404			2,043,593

Increase in net assets resulting from purchase premiums and redemption fees		—			—			546,850			4,905,039

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(97,472,877	)		(12,658,144	)		(635,753,516	)		(1,242,295,836	)

Total increase (decrease) in net assets		(110,833,735	)		(3,502,015	)		(987,060,553	)		(230,277,682	)

Net assets:
Beginning of period		230,331,397			233,833,412			13,540,179,952			13,770,457,634

End of period	$	119,497,662		$	230,331,397		$	12,553,119,399		$	13,540,179,952

Accumulated undistributed (distributions in excess of) net investment income	$	525,103		$	(1,289,057	)	$	(10,650,835	)	$	(3,577,793	)


		See accompanying notes to the financial statements.		105

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Benchmark-Free Fund						Global Asset Allocation Fund
	Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018			Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	57,727,154		$	98,773,297		$	11,885,406		$	54,584,348
Net realized gain (loss)		191,722,417			172,217,499			3,632,338			35,891,926
Change in net unrealized appreciation (depreciation)		(397,656,484	)		278,770,548			(60,698,646	)		184,349,065

Net increase (decrease) in net assets from operations		(148,206,913	)		549,761,344			(45,180,902	)		274,825,339

Distributions to shareholders from:
Net investment income
Class III		(12,716,161	)		(126,068,577	)		(6,964,930	)		(61,208,240	)

Total distributions from net investment income		(12,716,161	)		(126,068,577	)		(6,964,930	)		(61,208,240	)

Net share transactions (Note 9):
Class III		(759,449,314	)		(332,857,369	)		(231,543,519	)		(162,848,213	)

Increase (decrease) in net assets resulting from net share transactions		(759,449,314	)		(332,857,369	)		(231,543,519	)		(162,848,213	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		207,484			1,394,003			136,172			890,639

Increase in net assets resulting from purchase premiums and redemption fees		207,484			1,394,003			136,172			890,639

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(759,241,830	)		(331,463,366	)		(231,407,347	)		(161,957,574	)

Total increase (decrease) in net assets		(920,164,904	)		92,229,401			(283,553,179	)		51,659,525

Net assets:
Beginning of period		4,486,488,935			4,394,259,534			2,475,604,557			2,423,945,032

End of period	$	3,566,324,031		$	4,486,488,935		$	2,192,051,378		$	2,475,604,557

Accumulated undistributed (distributions in excess of) net investment income	$	49,327,308		$	4,316,315		$	6,853,906		$	1,933,430


106		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Global Developed Equity Allocation Fund						Global Equity Allocation Fund
	Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018			Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,196,174		$	13,476,279		$	9,630,831		$	62,996,031
Net realized gain (loss)		12,796,151			(12,629,429	)		44,207,081			61,488,425
Change in net unrealized appreciation (depreciation)		(18,854,719	)		128,701,084			(118,346,994	)		331,592,435


Net increase (decrease) in net assets from operations		(3,862,394	)		129,547,934			(64,509,082	)		456,076,891

Distributions to shareholders from:
Net investment income
Class III		(2,396,264	)		(18,007,301	)		(5,334,598	)		(70,822,350	)

Total distributions from net investment income		(2,396,264	)		(18,007,301	)		(5,334,598	)		(70,822,350	)

Net share transactions (Note 9):
Class III		(2,597,675	)		(635,039,526	)		(245,186,721	)		(264,039,968	)

Increase (decrease) in net assets resulting from net share transactions		(2,597,675	)		(635,039,526	)		(245,186,721	)		(264,039,968	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		1,263			522,102			39,335			887,839

Increase in net assets resulting from purchase premiums and redemption fees		1,263			522,102			39,335			887,839

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(2,596,412	)		(634,517,424	)		(245,147,386	)		(263,152,129	)

Total increase (decrease) in net assets		(8,855,070	)		(522,976,791	)		(314,991,066	)		122,102,412

Net assets:
Beginning of period		469,282,822			992,259,613			2,328,920,630			2,206,818,218

End of period	$	460,427,752		$	469,282,822		$	2,013,929,564		$	2,328,920,630

Accumulated undistributed (distributions in excess of) net investment income	$	1,193,129		$	1,393,219		$	5,615,286		$	1,319,053


		See accompanying notes to the financial statements.		107

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Consolidated Implementation Fund						International Developed Equity Allocation Fund
	Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018			Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	217,194,889		$	280,077,196		$	3,877,913		$	20,855,069
Net realized gain (loss)		222,556,543			600,813,750			(448,843	)		(4,311,611	)
Change in net unrealized appreciation (depreciation)		(814,521,847	)		329,325,797			(48,177,236	)		108,212,184


Net increase (decrease) in net assets from operations		(374,770,415	)		1,210,216,743			(44,748,166	)		124,755,642

Distributions to shareholders from:
Net investment income
Core Class		(42,611,658	)		(335,144,868	)		—			—
Class III		—			—			(3,108,368	)		(20,807,945	)

Total distributions from net investment income		(42,611,658	)		(335,144,868	)		(3,108,368	)		(20,807,945	)

Net share transactions (Note 9):
Core Class		(636,731,036	)		(600,296,581	)		—			—
Class III		—			—			18,216,143			(40,941,783	)

Increase (decrease) in net assets resulting from net share transactions		(636,731,036	)		(600,296,581	)		18,216,143			(40,941,783	)

Purchase premiums and redemption fees (Notes 2 and 9):
Core Class		330,066			4,240,205			—			—
Class III		—			—			15,949			68,771

Increase in net assets resulting from purchase premiums and redemption fees		330,066			4,240,205			15,949			68,771

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(636,400,970	)		(596,056,376	)		18,232,092			(40,873,012	)

Total increase (decrease) in net assets		(1,053,783,043	)		279,015,499			(29,624,442	)		63,074,685

Net assets:
Beginning of period		11,505,699,352			11,226,683,853			664,866,917			601,792,232

End of period	$	10,451,916,309		$	11,505,699,352		$	635,242,475		$	664,866,917

Accumulated undistributed (distributions in excess of) net investment income	$	179,152,954		$	4,569,723		$	871,516		$	101,971


108		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	International Equity Allocation Fund						Consolidated SGM Major Markets Fund
	Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018			Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	5,116,583		$	32,701,985		$	8,147,388		$	2,462,962
Net realized gain (loss)		64,743			(2,354,468	)		33,695,172			60,070,603
Change in net unrealized appreciation (depreciation)		(92,603,361	)		185,788,303			(24,872,188	)		(46,769,175	)


Net increase (decrease) in net assets from operations		(87,422,035	)		216,135,820			16,970,372			15,764,390

Distributions to shareholders from:
Net investment income
Class III		(6,649,866	)		(33,024,114	)		—			—

Total distributions from net investment income		(6,649,866	)		(33,024,114	)		—			—

Net realized gains
Class III		—			—			—			(180,594	)
Class IV		—			—			—			(953,492	)
Class VI		—			—			—			(56,853,796	)

Total distributions from net realized gains		—			—			—			(57,987,882	)

Net share transactions (Note 9):
Class III		(36,924,479	)		(118,301,310	)		3,857,548			20,704,296
Class IV		—			—			(385,307	)		(42,897,635	)
Class VI		—			—			(187,934,353	)		439,311,501

Increase (decrease) in net assets resulting from net share transactions		(36,924,479	)		(118,301,310	)		(184,462,112	)		417,118,162

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		114,511			713,905			—			—

Increase in net assets resulting from purchase premiums and redemption fees		114,511			713,905			—			—

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(36,809,968	)		(117,587,405	)		(184,462,112	)		417,118,162

Total increase (decrease) in net assets		(130,881,869	)		65,524,301			(167,491,740	)		374,894,670

Net assets:
Beginning of period		1,151,327,485			1,085,803,184			1,882,281,651			1,507,386,981

End of period	$	1,020,445,616		$	1,151,327,485		$	1,714,789,911		$	1,882,281,651

Accumulated undistributed (distributions in excess of) net investment income	$	108,594		$	1,641,877		$	5,833,108		$	(2,314,280	)


		See accompanying notes to the financial statements.		109

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Consolidated Special Opportunities Fund						Strategic Opportunities Allocation Fund
	Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018			Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28, 2018
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	(741,365	)	$	(1,242,656	)	$	8,112,608		$	51,040,647
Net realized gain (loss)		182,939,943			94,297,391			13,905,727			66,838,550
Change in net unrealized appreciation (depreciation)		(125,362,679	)		192,334,667			(54,901,590	)		153,597,624


Net increase (decrease) in net assets from operations		56,835,899			285,389,402			(32,883,255	)		271,476,821

Distributions to shareholders from:
Net investment income
Class III		—			—			(3,227,397	)		(55,183,123	)
Class VI		—			(680,089	)		—			—

Total distributions from net investment income		—			(680,089	)		(3,227,397	)		(55,183,123	)

Net realized gains
Class III		—			—			(46,531,912	)		(1,947,705	)
Class VI		(225,776,660	)		(67,496,961	)		—			—

Total distributions from net realized gains		(225,776,660	)		(67,496,961	)		(46,531,912	)		(1,947,705	)

Net share transactions (Note 9):
Class III		—			—			(133,062,787	)		(930,852,849	)
Class VI		(418,280,487	)		(175,366,785	)		—			—

Increase (decrease) in net assets resulting from net share transactions		(418,280,487	)		(175,366,785	)		(133,062,787	)		(930,852,849	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			192,588			1,948,317
Class VI		3,324,305			1,580,217			—			—

Increase in net assets resulting from purchase premiums and redemption fees		3,324,305			1,580,217			192,588			1,948,317

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(414,956,182	)		(173,786,568	)		(132,870,199	)		(928,904,532	)

Total increase (decrease) in net assets		(583,896,943	)		43,425,784			(215,512,763	)		(714,558,539	)

Net assets:
Beginning of period		1,036,244,722			992,818,938			1,302,440,957			2,016,999,496

End of period	$	452,347,779		$	1,036,244,722		$	1,086,928,194		$	1,302,440,957

Accumulated undistributed (distributions in excess of) net investment income	$	(2,536,523	)	$	(1,795,158	)	$	5,208,206		$	322,995


110		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

ALPHA ONLY FUND


	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014				Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	21.80			$	20.96			$	22.04			$	22.93			$	23.98			$	24.22			$	21.81			$	20.97			$	22.05			$	22.95			$	23.99			$	24.24

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.31				0.41				0.35				0.37				0.34				0.53				0.31				0.39				0.37				0.39				0.35				0.58
Net realized and unrealized gain (loss)			(1.81	)			0.68				(0.80	)			(0.40	)			(0.96	)			(0.76	)			(1.81	)			0.71				(0.81	)			(0.41	)			(0.95	)			(0.80	)

Total from investment operations			(1.50	)			1.09				(0.45	)			(0.03	)			(0.62	)			(0.23	)			(1.50	)			1.10				(0.44	)			(0.02	)			(0.60	)			(0.22	)

Less distributions to shareholders:
From net investment income			(0.08	)			(0.25	)			(0.63	)			(0.86	)			(0.43	)			(0.01	)			(0.08	)			(0.26	)			(0.64	)			(0.88	)			(0.44	)			(0.03	)

Total distributions			(0.08	)			(0.25	)			(0.63	)			(0.86	)			(0.43	)			(0.01	)			(0.08	)			(0.26	)			(0.64	)			(0.88	)			(0.44	)			(0.03	)

Net asset value, end of period		$	20.22			$	21.80			$	20.96			$	22.04			$	22.93			$	23.98			$	20.23			$	21.81			$	20.97			$	22.05			$	22.95			$	23.99

Total Return^(b)			(6.90	)%**			5.22	%			(2.02	)%			(0.06	)%			(2.60	)%			(0.94	)%			(6.89	)%**			5.27	%			(1.98	)%			(0.03	)%			(2.51	)%			(0.93	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	7,237			$	7,829			$	7,852			$	7,712			$	26,695			$	35,392			$	112,260			$	222,503			$	225,982			$	286,305			$	3,333,388			$	3,523,518
Net expenses to average daily net assets			0.69	%^(c)*			0.67	%^(c)			0.68	%^(c)			0.66	%^(c)			0.65	%			0.30	%^(c)(d)			0.63	%^(c)*			0.62	%^(c)			0.62	%^(c)			0.60	%^(c)			0.60	%			0.26	%^(c)(d)
Net investment income (loss) to average daily net assets^(a)			2.94	%*			1.91	%			1.62	%			1.66	%			1.44	%			2.19	%			2.86	%*			1.80	%			1.69	%			1.76	%			1.46	%			2.42	%
Portfolio turnover rate			41	%^(e)**			67	%^(e)			22	%^(e)			85	%			123	%			66	%			41	%^(e)**			67	%^(e)			22	%^(e)			85	%			123	%			66	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.26	%*			0.22	%			0.20	%			0.06	%			0.04	%			0.37	%^(f)			0.21	%*			0.23	%			0.20	%			0.05	%			0.04	%			0.36	%^(f)

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

^(b)

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

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

^(e)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 108%, 135% and 80%, respectively, of the average value of its portfolio.

^(f)	Ratios include indirect fees waived or borne by the Fund

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		111

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND


	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016^(a)				2015^(b)				2014^(b)				Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016^(a)				2015^(b)				2014^(b)
Net asset value, beginning of period		$	27.76			$	25.78			$	23.46			$	27.04			$	27.07			$	25.77			$	27.75			$	25.78			$	23.46			$	27.03			$	27.06			$	25.75

Income (loss) from investment operations:
Net investment income (loss)^(c)†			0.01				0.52				0.37				0.19				0.38				0.48				0.02				0.58				0.40				0.20				0.36				0.46
Net realized and unrealized gain (loss)			(0.71	)			2.12				2.35				(3.26	)			0.86				1.57				(0.71	)			2.06				2.33				(3.26	)			0.89				1.61

Total from investment operations			(0.70	)			2.64				2.72				(3.07	)			1.24				2.05				(0.69	)			2.64				2.73				(3.06	)			1.25				2.07

Less distributions to shareholders:
From net investment income			(0.03	)			(0.66	)			(0.40	)			(0.34	)			(0.52	)			(0.39	)			(0.03	)			(0.67	)			(0.41	)			(0.34	)			(0.53	)			(0.40	)
From net realized gains			—				—				—				(0.17	)			(0.75	)			(0.36	)			—				—				—				(0.17	)			(0.75	)			(0.36	)

Total distributions			(0.03	)			(0.66	)			(0.40	)			(0.51	)			(1.27	)			(0.75	)			(0.03	)			(0.67	)			(0.41	)			(0.51	)			(1.28	)			(0.76	)

Net asset value, end of period		$	27.03			$	27.76			$	25.78			$	23.46			$	27.04			$	27.07			$	27.03			$	27.75			$	25.78			$	23.46			$	27.03			$	27.06

Total Return^(d)			(2.52	)%**			10.28	%			11.66	%			(11.51	)%			4.71	%			8.03	%			(2.47	)%**			10.30	%			11.71	%			(11.46	)%			4.75	%			8.12	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	4,834,186			$	5,162,084			$	5,248,863			$	5,872,663			$	6,040,891			$	3,109,509			$	2,623,225			$	2,756,005			$	2,663,418			$	2,508,115			$	3,363,711			$	2,511,906
Net operating expenses to average daily net assets^(e)			0.65	%*			0.65	%			0.65	%			0.66	%			0.64	%			0.59	%^(f)			0.60	%*			0.60	%			0.60	%			0.61	%			0.59	%			0.54	%^(f)
Interest and/or dividend expenses to average daily net assets^(g)			—				—				—				0.02	%			0.05	%			—				—				—				—				0.02	%			0.05	%			—
Total net expenses to average daily net assets^(e)			0.65	%*			0.65	%			0.65	%			0.68	%			0.69	%			0.59	%			0.60	%*			0.60	%			0.60	%			0.63	%			0.64	%			0.54	%
Net investment income (loss) to average daily net assets^(c)			0.09	%*			1.93	%			1.46	%			0.73	%			1.41	%			1.79	%			0.16	%*			2.13	%			1.61	%			0.80	%			1.32	%			1.73	%
Portfolio turnover rate			8	%**			9	%			7	%			53	%^(h)			84	%			52	%			8	%**			9	%			7	%			53	%^(h)			84	%			52	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:⁽ⁱ⁾			0.15	%*			0.16	%			0.15	%			0.16	%			0.20	%			0.27	%			0.15	%*			0.16	%			0.15	%			0.16	%			0.20	%			0.27	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	^(j)		$	0.01			$	0.02			$	0.01			$	0.01			$	0.03			$	0.00	^(j)		$	0.01			$	0.02			$	0.01			$	0.01			$	0.03

^(a)	The amounts shown, where applicable, are consolidated through the period ended July 31, 2015 (Note 2 - Basis of presentation and principles of consolidation).

^(b)	Consolidated financial highlights (Note 2 - Basis of presentation and principles of consolidation).

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

^(d)

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

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

^(g)	Interest and dividend expense incurred as a result of entering into reverse repurchase agreements, securities sold short and/or cleared swap contracts, if any, is included in the Fund’s net expenses.

^(h)	Had the Fund not been consolidated for the year ended February 29, 2016, the portfolio turnover would have been 23%.

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

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

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


112		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)


	Class MF Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016^(a)				2015^(b)				2014^(b)
Net asset value, beginning of period		$	27.77			$	25.80			$	23.47			$	27.04			$	27.07			$	25.76

Income (loss) from investment operations:
Net investment income (loss)^(c)†			0.02				0.56				0.35				0.19				0.37				0.49
Net realized and unrealized gain (loss)			(0.71	)			2.08				2.39				(3.24	)			0.88				1.58

Total from investment operations			(0.69	)			2.64				2.74				(3.05	)			1.25				2.07

Less distributions to shareholders:
From net investment income			(0.03	)			(0.67	)			(0.41	)			(0.35	)			(0.53	)			(0.40	)
From net realized gains			—				—				—				(0.17	)			(0.75	)			(0.36	)

Total distributions			(0.03	)			(0.67	)			(0.41	)			(0.52	)			(1.28	)			(0.76	)

Net asset value, end of period		$	27.05			$	27.77			$	25.80			$	23.47			$	27.04			$	27.07

Total Return^(d)			(2.47	)%**			10.29	%			11.76	%			(11.45	)%			4.78	%			8.11	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	5,095,709			$	5,622,091			$	5,858,177			$	8,025,066			$	12,255,179			$	9,103,523
Net operating expenses to average daily net assets^(e)			0.60	%*			0.60	%			0.60	%^(f)			0.58	%^(f)			0.55	%^(f)			0.53	%^(g)
Interest and/or dividend expenses to average daily net assets^(h)			—				—				—				0.02	%			0.05	%			—
Total net expenses to average daily net assets^(e)			0.60	%*			0.60	%			0.60	%^(f)			0.60	%^(f)			0.60	%^(f)			0.53	%
Net investment income (loss) to average daily net assets^(c)			0.15	%*			2.06	%			1.38	%			0.77	%			1.37	%			1.83	%
Portfolio turnover rate			8	%**			9	%			7	%			53	%⁽ⁱ⁾			84	%			52	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:^(j)			0.15	%*			0.16	%			0.16	%			0.19	%			0.23	%			0.27	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	^(k)		$	0.01			$	0.02			$	0.01			$	0.01			$	0.03

^(a)	The amounts shown, where applicable, are consolidated through the period ended July 31, 2015 (Note 2 - Basis of presentation and principles of consolidation).

^(b)	Consolidated financial highlights (Note 2 - Basis of presentation and principles of consolidation).

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

^(d)

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

^(f)	Class MF net expenses include a supplemental support fee reduction (Note 5).

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

^(h)	Interest and dividend expense incurred as a result of entering into reverse repurchase agreements, securities sold short and/or cleared swap contracts, if any, is included in the Fund’s net expenses.

⁽ⁱ⁾	Had the Fund not been consolidated for the year ended February 29, 2016, the portfolio turnover would have been 23%.

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

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

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		113

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE FUND


	Class III Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	20.91			$	18.95			$	17.00			$	20.30			$	22.09			$	21.33

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.29				0.46				0.43				0.58				0.61				0.59
Net realized and unrealized gain (loss)			(1.02	)			2.10				2.01				(2.70	)			0.61				1.45

Total from investment operations			(0.73	)			2.56				2.44				(2.12	)			1.22				2.04

Less distributions to shareholders:
From net investment income			(0.07	)			(0.60	)			(0.49	)			(0.60	)			(0.79	)			(0.74	)
From net realized gains			—				—				—				(0.58	)			(2.22	)			(0.54	)

Total distributions			(0.07	)			(0.60	)			(0.49	)			(1.18	)			(3.01	)			(1.28	)

Net asset value, end of period		$	20.11			$	20.91			$	18.95			$	17.00			$	20.30			$	22.09

Total Return^(b)			(3.48	)%**			13.59	%			14.52	%			(10.82	)%			5.76	%			9.66	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,566,324			$	4,486,489			$	4,394,260			$	4,305,118			$	5,052,362			$	4,367,658
Net operating expenses to average daily net assets^(c)			0.03	%*			0.02	%			0.01	%			0.00	%^(d)			0.00	%^(d)			0.00	%^(d)(e)
Interest and/or dividend expenses to average daily net assets^(f)			0.06	%*			0.00	%^(g)			0.00	%^(g)			—				—				—
Total net expenses to average daily net assets^(c)			0.09	%*			0.02	%			0.01	%			0.00	%^(d)			0.00	%^(d)			0.00	%^(d)
Net investment income (loss) to average daily net assets^(a)			2.84	%*			2.29	%			2.37	%			3.09	%			2.90	%			2.67	%
Portfolio turnover rate			34	%**			78	%^(h)			83	%^(h)			101	%			60	%			51	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.03	%			0.04	%			0.01	%			0.00	%⁽ⁱ⁾			0.00	%⁽ⁱ⁾
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	^(j)		$	0.01			$	0.00	^(j)		$	0.00	^(j)		$	0.00	^(j)		$	0.00	^(j)

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

^(b)

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

^(d)	Net expenses to average daily net assets were less than 0.01%.

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

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

^(g)	Ratio is less than 0.01%.

^(h)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 81% and 86%, respectively, of the average value of its portfolio.

⁽ⁱ⁾	Fees and expenses reimbursed by GMO were less than 0.01%.

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

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


114		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND


	Class III Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)
Net asset value, beginning of period		$	33.31			$	30.48			$	27.60			$	33.81			$	35.40			$	32.70

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.17				0.73				0.61				1.02				0.96				0.81
Net realized and unrealized gain (loss)			(0.78	)			2.93				3.00				(4.53	)			0.60				2.73

Total from investment operations			(0.61	)			3.66				3.61				(3.51	)			1.56				3.54

Less distributions to shareholders:
From net investment income			(0.10	)			(0.83	)			(0.73	)			(1.14	)			(1.29	)			(0.84	)
From net realized gains			—				—				—				(1.56	)			(1.86	)			—

Total distributions			(0.10	)			(0.83	)			(0.73	)			(2.70	)			(3.15	)			(0.84	)

Net asset value, end of period		$	32.60			$	33.31			$	30.48			$	27.60			$	33.81			$	35.40

Total Return^(c)			(1.83	)%**			12.04	%			13.21	%			(10.98	)%			4.55	%			10.88	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,192,051			$	2,475,605			$	2,423,945			$	3,317,792			$	4,868,922			$	5,362,913
Net expenses to average daily net assets^(d)(e)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%^(f)
Net investment income (loss) to average daily net assets^(b)			1.00	%*			2.24	%			2.06	%			3.33	%			2.75	%			2.33	%
Portfolio turnover rate			10	%^(g)**			20	%^(g)			19	%^(g)			20	%			38	%			46	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	^(h)		$	0.01			$	0.02			$	0.01			$	0.01			$	0.01

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

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

^(c)

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

^(e)	Net expenses to average daily net assets were less than 0.01%.

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

^(g)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 11%, 22% and 18%, respectively, of the average value of its portfolio.

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

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		115

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL DEVELOPED EQUITY ALLOCATION FUND


	Class III Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	22.88			$	19.60			$	17.40			$	22.84			$	25.00			$	21.13

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.11				0.42				0.52				0.51				0.80				0.61
Net realized and unrealized gain (loss)			(0.30	)			3.55				2.87				(3.64	)			0.02	^(b)			3.96

Total from investment operations			(0.19	)			3.97				3.39				(3.13	)			0.82				4.57

Less distributions to shareholders:
From net investment income			(0.12	)			(0.69	)			(0.55	)			(0.52	)			(0.82	)			(0.70	)
From net realized gains			—				—				(0.64	)			(1.79	)			(2.16	)			—

Total distributions			(0.12	)			(0.69	)			(1.19	)			(2.31	)			(2.98	)			(0.70	)

Net asset value, end of period		$	22.57			$	22.88			$	19.60			$	17.40			$	22.84			$	25.00

Total Return^(c)			(0.83	)%**			20.39	%			20.03	%			(14.81	)%			3.32	%			21.68	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	460,428			$	469,283			$	992,260			$	1,432,776			$	1,770,455			$	1,591,060
Net expenses to average daily net assets^(d)(e)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%^(f)
Net investment income (loss) to average daily net assets^(a)			0.95	%*			1.99	%			2.78	%			2.49	%			3.34	%			2.62	%
Portfolio turnover rate			3	%**			5	%			29	%			14	%			16	%			36	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	^(g)		$	0.02			$	0.01			$	0.00	^(g)		$	0.00	^(g)			—

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

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

^(c)

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

^(e)	Net expenses to average daily net assets were less than 0.01%.

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

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

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


116		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND


	Class III Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)
Net asset value, beginning of period		$	26.86			$	22.84			$	19.71			$	26.22			$	28.29			$	25.80

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.11				0.68				0.57				0.60				0.96				0.84
Net realized and unrealized gain (loss)			(0.87	)			4.11				3.67				(4.47	)			(0.03	)^(c)			3.63

Total from investment operations			(0.76	)			4.79				4.24				(3.87	)			0.93				4.47

Less distributions to shareholders:
From net investment income			(0.06	)			(0.77	)			(0.70	)			(0.60	)			(0.90	)			(0.87	)
From net realized gains			—				—				(0.41	)			(2.04	)			(2.10	)			(1.11	)

Total distributions			(0.06	)			(0.77	)			(1.11	)			(2.64	)			(3.00	)			(1.98	)

Net asset value, end of period		$	26.04			$	26.86			$	22.84			$	19.71			$	26.22			$	28.29

Total Return^(d)			(2.82	)%**			21.06	%			21.93	%			(15.96	)%			3.37	%			17.60	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,013,930			$	2,328,921			$	2,206,818			$	2,879,168			$	3,800,256			$	2,948,319
Net expenses to average daily net assets^(f)(g)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%^(e)
Net investment income (loss) to average daily net assets^(b)			0.86	%*			2.67	%			2.63	%			2.58	%			3.54	%			3.02	%
Portfolio turnover rate			4	%**			14	%			27	%			15	%			21	%			51	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	^(h)		$	0.01			$	0.02			$	0.01			$	0.01			$	0.01

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

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

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

^(d)

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

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

^(g)	Net expenses to average daily net assets were less than 0.01%.

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

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		117

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED IMPLEMENTATION FUND


	Core Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	14.09			$	13.06			$	11.80			$	13.59			$	12.71			$	11.30

Income (loss) from investment operations:
Net investment income (loss)†			0.27				0.33				0.27				0.21				0.25				0.32
Net realized and unrealized gain (loss)			(0.73	)			1.11				1.24				(2.00	)			0.63				1.09

Total from investment operations			(0.46	)			1.44				1.51				(1.79	)			0.88				1.41

Less distributions to shareholders:
From net investment income			(0.05	)			(0.41	)			(0.25	)			—				—				—

Total distributions			(0.05	)			(0.41	)			(0.25	)			—				—				—

Net asset value, end of period		$	13.58			$	14.09			$	13.06			$	11.80			$	13.59			$	12.71

Total Return^(a)			(3.23	)%**			11.12	%			12.88	%			(13.17	)%			6.92	%			12.48	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	10,451,916			$	11,505,699			$	11,226,684			$	13,655,203			$	15,915,866			$	10,160,905
Net operating expenses to average daily net assets			0.01	%*			0.00	%^(b)			0.00	%^(b)			0.00	%^(b)			0.00	%^(b)			0.00	%^(b)(c)
Interest and/or dividend expenses to average daily net assets^(d)			0.13	%*			0.04	%			0.05	%			0.07	%			0.07	%			—
Total net expenses to average daily net assets			0.14	%*			0.04	%			0.05	%			0.07	%			0.07	%			0.00	%
Net investment income (loss) to average daily net assets			3.89	%*			2.44	%			2.11	%			1.62	%			1.89	%			2.61	%
Portfolio turnover rate			62	%**			146	%			142	%			127	%			115	%			65	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.04	%			0.05	%			0.05	%			0.04	%			0.08	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	^(e)		$	0.01			$	0.01			$	0.01				—				—

^(a)

^(b)	Ratio is less than 0.01%.

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

^(d)

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

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

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


118		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND


	Class III Shares
	Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)			2018			2017			2016			2015			2014
Net asset value, beginning of period	$	17.32		$	14.72		$	13.05		$	16.88		$	17.99		$	14.86

Income (loss) from investment operations:
Net investment income (loss)^(a)†		0.10			0.53			0.45			0.48			0.74			0.54
Net realized and unrealized gain (loss)		(1.25	)		2.61			1.79			(3.83	)		(1.11	)		3.16

Total from investment operations		(1.15	)		3.14			2.24			(3.35	)		(0.37	)		3.70

Less distributions to shareholders:
From net investment income		(0.08	)		(0.54	)		(0.57	)		(0.48	)		(0.74	)		(0.57	)

Total distributions		(0.08	)		(0.54	)		(0.57	)		(0.48	)		(0.74	)		(0.57	)

Net asset value, end of period	$	16.09		$	17.32		$	14.72		$	13.05		$	16.88		$	17.99

Total Return^(b)		(6.64	)%*		21.41	%		17.37	%		(20.09	)%		(1.86	)%		25.02	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	635,242		$	664,867		$	601,792		$	942,823		$	1,180,493		$	1,150,492
Net expenses to average daily net assets^(c)(d)		0.00	%*		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%^(e)
Net investment income (loss) to average daily net assets^(a)		1.17	%*		3.20	%		3.14	%		3.07	%		4.24	%		3.28	%
Portfolio turnover rate		1	%**		5	%		10	%		14	%		7	%		52	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.01	%*		0.01	%		0.01	%		0.01	%		0.01	%		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.00	^(f)	$	0.00	^(f)	$	0.01		$	0.00	^(f)	$	0.00	^(f)		—

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

^(b)

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

^(d)	Net expenses to average daily net assets were less than 0.01%.

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

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

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		119

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY ALLOCATION FUND


	Class III Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017^(a)				2016^(a)				2015^(a)				2014^(a)
Net asset value, beginning of period		$	32.62			$	27.49			$	23.40			$	31.71			$	34.11			$	31.29

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.15				0.93				0.84				0.84				1.32				1.05
Net realized and unrealized gain (loss)			(2.72	)			5.19				4.15				(7.11	)			(1.83	)			3.96

Total from investment operations			(2.57	)			6.12				4.99				(6.27	)			(0.51	)			5.01

Less distributions to shareholders:
From net investment income			(0.20	)			(0.99	)			(0.90	)			(0.87	)			(1.35	)			(1.02	)
From net realized gains			—				—				—				(1.17	)			(0.54	)			(1.17	)

Total distributions			(0.20	)			(0.99	)			(0.90	)			(2.04	)			(1.89	)			(2.19	)

Net asset value, end of period		$	29.85			$	32.62			$	27.49			$	23.40			$	31.71			$	34.11

Total Return^(c)			(7.89	)%**			22.38	%			21.57	%			(20.70	)%			(1.30	)%			16.22	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,020,446			$	1,151,327			$	1,085,803			$	1,134,800			$	1,595,039			$	1,790,318
Net expenses to average daily net assets^(d)(e)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%^(f)
Net investment income (loss) to average daily net assets^(b)			0.95	%*			3.00	%			3.20	%			2.92	%			3.94	%			3.15	%
Portfolio turnover rate			1	%**			12	%			7	%			14	%			18	%			40	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	^(g)		$	0.02			$	0.02			$	0.01			$	0.01			$	0.02

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

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

^(c)

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

^(e)	Net expenses to average daily net assets were less than 0.01%.

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

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

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


120		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND


	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28, 2018				Period from October 26, 2016 (commencement of operations) through February 28, 2017
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014				Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28, 2018
Net asset value, beginning of period		$	31.87			$	32.68			$	33.25			$	33.80			$	32.18			$	30.47			$	31.76			$	32.56			$	35.27

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.13				0.24				(0.21	)			(0.26	)			(0.25	)			(0.22	)			0.14				(0.09	)			(0.05	)
Net realized and unrealized gain (loss)			0.10				0.23				1.87				(0.29	)			1.87	^(b)			1.93				0.10				0.57				(0.62	)

Total from investment operations			0.23				0.47				1.66				(0.55	)			1.62				1.71				0.24				0.48				(0.67	)

Less distributions to shareholders:
From net investment income			—				—				(1.01	)			—				—				—				—				—				(0.82	)
From net realized gains			—				(1.28	)			(1.22	)			—				—				—				—				(1.28	)			(1.22	)

Total distributions			—				(1.28	)			(2.23	)			—				—				—				—				(1.28	)			(2.04	)

Net asset value, end of period		$	32.10			$	31.87			$	32.68			$	33.25			$	33.80			$	32.18			$	32.00			$	31.76				32.56

Total Return^(c)			0.72	%**			1.44	%			5.12	%			(1.63	)%			5.03	%			5.61	%			0.76	%**			1.47	%			(1.79	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	30,679			$	26,630			$	6,117			$	24,020			$	1,499,443			$	1,662,189			$	11,615			$	11,903			$	54,825
Net expenses to average daily net assets^(d)			1.00	%*			1.00	%			1.00	%			0.85	%			0.80	%			0.75	%			0.95	%*			0.95	%			0.95	%*
Net investment income (loss) to average daily net assets^(a)			0.80	%*			0.75	%			(0.61	)%			(0.79	)%			(0.76	)%			(0.70	)%			0.85	%*			(0.27	)%			(0.41	)%*
Portfolio turnover rate			39	%^(e)**			106	%^(e)			15	%^(e)			29	%			45	%			97	%			39	%^(e)**			106	%^(e)			15	%**^(e)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.03	%			0.04	%			0.03	%			0.08	%			0.13	%			0.03	%*			0.03	%			0.05	%


	Class VI Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28								Period from December 1, 2015 (commencement of operations) through February 29, 2016
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017
Net asset value, beginning of period		$	31.78			$	32.57			$	33.26			$	33.07

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.14				0.05				(0.16	)			(0.05	)
Net realized and unrealized gain (loss)			0.11				0.44				1.85				0.24

Total from investment operations			0.25				0.49				1.69				0.19

Less distributions to shareholders:
From net investment income			—				—				(1.16	)			—
From net realized gains			—				(1.28	)			(1.22	)			—

Total distributions			—				(1.28	)			(2.38	)			—

Net asset value, end of period		$	32.03			$	31.78			$	32.57			$	33.26

Total Return^(c)			0.79	%**			1.50	%			5.22	%			0.57	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,672,496			$	1,843,748			$	1,446,445			$	1,297,025
Net expenses to average daily net assets^(d)			0.91	%*			0.91	%			0.91	%			0.91	%*
Net investment income (loss) to average daily net assets^(a)			0.89	%*			0.16	%			(0.47	)%			(0.59	)%*
Portfolio turnover rate			39	%^(e)**			106	%^(e)			15	%^(e)			29	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.03	%			0.04	%			0.13	%

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

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

^(c)

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

^(e)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 48%, 51% and 47%, respectively, of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		121

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SPECIAL OPPORTUNITIES FUND


	Class VI Shares
	Six Months Ended August 31, 2018 (Unaudited)			Year Ended February 28/29,									Period from July 28, 2014 (commencement of operations) through February 28, 2015
	Six Months Ended August 31, 2018 (Unaudited)			2018			2017			2016
Net asset value, beginning of period	$	25.27		$	20.39		$	18.65		$	19.81		$	20.00

Income (loss) from investment operations:
Net investment income (loss)†		(0.02	)		(0.03	)		0.21			0.16			(0.03	)
Net realized and unrealized gain (loss)		1.66			6.57			2.23			(0.85	)		(0.15	)^(a)

Total from investment operations		1.64			6.54			2.44			(0.69	)		(0.18	)

Less distributions to shareholders:
From net investment income		—			(0.02	)		(0.32	)		(0.21	)		(0.01	)
From net realized gains		(7.30	)		(1.64	)		(0.38	)		(0.26	)		—

Total distributions		(7.30	)		(1.66	)		(0.70	)		(0.47	)		(0.01	)

Net asset value, end of period	$	19.61		$	25.27		$	20.39		$	18.65		$	19.81

Total Return^(b)		6.81	%**		32.60	%		13.21	%		(3.64	)%		(0.89	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	452,348		$	1,036,245		$	992,819		$	1,138,735		$	843,864
Net expenses to average daily net assets		1.20	%*		1.21	%		1.23	%		1.29	%		1.36	%*
Net investment income (loss) to average daily net assets		(0.19	)%*		(0.12	)%		1.05	%		0.80	%		(0.25	)%*
Portfolio turnover rate		6	%**		10	%		87	%		69	%		64	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		—			—			—			—			0.02	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.10		$	0.04		$	0.03		$	0.07		$	0.13

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

^(b)

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


122		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

STRATEGIC OPPORTUNITIES ALLOCATION FUND


	Class III Shares
	Six Months Ended August 31, 2018 (Unaudited)				Year Ended February 28/29,
	Six Months Ended August 31, 2018 (Unaudited)				2018				2017				2016				2015				2014
Net asset value, beginning of period		$	22.08			$	19.76			$	17.43			$	21.89			$	23.43			$	21.47

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.15				0.58				0.51				0.75				0.76				0.68
Net realized and unrealized gain (loss)			(0.75	)			2.39				2.36				(3.47	)			0.44				2.96

Total from investment operations			(0.60	)			2.97				2.87				(2.72	)			1.20				3.64

Less distributions to shareholders:
From net investment income			(0.06	)			(0.63	)			(0.53	)			(0.80	)			(0.87	)			(0.78	)
From net realized gains			(0.86	)			(0.02	)			(0.01	)			(0.94	)			(1.87	)			(0.90	)

Total distributions			(0.92	)			(0.65	)			(0.54	)			(1.74	)			(2.74	)			(1.68	)

Net asset value, end of period		$	20.56			$	22.08			$	19.76			$	17.43			$	21.89			$	23.43

Total Return^(b)			(2.69	)%**			15.10	%			16.60	%			(13.00	)%			5.36	%			17.24	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,086,928			$	1,302,441			$	2,016,999			$	1,967,916			$	2,449,194			$	2,455,863
Net operating expenses to average daily net assets^(c)			0.00	%^(d)*			0.00	%^(d)			0.00	%^(d)			0.00	%^(d)			0.00	%^(d)			0.00	%^(d)(e)
Interest and/or dividend expenses to average daily net assets^(f)			0.05	%*			—				—				—				—				—
Total net expenses to average daily net assets^(c)			0.05	%*			—				—				—				—				—
Net investment income (loss) to average daily net assets^(a)			1.36	%*			2.73	%			2.69	%			3.80	%			3.31	%			2.99	%
Portfolio turnover rate			20	%^(g)**			20	%^(g)			28	%^(g)			65	%			30	%			53	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	^(h)		$	0.02			$	0.00	^(h)		$	0.00	^(h)		$	0.00	^(h)		$	0.00	^(h)

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

^(b)

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

^(d)	Net expenses to average daily net assets were less than 0.01%.

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

^(f)	Interest and dividend expense incurred as a result of entering into reverse repurchase agreements, securities sold short and/or cleared swap contracts, if any, is included in the Fund’s net expenses.

^(g)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the period ended August 31, 2018 and the years ended February 28, 2018 and February 28, 2017, including transactions in USTF, was 20%, 25% and 39%, respectively, of the average value of its portfolio.

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

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		123

GMO Trust Funds

Notes to Financial Statements

August 31, 2018 (Unaudited)

1.	Organization

Each of Alpha Only Fund, Benchmark-Free Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, Global Equity Allocation Fund, Implementation Fund, International Developed Equity Allocation Fund, International Equity Allocation Fund, SGM Major Markets Fund, Special Opportunities Fund and Strategic Opportunities Allocation Fund, (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

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

Many of the Funds may invest primarily in other GMO Funds and Implementation Fund, Special Opportunities Fund, and SGM Major Markets Fund may also invest in their wholly-owned subsidiaries, GMO Implementation SPC Ltd., GMO Special Opportunities SPC Ltd. and GMO Alternative Asset SPC Ltd., respectively. These GMO Funds and wholly-owned subsidiaries are referenced herein as “underlying funds.” As a result, the Funds are exposed to all of the risks of the underlying funds in which they invest. Several of the underlying funds themselves invest a substantial portion of their assets in other GMO Funds. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.

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



Fund Name	Benchmark	Investment Objective
Alpha Only Fund	FTSE 3-Month Treasury Bill Index	Total return greater than benchmark
Benchmark-Free Allocation Fund	Not Applicable	Positive total return, not relative return
Benchmark-Free Fund	Not Applicable	Positive total return
Global Asset Allocation Fund	GMO Global Asset Allocation Index (65% MSCI ACWI, 35% Bloomberg Barclays U.S. Aggregate Index)	Total return greater than benchmark
Global Developed Equity Allocation Fund	MSCI World Index	Total return greater than benchmark
Global Equity Allocation Fund	MSCI ACWI	Total return greater than benchmark
Implementation Fund	Not Applicable	Positive total return, not relative return
International Developed Equity Allocation Fund	MSCI EAFE Index	Total return greater than benchmark
International Equity Allocation Fund	MSCI ACWI ex USA	Total return greater than benchmark
SGM Major Markets Fund	Not Applicable	Long-term total return
Special Opportunities Fund	Not Applicable	Positive total return
Strategic Opportunities Allocation Fund	GMO Strategic Opportunities Allocation Index (75% MSCI World Index (MSCI Standard Index Series), 25% Bloomberg Barclays U.S. Aggregate Index)	Total return greater than benchmark

Alpha Only Fund, Benchmark-Free Fund, Implementation Fund, Special Opportunities Fund and Strategic Opportunities Allocation Fund currently limit subscriptions.

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

124

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

2.	Significant accounting policies

Basis of presentation and principles of consolidation: Benchmark-Free Allocation Fund, Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund

Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund include the accounts of their wholly-owned subsidiaries Implementation SPC Ltd., Special Opportunities SPC Ltd., and Alternative Asset SPC Ltd. (each a “wholly-owned subsidiary”), respectively, and the accompanying financial statements have been consolidated for those accounts. The consolidated financial statements include all of the assets and liabilities of each wholly-owned subsidiary. Prior to August 1, 2015, Benchmark-Free Allocation Fund (“BFAF”) included the accounts of its wholly-owned subsidiary, Implementation Fund. Effective August 1, 2015, BFAF was no longer the sole shareholder of Implementation Fund, thus consolidation was no longer required. The accompanying Financial Highlights for BFAF include the accounts of Implementation Fund through July 31, 2015. All interfund accounts and transactions have been eliminated in consolidation.

Portfolio valuation

Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. Direct investments held by the Funds and underlying funds are valued as follows: Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within 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 or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2018, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

125

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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

As discussed above, certain of the Funds and underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees, fair valued using inputs obtained from an independent pricing service, or valued using prices for which no alternative pricing source was available. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 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		—		61%		—
Benchmark-Free Allocation Fund		< 1%		37%		2%
Benchmark-Free Fund		< 1%		44%		2%
Global Asset Allocation Fund		< 1%		39%		< 1%
Global Developed Equity Allocation Fund		< 1%		55%		—
Global Equity Allocation Fund		< 1%		62%		—
Consolidated Implementation Fund		< 1%		47%		1%
International Developed Equity Allocation Fund		< 1%		94%		—
International Equity Allocation Fund		< 1%		92%		—
Consolidated SGM Major Markets Fund		—		< 1%		—
Consolidated Special Opportunities Fund		—		11%		—
Strategic Opportunities Allocation Fund		< 1%		46%		1%

126

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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

The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

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

The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they are valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

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



Description	Level 1		Level 2		Level 3		Total
Alpha Only Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,106,315	$	—	$	1,106,315
Austria		—		351,180		—		351,180
Belgium		—		87,891		—		87,891
Brazil		26,444		2,549,180		—		2,575,624
Chile		—		16,307		—		16,307
China		43,328		14,351,945		—		14,395,273
Colombia		11,352		—		—		11,352
Czech Republic		—		15,540		—		15,540

127

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1		Level 2		Level 3			Total
Alpha Only Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Denmark	$	—	$	7,432	$	—		$	7,432
Egypt		—		10,410		—			10,410
Finland		—		471,231		—			471,231
France		21,425		1,804,482		—			1,825,907
Germany		—		3,780,354		—			3,780,354
Greece		—		—		36,561			36,561
Hong Kong		—		590,070		—			590,070
Hungary		—		49,758		—			49,758
India		—		3,746,677		—			3,746,677
Indonesia		—		199,360		—			199,360
Ireland		—		6,718		—			6,718
Israel		—		171,964		—			171,964
Italy		237,829		1,244,882		—			1,482,711
Japan		—		8,347,294		—			8,347,294
Malaysia		—		423,966		0	§		423,966
Mexico		1,133,671		—		—			1,133,671
Netherlands		—		1,045,023		—			1,045,023
New Zealand		—		28,776		—			28,776
Norway		—		1,158,402		—			1,158,402
Philippines		—		63,855		—			63,855
Poland		—		153,714		—			153,714
Portugal		—		44,339		—			44,339
Qatar		—		11,213		—			11,213
Russia		—		534,145		—			534,145
Singapore		—		206,392		—			206,392
South Africa		—		3,432,075		—			3,432,075
South Korea		460,377		3,723,949		—			4,184,326
Spain		—		644,176		—			644,176
Sweden		—		1,441,335		—			1,441,335
Switzerland		—		3,741,934		—			3,741,934
Taiwan		877,712		6,107,072		—			6,984,784
Thailand		—		2,194,175		—			2,194,175
Turkey		—		788,774		—			788,774
United Arab Emirates		—		17,918		—			17,918
United Kingdom		1,285,900		6,555,223		—			7,841,123
United States		29,785,962		—		—			29,785,962

TOTAL COMMON STOCKS		33,884,000		71,225,446		36,561			105,146,007

Preferred Stocks
Brazil		16,656		158,659		—			175,315
Colombia		14,927		—		—			14,927
Germany		—		364,103		—			364,103
Russia		—		15,231		—			15,231
South Korea		—		582,948		—			582,948

TOTAL PREFERRED STOCKS		31,583		1,120,941		—			1,152,524

Rights/Warrants
Thailand		—		—		0	§		0	§

TOTAL RIGHTS/WARRANTS		—		—		0	§		0	§

128

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1			Level 2			Level 3		Total
Alpha Only Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	7,476,175		$	—		$	—	$	7,476,175

TOTAL MUTUAL FUNDS		7,476,175			—			—		7,476,175

Short-Term Investments		7,818,013			—			—		7,818,013

Total Investments		49,209,771			72,346,387			36,561		121,592,719

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			463,811			—		463,811

Total	$	49,209,771		$	72,810,198		$	36,561	$	122,056,530


Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(77,608	)	$	—	$	(77,608	)
Futures Contracts
Equity Risk		(4,276,176	)		—			—		(4,276,176	)

Total	$	(4,276,176	)	$	(77,608	)	$	—	$	(4,353,784	)


Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	12,552,472,324		$	—		$	—	$	12,552,472,324
Short-Term Investments		7,583,551			—			—		7,583,551

Total Investments		12,560,055,875			—			—		12,560,055,875

Total	$	12,560,055,875		$	—		$	—	$	12,560,055,875


Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	29,766,873		$	—	$	29,766,873
Austria		—			6,982,677			—		6,982,677
Belgium		—			1,851,216			—		1,851,216
Brazil		1,737,121			37,211,648			—		38,948,769
Canada		57,794,676			—			—		57,794,676
Chile		—			67,998			—		67,998
China		8,399,367			197,273,757			—		205,673,124
Colombia		2,463,871			—			—		2,463,871
Czech Republic		—			221,434			—		221,434
Denmark		1,784,871			6,855,927			—		8,640,798
Egypt		—			9,052			—		9,052
Finland		—			8,920,493			—		8,920,493
France		8,257,681			37,713,979			—		45,971,660
Germany		—			73,743,520			—		73,743,520
Greece		—			—			67,166		67,166
Hong Kong		—			19,196,324			—		19,196,324
Hungary		—			1,215,368			—		1,215,368
India		—			55,453,565			—		55,453,565
Indonesia		52,074			5,514,637			—		5,566,711
Ireland		1,877,652			—			—		1,877,652

129

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1		Level 2		Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Israel	$	—	$	824,737	$	—	$	824,737
Italy		10,676,640		19,863,277		—		30,539,917
Japan		—		173,075,765		—		173,075,765
Malaysia		—		5,229,385		—		5,229,385
Mexico		21,388,701		—		—		21,388,701
Netherlands		—		12,634,564		—		12,634,564
New Zealand		—		1,476,693		—		1,476,693
Norway		—		24,437,103		—		24,437,103
Pakistan		—		137,840		—		137,840
Peru		109,010		—		—		109,010
Philippines		—		1,053,266		—		1,053,266
Poland		—		5,066,103		—		5,066,103
Portugal		—		560,664		—		560,664
Qatar		—		1,227,584		—		1,227,584
Russia		1,245,550		23,482,770		—		24,728,320
Singapore		—		4,812,328		—		4,812,328
South Africa		39,260		50,908,012		—		50,947,272
South Korea		5,774,220		62,591,000		—		68,365,220
Spain		—		10,626,914		—		10,626,914
Sweden		—		36,373,607		—		36,373,607
Switzerland		130,480		40,205,460		—		40,335,940
Taiwan		5,669,145		89,654,896		—		95,324,041
Thailand		—		28,125,758		—		28,125,758
Turkey		—		13,710,089		—		13,710,089
United Arab Emirates		—		976,044		—		976,044
United Kingdom		11,327,592		96,479,158		—		107,806,750
United States		150,725,147		—		—		150,725,147

TOTAL COMMON STOCKS		289,453,058		1,185,531,485		67,166		1,475,051,709

Preferred Stocks
Brazil		—		9,708,528		—		9,708,528
Colombia		26,944		—		—		26,944
Germany		—		2,741,634		—		2,741,634
Russia		—		2,736,137		—		2,736,137
South Korea		—		13,367,627		—		13,367,627
Sweden		—		94,852		—		94,852
Taiwan		—		29,243		—		29,243

TOTAL PREFERRED STOCKS		26,944		28,678,021		—		28,704,965

Rights/Warrants
Thailand		74,814		—		—		74,814

TOTAL RIGHTS/WARRANTS		74,814		—		—		74,814

Investment Funds
United States		1,734,614		—		—		1,734,614

TOTAL INVESTMENT FUNDS		1,734,614		—		—		1,734,614

Debt Obligations
United States		161,862,888		592,084,194		—		753,947,082

TOTAL DEBT OBLIGATIONS		161,862,888		592,084,194		—		753,947,082

130

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	1,113,718,893		$	—		$	—	$	1,113,718,893

TOTAL MUTUAL FUNDS		1,113,718,893			—			—		1,113,718,893

Short-Term Investments		18,223,136			199,446,644			—		217,669,780

Total Investments		1,585,094,347			2,005,740,344			67,166		3,590,901,857

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			2,230,442			—		2,230,442
Swap Contracts
Equity Risk		—			37,304			—		37,304

Total	$	1,585,094,347		$	2,008,008,090		$	67,166	$	3,593,169,603


Liability Valuation Inputs
Common Stocks
Brazil	$	(2,643,435	)	$	—		$	—	$	(2,643,435	)
Canada		(5,511,435	)		—			—		(5,511,435	)
Denmark		—			(1,168,643	)		—		(1,168,643	)
Finland		—			(39,707	)		—		(39,707	)
France		—			(2,094,194	)		—		(2,094,194	)
Germany		—			(6,169,376	)		—		(6,169,376	)
Israel		(1,188,536	)		—			—		(1,188,536	)
Italy		—			(5,477,322	)		—		(5,477,322	)
Japan		—			(7,081,894	)		—		(7,081,894	)
Netherlands		—			(618,318	)		—		(618,318	)
Singapore		—			(73,496	)		—		(73,496	)
Spain		—			(6,606,422	)		—		(6,606,422	)
Sweden		—			(45,218	)		—		(45,218	)
Switzerland		—			(2,838,305	)		—		(2,838,305	)
United Kingdom		—			(3,922,527	)		—		(3,922,527	)
United States		(1,408,279	)		—			—		(1,408,279	)

TOTAL COMMON STOCKS		(10,751,685	)		(36,135,422	)		—		(46,887,107	)

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(353,507	)		—		(353,507	)
Futures Contracts
Equity Risk		(12,540,909	)		—			—		(12,540,909	)
Swap Contracts
Equity Risk		—			(665,959	)		—		(665,959	)

Total	$	(23,292,594	)	$	(37,154,888	)	$	—	$	(60,447,482	)


Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,191,777,680		$	—		$	—	$	2,191,777,680
Debt Obligations
Asset-Backed Securities		—			55,973			—		55,973

TOTAL DEBT OBLIGATIONS		—			55,973			—		55,973

131

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1		Level 2		Level 3		Total
Global Asset Allocation Fund (continued)
Asset Valuation Inputs (continued)
Short-Term Investments	$	315,238	$	—	$	—	$	315,238

Total Investments		2,192,092,918		55,973		—		2,192,148,891

Total	$	2,192,092,918	$	55,973	$	—	$	2,192,148,891


Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	460,355,817	$	—	$	—	$	460,355,817
Short-Term Investments		121,679		—		—		121,679

Total Investments		460,477,496		—		—		460,477,496

Total	$	460,477,496	$	—	$	—	$	460,477,496


Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,013,440,565	$	—	$	—	$	2,013,440,565
Short-Term Investments		656,642		—		—		656,642

Total Investments		2,014,097,207		—		—		2,014,097,207

Total	$	2,014,097,207	$	—	$	—	$	2,014,097,207


Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	102,646,178	$	—	$	102,646,178
Austria		—		27,035,385		—		27,035,385
Belgium		—		8,657,425		—		8,657,425
Brazil		22,436,987		128,864,478		—		151,301,465
Canada		189,484,519		—		—		189,484,519
Chile		—		1,183,490		—		1,183,490
China		31,436,425		812,673,509		—		844,109,934
Colombia		11,568,086		—		—		11,568,086
Czech Republic		—		2,294,668		—		2,294,668
Denmark		5,236,605		19,745,778		—		24,982,383
Egypt		—		129,694		—		129,694
Finland		—		32,180,897		—		32,180,897
France		19,017,334		128,066,283		—		147,083,617
Germany		—		293,671,364		—		293,671,364
Greece		—		505,928		—		505,928
Hong Kong		—		56,945,469		—		56,945,469
Hungary		—		4,495,847		—		4,495,847
India		—		171,936,036		—		171,936,036
Indonesia		1,053,315		51,767,348		—		52,820,663
Ireland		4,664,326		52,683		—		4,717,009
Israel		23,474,902		15,912,085		—		39,386,987
Italy		31,075,593		74,450,340		—		105,525,933
Japan		—		578,352,108		—		578,352,108
Malaysia		—		16,912,282		—		16,912,282
Mexico		127,439,367		—		—		127,439,367
Netherlands		32,906,362		49,105,836		—		82,012,198
New Zealand		—		2,844,871		—		2,844,871
Norway		—		72,212,945		—		72,212,945

132

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1		Level 2		Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Pakistan	$	—	$	1,633,976	$	—	$	1,633,976
Philippines		—		12,863,795		—		12,863,795
Poland		—		69,985,792		—		69,985,792
Portugal		—		2,256,625		—		2,256,625
Qatar		—		25,704,874		—		25,704,874
Russia		15,984,601		259,665,427		—		275,650,028
Singapore		—		14,272,940		—		14,272,940
South Africa		541,788		259,531,776		—		260,073,564
South Korea		17,951,712		243,416,358		—		261,368,070
Spain		25,203,259		34,242,129		—		59,445,388
Sweden		—		116,063,344		—		116,063,344
Switzerland		—		155,141,883		—		155,141,883
Taiwan		40,745,212		521,705,781		—		562,450,993
Thailand		—		159,548,871		—		159,548,871
Turkey		316,646		98,682,877		—		98,999,523
United Arab Emirates		—		12,967,608		—		12,967,608
United Kingdom		101,612,975		306,941,451		—		408,554,426
United States		1,002,428,640		1,480,812		4,652,628		1,008,562,080

TOTAL COMMON STOCKS		1,704,578,654		4,948,749,246		4,652,628		6,657,980,528

Preferred Stocks
Brazil		8,841		32,689,585		—		32,698,426
Germany		—		14,748,228		—		14,748,228
Russia		—		13,806,431		—		13,806,431
South Korea		—		47,925,562		—		47,925,562
Taiwan		—		445,387		—		445,387

TOTAL PREFERRED STOCKS		8,841		109,615,193		—		109,624,034

Rights/Warrants
Brazil		—		—		436,824		436,824
Canada		—		—		137,808		137,808
Thailand		362,657		—		—		362,657
United States		—		—		130,841		130,841

TOTAL RIGHTS/WARRANTS		362,657		—		705,473		1,068,130

Investment Funds
United States		35,554,467		—		—		35,554,467

TOTAL INVESTMENT FUNDS		35,554,467		—		—		35,554,467

Debt Obligations
Italy		—		4,112,828		—		4,112,828
Jamaica		—		6,305,356		—		6,305,356
Japan		—		365,016,854		—		365,016,854
Luxembourg		—		—		6,069,889		6,069,889
Puerto Rico		1,368,750		18,717,566		—		20,086,316
Spain		—		—		4,987,421		4,987,421
United States		951,482,870		1,825,597,967		43,408,370		2,820,489,207

TOTAL DEBT OBLIGATIONS		952,851,620		2,219,750,571		54,465,680		3,227,067,871

Mutual Funds
United States		43,733,040		—		—		43,733,040

TOTAL MUTUAL FUNDS		43,733,040		—		—		43,733,040

133

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Short-Term Investments	$	123,009,874		$	293,477,628		$	—	$	416,487,502
Purchased Options		2,375,845			—			799,510		3,175,355

Total Investments		2,862,474,998			7,571,592,638			60,623,291		10,494,690,927

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			18,872,718			—		18,872,718
Swap Contracts
Credit Risk		—			1,555,431			—		1,555,431
Equity Risk		—			4,498			—		4,498
Interest Rate Risk		—			7,595,247			—		7,595,247

Total	$	2,862,474,998		$	7,599,620,532		$	60,623,291	$	10,522,718,821


Liability Valuation Inputs
Common Stocks
Brazil	$	(9,681,039	)	$	—		$	—	$	(9,681,039	)
Canada		(20,192,254	)		—			—		(20,192,254	)
China		(36,000,257	)		—			—		(36,000,257	)
Denmark		—			(2,951,578	)		—		(2,951,578	)
France		—			(6,403,772	)		—		(6,403,772	)
Germany		—			(22,072,712	)		—		(22,072,712	)
Israel		(1,591,362	)		—			—		(1,591,362	)
Italy		—			(15,077,266	)		—		(15,077,266	)
Japan		—			(56,677,611	)		—		(56,677,611	)
Netherlands		—			(1,304,877	)		—		(1,304,877	)
Singapore		—			(452,242	)		—		(452,242	)
Spain		—			(13,457,532	)		—		(13,457,532	)
Switzerland		—			(13,177,723	)		—		(13,177,723	)
United Kingdom		—			(14,255,233	)		—		(14,255,233	)
United States		(136,221,910	)		—			—		(136,221,910	)

TOTAL COMMON STOCKS		(203,686,822	)		(145,830,546	)		—		(349,517,368	)

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(8,697,555	)		—		(8,697,555	)
Futures Contracts
Equity Risk		(62,026,499	)		—			—		(62,026,499	)
Written Options
Equity Risk		(1,560,905	)		—			—		(1,560,905	)
Swap Contracts
Equity Risk		—			(1,843,355	)		—		(1,843,355	)
Interest Rate Risk		—			(6,600,284	)		—		(6,600,284	)

Total	$	(267,274,226	)	$	(162,971,740	)	$	—	$	(430,245,966	)


International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	635,059,954		$	—		$	—	$	635,059,954
Short-Term Investments		241,796			—			—		241,796

Total Investments		635,301,750			—			—		635,301,750

Total	$	635,301,750		$	—		$	—	$	635,301,750

134

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1			Level 2			Level 3		Total
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,020,151,473		$	—		$	—	$	1,020,151,473
Short-Term Investments		356,878			—			—		356,878

Total Investments		1,020,508,351			—			—		1,020,508,351

Total	$	1,020,508,351		$	—		$	—	$	1,020,508,351


Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	768,565,138		$	—		$	—	$	768,565,138
U.S. Government Agency		348,966,754			—			—		348,966,754

TOTAL DEBT OBLIGATIONS		1,117,531,892			—			—		1,117,531,892

Short-Term Investments		596,548,736			17,204,641			—		613,753,377

Total Investments		1,714,080,628			17,204,641			—		1,731,285,269

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			6,305,016			—		6,305,016
Futures Contracts
Equity Risk		—			3,055,025			—		3,055,025
Interest Rate Risk		2,395,440			—			—		2,395,440
Physical Commodity Contract Risk		5,582,905			—			—		5,582,905

Total	$	1,722,058,973		$	26,564,682		$	—	$	1,748,623,655


Liability Valuation Inputs
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(15,066,893	)	$	—	$	(15,066,893	)
Futures Contracts
Equity Risk		(34,386,427	)		(11,498,298	)		—		(45,884,725	)
Interest Rate Risk		(120,210	)		—			—		(120,210	)

Total	$	(34,506,637	)	$	(26,565,191	)	$	—	$	(61,071,828	)


Consolidated Special Opportunities Fund
Asset Valuation Inputs
Common Stocks
Canada	$	—		$	—		$	45,977	$	45,977
Germany		—			18,234,282			—		18,234,282
Netherlands		21,427,250			—			—		21,427,250
United Kingdom		—			32,732,492			—		32,732,492
United States		260,557,964			—			—		260,557,964

TOTAL COMMON STOCKS		281,985,214			50,966,774			45,977		332,997,965

Short-Term Investments		118,908,642			—			—		118,908,642

Total Investments		400,893,856			50,966,774			45,977		451,906,607

Total	$	400,893,856		$	50,966,774		$	45,977	$	451,906,607

135

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1			Level 2		Level 3			Total
Consolidated Special Opportunities Fund (continued)
Liability Valuation Inputs
Written Options
Equity Risk	$	(229,000	)	$	—	$	—		$	(229,000	)

Total	$	(229,000	)	$	—	$	—		$	(229,000	)


Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	1,113,824	$	—		$	1,113,824
Austria		—			238,952		—			238,952
Belgium		—			31,660		—			31,660
Brazil		—			2,172,196		—			2,172,196
Canada		2,780,039			—		—			2,780,039
China		—			4,297,120		—			4,297,120
Denmark		108,174			241,208		—			349,382
France		441,568			1,276,055		—			1,717,623
Germany		—			3,259,506		—			3,259,506
Hong Kong		—			996,807		—			996,807
India		982,421			—		—			982,421
Ireland		44,706			—		—			44,706
Italy		680,978			1,502,466		—			2,183,444
Japan		—			10,590,568		—			10,590,568
Malaysia		—			152,000		—			152,000
Malta		—			—		0	§		0§
Mexico		19,325			—		—			19,325
Netherlands		—			124,038		—			124,038
New Zealand		—			9,387		—			9,387
Norway		—			1,166,290		—			1,166,290
Poland		—			23,724		—			23,724
Portugal		—			17,139		—			17,139
Singapore		—			43,567		—			43,567
South Africa		—			937,712		—			937,712
South Korea		494,190			892,144		—			1,386,334
Spain		—			142,299		—			142,299
Sweden		—			2,748,390		—			2,748,390
Switzerland		—			374,817		—			374,817
Taiwan		—			1,652,430		—			1,652,430
Thailand		—			25,198		—			25,198
United Kingdom		191,400			5,007,870		—			5,199,270
United States		61,229,746			—		—			61,229,746

TOTAL COMMON STOCKS		66,972,547			39,037,367		0	§		106,009,914

Preferred Stocks
Germany		—			707,709		—			707,709

TOTAL PREFERRED STOCKS		—			707,709		—			707,709

Debt Obligations
United States		—			86,094,937		—			86,094,937

TOTAL DEBT OBLIGATIONS		—			86,094,937		—			86,094,937

136

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	916,387,200		$	—		$	—	$	916,387,200

TOTAL MUTUAL FUNDS		916,387,200			—			—		916,387,200

Short-Term Investments		1,195,166			—			—		1,195,166

Total Investments		984,554,913			125,840,013			0§		1,110,394,926


Liability Valuation Inputs
Common Stocks
Brazil	$	(268,677	)	$	—		$	—	$	(268,677	)
Canada		(1,307,316	)		—			—		(1,307,316	)
France		—			(457,497	)		—		(457,497	)
Germany		—			(1,669,831	)		—		(1,669,831	)
Italy		—			(121,685	)		—		(121,685	)
Japan		—			(1,366,351	)		—		(1,366,351	)
Netherlands		—			(40,777	)		—		(40,777	)
Portugal		—			(118,680	)		—		(118,680	)
Spain		—			(854,823	)		—		(854,823	)
Switzerland		—			(787,511	)		—		(787,511	)
United Kingdom		—			(456,187	)		—		(456,187	)
United States		(15,997,273	)		—			—		(15,997,273	)

TOTAL COMMON STOCKS		(17,573,266	)		(5,873,342	)		—		(23,446,608	)

Derivatives^
Swap Contracts
Equity Risk		—			(75,139	)		—		(75,139	)

Total	$	(17,573,266	)	$	(5,948,481	)	$	—	$	(23,521,747	)

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

For all Funds for the period ended August 31, 2018, there were no significant transfers between Level 1 and Level 2.

137

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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 August 31, 2018		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2018
Alpha Only Fund
Common Stocks
Greece	$	—	$	—	$	—		$	—		$	—		$	—		$	36,561	‡	$	—	$	36,561	$	—
Rights/Warrants
Brazil		5,671		—		0			—			0			(5,671	)		—			—		—		—

Total Investments	$	5,671	$	—	$	0		$	—		$	0		$	(5,671	)	$	36,561		$	—	$	36,561	$	—


Benchmark-Free Fund
Common Stocks
Greece	$	—	$	—	$	—		$	—		$	—		$	—		$	67,166	‡	$	—	$	67,166	$	—
Rights/Warrants
Brazil		113,625		—		0			—			0			(113,625	)		—			—		—		—

Total Investments	$	113,625	$	—	$	0		$	—		$	0		$	(113,625	)	$	67,166		$	—	$	67,166	$	—


Consolidated Implementation Fund
Common Stocks
United Kingdom	$	—	$	—	$	—		$	—		$	(235,198	)	$	235,198		$	—		$	—	$	—	$	—
United States		—		4,733,782					—			—			(81,154	)		—			—		4,652,628		(81,154	)
Rights/Warrants
Brazil		203,741		519,966		0			—			—			(286,883	)		—			—		436,824		(83,142	)
Canada		217,232		—		—			—			—			(79,424	)		—			—		137,808		(71,715	)
United States		48,966		—		(6,110	)		—			(105,144	)		193,129			—			—		130,841		104,672
Debt Obligations
Bank Loans
Luxembourg		—		6,038,500		(16,213	)		16,769			475			30,358			—			—		6,069,889		30,358
Spain		6,460,857		954,915		(3,785,043	)		(8,996	)		(119,455	)		(6,765	)		—			—		3,495,513		(6,765	)
United States		24,534,800		19,554,057		(10,508,389	)		199,562			159,475			(684,730	)		—			—		33,254,775		(684,730	)
Corporate Debt																									—
Brazil		30,260,306		—		(27,088,798	)		5,152,097			(17,181,152	)		8,857,547			—			—		—		—
Spain		2,788,545		72,974		(1,292,834	)		(3,959	)		(24,692	)		(48,126	)		—			—		1,491,908		(48,126	)
United States		1,269,450		1,694,560		(350,075	)		27,516			17,666			93,378			7,401,100			—		10,153,595		93,378

Total Investments	$	65,783,897	$	33,568,754	$	(43,047,462	)	$	5,382,989		$	(17,488,025	)	$	8,222,528		$	7,401,100		$	—	$	59,823,781	$	(747,224	)


Purchased Options
United States	$	—	$	849,684	$	—		$	—		$	—		$	(50,174	)	$	—		$	—	$	799,510	$	(50,174	)

Total Investments	$	65,783,897	$	34,418,438	$	(43,047,462	)	$	5,382,989		$	(17,488,025	)	$	8,172,354		$	7,401,100		$	—	$	60,623,291	$	(797,398	)


Consolidated Special Opportunities Fund
Common Stocks
Canada	$	70,137	$	—	$	—		$	—		$	—		$	(24,160	)	$	—		$	—	$	45,977	$	(24,160	)

Total Investments	$	70,137	$	—	$	—		$	—		$	—		$	(24,160	)	$	—		$	—	$	45,977	$	(24,160	)

†

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.

138

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



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

Cash

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

Due to/from broker

Foreign currency translation

Loan assignments and participations

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

139

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

Repurchase agreements



Fund Name	Counterparty	Gross Value		Weighted Average Maturity (days)
Benchmark-Free Fund	Daiwa Capital Markets		$115,734,491		4
Consolidated Implementation Fund	Nomura Securities International, Inc.		149,999,882		4

Reverse repurchase agreements

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

Inflation-indexed bonds

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

Short sales

140

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

Some Funds may loan their portfolio securities through an “enhanced custody” program offered by the Funds’ custodian to facilitate the borrowing of securities for the Funds’ short sales. Under the program, a Fund borrows securities from the custodian and sells short those borrowed securities. The Fund may utilize various ways of collateralizing its obligation to return the borrowed securities, including by pledging securities held in the Fund’s custodial account to the custodian, or by lending securities held in the Fund’s custodial account to the custodian. The loans will be secured by collateral from the custodian equal at all times to at least 100% of the market value of the loaned securities. For its participation in the enhanced custody program, the Fund will pay the custodian a securities borrow fee and a financing charge. The following table provides the value of securities on loan under this program as of August 31, 2018:



Fund Name	Value of securities on loan ($)
Benchmark-Free Fund		25,760,595
Implementation Fund		118,828,587
Strategic Opportunities Allocation Fund		11,363,020

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.

Taxes and distributions

Alternative Asset SPC Ltd., Implementation SPC Ltd. and Special Opportunities SPC Ltd. are wholly-owned subsidiaries of SGM Major Markets Fund, Implementation Fund and Special Opportunities Fund, respectively, and each has elected to be treated as a (non-U.S.) corporation for U.S. federal income tax purposes.

141

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders and/or if certain investments are made by a Fund’s wholly-owned subsidiary. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the period ended August 31, 2018, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations.

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

142

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

As of February 28, 2018, certain Funds elected to defer to March 1, 2018 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:



Fund Name	Late-Year Ordinary Loss Deferral ($)		Post-October Capital Losses ($)
Alpha Only Fund		(498,528)		(432,765)
Benchmark-Free Allocation Fund		(14,099,472)		—
Benchmark-Free Fund		—		—
Global Asset Allocation Fund		—		—
Global Developed Equity Allocation Fund		(1,264)		—
Global Equity Allocation Fund		(12,338)		—
Consolidated Implementation Fund		—		—
International Developed Equity Allocation Fund		(3,056)		—
International Equity Allocation Fund		(5,092)		—
Consolidated SGM Major Markets Fund		(2,314,280)		(21,486,920)
Consolidated Special Opportunities Fund		(1,795,158)		(4,297)
Strategic Opportunities Allocation Fund		—		—

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



	Short-Term ($)				Total Short-Term ($)		Long-Term ($)
Fund Name	Expiration Date 2/28/2019		No Expiration Date		Total Short-Term ($)		No Expiration Date
Alpha Only Fund		—		(222,208,680)		(222,208,680)		(172,307,094)
Benchmark-Free Allocation Fund		(10,499,416)		(20,273,725)		(30,773,141)		(208,740,084)
Benchmark-Free Fund		—		(27,643,271)		(27,643,271)		(388,241,964)
Global Asset Allocation Fund		—		—		—		(189,439,171)
Global Developed Equity Allocation Fund		—		—		—		(79,826,540)
Global Equity Allocation Fund		—		—		—		(191,565,767)
Consolidated Implementation Fund		—		(704,778,936)		(704,778,936)		—
International Developed Equity Allocation Fund		(22,515,333)		—		(22,515,333)		(66,355,364)
International Equity Allocation Fund		—		—		—		(54,500,044)
Consolidated SGM Major Markets Fund		—		—		—		—
Consolidated Special Opportunities Fund		—		—		—		—
Strategic Opportunities Allocation Fund		—		—		—		—

143

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



	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		121,025,665		7,841,047		(7,273,993)		567,054		(3,889,973)
Benchmark-Free Allocation Fund		12,349,630,410		294,808,863		(84,383,398)		210,425,465		—
Benchmark-Free Fund		3,470,903,588		185,860,385		(112,749,223)		73,111,162		(11,292,629)
Global Asset Allocation Fund		2,235,693,744		—		(43,544,853)		(43,544,853)		—
Global Developed Equity Allocation Fund		442,266,892		18,210,604		—		18,210,604		—
Global Equity Allocation Fund		2,038,541,684		21,260,463		(45,704,940)		(24,444,477)		—
Consolidated Implementation Fund		10,188,477,795		445,365,264		(488,669,500)		(43,304,236)		(53,480,343)
International Developed Equity Allocation Fund		716,229,582		6,780,646		(87,708,478)		(80,927,832)		—
International Equity Allocation Fund		1,082,125,719		27,352,286		(88,969,654)		(61,617,368)		—
Consolidated SGM Major Markets Fund		1,718,587,661		73,742,524		(61,044,916)		12,697,608		(49,316,346)
Consolidated Special Opportunities Fund		341,409,249		126,411,048		(15,913,690)		110,497,358		140,592
Strategic Opportunities Allocation Fund		1,047,871,890		49,631,392		(10,554,964)		39,076,428		(75,139)

Security transactions and related investment income

144

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

Expenses and class allocations

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

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Prior to November 3, 2017, Brown Brothers Harriman (“BBH”) served as Alpha Only Fund’s custodian and fund accounting agent. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations. Any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

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

GMO may consider known cash flows out of or into underlying funds when placing orders for the cash purchases or redemptions of underlying fund shares by accounts over which it has investment discretion, including the Funds and other pooled investment vehicles. Consequently, participants in those vehicles will tend to benefit more than other Fund shareholders from the waivers of purchase premiums and redemption fees that may occur when purchases and redemptions occur on the same day.

145

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

As of August 31, 2018, the premium on cash purchases and the fee on cash redemptions were as follows:



	Alpha Only Fund	Benchmark-Free Allocation Fund^(a)	Benchmark-Free Fund^(b)	Global Asset Allocation Fund^(c)	Global Developed Equity Allocation Fund^(d)	Global Equity Allocation Fund^(e)	Implementation Fund^(f)	International Developed Equity Allocation Fund^(g)	International Equity Allocation Fund^(h)	SGM Major Markets Fund	Special Opportunities Fund	Strategic Opportunities Allocation Fund⁽ⁱ⁾
Purchase Premium	—	—	—	—	—	—	—	—	—	—	0.50%	—
Redemption Fee	—	—	—	—	—	—	—	—	—	—	0.50%	—

^(a)

For the periods from June 30, 2016 to June 30, 2018, June 30, 2015 to June 30, 2016, June 30, 2014 to June 30, 2015 and June 30, 2013 to June 30, 2014, the premium on cash purchases and the fee on cash redemptions were each 0.20%, 0.18%, 0.13% and 0.11%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.12% of the amount invested or redeemed.

^(b)

For the periods from June 30, 2016 to June 30, 2018, June 30, 2015 to June 30, 2016, June 30, 2014 to June 30, 2015 and June 30, 2013 to June 30, 2014, the premium on cash purchases and the fee on cash redemptions were each 0.25%, 0.18%, 0.13% and 0.14%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.13% of the amount invested or redeemed.

^(c)

For the period from June 30, 2016 to June 30, 2018, June 30, 2015 to June 30, 2016 and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.15%, 0.14% and 0.11%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.10% of the amount invested or redeemed.

^(d)

For the period from March 10, 2014 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.08% of the amount invested or redeemed. Prior to March 10, 2014, there was no premium on cash purchases or fee on cash redemptions.

^(e)

For the period from June 30, 2016 to June 30, 2018, June 30, 2015 to June 30, 2016, and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.18%, 0.19% and 0.11%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.12% of the amount invested or redeemed.

^(f)

For the period from June 30, 2015 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.20% of the amount invested or redeemed. Prior to June 30, 2015, there was no premium on cash purchases or fee on cash redemptions.

^(g)

^(h)

For the period from June 30, 2016 to June 30, 2018, June 30, 2015 to June 30, 2016 and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.25%, 0.27% and 0.20%, respectively, of the amount invested or redeemed. Prior to June 20, 2013, the same fees were each 0.21% of the amount invested or redeemed.

⁽ⁱ⁾

For the period from June 30, 2016 to June 30, 2018, June 30, 2015 to June 30, 2016 and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.20%, 0.14% and 0.06% of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.07% of the amount invested or redeemed.

Recently-issued accounting guidance

146

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

3.	Investment and other risks

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

Alpha Only Fund

Benchmark-Free Allocation Fund

Benchmark-Free Fund

Global Asset Allocation Fund

Global Developed Equity Allocation Fund

Global Equity Allocation Fund

Implementation Fund

International Developed Equity Allocation Fund

International Equity Allocation Fund

SGM Major Markets Fund

Special Opportunities Fund

Strategic Opportunities Allocation Fund

Commodities Risk

Counterparty Risk

Credit Risk

Currency Risk

Derivatives and Short Sales Risk

Focused Investment Risk

Fund of Funds Risk

Futures Contracts Risk

Illiquidity Risk

Large Shareholder Risk

Leveraging Risk

Management and Operational Risk

Market Disruption and Geopolitical Risk

Market Risk – Asset-Backed Securities

Market Risk – Equities

Market Risk – Fixed Income

Merger Arbitrage Risk

Non-Diversified Funds

Non-U.S. Investment Risk

Small Company Risk

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

147

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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.

148

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

what impact an insolvency of a clearing house would have on the financial system. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the possibility exists that the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations or realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, in the European Union, governmental authorities could reduce, eliminate, or convert to equity the liabilities to the Funds of a counterparty experiencing financial difficulties (sometimes referred to as a “bail in”).

149

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

150

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

151

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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.

152

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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.

153

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

• 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.

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

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.

154

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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.

155

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

losses that would otherwise reduce distributable net investment income. In addition, large shareholders may limit or prevent a Fund’s use of equalization for U.S. federal tax purposes.

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

GMO relies heavily on quantitative models in making investment decisions for SGM Major Markets Fund. The usefulness of GMO’s models may be diminished by the faulty incorporation of mathematical models into computer code, by reliance on proprietary and third-party technology that includes errors, omissions, bugs, or viruses, and by the retrieval of limited or imperfect data for processing by the model. These risks are present in the ordinary course of business and are more likely to occur when GMO is making changes to its models. Any of these risks could adversely affect a Fund’s performance.

156

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

157

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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.

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 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.

158

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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.

159

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities.

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

In 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, the U.S. Federal Reserve recently has increased interest rates and continued economic recovery, and the Federal Reserve’s conclusion of its quantitative easing program increase the likelihood that interest rates will increase in the United States and throughout the financial system. A substantial increase in interest rates 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.

• 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.

160

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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 Australian tax consequences of an investment in the Funds, see the Funds’ Prospectus and Statement of Additional Information.

161

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

Benchmark-Free Allocation Fund, Benchmark-Free Fund and Implementation Fund may take temporary defensive positions if deemed prudent by GMO.

4.	Derivative financial instruments

At August 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 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.

162

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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.

163

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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.

* * *

164

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

For Funds that held derivatives during the period ended August 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*

Strategic
Opportunities
Allocation
Fund

Consolidated
SGM Major
Markets
Fund*

Consolidated
Special
Opportunities
Fund*

Forward currency contracts

Adjust currency exchange rate risk

Adjust exposure to foreign currencies

Manage against anticipated currency exchange rate changes

Futures contracts

Adjust exposure to certain securities markets

Substitute for direct investment

Adjust interest rate exposure

Maintain the diversity and liquidity of the portfolio

Hedge some or all of the broad market exposure of the underlying funds and/or assets in which the Fund invests

Options (Purchased)

Substitute for direct equity investment

Options (Written)

Substitute for direct equity investment

Adjust currency exchange rate risk

Adjust exposure to foreign currencies

Adjust interest rate exposure

Swap contracts

Adjust exposure to certain securities markets

Adjust interest rate exposure

Substitute for direct investment in securities

Achieve exposure to a reference entity’s credit

Rights and/or warrants

Received as a result of corporate actions

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

Forward currency contracts

165

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

Futures contracts

Options

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.

166

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

Swap contracts

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

167

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

Forward starting dividend swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in a dividend index point. A Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the relevant dividend index point based on a notional amount. For example, if a Fund took a long position on a dividend index swap, the Fund would receive payments if the relevant index point increased in value and would be obligated to pay if that index point decreased in value.

Future swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in an index. The Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the index based on a notional amount. For example, if the Fund took a long position on a future swap, the Fund would receive payments if the relevant index increased in value and would be obligated to pay if that index decreased in value.

Rights and warrants

168

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2018 and the Statements of Operations for the period ended August 31, 2018^:



	Credit Contracts		Commodity Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Alpha Only Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	—	$	0		$	—		$	—	$	—	$	0
Unrealized Appreciation on Forward Currency Contracts		—		—		—			463,811			—		—		463,811

Total	$	—	$	—	$	0		$	463,811		$	—	$	—	$	463,811

Derivatives not subject to Master Agreements	$	—	$	—	$	0		$	—		$	—	$	—		0

Total subject to Master Agreements	$	—	$	—	$	—		$	463,811		$	—	$	—	$	463,811

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—		$	(77,608	)	$	—	$	—	$	(77,608	)
Unrealized Depreciation on Futures Contracts¤		—		—		(4,276,176	)		—			—		—		(4,276,176	)

Total	$	—	$	—	$	(4,276,176	)	$	(77,608	)	$	—	$	—	$	(4,353,784	)

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

Total subject to Master Agreements	$	—	$	—	$	(4,276,176	)	$	(77,608	)	$	—	$	—	$	(4,353,784	)

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	—	$	1,286		$	—		$	—	$	—	$	1,286
Forward Currency Contracts		—		—		—			1,454,862			—		—		1,454,862
Futures Contracts		—		—		(9,469,476	)		—			—		—		(9,469,476	)

Total	$	—	$	—	$	(9,468,190	)	$	1,454,862		$	—	$	—	$	(8,013,328	)

Change in Net Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	—	$	(5,671	)	$	—		$	—	$	—	$	(5,671	)
Forward Currency Contracts		—		—		—			248,399			—		—		248,399
Futures Contracts		—		—		1,041,661			—			—		—		1,041,661

Total	$	—	$	—	$	1,035,990		$	248,399		$	—	$	—	$	1,284,389

169

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



	Credit Contracts		Commodity Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Benchmark-Free Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	—	$	74,814		$	—		$	—	$	—	$	74,814
Unrealized Appreciation on Forward Currency Contracts		—		—		—			2,230,442			—		—		2,230,442
Swap Contracts, at value¤		—		—		37,304			—			—		—		37,304

Total	$	—	$	—	$	112,118		$	2,230,442		$	—	$	—	$	2,342,560

Derivatives not subject to Master Agreements	$	—	$	—	$	74,814		$	—		$	—	$	—	$	74,814

Total subject to Master Agreements	$	—	$	—	$	37,304		$	2,230,442		$	—	$	—	$	2,267,746

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—		$	(353,507	)	$	—	$	—	$	(353,507	)
Unrealized Depreciation on Futures Contracts¤		—		—		(12,540,909	)		—			—		—		(12,540,909	)
Swap Contracts, at value¤		—		—		(665,959	)		—			—		—		(665,959	)

Total	$	—	$	—	$	(13,206,868	)	$	(353,507	)	$	—	$	—	$	(13,560,375	)

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

Total subject to Master Agreements	$	—	$	—	$	(13,206,868	)	$	(353,507	)	$	—	$	—	$	(13,560,375	)

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	—	$	(101,748	)	$	—		$	—	$	—	$	(101,748	)
Forward Currency Contracts		—		—		—			5,624,743			—		—		5,624,743
Futures Contracts		—		—		(6,163,056	)		—			—		—		(6,163,056	)
Swap Contracts		—		—		1,276,686			—			—		—		1,276,686

Total	$	—	$	—	$	(4,988,118	)	$	5,624,743		$	—	$	—	$	636,625

Change in Net Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	—	$	(114,332	)	$	—		$	—	$	—	$	(114,332	)
Forward Currency Contracts		—		—		—			5,163,444			—		—		5,163,444
Futures Contracts		—		—		(15,841,225	)		—			—		—		(15,841,225	)
Swap Contracts		—		—		(628,655	)		—			—		—		(628,655	)

Total	$	—	$	—	$	(16,584,212	)	$	5,163,444		$	—	$	—	$	(11,420,768	)


Consolidated Implementation Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	—	$	1,068,130		$	—		$	—	$	—	$	1,068,130
Investments, at value (purchased options)		—		—		3,175,355			—			—		—		3,175,355
Unrealized Appreciation on Forward Currency Contracts		—		—		—			18,872,718			—		—		18,872,718
Swap Contracts, at value¤		1,555,431		—		4,498			—			7,595,247		—		9,155,176

Total	$	1,555,431	$	—	$	4,247,983		$	18,872,718		$	7,595,247	$	—	$	32,271,379

Derivatives not subject to Master Agreements	$	—	$	—	$	1,068,130		$	—		$	—	$	—	$	1,068,130

Total subject to Master Agreements	$	1,555,431	$	—	$	3,179,853		$	18,872,718		$	7,595,247	$	—	$	31,203,249

170

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



	Credit Contracts			Commodity Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Consolidated Implementation Fund (continued)
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	—		$	(8,697,555	)	$	—		$	—	$	(8,697,555	)
Unrealized Depreciation on Futures Contracts¤		—			—		(62,026,499	)		—			—			—		(62,026,499	)
Written Options, at value		—			—		(1,560,905	)		—			—			—		(1,560,905	)
Swap Contracts, at value¤		—			—		(1,843,355	)		—			(6,600,284	)		—		(8,443,639	)

Total	$	—		$	—	$	(65,430,759	)	$	(8,697,555	)	$	(6,600,284	)	$	—	$	(80,728,598	)

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

Total subject to Master Agreements	$	—		$	—	$	(65,430,759	)	$	(8,697,555	)	$	(6,600,284	)	$	—	$	(80,728,598	)

Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—	$	(1,249,469	)	$	—		$	—		$	—	$	(1,249,469	)
Investments (rights and/or warrants)		—			—		(57,400	)		—			—			—		(57,400	)
Forward Currency Contracts		—			—		—			29,957,022			—			—		29,957,022
Futures Contracts		—			—		(25,407,108	)		—			(178,200	)		—		(25,585,308	)
Written Options		585,000			—		6,439,467			—			—			—		7,024,467
Swap Contracts		(886,967	)		—		4,765,198			—			3,206,777			—		7,085,008

Total	$	(301,967	)	$	—	$	(15,509,312	)	$	29,957,022		$	3,028,577		$	—	$	17,174,320

Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—	$	(2,393,667	)	$	—		$	—		$	—	$	(2,393,667	)
Investments (rights and/or warrants)		—			—		(228,332	)		—			—			—		(228,332	)
Forward Currency Contracts		—			—		—			34,925,277			—			—		34,925,277
Futures Contracts		—			—		(82,781,778	)		—			70,196			—		(82,711,582	)
Written Options		(14,062	)		—		(1,063,481	)		—			—			—		(1,077,543	)
Swap Contracts		773,222			—		(1,799,053	)		—			5,094,544			—		4,068,713

Total	$	759,160		$	—	$	(88,266,311	)	$	34,925,277		$	5,164,740		$	—	$	(47,417,134	)


Consolidated SGM Major Markets Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—	$	—		$	6,305,016		$	—		$	—	$	6,305,016
Unrealized Appreciation on Futures Contracts¤		—			5,582,905		3,055,025			—			2,395,440			—		11,033,370

Total	$	—		$	5,582,905	$	3,055,025		$	6,305,016		$	2,395,440		$	—	$	17,338,386

Total subject to Master Agreements	$	—		$	5,582,905	$	3,055,025		$	6,305,016		$	2,395,440		$	—	$	17,338,386

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	—		$	(15,066,893	)	$	—		$	—	$	(15,066,893	)
Unrealized Depreciation on Futures Contracts¤		—			—		(45,884,725	)		—			(120,210	)		—		(46,004,935	)

Total	$	—		$	—	$	(45,884,725	)	$	(15,066,893	)	$	(120,210	)	$	—	$	(61,071,828	)

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

Total subject to Master Agreements	$	—		$	—	$	(45,884,725	)	$	(15,066,893	)	$	(120,210	)	$	—	$	(61,071,828	)

Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—	$	—		$	53,008,241		$	—		$	—	$	53,008,241
Futures Contracts		—			7,191,700		(11,370,636	)		—			(15,967,445	)		—		(20,146,381	)

Total	$	—		$	7,191,700	$	(11,370,636	)	$	53,008,241		$	(15,967,445	)	$	—	$	32,861,860

171

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



	Credit Contracts		Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Consolidated SGM Major Markets Fund (continued)
Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—	$	—		$	—		$	(20,389,403	)	$	—	$	—	$	(20,389,403	)
Futures Contracts		—		6,965,192			(21,971,327	)		—			8,480,133		—		(6,526,002	)

Total	$	—	$	6,965,192		$	(21,971,327	)	$	(20,389,403	)	$	8,480,133	$	—	$	(26,915,405	)


Consolidated Special Opportunities Fund
Liability Derivatives
Written Options, at value	$	—	$	—		$	(229,000	)	$	—		$	—	$	—	$	(229,000	)

Total	$	—	$	—		$	(229,000	)	$	—		$	—	$	—	$	(229,000	)

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

Total subject to Master Agreements	$	—	$	—		$	(229,000	)	$	—		$	—	$	—	$	(229,000	)

Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—		$	—		$	(195,350	)	$	—	$	—	$	(195,350	)
Futures Contracts		—		(1,169,451	)		—			—			—		—		(1,169,451	)
Written Options		—		—			102,658			—			—		—		102,658

Total	$	—	$	(1,169,451	)	$	102,658		$	(195,350	)	$	—	$	—	$	(1,262,143	)

Change in Net Appreciation (Depreciation) on
Forward Currency Contracts	$	—	$	—		$	—		$	(4,181	)	$	—	$	—	$	(4,181	)
Futures Contracts		—		1,067,000			—			—			—		—		1,067,000
Written Options		—		—			140,592			—			—		—		140,592

Total	$	—	$	1,067,000		$	140,592		$	(4,181	)	$	—	$	—	$	1,203,411


Strategic Opportunities Allocation Fund
Liability Derivatives
Swap Contracts, at value¤	$	—	$	—		$	(75,139	)	$	—		$	—	$	—	$	(75,139	)

Total	$	—	$	—		$	(75,139	)	$	—		$	—	$	—	$	(75,139	)

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

Total subject to Master Agreements	$	—	$	—		$	(75,139	)	$	—		$	—	$	—	$	(75,139	)

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	—		$	(35	)	$	—		$	—	$	—	$	(35	)
Swap Contracts		—		—			171,660			—			—		—		171,660

Total	$	—	$	—		$	171,625		$	—		$	—	$	—	$	171,625

Change in Net Appreciation (Depreciation) on
Swap Contracts	$	—	$	—		$	(75,139	)	$	—		$	—	$	—	$	(75,139	)

Total	$	—	$	—		$	(75,139	)	$	—		$	—	$	—	$	(75,139	)

172

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

Alpha Only Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	41,717	$	—		$	(6,308	)	$	35,409
Barclays Bank plc		54,141		—			—			54,141
Goldman Sachs International		9,863		(6,768	)		(3,095	)		—	*
JPMorgan Chase Bank, N.A.		253,078		—			(52,089	)		200,989
Morgan Stanley & Co. International PLC		86,883		(60,000	)		(15,896	)		10,987
State Street Bank and Trust Company		18,129		—			(220	)		17,909

Total	$	463,811	$	(66,768	)	$	(77,608	)	$	319,435



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	6,308	$	—		$	6,308		$	—
Goldman Sachs International		3,095		—			3,095			—
JPMorgan Chase Bank, N.A.		52,089		—			52,089			—
Morgan Stanley & Co. International PLC		15,896		—			15,896			—
State Street Bank and Trust Company		220		—			220			—

Total	$	77,608	$	—		$	77,608		$	—

173

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

Benchmark-Free Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	184,372	$	(6,748	)	$	(20,214	)	$	157,410
Barclays Bank plc		248,764		(210,000	)		(16,811	)		21,953
Goldman Sachs International		111,506		—			(110,564	)		942
JPMorgan Chase Bank, N.A.		838,467		(729,596	)		(108,871	)		—	*
Morgan Stanley & Co. International PLC		719,884		(477,000	)		(96,261	)		146,623
Morgan Stanley Capital Services LLC		37,304		—			37,304			—
State Street Bank and Trust Company		127,449		—			(786	)		126,663

Total	$	2,267,746	$	(1,423,344	)	$	(316,203	)	$	453,591



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	20,214	$	—		$	20,214		$	—
Barclays Bank plc		16,811		—			16,811			—
Goldman Sachs International		110,564		—			110,564			—
JPMorgan Chase Bank, N.A.		108,871		—			108,871			—
Morgan Stanley & Co. International PLC		96,261		—			96,261			—
Morgan Stanley Capital Services LLC		665,959		(628,655	)		(37,304	)		—	*
State Street Bank and Trust Company		786		—			786			—

Total	$	1,019,466	$	(628,655	)	$	316,203		$	—

Consolidated Implementation Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	777,947	$	(666,988	)	$	(110,959	)	$	—	*
Barclays Bank plc		3,157,972		(751,381	)		(2,406,591	)		—	*
Goldman Sachs International		2,180,307		(1,671,779	)		(259,079	)		249,449
JPMorgan Chase Bank, N.A.		6,129,650		(3,712,104	)		(2,417,546	)		—	*
Morgan Stanley Capital Services LLC.		4,498		—			4,498			—
Morgan Stanley & Co. International PLC		7,704,589		(3,240,000	)		(3,499,087	)		965,502
Morgan Stanley & Co. LLC		3,175,355		—			(1,560,905	)		1,614,450
State Street Bank and Trust Company		477,684		—			(4,293	)		473,391

Total	$	23,608,002	$	(10,042,252	)	$	(10,253,962	)	$	3,302,792



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	110,959	$	—		$	110,959		$	—
Barclays Bank plc		2,406,591		—			2,406,591			—
Goldman Sachs International		259,079		—			259,079			—
JPMorgan Chase Bank, N.A.		2,417,546		—			2,417,546			—
Morgan Stanley Capital Services LLC		1,843,355		(1,838,857	)		(4,498	)		—	*
Morgan Stanley & Co. International PLC		3,499,087		—			3,499,087			—
Morgan Stanley & Co. LLC		1,560,905		—			1,560,905			—
State Street Bank and Trust Company		4,293		—			4,293			—

Total	$	12,101,815	$	(1,838,857	)	$	10,253,962			—

174

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

Consolidated SGM Major Markets Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Barclays Bank plc	$	16,126	$	—		$	—		$	16,126
Deutsche Bank AG		175,025		—			175,025			—
JPMorgan Chase Bank, N.A.		27,512		—			27,512			—
Morgan Stanley & Co. International PLC		614,692		—			614,692			—
State Street Bank and Trust Company		3,696,109		—			(2,398,811	)		1,297,298
UBS AG		1,775,552		—			1,775,552			—

Total	$	6,305,016	$	—		$	193,970		$	1,313,424



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Deutsche Bank AG	$	656,201	$	—		$	(175,025	)	$	481,176
JPMorgan Chase Bank, N.A.		358,924		—			(27,512	)		331,412
Morgan Stanley & Co. International PLC		5,291,104		(4,676,412	)		(614,692	)		—	*
State Street Bank and Trust Company		2,398,811		—			2,398,811			—
UBS AG		6,361,853		(4,586,301	)		(1,775,552	)		—

Total	$	15,066,893	$	(9,262,713	)	$	(193,970	)	$	812,588

Consolidated Special Opportunities Fund



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Morgan Stanley & Co. LLC	$	229,000	$	(229,000	)	$	—	$	—	*

Total	$	229,000	$	(229,000	)	$	—	$	—

Strategic Opportunities Allocation Fund



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Morgan Stanley Capital Services LLC	$	75,139	$	—	$	—	$	75,139

Total	$	75,139	$	—	$	—	$	75,139

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



Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)		Options (Principal)		Options (Contracts)		Rights and/or Warrants ($)
Alpha Only Fund		31,658,051		149,486,403		—		—		—		1,095
Benchmark-Free Fund		166,493,762		304,627,911		11,919,790		—		—		239,401
Consolidated Implementation Fund		1,648,201,785		1,419,369,445		2,084,642,947		16,666,667		48,805		1,411,160
Consolidated SGM Major Markets Fund		1,134,983,294		2,468,090,083		—		—		—		—
Consolidated Special Opportunities Fund		3,899,977		1,357,365		—		—		550		—
Strategic Opportunities Allocation Fund		—		—		1,243,078		—		—		16,508

175

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

5.	Fees and other transactions with affiliates

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



	Alpha Only Fund		Benchmark-Free Allocation Fund		Benchmark-Free Fund		Global Asset Allocation Fund		Global Developed Equity Allocation Fund		Global Equity Allocation Fund		Implementation Fund		International Developed Equity Allocation Fund		International Equity Allocation Fund		SGM Major Markets Fund		Special Opportunities Fund		Strategic Opportunities Allocation Fund
Management Fee		0.50%		0.65%		—		—		—		—		—		—		—		0.85%		1.10%		—

For certain Funds above, GMO does not charge the Fund a management fee or shareholder service fee, but it receives management and/or shareholder service fees from the underlying funds in which the Fund invests. Because those fees vary from fund to fund, the levels of indirect net expenses set forth below are affected by GMO’s asset allocation decisions.

In addition, each class of shares of certain Funds pays GMO directly or indirectly a shareholder service or supplemental support fee. Shareholder service fees are paid to GMO for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Class MF shares of Benchmark-Free Allocation Fund are subject to a supplemental support fee payable to GMO for providing supplemental support services to Class MF shareholders and their investment advisers. Those supplemental support services include, without limitation, (i) providing and presenting (a) educational and explanatory information about the Fund and its asset allocation strategy as requested or directed by an investor or its investment adviser; (b) similar educational and explanatory information about the strategies of the GMO Funds in which the Fund invests; (c) information for inclusion in the quarterly or other periodic reports of the investor; (ii) responding to information requests relating to oversight functions of the investor’s board of directors in areas including pricing, compliance, and taxation; (iii) providing access to and setting up meetings with GMO’s Chief Investment Strategist and Head of GMO’s Asset Allocation Team and other investment professionals of GMO; (iv) assisting with inquiries from an investor’s investment adviser; and (v) providing such other assistance as may be requested from time to time by an investor or its agent, so long as that assistance is not primarily intended to result in the sale of Fund shares.

Shareholder service and/or supplemental support fees are paid monthly at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below:



Fund Name	Class III		Class IV		Class V		Class VI		Class MF
Alpha Only Fund		0.15%		0.10%
Benchmark-Free Allocation Fund		0.15%		0.10%						0.10%
SGM Major Markets Fund		0.15%		0.10%				0.055%
Special Opportunities Fund		0.15%*		0.10%*		0.085%*		0.055%

Class is offered but has no shareholders as of August 31, 2018.

176

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

For each Fund, other than Special Opportunities Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). For Special Opportunities Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.10% of the Fund’s average daily net assets (“Expense Threshold Amount”). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO.

Subject to the exclusions noted below, “Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses. In the case of Benchmark-Free Fund, “Specified Operating Expenses” does not include the Fund’s direct custody expenses attributable to its holdings of emerging market securities.

For Special Opportunities Fund, GMO is permitted to recover from the Fund, on a class-by-class basis, as applicable, the “Specified Operating Expenses” GMO has borne or reimbursed (whether through reduction of its fees or otherwise) to the extent that the Fund’s “Specified Operating Expenses” later fall below the Expense Threshold Amount or the lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. The amount GMO is entitled to recover may not cause a Fund to exceed the Expense Threshold Amount or the lower expense limit in effect when GMO seeks recovery.

For the period ended August 31, 2018, GMO did not recoup any previously recorded waivers and/or reimbursements.

On August 31, 2018, the waivers and/or reimbursements subject to possible future recoupment are as follows:

Expiring
during year ending
February 28, 2019

Expiring
during year ending
February 29, 2020

Expiring
during year ending
February 28, 2021

Consolidated Special Opportunities Fund, Class VI

$—

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

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

For Benchmark-Free Allocation Fund only, the fees payable to GMO under its management contract and servicing and supplemental support agreement are reduced by amounts equal to the management fees and shareholder service fees, respectively, that GMO receives as a result of the Fund’s investment in underlying GMO Funds. In addition, effective March 1, 2014, GMO has contractually agreed to reduce the rate of the supplemental support fees charged to the Fund’s Class MF shares to a rate to be charged in any month (starting on the first business day of the month) based on the net assets attributable to Class MF shares as of the last business day of the preceding month based on the following schedule: 0.10% on the first $6 billion of net assets, 0.05% on the next $2 billion, 0.03% on the next $2 billion, and 0.01% thereafter; provided, however, that the effective rate charged at any time will not be reduced to less than 0.06% of Class MF’s average daily net assets. The rate will be calculated before giving effect to any reduction or waiver described above, and any applicable reduction or waiver will serve to further reduce the supplemental support fee paid to GMO. This reduction will continue through at least June 30, 2019, and may not be terminated prior to this date

without the action or consent of the Fund’s Board of Trustees.

177

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Alpha Only Fund		2,430		198
Benchmark-Free Allocation Fund		153,335		13,897
Benchmark-Free Fund		49,093		4,584
Global Asset Allocation Fund		26,949		2,566
Global Developed Equity Allocation Fund		5,428		533
Global Equity Allocation Fund		25,786		2,399
Consolidated Implementation Fund		129,901		11,845
International Developed Equity Allocation Fund		7,554		726
International Equity Allocation Fund		12,730		1,246
Consolidated SGM Major Markets Fund		20,811		1,884
Consolidated Special Opportunities Fund		11,268		1,084
Strategic Opportunities Allocation Fund		14,298		1,288



Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Indirect Interest Expense			Total Indirect Expenses
Alpha Only Fund		< 0.001%		0.000%		0.000%			< 0.001%
Benchmark-Free Allocation Fund		0.148%		0.012%		0.105%	*		0.265%
Benchmark-Free Fund		0.223%		0.019%		< 0.001%			0.242%
Global Asset Allocation Fund		0.420%		0.067%		< 0.001%			0.487%
Global Developed Equity Allocation Fund		0.443%		0.071%		0.000%			0.514%
Global Equity Allocation Fund		0.489%		0.068%		0.000%			0.557%
Consolidated Implementation Fund		0.000%		0.000%		0.000%			0.000%
International Developed Equity Allocation Fund		0.523%		0.087%		0.000%			0.610%
International Equity Allocation Fund		0.570%		0.078%		0.000%			0.648%
Consolidated SGM Major Markets Fund		0.002%		0.000%		0.000%			0.002%
Consolidated Special Opportunities Fund		0.000%		0.000%		0.000%			0.000%
Strategic Opportunities Allocation Fund		0.389%		0.059%		0.001%			0.449%

Includes indirect dividend expenses.

178

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

6.	Purchases and sales of securities



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

Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Alpha Only Fund		—		182,658,727		—		273,968,717
Benchmark-Free Allocation Fund		—		1,089,875,688		—		1,577,623,067
Benchmark-Free Fund		388,379,130		879,235,876		720,723,756		1,255,279,338
Global Asset Allocation Fund		—		258,188,985		—		464,757,924
Global Developed Equity Allocation Fund		—		20,985,456		—		12,436,257
Global Equity Allocation Fund		—		95,146,368		—		291,512,461
Consolidated Implementation Fund		1,458,144,327		4,421,860,555		1,765,152,428		4,124,210,924
International Developed Equity Allocation Fund		—		25,576,996		—		6,442,044
International Equity Allocation Fund		—		12,101,633		—		50,392,894
Consolidated SGM Major Markets Fund		610,623,161		57,075,865		194,085,047		1,129,705,815
Consolidated Special Opportunities Fund		—		32,463,144		—		551,207,360
Strategic Opportunities Allocation Fund		33,093,500		198,520,661		55,043,101		342,616,271



Fund Name	Purchases ($)		Sales ($)
Consolidated Implementation Fund				210,796,589*
Consolidated SGM Major Markets Fund		1,017,970,052
Strategic Opportunities Allocation Fund		76,103,884

For the period ended August 31, 2018, the Funds had the following net realized gains/(losses) attributed to redemption in-kind transactions:



Fund Name	Net realized gains/(losses) attributed to redemption in-kind transactions ($)
Consolidated Implementation Fund		(1,571,191)*

*	Amount represents contribution of assets to wholly owned subsidiary.

7.	Guarantees

179

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

8.	Principal shareholders and related parties as of August 31, 2018



Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund			Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund		Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers		Percentage of the Fund’s shares held by accounts for which GMO has investment discretion
Alpha Only Fund		3	‡		93.58%		0.09%		98.98%
Benchmark-Free Allocation Fund		1			40.59%		0.88%		3.47%
Benchmark-Free Fund		—			—		—		100.00%
Global Asset Allocation Fund		—			—		0.21%		8.48%
Global Developed Equity Allocation Fund		2			63.51%		< 0.01%		—
Global Equity Allocation Fund		1			20.28%		0.01%		0.28%
Implementation Fund		1	‡		95.13%		—		100.00%
International Developed Equity Allocation Fund		5			77.36%		< 0.01%		1.89%
International Equity Allocation Fund		4	†		69.25%		0.01%		26.40%
SGM Major Markets Fund±		2	‡		77.83%		0.10%		72.08%
Special Opportunities Fund		2	#		94.68%		0.07%		98.72%
Strategic Opportunities Allocation Fund		1			12.22%		—		99.92%

†

One of the shareholders is another fund managed by GMO.

‡

One of the shareholders is another fund of the Trust.

Two of the shareholders are other funds of the Trust.

9.	Share transactions

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


	Six Months Ended August 31, 2018 (Unaudited)						Year Ended February 28, 2018

	Shares			Amount			Shares			Amount
Alpha Only Fund
Class III:
Shares sold		—		$	—			207,676		$	4,479,301
Shares issued to shareholders in reinvestment of distributions		1,332			27,835			4,822			104,020
Shares repurchased		(2,516	)		(52,143	)		(228,094	)		(4,971,088	)

Net increase (decrease)		(1,184	)	$	(24,308	)		(15,596	)	$	(387,767	)

Class IV:
Shares sold		169,174		$	3,654,268			693,110		$	15,100,002
Shares issued to shareholders in reinvestment of distributions		33,909			709,028			114,030			2,454,724
Shares repurchased		(4,856,026	)		(101,811,865	)		(1,383,604	)		(29,825,103	)

Net increase (decrease)		(4,652,943	)	$	(97,448,569	)		(576,464	)	$	(12,270,377	)

180

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)


	Six Months Ended August 31, 2018 (Unaudited)						Year Ended February 28, 2018

	Shares			Amount			Shares			Amount
Benchmark-Free Allocation Fund
Class III:
Shares sold		8,210,472		$	223,539,705			28,656,547		$	784,060,061
Shares issued to shareholders in reinvestment of distributions		178,085			4,817,211			3,792,767			103,472,036
Shares repurchased		(15,516,656	)		(423,150,987	)		(50,073,202	)		(1,350,609,683	)
Purchase premiums		—			39,640			—			325,703
Redemption fees		—			167,615			—			1,479,985

Net increase (decrease)		(7,128,099	)	$	(194,586,816	)		(17,623,888	)	$	(461,271,898	)

Class IV:
Shares sold		1,602,934		$	43,874,202			33,152,599		$	884,564,391
Shares issued to shareholders in reinvestment of distributions		103,829			2,808,587			2,584,989			70,493,151
Shares repurchased		(3,954,256	)		(107,536,961	)		(39,749,823	)		(1,080,301,449	)
Purchase premiums		—			21,378			—			191,609
Redemption fees		—			90,813			—			864,149

Net increase (decrease)		(2,247,493	)	$	(60,741,981	)		(4,012,235	)	$	(124,188,149	)

Class MF:
Shares sold		2,797,372		$	77,123,961			3,559,155		$	97,318,372
Shares issued to shareholders in reinvestment of distributions		252,400			6,832,480			4,991,594			136,226,196
Shares repurchased		(17,077,155	)		(464,608,564	)		(33,216,277	)		(892,423,950	)
Purchase premiums		—			43,344			—			368,062
Redemption fees		—			184,060			—			1,675,531

Net increase (decrease)		(14,027,383	)	$	(380,424,719	)		(24,665,528	)	$	(656,835,789	)


Benchmark-Free Fund
Class III:
Shares sold		938,921		$	18,908,028			8,166,414		$	167,857,391
Shares issued to shareholders in reinvestment of distributions		622,665			12,521,790			6,085,559			124,326,073
Shares repurchased		(38,745,706	)		(790,879,132	)		(31,557,062	)		(625,040,833	)
Purchase premiums		—			336			—			125,696
Redemption fees		—			207,148			—			1,268,307

Net increase (decrease)		(37,184,120	)	$	(759,241,830	)		(17,305,089	)	$	(331,463,366	)


Global Asset Allocation Fund
Class III:
Shares sold		2,597,535		$	85,114,944			7,497,173		$	245,763,796
Shares issued to shareholders in reinvestment of distributions		180,902			5,863,029			1,625,800			53,486,252
Shares repurchased		(9,842,503	)		(322,521,492	)		(14,335,654	)		(462,098,261	)
Purchase premiums		—			27,802			—			283,262
Redemption fees		—			108,370			—			607,377

Net increase (decrease)		(7,064,066	)	$	(231,407,347	)		(5,212,681	)	$	(161,957,574	)


Global Developed Equity Allocation Fund
Class III:
Shares sold		14,420		$	322,581			—		$	—
Shares issued to shareholders in reinvestment of distributions		105,589			2,337,736			803,500			17,587,926
Shares repurchased		(236,397	)		(5,257,992	)		(30,910,313	)		(652,627,452	)
Purchase premiums		—			258			—			—
Redemption fees		—			1,005			—			522,102

Net increase (decrease)		(116,388	)	$	(2,596,412	)		(30,106,813	)	$	(634,517,424	)

181

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)


	Six Months Ended August 31, 2018 (Unaudited)						Year Ended February 28, 2018

	Shares			Amount			Shares			Amount
Global Equity Allocation Fund
Class III:
Shares sold		32,132		$	849,543			5,343,410		$	133,870,494
Shares issued to shareholders in reinvestment of distributions		198,103			5,089,261			2,660,619			69,685,837
Shares repurchased		(9,591,360	)		(251,125,525	)		(17,925,341	)		(467,596,299	)
Purchase premiums		—			1,206			—			47,316
Redemption fees		—			38,129			—			840,523

Net increase (decrease)		(9,361,125	)	$	(245,147,386	)		(9,921,312	)	$	(263,152,129	)


Consolidated Implementation Fund
Core Class:
Shares sold		20,605,855		$	282,827,287			50,778,902		$	682,972,263
Shares issued to shareholders in reinvestment of distributions		3,137,825			42,611,658			24,407,827			335,144,868
Shares repurchased		(70,479,660	)		(962,169,981	)		(118,308,728	)		(1,618,413,712	)
Purchase premiums		—			64,769			—			1,185,847
Redemption fees		—			265,297			—			3,054,358

Net increase (decrease)		(46,735,980	)	$	(636,400,970	)		(43,121,999	)	$	(596,056,376	)


International Developed Equity Allocation Fund
Class III:
Shares sold		1,441,372		$	24,249,170			953,876		$	16,192,699
Shares issued to shareholders in reinvestment of distributions		163,778			2,631,907			1,042,628			17,857,292
Shares repurchased		(519,148	)		(8,664,934	)		(4,482,823	)		(74,991,774	)
Purchase premiums		—			13,253			—			10,870
Redemption fees		—			2,696			—			57,901

Net increase (decrease)		1,086,002		$	18,232,092			(2,486,319	)	$	(40,873,012	)


International Equity Allocation Fund
Class III:
Shares sold		245,551		$	7,597,500			2,158,679		$	70,077,115
Shares issued to shareholders in reinvestment of distributions		221,416			6,620,339			1,031,273			32,737,392
Shares repurchased		(1,586,042	)		(51,142,318	)		(7,389,534	)		(221,115,817	)
Purchase premiums		—			2,500			—			175,411
Redemption fees		—			112,011			—			538,494

Net increase (decrease)		(1,119,075	)	$	(36,809,968	)		(4,199,582	)	$	(117,587,405	)

182

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)


	Six Months Ended August 31, 2018 (Unaudited)						Year Ended February 28, 2018

	Shares			Amount			Shares			Amount
Consolidated SGM Major Markets Fund
Class III:
Shares sold		158,131		$	5,087,676			706,650		$	22,622,929
Shares issued to shareholders in reinvestment of distributions		—			—			5,601			180,593
Shares repurchased		(38,101	)		(1,230,128	)		(63,722	)		(2,099,226	)

Net increase (decrease)		120,030		$	3,857,548			648,529		$	20,704,296

Class IV:
Shares sold		—		$	—			486,556		$	16,036,518
Shares issued to shareholders in reinvestment of distributions		—			—			18,456			591,952
Shares repurchased		(11,889	)		(385,307	)		(1,814,180	)		(59,526,105	)

Net increase (decrease)		(11,889	)	$	(385,307	)		(1,309,168	)	$	(42,897,635	)

Class VI:
Shares sold		2,576,662		$	83,047,846			15,616,936		$	506,604,097
Shares issued to shareholders in reinvestment of distributions		—			—			1,716,945			55,073,241
Shares repurchased		(8,376,310	)		(270,982,199	)		(3,731,302	)		(122,365,837	)

Net increase (decrease)		(5,799,648	)	$	(187,934,353	)		13,602,579		$	439,311,501


Consolidated Special Opportunities Fund
Class VI:
Shares sold		470,274		$	10,375,802			2,130,296		$	47,393,583
Shares issued to shareholders in reinvestment of distributions		11,125,095			225,776,659			2,841,238			68,177,050
Shares repurchased		(29,533,321	)		(654,432,948	)		(12,646,455	)		(290,937,418	)
Purchase premiums		—			52,140			—			181,760
Redemption fees		—			3,272,165			—			1,398,457

Net increase (decrease)		(17,937,952	)	$	(414,956,182	)		(7,674,921	)	$	(173,786,568	)


Strategic Opportunities Allocation Fund
Class III:
Shares sold		77,861		$	1,614,847			831,215		$	17,129,720
Shares issued to shareholders in reinvestment of distributions		2,266,680			46,285,603			2,497,054			54,242,468
Shares repurchased		(8,467,559	)		(180,963,237	)		(46,410,191	)		(1,002,225,037	)
Purchase premiums		—			—			—			—
Redemption fees		—			192,588			—			1,948,317

Net increase (decrease)		(6,123,018	)	$	(132,870,199	)		(43,081,922	)	$	(928,904,532	)

183

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)

10.

Investments in affiliated companies and other Funds of the Trust



Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Alpha Only Fund
GMO U.S. Treasury Fund	$	13,848,473	$	118,586,707	$	124,970,000	$	121,707	$	—	$	10,202		$	793		$	7,476,175


Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	338,343,014	$	12,250,752	$	17,784,551	$	4,487,712	$	—	$	(129,488	)	$	(20,116,261	)	$	312,563,466
GMO High Yield Fund, Class VI		—		204,419,676		57,982,217		—		—		1,136,906			2,951,487			150,525,852
GMO Implementation Fund		10,973,015,970		312,247,731		943,553,294		40,589,176		—		22,684,984			(418,063,250	)		9,946,332,141
GMO Opportunistic Income Fund, Class VI		542,342,069		55,188,343		38,075,503		4,367,320		—		3,422,105			2,516,064			565,393,078
GMO Risk Premium Fund, Class VI		—		322,967,912		16,082,874		—		—		370,567			11,962,897			319,218,502
GMO SGM Major Markets Fund, Class VI		1,015,978,511		18,048,037		101,253,207		—		—		4,361,524			4,487,752			941,622,617
GMO Special Opportunities Fund, Class VI		669,099,430		164,753,237		402,891,421		—		154,325,296		55,017,142			(169,161,720	)		316,816,668

Totals	$	13,538,778,994	$	1,089,875,688	$	1,577,623,067	$	49,444,208	$	154,325,296	$	86,863,740		$	(585,423,031	)	$	12,552,472,324


Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class IV	$	133,185,460	$	1,541,536	$	17,100,000	$	1,541,536	$	—	$	(187,932	)	$	(7,662,058	)	$	109,777,006
GMO Emerging Markets Fund, Class VI		569,680,947		883,352		80,000,000		883,352		—		7,337,354			(69,483,357	)		428,418,296
GMO Opportunistic Income Fund, Class VI		217,604,583		16,962,594		41,000,000		1,526,892		—		4,452,023			(2,170,969	)		195,848,231
GMO Risk Premium Fund, Class VI		—		111,397,624		—		—		—		—			4,325,767			115,723,391
GMO SGM Major Markets Fund, Class VI		184,449,116		—		34,000,000		—		—		2,440,994			(450,452	)		152,439,658
GMO Special Opportunities Fund, Class VI		323,594,896		60,618,195		226,127,282		—		60,618,195		32,033,592			(78,607,090	)		111,512,311

Totals	$	1,428,515,002	$	191,403,301	$	398,227,282	$	3,951,780	$	60,618,195	$	46,076,031		$	(154,048,159	)	$	1,113,718,893

184

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Global Asset Allocation Fund
GMO Alpha Only Fund, Class IV	$	74,946,917	$	1,544,636	$	5,492,471	$	268,305	$	—	$	(689,761	)	$	(4,556,966	)	$	65,752,355
GMO Asset Allocation Bond Fund, Class VI		399,177,319		6,691,525		144,798,220		2,325,988		—		(22,620,979	)		27,242,856			265,692,501
GMO Core Plus Bond Fund, Class IV		249,614,612		122,706,592		45,518,979		1,391,054		—		174,878			4,815,707			331,792,810
GMO Emerging Country Debt Fund, Class IV		55,530,671		652,209		8,867,467		652,209		—		(34,496	)		(3,071,420	)		44,209,497
GMO Emerging Markets Fund, Class VI		467,717,958		23,761,009		26,843,372		886,476		—		3,191,696			(55,912,650	)		411,914,641
GMO International Equity Fund, Class IV		519,183,914		22,106,819		50,121,602		3,150,332		—		(3,888,207	)		(29,511,502	)		457,769,422
GMO Opportunistic Income Fund, Class VI		48,813,182		8,331,545		26,470,854		202,791		—		1,719,370			(1,405,839	)		30,987,404
GMO Quality Fund, Class VI		178,367,480		13,719,325		37,328,567		573,594		6,815,283		6,622,001			2,239,196			163,619,435
GMO Risk Premium Fund, Class VI		62,350,340		226,286		9,423,853		226,286		—		(285,437	)		3,391,828			56,259,164
GMO SGM Major Markets Fund, Class VI		73,567,091		1,550,500		9,695,498		—		—		670,239			15,342			66,107,674
GMO U.S. Equity Fund, Class VI		178,908,774		20,944,457		32,846,117		722,735		13,009,248		(976,288	)		(4,084,750	)		161,946,076
GMO U.S. Treasury Fund		167,046,625		35,954,082		67,340,222		1,507,684		—		(75,209	)		141,425			135,726,701

Totals	$	2,475,224,883	$	258,188,985	$	464,747,222	$	11,907,454	$	19,824,531	$	(16,192,193	)	$	(60,696,773	)	$	2,191,777,680


Global Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	46,991,022	$	3,161,628	$	290,682	$	91,897	$	—	$	43,933		$	(5,336,693	)	$	44,569,208
GMO International Equity Fund, Class IV		217,379,783		5,811,172		395,355		1,373,005		—		36,911			(14,689,746	)		208,142,765
GMO Quality Fund, Class VI		102,786,624		4,139,003		6,348,045		321,308		3,817,694		1,063,866			4,484,856			106,126,304
GMO U.S. Equity Fund, Class VI		101,984,701		7,873,653		5,402,175		414,403		7,459,250		374,497			(3,313,136	)		101,517,540

Totals	$	469,142,130	$	20,985,456	$	12,436,257	$	2,200,613	$	11,276,944	$	1,519,207		$	(18,854,719	)	$	460,355,817


Global Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	608,573,770	$	26,450,482	$	50,741,911	$	1,166,884	$	—	$	4,635,701		$	(72,269,138	)	$	516,648,904
GMO International Equity Fund, Class IV		896,831,372		19,869,939		79,722,386		5,598,487		—		(18,252,191	)		(40,459,854	)		778,266,880
GMO Quality Fund, Class VI		412,807,154		17,892,984		89,700,051		1,258,604		14,954,380		16,392,209			3,799,979			361,192,275
GMO U.S. Equity Fund, Class VI		409,993,568		30,932,963		71,348,113		1,628,051		29,304,913		(2,827,931	)		(9,417,981	)		357,332,506

Totals	$	2,328,205,864	$	95,146,368	$	291,512,461	$	9,652,026	$	44,259,293	$	(52,212	)	$	(118,346,994	)	$	2,013,440,565


International Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	67,378,736	$	5,265,463	$	820,700	$	129,974	$	—	$	83,306		$	(7,919,244	)	$	63,987,561
GMO International Equity Fund, Class IV		597,172,345		20,311,533		5,621,344		3,753,616		—		(532,149	)		(40,257,992	)		571,072,393

Totals	$	664,551,081	$	25,576,996	$	6,442,044	$	3,883,590	$	—	$	(448,843	)	$	(48,177,236	)	$	635,059,954

185

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2018 (Unaudited)



Affiliate	Value, beginning of period		Purchases		Sales Proceeds			Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
International Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	402,051,540	$	6,834,639	$	12,237,134		$	723,858	$	—	$	1,320,081		$	(45,482,943	)	$	352,486,183
GMO International Equity Fund, Class IV		748,929,812		5,266,994		38,155,760			4,404,226		—		(1,255,338	)		(47,120,418	)		667,665,290

Totals	$	1,150,981,352	$	12,101,633	$	50,392,894		$	5,128,084	$	—	$	64,743		$	(92,603,361	)	$	1,020,151,473


Consolidated SGM Major Markets Fund
GMO U.S. Treasury Fund	$	1,072,205,111	$	57,075,865	$	1,129,705,815	^(a)	$	9,352,205	$	—	$	(781,391	)	$	1,206,230		$	—


Consolidated Special Opportunities Fund
Jagercor Energy Corp	$	70,137	$	—	$	—		$	—	$	—	$	—		$	(24,160	)	$	45,977


Strategic Opportunities Allocation Fund
GMO Core Plus Bond Fund, Class IV	$	99,134,920	$	30,487,118	$	16,720,688		$	487,118	$	—	$	(122,663	)	$	1,878,938		$	114,657,625
GMO Emerging Country Debt Fund, Class IV		39,992,630		456,549		8,854,634			456,549		—		(462,812	)		(1,631,765	)		29,499,968
GMO Emerging Markets Fund, Class VI		305,084,580		510,832		37,941,204			510,832		—		5,562,340			(37,071,415	)		236,145,133
GMO International Equity Fund, Class IV		349,818,348		1,794,004		71,474,090	^(b)		1,794,004		—		(6,120,583	)		(13,717,257	)		260,300,422
GMO Opportunistic Income Fund, Class VI		45,985,113		283,091		16,149,547			283,091		—		1,338,394			(967,768	)		30,489,283
GMO Quality Fund, Class VI		131,528,842		5,046,728		29,205,083			391,774		4,654,954		4,810,140			955,751			113,136,378
GMO U.S. Equity Fund, Class VI		130,082,686		6,534,647		57,667,845	^(c)		343,929		6,190,718		(319,675	)		(3,613,634	)		75,016,179
GMO U.S. Treasury Fund		93,901,813		9,720,338		46,508,962			719,532		—		(10,636	)		39,659			57,142,212

Totals	$	1,195,528,932	$	54,833,307	$	284,522,053		$	4,986,829	$	10,845,672	$	4,674,505		$	(54,127,491	)	$	916,387,200

^(a)

$1,017,970,052 was redeemed in-kind.

^(b)

$37,086,238 was redeemed in-kind.

^(c)

$39,017,646 was redeemed in-kind.

186

GMO Trust Funds

Board Review of Investment Management Agreements

August 31, 2018 (Unaudited)

GMO Alpha Only Fund

Approval of renewal of management agreement for GMO Alpha Only Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

187

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

GMO Benchmark-Free Allocation Fund

Approval of renewal of management agreement for GMO Benchmark-Free Allocation Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

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

188

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

The Trustees also reviewed information provided to them by the Manager regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of different approaches to calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund and the other GMO funds. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager offsets against the fees the Fund pays the Manager the management fees, shareholder servicing fees and most other expenses of those other underlying GMO funds.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

GMO Benchmark-Free Fund

Approval of renewal of management agreement for GMO Benchmark-Free Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the strategies used by the Manager in managing other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

189

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of services to be provided supported the approval of the agreement.

GMO Global Asset Allocation Fund

Approval of renewal of management agreement for GMO Global Asset Allocation Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

190

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of services to be provided supported the approval of the agreement.

GMO Global Developed Equity Allocation Fund

Approval of renewal of management agreement for GMO Global Developed Equity Allocation Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

191

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and] of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

The Trustees noted that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement but that the Fund instead indirectly bears the management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees reviewed information comparing the management fees indirectly borne by the Fund as a result of its investing in other GMO funds to the fees shown on the Manager’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by the Manager to the Fund and to those other vehicles and accounts. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the fees payable by those funds to the Manager under those agreements were reasonable.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of services to be provided supported the approval of the agreement.

192

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

GMO Global Equity Allocation Fund

Approval of renewal of management agreement for GMO Global Equity Allocation Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and] of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

193

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

organization, its reputation and relationship with Fund investors, and other matters concerning the business and organization of the Manager and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of services to be provided supported the approval of the agreement.

GMO Implementation Fund

Approval of renewal of management agreement for GMO Implementation Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management agreement or any shareholder servicing and supplemental support agreement.

194

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of services to be provided supported the approval of the agreement.

GMO International Developed Equity Allocation Fund

Approval of renewal of management agreement for GMO International Developed Equity Allocation Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

195

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of services to be provided supported the approval of the agreement.

International Equity Allocation Fund

Approval of renewal of management agreement for GMO International Equity Allocation Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

196

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

Manager by the other GMO funds in which the Fund invests. The Trustees reviewed information comparing the management fees indirectly borne by the Fund as a result of its investing in other GMO funds to the fees shown on the Manager’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by the Manager to the Fund and to those other vehicles and accounts. The Trustees noted that they had approved the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the fees payable by those funds to the Manager under those agreements were reasonable.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of services to be provided supported the approval of the agreement.

GMO SGM Major Markets Fund

Approval of renewal of management agreement for GMO SGM Major Markets Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

197

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

performance in light of various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

The Trustees also considered the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to fees received by the Manager for providing sub-advisory services to a fund managed by a third-party and to the fees shown on the Manager’s fee schedule for its other pooled investment vehicles and separately managed accounts. The Trustees noted the differences in the services provided by the Manager to the Fund and to the third-party fund and to those other vehicles and accounts. The Trustees also considered the shareholder servicing fees charged by the Manager to different share classes of the Fund in light of the services provided by the Manager.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

GMO Special Opportunities Fund

Approval of renewal of management agreement for GMO Special Opportunities Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

198

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund investing in the types of securities used by the Manager in managing the Fund should be expected to perform in different market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the strategies used by the Manager in managing other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by a third-party data service to have similar investment classification or objective.

After reviewing these and other factors, the Trustees concluded that the fees charged to the Fund under the Fund’s management agreement were reasonable.

199

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

GMO Strategic Opportunities Allocation Fund

Approval of renewal of management agreement for GMO Strategic Opportunities Allocation Fund (the “Fund”). At a meeting on June 7, 2018, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2018 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

200

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2018 (Unaudited)

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of services to be provided supported the approval of the agreement.

201

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2018 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2018.

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and /or indirect management fees, direct and/or indirect shareholder services fees, and distribution (12b-1) and/or administration fees for Funds with Class M shares, if applicable, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2018 through August 31, 2018.

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual						Hypothetical
	Beginning Account Value March 1, 2018		Ending Account Value August 31, 2018		Expenses Paid During the Period*		Beginning Account Value March 1, 2018		Ending Account Value August 31, 2018		Expenses Paid During the Period*		Annualized Expense Ratio
Alpha Only Fund
Class III		$1,000.00		$931.00		$3.36		$1,000.00		$1,021.73		$3.52		0.69%
Class IV		$1,000.00		$931.10		$3.07		$1,000.00		$1,022.03		$3.21		0.63%
Benchmark-Free Allocation Fund
Class III		$1,000.00		$974.80		$4.58		$1,000.00		$1,020.57		$4.69		0.92%
Class IV		$1,000.00		$975.30		$4.33		$1,000.00		$1,020.82		$4.43		0.87%
Class MF		$1,000.00		$975.30		$4.33		$1,000.00		$1,020.82		$4.43		0.87%
Benchmark-Free Fund
Class III		$1,000.00		$965.20		$1.63		$1,000.00		$1,023.54		$1.68		0.33%
Global Asset Allocation Fund
Class III		$1,000.00		$981.70		$2.45		$1,000.00		$1,022.74		$2.50		0.49%
Global Developed Equity Allocation Fund
Class III		$1,000.00		$991.70		$2.56		$1,000.00		$1,022.63		$2.60		0.51%
Global Equity Allocation Fund
Class III		$1,000.00		$971.80		$2.78		$1,000.00		$1,022.38		$2.85		0.56%
Implementation Fund
Core Class		$1,000.00		$967.70		$0.69		$1,000.00		$1,024.50		$0.71		0.14%
International Developed Equity Allocation Fund
Class III		$1,000.00		$933.60		$2.97		$1,000.00		$1,022.13		$3.11		0.61%

202

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses — (Continued)

August 31, 2018 (Unaudited)


	Actual						Hypothetical
	Beginning Account Value March 1, 2018		Ending Account Value August 31, 2018		Expenses Paid During the Period*		Beginning Account Value March 1, 2018		Ending Account Value August 31, 2018		Expenses Paid During the Period*		Annualized Expense Ratio
International Equity Allocation Fund
Class III		$1,000.00		$921.10		$3.15		$1,000.00		$1,021.93		$3.31		0.65%
SGM Major Markets Fund
Class III		$1,000.00		$1,007.20		$5.06		$1,000.00		$1,020.16		$5.09		1.00%
Class IV		$1,000.00		$1,007.60		$4.81		$1,000.00		$1,020.42		$4.84		0.95%
Class VI		$1,000.00		$1,007.90		$4.61		$1,000.00		$1,020.62		$4.63		0.91%
Special Opportunities Fund
Class VI		$1,000.00		$1,068.10		$6.26		$1,000.00		$1,019.16		$6.11		1.20%
Strategic Opportunities Allocation Fund
Class III		$1,000.00		$973.10		$2.49		$1,000.00		$1,022.68		$2.55		0.50%

203

Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this registrant.

Item 6. Schedule of Investments.

The complete schedule of investments for each series of the registrant is included as part of the semi-annual reports to shareholders filed under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

Item 11. Controls and Procedures.

(a)

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

(b)

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

Item 12. Exhibits.

(a)(1) Not applicable to this filing.

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

(a)(3) Not applicable to this registrant.

(b)

Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.

SIGNATURES

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


(Registrant)		GMO Trust

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

		Date: October 31, 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.


(Registrant)		GMO Trust

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

		Date: October 31, 2018


By (Signature and Title):		/s/ Betty Maganzini
		Betty Maganzini, Principal Financial Officer

		Date: October 31, 2018